Guggenheim Alpha Opportunity Fund Class C (SAOCX) N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATESSECURITIES AND EXCHANGE COMMISSIONWashington, 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 Trust805 King Farm Boulevard, Suite 600Rockville, 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, 2017

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:

3.31.2017

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

GuggenheimInvestments.com SBE-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
ALPHA OPPORTUNITY FUND	8
LARGE CAP VALUE FUND	20
MARKET NEUTRAL REAL ESTATE FUND	29
RISK MANAGED REAL ESTATE FUND	37
SMALL CAP VALUE FUND	48
STYLEPLUS—LARGE CORE FUND	58
STYLEPLUS—MID GROWTH FUND	69
WORLD EQUITY INCOME FUND	80
NOTES TO FINANCIAL STATEMENTS	90
OTHER INFORMATION	104
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	105
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	109

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500”) Index* set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index* returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

*Index Definitions

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

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the Funds’ costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Alpha Opportunity Fund
A-Class	2.35%	10.57%	$ 1,000.00	$ 1,105.70	$ 12.34
C-Class	3.09%	10.18%	1,000.00	1,101.80	16.19
P-Class	2.00%	10.71%	1,000.00	1,107.10	10.51
Institutional Class	1.63%	10.91%	1,000.00	1,109.10	8.57
Large Cap Value Fund
A-Class	1.17%	12.74%	1,000.00	1,127.40	6.21
C-Class	1.92%	12.26%	1,000.00	1,122.60	10.16
P-Class	1.17%	12.69%	1,000.00	1,126.90	6.20
Institutional Class	0.93%	12.84%	1,000.00	1,128.40	4.93
Market Neutral Real Estate Fund
A-Class	1.66%	4.70%	1,000.00	1,047.00	8.47
C-Class	2.41%	4.31%	1,000.00	1,043.10	12.28
P-Class	1.67%	4.70%	1,000.00	1,047.00	8.52
Institutional Class	1.41%	4.82%	1,000.00	1,048.20	7.20
Risk Managed Real Estate Fund
A-Class	1.32%	2.03%	1,000.00	1,020.30	6.60
C-Class	2.07%	1.65%	1,000.00	1,016.50	10.36
P-Class	1.31%	2.04%	1,000.00	1,020.40	6.55
Institutional Class	0.95%	2.23%	1,000.00	1,022.30	4.79
Small Cap Value Fund
A-Class	1.32%	13.30%	1,000.00	1,133.00	7.02
C-Class	2.07%	12.90%	1,000.00	1,129.00	10.99
P-Class	1.32%	13.25%	1,000.00	1,132.50	7.02
Institutional Class	1.07%	13.44%	1,000.00	1,134.40	5.69
StylePlus—Large Core Fund
A-Class	1.25%	10.31%	1,000.00	1,103.10	6.55
C-Class	2.14%	9.85%	1,000.00	1,098.50	11.20
P-Class	1.48%	10.15%	1,000.00	1,101.50	7.75
Institutional Class	0.90%	10.53%	1,000.00	1,105.30	4.72
StylePlus—Mid Growth Fund
A-Class	1.27%	7.90%	1,000.00	1,079.00	6.58
C-Class	2.17%	7.46%	1,000.00	1,074.60	11.22
P-Class	1.60%	7.70%	1,000.00	1,077.00	8.29
Institutional Class	1.05%	8.08%	1,000.00	1,080.80	5.45
World Equity Income Fund
A-Class	1.23%	5.26%	1,000.00	1,052.60	6.29
C-Class	1.98%	4.90%	1,000.00	1,049.00	10.11
P-Class	1.23%	5.21%	1,000.00	1,052.10	6.29
Institutional Class	0.98%	5.46%	1,000.00	1,054.60	5.02

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Alpha Opportunity Fund
A-Class	2.35%	5.00%	$ 1,000.00	$ 1,013.21	$ 11.80
C-Class	3.09%	5.00%	1,000.00	1,009.52	15.48
P-Class	2.00%	5.00%	1,000.00	1,014.96	10.05
Institutional Class	1.63%	5.00%	1,000.00	1,016.80	8.20
Large Cap Value Fund
A-Class	1.17%	5.00%	1,000.00	1,019.10	5.89
C-Class	1.92%	5.00%	1,000.00	1,015.36	9.65
P-Class	1.17%	5.00%	1,000.00	1,019.10	5.89
Institutional Class	0.93%	5.00%	1,000.00	1,020.29	4.68
Market Neutral Real Estate Fund
A-Class	1.66%	5.00%	1,000.00	1,016.65	8.35
C-Class	2.41%	5.00%	1,000.00	1,012.91	12.09
P-Class	1.67%	5.00%	1,000.00	1,016.60	8.40
Institutional Class	1.41%	5.00%	1,000.00	1,017.90	7.09
Risk Managed Real Estate Fund
A-Class	1.32%	5.00%	1,000.00	1,018.40	6.59
C-Class	2.07%	5.00%	1,000.00	1,014.66	10.35
P-Class	1.31%	5.00%	1,000.00	1,018.45	6.54
Institutional Class	0.95%	5.00%	1,000.00	1,020.19	4.78
Small Cap Value Fund
A-Class	1.32%	5.00%	1,000.00	1,018.35	6.64
C-Class	2.07%	5.00%	1,000.00	1,014.61	10.40
P-Class	1.32%	5.00%	1,000.00	1,018.35	6.64
Institutional Class	1.07%	5.00%	1,000.00	1,019.60	5.39
StylePlus—Large Core Fund
A-Class	1.25%	5.00%	1,000.00	1,018.70	6.29
C-Class	2.14%	5.00%	1,000.00	1,014.26	10.75
P-Class	1.48%	5.00%	1,000.00	1,017.55	7.44
Institutional Class	0.90%	5.00%	1,000.00	1,020.44	4.53
StylePlus—Mid Growth Fund
A-Class	1.27%	5.00%	1,000.00	1,018.60	6.39
C-Class	2.17%	5.00%	1,000.00	1,014.11	10.90
P-Class	1.60%	5.00%	1,000.00	1,016.95	8.05
Institutional Class	1.05%	5.00%	1,000.00	1,019.70	5.29
World Equity Income Fund
A-Class	1.23%	5.00%	1,000.00	1,018.80	6.19
C-Class	1.98%	5.00%	1,000.00	1,015.06	9.95
P-Class	1.23%	5.00%	1,000.00	1,018.80	6.19
Institutional Class	0.98%	5.00%	1,000.00	1,020.04	4.94

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%, 2.85%, 1.78% and 1.41% and the Risk Managed Real Estate Fund would be 1.28%, 2.04%, 1.28%, and 0.92% for the A-Class, C-Class, P-Class and Institutional Class respectively. Excludes expenses of the underlying funds in which the Funds 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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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)
CVS Health Corp.	1.9%
FirstEnergy Corp.	1.5%
Express Scripts Holding Co.	1.5%
UGI Corp.	1.5%
International Business Machines Corp.	1.5%
Tyson Foods, Inc. — Class A	1.5%
CA, Inc.	1.5%
Verizon Communications, Inc.	1.4%
Exelon Corp.	1.4%
Emerson Electric Co.	1.3%
Top Ten Total	15.0%

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

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 96.9%
Consumer, Non-cyclical - 28.4%
Express Scripts Holding Co.*,1		51,899	$	3,420,663
Tyson Foods, Inc. — Class A1		54,446		3,359,863
DaVita, Inc.*,1		41,726		2,836,116
General Mills, Inc.1		46,071		2,718,649
Quest Diagnostics, Inc.1		27,075		2,658,494
Pfizer, Inc.1		68,164		2,331,890
Kimberly-Clark Corp.1		16,843		2,217,044
Johnson & Johnson1		17,702		2,204,784
Dean Foods Co.		111,099		2,184,206
Laboratory Corp. of America Holdings*,1		14,610		2,096,097
AmerisourceBergen Corp. — Class A1		23,474		2,077,449
Sysco Corp.1		39,364		2,043,779
Deluxe Corp.2		27,455		1,981,427
Whole Foods Market, Inc.		66,146		1,965,859
Sanderson Farms, Inc.		16,513		1,714,710
United Natural Foods, Inc.*		38,956		1,684,068
Ingredion, Inc.2		12,835		1,545,719
HCA Holdings, Inc.*,2		17,055		1,517,724
SpartanNash Co.2		41,877		1,465,276
AbbVie, Inc.1		20,599		1,342,231
JM Smucker Co.1		9,998		1,310,538
ManpowerGroup, Inc.1		12,592		1,291,562
Universal Corp.1		18,074		1,278,736
Darling Ingredients, Inc.*,2		84,463		1,226,403
Dr Pepper Snapple Group, Inc.1		12,464		1,220,475
Flowers Foods, Inc.2		57,808		1,122,053
Total System Services, Inc.		20,483		1,095,021
United Therapeutics Corp.*,2		7,571		1,024,962
MEDNAX, Inc.*,1		13,245		918,938
Post Holdings, Inc.*		10,272		899,005
Robert Half International, Inc.		18,011		879,477
Varian Medical Systems, Inc.*		9,131		832,108
United Rentals, Inc.*,1		6,560		820,328
Magellan Health, Inc.*		11,831		816,931
Hill-Rom Holdings, Inc.		11,544		815,007
Chemed Corp.2		4,374		799,086
HealthSouth Corp.		18,299		783,380
Cambrex Corp.*,2		13,314		732,936
Centene Corp.*		9,975		710,818
Boston Beer Company, Inc. — Class A*		4,607		666,403
Campbell Soup Co.		11,428		654,139
H&R Block, Inc.2		27,818		646,769
Total Consumer, Non-cyclical				63,911,123
Industrial - 13.7%
Emerson Electric Co.		48,942		2,929,668
Boeing Co.		14,775		2,613,106
TE Connectivity Ltd.		30,381		2,264,904
Timken Co.2		40,018		1,808,814
Huntington Ingalls Industries, Inc.2		8,465		1,695,032
Keysight Technologies, Inc.*,2		39,823		1,439,203
Arrow Electronics, Inc.*,2		19,500		1,431,495
Jacobs Engineering Group, Inc.		25,549		1,412,349
Fluor Corp.2		23,454		1,234,149
Saia, Inc.*,2		27,104		1,200,707
ITT, Inc.2		28,698		1,177,192
Harris Corp.1		10,432		1,160,769
Sanmina Corp.*		26,377		1,070,906
Barnes Group, Inc.2		20,166		1,035,323
Crane Co.2		13,668		1,022,777
Methode Electronics, Inc.2		21,609		985,370
Vishay Intertechnology, Inc.2		59,431		977,640
ArcBest Corp.2		35,399		920,374
Applied Industrial Technologies, Inc.2		14,764		913,153
Trinity Industries, Inc.		28,615		759,728
FLIR Systems, Inc.		19,920		722,698
Federal Signal Corp.2		50,430		696,438
Owens-Illinois, Inc.*		34,113		695,223
Werner Enterprises, Inc.		24,506		642,057
Total Industrial				30,809,075
Consumer, Cyclical - 13.4%
CVS Health Corp.1		55,099		4,325,272
Wal-Mart Stores, Inc.1		32,158		2,317,949
UniFirst Corp.		16,140		2,283,003
Walgreens Boots Alliance, Inc.		27,162		2,255,804
Brinker International, Inc.2		43,428		1,909,095
Alaska Air Group, Inc.1		19,647		1,811,846
Big Lots, Inc.1		33,483		1,629,952
Southwest Airlines Co.1		27,226		1,463,670
JetBlue Airways Corp.*,1		65,927		1,358,755
Herman Miller, Inc.		38,912		1,227,674
Hawaiian Holdings, Inc.*		25,833		1,199,943
Tailored Brands, Inc.		78,550		1,173,537
Dick’s Sporting Goods, Inc.		23,834		1,159,762
Darden Restaurants, Inc.		11,905		996,091
Ralph Lauren Corp. — Class A		11,959		976,094
DineEquity, Inc.		16,497		897,767
Children’s Place, Inc.		7,246		869,882
Cooper-Standard Holdings, Inc.*		7,445		825,874
American Airlines Group, Inc.1		18,562		785,173
Allegiant Travel Co. — Class A		4,843		776,091
Total Consumer, Cyclical				30,243,234
Utilities - 13.0%
FirstEnergy Corp.1		108,351		3,447,729
UGI Corp.2		69,189		3,417,937
Exelon Corp.1		85,060		3,060,459
Ameren Corp.1		53,449		2,917,781
Edison International1		28,340		2,256,147
Hawaiian Electric Industries, Inc.		65,944		2,196,595
WEC Energy Group, Inc.		31,303		1,897,901
Xcel Energy, Inc.1		38,248		1,700,124
Eversource Energy		27,011		1,587,706
Southwest Gas Holdings, Inc.1		17,808		1,476,461
American Electric Power Company, Inc.1		20,622		1,384,355
AES Corp.		99,175		1,108,776
National Fuel Gas Co.		17,860		1,064,813
Pinnacle West Capital Corp.2		11,644		970,877

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
ALPHA OPPORTUNITY FUND

	Shares		Value
PG&E Corp.		10,168	$	674,748
Total Utilities				29,162,409
Technology - 11.7%
International Business Machines Corp.1		19,506		3,396,775
CA, Inc.1		103,707		3,289,586
Oracle Corp.1		64,986		2,899,025
Apple, Inc.1		15,438		2,217,823
Convergys Corp.2		101,856		2,154,254
HP, Inc.1		109,904		1,965,084
Xerox Corp.		204,032		1,497,595
NCR Corp.*		29,679		1,355,737
Cerner Corp.*		22,537		1,326,303
NetApp, Inc.1		28,382		1,187,787
KLA-Tencor Corp.1		10,671		1,014,492
CACI International, Inc. — Class A*,2		7,831		918,576
Seagate Technology plc		19,215		882,545
Skyworks Solutions, Inc.1		8,006		784,428
Sykes Enterprises, Inc.*,2		23,540		692,076
Icad, Inc.*,2		90,329		434,482
VeriFone Systems, Inc.*		14,640		274,207
Total Technology				26,290,775
Financial - 10.6%
Aflac, Inc.1		35,671		2,583,294
Old Republic International Corp.1		91,764		1,879,327
Federated Investors, Inc. — Class B		70,978		1,869,561
Equity Residential1		25,413		1,581,197
Interactive Brokers Group, Inc. — Class A1		42,494		1,475,392
LaSalle Hotel Properties		46,909		1,358,015
Franklin Resources, Inc.1		31,352		1,321,173
Prudential Financial, Inc.1		12,384		1,321,125
Aspen Insurance Holdings Ltd.2		22,412		1,166,545
Hanover Insurance Group, Inc.		11,898		1,071,534
American Financial Group, Inc.		10,233		976,433
Selective Insurance Group, Inc.2		20,535		968,225
Host Hotels & Resorts, Inc.1		48,024		896,128
Bank of New York Mellon Corp.		18,442		871,016
State Street Corp.1		9,851		784,238
Citigroup, Inc.1		12,145		726,514
Cullen/Frost Bankers, Inc.		7,828		696,457
Unum Group1		14,595		684,360
Ameriprise Financial, Inc.2		5,203		674,725
Umpqua Holdings Corp.		36,484		647,226
CNO Financial Group, Inc.2		15,349		314,654
Total Financial				23,867,139
Communications - 5.5%
Verizon Communications, Inc.1		63,781		3,109,324
VeriSign, Inc.*		24,438		2,128,794
Discovery Communications, Inc. — Class A*,1		69,796		2,030,366
Cogent Communications Holdings, Inc.		46,564		2,004,580
Juniper Networks, Inc.1		59,675		1,660,755
News Corp. — Class A		54,894		713,622
eBay, Inc.*,1		20,591		691,240
Total Communications				12,338,681
Basic Materials - 0.6%
Domtar Corp.		23,914		873,339
AK Steel Holding Corp.*		82,256		591,421
Total Basic Materials				1,464,760
Total Common Stocks
(Cost $209,218,876)				218,087,196
SHORT-TERM INVESTMENTS† - 3.9%
Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class 0.56%3		8,691,931		8,691,931
Total Short-Term Investments
(Cost $8,691,931)				8,691,931
Total Investments - 100.8%
(Cost $217,910,807)			$	226,779,127
COMMON STOCKS SOLD SHORT† - (12.0)%
Consumer, Non-cyclical - (0.3)%
Cantel Medical Corp.		8,408		(673,481	)
Industrial - (0.4)%
EnPro Industries, Inc.		11,792		(839,119	)
Consumer, Cyclical - (1.1)%
Crocs, Inc.*		102,641		(725,672	)
Papa John’s International, Inc.		10,610		(849,225	)
Pool Corp.		7,919		(944,974	)
Total Consumer, Cyclical				(2,519,871	)
Communications - (1.6)%
Amazon.com, Inc.*		3,964		(3,514,244	)
Basic Materials - (2.2)%
NewMarket Corp.		1,809		(819,893	)
Royal Gold, Inc.		29,772		(2,085,528	)
Sensient Technologies Corp.		26,537		(2,103,323	)
Total Basic Materials				(5,008,744	)
Technology - (2.3)%
CommVault Systems, Inc.*		15,502		(787,502	)
Cypress Semiconductor Corp.		75,386		(1,037,311	)
Medidata Solutions, Inc.*		18,178		(1,048,689	)
Silicon Laboratories, Inc.*		15,763		(1,159,369	)
Ultimate Software Group, Inc.*		6,087		(1,188,243	)
Total Technology				(5,221,114	)
Financial - (4.1)%
Life Storage, Inc.		7,988		(655,975	)
American Assets Trust, Inc.		16,152		(675,800	)
Community Bank System, Inc.		14,751		(811,010	)
Glacier Bancorp, Inc.		25,483		(864,638	)
EastGroup Properties, Inc.		12,156		(893,831	)
Morgan Stanley		26,577		(1,138,559	)
Webster Financial Corp.		25,610		(1,281,524	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
ALPHA OPPORTUNITY FUND

	Shares		Value
Federal Realty Investment Trust		10,991	$	(1,467,299	)
Associated Banc-Corp.		61,891		(1,510,140	)
Total Financial				(9,298,776	)
Total Common Stocks Sold Short
(Proceeds $25,471,957)			$	(27,075,349	)
Total Securities Sold Short- (12.0)%
(Proceeds $25,471,957)			$	(27,075,349	)
Other Assets & Liabilities, net - 11.2%				25,252,295
Total Net Assets - 100.0%			$	224,956,073

			Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS ††
Morgan Stanley February 2019 Alpha Opportunity Portfolio Short Custom Basket Swap 0.56%5 Terminating 02/01/19 (Notional Value $196,034,618)			$	(2,865,366	)
Morgan Stanley February 2019 Alpha Opportunity Portfolio Long Custom Basket Swap 1.28%4 Terminating 02/01/19 (Notional Value $96,189,485)			$	(152,365	)
	Shares
CUSTOM BASKET OF LONG SECURITIES4
Cisco Systems, Inc.		89,466		164,602
Best Buy Co., Inc.		30,894		136,065
CenterPoint Energy, Inc.		121,361		130,654
PPL Corp.		79,692		127,561
Lam Research Corp.		10,889		110,852
Archer-Daniels-Midland Co.		56,217		109,252
Cardinal Health, Inc.		29,788		106,146
Consolidated Edison, Inc.		27,048		90,788
Teradyne, Inc.		41,313		84,275
Western Union Co.		166,865		83,682
Entergy Corp.		20,321		78,180
Everest Re Group Ltd.		12,454		67,976
DST Systems, Inc.		10,017		61,549
McKesson Corp.		11,355		54,420
Principal Financial Group, Inc.		17,200		51,744
Allstate Corp.		20,484		50,635
Hologic, Inc.*		18,040		43,293
Scripps Networks Interactive, Inc. — Class A		28,740		42,174
Conagra Brands, Inc.		49,432		32,536
Teradata Corp.*		46,866		24,623
Eastman Chemical Co.		8,679		24,264
Travelers Cos., Inc.		21,550		21,040

Public Service Enterprise Group, Inc.	33,166		18,612
Hospitality Properties Trust	22,070		13,597
Omnicom Group, Inc.	7,989		12,262
Cummins, Inc.	10,793		10,741
Tier REIT, Inc.	40,364		6,122
Wabash National Corp.	56,784		6,057
Hilton Worldwide Holdings, Inc.	11,806		5,968
Masco Corp.	66,743		4,100
UnitedHealth Group, Inc.	10,553		2,182
Chesapeake Lodging Trust	28,828		(1,124	)
Hartford Financial Services Group, Inc.	6,492		(2,402	)
Pitney Bowes, Inc.	56,165		(2,895	)
Casey’s General Stores, Inc.	10,504		(2,947	)
Merck & Company, Inc.	30,407		(3,078	)
Textron, Inc.	16,115		(4,993	)
Corning, Inc.	80,002		(6,540	)
Biogen, Inc.*	2,801		(12,514	)
Amgen, Inc.	9,955		(21,197	)
United Continental Holdings, Inc.*	20,809		(21,355	)
Carlisle Companies, Inc.	14,521		(23,326	)
Cedar Realty Trust, Inc.	131,306		(33,162	)
Bed Bath & Beyond, Inc.	51,046		(34,624	)
AECOM*	24,756		(41,608	)
Owens & Minor, Inc.	54,672		(43,904	)
Ford Motor Co.	54,888		(45,213	)
SYNNEX Corp.	8,751		(59,038	)
Michael Kors Holdings Ltd.*	43,660		(63,786	)
WellCare Health Plans, Inc.*	12,796		(65,407	)
Mallinckrodt plc*	14,250		(68,723	)
Gilead Sciences, Inc.	34,278		(96,041	)
Delta Air Lines, Inc.	52,778		(109,022	)
EMCOR Group, Inc.	19,165		(109,434	)
Kroger Co.	65,881		(147,493	)
InterDigital, Inc.	21,075		(172,612	)
Molina Healthcare, Inc.*	27,458		(175,602	)
Target Corp.	41,771		(318,268	)
Telephone & Data Systems, Inc.	130,248		(341,068	)
Total Custom Basket of Long Securities			(251,424	)
CUSTOM BASKET OF SHORT SECURITIES5
Compass Minerals International, Inc.	(25,911	)	276,462
Lithia Motors, Inc. — Class A	(14,054	)	194,493
New York Community Bancorp, Inc.	(167,337	)	167,470
Allegheny Technologies, Inc.	(58,959	)	167,409
Freeport-McMoRan, Inc.*	(60,322	)	141,914
CarMax, Inc.*	(21,636	)	133,797
People’s United Financial, Inc.	(164,369	)	114,880
FactSet Research Systems, Inc.	(7,517	)	89,655
First Horizon National Corp.	(65,208	)	86,445
U.S. Bancorp	(29,136	)	84,330
Martin Marietta Materials, Inc.	(11,187	)	84,312
Goldman Sachs Group, Inc.	(6,524	)	82,851
Vulcan Materials Co.	(22,890	)	80,175
Eagle Materials, Inc.	(10,773	)	77,963
Balchem Corp.	(19,729	)	66,650
Signature Bank*	(6,914	)	64,609

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
ALPHA OPPORTUNITY FUND

	Shares			Unrealized Gain (Loss)
Concho Resources, Inc.*		(8,136	)	$	64,042
Trustmark Corp.		(30,526	)		51,450
Packaging Corporation of America		(18,922	)		50,815
Taubman Centers, Inc.		(17,580	)		49,070
Bottomline Technologies de, Inc.*		(27,953	)		48,948
Bank of the Ozarks, Inc.		(16,736	)		48,663
MB Financial, Inc.		(25,215	)		48,020
United States Steel Corp.		(33,989	)		47,663
Lexington Realty Trust		(67,748	)		46,841
Citizens Financial Group, Inc.		(19,166	)		45,735
Coty, Inc. — Class A		(47,239	)		42,823
KeyCorp		(49,129	)		37,824
Fulton Financial Corp.		(54,103	)		37,293
Valley National Bancorp		(91,536	)		35,555
CME Group, Inc. — Class A		(11,472	)		33,743
Acadia Realty Trust		(22,257	)		32,793
Old National Bancorp		(45,385	)		31,211
Iron Mountain, Inc.		(34,597	)		30,309
PTC, Inc.*		(28,235	)		25,497
ABM Industries, Inc.		(35,220	)		23,357
Alexandria Real Estate Equities, Inc.		(9,123	)		22,617
American Campus Communities, Inc.		(30,900	)		19,962
WD-40 Co.		(8,242	)		19,843
MarketAxess Holdings, Inc.		(6,962	)		17,239
Newell Brands, Inc.		(33,102	)		16,543
EI du Pont de Nemours & Co.		(32,132	)		13,824
Commerce Bancshares, Inc.		(19,159	)		13,553
Provident Financial Services, Inc.		(25,090	)		13,142
Lennox International, Inc.		(4,015	)		12,858
Acuity Brands, Inc.		(3,329	)		11,011
Cheniere Energy, Inc.*		(15,207	)		8,599
Uniti Group, Inc.		(26,589	)		7,944
Quaker Chemical Corp.		(7,753	)		7,446
NVIDIA Corp.		(10,920	)		6,542
BancorpSouth, Inc.		(28,576	)		6,278
Washington Federal, Inc.		(31,291	)		5,911
Realty Income Corp.		(14,262	)		4,149
General Electric Co.		(83,538	)		3,978
Ligand Pharmaceuticals, Inc. — Class B*		(6,322	)		3,661
Choice Hotels International, Inc.		(10,778	)		3,618
Chevron Corp.		(6,297	)		3,595
Semtech Corp.*		(25,805	)		2,107
Mattel, Inc.		(29,759	)		1,314
Hershey Co.		(8,298	)		(362	)
Bemis Company, Inc.		(17,510	)		(689	)
Carrizo Oil & Gas, Inc.*		(23,935	)		(2,010	)
Mercury General Corp.		(15,774	)		(2,382	)
Rockwell Automation, Inc.		(4,366	)		(2,410	)
Black Hills Corp.		(21,975	)		(3,246	)
Alexander & Baldwin, Inc.		(15,246	)		(3,506	)
Loews Corp.		(30,894	)		(4,365	)
Digital Realty Trust, Inc.		(7,686	)		(4,768	)
Public Storage		(4,832	)		(5,086	)
National Retail Properties, Inc.		(15,917	)		(5,169	)
Avery Dennison Corp.		(8,421	)		(9,645	)
Extra Space Storage, Inc.		(11,782	)		(10,428	)

			Unrealized Loss
Gulfport Energy Corp.*	(41,311	)	(15,370	)
Douglas Emmett, Inc.	(57,962	)	(15,428	)
Intercontinental Exchange, Inc.	(16,657	)	(15,530	)
Ball Corp.	(45,415	)	(16,273	)
Tyler Technologies, Inc.*	(4,655	)	(16,978	)
AO Smith Corp.	(13,651	)	(18,393	)
NIKE, Inc. — Class B	(31,914	)	(19,027	)
Royal Caribbean Cruises Ltd.	(7,707	)	(19,959	)
UDR, Inc.	(24,951	)	(20,064	)
Education Realty Trust, Inc.	(26,011	)	(21,204	)
MSCI, Inc. — Class A	(6,916	)	(22,454	)
Netflix, Inc.*	(4,685	)	(26,400	)
Equifax, Inc.	(12,941	)	(26,761	)
Bio-Rad Laboratories, Inc. — Class A*	(3,391	)	(27,211	)
Roper Technologies, Inc.	(7,344	)	(27,294	)
O’Reilly Automotive, Inc.*	(4,500	)	(27,801	)
Parsley Energy, Inc. — Class A*	(21,606	)	(29,780	)
Essex Property Trust, Inc.	(5,155	)	(30,881	)
Fastenal Co.	(30,654	)	(30,918	)
AptarGroup, Inc.	(12,807	)	(31,107	)
salesforce.com, Inc.*	(24,633	)	(31,634	)
Deltic Timber Corp.	(16,969	)	(32,165	)
Monolithic Power Systems, Inc.	(8,874	)	(32,728	)
Domino’s Pizza, Inc.	(8,633	)	(33,021	)
Trimble, Inc.*	(22,226	)	(34,250	)
Global Payments, Inc.	(12,596	)	(34,387	)
Autodesk, Inc.*	(14,577	)	(34,591	)
S&P Global, Inc.	(6,613	)	(34,676	)
Scotts Miracle-Gro Co. — Class A	(23,292	)	(35,281	)
PPG Industries, Inc.	(10,114	)	(36,750	)
Weingarten Realty Investors	(67,798	)	(38,481	)
Senior Housing Properties Trust	(79,829	)	(39,411	)
KBR, Inc.	(48,779	)	(40,171	)
Duke Realty Corp.	(34,355	)	(40,584	)
Newfield Exploration Co.*	(19,877	)	(43,153	)
Four Corners Property Trust, Inc.	(32,358	)	(44,390	)
First Industrial Realty Trust, Inc.	(62,097	)	(44,573	)
Fortinet, Inc.*	(24,750	)	(45,113	)
Red Hat, Inc.*	(8,237	)	(47,379	)
NiSource, Inc.	(35,479	)	(48,290	)
Aqua America, Inc.	(23,802	)	(48,846	)
Ulta Beauty, Inc.*	(4,044	)	(50,823	)
Xylem, Inc.	(34,930	)	(53,696	)
Take-Two Interactive Software, Inc.*	(22,075	)	(54,350	)
CoreSite Realty Corp.	(15,037	)	(54,924	)
Starbucks Corp.	(16,850	)	(55,334	)
DCT Industrial Trust, Inc.	(22,285	)	(56,211	)
RPM International, Inc.	(25,172	)	(57,131	)
Healthcare Realty Trust, Inc.	(26,647	)	(58,439	)
Allegion plc	(9,880	)	(59,719	)
Orbital ATK, Inc.	(7,796	)	(62,055	)
Facebook, Inc. — Class A*	(13,978	)	(63,512	)
Healthcare Services Group, Inc.	(39,308	)	(63,924	)
Atmos Energy Corp.	(27,050	)	(68,326	)
MDC Holdings, Inc.	(41,985	)	(68,492	)
Expedia, Inc.	(16,248	)	(68,731	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
ALPHA OPPORTUNITY FUND

	Shares			Unrealized Loss
Copart, Inc.*		(18,709	)	$	(73,670	)
Ecolab, Inc.		(22,958	)		(74,334	)
Weyerhaeuser Co.		(58,416	)		(74,764	)
Symantec Corp.		(41,841	)		(77,417	)
South Jersey Industries, Inc.		(30,807	)		(78,934	)
New Jersey Resources Corp.		(42,435	)		(81,385	)
Toll Brothers, Inc.		(22,250	)		(84,712	)
Alliant Energy Corp.		(45,949	)		(88,569	)
Five Below, Inc.*		(24,798	)		(93,426	)
Marriott Vacations Worldwide Corp.		(8,455	)		(95,500	)
Financial Engines, Inc.		(22,873	)		(97,519	)
Align Technology, Inc.*		(6,647	)		(97,764	)
Dominion Resources, Inc.		(30,636	)		(106,376	)
Sempra Energy		(19,245	)		(111,236	)
Priceline Group, Inc.*		(902	)		(128,259	)
Wynn Resorts Ltd.		(8,571	)		(132,321	)
Bob Evans Farms, Inc.		(18,536	)		(146,237	)
Adobe Systems, Inc.*		(12,110	)		(152,226	)
Vertex Pharmaceuticals, Inc.*		(7,672	)		(166,723	)
Equinix, Inc.		(8,451	)		(174,785	)
American Tower Corp. — Class A		(15,062	)		(180,126	)
Crown Castle International Corp.		(35,600	)		(200,426	)
International Flavors & Fragrances, Inc.		(26,207	)		(215,013	)
Panera Bread Co. — Class A*		(7,219	)		(283,153	)
FMC Corp.		(34,274	)		(335,086	)
Total Custom Basket of Short Securities					(2,607,600	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as equity swap collateral at March 31, 2017.
2	All or a portion of this security is pledged as short security collateral at March 31, 2017.
3	Rate indicated is the 7 day yield as of March 31, 2017.
4	Total Return is based on the return of the custom basket of long securities +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2017.
5	Total Return is based on the return of the custom basket of short securities +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2017.
	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, 2017 (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	$	218,087,196	$	—	$	—	$	—	$	218,087,196
Short Term Investments		8,691,931		—		—		—		8,691,931
Total	$	226,779,127	$	—	$	—	$	—	$	226,779,127
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	27,075,349	$	—	$	—	$	—	$	27,075,349
Equity Index Swap Agreements		—		—		3,017,731		—		3,017,731
Total	$	27,075,349	$	—	$	3,017,731	$	—	$	30,093,080

* 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 an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $217,910,807)	$	226,779,127
Segregated cash with broker		27,762,723
Prepaid expenses		59,466
Receivables:
Swap settlement		1,566,826
Fund shares sold		159,411
Dividends		268,048
Investment adviser		3,316
Other assets		8,341
Total assets		256,607,258
Liabilities:
Securities sold short, at value (proceeds $25,471,957)		27,075,349
Unrealized depreciation on swap agreements		3,017,731
Overdraft due to custodian bank		1,232,270
Payable for:
Management fees		225,385
Fund accounting/administration fees		13,925
Transfer agent/maintenance fees		10,137
Distribution and service fees		9,401
Fund shares redeemed		7,884
Trustees’ fees*		1,812
Miscellaneous		57,291
Total liabilities		31,651,185
Net assets	$	224,956,073
Net assets consist of:
Paid in capital	$	218,287,797
Accumulated net investment loss		(535,204	)
Accumulated net realized gain on investments		2,956,283
Net unrealized appreciation on investments		4,247,197
Net assets	$	224,956,073
A-Class:
Net assets	$	21,903,180
Capital shares outstanding		1,038,985
Net asset value per share	$	21.08
Maximum offering price per share (Net asset value divided by 95.25%)	$	22.13
C-Class:
Net assets	$	2,348,561
Capital shares outstanding		125,800
Net asset value per share	$	18.67
P-Class:
Net assets	$	13,742,080
Capital shares outstanding		650,101
Net asset value per share	$	21.14
Institutional Class:
Net assets	$	186,962,252
Capital shares outstanding		6,287,646
Net asset value per share	$	29.73

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends	$	1,194,453
Interest		12,436
Total investment income		1,206,889
Expenses:
Management fees		786,623
Transfer agent/maintenance fees:
A-Class		11,479
C-Class		1,576
P-Class		6,777
Institutional Class		4,890
Distribution and service fees:
A-Class		24,981
C-Class		9,557
P-Class		12,115
Fund accounting/administration fees		48,128
Short sales dividend expense		127,343
Prime broker interest expense		9,927
Custodian fees		6,734
Trustees’ fees*		3,468
Miscellaneous		31,643
Total expenses		1,085,241
Less:
Expenses reimbursed by Adviser		(393	)
Net expenses		1,084,848
Net investment income		122,041
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,699,354
Swap agreements		31,690
Securities sold short		(597,788	)
Net realized gain		5,133,256
Net change in unrealized appreciation (depreciation) on:
Investments		5,604,484
Securities sold short		(14,645	)
Swap agreements		(1,107,430	)
Net change in unrealized appreciation (depreciation)		4,482,409
Net realized and unrealized gain		9,615,665
Net increase in net assets resulting from operations	$	9,737,706

* 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.

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	122,041		$	(455,465	)
Net realized gain on investments		5,133,256			1,231,333
Net change in unrealized appreciation (depreciation) on investments		4,482,409			1,541,556
Net increase in net assets resulting from operations		9,737,706			2,317,424
Distributions to shareholders from:
Net realized gains
A-Class		(6,584	)		—
C-Class		(650	)		—
P-Class		(1,760	)		—
Institutional Class		(14,412	)		—
Total distributions to shareholders		(23,406	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		8,980,564			13,416,725
C-Class		724,580			1,144,266
P-Class		12,779,938			6,055,462
Institutional Class		125,621,007			11,962,236
Distributions reinvested
A-Class		6,049			—
C-Class		630			—
P-Class		1,760			—
Institutional Class		14,397			—
Cost of shares redeemed
A-Class		(5,044,267	)		(9,133,848	)
C-Class		(98,055	)		(831,133	)
P-Class		(4,172,918	)		(1,749,969	)
Institutional Class		(2,166,797	)		(7,711,248	)
Net increase from capital share transactions		136,646,888			13,152,491
Net increase in net assets		146,361,188			15,469,915
Net assets:
Beginning of period		78,594,885			63,124,970
End of period	$	224,956,073		$	78,594,885
Accumulated net investment loss at end of period	$	(535,204	)	$	(657,245	)

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		442,495			702,394
C-Class		39,957			68,002
P-Class		616,751			317,616
Institutional Class		4,252,917			448,620
Shares issued from reinvestment of distributions
A-Class		302			—
C-Class		35			—
P-Class		88			—
Institutional Class		510			—
Shares redeemed
A-Class		(244,648	)		(486,062	)
C-Class		(5,585	)		(49,650	)
P-Class		(199,803	)		(91,817	)
Institutional Class		(74,412	)		(295,069	)
Net increase in shares		4,828,607			614,034

16 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	19.08		$	18.39		$	18.01		$	16.22		$	13.33		$	9.82
Income (loss) from investment operations:
Net investment income (loss)b		(.04	)		(.19	)		(.35	)		(.13	)		.03			(—	)c
Net gain (loss) on investments (realized and unrealized)		2.05			.88			.73			1.92			2.86			3.48
Payments by affiliates		—			—			—			—			—			.03
Total from investment operations		2.01			.69			.38			1.79			2.89			3.51
Less distributions from:
Net investment income		—			—			(—	)d		—			—			—
Net realized gains		(.01	)		—			—			—			—			—
Total distributions		(.01	)		—			(—	)d		—			—			—
Net asset value, end of period	$	21.08		$	19.08		$	18.39		$	18.01		$	16.22		$	13.33
Total Returnf		10.57	%		3.70	%		2.13	%		11.04	%		21.38	%		35.74	%e
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	21,903		$	16,041		$	11,485		$	7,989		$	7,749		$	7,250
Ratios to average net assets:
Net investment income (loss)		(0.37	%)		(1.02	%)		(1.88	%)		(0.73	%)		0.19	%		(0.01	%)
Total expensesj		2.35	%		2.69	%		3.92	%		3.25	%		3.99	%		2.99	%
Net expensesh,i		2.35	%		2.69	%		2.94	%		2.12	%		2.14	%		2.21	%
Portfolio turnover rate		90	%		235	%		124	%		—			488	%		707	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	16.96		$	16.47		$	16.25		$	14.74		$	12.21		$	9.07
Income (loss) from investment operations:
Net investment income (loss)b		(.10	)		(.29	)		(.44	)		(.23	)		(.07	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		1.82			.78			.66			1.74			2.60			3.21
Payments by affiliates		—			—			(—	)d		—			—			.02
Total from investment operations		1.72			.49			.22			1.51			2.53			3.14
Less distributions from:
Net investment income		—			—			(—	)d		—			—			—
Net realized gains		(.01	)		—			—			—			—			—
Total distributions		(.01	)		—			(—	)d		—			—			—
Net asset value, end of period	$	18.67		$	16.96		$	16.47		$	16.25		$	14.74		$	12.21
Total Returnf		10.18	%		2.91	%		1.38	%		10.24	%		20.48	%		34.62	%e
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,349		$	1,550		$	1,203		$	1,117		$	1,206		$	1,497
Ratios to average net assets:
Net investment income (loss)		(1.11	%)		(1.72	%)		(2.64	%)		(1.46	%)		(0.56	%)		(0.76	%)
Total expensesj		3.09	%		3.91	%		4.81	%		4.11	%		4.84	%		3.80	%
Net expensesh,i		3.09	%		3.46	%		3.68	%		2.87	%		2.89	%		2.96	%
Portfolio turnover rate		90	%		235	%		124	%		—			488	%		707	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	19.11		$	18.39		$	19.11
Income (loss) from investment operations:
Net investment income (loss)b		(—	)c		(.12	)		(.13	)
Net gain (loss) on investments (realized and unrealized)		2.04			.84			(.59	)
Total from investment operations		2.04			.72			(.72	)
Less distributions from:
Net realized gains		(.01	)		—			—
Total distributions		(.01	)		—			—
Net asset value, end of period	$	21.14		$	19.11		$	18.39
Total Returnf		10.71	%		3.86	%		(3.77	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,742		$	4,453		$	134
Ratios to average net assets:
Net investment income (loss)		(0.04	%)		(0.65	%)		(1.77	%)
Total expensesj		2.00	%		2.44	%		3.31	%
Net expensesh,i		2.00	%		2.44	%		2.87	%
Portfolio turnover rate		90	%		235	%		124	%

18 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	26.82		$	25.73		$	25.13		$	22.58		$	18.52		$	13.53
Income (loss) from investment operations:
Net investment income (loss)b		.06			(.13	)		(.40	)		(.12	)		.09			.04
Net gain (loss) on investments (realized and unrealized)		2.86			1.22			1.00			2.67			3.97			4.82
Payments by affiliates		—			—			—			—			—			.13
Total from investment operations		2.92			1.09			.60			2.55			4.06			4.99
Less distributions from:
Net investment income		—			—			(—	)d		—			—			—
Net realized gains		(.01	)		—			—			—			—			—
Total distributions		(.01	)		—			(—	)d		—			—			—
Net asset value, end of period	$	29.73		$	26.82		$	25.73		$	25.13		$	22.58		$	18.52
Total Returnf		10.91	%		4.20	%		2.41	%		11.29	%		21.60	%		36.88	%e
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	186,962		$	56,550		$	50,304		$	1,645		$	1,740		$	1,518
Ratios to average net assets:
Net investment income (loss)		0.39	%		(0.49	%)		(1.55	%)		(0.48	%)		0.43	%		0.24	%
Total expensesj		1.63	%		2.23	%		2.80	%		2.90	%		3.67	%		2.68	%
Net expensesh,i		1.63	%		2.23	%		2.80	%		1.87	%		1.90	%		1.96	%
Portfolio turnover rate		90	%		235	%		124	%		—			488	%		707	%

a	Unaudited figures for the period ended March 31, 2017. 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 and has not been annualized.
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 expense information reflects the expense ratios after expense waivers.
i	Net expenses may include expenses that are excluded from the expense limitation agreement and recouped amounts. Excluding these expenses, the net expense ratios for the periods would be:

	03/31/17	09/30/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	2.11%	2.11%	2.11%	2.11%	2.11%	2.11%
C-Class	2.85%	2.86%	2.86%	2.86%	2.86%	2.86%
P-Class	1.78%	1.87%	2.10%	—	—	—
Institutional Class	1.41%	1.63%	1.86%	1.86%	1.86%	1.86%

^j 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

FUND PROFILE (Unaudited) March 31, 2017

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.	3.5%
Berkshire Hathaway, Inc. — Class B	2.7%
Johnson & Johnson	2.7%
Cisco Systems, Inc.	2.4%
Bank of America Corp.	2.3%
Chevron Corp.	2.3%
Citigroup, Inc.	2.3%
Exxon Mobil Corp.	2.3%
Wells Fargo & Co.	1.9%
Pfizer, Inc.	1.7%
Top Ten Total	24.1%

“Ten Largest Holdings” excludes any temporary cash investments.

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 98.1%
Financial - 27.0%
JPMorgan Chase & Co.		27,199	$	2,389,160
Berkshire Hathaway, Inc. — Class B*		11,038		1,839,814
Bank of America Corp.		67,490		1,592,089
Citigroup, Inc.		25,977		1,553,944
Wells Fargo & Co.		23,115		1,286,580
Unum Group		15,767		739,315
BB&T Corp.		16,038		716,898
SunTrust Banks, Inc.		11,705		647,287
Charles Schwab Corp.		15,623		637,575
Zions Bancorporation		15,175		637,350
Assured Guaranty Ltd.		16,397		608,493
Piedmont Office Realty Trust, Inc. — Class A		26,043		556,799
T. Rowe Price Group, Inc.		7,844		534,569
American International Group, Inc.		8,283		517,107
Equity Residential		7,579		471,565
E*TRADE Financial Corp.*		13,072		456,082
KeyCorp		25,002		444,536
Host Hotels & Resorts, Inc.		21,622		403,467
Morgan Stanley		8,519		364,954
Allstate Corp.		4,396		358,230
Sun Communities, Inc.		4,155		333,771
Regions Financial Corp.		19,250		279,703
Prudential Financial, Inc.		2,583		275,554
Ally Financial, Inc.		12,556		255,263
Hanover Insurance Group, Inc.		2,338		210,560
Federated Investors, Inc. — Class B		7,699		202,792
Hartford Financial Services Group, Inc.		1,938		93,160
Total Financial				18,406,617
Consumer, Non-cyclical - 17.7%
Johnson & Johnson		14,664		1,826,400
Pfizer, Inc.		33,904		1,159,856
Merck & Company, Inc.		15,708		998,086
Procter & Gamble Co.		9,976		896,344
Zimmer Biomet Holdings, Inc.		5,817		710,314
Bunge Ltd.		8,567		679,020
Quest Diagnostics, Inc.		6,325		621,052
HCA Holdings, Inc.*		6,588		586,266
United Rentals, Inc.*		4,034		504,452
Tyson Foods, Inc. — Class A		7,904		487,756
Hormel Foods Corp.		13,071		452,649
Mondelez International, Inc. — Class A		9,916		427,181
Philip Morris International, Inc.		3,338		376,860
Akorn, Inc.*		15,271		367,726
DaVita, Inc.*		5,093		346,171
Hershey Co.		3,131		342,062
UnitedHealth Group, Inc.		2,051		336,385
Medtronic plc		3,728		300,328
Dr Pepper Snapple Group, Inc.		2,983		292,095
Ingredion, Inc.		1,421		171,131
AmerisourceBergen Corp. — Class A		1,931		170,894
Total Consumer, Non-cyclical				12,053,028
Industrial - 12.8%
General Electric Co.		26,811		798,967
Orbital ATK, Inc.		7,812		765,575
Republic Services, Inc. — Class A		11,626		730,229
WestRock Co.		12,721		661,874
Owens Corning		9,943		610,202
Jabil Circuit, Inc.		20,425		590,690
Timken Co.		12,804		578,741
Corning, Inc.		20,220		545,940
United Technologies Corp.		4,360		489,236
FLIR Systems, Inc.		13,063		473,926
Carlisle Companies, Inc.		4,273		454,690
Harris Corp.		3,800		422,826
Eaton Corp. plc		4,622		342,721
CH Robinson Worldwide, Inc.		4,261		329,333
Honeywell International, Inc.		2,534		316,421
Snap-on, Inc.		1,873		315,919
Crown Holdings, Inc.*		5,929		313,941
Total Industrial				8,741,231
Energy - 10.6%
Chevron Corp.		14,694		1,577,695
Exxon Mobil Corp.		18,875		1,547,939
Kinder Morgan, Inc.		36,145		785,792
Marathon Oil Corp.		39,981		631,700
Hess Corp.		10,503		506,350
Rowan Companies plc — Class A*		32,342		503,888
Whiting Petroleum Corp.*		51,184		484,201
Valero Energy Corp.		6,256		414,710
Apache Corp.		5,271		270,877
Laredo Petroleum, Inc.*		11,069		161,607
Schlumberger Ltd.		1,770		138,237
Chesapeake Energy Corp.*		22,394		133,020
QEP Resources, Inc.*		8,380		106,510
Total Energy				7,262,526
Consumer, Cyclical - 9.1%
Wal-Mart Stores, Inc.		13,463		970,412
Lear Corp.		5,220		739,048
Southwest Airlines Co.		11,939		641,840
Goodyear Tire & Rubber Co.		16,221		583,956
CVS Health Corp.		6,851		537,804
DR Horton, Inc.		15,314		510,109
JetBlue Airways Corp.*		21,229		437,530
Target Corp.		7,523		415,194
Carnival Corp.		6,345		373,784
PACCAR, Inc.		5,153		346,282
PVH Corp.		3,280		339,382
MGM Resorts International		10,869		297,811
Total Consumer, Cyclical				6,193,152
Utilities - 6.6%
Ameren Corp.		12,863		702,192
FirstEnergy Corp.		21,412		681,331
Exelon Corp.		18,280		657,714
Public Service Enterprise Group, Inc.		14,367		637,176
Edison International		6,979		555,598

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
LARGE CAP VALUE FUND

	Shares		Value
UGI Corp.		11,068	$	546,759
OGE Energy Corp.		15,287		534,739
Duke Energy Corp.		2,116		173,533
Total Utilities				4,489,042
Technology - 5.8%
Intel Corp.		30,932		1,115,717
QUALCOMM, Inc.		11,755		674,032
Teradata Corp.*		17,402		541,550
Micron Technology, Inc.*		14,814		428,125
Apple, Inc.		2,826		405,983
Lam Research Corp.		2,961		380,074
VMware, Inc. — Class A*		2,657		244,816
NCR Corp.*		4,081		186,420
Total Technology				3,976,717
Communications - 5.6%
Cisco Systems, Inc.		47,683		1,611,685
AT&T, Inc.		13,603		565,205
EchoStar Corp. — Class A*		6,441		366,815
Walt Disney Co.		3,188		361,488
Time Warner, Inc.		3,495		341,496
Scripps Networks Interactive, Inc. — Class A		4,338		339,969
Verizon Communications, Inc.		5,184		252,720
Total Communications				3,839,378
Basic Materials - 2.9%
Dow Chemical Co.		17,852		1,134,316
Reliance Steel & Aluminum Co.		6,421		513,809
Nucor Corp.		3,081		183,997
Freeport-McMoRan, Inc.*		13,123		175,323
Total Basic Materials				2,007,445
Total Common Stocks
(Cost $56,960,516)				66,969,136
EXCHANGE-TRADED FUNDS† - 0.9%
iShares Russell 1000 Value ETF		5,340		613,780
Total Exchange-Traded Funds
(Cost $622,359)				613,780
SHORT-TERM INVESTMENTS† - 1.0%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%1		674,101		674,101
Total Short-Term Investments
(Cost $674,101)				674,101
Total Investments - 100.0%
(Cost $58,256,976)			$	68,257,017
Other Assets & Liabilities, net - 0.0%				(10,647	)
Total Net Assets - 100.0%			$	68,246,370

*	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, 2017.
	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, 2017 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	66,969,136	$	—	$	—	$	66,969,136
Exchange-Traded Funds		613,780		—		—		613,780
Short Term Investments		674,101		—		—		674,101
Total	$	68,257,017	$	—	$	—	$	68,257,017

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $58,256,976)	$	68,257,017
Prepaid expenses		57,234
Receivables:
Fund shares sold		33,607
Dividends		64,730
Total assets		68,412,588
Liabilities:
Payable for:
Fund shares redeemed		66,309
Management fees		38,289
Transfer agent/maintenance fees		23,834
Distribution and service fees		16,785
Legal fees		13,000
Fund accounting/administration fees		4,689
Trustees’ fees*		3,312
Total liabilities		166,218
Net assets	$	68,246,370
Net assets consist of:
Paid in capital	$	55,116,734
Undistributed net investment income		241,605
Accumulated net realized gain on investments		2,887,990
Net unrealized appreciation on investments		10,000,041
Net assets	$	68,246,370
A-Class:
Net assets	$	62,217,348
Capital shares outstanding		1,382,860
Net asset value per share	$	44.99
Maximum offering price per share (Net asset value divided by 95.25%)	$	47.23
C-Class:
Net assets	$	3,928,230
Capital shares outstanding		94,358
Net asset value per share	$	41.63
P-Class:
Net assets	$	158,446
Capital shares outstanding		3,526
Net asset value per share	$	44.94
Institutional Class:
Net assets	$	1,942,346
Capital shares outstanding		43,603
Net asset value per share	$	44.55

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends	$	627,488
Interest		2,751
Total investment income		630,239
Expenses:
Management fees		208,883
Transfer agent/maintenance fees:
A-Class		23,223
C-Class		2,860
P-Class		441
Institutional Class		164
Distribution and service fees:
A-Class		74,744
C-Class		18,282
P-Class		178
Fund accounting/administration fees		25,799
Line of credit fees		6,297
Trustees’ fees*		5,981
Custodian fees		861
Miscellaneous		25,438
Total expenses		393,151
Less:
Expenses reimbursed by Adviser:
A-Class		(2,547	)
C-Class		(1,584	)
P-Class		(386	)
Total reimbursed expenses		(4,517	)
Net expenses		388,634
Net investment income		241,605
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,984,522
Net realized gain		2,984,522
Net change in unrealized appreciation (depreciation) on:
Investments		4,384,790
Net change in unrealized appreciation (depreciation)		4,384,790
Net realized and unrealized gain		7,369,312
Net increase in net assets resulting from operations	$	7,610,917

* 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 | 23

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	241,605		$	802,166
Net realized gain on investments		2,984,522			2,362,410
Net change in unrealized appreciation (depreciation) on investments		4,384,790			5,158,045
Net increase in net assets resulting from operations		7,610,917			8,322,621
Distributions to shareholders from:
Net investment income
A-Class		(784,293	)		(433,473	)
C-Class		(25,737	)		(6,564	)
P-Class		(1,769	)		(6,451	)
Institutional Class		(1,859	)		(31,516	)
Net realized gains
A-Class		(1,894,547	)		(3,188,410	)
C-Class		(126,909	)		(263,930	)
P-Class		(4,388	)		(38,749	)
Institutional Class		(2,387	)		(178,457	)
Total distributions to shareholders		(2,841,889	)		(4,147,550	)
Capital share transactions:
Proceeds from sale of shares
A-Class		5,225,706			13,212,897
C-Class		754,532			638,542
P-Class		20,114			4,067,215
Institutional Class		1,898,394			68,775
Distributions reinvested
A-Class		2,617,497			3,509,323
C-Class		151,423			266,750
P-Class		6,157			45,199
Institutional Class		4,245			209,973
Cost of shares redeemed
A-Class		(5,400,936	)		(11,004,700	)
C-Class		(310,644	)		(1,369,222	)
P-Class		(961	)		(3,997,610	)
Institutional Class		(50,533	)		(2,476,303	)
Net increase from capital share transactions		4,914,994			3,170,839
Net increase in net assets		9,684,022			7,345,910
Net assets:
Beginning of period		58,562,348			51,216,438
End of period	$	68,246,370		$	58,562,348
Undistributed net investment income at end of period	$	241,605		$	813,658

24 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		121,458			352,919
C-Class		18,732			17,640
P-Class		466			105,931
Institutional Class		43,680			1,722
Shares issued from reinvestment of distributions
A-Class		61,879			92,667
C-Class		3,857			7,563
P-Class		146			1,194
Institutional Class		101			5,548
Shares redeemed
A-Class		(124,518	)		(280,411	)
C-Class		(7,733	)		(37,647	)
P-Class		(23	)		(104,417	)
Institutional Class		(1,125	)		(71,269	)
Net increase in shares		116,920			91,440

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	41.78		$	39.11		$	43.80		$	38.28		$	31.25		$	24.58
Income (loss) from investment operations:
Net investment income (loss)b		.17			.58			.36			.30			.29			.25
Net gain (loss) on investments (realized and unrealized)		5.03			5.23			(3.36	)		5.51			7.03			6.58
Total from investment operations		5.20			5.81			(3.00	)		5.81			7.32			6.83
Less distributions from:
Net investment income		(.58	)		(.37	)		(.35	)		(.29	)		(.29	)		(.16	)
Net realized gains		(1.41	)		(2.77	)		(1.34	)		—			—			—
Total distributions		(1.99	)		(3.14	)		(1.69	)		(.29	)		(.29	)		(.16	)
Net asset value, end of period	$	44.99		$	41.78		$	39.11		$	43.80		$	38.28		$	31.25
Total Returnc		12.74	%		15.69	%		(7.19	%)		15.25	%		23.62	%		27.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	62,217		$	55,325		$	45,318		$	60,281		$	47,307		$	41,173
Ratios to average net assets:
Net investment income (loss)		0.79	%		1.48	%		0.85	%		0.72	%		0.82	%		0.86	%
Total expensesd		1.18	%		1.34	%		1.35	%		1.48	%		1.48	%		1.65	%
Net expensese		1.17	%h		1.17	%h		1.16	%h		1.17	%h		1.15	%		1.18	%
Portfolio turnover rate		20	%		56	%		60	%		40	%		43	%		16	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	38.68		$	36.38		$	40.91		$	35.86		$	29.30		$	23.08
Income (loss) from investment operations:
Net investment income (loss)b		.01			.27			.04			(.02	)		.02			.03
Net gain (loss) on investments (realized and unrealized)		4.63			4.87			(3.13	)		5.16			6.62			6.19
Total from investment operations		4.64			5.14			(3.09	)		5.14			6.64			6.22
Less distributions from:
Net investment income		(.28	)		(.07	)		(.10	)		(.09	)		(.08	)		—
Net realized gains		(1.41	)		(2.77	)		(1.34	)		—			—			—
Total distributions		(1.69	)		(2.84	)		(1.44	)		(.09	)		(.08	)		—
Net asset value, end of period	$	41.63		$	38.68		$	36.38		$	40.91		$	35.86		$	29.30
Total Returnc		12.26	%		14.87	%		(7.89	%)		14.35	%		22.73	%		26.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,928		$	3,075		$	3,345		$	3,963		$	3,494		$	2,257
Ratios to average net assets:
Net investment income (loss)		0.04	%		0.75	%		0.10	%		(0.04	%)		0.08	%		0.12	%
Total expensesd		2.00	%		2.18	%		2.16	%		2.33	%		2.47	%		2.45	%
Net expensese		1.92	%h		1.92	%h		1.91	%h		1.92	%h		1.90	%		1.93	%
Portfolio turnover rate		20	%		56	%		60	%		40	%		43	%		16	%

26 | 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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	41.74		$	39.13		$	43.64
Income (loss) from investment operations:
Net investment income (loss)b		.17			1.40			.22
Net gain (loss) on investments (realized and unrealized)		5.00			4.44			(4.73	)
Total from investment operations		5.17			5.84			(4.51	)
Less distributions from:
Net investment income		(.56	)		(.46	)		—
Net realized gains		(1.41	)		(2.77	)		—
Total distributions		(1.97	)		(3.23	)		—
Net asset value, end of period	$	44.94		$	41.74		$	39.13
Total Returnc		12.69	%		15.83	%		(10.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	158		$	123		$	9
Ratios to average net assets:
Net investment income (loss)		0.79	%		3.61	%		1.21	%
Total expensesd		1.72	%		1.41	%		3.29	%
Net expensese,h		1.17	%		1.17	%		1.16	%
Portfolio turnover rate		20	%		56	%		60	%

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013g
Per Share Data
Net asset value, beginning of period	$	41.84		$	39.17		$	43.87		$	38.32		$	36.84
Income (loss) from investment operations:
Net investment income (loss)b		.28			.83			.47			.40			.13
Net gain (loss) on investments (realized and unrealized)		4.93			5.10			(3.37	)		5.51			1.35
Total from investment operations		5.21			5.93			(2.90	)		5.91			1.48
Less distributions from:
Net investment income		(1.09	)		(.49	)		(.46	)		(.36	)		—
Net realized gains		(1.41	)		(2.77	)		(1.34	)		—			—
Total distributions		(2.50	)		(3.26	)		(1.80	)		(.36	)		—
Net asset value, end of period	$	44.55		$	41.84		$	39.17		$	43.87		$	38.32
Total Returnc		12.84	%		15.98	%		(6.97	%)		15.52	%		4.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,942		$	40		$	2,544		$	3,339		$	2,831
Ratios to average net assets:
Net investment income (loss)		1.25	%		2.13	%		1.09	%		0.96	%		1.12	%
Total expensesd		0.93	%		1.04	%		0.98	%		1.08	%		1.12	%
Net expensese		0.93	%h		0.92	%h		0.91	%h		0.92	%h		0.89	%
Portfolio turnover rate		20	%		56	%		60	%		40	%		43	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
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: June 7, 2013. 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 net expense ratios for the periods presented would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	1.15%	1.15%	1.15%	1.15%
C-Class	1.90%	1.90%	1.90%	1.90%
P-Class	1.15%	1.15%	1.15%	—
Institutional Class	0.90%	0.90%	0.90%	0.90%

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

FUND PROFILE (Unaudited) March 31, 2017

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)
Weyerhaeuser Co.	4.1%
Invitation Homes, Inc.	4.1%
Rayonier, Inc.	4.0%
Rexford Industrial Realty, Inc.	3.8%
Equity Residential	3.4%
Colony Starwood Homes	3.3%
Physicians Realty Trust	3.3%
CyrusOne, Inc.	3.3%
Equinix, Inc.	3.2%
Hilton Worldwide Holdings, Inc.	3.1%
Top Ten Total	35.6%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 94.3%
REITs - 82.6%
REITs-Diversified - 26.9%
Weyerhaeuser Co.		6,279	$	213,361
Rayonier, Inc.		7,414		210,114
Equinix, Inc.1		419		167,755
Crown Castle International Corp.1		1,629		153,859
Gramercy Property Trust		5,671		149,147
Tier REIT, Inc.		8,460		146,866
STORE Capital Corp.		6,111		145,931
American Tower Corp. — Class A1		945		114,855
Vornado Realty Trust		1,037		104,021
Total REITs-Diversified				1,405,909
REITs-Apartments - 12.8%
Invitation Homes, Inc.*		9,740		212,625
Equity Residential1		2,860		177,949
Colony Starwood Homes		5,097		173,043
Monogram Residential Trust, Inc.		10,028		99,979
Total REITs-Apartments				663,596
REITs-Warehouse/Industries - 9.9%
Rexford Industrial Realty, Inc.		8,775		197,614
CyrusOne, Inc.		3,288		169,233
EastGroup Properties, Inc.		1,991		146,398
Total REITs-Warehouse/Industries				513,245
REITs-Shopping Centers - 8.1%
Regency Centers Corp.		2,363		156,879
Federal Realty Investment Trust1		1,086		144,981
Acadia Realty Trust		3,898		117,174
Total REITs-Shopping Centers				419,034
REITs-Health Care - 5.4%
Physicians Realty Trust		8,588		170,643
Healthcare Trust of America, Inc. — Class A		3,421		107,625
Total REITs-Health Care				278,268
REITs-Manufactured Homes - 5.3%
Sun Communities, Inc.		1,932		155,197
Equity LifeStyle Properties, Inc.		1,575		121,370
Total REITs-Manufactured Homes				276,567
REITs-Office Property - 4.8%
Alexandria Real Estate Equities, Inc.		1,429		157,933
Mack-Cali Realty Corp.		3,494		94,128
Total REITs-Office Property				252,061
REITs-Regional Malls - 4.0%
Pennsylvania Real Estate Investment Trust		6,964		105,435
GGP, Inc.		4,457		103,313
Total REITs-Regional Malls				208,748
REITs-Mortgage - 3.0%
Blackstone Mortgage Trust, Inc. — Class A		5,020		155,419
REITs-Storage - 2.4%
National Storage Affiliates Trust		5,156		123,228
Total REITs				4,296,075
Lodging - 6.8%
Casino Hotels - 3.7%
Boyd Gaming Corp.*		5,149		113,329
MGM Resorts International		2,809		76,967
Total Casino Hotels				190,296
Hotels & Motels - 3.1%
Hilton Worldwide Holdings, Inc.1		2,776		162,285
Total Lodging				352,581
Insurance - 2.8%
Financial Guarantee Insurance - 2.8%
MGIC Investment Corp.*		14,348		145,345
Entertainment - 2.1%
Gambling (Non-Hotel) - 2.1%
Pinnacle Entertainment, Inc.*		5,598		109,273
Total Common Stocks
(Cost $4,610,471)				4,903,274
SHORT-TERM INVESTMENTS† - 10.7%
Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class 0.56%2		558,509		558,509
Total Short-Term Investments
(Cost $558,509)				558,509
Total Investments - 105.0%
(Cost $5,168,980)			$	5,461,783
Other Assets & Liabilities, net - (5.0)%				(260,510	)
Total Net Assets - 100.0%			$	5,201,273

				Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS††
Morgan Stanley February 2018 Market Neutral Real Estate Portfolio Short Custom Basket Swap 0.56%3, Terminating 02/28/18 (Notional Value $4,926,555)				$	(235,181	)
	Shares
CUSTOM BASKET OF SHORT SECURITIES3
Brixmor Property Group, Inc.		(7,109	)		26,009
National Retail Properties, Inc.		(3,503	)		19,224
Realty Income Corp.		(3,004	)		16,314
Senior Housing Properties Trust		(8,079	)		6,758

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
MARKET NEUTRAL REAL ESTATE FUND

	Shares			Unrealized Gain (Loss)
Hersha Hospitality Trust		(1,029	)	$	2,142
Urban Edge Properties		(3,908	)		1,987
Weingarten Realty Investors		(3,040	)		1,267
Life Storage, Inc.		(1,252	)		10
Macerich Co.		(1,608	)		(797	)
DuPont Fabros Technology, Inc.		(2,081	)		(1,225	)
LaSalle Hotel Properties		(3,532	)		(1,254	)
Digital Realty Trust, Inc.		(1,830	)		(1,737	)
Chesapeake Lodging Trust		(4,328	)		(2,196	)
DiamondRock Hospitality Co.		(9,714	)		(3,525	)
Extra Space Storage, Inc.		(1,425	)		(3,745	)
PS Business Parks, Inc.		(928	)		(4,668	)
UDR, Inc.		(4,379	)		(6,849	)
AvalonBay Communities, Inc.		(900	)		(10,641	)
Lexington Realty Trust		(9,205	)		(14,514	)
Piedmont Office Realty Trust, Inc. — Class A		(8,553	)		(17,126	)
Omega Healthcare Investors, Inc.		(5,028	)		(21,116	)
Government Properties Income Trust		(7,804	)		(21,298	)
iShares U.S. Real Estate ETF		(16,038	)		(21,419	)
Host Hotels & Resorts, Inc.		(6,628	)		(21,510	)
EPR Properties		(2,096	)		(24,088	)
Sabra Health Care REIT, Inc.		(6,342	)		(29,809	)
Iron Mountain, Inc.		(5,761	)		(33,764	)
STAG Industrial, Inc.		(6,241	)		(47,058	)
Total Custom Basket of Short Securities					(214,628	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as equity swap collateral at March 31, 2017.
2	Rate indicated is the 7 day yield as of March 31, 2017.
3	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, 2017.
	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, 2017 (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	$	4,903,274	$	—	$	—	$	—	$	4,903,274
Short-Term Investments		558,509		—		—		—		558,509
Total	$	5,461,783	$	—	$	—	$	—	$	5,461,783
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Equity Swap Agreements	$	—	$	—	$	235,181	$	—	$	235,181

* Other financial instruments include 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. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $5,168,980)	$	5,461,783
Prepaid expenses		95,697
Cash		2,530
Receivables:
Swap settlement		66,186
Dividends		18,736
Total assets		5,644,932
Liabilities:
Unrealized depreciation on swap agreements		235,181
Payable for:
Securities purchased		206,255
Transfer agent/maintenance fees		4,828
Trustees’ fees*		1,207
Distribution and service fees		168
Management fees		(3,980	)
Total liabilities		443,659
Net assets	$	5,201,273
Net assets consist of:
Paid in capital	$	4,734,334
Undistributed net investment income		274,360
Accumulated net realized gain on investments		134,957
Net unrealized appreciation on investments		57,622
Net assets	$	5,201,273
A-Class:
Net assets	$	105,304
Capital shares outstanding		4,112
Net asset value per share	$	25.61
Maximum offering price per share (Net asset value divided by 95.25%)	$	26.89
C-Class:
Net assets	$	138,647
Capital shares outstanding		5,459
Net asset value per share	$	25.40
P-Class:
Net assets	$	130,295
Capital shares outstanding		5,090
Net asset value per share	$	25.60
Institutional Class:
Net assets	$	4,827,027
Capital shares outstanding		188,000
Net asset value per share	$	25.68

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends	$	45,719
Interest		890
Total investment income		46,609
Expenses:
Management fees		28,079
Transfer agent/maintenance fees:
A-Class		92
C-Class		110
P-Class		163
Institutional Class		2,269
Distribution and service fees:
A-Class		129
C-Class		625
P-Class		161
Fund accounting/administration fees		12,465
Registration fees		9,293
Professional fees		8,101
Insurance expense		3,473
Trustees’ fees*		2,653
Line of credit fees		791
Miscellaneous		(2,770	)
Total expenses		65,634
Less:
Expenses waived by Adviser		(25,876	)
Expenses reimbursed by Adviser:
A-Class		(133	)
C-Class		(150	)
P-Class		(196	)
Institutional Class		(2,195	)
Total waived/reimbursed expenses		(28,550	)
Net expenses		37,084
Net investment income		9,525
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		158,049
Swap agreements		18,662
Net realized gain		176,711
Net change in unrealized appreciation (depreciation) on:
Investments		21,615
Swap agreements		29,654
Net change in unrealized appreciation (depreciation)		51,269
Net realized and unrealized gain		227,980
Net increase in net assets resulting from operations	$	237,505

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

32 | 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, 2017 (Unaudited)			Period Ended September 30, 2016*
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	9,525		$	54,619
Net realized gain (loss) on investments		176,711			(163,479	)
Net change in unrealized appreciation (depreciation) on investments		51,269			6,353
Net increase (decrease) in net assets resulting from operations		237,505			(102,507	)
Capital share transactions:
Proceeds from sale of shares
A-Class		784			102,011
C-Class		36,949			100,000
P-Class		3,322			125,772
Institutional Class		—			4,700,000
Cost of shares redeemed
A-Class		—			—
C-Class		—			—
P-Class		(2,563	)		—
Institutional Class		—			—
Net increase from capital share transactions		38,492			5,027,783
Net increase in net assets		275,997			4,925,276
Net assets:
Beginning of year		4,925,276			—
End of year	$	5,201,273		$	4,925,276
Undistributed net investment income at end of year	$	274,360		$	264,835
Capital share activity:
Shares sold
A-Class		30			4,082
C-Class		1,459			4,000
P-Class		131			5,059
Institutional Class		—			188,000
Shares redeemed
P-Class		(100	)		—
Net increase in shares		1,520			201,141

* Since commencement of operations: February 26, 2016.

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

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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	24.45		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.02			.24
Net gain (loss) on investments (realized and unrealized)		1.14			(.79	)
Total from investment operations		1.16			(.55	)
Net asset value, end of period	$	25.61		$	24.45
Total Returne		4.70	%		(2.20	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	105		$	100
Ratios to average net assets:
Net investment income (loss)		0.16	%		1.66	%
Total expenses		2.86	%		3.74	%
Net expensesd,f		1.66	%		1.64	%
Portfolio turnover rate		72	%		135	%

C-Class	Period Ended March 31, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	24.35		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.08	)		.12
Net gain (loss) on investments (realized and unrealized)		1.13			(.77	)
Total from investment operations		1.05			(.65	)
Net asset value, end of period	$	25.40		$	24.35
Total Returne		4.31	%		(2.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	139		$	97
Ratios to average net assets:
Net investment income (loss)		(0.69	%)		0.93	%
Total expenses		3.63	%		4.47	%
Net expensesd,f		2.41	%		2.38	%
Portfolio turnover rate		72	%		135	%

34 | 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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	24.45		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.02			.26
Net gain (loss) on investments (realized and unrealized)		1.13			.81
Total from investment operations		1.15			(.55	)
Net asset value, end of period	$	25.60		$	24.45
Total Returne		4.70	%		(2.20	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	130		$	124
Ratios to average net assets:
Net investment income (loss)		0.15	%		1.64	%
Total expenses		2.93	%		3.65	%
Net expensesd,f		1.67	%		1.66	%
Portfolio turnover rate		72	%		135	%

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

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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	24.49		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.05			.28
Net gain (loss) on investments (realized and unrealized)		1.14			(.79	)
Total from investment operations		1.19			(.51	)
Net asset value, end of period	$	25.68		$	24.49
Total Returne		4.82	%		(2.04	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,827		$	4,604
Ratios to average net assets:
Net investment income (loss)		0.41	%		1.92	%
Total expenses		2.52	%		3.41	%
Net expensesd,f		1.41	%		1.39	%
Portfolio turnover rate		72	%		135	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: February 26, 2016. 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 and reimbursements, as applicable.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
f	Net expenses may include expenses that are excluded from the expense limitation agreement and recouped amounts. Excluding these expenses, the net expense ratios for the periods presented would be:

	03/31/17	09/30/16
A-Class	1.63%	1.63%
C-Class	2.38%	2.37%
P-Class	1.64%	1.65%
Institutional Class	1.38%	1.38%

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

FUND PROFILE (Unaudited) March 31, 2017

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.	5.9%
Equinix, Inc.	4.7%
Prologis, Inc.	3.5%
Public Storage	3.3%
Equity Residential	2.7%
Alexandria Real Estate Equities, Inc.	2.3%
Boston Properties, Inc.	2.3%
Welltower, Inc.	2.3%
Vornado Realty Trust	2.2%
Physicians Realty Trust	2.1%
Top Ten Total	31.3%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 97.3%
REITs - 91.9%
REITs-Diversified - 20.7%
Equinix, Inc.		13,206	$	5,287,285
Vornado Realty Trust		24,531		2,460,704
Weyerhaeuser Co.		61,264		2,081,750
Gramercy Property Trust		78,786		2,072,072
Rayonier, Inc.		67,096		1,901,501
STORE Capital Corp.		74,645		1,782,523
Crown Castle International Corp.		17,490		1,651,931
Duke Realty Corp.		60,777		1,596,612
Tier REIT, Inc.		82,172		1,426,506
Digital Realty Trust, Inc.		9,631		1,024,642
Washington Real Estate Investment Trust		31,129		973,715
American Tower Corp. — Class A1		6,916		840,571
Total REITs-Diversified				23,099,812
REITs-Apartments - 14.5%
Equity Residential		49,038		3,051,143
AvalonBay Communities, Inc.1		13,376		2,455,834
Invitation Homes, Inc.*		96,788		2,112,882
Essex Property Trust, Inc.1		8,752		2,026,351
Colony Starwood Homes		57,496		1,951,989
Mid-America Apartment Communities, Inc.		14,782		1,503,921
Monogram Residential Trust, Inc.		139,865		1,394,454
Camden Property Trust1		11,092		892,462
Apartment Investment & Management Co. — Class A		18,153		805,086
Total REITs-Apartments				16,194,122
REITs-Office Property - 10.1%
Alexandria Real Estate Equities, Inc.1		23,690		2,618,220
Boston Properties, Inc.1		19,669		2,604,373
SL Green Realty Corp.		14,412		1,536,607
Mack-Cali Realty Corp.		47,178		1,270,975
Kilroy Realty Corp.		17,380		1,252,750
Hudson Pacific Properties, Inc.		31,541		1,092,580
Highwoods Properties, Inc.		17,876		878,248
Total REITs-Office Property				11,253,753
REITs-Health Care - 10.0%
Welltower, Inc.		35,895		2,542,084
Physicians Realty Trust		119,275		2,369,994
Ventas, Inc.		33,716		2,192,889
HCP, Inc.2		69,968		2,188,599
Healthcare Trust of America, Inc. — Class A		58,054		1,826,379
Total REITs-Health Care				11,119,945
REITs-Regional Malls - 8.7%
Simon Property Group, Inc.		38,102		6,554,687
GGP, Inc.2		73,420		1,701,876
Pennsylvania Real Estate Investment Trust		58,623		887,552
Tanger Factory Outlet Centers, Inc.		18,661		611,521
Total REITs-Regional Malls				9,755,636
REITs-Warehouse/Industries - 8.4%
Prologis, Inc.2		75,707		3,927,679
CyrusOne, Inc.		37,894		1,950,404
Rexford Industrial Realty, Inc.		81,690		1,839,659
EastGroup Properties, Inc.		23,069		1,696,264
Total REITs-Warehouse/Industries				9,414,006
REITs-Shopping Centers - 6.1%
Federal Realty Investment Trust1		15,819		2,111,838
Regency Centers Corp.		31,791		2,110,604
Acadia Realty Trust		47,901		1,439,904
Retail Opportunity Investments Corp.		56,472		1,187,606
Total REITs-Shopping Centers				6,849,952
REITs-Storage - 5.4%
Public Storage		17,021		3,726,067
National Storage Affiliates Trust		61,690		1,474,391
Extra Space Storage, Inc.		10,667		793,518
Total REITs-Storage				5,993,976
REITs-Manufactured Homes - 3.6%
Sun Communities, Inc.		27,434		2,203,773
Equity LifeStyle Properties, Inc.1		23,671		1,824,087
Total REITs-Manufactured Homes				4,027,860
REITs-Single Tenant - 1.9%
Realty Income Corp.		19,639		1,169,110
Spirit Realty Capital, Inc.		91,605		927,959
Total REITs-Single Tenant				2,097,069
REITs-Mortgage - 1.6%
Blackstone Mortgage Trust, Inc. — Class A		59,510		1,842,430
REITs-Hotels - 0.9%
Apple Hospitality REIT, Inc.		51,231		978,511
Total REITs				102,627,072
Lodging - 3.5%
Casino Hotels - 1.6%
MGM Resorts International		33,654		922,120
Boyd Gaming Corp.*		37,303		821,039
Total Casino Hotels				1,743,159
Hotels & Motels - 1.9%
Hilton Worldwide Holdings, Inc.		23,460		1,371,472
Choice Hotels International, Inc.		13,019		814,989
Total Hotels & Motels				2,186,461
Total Lodging				3,929,620
Insurance - 1.2%
Financial Guarantee Insurance - 1.2%
MGIC Investment Corp.*		129,797		1,314,844
Entertainment - 0.7%
Gambling (Non-Hotel) - 0.7%
Pinnacle Entertainment, Inc.*		40,502		790,599
Total Common Stocks
(Cost $104,610,425)				108,662,135

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
RISK MANAGED REAL ESTATE FUND

	Shares			Value
SHORT-TERM INVESTMENTS† - 4.2%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%3		4,672,394		$	4,672,394
Total Short-Term Investments
(Cost $4,672,394)					4,672,394
Total Investments - 101.5%
(Cost $109,282,819)				$	113,334,529
COMMON STOCKS SOLD SHORT† - (8.1)%
REITs - (8.1)%
REITs-Regional Malls - (0.2)%
Macerich Co.		(4,154	)		(267,518	)
REITs-Apartments - (0.7)%
UDR, Inc.		(10,820	)		(392,333	)
AvalonBay Communities, Inc.		(2,148	)		(394,373	)
Total REITs-Apartments					(786,706	)
REITs-Single Tenant - (0.7)%
National Retail Properties, Inc.		(8,606	)		(375,394	)
Realty Income Corp.		(7,366	)		(438,498	)
Total REITs-Single Tenant					(813,892	)
REITs-Office Property - (0.8)%
Government Properties Income Trust		(19,506	)		(408,261	)
Piedmont Office Realty Trust, Inc. — Class A		(20,090	)		(429,524	)
Total REITs-Office Property					(837,785	)
REITs-Shopping Centers - (0.8)%
Weingarten Realty Investors		(7,828	)		(261,377	)
Urban Edge Properties		(10,062	)		(264,631	)
Brixmor Property Group, Inc.		(18,286	)		(392,418	)
Total REITs-Shopping Centers					(918,426	)
REITs-Storage - (0.9)%
Extra Space Storage, Inc.		(3,416	)		(254,116	)
Life Storage, Inc.		(3,232	)		(265,412	)
Iron Mountain, Inc.		(13,433	)		(479,155	)
Total REITs-Storage					(998,683	)
REITs-Hotels - (1.1)%
Hersha Hospitality Trust		(4,780	)		(89,816	)
LaSalle Hotel Properties		(9,141	)		(264,632	)
Chesapeake Lodging Trust		(11,208	)		(268,544	)
DiamondRock Hospitality Co.		(24,769	)		(276,174	)
Host Hotels & Resorts, Inc.		(16,678	)		(311,211	)
Total REITs-Hotels					(1,210,377	)
REITs-Health Care - (1.2)%
Senior Housing Properties Trust		(20,662	)		(418,406	)
Omega Healthcare Investors, Inc.		(12,867	)		(424,482	)
Sabra Health Care REIT, Inc.		(15,990	)		(446,601	)
Total REITs-Health Care					(1,289,489	)
REITs-Diversified - (1.7)%
Lexington Realty Trust		(19,578	)		(195,388	)
DuPont Fabros Technology, Inc.		(5,152	)		(255,488	)
PS Business Parks, Inc.		(2,229	)		(255,800	)
EPR Properties		(4,920	)		(362,260	)
STAG Industrial, Inc.		(14,854	)		(371,647	)
Digital Realty Trust, Inc.		(4,741	)		(504,395	)
Total REITs-Diversified					(1,944,978	)
Total REITs					(9,067,854	)
Total Common Stocks Sold Short
(Cost $(8,986,810))					(9,067,854	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (3.0)%
iShares U.S. Real Estate ETF		42,316			(3,321,383	)
Total Exchange-Traded Funds Sold Short
(Proceeds $3,264,934)					(3,321,383	)
Total Securities Sold Short- (11.1)%
(Proceeds $12,251,744)				$	(12,389,237	)
Other Assets & Liabilities, net - 9.6%					10,718,178
Total Net Assets - 100.0%				$	111,663,470

			Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS††
Morgan Stanley June 2017 Risk Managed Real Estate Portfolio Short Custom Basket Swap 0.56%5, Terminating 06/12/17 (Notional Value $36,017,391)			$	(1,470,502	)
Morgan Stanley June 2017 Risk Managed Real Estate Portfolio Long Custom Basket Swap 1.28%4, Terminating 06/12/17 (Notional Value $36,003,551)			$	2,103,937
	Shares
CUSTOM BASKET OF LONG SECURITIES4
Rexford Industrial Realty, Inc.		65,075		219,619
Equinix, Inc.		3,155		218,788
Sun Communities, Inc.		14,817		205,037
Colony Starwood Homes		37,314		186,814
EastGroup Properties, Inc.		14,149		178,132
Equity LifeStyle Properties, Inc.		11,073		169,367
Hilton Worldwide Holdings, Inc.		20,086		150,584
American Tower Corp. — Class A		6,827		143,036
Gramercy Property Trust		41,175		139,034
Invitation Homes, Inc.*		70,325		115,685
Weyerhaeuser Co.		45,265		113,434
National Storage Affiliates Trust		38,332		88,151

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
RISK MANAGED REAL ESTATE FUND

	Shares			Unrealized Gain (Loss)
Boyd Gaming Corp.*		37,282		$	81,551
Crown Castle International Corp.		12,661			67,789
CyrusOne, Inc.		22,991			63,562
Alexandria Real Estate Equities, Inc.		10,271			51,977
Blackstone Mortgage Trust, Inc. — Class A		36,831			49,490
Healthcare Trust of America, Inc. — Class A		24,745			38,375
Pinnacle Entertainment, Inc.*		39,784			37,087
Vornado Realty Trust		7,795			22,541
Pennsylvania Real Estate Investment Trust		50,464			12,717
Regency Centers Corp.		17,348			10,005
Rayonier, Inc.		52,675			10,000
GGP, Inc.		32,312			5,613
STORE Capital Corp.		46,249			2,423
MGM Resorts International		20,153			—
Park Hotels & Resorts, Inc.		3,473			(3,278	)
Mack-Cali Realty Corp.		28,526			(20,026	)
Physicians Realty Trust		59,019			(33,574	)
Monogram Residential Trust, Inc.		73,334			(35,559	)
Equity Residential		20,331			(37,467	)
Tier REIT, Inc.		61,140			(49,606	)
MGIC Investment Corp.*		105,499			(52,528	)
Federal Realty Investment Trust		7,801			(54,065	)
Acadia Realty Trust		29,433			(129,502	)
Total Custom Basket of Long Securities					1,965,206
CUSTOM BASKET OF SHORT SECURITIES5
Brixmor Property Group, Inc.		(51,029	)		186,166
National Retail Properties, Inc.		(25,452	)		141,539
Realty Income Corp.		(21,416	)		119,505
Senior Housing Properties Trust		(58,064	)		58,485
Hersha Hospitality Trust		(7,555	)		16,028
Investors Real Estate Trust		(24,753	)		14,778
Urban Edge Properties		(28,050	)		14,261
Weingarten Realty Investors		(21,832	)		9,102
Life Storage, Inc.		(9,023	)		74
Macerich Co.		(11,589	)		(5,744	)
DuPont Fabros Technology, Inc.		(15,013	)		(8,835	)
LaSalle Hotel Properties		(25,498	)		(9,052	)
Chesapeake Lodging Trust		(31,303	)		(15,886	)
Digital Realty Trust, Inc.		(13,895	)		(24,185	)
DiamondRock Hospitality Co.		(69,059	)		(25,062	)
Extra Space Storage, Inc.		(10,335	)		(27,160	)
PS Business Parks, Inc.		(6,926	)		(34,841	)
UDR, Inc.		(32,009	)		(41,729	)
AvalonBay Communities, Inc.		(6,512	)		(76,991	)
Lexington Realty Trust		(64,258	)		(81,948	)
Host Hotels & Resorts, Inc.		(51,134	)		(95,156	)
Piedmont Office Realty Trust, Inc. — Class A		(62,238	)		(98,626	)
Government Properties Income Trust		(58,186	)		(119,220	)
Omega Healthcare Investors, Inc.		(36,160	)		(153,962	)
Iron Mountain, Inc.		(38,773	)		(160,678	)
iShares U.S. Real Estate ETF		(118,049	)		(168,250	)
Sabra Health Care REIT, Inc.		(46,924	)		(220,725	)
EPR Properties		(15,257	)		(244,561	)
STAG Industrial, Inc.		(46,012	)		(270,772	)
Total Custom Basket of Short Securities					(1,323,445	)

*	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, 2017.
2	All or a portion of this security is pledged as equity swap collateral at March 31, 2017.
3	Rate indicated is the 7 day yield as of March 31, 2017.
4	Total Return is based on the return of the custom basket of long securities +/ - financing at a variable rate. Rate indicated is rate effective at March 31, 2017.
5	Total Return is based on the return of the custom basket of short securities +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2017.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
RISK MANAGED REAL ESTATE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	108,662,135	$	—	$	—	$	—	$	108,662,135
Short-Term Investments		4,672,394		—		—		—		4,672,394
Equity Swap Agreements		—		—		2,103,937		—		2,103,937
Total	$	113,334,529	$	—	$	2,103,937	$	—	$	115,438,466
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	9,067,854	$	—	$	—	$	—	$	9,067,854
Exchange-Traded Funds		3,321,383		—		—		—		3,321,383
Equity Swap Agreements		—		—		1,470,502		—		1,470,502
Total	$	12,389,237	$	—	$	1,470,502	$	—	$	13,859,739

* Other financial instruments include 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. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $109,282,819)	$	113,334,529
Segregated cash with broker		10,218,510
Unrealized appreciation on swap agreements		2,103,937
Prepaid expenses		43,632
Receivables:
Swap settlement		206,640
Securities sold		1,382,983
Dividends		318,272
Other assets		2,649
Total assets		127,611,152
Liabilities:
Securities sold short, at value (proceeds $12,251,744)		12,389,237
Unrealized depreciation on swap agreements		1,470,502
Overdraft due to custodian bank		336,544
Payable for:
Securities purchased		1,575,979
Management fees		70,597
Fund accounting/administration fees		7,529
Transfer agent/maintenance fees		3,445
Trustees’ fees*		1,283
Fund shares redeemed		628
Distribution and service fees		584
Miscellaneous		91,354
Total liabilities		15,947,682
Net assets	$	111,663,470
Net assets consist of:
Paid in capital	$	106,132,385
Accumulated net investment loss		(1,964,947	)
Accumulated net realized gain on investments		2,948,380
Net unrealized appreciation on investments		4,547,652
Net assets	$	111,663,470
A-Class:
Net assets	$	468,268
Capital shares outstanding		16,480
Net asset value per share	$	28.41
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.83
C-Class:
Net assets	$	554,762
Capital shares outstanding		19,633
Net asset value per share	$	28.26
P-Class:
Net assets	$	91,837
Capital shares outstanding		3,216
Net asset value per share	$	28.56
Institutional Class:
Net assets	$	110,548,603
Capital shares outstanding		3,846,360
Net asset value per share	$	28.74

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends	$	377,765
Interest		7,003
Total investment income		384,768
Expenses:
Management fees		411,065
Transfer agent/maintenance fees:
A-Class		606
C-Class		915
P-Class		190
Institutional Class		11,740
Distribution and service fees:
A-Class		750
C-Class		2,698
P-Class		118
Fund accounting/administration fees		44,030
Line of credit fees		11,696
Prime broker interest expense		5,371
Trustees’ fees*		3,562
Short sales dividend expense		3,292
Custodian fees		1,157
Miscellaneous		30,494
Total expenses		527,684
Less:
Expenses waived by Adviser		(24	)
Expenses reimbursed by Adviser:
A-Class		(223	)
C-Class		(488	)
P-Class		(126	)
Total waived/reimbursed expenses		(861	)
Net expenses		526,823
Net investment loss		(142,055	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,572,521
Swap agreements		1,732,080
Securities sold short		782,361
Net realized gain		5,086,962
Net change in unrealized appreciation (depreciation) on:
Investments		(2,896,231	)
Securities sold short		161,965
Swap agreements		98,223
Net change in unrealized appreciation (depreciation)		(2,636,043	)
Net realized and unrealized gain		2,450,919
Net increase in net assets resulting from operations	$	2,308,864

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	(142,055	)	$	1,008,071
Net realized gain on investments		5,086,962			5,047,620
Net change in unrealized appreciation (depreciation) on investments		(2,636,043	)		9,597,857
Net increase in net assets resulting from operations		2,308,864			15,653,548
Distributions to shareholders from:
Net investment income
A-Class		(6,292	)		(15,560	)
C-Class		(4,963	)		(7,069	)
P-Class		(1,211	)		(1,363	)
Institutional Class		(1,329,089	)		(3,816,066	)
Net realized gains
A-Class		(14,684	)		(43,834	)
C-Class		(13,682	)		(32,752	)
P-Class		(2,734	)		(4,335	)
Institutional Class		(2,669,186	)		(13,211,585	)
Total distributions to shareholders		(4,041,841	)		(17,132,564	)
Capital share transactions:
Proceeds from sale of shares
A-Class		48,246			785,426
C-Class		47,135			452,351
P-Class		69,391			73,853
Institutional Class		1,053,029			3,584,478
Distributions reinvested
A-Class		19,304			54,041
C-Class		15,829			39,469
P-Class		3,944			5,698
Institutional Class		3,172,104			13,011,489
Cost of shares redeemed
A-Class		(332,603	)		(474,048	)
C-Class		(17,447	)		(58,044	)
P-Class		(61,541	)		(26,988	)
Institutional Class		(3,786,788	)		(9,175,287	)
Net increase from capital share transactions		230,603			8,272,438
Net increase (decrease) in net assets		(1,502,374	)		6,793,422
Net assets:
Beginning of period		113,165,844			106,372,422
End of period	$	111,663,470		$	113,165,844
Accumulated net investment loss at end of period	$	(1,964,947	)	$	(481,337	)

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

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		1,727			27,279
C-Class		1,686			15,548
P-Class		2,398			2,578
Institutional Class		36,796			132,744
Shares issued from reinvestment of distributions
A-Class		687			2,003
C-Class		566			1,472
P-Class		140			210
Institutional Class		111,556			477,316
Shares redeemed
A-Class		(11,671	)		(15,824	)
C-Class		(622	)		(2,239	)
P-Class		(2,157	)		(952	)
Institutional Class		(134,765	)		(317,907	)
Net increase in shares		6,341			322,228

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	28.87		$	29.77		$	26.99		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.09	)		.19			(.21	)		.02
Net gain (loss) on investments (realized and unrealized)		.66			3.84			3.18			2.06
Total from investment operations		.57			4.03			2.97			2.08
Less distributions from:
Net investment income		(.32	)		(1.12	)		(.05	)		(.09	)
Net realized gains		(.71	)		(3.81	)		(.14	)		—
Total distributions		(1.03	)		(4.93	)		(.19	)		(.09	)
Net asset value, end of period	$	28.41		$	28.87		$	29.77		$	26.99
Total Returng		2.03	%		14.88	%		10.97	%		8.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	468		$	743		$	366		$	107
Ratios to average net assets:
Net investment income (loss)		(0.67	%)		0.66	%		(0.67	%)		0.16	%
Total expensesd		1.38	%		1.93	%		3.41	%		4.22	%h
Net expensese,i		1.32	%		1.78	%		3.04	%		3.32	%
Portfolio turnover rate		55	%		133	%		214	%		57	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	28.77		$	29.56		$	26.95		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.20	)		.02			(.43	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		.66			3.77			3.18			2.19
Total from investment operations		.46			3.79			2.75			1.96
Less distributions from:
Net investment income		(.26	)		(.77	)		—			(.01	)
Net realized gains		(.71	)		(3.81	)		(.14	)		—
Total distributions		(.97	)		(4.58	)		(.14	)		(.01	)
Net asset value, end of period	$	28.26		$	28.77		$	29.56		$	26.95
Total Returng		1.65	%		14.00	%		10.20	%		7.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	555		$	518		$	95		$	52
Ratios to average net assets:
Net investment income (loss)		(1.40	%)		0.08	%		(1.42	%)		(1.60	%)
Total expensesd		2.27	%		3.32	%		5.76	%		9.33	%h
Net expensese,i		2.07	%		2.53	%		3.76	%		2.67	%
Portfolio turnover rate		55	%		133	%		214	%		57	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	29.01		$	29.77		$	30.89
Income (loss) from investment operations:
Net investment income (loss)c		(.08	)		.16			.04
Net gain (loss) on investments (realized and unrealized)		.67			3.88			(1.16	)
Total from investment operations		.59			4.04			(1.12	)
Less distributions from:
Net investment income		(.33	)		(.99	)		—
Net realized gains		(.71	)		(3.81	)		—
Total distributions		(1.04	)		(4.80	)		—
Net asset value, end of period	$	28.56		$	29.01		$	29.77
Total Returng		2.04	%		14.87	%		(3.63	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	92		$	82		$	30
Ratios to average net assets:
Net investment income (loss)		(0.60	%)		0.56	%		0.30	%
Total expensesd		1.58	%		1.88	%		4.04	%h
Net expensese,i		1.31	%		1.78	%		2.94	%
Portfolio turnover rate		55	%		133	%		214	%

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	29.18		$	29.90		$	27.00		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.04	)		.26			(.11	)		.02
Net gain (loss) on investments (realized and unrealized)		.66			3.89			3.18			2.09
Total from investment operations		.62			4.15			3.07			2.11
Less distributions from:
Net investment income		(.35	)		(1.06	)		(.03	)		(.11	)
Net realized gains		(.71	)		(3.81	)		(.14	)		—
Total distributions		(1.06	)		(4.87	)		(.17	)		(.11	)
Net asset value, end of period	$	28.74		$	29.18		$	29.90		$	27.00
Total Returng		2.23	%		15.20	%		11.36	%		8.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	110,549		$	111,823		$	105,882		$	103,993
Ratios to average net assets:
Net investment income (loss)		(0.25	%)		0.91	%		(0.35	%)		0.11	%
Total expensesd		0.95	%		1.50	%		2.70	%		2.69	%h
Net expensese,i		0.95	%		1.50	%		2.70	%		2.58	%
Portfolio turnover rate		55	%		133	%		214	%		57	%

a	Unaudited figures for the period ended March 31, 2017. 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	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	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	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 net expense ratios for the periods presented would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	1.28%	1.29%	1.30%	1.30%
C-Class	2.04%	2.03%	2.05%	2.05%
P-Class	1.28%	1.28%	1.30%	—
Institutional Class	0.92%	1.00%	0.99%	1.10%

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

FUND PROFILE (Unaudited) March 31, 2017

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)
Century Communities, Inc.	1.7%
Fulton Financial Corp.	1.7%
Cathay General Bancorp	1.7%
Portland General Electric Co.	1.6%
Wintrust Financial Corp.	1.5%
Sanmina Corp.	1.5%
1st Source Corp.	1.4%
UniFirst Corp.	1.4%
Avista Corp.	1.4%
Berkshire Hills Bancorp, Inc.	1.4%
Top Ten Total	15.3%

“Ten Largest Holdings” excludes any temporary cash investments.

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 97.9%
Financial - 38.3%
Fulton Financial Corp.		20,015	$	357,268
Cathay General Bancorp		9,350		352,308
Wintrust Financial Corp.		4,747		328,114
1st Source Corp.		6,582		309,025
Berkshire Hills Bancorp, Inc.		8,290		298,854
Navigators Group, Inc.		4,849		263,300
First Citizens BancShares, Inc. — Class A		731		245,156
Prosperity Bancshares, Inc.		3,506		244,403
Argo Group International Holdings Ltd.		3,564		241,639
Hanmi Financial Corp.		7,838		241,019
Equity Commonwealth*		7,511		234,493
Horace Mann Educators Corp.		5,460		224,133
Investors Bancorp, Inc.		15,524		223,235
Umpqua Holdings Corp.		11,974		212,419
Trustmark Corp.		6,555		208,384
Radian Group, Inc.		11,320		203,307
Hanover Insurance Group, Inc.		2,246		202,275
TriCo Bancshares		5,304		188,451
Valley National Bancorp		15,305		180,599
Forestar Group, Inc.*		12,448		169,915
Hersha Hospitality Trust		8,989		168,903
Farmer Mac — Class C		2,878		165,686
Old National Bancorp		8,989		155,959
EPR Properties		1,931		142,180
MBIA, Inc.*		15,734		133,267
Hancock Holding Co.		2,899		132,049
FNB Corp.		8,476		126,038
Capital Bank Financial Corp. — Class A		2,890		125,426
Flagstar Bancorp, Inc.*		4,350		122,627
Cousins Properties, Inc.		14,190		117,351
CubeSmart		4,519		117,313
Genworth Financial, Inc. — Class A*		27,235		112,208
Redwood Trust, Inc.		6,732		111,819
Lexington Realty Trust		11,180		111,576
Summit Hotel Properties, Inc.		6,894		110,166
IBERIABANK Corp.		1,384		109,474
Sunstone Hotel Investors, Inc.		7,112		109,027
First Industrial Realty Trust, Inc.		4,032		107,372
LaSalle Hotel Properties		3,699		107,086
First Merchants Corp.		2,683		105,496
MB Financial, Inc.		2,462		105,423
DCT Industrial Trust, Inc.		2,156		103,747
Hilltop Holdings, Inc.		3,682		101,145
iStar, Inc.*		8,379		98,872
CoreCivic, Inc.		3,031		95,234
Washington Federal, Inc.		2,450		81,095
Stifel Financial Corp.*		1,494		74,984
Sterling Bancorp		2,704		64,085
Janus Capital Group, Inc.		3,253		42,940
Total Financial				8,186,845
Industrial - 11.5%
Sanmina Corp.*		8,063		327,358
Methode Electronics, Inc.		5,199		237,074
TriMas Corp.*		10,008		207,666
GATX Corp.		2,775		169,164
ITT, Inc.		4,014		164,654
Werner Enterprises, Inc.		5,298		138,808
Argan, Inc.		1,989		131,572
Trinseo S.A.		1,715		115,077
FLIR Systems, Inc.		3,142		113,992
Summit Materials, Inc. — Class A*		4,606		113,814
Kirby Corp.*		1,608		113,445
Crane Co.		1,499		112,170
Marten Transport Ltd.		4,721		110,707
Ryder System, Inc.		1,447		109,162
Esterline Technologies Corp.*		1,244		107,046
Scorpio Tankers, Inc.		22,984		102,049
Oshkosh Corp.		812		55,695
Rand Logistics, Inc.*		34,819		22,284
Total Industrial				2,451,737
Consumer, Non-cyclical - 11.4%
Dean Foods Co.		15,013		295,155
Sanderson Farms, Inc.		2,145		222,737
Emergent BioSolutions, Inc.*		7,628		221,517
Molina Healthcare, Inc.*		4,632		211,219
Premier, Inc. — Class A*		5,405		172,041
Fresh Del Monte Produce, Inc.		2,474		146,535
Air Methods Corp.*		3,197		137,471
Navigant Consulting, Inc.*		5,940		135,788
HealthSouth Corp.		3,050		130,571
AMN Healthcare Services, Inc.*		3,100		125,860
Carriage Services, Inc. — Class A		4,310		116,887
Community Health Systems, Inc.*		12,809		113,616
Lannett Company, Inc.*		4,962		110,901
FTI Consulting, Inc.*		2,544		104,736
Universal Corp.		1,145		81,009
United Rentals, Inc.*		612		76,531
Darling Ingredients, Inc.*		3,076		44,664
Total Consumer, Non-cyclical				2,447,238
Consumer, Cyclical - 9.9%
Century Communities, Inc.*		14,066		357,276
UniFirst Corp.		2,125		300,581
Wabash National Corp.		13,263		274,411
International Speedway Corp. — Class A		5,946		219,705
Cooper Tire & Rubber Co.		2,768		122,761
Meritage Homes Corp.*		3,028		111,430
Asbury Automotive Group, Inc.*		1,775		106,678
Tenneco, Inc.		1,680		104,866
Unifi, Inc.*		3,498		99,308
Hawaiian Holdings, Inc.*		2,099		97,499
La-Z-Boy, Inc.		3,019		81,513
Tuesday Morning Corp.*		14,740		55,275
Caleres, Inc.		2,045		54,028
Genesco, Inc.*		908		50,349
Deckers Outdoor Corp.*		770		45,992
DSW, Inc. — Class A		2,004		41,443
Total Consumer, Cyclical				2,123,115

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
SMALL CAP VALUE FUND

	Shares		Value
Utilities - 7.5%
Portland General Electric Co.		7,660	$	340,258
Avista Corp.		7,683		300,021
Spire, Inc.		4,200		283,500
Black Hills Corp.		3,818		253,782
ONE Gas, Inc.		2,124		143,582
Calpine Corp.*		9,927		109,693
ALLETE, Inc.		1,391		94,185
Southwest Gas Holdings, Inc.		999		82,827
Total Utilities				1,607,848
Energy - 6.1%
Oasis Petroleum, Inc.*		20,144		287,254
Laredo Petroleum, Inc.*		16,817		245,528
Rowan Companies plc — Class A*		7,640		119,031
Chesapeake Energy Corp.*		18,597		110,466
Oceaneering International, Inc.		3,934		106,533
Delek US Holdings, Inc.		4,363		105,890
Western Refining, Inc.		2,774		97,284
MRC Global, Inc.*		5,304		97,222
Gulfport Energy Corp.*		4,906		84,334
Jones Energy, Inc. — Class A*		19,332		49,297
Total Energy				1,302,839
Communications - 5.2%
Viavi Solutions, Inc.*		25,599		274,421
DigitalGlobe, Inc.*		6,676		218,639
Bankrate, Inc.*		18,066		174,337
NeoPhotonics Corp.*		17,137		154,404
Infinera Corp.*		12,200		124,806
Scholastic Corp.		2,417		102,892
Time, Inc.		2,850		55,148
Total Communications				1,104,647
Technology - 5.0%
IXYS Corp.		14,972		217,843
Axcelis Technologies, Inc.*		9,706		182,472
MicroStrategy, Inc. — Class A*		857		160,945
Photronics, Inc.*		14,292		152,924
Cray, Inc.*		5,362		117,428
Maxwell Technologies, Inc.*		19,762		114,817
ManTech International Corp. — Class A		2,096		72,584
InnerWorkings, Inc.*		5,611		55,886
Total Technology				1,074,899
Basic Materials - 3.0%
Kaiser Aluminum Corp.		2,709		216,450
Reliance Steel & Aluminum Co.		2,412		193,008
Olin Corp.		3,701		121,652
Chemtura Corp.*		3,411		113,927
Total Basic Materials				645,037
Total Common Stocks
(Cost $17,967,615)				20,944,205
CONVERTIBLE PREFERRED STOCKS††† - 0.0%**
Thermoenergy Corp.*, 1,3		6,250		—
Total Convertible Preferred Stocks
(Cost $5,968)				—
EXCHANGE-TRADED FUNDS† - 0.3%
iShares Russell 2000 Value ETF		500		59,080
Total Exchange-Traded Funds
(Cost $60,035)				59,080
SHORT-TERM INVESTMENTS† - 1.9%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%2		398,335		398,335
Total Short-Term Investments
(Cost $398,335)				398,335
Total Investments - 100.1%
(Cost $18,431,953)			$	21,401,620
Other Assets & Liabilities, net - (0.1)%				(18,935	)
Total Net Assets - 100.0%			$	21,382,685

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	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, 2017.
3	Illiquid security.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
SMALL CAP VALUE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3			Total
Common Stocks	$	20,944,205	$	—	$	—		$	20,944,205
Convertible Preferred Stocks		—		—		—	*		—
Exchanged-Traded Funds		59,080		—		—			59,080
Short Term Investments		398,335		—		—			398,335
Total	$	21,401,620	$	—	$	0		$	21,401,620

* Security has a market value of $0.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $18,431,953)	$	21,401,620
Prepaid expenses		29,833
Receivables:
Securities sold		86,023
Fund shares sold		28,571
Dividends		25,413
Total assets		21,571,460
Liabilities:
Payable for:
Securities purchased		144,200
Transfer agent/maintenance fees		12,252
Management fees		7,562
Fund shares redeemed		7,290
Distribution and service fees		6,598
Trustees’ fees*		1,472
Miscellaneous		9,401
Total liabilities		188,775
Net assets	$	21,382,685
Net assets consist of:
Paid in capital	$	17,749,345
Accumulated net investment loss		(93,822	)
Accumulated net realized gain on investments		757,495
Net unrealized appreciation on investments		2,969,667
Net assets	$	21,382,685
A-Class:
Net assets	$	12,307,521
Capital shares outstanding		803,264
Net asset value per share	$	15.32
Maximum offering price per share (Net asset value divided by 95.25%)	$	16.08
C-Class:
Net assets	$	4,736,055
Capital shares outstanding		334,024
Net asset value per share	$	14.18
P-Class:
Net assets	$	12,858
Capital shares outstanding		838
Net asset value per share	$	15.34
Institutional Class:
Net assets	$	4,326,251
Capital shares outstanding		306,748
Net asset value per share	$	14.10

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends	$	150,250
Interest		1,010
Total investment income		151,260
Expenses:
Management fees		94,502
Transfer agent/maintenance fees:
A-Class		11,721
C-Class		5,713
P-Class		93
Institutional Class		937
Distribution and service fees:
A-Class		17,651
C-Class		24,415
P-Class		21
Fund accounting/administration fees		12,450
Registration fees		20,711
Trustees’ fees*		2,838
Line of credit fees		1,981
Custodian fees		1,154
Miscellaneous		13,557
Total expenses		207,744
Less:
Expenses waived by Adviser		(37,021	)
Expenses reimbursed by Adviser:
A-Class		(11,402	)
C-Class		(5,534	)
P-Class		(70	)
Institutional Class		(928	)
Total waived/reimbursed expenses		(54,955	)
Net expenses		152,789
Net investment loss		(1,529	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,058,266
Net realized gain		1,058,266
Net change in unrealized appreciation (depreciation) on:
Investments		1,423,849
Net change in unrealized appreciation (depreciation)		1,423,849
Net realized and unrealized gain		2,482,115
Net increase in net assets resulting from operations	$	2,480,586

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

52 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment loss	$	(1,529	)	$	(16,872	)
Net realized gain (loss) on investments		1,058,266			(211,102	)
Net change in unrealized appreciation (depreciation) on investments		1,423,849			2,754,456
Net increase in net assets resulting from operations		2,480,586			2,526,482
Distributions to shareholders from:
Net investment income
A-Class		(88,266	)		—
P-Class		(72	)		—
Institutional Class		(3,955	)		—
Net realized gains
A-Class		—			(955,328	)
C-Class		—			(396,113	)
P-Class		—			(707	)
Institutional Class		—			(41,348	)
Total distributions to shareholders		(92,293	)		(1,393,496	)
Capital share transactions:
Proceeds from sale of shares
A-Class		3,126,678			3,421,000
C-Class		150,910			750,596
P-Class		9,534			709
Institutional Class		4,702,777			272,695
Distributions reinvested
A-Class		86,816			939,682
C-Class		—			387,206
P-Class		72			707
Institutional Class		3,294			31,740
Cost of shares redeemed
A-Class		(5,878,942	)		(4,780,880	)
C-Class		(785,817	)		(1,836,314	)
P-Class		(8,902	)		(559	)
Institutional Class		(748,844	)		(489,765	)
Net increase (decrease) from capital share transactions		657,576			(1,303,183	)
Net increase (decrease) in net assets		3,045,869			(170,197	)
Net assets:
Beginning of period		18,336,816			18,507,013
End of period	$	21,382,685		$	18,336,816
Accumulated net investment loss at end of period	$	(93,822	)	$	—

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		215,052			266,786
C-Class		10,844			65,317
P-Class		636			58
Institutional Class		337,180			23,593
Shares issued from reinvestment of distributions
A-Class		5,894			74,756
C-Class		—			33,151
P-Class		5			56
Institutional Class		243			2,743
Shares redeemed
A-Class		(393,931	)		(372,375	)
C-Class		(55,848	)		(152,218	)
P-Class		(580	)		(43	)
Institutional Class		(53,096	)		(42,731	)
Net increase (decrease) in shares		66,399			(100,907	)

54 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	13.61		$	12.78		$	16.82		$	17.81		$	15.04		$	11.66
Income (loss) from investment operations:
Net investment income (loss)b		.01			.01			.02			(.03	)		(—	)c		(.03	)
Net gain (loss) on investments (realized and unrealized)		1.79			1.81			(.60	)		.26			4.05			3.73
Total from investment operations		1.80			1.82			(.58	)		.23			4.05			3.70
Less distributions from:
Net investment income		(.09	)		—			(.09	)		(.03	)		(.01	)		—
Net realized gains		—			(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)
Total distributions		(.09	)		(.99	)		(3.46	)		(1.22	)		(1.28	)		(.32	)
Net asset value, end of period	$	15.32		$	13.61		$	12.78		$	16.82		$	17.81		$	15.04
Total Returnd		13.30	%		14.81	%		(5.23	%)		1.07	%		29.39	%		32.19	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,308		$	13,283		$	12,866		$	17,342		$	16,487		$	12,294
Ratios to average net assets:
Net investment income (loss)		0.14	%		0.12	%		0.13	%		(0.14	%)		(0.02	%)		(0.24	%)
Total expensese		1.85	%		2.29	%		1.99	%		1.85	%		1.91	%		2.14	%
Net expensesf		1.32	%h		1.32	%h		1.32	%h		1.32	%h		1.30	%		1.30	%
Portfolio turnover rate		27	%		64	%		62	%		45	%		34	%		62	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	12.57		$	11.95		$	15.96		$	17.05		$	14.54		$	11.36
Income (loss) from investment operations:
Net investment income (loss)b		(.04	)		(.08	)		(.09	)		(.15	)		(.12	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		1.65			1.69			(.55	)		.25			3.90			3.64
Total from investment operations		1.61			1.61			(.64	)		.10			3.78			3.50
Less distributions from:
Net realized gains		—			(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)
Total distributions		—			(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)
Net asset value, end of period	$	14.18		$	12.57		$	11.95		$	15.96		$	17.05		$	14.54
Total Returnd		12.90	%		14.02	%		(5.97	%)		0.30	%		28.34	%		31.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,736		$	4,762		$	5,173		$	8,527		$	5,885		$	3,026
Ratios to average net assets:
Net investment income (loss)		(0.59	%)		(0.64	%)		(0.65	%)		(0.87	%)		(0.75	%)		(1.00	%)
Total expensese		2.66	%		3.04	%		2.72	%		2.51	%		2.58	%		2.70	%
Net expensesf		2.07	%h		2.07	%h		2.08	%h		2.07	%h		2.05	%		2.05	%
Portfolio turnover rate		27	%		64	%		62	%		45	%		34	%		62	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	13.60		$	12.77		$	14.33
Income (loss) from investment operations:
Net investment income (loss)b		—	c		.02			.04
Net gain (loss) on investments (realized and unrealized)		1.81			1.80			(1.60	)
Total from investment operations		1.81			1.82			(1.56	)
Less distributions from:
Net investment income		(.07	)		—			—
Net realized gains		—			(.99	)		—
Total distributions		(.07	)		(.99	)		—
Net asset value, end of period	$	15.34		$	13.60		$	12.77
Total Returnd		13.25	%		14.88	%		(10.82	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13		$	11		$	9
Ratios to average net assets:
Net investment income (loss)		0.02	%		0.13	%		0.60	%
Total expensese		2.79	%		2.50	%		4.04	%
Net expensesf,h		1.32	%		1.32	%		1.31	%
Portfolio turnover rate		27	%		64	%		62	%

56 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	12.54		$	11.82		$	17.04		$	18.04		$	15.21		$	11.76
Income (loss) from investment operations:
Net investment income (loss)b		.03			.04			.05			.01			.04			—	c
Net gain (loss) on investments (realized and unrealized)		1.65			1.67			(.49	)		.25			4.10			3.77
Total from investment operations		1.68			1.71			(.44	)		.26			4.14			3.77
Less distributions from:
Net investment income		(.12	)		—			(1.41	)		(.07	)		(.04	)		—
Net realized gains		—			(.99	)		(3.37	)		(1.19	)		(1.27	)		(.32	)
Total distributions		(.12	)		(.99	)		(4.78	)		(1.26	)		(1.31	)		(.32	)
Net asset value, end of period	$	14.10		$	12.54		$	11.82		$	17.04		$	18.04		$	15.21
Total Returnd		13.44	%		15.18	%		(5.01	%)		1.21	%		29.74	%		32.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,326		$	281		$	459		$	753		$	22,315		$	18,591
Ratios to average net assets:
Net investment income (loss)		0.40	%		0.30	%		0.33	%		0.05	%		0.23	%		0.02	%
Total expensese		1.40	%		2.09	%		1.70	%		1.33	%		1.34	%		1.44	%
Net expensesf		1.07	%h		1.07	%h		1.07	%h		1.07	%h		1.05	%		1.05	%
Portfolio turnover rate		27	%		64	%		62	%		45	%		34	%		62	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	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	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	1.30%	1.30%	1.30%	1.30%
C-Class	2.05%	2.05%	2.05%	2.05%
P-Class	1.30%	1.30%	1.30%	—
Institutional Class	1.05%	1.05%	1.05%	1.05%

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

FUND PROFILE (Unaudited) March 31, 2017

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 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	32.2%
Guggenheim Strategy Fund II	28.6%
Guggenheim Strategy Fund I	11.4%
Guggenheim Limited Duration Fund — Institutional Class	7.6%
Apple, Inc.	0.8%
Johnson & Johnson	0.5%
JPMorgan Chase & Co.	0.4%
Pfizer, Inc.	0.4%
Verizon Communications, Inc.	0.3%
Merck & Company, Inc.	0.3%
Top Ten Total	82.5%

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

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 17.1%
Consumer, Non-cyclical - 5.3%
Johnson & Johnson		7,919	$	986,312
Pfizer, Inc.		22,084		755,494
Merck & Company, Inc.		11,023		700,401
UnitedHealth Group, Inc.		3,978		652,432
Medtronic plc		7,086		570,848
Amgen, Inc.		3,460		567,682
AbbVie, Inc.		8,710		567,544
Gilead Sciences, Inc.		7,972		541,458
Allergan plc		2,260		539,959
Biogen, Inc.*		1,681		459,619
Becton Dickinson and Co.		2,445		448,511
Kroger Co.		14,819		437,012
General Mills, Inc.		7,295		430,478
Sysco Corp.		8,165		423,927
Express Scripts Holding Co.*		6,199		408,576
Eli Lilly & Co.		4,567		384,130
Kimberly-Clark Corp.		2,907		382,648
HCA Holdings, Inc.*		3,688		328,195
Kellogg Co.		4,507		327,253
McKesson Corp.		2,175		322,466
Abbott Laboratories		3,643		161,786
Archer-Daniels-Midland Co.		2,519		115,975
Zimmer Biomet Holdings, Inc.		947		115,638
Cardinal Health, Inc.		1,362		111,071
Procter & Gamble Co.		1,191		107,011
Aetna, Inc.		781		99,617
Anthem, Inc.		593		98,070
Total Consumer, Non-cyclical				11,044,113
Financial - 2.6%
JPMorgan Chase & Co.		10,660		936,374
Citigroup, Inc.		11,348		678,837
Bank of New York Mellon Corp.		9,715		458,839
Prudential Financial, Inc.		4,167		444,535
Aflac, Inc.		5,978		432,927
State Street Corp.		5,414		431,009
Travelers Cos., Inc.		3,544		427,194
Allstate Corp.		5,241		427,089
Synchrony Financial		8,757		300,365
Capital One Financial Corp.		2,934		254,260
Berkshire Hathaway, Inc. — Class B*		1,345		224,185
Host Hotels & Resorts, Inc.		6,342		118,342
Equity Residential		1,805		112,307
Wells Fargo & Co.		1,910		106,311
Chubb Ltd.		779		106,139
Bank of America Corp.		4,373		103,159
Total Financial				5,561,872
Technology - 2.5%
Apple, Inc.		11,699		1,680,679
International Business Machines Corp.		3,744		651,980
Oracle Corp.		14,264		636,317
Microsoft Corp.		8,542		562,576
HP, Inc.		24,612		440,063
Fidelity National Information Services, Inc.		5,092		405,425
Intel Corp.		8,888		320,590
Micron Technology, Inc.*		8,741		252,615
QUALCOMM, Inc.		3,053		175,059
Broadcom Ltd.		639		139,915
Hewlett Packard Enterprise Co.		3,923		92,975
Total Technology				5,358,194
Communications - 1.8%
Verizon Communications, Inc.		15,093		735,783
Cisco Systems, Inc.		20,262		684,856
Comcast Corp. — Class A		16,764		630,159
Alphabet, Inc. — Class C*		653		541,703
AT&T, Inc.		11,800		490,290
Amazon.com, Inc.*		280		248,231
Facebook, Inc. — Class A*		1,591		226,002
Twenty-First Century Fox, Inc. — Class A		3,688		119,454
Omnicom Group, Inc.		1,333		114,918
Total Communications				3,791,396
Consumer, Cyclical - 1.7%
CVS Health Corp.		8,548		671,017
Walgreens Boots Alliance, Inc.		5,970		495,809
Wal-Mart Stores, Inc.		6,457		465,421
Southwest Airlines Co.		8,292		445,778
Delta Air Lines, Inc.		9,510		437,080
Ford Motor Co.		36,729		427,525
General Motors Co.		10,663		377,044
Target Corp.		4,470		246,699
Dollar General Corp.		1,545		107,733
Total Consumer, Cyclical				3,674,106
Industrial - 1.4%
Boeing Co.		3,153		557,640
United Technologies Corp.		4,766		534,793
FedEx Corp.		2,406		469,531
Emerson Electric Co.		7,555		452,242
Eaton Corp. plc		6,062		449,497
Waste Management, Inc.		5,889		429,426
General Electric Co.		3,959		117,978
Total Industrial				3,011,107
Energy - 0.8%
Marathon Petroleum Corp.		8,470		428,074
Valero Energy Corp.		6,385		423,262
ConocoPhillips		7,197		358,914
Exxon Mobil Corp.		3,044		249,639
Anadarko Petroleum Corp.		2,326		144,212
Chevron Corp.		1,047		112,416
Total Energy				1,716,517
Utilities - 0.7%
American Electric Power Company, Inc.		6,595		442,722
PG&E Corp.		6,642		440,763
Exelon Corp.		12,242		440,467

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
STYLEPLUS—LARGE CORE FUND

	Shares		Value
NextEra Energy, Inc.		861	$	110,527
Total Utilities				1,434,479
Basic Materials - 0.3%
LyondellBasell Industries N.V. — Class A		4,858		443,001
Dow Chemical Co.		1,766		112,212
Total Basic Materials				555,213
Total Common Stocks
(Cost $33,565,810)				36,146,997
MUTUAL FUNDS† - 79.8%
Guggenheim Strategy Fund III1		2,726,382		68,186,806
Guggenheim Strategy Fund II1		2,423,986		60,599,639
Guggenheim Strategy Fund I1		962,165		24,102,239
Guggenheim Limited Duration Fund — Institutional Class1		647,916		16,022,950
Total Mutual Funds
(Cost $167,963,681)				168,911,634
SHORT-TERM INVESTMENTS† - 3.0%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%2		6,419,680		6,419,680
Total Short-Term Investments
(Cost $6,419,680)				6,419,680
Total Investments - 99.9%
(Cost $207,949,171)			$	211,478,311
Other Assets & Liabilities, net - 0.1%				263,039
Total Net Assets - 100.0%			$	211,741,350

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED†
June 2017 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $235,800)		2	$	(512	)
	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Deutsche Bank Swap August 2017 S&P 500 Index Swap 0.98%3, Terminating 08/03/17 (Notional Value $177,027,380)		39,010	$	21,278,019

*	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, 2017.
3	Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2017.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
STYLEPLUS—LARGE CORE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	36,146,997	$	—	$	—	$	—	$	—	$	36,146,997
Equity Index Swap Agreements		—		—		—		21,278,019		—		21,278,019
Mutual Funds		168,911,634		—		—		—		—		168,911,634
Short-Term Investments		6,419,680		—		—		—		—		6,419,680
Total	$	211,478,311	$	—	$	—	$	21,278,019	$	—	$	232,756,330
Investments in Securities (Liabilities)	Level 1		Level 1 - Other*		Level 2		Level 2 - Other*		Level 3		Total
Equity Futures Contracts	$	—	$	512	$	—	$	—	$	—	$	512

* 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 an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $39,985,490)	$	42,566,677
Investments in affiliated issuers, at value (cost $167,963,681)		168,911,634
Total investments (cost $207,949,171)		211,478,311
Unrealized appreciation on swap agreements		21,278,019
Cash		721,119
Segregated cash with broker		233,000
Prepaid expenses		67,935
Receivables:
Fund shares sold		103,234
Dividends		403,925
Total assets		234,285,543
Liabilities:
Segregated cash due to broker		21,700,000
Payable for:
Securities purchased		388,690
Fund shares redeemed		158,451
Management fees		130,222
Distribution and service fees		45,838
Transfer agent/maintenance fees		40,062
Fund accounting/administration fees		14,435
Trustees’ fees*		11,239
Variation margin		660
Miscellaneous		54,596
Total liabilities		22,544,193
Net assets	$	211,741,350
Net assets consist of:
Paid in capital	$	184,346,624
Undistributed net investment income		852,745
Accumulated net realized gain on investments		1,735,334
Net unrealized appreciation on investments		24,806,647
Net assets	$	211,741,350
A-Class:
Net assets	$	203,400,685
Capital shares outstanding		8,665,346
Net asset value per share	$	23.47
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.64
C-Class:
Net assets	$	2,600,809
Capital shares outstanding		141,034
Net asset value per share	$	18.44
P-Class:
Net assets	$	675,190
Capital shares outstanding		29,000
Net asset value per share	$	23.28
Institutional Class:
Net assets	$	5,064,666
Capital shares outstanding		216,957
Net asset value per share	$	23.34

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends from securities of affiliated issuers	$	2,078,210
Dividends from securities of unaffiliated issuers		409,809
Interest		(17,439	)
Total investment income		2,470,580
Expenses:
Management fees		760,971
Transfer agent/maintenance fees:
A-Class		117,736
C-Class		3,477
P-Class		748
Institutional Class		315
Distribution and service fees:
A-Class		244,140
C-Class		13,477
P-Class		533
Fund accounting/administration fees		81,493
Line of credit fees		15,433
Trustees’ fees*		7,485
Custodian fees		7,283
Miscellaneous		60,628
Total expenses		1,313,719
Less:
Expenses waived by Adviser		(34,493	)
Net expenses		1,279,226
Net investment income		1,191,354
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	1,771,247
Investments in affiliated issuers		2,771
Swap agreements		1,669
Futures contracts		254,120
Net realized gain		2,029,807
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,041,462
Investments in affiliated issuers		282,413
Swap agreements		15,553,276
Futures contracts		(40,345	)
Net change in unrealized appreciation (depreciation)		16,836,806
Net realized and unrealized gain		18,866,613
Net increase in net assets resulting from operations	$	20,057,967

* 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 | 63

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,191,354		$	1,478,222
Net realized gain on investments		2,029,807			4,857,319
Net change in unrealized appreciation (depreciation) on investments		16,836,806			21,789,542
Net increase in net assets resulting from operations		20,057,967			28,125,083
Distributions to shareholders from:
Net investment income
A-Class		(1,414,912	)		(1,021,091	)
P-Class		(3,434	)		(120	)
Institutional Class		(47,453	)		(18,603	)
Net realized gains
A-Class		(3,716,323	)		(19,593,831	)
C-Class		(65,682	)		(390,350	)
P-Class		(7,548	)		(1,552	)
Institutional Class		(86,390	)		(208,131	)
Total distributions to shareholders		(5,341,742	)		(21,233,678	)
Capital share transactions:
Proceeds from sale of shares
A-Class		6,373,012			10,388,479
C-Class		136,106			970,129
P-Class		290,166			400,232
Institutional Class		728,187			5,594,239
Distributions reinvested
A-Class		4,827,591			19,338,091
C-Class		63,911			381,661
P-Class		10,982			1,672
Institutional Class		133,180			225,550
Cost of shares redeemed
A-Class		(10,961,145	)		(25,363,728	)
C-Class		(435,953	)		(1,501,528	)
P-Class		(57,830	)		(46,532	)
Institutional Class		(363,921	)		(1,831,412	)
Net increase from capital share transactions		744,286			8,556,853
Net increase in net assets		15,460,511			15,448,258
Net assets:
Beginning of period		196,280,839			180,832,581
End of period	$	211,741,350		$	196,280,839
Undistributed net investment income at end of period	$	852,745		$	1,127,190

64 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		288,531			494,691
C-Class		7,852			59,504
P-Class		12,487			20,095
Institutional Class		32,191			266,874
Shares issued from reinvestment of distributions
A-Class		223,506			960,661
C-Class		3,755			23,881
P-Class		513			83
Institutional Class		6,203			11,274
Shares redeemed
A-Class		(489,977	)		(1,219,870	)
C-Class		(24,472	)		(90,686	)
P-Class		(2,625	)		(2,213	)
Institutional Class		(16,416	)		(97,608	)
Net increase in shares		41,548			426,686

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	21.86		$	21.14		$	24.53		$	24.27		$	21.25		$	16.79
Income (loss) from investment operations:
Net investment income (loss)b		.13			.16			.11			.20			.06			.06
Net gain (loss) on investments (realized and unrealized)		2.07			3.04			(.12	)		4.45			3.04			4.42
Total from investment operations		2.20			3.20			(.01	)		4.65			3.10			4.48
Less distributions from:
Net investment income		(.16	)		(.13	)		(.22	)		(.06	)		(.08	)		(.02	)
Net realized gains		(.43	)		(2.35	)		(3.16	)		(4.33	)		—			—
Total distributions		(.59	)		(2.48	)		(3.38	)		(4.39	)		(.08	)		(.02	)
Net asset value, end of period	$	23.47		$	21.86		$	21.14		$	24.53		$	24.27		$	21.25
Total Returnc		10.31	%		16.13	%		(0.84	%)		21.59	%		14.64	%		26.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	203,401		$	188,979		$	177,748		$	192,850		$	175,601		$	171,907
Ratios to average net assets:
Net investment income (loss)		1.18	%		0.79	%		0.48	%		0.86	%		0.26	%		0.32	%
Total expensesd		1.29	%		1.33	%		1.32	%		1.41	%		1.37	%		1.36	%
Net expensese		1.25	%		1.31	%		1.32	%		1.39	%		1.37	%		1.36	%
Portfolio turnover rate		13	%		50	%		65	%		107	%		217	%		101	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	17.22		$	17.17		$	20.55		$	21.12		$	18.60		$	14.81
Income (loss) from investment operations:
Net investment income (loss)b		.03			(.02	)		(.08	)		(.02	)		(.15	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		1.62			2.42			(.06	)		3.78			2.67			3.89
Total from investment operations		1.65			2.40			(.14	)		3.76			2.52			3.79
Less distributions from:
Net investment income		—			—			(.08	)		—			—			—
Net realized gains		(.43	)		(2.35	)		(3.16	)		(4.33	)		—			—
Total distributions		(.43	)		(2.35	)		(3.24	)		(4.33	)		—			—
Net asset value, end of period	$	18.44		$	17.22		$	17.17		$	20.55		$	21.12		$	18.60
Total Returnc		9.85	%		15.00	%		(1.72	%)		20.40	%		13.55	%		25.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,601		$	2,650		$	2,767		$	3,042		$	2,275		$	1,669
Ratios to average net assets:
Net investment income (loss)		0.29	%		(0.14	%)		(0.44	%)		(0.08	%)		(0.77	%)		(0.55	%)
Total expensesd		2.17	%		2.27	%		2.25	%		2.36	%		2.34	%		2.22	%
Net expensese		2.14	%		2.25	%		2.25	%		2.34	%		2.34	%		2.22	%
Portfolio turnover rate		13	%		50	%		65	%		107	%		217	%		101	%

66 | 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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	21.75		$	21.11		$	23.12
Income (loss) from investment operations:
Net investment income (loss)b		.10			.21			.03
Net gain (loss) on investments (realized and unrealized)		2.06			2.97			(2.04	)
Total from investment operations		2.16			3.18			(2.01	)
Less distributions from:
Net investment income		(.20	)		(.19	)		—
Net realized gains		(.43	)		(2.35	)		—
Total distributions		(.63	)		(2.54	)		—
Net asset value, end of period	$	23.28		$	21.75		$	21.11
Total Returnc		10.15	%		16.08	%		(8.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	675		$	405		$	14
Ratios to average net assets:
Net investment income (loss)		0.94	%		1.02	%		0.31	%
Total expensesd		1.52	%		1.22	%		1.38	%
Net expensese		1.48	%		1.19	%		1.38	%
Portfolio turnover rate		13	%		50	%		65	%

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

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, 2017a			Year Ended September 30, 2016			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	$	21.78		$	21.00		$	24.42		$	24.25		$	21.28		$	20.84
Income (loss) from investment operations:
Net investment income (loss)b		.17			.24			.12			.23			.06			.07
Net gain (loss) on investments (realized and unrealized)		2.06			3.10			(.10	)		4.38			3.06			.37
Total from investment operations		2.23			3.34			.02			4.61			3.12			.44
Less distributions from:
Net investment income		(.24	)		(.21	)		(.28	)		(.11	)		(.15	)		—
Net realized gains		(.43	)		(2.35	)		(3.16	)		(4.33	)		—			—
Total distributions		(.67	)		(2.56	)		(3.44	)		(4.44	)		(.15	)		—
Net asset value, end of period	$	23.34		$	21.78		$	21.00		$	24.42		$	24.25		$	21.28
Total Returnc		10.53	%		17.00	%		(0.75	%)		21.50	%		14.79	%		2.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,065		$	4,247		$	303		$	80		$	26		$	10
Ratios to average net assets:
Net investment income (loss)		1.53	%		1.11	%		0.52	%		0.97	%		0.26	%		0.59	%
Total expensesd		0.93	%		0.99	%		1.25	%		1.39	%		1.25	%		1.12	%
Net expensese		0.90	%		0.97	%		1.25	%		1.37	%		1.25	%		1.12	%
Portfolio turnover rate		13	%		50	%		65	%		107	%		217	%		101	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers.
f	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.

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

FUND PROFILE (Unaudited) March 31, 2017

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 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	33.1%
Guggenheim Strategy Fund II	25.2%
Guggenheim Strategy Fund I	12.6%
Guggenheim Limited Duration Fund — Institutional Class	7.8%
AmerisourceBergen Corp. — Class A	0.3%
Lam Research Corp.	0.3%
Omnicom Group, Inc.	0.3%
Western Union Co.	0.2%
Tyson Foods, Inc. — Class A	0.2%
Laboratory Corp. of America Holdings	0.2%
Top Ten Total	80.2%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 18.3%
Consumer, Non-cyclical - 7.2%
AmerisourceBergen Corp. — Class A		2,608	$	230,808
Western Union Co.		9,958		202,645
Tyson Foods, Inc. — Class A		3,197		197,287
Laboratory Corp. of America Holdings*		1,317		188,950
Zimmer Biomet Holdings, Inc.		1,469		179,379
United Rentals, Inc.*		1,431		178,947
Zoetis, Inc.		3,296		175,908
DaVita, Inc.*		2,574		174,955
Nielsen Holdings plc		4,231		174,782
Centene Corp.*		2,447		174,373
Conagra Brands, Inc.		4,118		166,119
Hologic, Inc.*		3,740		159,137
WellCare Health Plans, Inc.*		1,066		149,464
HealthSouth Corp.		3,456		147,951
Cardinal Health, Inc.		1,698		138,472
McKesson Corp.		915		135,658
Kellogg Co.		1,863		135,272
Varian Medical Systems, Inc.*		1,406		128,129
Campbell Soup Co.		2,085		119,345
Mylan N.V.*		3,022		117,828
Total System Services, Inc.		2,193		117,238
Dr Pepper Snapple Group, Inc.		1,187		116,231
HCA Holdings, Inc.*		1,288		114,619
Intuitive Surgical, Inc.*		149		114,204
Henry Schein, Inc.*		667		113,370
Sysco Corp.		2,118		109,967
General Mills, Inc.		1,760		103,858
Kroger Co.		3,520		103,805
Sabre Corp.		4,746		100,568
United Therapeutics Corp.*		716		96,932
Charles River Laboratories International, Inc.*		1,076		96,786
Avis Budget Group, Inc.*		3,114		92,112
Incyte Corp.*		655		87,554
Hill-Rom Holdings, Inc.		1,231		86,909
Ingredion, Inc.		683		82,254
CR Bard, Inc.		330		82,018
CoreLogic, Inc.*		1,948		79,323
Robert Half International, Inc.		1,586		77,444
Molina Healthcare, Inc.*		1,623		74,009
Edwards Lifesciences Corp.*		743		69,894
Universal Health Services, Inc. — Class B		524		65,212
MEDNAX, Inc.*		934		64,801
Vantiv, Inc. — Class A*		990		63,479
Spectrum Brands Holdings, Inc.		383		53,241
Lamb Weston Holdings, Inc.		1,238		52,070
TreeHouse Foods, Inc.*		612		51,812
Flowers Foods, Inc.		2,571		49,903
Quintiles IMS Holdings, Inc.*		616		49,606
Cooper Cos., Inc.		245		48,973
Whole Foods Market, Inc.		1,602		47,611
Gartner, Inc.*		434		46,868
ResMed, Inc.		645		46,421
Patterson Companies, Inc.		1,022		46,225
Ionis Pharmaceuticals, Inc.*		1,138		45,748
Seattle Genetics, Inc.*		721		45,322
Total Consumer, Non-cyclical				5,971,796
Consumer, Cyclical - 3.8%
Dollar Tree, Inc.*		2,211		173,475
Lear Corp.		1,178		166,782
Dollar General Corp.		2,192		152,848
Delphi Automotive plc		1,656		133,291
Alaska Air Group, Inc.		1,408		129,845
Michael Kors Holdings Ltd.*		3,294		125,534
Newell Brands, Inc.		2,617		123,444
Liberty Interactive Corporation QVC Group — Class A*		5,489		109,890
Nordstrom, Inc.		2,331		108,555
Southwest Airlines Co.		2,004		107,735
Ross Stores, Inc.		1,626		107,105
Delta Air Lines, Inc.		2,330		107,087
JetBlue Airways Corp.*		4,957		102,164
PACCAR, Inc.		1,484		99,725
Ralph Lauren Corp. — Class A		1,181		96,393
Marriott International, Inc. — Class A		1,003		94,462
AutoZone, Inc.*		130		93,997
Darden Restaurants, Inc.		1,090		91,200
Wyndham Worldwide Corp.		1,072		90,359
WW Grainger, Inc.		375		87,285
Dick’s Sporting Goods, Inc.		1,686		82,041
BorgWarner, Inc.		1,855		77,520
Target Corp.		1,125		62,089
Sally Beauty Holdings, Inc.*		2,966		60,625
Genuine Parts Co.		647		59,789
O’Reilly Automotive, Inc.*		219		59,095
Bed Bath & Beyond, Inc.		1,277		50,390
Under Armour, Inc. — Class C*		2,622		47,983
Casey’s General Stores, Inc.		424		47,594
Aramark		1,261		46,493
Hawaiian Holdings, Inc.*		962		44,685
Advance Auto Parts, Inc.		301		44,626
Whirlpool Corp.		258		44,203
AutoNation, Inc.*		1,030		43,559
Total Consumer, Cyclical				3,071,868
Technology - 2.7%
Lam Research Corp.		1,743		223,731
NVIDIA Corp.		1,689		183,982
Skyworks Solutions, Inc.		1,525		149,420
Fiserv, Inc.*		1,268		146,213
Citrix Systems, Inc.*		1,708		142,430
Fidelity National Information Services, Inc.		1,758		139,972
Microchip Technology, Inc.		1,791		132,140
NCR Corp.*		2,821		128,863
Cerner Corp.*		1,988		116,994
Electronic Arts, Inc.*		1,268		113,512
KLA-Tencor Corp.		1,123		106,764
Teradata Corp.*		3,327		103,536
Maxim Integrated Products, Inc.		1,838		82,636
Akamai Technologies, Inc.*		1,289		76,953

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
STYLEPLUS—MID GROWTH FUND

	Shares		Value
Activision Blizzard, Inc.		1,470	$	73,294
Qorvo, Inc.*		942		64,584
Paychex, Inc.		1,067		62,846
Pitney Bowes, Inc.		4,650		60,962
Nuance Communications, Inc.*		3,231		55,929
Black Knight Financial Services, Inc. — Class A*		1,257		48,143
Total Technology				2,212,904
Communications - 2.0%
Omnicom Group, Inc.		2,466		212,594
Discovery Communications, Inc. — Class A*		6,118		177,973
Zayo Group Holdings, Inc.*		4,617		151,899
Scripps Networks Interactive, Inc. — Class A		1,772		138,872
CDW Corp.		1,866		107,687
CommScope Holding Company, Inc.*		2,422		101,022
F5 Networks, Inc.*		665		94,809
VeriSign, Inc.*		1,081		94,166
eBay, Inc.*		2,763		92,754
IAC/InterActiveCorp*		1,197		88,243
Palo Alto Networks, Inc.*		608		68,509
Twitter, Inc.*		4,025		60,174
Expedia, Inc.		426		53,748
Motorola Solutions, Inc.		620		53,456
AMC Networks, Inc. — Class A*		893		52,401
Interpublic Group of Cos., Inc.		2,054		50,467
Total Communications				1,598,774
Industrial - 1.8%
Textron, Inc.		2,784		132,491
Ingersoll-Rand plc		1,502		122,143
Masco Corp.		3,168		107,680
Stanley Black & Decker, Inc.		759		100,848
TransDigm Group, Inc.		456		100,394
Huntington Ingalls Industries, Inc.		460		92,110
Spirit AeroSystems Holdings, Inc. — Class A		1,534		88,849
Waste Management, Inc.		1,071		78,097
Rockwell Collins, Inc.		755		73,356
Carlisle Companies, Inc.		679		72,252
Stericycle, Inc.*		787		65,234
Amphenol Corp. — Class A		880		62,630
Swift Transportation Co. — Class A*		2,624		53,897
Clean Harbors, Inc.*		930		51,727
Fortune Brands Home & Security, Inc.		840		51,114
PerkinElmer, Inc.		844		49,003
Johnson Controls International plc		1,129		47,553
Owens-Illinois, Inc.*		2,287		46,609
Waters Corp.*		288		45,017
Total Industrial				1,441,004
Financial - 0.7%
SBA Communications Corp.*		1,358		163,462
Alliance Data Systems Corp.		626		155,874
CBRE Group, Inc. — Class A*		1,520		52,881
Federated Investors, Inc. — Class B		1,747		46,016
Ameriprise Financial, Inc.		349		45,258
Invesco Ltd.		1,463		44,812
Lincoln National Corp.		669		43,786
Total Financial				552,089
Basic Materials - 0.1%
Steel Dynamics, Inc.		1,333		46,335
Total Common Stocks
(Cost $14,068,139)				14,894,770
MUTUAL FUNDS† - 78.7%
Guggenheim Strategy Fund III1		1,076,983		26,935,345
Guggenheim Strategy Fund II1		821,640		20,540,999
Guggenheim Strategy Fund I1		408,023		10,220,982
Guggenheim Limited Duration Fund - Institutional Class1		257,684		6,372,515
Total Mutual Funds
(Cost $63,724,241)				64,069,841
SHORT-TERM INVESTMENTS† - 3.3%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%2		2,701,165		2,701,165
Total Short-Term Investments
(Cost $2,701,165)				2,701,165
Total Investments - 100.3%
(Cost $80,493,545)			$	81,665,776
Other Assets & Liabilities, net - (0.3)%				(281,493	)
Total Net Assets - 100.0%			$	81,384,283

	Contracts		Unrealized Gain
EQUITY FUTURES CONTRACTS PURCHASED†
June 2017 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $343,660)		2	$	2,383
June 2017 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $108,730)		1		1,013
(Total Aggregate Value of Contracts $452,390)			$	3,396

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
STYLEPLUS—MID GROWTH FUND

	Units		Unrealized Gain
OTC EQUITY INDEX SWAP AGREEMENTS††
Deutsche Bank Swap August 2017 Russell Midcap Growth Index Swap 0.95%3, Terminating 08/03/17 (Notional Value $67,078,927)		27,747	$	6,995,746

*	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, 2017.
3	Total Return based on Russell Midcap Growth Index +/- financing at a variable rate. Rate indicated is the rate effective at March 31, 2017.
	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, 2017 (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	$	14,894,770	$	—	$	—	$	—	$	—	$	14,894,770
Equity Futures Contracts		—		3,396		—		—		—		3,396
Equity Index Swap Agreements		—		—		—		6,995,746		—		6,995,746
Mutual Funds		64,069,841		—		—		—		—		64,069,841
Short-Term Investments		2,701,165		—		—		—		—		2,701,165
Total	$	81,665,776	$	3,396	$	—	$	6,995,746	$	—	$	88,664,918

* 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 an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $16,769,304)	$	17,595,935
Investments in affiliated issuers, at value (cost $63,724,241)		64,069,841
Total investments (cost $80,493,545)		81,665,776
Unrealized appreciation on swap agreements		6,995,746
Segregated cash with broker		88,850
Prepaid expenses		61,673
Cash		431
Receivables:
Variation margin		40
Fund shares sold		84
Dividends		147,712
Investment adviser		31
Other assets		27,600
Total assets		88,987,943
Liabilities:
Segregated cash due to broker		6,770,000
Payable for:
Fund shares redeemed		546,689
Securities purchased		147,322
Management fees		50,034
Transfer agent/maintenance fees		25,827
Distribution and service fees		19,729
Fund accounting/administration fees		5,553
Trustees’ fees*		593
Miscellaneous		37,913
Total liabilities		7,603,660
Net assets	$	81,384,283
Net assets consist of:
Paid in capital	$	74,903,859
Undistributed net investment income		196,812
Accumulated net realized loss on investments		(1,887,761	)
Net unrealized appreciation on investments		8,171,373
Net assets	$	81,384,283
A-Class:
Net assets	$	77,288,142
Capital shares outstanding		1,778,490
Net asset value per share	$	43.46
Maximum offering price per share (Net asset value divided by 95.25%)	$	45.63
C-Class:
Net assets	$	3,798,116
Capital shares outstanding		115,633
Net asset value per share	$	32.85
P-Class:
Net assets	$	107,737
Capital shares outstanding		2,505
Net asset value per share	$	43.01
Institutional Class:
Net assets	$	190,288
Capital shares outstanding		4,372
Net asset value per share	$	43.52

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

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends from securities of affiliated issuers	$	802,325
Dividends from securities of unaffiliated issuers		98,819
Interest		(4,944	)
Total investment income		896,200
Expenses:
Management fees		295,071
Transfer agent/maintenance fees:
A-Class		42,094
C-Class		4,874
P-Class		227
Institutional Class		101
Distribution and service fees:
A-Class		93,395
C-Class		18,614
P-Class		129
Fund accounting/administration fees		31,600
Line of credit fees		6,883
Custodian fees		6,564
Trustees’ fees*		3,246
Miscellaneous		28,931
Total expenses		531,729
Less:
Expenses waived by Adviser		(13,718	)
Net expenses		518,011
Net investment income		378,189
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		356,523
Investments in affiliated issuers		9,551
Futures contracts		190,567
Net realized gain		556,641
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		732,393
Investments in affiliated issuers		98,216
Swap agreements		4,333,556
Futures contracts		3,396
Net change in unrealized appreciation (depreciation)		5,167,561
Net realized and unrealized gain		5,724,202
Net increase in net assets resulting from operations	$	6,102,391

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

74 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	378,189		$	330,289
Net realized gain (loss) on investments		556,641			(2,408,876	)
Net change in unrealized appreciation (depreciation) on investments		5,167,561			10,387,058
Net increase in net assets resulting from operations		6,102,391			8,308,471
Distributions to shareholders from:
Net investment income
A-Class		(439,170	)		(86,688	)
P-Class		(843	)		(63	)
Institutional Class		(931	)		(170	)
Net realized gains
A-Class		—			(9,333,165	)
C-Class		—			(773,702	)
P-Class		—			(1,713	)
Institutional Class		—			(7,288	)
Total distributions to shareholders		(440,944	)		(10,202,789	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,975,269			3,894,517
C-Class		179,915			584,068
P-Class		170			82,974
Institutional Class		109,146			94,989
Distributions reinvested
A-Class		412,206			9,015,453
C-Class		—			758,694
P-Class		843			1,776
Institutional Class		872			6,154
Cost of shares redeemed
A-Class		(5,651,416	)		(12,325,038	)
C-Class		(412,323	)		(2,028,207	)
P-Class		(2,084	)		(272	)
Institutional Class		(44,519	)		(40,892	)
Net increase (decrease) from capital share transactions		(431,921	)		44,216
Net increase (decrease) in net assets		5,229,526			(1,850,102	)
Net assets:
Beginning of period		76,154,757			78,004,859
End of period	$	81,384,283		$	76,154,757
Undistributed net investment income at end of period	$	196,812		$	259,567

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

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		123,534			98,799
C-Class		5,900			19,452
P-Class		4			2,227
Institutional Class		2,624			2,436
Shares issued from reinvestment of distributions
A-Class		10,323			236,875
C-Class		—			26,225
P-Class		21			47
Institutional Class		22			161
Shares redeemed
A-Class		(136,665	)		(318,222	)
C-Class		(13,253	)		(67,971	)
P-Class		(49	)		(7	)
Institutional Class		(1,069	)		(1,090	)
Net decrease in shares		(8,608	)		(1,068	)

76 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	40.52		$	41.49		$	45.82		$	43.54		$	36.40		$	28.67
Income (loss) from investment operations:
Net investment income (loss)b		.21			.19			.07			.16			(.16	)		(.25	)
Net gain (loss) on investments (realized and unrealized)		2.97			4.25			.63			6.21			7.30			7.98
Total from investment operations		3.18			4.44			.70			6.37			7.14			7.73
Less distributions from:
Net investment income		(.24	)		(.05	)		—			—			—			—
Net realized gains		—			(5.36	)		(5.03	)		(4.09	)		—			—
Total distributions		(.24	)		(5.41	)		(5.03	)		(4.09	)		—			—
Net asset value, end of period	$	43.46		$	40.52		$	41.49		$	45.82		$	43.54		$	36.40
Total Returnc		7.90	%		11.55	%		1.04	%		15.61	%		19.62	%		26.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	77,288		$	72,179		$	73,178		$	77,363		$	70,767		$	65,767
Ratios to average net assets:
Net investment income (loss)		1.00	%		0.48	%		0.16	%		0.36	%		(0.40	%)		(0.74	%)
Total expensesd		1.31	%		1.45	%		1.47	%		1.67	%		1.57	%		1.62	%
Net expensese		1.27	%		1.43	%		1.47	%		1.65	%		1.57	%		1.62	%
Portfolio turnover rate		17	%		61	%		75	%		112	%		214	%		149	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	30.58		$	32.78		$	37.48		$	36.63		$	30.92		$	24.55
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.12	)		(.25	)		(.20	)		(.45	)		(.46	)
Net gain (loss) on investments (realized and unrealized)		2.25			3.28			.58			5.14			6.16			6.83
Total from investment operations		2.27			3.16			.33			4.94			5.71			6.37
Less distributions from:
Net realized gains		—			(5.36	)		(5.03	)		(4.09	)		—			—
Total distributions		—			(5.36	)		(5.03	)		(4.09	)		—			—
Net asset value, end of period	$	32.85		$	30.58		$	32.78		$	37.48		$	36.63		$	30.92
Total Returnc		7.46	%		10.55	%		0.20	%		14.56	%		18.47	%		25.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,798		$	3,760		$	4,762		$	4,329		$	4,103		$	4,346
Ratios to average net assets:
Net investment income (loss)		0.10	%		(0.42	%)		(0.68	%)		(0.55	%)		(1.36	%)		(1.57	%)
Total expensesd		2.21	%		2.34	%		2.31	%		2.57	%		2.53	%		2.45	%
Net expensese		2.17	%		2.32	%		2.31	%		2.55	%		2.53	%		2.45	%
Portfolio turnover rate		17	%		61	%		75	%		112	%		214	%		149	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	40.27		$	41.48		$	45.96
Income (loss) from investment operations:
Net investment income (loss)b		.14			.26			—	g
Net gain (loss) on investments (realized and unrealized)		2.93			4.09			(4.48	)
Total from investment operations		3.07			4.35			(4.48	)
Less distributions from:
Net investment income		(.33	)		(.20	)		—
Net realized gains		—			(5.36	)		—
Total distributions		(.33	)		(5.56	)		—
Net asset value, end of period	$	43.01		$	40.27		$	41.48
Total Returnc		7.70	%		11.36	%		(9.75	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	108		$	102		$	11
Ratios to average net assets:
Net investment income (loss)		0.68	%		0.69	%		0.00	%
Total expensesd		1.63	%		1.39	%		1.49	%
Net expensese		1.60	%		1.35	%		1.49	%
Portfolio turnover rate		17	%		61	%		75	%

78 | 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, 2017a			Year Ended September  30, 2016			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	$	40.59		$	41.64		$	45.96		$	43.72		$	36.46		$	36.16
Income (loss) from investment operations:
Net investment income (loss)b		.25			.19			.11			.11			(.07	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		2.99			4.25			.60			6.22			7.33			.38
Total from investment operations		3.24			4.44			.71			6.33			7.26			.30
Less distributions from:
Net investment income		(.31	)		(.13	)		—			—			—			—
Net realized gains		—			(5.36	)		(5.03	)		(4.09	)		—			—
Total distributions		(.31	)		(5.49	)		(5.03	)		(4.09	)		—			—
Net asset value, end of period	$	43.52		$	40.59		$	41.64		$	45.96		$	43.72		$	36.46
Total Returnc		8.08	%		11.50	%		1.08	%		15.42	%		19.91	%		0.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	190		$	113		$	54		$	30		$	21		$	10
Ratios to average net assets:
Net investment income (loss)		1.22	%		0.48	%		0.23	%		0.24	%		(0.17	%)		(0.41	%)
Total expensesd		1.08	%		1.46	%		1.41	%		1.81	%		1.33	%		1.37	%
Net expensese		1.05	%		1.44	%		1.41	%		1.79	%		1.33	%		1.37	%
Portfolio turnover rate		17	%		61	%		75	%		112	%		214	%		149	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers.
f	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.

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

FUND PROFILE (Unaudited) March 31, 2017

WORLD EQUITY INCOME FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Country Diversification

At March 31, 2017, the investment diversification of the Fund by country was as follows:

Country	% of Common Stocks	Value
United States	55%	$48,357,502
United Kingdom	8%	6,891,084
Japan	6%	5,382,643
Canada	5%	4,793,653
Switzerland	4%	3,335,225
Sweden	4%	3,306,830
Singapore	2%	2,172,710
Other	16%	14,418,947
Total Securities	100%	$88,658,594

“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	1.8%
Exxon Mobil Corp.	1.7%
Wells Fargo & Co.	1.5%
Procter & Gamble Co.	1.5%
AT&T, Inc.	1.5%
Apple, Inc.	1.4%
Pfizer, Inc.	1.4%
Merck & Company, Inc.	1.3%
Roche Holding AG	1.3%
Verizon Communications, Inc.	1.2%
Top Ten Total	14.6%

“Ten Largest Holdings” excludes any temporary cash investments.

80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 98.4%
Financial - 27.7%
Wells Fargo & Co.		23,700	$	1,319,142
U.S. Bancorp		16,200		834,300
CME Group, Inc. — Class A		6,900		819,720
Everest Re Group Ltd.		3,500		818,334
Nordea Bank AB		71,300		814,075
Swiss Re AG		8,600		772,435
Intercontinental Exchange, Inc.		12,700		760,349
Skandinaviska Enskilda Banken AB — Class A		67,700		753,326
Cincinnati Financial Corp.		9,900		715,474
Marsh & McLennan Companies, Inc.		9,600		709,344
Swedbank AB — Class A		30,400		704,369
Annaly Capital Management, Inc.		63,100		701,041
Hang Seng Bank Ltd.		33,600		681,380
Allianz AG		3,600		666,958
CoreCivic, Inc.		21,100		662,962
AXA S.A.		25,300		654,701
JPMorgan Chase & Co.		7,200		632,448
RenaissanceRe Holdings Ltd.		4,300		621,995
People’s United Financial, Inc.		31,600		575,120
Vicinity Centres		256,058		553,629
Axis Capital Holdings Ltd.		8,100		542,943
Government Properties Trust, Inc.*		129,600		509,924
AGNC Investment Corp.		24,800		493,272
Chubb Ltd.		3,600		490,500
CI Financial Corp.		23,700		471,024
Ascendas Real Estate Investment Trust		259,200		466,943
H&R Real Estate Investment Trust		25,800		447,574
Hysan Development Company Ltd. — Class A*		98,500		446,776
First Capital Realty, Inc.		28,200		424,744
T. Rowe Price Group, Inc.		6,200		422,530
BB&T Corp.		9,100		406,770
CapitaLand Mall Trust		283,900		399,816
Liberty Property Trust		10,300		397,065
Japan Retail Fund Investment Corp.		200		392,365
ING Groep N.V.		25,800		390,042
Sampo Oyj — Class A		7,300		346,269
Reinsurance Group of America, Inc. — Class A		2,600		330,148
Bank of Montreal		4,000		298,771
Lloyds Banking Group plc		326,800		271,563
RioCan Real Estate Investment Trust		13,100		258,089
Gecina S.A.		1,900		257,847
New York Community Bancorp, Inc.		18,200		254,254
CNP Assurances		12,400		252,419
Banco Bilbao Vizcaya Argentaria S.A.		30,000		232,690
Loews Corp.		4,600		215,142
Societe Generale S.A.		4,200		213,069
Investec plc		30,300		206,341
Singapore Exchange Ltd.		30,700		168,989
PNC Financial Services Group, Inc.		1,400		168,336
Total Financial				24,947,317
Consumer, Non-cyclical - 17.8%
Johnson & Johnson		13,200		1,644,060
Procter & Gamble Co.		14,648		1,316,123
Pfizer, Inc.		36,100		1,234,981
Merck & Company, Inc.		18,900		1,200,906
Roche Holding AG		4,500		1,149,410
UnitedHealth Group, Inc.		6,000		984,060
GlaxoSmithKline plc		46,800		973,119
Automatic Data Processing, Inc.		8,900		911,271
Diageo plc		31,300		895,546
Wm Morrison Supermarkets plc		195,395		587,335
Cardinal Health, Inc.		7,200		587,160
Dr Pepper Snapple Group, Inc.		5,642		552,465
Eli Lilly & Co.		6,400		538,304
Western Union Co.		25,400		516,890
Nielsen Holdings plc		12,100		499,851
Asahi Group Holdings Ltd.		10,667		403,204
Wesfarmers Ltd.		9,100		313,345
Hutchison Port Holdings Trust — Class U		616,900		256,014
Otsuka Holdings Company Ltd.		5,500		248,111
H&R Block, Inc.		10,400		241,800
Takeda Pharmaceutical Company Ltd.		5,100		239,550
Nestle S.A.		3,000		230,212
United Rentals, Inc.*		1,700		212,585
Reed Elsevier plc		8,100		158,631
Atlantia SpA		6,000		154,913
Total Consumer, Non-cyclical				16,049,846
Industrial - 11.5%
Lockheed Martin Corp.		3,542		947,839
3M Co.		4,800		918,384
Waste Management, Inc.		12,200		889,624
Honeywell International, Inc.		6,600		824,142
Republic Services, Inc. — Class A		11,500	��	722,315
CH Robinson Worldwide, Inc.		9,300		718,798
Expeditors International of Washington, Inc.		12,700		717,423
United Parcel Service, Inc. — Class B		6,100		654,530
MTR Corporation Ltd.		111,000		623,449
Fraport AG Frankfurt Airport Services Worldwide		7,000		495,370
Deere & Co.		4,400		478,984
Avnet, Inc.		10,100		462,176
Garmin Ltd.		8,300		424,213
Northrop Grumman Corp.		1,400		332,976
Kuehne + Nagel International AG		1,900		268,455
Raytheon Co.		1,300		198,250
General Electric Co.		6,000		178,800
BAE Systems plc		20,200		162,491
General Dynamics Corp.		800		149,760
FLIR Systems, Inc.		4,000		145,120
Total Industrial				10,313,099
Consumer, Cyclical - 9.7%
McDonald’s Corp.		7,600		985,036
Wal-Mart Stores, Inc.		13,475		971,278
Home Depot, Inc.		6,100		895,663

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
WORLD EQUITY INCOME FUND

	Shares		Value
Mitsui & Company Ltd.		52,300	$	757,545
Ford Motor Co.		59,700		694,908
WW Grainger, Inc.		2,800		651,728
Compass Group plc		28,400		535,903
Japan Airlines Company Ltd.		16,000		506,768
Sankyo Company Ltd.		14,600		487,869
Berkeley Group Holdings plc		11,500		461,960
Yue Yuen Industrial Holdings Ltd.		115,500		454,033
Darden Restaurants, Inc.		4,700		393,249
Fastenal Co.		7,100		365,650
Hennes & Mauritz AB — Class B*		12,100		309,258
Lawson, Inc.		3,688		250,118
Total Consumer, Cyclical				8,720,966
Communications - 9.4%
AT&T, Inc.		31,400		1,304,670
Verizon Communications, Inc.		22,900		1,116,375
Telia Company AB		173,000		725,802
Shaw Communications, Inc. — Class B		31,800		659,267
BCE, Inc.		11,500		509,171
Alphabet, Inc. — Class C*		600		497,736
Thomson Reuters Corp.		11,000		475,700
Singapore Telecommunications Ltd.		168,200		471,347
Telefonica Deutschland Holding AG		91,200		452,449
Singapore Press Holdings Ltd.		161,400		409,601
SES S.A.		17,400		404,787
HKT Trust & HKT Ltd.		305,200		393,501
Bezeq The Israeli Telecommunication Corporation Ltd.		186,000		334,316
Facebook, Inc. — Class A*		1,600		227,280
TDC A/S		35,000		180,500
Amazon.com, Inc.*		200		177,308
Deutsche Telekom AG		8,100		141,942
Total Communications				8,481,752
Technology - 8.9%
Apple, Inc.		8,800		1,264,208
International Business Machines Corp.		6,000		1,044,841
Accenture plc — Class A		8,100		971,028
Canon, Inc.		30,400		947,841
Paychex, Inc.		13,100		771,590
CA, Inc.		20,500		650,260
Fidelity National Information Services, Inc.		7,800		621,036
Microsoft Corp.		9,100		599,326
NTT Data Corp.		9,700		460,058
Oracle Corporation Japan		7,700		439,901
Ricoh Company Ltd.		30,300		249,313
Total Technology				8,019,402
Utilities - 7.0%
Southern Co.		15,560		774,578
CLP Holdings Ltd.		65,437		684,133
SSE plc		36,500		675,028
PPL Corp.		17,554		656,344
Duke Energy Corp.		6,373		522,650
Red Electrica Corporation S.A.		24,100		462,819
Snam SpA		102,800		444,629
DTE Energy Co.		3,993		407,725
AGL Energy Ltd.		18,200		366,670
Emera, Inc.		10,300		363,871
Dominion Resources, Inc.		4,368		338,826
CenterPoint Energy, Inc.		10,412		287,058
SCANA Corp.		2,789		182,261
Sempra Energy		1,299		143,540
Total Utilities				6,310,132
Energy - 4.9%
Exxon Mobil Corp.		18,100		1,484,381
BP plc		157,100		900,554
Phillips 66		6,000		475,320
Kinder Morgan, Inc.		17,500		380,450
OMV AG		7,200		283,337
Valero Energy Corp.		4,000		265,160
Petrofac Ltd.		20,600		237,077
Woodside Petroleum Ltd.		9,100		223,033
Inter Pipeline Ltd.		9,100		191,806
Total Energy				4,441,118
Basic Materials - 1.5%
Potash Corporation of Saskatchewan, Inc.		40,600		693,636
LyondellBasell Industries N.V. — Class A		3,900		355,641
Rio Tinto plc		8,100		325,685
Total Basic Materials				1,374,962
Total Common Stocks
(Cost $81,582,424)				88,658,594
SHORT-TERM INVESTMENTS† - 1.1%
Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Class 0.56%1		995,496		995,496
Total Short-Term Investments
(Cost $995,496)				995,496
Total Investments - 99.5%
(Cost $82,577,920)			$	89,654,090
Other Assets & Liabilities, net - 0.5%				456,788
Total Net Assets - 100.0%			$	90,110,878

*	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, 2017.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
WORLD EQUITY INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	88,658,594	$	—	$	—	$	88,658,594
Short Term Investments		995,496		—		—		995,496
Total	$	89,654,090	$	—	$	—	$	89,654,090

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $82,577,920)	$	89,654,090
Foreign currency, at value (cost $80,598)		80,631
Prepaid expenses		38,957
Receivables:
Fund shares sold		101,201
Dividends		320,942
Foreign taxes reclaim		191,285
Total assets		90,387,106
Liabilities:
Overdraft due to custodian bank		8,801
Payable for:
Fund shares redeemed		137,677
Management fees		55,269
Transfer agent/maintenance fees		33,800
Distribution and service fees		22,516
Fund accounting/administration fees		6,183
Trustees’ fees*		1,622
Miscellaneous		10,360
Total liabilities		276,228
Net assets	$	90,110,878
Net assets consist of:
Paid in capital	$	103,684,016
Accumulated net investment loss		(293,389	)
Accumulated net realized loss on investments		(20,347,860	)
Net unrealized appreciation on investments		7,068,111
Net assets	$	90,110,878
A-Class:
Net assets	$	81,566,707
Capital shares outstanding		5,779,285
Net asset value per share	$	14.11
Maximum offering price per share (Net asset value divided by 95.25%)	$	14.81
C-Class:
Net assets	$	5,892,220
Capital shares outstanding		487,018
Net asset value per share	$	12.10
P-Class:
Net assets	$	139,066
Capital shares outstanding		9,722
Net asset value per share	$	14.30
Institutional Class:
Net assets	$	2,512,885
Capital shares outstanding		179,399
Net asset value per share	$	14.01

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends (net of foreign withholding tax of $103,872)	$	1,497,017
Interest		269
Other income		1,088
Total investment income		1,498,374
Expenses:
Management fees		314,566
Transfer agent/maintenance fees:
A-Class		39,285
C-Class		6,408
P-Class		625
Institutional Class		1,036
Distribution and service fees:
A-Class		101,527
C-Class		27,849
P-Class		172
Fund accounting/administration fees		36,058
Line of credit fees		9,477
Custodian fees		3,752
Trustees’ fees*		3,524
Miscellaneous		30,995
Total expenses		575,274
Less:
Expenses reimbursed by Adviser:
A-Class		(747	)
C-Class		(3,261	)
P-Class		(556	)
Total reimbursed expenses		(4,564	)
Net expenses		570,710
Net investment income		927,664
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,439,342
Futures contracts		(200,154	)
Foreign currency		(14,575	)
Net realized gain		1,224,613
Net change in unrealized appreciation (depreciation) on:
Investments		2,471,705
Futures contracts		19,765
Foreign currency		(3,788	)
Net change in unrealized appreciation (depreciation)		2,487,682
Net realized and unrealized gain		3,712,295
Net increase in net assets resulting from operations	$	4,639,959

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

84 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	927,664		$	2,035,182
Net realized gain (loss) on investments		1,224,613			(1,633,024	)
Net change in unrealized appreciation (depreciation) on investments		2,487,682			10,283,016
Net increase in net assets resulting from operations		4,639,959			10,685,174
Distributions to shareholders from:
Net investment income
A-Class		(816,779	)		(1,891,462	)
C-Class		(46,575	)		(96,485	)
P-Class		(1,406	)		(3,486	)
Institutional Class		(30,793	)		(76,190	)
Total distributions to shareholders		(895,553	)		(2,067,623	)
Capital share transactions:
Proceeds from sale of shares
A-Class		7,759,969			18,583,958
C-Class		691,309			1,520,462
P-Class		7,965			1,274,125
Institutional Class		891,347			2,057,895
Distributions reinvested
A-Class		811,306			1,834,883
C-Class		42,264			84,172
P-Class		1,406			3,486
Institutional Class		24,373			39,956
Cost of shares redeemed
A-Class		(10,966,956	)		(21,141,116	)
C-Class		(516,639	)		(2,663,968	)
P-Class		(9,613	)		(1,141,200	)
Institutional Class		(1,356,576	)		(4,137,425	)
Net decrease from capital share transactions		(2,619,845	)		(3,684,772	)
Net increase in net assets		1,124,561			4,932,779
Net assets:
Beginning of period		88,986,317			84,053,538
End of period	$	90,110,878		$	88,986,317
Accumulated net investment loss at end of period	$	(293,389	)	$	(325,500	)

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		574,310			1,431,215
C-Class		58,486			135,606
P-Class		578			98,351
Institutional Class		65,738			158,922
Shares issued from reinvestment of distributions
A-Class		58,041			138,084
C-Class		3,532			7,362
P-Class		99			265
Institutional Class		1,753			3,033
Shares redeemed
A-Class		(803,060	)		(1,610,092	)
C-Class		(44,017	)		(236,515	)
P-Class		(676	)		(89,636	)
Institutional Class		(98,101	)		(323,244	)
Net decrease in shares		(183,317	)		(286,649	)

86 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	13.54		$	12.28		$	13.51		$	12.60		$	10.55		$	9.70
Income (loss) from investment operations:
Net investment income (loss)b		.14			.31			.29			.38			.18			.15
Net gain (loss) on investments (realized and unrealized)		.57			1.26			(1.18	)		.95			2.16			.70
Total from investment operations		.71			1.57			(.89	)		1.33			2.34			.85
Less distributions from:
Net investment income		(.14	)		(.31	)		(.34	)		(.42	)		(.29	)		(—	)c
Total distributions		(.14	)		(.31	)		(.34	)		(.42	)		(.29	)		(—	)c
Net asset value, end of period	$	14.11		$	13.54		$	12.28		$	13.51		$	12.60		$	10.55
Total Returnd		5.26	%		12.85	%		(6.70	%)		10.62	%		22.58	%		8.82	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	81,567		$	80,575		$	73,568		$	78,783		$	65,966		$	61,838
Ratios to average net assets:
Net investment income (loss)		2.10	%		2.36	%		2.21	%		2.81	%		1.59	%		1.45	%
Total expensesh		1.23	%		1.48	%		1.48	%		1.66	%		1.93	%		2.05	%
Net expensese		1.23	%g		1.48	%g		1.43	%g		1.49	%g		1.59	%		1.63	%
Portfolio turnover rate		29	%		51	%		131	%		131	%		154	%		41	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	11.63		$	10.55		$	11.61		$	10.79		$	9.01		$	8.33
Income (loss) from investment operations:
Net investment income (loss)b		.08			.18			.17			.25			.08			.06
Net gain (loss) on investments (realized and unrealized)		.49			1.09			(1.02	)		.81			1.84			.62
Total from investment operations		.57			1.27			(.85	)		1.06			1.92			.68
Less distributions from:
Net investment income		(.10	)		(.19	)		(.21	)		(.24	)		(.14	)		—
Total distributions		(.10	)		(.19	)		(.21	)		(.24	)		(.14	)		—
Net asset value, end of period	$	12.10		$	11.63		$	10.55		$	11.61		$	10.79		$	9.01
Total Returnd		4.90	%		12.05	%		(7.40	%)		9.79	%		21.57	%		8.16	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,892		$	5,455		$	5,936		$	5,337		$	3,377		$	3,015
Ratios to average net assets:
Net investment income (loss)		1.39	%		1.59	%		1.50	%		2.13	%		0.80	%		0.68	%
Total expensesh		2.11	%		2.35	%		2.28	%		2.62	%		2.89	%		2.88	%
Net expensese		1.98	%g		2.23	%g		2.23	%g		2.24	%g		2.35	%		2.38	%
Portfolio turnover rate		29	%		51	%		131	%		131	%		154	%		41	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	13.73		$	12.33		$	13.62
Income (loss) from investment operations:
Net investment income (loss)b		.15			.33			.12
Net gain (loss) on investments (realized and unrealized)		.56			1.35			(1.29	)
Total from investment operations		.71			1.68			(1.17	)
Less distributions from:
Net investment income		(.14	)		(.28	)		(.12	)
Total distributions		(.14	)		(.28	)		(.12	)
Net asset value, end of period	$	14.30		$	13.73		$	12.33
Total Returnd		5.21	%		13.73	%		(8.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	139		$	133		$	9
Ratios to average net assets:
Net investment income (loss)		2.12	%		2.58	%		2.14	%
Total expensesh		2.04	%		1.33	%		3.54	%
Net expensese,g		1.23	%		1.33	%		1.48	%
Portfolio turnover rate		29	%		51	%		131	%

88 | 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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Per Share Data
Net asset value, beginning of period	$	13.44		$	12.23		$	13.45		$	12.53		$	10.50		$	9.70
Income (loss) from investment operations:
Net investment income (loss)b		.16			.31			.36			.44			.28			.28
Net gain (loss) on investments (realized and unrealized)		.57			1.28			(1.21	)		.90			2.10			.52
Total from investment operations		.73			1.59			(.85	)		1.34			2.38			.80
Less distributions from:
Net investment income		(.16	)		(.38	)		(.37	)		(.42	)		(.35	)		(—	)c
Total distributions		(.16	)		(.38	)		(.37	)		(.42	)		(.35	)		(—	)c
Net asset value, end of period	$	14.01		$	13.44		$	12.23		$	13.45		$	12.53		$	10.50
Total Returnd		5.46	%		13.11	%		(6.42	%)		10.83	%		23.17	%		8.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,513		$	2,824		$	4,541		$	911		$	252		$	90
Ratios to average net assets:
Net investment income (loss)		2.33	%		2.42	%		2.70	%		3.27	%		2.42	%		2.70	%
Total expensesh		0.98	%		1.30	%		1.23	%		1.33	%		1.73	%		1.90	%
Net expensese		0.98	%g		1.22	%g		1.23	%g		1.23	%g		1.26	%		1.32	%
Portfolio turnover rate		29	%		51	%		131	%		131	%		154	%		41	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Distributions from net investment income are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
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 and recouped amounts. Excluding these expenses, the net expense ratios for the periods presented would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	1.22%	1.46%	1.46%	1.46%
C-Class	1.97%	2.21%	2.21%	2.21%
P-Class	1.22%	1.32%	1.46%	—
Institutional Class	0.97%	1.21%	1.21%	1.21%

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

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as 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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, 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. Only A-Class, C-Class, P-Class and Institutional Class shares had been issued by the Funds.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

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

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

The 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 and/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, to 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 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.

90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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 currencies 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 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.

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 values of OTC swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

The value of equity swaps with custom portfolio baskets shall be computed by using the last exchange sale price for each underlying equity security within the swap agreement. A custom portfolio equity swap will be adjusted to include dividends accrued, financing charges and/or interest, as applicable, under the swap agreement.

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

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. 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.

C. 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.

D. 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 an agreement are recognized as realized gains or losses.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 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.

F. 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.

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 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, 2017, there were no earnings credits received.

I. 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 0.82% at March 31, 2017.

92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

J. 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.

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

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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign 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:

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.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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:

Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	1,915,816	$	—
StylePlus—Mid Growth Fund	Index exposure		694,820		—
World Equity Income Fund	Hedge		—		10,378,082

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. 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	$	59,281,032	$	73,702,143
Market Neutral Real Estate Fund	Leverage		—		4,674,336
Risk Managed Real Estate Fund	Leverage		33,128,711		33,535,716
StylePlus—Large Core Fund	Index exposure		164,875,726		—
StylePlus—Mid Growth Fund	Index exposure		63,404,733		—

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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, 2017:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity	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, 2017:

Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Total Value at March 31, 2017
Risk Managed Real Estate Fund	$	—	$	2,103,937	$	2,103,937
StylePlus—Large Core Fund		—		21,278,019		21,278,019
StylePlus—Mid Growth Fund		3,396		6,995,746		6,999,142

Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Total Value at March 31, 2017
Alpha Opportunity Fund	$	—	$	3,017,731	$	3,017,731
Market Neutral Real Estate Fund		—		235,181		235,181
Risk Managed Real Estate Fund		—		1,470,502		1,470,502
StylePlus—Large Core Fund		512		—		512

* 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, 2017:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Currency contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
	Net realized gain (loss) on swap agreements
	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, 2017:

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	$	—	$	31,690	$	—		$	31,690
Market Neutral Real Estate Fund		—		18,662		—			18,662
Risk Managed Real Estate Fund		—		1,732,080		—			1,732,080
StylePlus—Large Core Fund		254,120		1,669		—			255,789
StylePlus—Mid Growth Fund		190,567		—		—			190,567
World Equity Income Fund		—		—		(200,154	)		(200,154	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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	$	—		$	(1,107,430	)	$	—	$	(1,107,430	)
Market Neutral Real Estate Fund		—			29,654			—		29,654
Risk Managed Real Estate Fund		—			98,223			—		98,223
StylePlus—Large Core Fund		(40,345	)		15,553,276			—		15,512,931
StylePlus—Mid Growth Fund		3,396			4,333,556			—		4,336,952
World Equity Income Fund		—			—			19,765		19,765

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 risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

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 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.

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3. Fees and Other Transactions with Affiliates

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

Fund	Management Fees (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	0.75%*
StylePlus—Large Core Fund	0.75%
StylePlus—Mid Growth Fund	0.75%
World Equity Income Fund	0.70%

* Rate effective February 1, 2017. Prior to February 1, 2017, the Fund paid GI 1.00% of the average daily net assets of the Fund.

GI 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	02/01/18
Alpha Opportunity Fund – C-Class	2.86%	11/30/12	02/01/18
Alpha Opportunity Fund – P-Class	2.11%	05/01/15	02/01/18
Alpha Opportunity Fund – Institutional Class	1.86%	11/30/12	02/01/18
Large Cap Value Fund – A-Class	1.15%	11/30/12	02/01/18
Large Cap Value Fund – C-Class	1.90%	11/30/12	02/01/18
Large Cap Value Fund – P-Class	1.15%	05/01/15	02/01/18
Large Cap Value Fund – Institutional Class	0.90%	06/15/13	02/01/18
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	02/01/18
Risk Managed Real Estate Fund – C-Class	2.05%	03/26/14	02/01/18
Risk Managed Real Estate Fund – P-Class	1.30%	05/01/15	02/01/18
Risk Managed Real Estate Fund – Institutional Class	1.10%	03/26/14	02/01/18
Small Cap Value Fund – A-Class	1.30%	11/30/12	02/01/18
Small Cap Value Fund – C-Class	2.05%	11/30/12	02/01/18
Small Cap Value Fund – P-Class	1.30%	05/01/15	02/01/18
Small Cap Value Fund – Institutional Class	1.05%	11/30/12	02/01/18
World Equity Income Fund – A-Class	1.22%	08/15/13	02/01/18
World Equity Income Fund – C-Class	1.97%	08/15/13	02/01/18
World Equity Income Fund – P-Class	1.22%	05/01/15	02/01/18
World Equity Income Fund – Institutional Class	0.97%	08/15/13	02/01/18

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At March 31, 2017, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Fund Total
Alpha Opportunity Fund
A-Class	$	41,181	$	92,503	$	—	$	—	$	133,684
C-Class		9,224		12,810		7,081		—		29,115
P-Class		—		—		—		393		393
Institutional Class		8,751		—		—		—		8,751
Large Cap Value Fund
A-Class		77,995		95,743		87,212		2,542		263,492
C-Class		6,737		9,943		9,306		1,584		27,570
P-Class		—		85		338		392		815
Institutional Class		2,117		2,123		1,129		—		5,369
Market Neutral Real Estate
A-Class		—		—		1,232		614		1,846
C-Class		—		—		1,202		760		1,962
P-Class		—		—		1,242		813		2,055
Institutional Class		—		—		54,673		26,363		81,036
Risk Managed Real Estate Fund
A-Class		136		2,392		918		193		3,639
C-Class		2,092		2,095		2,257		539		6,983
P-Class		—		87		58		129		274
Institutional Class		—		—		—		—		—
Small Cap Value Fund
A-Class		52,604		105,165		123,706		37,531		319,006
C-Class		21,447		44,550		49,668		14,520		130,185
P-Class		—		110		116		120		346
Institutional Class		29,494		4,007		4,063		2,783		40,347
World Equity Income Fund
A-Class		6,952		—		—		273		7,225
C-Class		6,018		2,930		7,207		3,735		19,890
P-Class		—		—		—		556		556
Institutional Class		—		—		2,280		—		2,280

For the period ended March 31, 2017, GI recouped $36,655 from the Alpha Opportunity Fund. This amount is 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 ended March 31, 2017, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount
StylePlus-Large Core Fund	$	34,493
StylePlus-Mid Growth Fund		13,718

For the period ended March 31, 2017, GFD retained sales charges of $356,038 relating to sales of A-Class shares of the Trust.

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

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change had no impact on the financial statements of the Trust.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ fees and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

At March 31, 2017, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of outstanding shares owned
Alpha Opportunity Fund	72%
Large Cap Value Fund	43%
Market Neutral Real Estate Fund	99%
Small Cap Value Fund	31%
StylePlus—Large Core Fund	20%
StylePlus—Mid Growth Fund	25%
World Equity Income Fund	51%

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 from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the 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
Risk Managed Real Estate Fund	Swap equity contracts	$	2,103,937	$	—	$	2,103,937	$	1,470,502	$	—	$	633,435
StylePlus—Large Core Fund	Swap equity contracts		21,278,019		—		21,278,019		—		21,278,019		—
StylePlus—Mid Growth Fund	Swap equity contracts		6,995,746		—		6,995,746		—		6,770,000		225,746

								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	$	3,017,731	$	—	$	3,017,731	$	3,017,731	$	—	$	—
Market Neutral Real Estate Fund	Swap equity contracts		235,181		—		235,181		235,181		—		—
Risk Managed Real Estate Fund	Swap equity contracts		1,470,502		—		1,470,502		1,470,502		—		—

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

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

100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017, 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	$	219,258,984	$	11,068,400	$	(3,548,257	)	$	7,520,143
Large Cap Value Fund		58,321,771		11,164,618		(1,229,372	)		9,935,246
Market Neutral Real Estate Fund		5,183,290		346,553		(68,060	)		278,493
Risk Managed Real Estate Fund		108,875,451		6,088,052		(3,220,357	)		2,867,695
Small Cap Value Fund		18,467,760		3,759,083		(825,223	)		2,933,860
StylePlus—Large Core Fund		208,208,401		4,202,679		(932,770	)		3,269,909
StylePlus—Mid Growth Fund		80,552,949		1,593,056		(480,229	)		1,112,827
World Equity Income Fund		82,823,323		8,877,099		(2,046,332	)		6,830,767

7. Securities Transactions

For the period ended March 31, 2017, 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	$	242,147,800	$	122,867,460
Large Cap Value Fund		16,449,344		12,664,937
Market Neutral Real Estate Fund		3,699,879		3,223,893
Risk Managed Real Estate Fund		71,044,737		63,352,512
Small Cap Value Fund		5,808,962		5,351,670
StylePlus—Large Core Fund		38,483,409		26,176,115
StylePlus—Mid Growth Fund		15,965,697		13,207,428
World Equity Income Fund		25,458,218		29,200,138

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 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, 2017, the Funds did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

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, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Transactions during the period ended March 31, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions			Value 03/31/17		Shares 03/31/17		Investment Income		Realized Gain
StylePlus—Large Core Fund
Guggenheim Limited Duration Fund — Institutional Class	$	15,768,627	$	15,863,143	$	—		$	16,022,950		647,916	$	238,562	$	2,771
Guggenheim Strategy Fund I		23,831,360		213,416		—			24,102,239		962,165		212,679		—
Guggenheim Strategy Fund II		49,693,469		10,775,864		—			60,599,639		2,423,986		641,517		—
Guggenheim Strategy Fund III		67,119,862		985,407		—			68,186,806		2,726,382		985,452		—
		156,413,318		27,837,830		—			168,911,634				2,078,210		2,771
StylePlus—Mid Growth Fund
Guggenheim Limited Duration Fund — Institutional Class	$	6,271,368	$	6,308,757	$	—		$	6,372,515		257,684	$	94,879	$	1,102
Guggenheim Strategy Fund I		8,222,675		3,487,425		(1,509,328	)		10,220,982		408,023		77,017		8,449
Guggenheim Strategy Fund II		20,250,726		241,241		—			20,540,999		821,640		241,153		—
Guggenheim Strategy Fund III		26,513,876		389,258		—			26,935,345		1,076,983		389,276		—
		61,258,645		10,426,681		(1,509,328	)		64,069,841				802,325		9,551

9. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

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, 2017.

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, 2017, was $18,615.

11. Large Shareholder Risk

As of March 31, 2017, 57.5% 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 off set future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.

102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

12. Subsequent Event

At a meeting held on May 23-24, 2017, the Board of Trustees of Guggenheim Funds Trust (the “Board”) approved a reduction in the advisory fee paid by the Alpha Opportunity Fund effective May 31, 2017 from 1.25% to 0.90%. The Board also approved an equivalent reduction in the expense limitation for each share class of the Fund, effective as of the same date. Accordingly, the following changes to the Prospectus are effective May 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103

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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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.

104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105

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).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

106 | 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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, Guggenheim Investments (2012-present). Former: J.D., University of Kansas School of Law (2009-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107

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
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 J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109

3.31.2017

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

GuggenheimInvestments.com SBINC-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
DIVERSIFIED INCOME FUND	8
HIGH YIELD FUND	17
INVESTMENT GRADE BOND FUND	35
LIMITED DURATION FUND	53
MUNICIPAL INCOME FUND	73
NOTES TO FINANCIAL STATEMENTS	83
OTHER INFORMATION	100
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	101
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	105

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500^®”) Index set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly U.S. GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the ”Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index* returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

*Index Definitions

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

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the Funds’ costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund
A-Class	0.88%	3.13%	$ 1,000.00	$ 1,031.30	$ 4.46
C-Class	1.63%	2.74%	1,000.00	1,027.40	8.24
P-Class	0.88%	3.17%	1,000.00	1,031.70	4.46
Institutional Class	0.63%	3.28%	1,000.00	1,032.80	3.19
High Yield Fund
A-Class	1.28%	5.22%	1,000.00	1,052.20	6.55
C-Class	2.03%	4.80%	1,000.00	1,048.00	10.37
P-Class	1.18%	5.31%	1,000.00	1,053.10	6.04
Institutional Class	0.88%	5.48%	1,000.00	1,054.80	4.51
Investment Grade Bond Fund
A-Class	1.02%	0.22%	1,000.00	1,002.20	5.09
C-Class	1.77%	(0.20%)	1,000.00	998.00	8.82
P-Class	1.00%	0.17%	1,000.00	1,001.70	4.99
Institutional Class	0.66%	0.35%	1,000.00	1,003.50	3.30
Limited Duration Fund
A-Class	0.81%	1.48%	1,000.00	1,014.80	4.07
C-Class	1.56%	1.10%	1,000.00	1,011.00	7.82
P-Class	0.81%	1.47%	1,000.00	1,014.70	4.07
Institutional Class	0.56%	1.61%	1,000.00	1,016.10	2.81
Municipal Income Fund
A-Class	0.82%	(2.38%)	1,000.00	976.20	4.04
C-Class	1.57%	(2.82%)	1,000.00	971.80	7.72
P-Class	0.82%	(2.48%)	1,000.00	975.20	4.04
Institutional Class	0.57%	(2.34%)	1,000.00	976.60	2.81

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund
A-Class	0.88%	5.00%	$ 1,000.00	$ 1,020.54	$ 4.43
C-Class	1.63%	5.00%	1,000.00	1,016.80	8.20
P-Class	0.88%	5.00%	1,000.00	1,020.54	4.43
Institutional Class	0.63%	5.00%	1,000.00	1,021.79	3.18
High Yield Fund
A-Class	1.28%	5.00%	1,000.00	1,018.55	6.44
C-Class	2.03%	5.00%	1,000.00	1,014.81	10.20
P-Class	1.18%	5.00%	1,000.00	1,019.05	5.94
Institutional Class	0.88%	5.00%	1,000.00	1,020.54	4.43
Investment Grade Bond Fund
A-Class	1.02%	5.00%	1,000.00	1,019.85	5.14
C-Class	1.77%	5.00%	1,000.00	1,016.11	8.90
P-Class	1.00%	5.00%	1,000.00	1,019.95	5.04
Institutional Class	0.66%	5.00%	1,000.00	1,021.64	3.33
Limited Duration Fund
A-Class	0.81%	5.00%	1,000.00	1,020.89	4.08
C-Class	1.56%	5.00%	1,000.00	1,017.15	7.85
P-Class	0.81%	5.00%	1,000.00	1,020.89	4.08
Institutional Class	0.56%	5.00%	1,000.00	1,022.14	2.82
Municipal Income Fund
A-Class	0.82%	5.00%	1,000.00	1,020.84	4.13
C-Class	1.57%	5.00%	1,000.00	1,017.10	7.90
P-Class	0.82%	5.00%	1,000.00	1,020.84	4.13
Institutional Class	0.57%	5.00%	1,000.00	1,022.09	2.87

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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	30.9%
Guggenheim Limited Duration Fund — Institutional Class	23.7%
Guggenheim Investment Grade Bond Fund — Institutional Class	13.6%
Guggenheim S&P High Income Infrastructure ETF	10.1%
Guggenheim World Equity Income Fund — Institutional Class	5.9%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	4.6%
Neuberger Berman High Yield Strategies Fund, Inc.	0.3%
First Trust Enhanced Equity Income Fund	0.3%
Avenue Income Credit Strategies Fund	0.3%
BlackRock Enhanced Capital and Income Fund, Inc.	0.3%
Top Ten Total	90.0%

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

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
DIVERSIFIED INCOME FUND

	Shares		Value
EXCHANGE-TRADED FUNDS† - 10.1%
Guggenheim S&P High Income Infrastructure ETF1		21,275	$	585,914
Total Exchange-Traded Funds
(Cost $447,192)				585,914
MUTUAL FUNDS† - 78.7%
Guggenheim High Yield Fund — Institutional Class 1		192,875		1,791,813
Guggenheim Limited Duration Fund — Institutional Class 1		55,467		1,371,710
Guggenheim Investment Grade Bond Fund — Institutional Class 1		43,168		787,387
Guggenheim World Equity Income Fund — Institutional Class 1		24,597		344,603
Guggenheim Risk Managed Real Estate Fund — Institutional Class 1		9,344		268,551
Total Mutual Funds
(Cost $4,372,825)				4,564,064
CLOSED-END FUNDS† - 9.4%
Neuberger Berman High Yield Strategies Fund, Inc.		1,346		15,989
First Trust Enhanced Equity Income Fund		1,100		15,884
Avenue Income Credit Strategies Fund		1,134		15,831
BlackRock Enhanced Capital and Income Fund, Inc.		1,076		15,408
Western Asset High Income Fund II, Inc.		2,108		15,220
John Hancock Premium Dividend Fund		907		14,430
First Trust Strategic High Income Fund II		1,100		14,333
Salient Midstream & MLP Fund		1,070		14,317
New America High Income Fund, Inc.		1,517		14,305
Royce Value Trust, Inc.		1,000		14,000
AllianzGI Convertible & Income Fund		2,064		13,953
ClearBridge American Energy MLP Fund, Inc.		1,400		13,888
Eaton Vance Tax-Managed Diversified Equity Income Fund		1,250		13,838
Blackstone / GSO Strategic Credit Fund		868		13,749
Calamos Convertible and High Income Fund		1,206		13,736
PIMCO Income Strategy Fund II		1,364		13,708
Invesco Dynamic Credit Opportunities Fund		1,120		13,698
PIMCO Income Opportunity Fund		551		13,681
John Hancock Investors Trust		798		13,598
Ivy High Income Opportunities Fund		890		13,573
Pioneer High Income Trust		1,350		13,325
BlackRock Multi-Sector Income Trust		766		13,259
AllianceBernstein Global High Income Fund, Inc.		1,050		13,209
AllianzGI Equity & Convertible Income Fund		683		13,182
Barings Global Short Duration High Yield Fund		665		13,154
DoubleLine Income Solutions Fund		650		13,046
Pioneer Floating Rate Trust		1,065		13,014
Nuveen Credit Strategies Income Fund		1,488		12,931
John Hancock Preferred Income Fund III		700		12,908
BlackRock Credit Allocation Income Trust		978		12,870
BlackRock Enhanced Equity Dividend Trust		1,500		12,825
Western Asset High Yield Defined Opportunity Fund, Inc.		834		12,810
Eaton Vance Enhanced Equity Income Fund II		946		12,780
KKR Income Opportunities Fund		750		12,758
Western Asset Premier Bond Fund		951		12,696
Tortoise Pipeline & Energy Fund, Inc.		600		12,672
BlackRock Corporate High Yield Fund, Inc.		1,150		12,558
Cohen & Steers Total Return Realty Fund, Inc.		1,000		12,320
Duff & Phelps Global Utility Income Fund, Inc.		750		12,195
Eaton Vance Tax-Managed Buy-Write Income Fund		700		11,403
Total Closed-End Funds
(Cost $496,341)				543,054
SHORT-TERM INVESTMENTS† - 0.1%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Class 0.56%2		5,484		5,484
Total Short-Term Investments
(Cost $5,484)				5,484
Total Investments - 98.3%
(Cost $5,321,842)			$	5,698,516
Other Assets & Liabilities, net - 1.7%				100,254
Total Net Assets - 100.0%			$	5,798,770

†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer — See Note 8.
2	Rate indicated is the 7 day yield as of March 31, 2017.
	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, 2017
DIVERSIFIED INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Closed-End Funds	$	543,054	$	—	$	—	$	543,054
Exchange-Traded Funds		585,914		—		—		585,914
Mutual Funds		4,564,064		—		—		4,564,064
Short Term Investments		5,484		—		—		5,484
Total	$	5,698,516	$	—	$	—	$	5,698,516

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, 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, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $501,825)	$	548,538
Investments in affiliated issuers, at value (cost $4,820,017)		5,149,978
Total investments (cost $5,321,842)		5,698,516
Prepaid expenses		102,551
Cash		6,756
Receivables:
Dividends		19,643
Investment adviser		6,086
Total assets		5,833,552
Liabilities:
Payable for:
Securities purchased		19,713
Direct shareholders expense		6,770
Transfer agent/maintenance fees		4,892
Custodian fees		1,324
Trustees’ fees*		1,220
Distribution and service fees		164
Fund shares redeemed		2
Miscellaneous		697
Total liabilities		34,782
Net assets	$	5,798,770
Net assets consist of:
Paid in capital	$	5,398,213
Undistributed net investment income		8,151
Accumulated net realized gain on investments		15,732
Net unrealized appreciation on investments		376,674
Net assets	$	5,798,770
A-Class:
Net assets	$	144,283
Capital shares outstanding		5,330
Net asset value per share	$	27.07
Maximum offering price per share (Net asset value divided by 96.00%)	$	28.20
C-Class:
Net assets	$	129,749
Capital shares outstanding		4,796
Net asset value per share	$	27.05
P-Class:
Net assets	$	115,214
Capital shares outstanding		4,257
Net asset value per share	$	27.06
Institutional Class:
Net assets	$	5,409,524
Capital shares outstanding		199,838
Net asset value per share	$	27.07

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends from securities of affiliated issuers	$	85,003
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $32)		48,127
Interest		49
Total investment income		133,179
Expenses:
Management fees		21,126
Transfer agent/maintenance fees
A-Class		181
C-Class		236
P-Class		202
Institutional Class		4,007
Distribution and service fees:
A-Class		174
C-Class		604
P-Class		140
Fund accounting/administration fees		12,465
Professional fees		6,937
Registration fees		6,443
Trustees’ fees*		3,491
Insurance expense		3,476
Line of credit fees		891
Miscellaneous		1,618
Total expenses		61,991
Less:
Expenses waived by Adviser:		(38,597	)
Expenses reimbursed by Adviser:
A-Class		(213	)
C-Class		(268	)
P-Class		(197	)
Institutional Class		(3,932	)
Total waived/reimbursed expenses		(43,207	)
Net expenses		18,784
Net investment income		114,395
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		17,614
Investments in affiliated issuers		35,751
Net realized gain		53,365
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(6,788	)
Investments in affiliated issuers		21,487
Net change in unrealized appreciation (depreciation)		14,699
Net realized and unrealized gain		68,064
Net increase in net assets resulting from operations	$	182,459

* 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 | 11

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Period Ended September 30, 2016a
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	114,395		$	159,987
Net realized gain on investments		53,365			50,887
Net change in unrealized appreciation (depreciation) on investments		14,699			361,975
Net increase in net assets resulting from operations		182,459			572,849
Distributions to shareholders from:
Net investment income
A-Class		(2,777	)		(3,059	)
C-Class		(1,944	)		(2,279	)
P-Class		(2,253	)		(2,744	)
Institutional Class		(112,891	)		(136,669	)
Net realized gains
A-Class		(2,257	)		—
C-Class		(1,912	)		—
P-Class		(1,799	)		—
Institutional Class		(84,531	)		—
Total distributions to shareholders		(210,364	)		(144,751	)
Capital share transactions:
Proceeds from sale of shares
A-Class		7,750			119,796
C-Class		8,902			107,000
P-Class		450			100,100
Institutional Class		—			4,700,000
Distributions reinvested
A-Class		5,034			3,059
C-Class		3,856			2,279
P-Class		4,052			2,744
Institutional Class		197,422			136,669
Cost of shares redeemed
A-Class		(35	)		(91	)
C-Class		(300	)		—
P-Class		(110	)		—
Net increase from capital share transactions		227,021			5,171,556
Net increase in net assets		199,116			5,599,654
Net assets:
Beginning of year		5,599,654			—
End of year	$	5,798,770		$	5,599,654
Undistributed net investment income at end of year	$	8,151		$	13,621

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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Period Ended September 30, 2016a
Capital share activity:
Shares sold
A-Class		291			4,757
C-Class		330			4,260
P-Class		17			4,004
Institutional Class		—			188,000
Shares issued from reinvestment of distributions
A-Class		171			116
C-Class		131			87
P-Class		137			104
Institutional Class		6,641			5,197
Shares redeemed
A-Class		(1	)		(4	)
C-Class		(12	)		—
P-Class		(5	)		—
Net increase in shares		7,700			206,521

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

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

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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.52			.76
Net gain (loss) on investments (realized and unrealized)		.31			2.03
Total from investment operations		.83			2.79
Less distributions from:
Net investment income		(.44	)		(.67	)
Net realized gains		(.44	)		—
Total distributions		(.88	)		(.67	)
Net asset value, end of period	$	27.07		$	27.12
Total Returnd		3.13	%		11.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	144		$	132
Ratios to average net assets:
Net investment income (loss)		3.85	%		4.35	%
Total expensese		2.51	%		3.31	%
Net expensesf,g		0.88	%		0.77	%
Portfolio turnover rate		34	%		83	%

C-Class	Period Ended March 31, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.45			.63
Net gain (loss) on investments (realized and unrealized)		.28			2.03
Total from investment operations		.73			2.66
Less distributions from:
Net investment income		(.35	)		(.55	)
Net realized gains		(.44	)		—
Total distributions		(.79	)		(.55	)
Net asset value, end of period	$	27.05		$	27.11
Total Returnd		2.74	%		10.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	130		$	118
Ratios to average net assets:
Net investment income (loss)		3.09	%		3.58	%
Total expensese		3.39	%		4.05	%
Net expensesf,g		1.63	%		1.52	%
Portfolio turnover rate		34	%		83	%

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

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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			.74
Net gain (loss) on investments (realized and unrealized)		.35			2.05
Total from investment operations		.83			2.79
Less distributions from:
Net investment income		(.44	)		(.68	)
Net realized gains		(.44	)		—
Total distributions		(.88	)		(.68	)
Net asset value, end of period	$	27.06		$	27.11
Total Returnd		3.17	%		11.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	115		$	111
Ratios to average net assets:
Net investment income (loss)		3.84	%		4.32	%
Total expensese		2.61	%		3.21	%
Net expensesf,g		0.88	%		0.80	%
Portfolio turnover rate		34	%		83	%

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

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, 2017a			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.55			.79
Net gain (loss) on investments (realized and unrealized)		.32			2.04
Total from investment operations		.87			2.83
Less distributions from:
Net investment income		(.47	)		(.72	)
Net realized gains		(.44	)		—
Total distributions		(.91	)		(.72	)
Net asset value, end of period	$	27.07		$	27.11
Total Returnd		3.28	%		11.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,410		$	5,238
Ratios to average net assets:
Net investment income (loss)		4.09	%		4.57	%
Total expensese		2.15	%		2.93	%
Net expensesf,g		0.63	%		0.54	%
Portfolio turnover rate		34	%		83	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: January 29, 2016. 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	Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fund waivers. Excluding these expenses, the net expense ratios for the years would be:

	03/31/17	09/30/16
A-Class	0.85%	0.76%
C-Class	1.60%	1.52%
P-Class	0.85%	0.79%
Institutional Class	0.60%	0.54%

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

FUND PROFILE (Unaudited) March 31, 2017

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	% of Total Investments
Fixed Income Instruments
AAA	0.1%
AA	0.1%
A	0.2%
BBB	6.1%
BB	37.6%
B	39.1%
CCC	7.3%
CC	0.4%
NR2	1.8%
Total	92.7%
Other Instruments	7.3%
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.	1.9%
Kennedy-Wilson, Inc.	1.6%
Eldorado Gold Corp.	1.4%
CCO Holdings LLC / CCO Holdings Capital Corp.	1.4%
LBC Tank Terminals Holding Netherlands BV	1.3%
American Midstream Partners Limited Partnership / American Midstream Finance Corp.	1.2%
SPDR Bloomberg Barclays High Yield Bond ETF	1.1%
Jefferies Finance LLC / JFIN Company-Issuer Corp.	1.1%
WMG Acquisition Corp.	1.0%
Unit Corp.	1.0%
Top Ten Total	13.0%

“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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 0.9%
Energy - 0.4%
SandRidge Energy, Inc.*		51,923	$	960,056
Titan Energy LLC*,1		17,186		312,785
Approach Resources, Inc.*		51,060		128,161
Stallion Oilfield Holdings Ltd.*,†††		8,257		5,161
Total Energy				1,406,163
Technology - 0.3%
Aspect Software Parent, Inc.*,†††,1		64,681		968,308
Total Technology				968,308
Consumer, Cyclical - 0.2%
Metro-Goldwyn-Mayer, Inc.*,††		7,040		686,400
Communications - 0.0%
Cengage Learning Acquisitions, Inc.*,††		2,107		25,811
Consumer, Non-cyclical - 0.0%
Targus Group International Equity, Inc*,†††,1		13,240		19,330
Crimson Wine Group Ltd.*		8		80
Total Consumer, Non-cyclical				19,410
Diversified - 0.0%
Leucadia National Corp.		81		2,106
Basic Materials - 0.0%
Mirabela Nickel Ltd.*,†††,1		1,044,540		80
Total Common Stocks
(Cost $4,555,278)				3,108,278
PREFERRED STOCKS†† - 1.1%
Financial - 0.5%
Morgan Stanley 6.38%†,2,3		46,000		1,272,360
Aspen Insurance Holdings Ltd. 5.95%2,3		19,965		538,256
Total Financial				1,810,616
Industrial - 0.5%
Seaspan Corp. 6.38% due 04/30/191		60,625		1,521,688
U.S. Shipping Corp.*,1		14,718		14,718
Total Industrial				1,536,406
Communications - 0.1%
Medianews Group, Inc.*		11,074		276,850
Total Preferred Stocks
(Cost $3,707,846)				3,623,872
WARRANTS†† - 0.0%**
Comstock Resources, Inc.
$0.01, 09/06/18		9,075		83,671
SandRidge Energy, Inc.
$41.34, 10/04/22†		488		493
SandRidge Energy, Inc.
$42.03, 10/04/22†		205		205
Total Warrants
(Cost $108,149)				84,369
EXCHANGE-TRADED FUNDS† - 1.5%
SPDR Bloomberg Barclays High Yield Bond ETF		102,000		3,766,860
SPDR Bloomberg Barclays Short Term High Yield Bond ETF		44,814		1,252,999
Total Exchange-Traded Funds
(Cost $4,897,711)				5,019,859
SHORT-TERM INVESTMENTS† - 4.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 0.50%4		16,104,881		16,104,881
Total Short-Term Investments
(Cost $16,104,881)				16,104,881
	Face Amount10
CORPORATE BONDS†† - 77.8%
Communications - 16.1%
CCO Holdings LLC / CCO Holdings Capital Corp.
5.13% due 05/01/27	$	4,550,000		4,572,749
5.88% due 04/01/24		1,000,000		1,055,000
5.25% due 09/30/22		1,000,000		1,037,500
DISH DBS Corp.
7.75% due 07/01/26		2,575,000		2,993,437
5.88% due 11/15/24		2,400,000		2,520,600
SFR Group S.A.
7.38% due 05/01/266		2,250,000		2,317,500
6.00% due 05/15/226		1,875,000		1,942,969
6.25% due 05/15/246		1,000,000		1,006,250
CSC Holdings LLC
6.75% due 11/15/21		2,650,000		2,873,594
5.25% due 06/01/24		1,550,000		1,544,188
5.50% due 04/15/276		550,000		558,938
T-Mobile USA, Inc.
6.25% due 04/01/21		1,600,000		1,650,000
6.73% due 04/28/22		1,450,000		1,500,170
6.63% due 04/28/21		1,250,000		1,291,875
6.13% due 01/15/22		500,000		528,125
Sprint Communications, Inc.
9.00% due 11/15/186		1,800,000		1,959,750
7.00% due 03/01/206		1,375,000		1,498,750
MDC Partners, Inc.
6.50% due 05/01/246		3,350,000		3,195,063
Inmarsat Finance plc
4.88% due 05/15/226		2,550,000		2,524,500
Virgin Media Secured Finance plc
5.00% due 04/15/27	GBP	1,600,000		2,027,313

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
5.25% due 01/15/266	$	250,000	$	251,250
Cengage Learning, Inc.
9.50% due 06/15/246		2,350,000		2,103,250
Sirius XM Radio, Inc.
5.38% due 07/15/266		1,350,000		1,380,375
5.38% due 04/15/256		675,000		690,863
Altice Financing S.A.
6.63% due 02/15/236		1,700,000		1,769,700
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
3.36% due 09/20/216		1,700,000		1,695,750
EIG Investors Corp.
10.88% due 02/01/24		1,450,000		1,540,625
Zayo Group LLC / Zayo Capital, Inc.
5.75% due 01/15/276		925,000		975,690
Comcast Corp.
3.20% due 07/15/36		1,000,000		887,473
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
7.88% due 05/15/246		900,000		870,750
Anixter, Inc.
5.50% due 03/01/23		650,000		674,375
Ziggo Secured Finance BV
5.50% due 01/15/276		650,000		649,935
Level 3 Financing, Inc.
5.25% due 03/15/26		550,000		552,750
Match Group, Inc.
6.38% due 06/01/24		500,000		540,935
Sirius XM Canada Holdings, Inc.
5.63% due 04/23/216	CAD	500,000		376,922
Total Communications				53,558,914
Financial - 11.7%
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/206		3,600,000		3,636,000
7.50% due 04/15/216		1,900,000		1,916,625
6.88% due 04/15/226		400,000		382,000
Kennedy-Wilson, Inc.
5.88% due 04/01/24		5,050,000		5,176,250
FBM Finance, Inc.
8.25% due 08/15/216		2,877,000		3,049,620
Citigroup, Inc.
6.25%2,3		1,400,000		1,510,250
6.30%2,3		700,000		729,750
5.95%2,3		600,000		624,756
American Equity Investment Life Holding Co.
6.63% due 07/15/21		2,650,000		2,749,375
NFP Corp.
9.00% due 07/15/216		2,400,000		2,536,440
Greystar Real Estate Partners LLC
8.25% due 12/01/226		1,869,000		2,016,184
Lincoln Finance Ltd.
7.38% due 04/15/216		1,700,000		1,802,000
GEO Group, Inc.
5.88% due 10/15/24		925,000		945,812
6.00% due 04/15/26		800,000		810,179
NewStar Financial, Inc.
7.25% due 05/01/20		1,350,000		1,373,625
Garfunkelux Holding Co. 3 S.A.
8.50% due 11/01/22	GBP	700,000		934,269
Capital One Financial Corp.
3.75% due 07/28/26		900,000		871,540
Goldman Sachs Group, Inc.
5.30%2,3		850,000		865,938
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		800,000		812,000
PNC Financial Services Group, Inc.
5.00%2,3		750,000		746,250
Bank of America Corp.
6.10%2,3		700,000		741,650
Cabot Financial Luxembourg S.A.
7.50% due 10/01/23	GBP	550,000		724,591
Wilton Re Finance LLC
5.88% due 03/30/332,6		650,000		662,188
M&T Bank Corp.
5.13%2,3		600,000		597,000
Hospitality Properties Trust
4.95% due 02/15/27		500,000		513,407
EPR Properties
5.75% due 08/15/22		450,000		488,005
HUB International Ltd.
9.25% due 02/15/216		450,000		464,310
Compass Bank
3.88% due 04/10/25		450,000		441,737
Majid AL Futtaim Holding
7.13%3		300,000		316,560
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/216		300,000		300,750
Quicken Loans, Inc.
5.75% due 05/01/256		250,000		245,625
Lock AS
7.00% due 08/15/21	EUR	50,000		56,145
Total Financial				39,040,831
Energy - 10.9%
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
8.50% due 12/15/21		3,850,000		3,927,000
Unit Corp.
6.63% due 05/15/21		3,475,000		3,422,874
Comstock Resources, Inc.
10.00% due 03/15/20		3,300,000		3,300,000
Sabine Pass Liquefaction LLC
6.25% due 03/15/22		1,861,000		2,065,301
5.00% due 03/15/27		600,000		627,202
CONSOL Energy, Inc.
8.00% due 04/01/23		1,300,000		1,366,625

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
5.88% due 04/15/22	$	1,050,000	$	1,038,188
EP Energy LLC / Everest Acquisition Finance, Inc.
8.00% due 02/15/256		1,150,000		1,069,500
9.38% due 05/01/20		650,000		612,755
6.38% due 06/15/23		650,000		498,875
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25		1,975,000		2,014,500
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.	��
7.88% due 12/15/24		1,650,000		1,720,125
Gibson Energy, Inc.
5.25% due 07/15/246		2,250,000		1,691,920
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.63% due 12/01/21		1,090,000		817,500
8.00% due 12/01/20		965,000		733,400
QEP Resources, Inc.
5.25% due 05/01/23		850,000		833,332
6.88% due 03/01/21		650,000		690,625
Cheniere Corpus Christi Holdings LLC
5.88% due 03/31/25		1,350,000		1,407,375
Pattern Energy Group, Inc.
5.88% due 02/01/246		1,375,000		1,392,187
Antero Resources Corp.
5.63% due 06/01/23		1,000,000		1,022,500
5.13% due 12/01/22		300,000		303,938
TerraForm Power Operating LLC
6.38% due 02/01/236,7		1,250,000		1,298,438
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/228		1,750,000		1,050,000
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.75% due 04/15/25		1,000,000		995,000
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.75% due 04/01/25		700,000		714,875
FTS International, Inc.
8.63% due 06/15/202,6		700,000		709,625
Trinidad Drilling Ltd.
6.63% due 02/15/256		625,000		624,219
Whiting Petroleum Corp.
5.75% due 03/15/21		250,000		247,500
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/225,8		217,167		24,974
SandRidge Energy, Inc.
7.50% due 03/15/211		250,000		25
SemGroup, LP
8.75% due 11/15/15†††,1		1,300,000		1
Total Energy				36,220,379
Consumer, Non-cyclical - 10.1%
Vector Group Ltd.
6.13% due 02/01/256		6,250,000		6,382,812
Valeant Pharmaceuticals International, Inc.
7.00% due 03/15/246		2,050,000		2,103,812
6.50% due 03/15/226		1,050,000		1,080,188
Post Holdings, Inc.
5.50% due 03/01/256		2,700,000		2,713,500
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/226		2,477,000		2,557,503
WEX, Inc.
4.75% due 02/01/236		2,200,000		2,164,157
Tenet Healthcare Corp.
7.50% due 01/01/22		1,850,000		1,998,000
Bumble Bee Holdings, Inc.
9.00% due 12/15/176		1,950,000		1,901,250
HCA, Inc.
6.50% due 02/15/20		1,000,000		1,094,380
5.88% due 02/15/26		750,000		791,250
Bumble Bee Holdco SCA
9.63% due 03/15/186		1,724,000		1,672,280
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/216		1,470,000		1,481,025
Central Garden & Pet Co.
6.13% due 11/15/23		1,350,000		1,424,250
Halyard Health, Inc.
6.25% due 10/15/22		1,300,000		1,339,000
AMN Healthcare, Inc.
5.13% due 10/01/246		950,000		959,500
Nielsen Company Luxembourg SARL
5.00% due 02/01/256		900,000		896,625
Albertsons Cos. LLC / Safeway Inc. / New Albertson’s Inc / Albertson’s LLC
6.63% due 06/15/24		750,000		766,875
Acadia Healthcare Company, Inc.
6.50% due 03/01/24		600,000		631,500
US Foods, Inc.
5.88% due 06/15/246		600,000		622,500
Kinetic Concepts Incorporated / KCI USA Inc
7.88% due 02/15/216		520,000		551,200
DaVita, Inc.
5.00% due 05/01/25		450,000		451,125
Total Consumer, Non-cyclical				33,582,732
Consumer, Cyclical - 7.9%
WMG Acquisition Corp.
6.75% due 04/15/226		3,300,000		3,469,125
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/23		2,600,000		2,444,000
6.50% due 05/01/21		700,000		665,000
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/256		3,000,000		3,048,750

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
Ferrellgas, LP / Ferrellgas Finance Corp.
6.75% due 01/15/225	$	3,125,000	$	2,953,125
Nathan’s Famous, Inc.
10.00% due 03/15/206		2,200,000		2,365,000
L Brands, Inc.
6.75% due 07/01/36		1,050,000		1,000,440
7.60% due 07/15/37		700,000		686,000
6.88% due 11/01/35		175,000		168,875
AMC Entertainment Holdings, Inc.
6.13% due 05/15/27		1,100,000		1,109,625
5.88% due 11/15/26		500,000		505,625
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC
5.88% due 05/15/216		1,400,000		1,421,000
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		1,100,000		1,083,500
5.75% due 03/01/25		100,000		98,500
NPC International Incorporated / NPC Quality Burgers Inc / NPC Operating Company B Inc
10.50% due 01/15/20		1,129,000		1,163,999
TVL Finance PLC
8.50% due 05/15/23	GBP	700,000		964,418
Reliance Intermediate Holdings, LP
6.50% due 04/01/236		825,000		878,625
Carrols Restaurant Group, Inc.
8.00% due 05/01/22		650,000		693,875
Suburban Propane Partners, LP / Suburban Energy Finance Corp.
5.50% due 06/01/24		650,000		640,250
Group 1 Automotive, Inc.
5.25% due 12/15/236		550,000		555,500
QVC, Inc.
4.85% due 04/01/24		400,000		402,398
Total Consumer, Cyclical				26,317,630
Industrial - 7.2%
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/236		3,175,000		3,405,188
Grinding Media Inc. / MC Grinding Media Canada Inc.
7.38% due 12/15/235,6		3,225,000		3,386,249
Novelis Corp.
5.88% due 09/30/266		2,600,000		2,655,250
6.25% due 08/15/246		500,000		521,250
Amsted Industries, Inc.
5.38% due 09/15/246		2,275,000		2,280,688
BWAY Holding Co.
5.50% due 04/15/246		1,650,000		1,663,415
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Luxembourg
5.75% due 10/15/20		800,000		823,007
4.52% due 07/15/212,6		550,000		562,722
6.88% due 02/15/21		259,254		266,384
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.25% due 09/15/226		900,000		909,000
7.25% due 05/15/246		375,000		401,250
Quintiles IMS, Inc.
3.25% due 03/15/25	EUR	1,150,000		1,215,395
Summit Materials LLC / Summit Materials Finance Corp.
8.50% due 04/15/22		1,050,000		1,155,000
Standard Industries, Inc.
5.50% due 02/15/235,6		700,000		715,750
5.00% due 02/15/276		300,000		294,000
Ardagh Packaging Finance PLC
6.75% due 05/15/24	EUR	850,000		993,747
Levi Strauss & Co.
3.38% due 03/15/27	EUR	750,000		801,539
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
5.13% due 07/15/236		700,000		719,250
Infor US, Inc.
5.75% due 05/15/22	EUR	550,000		606,127
LMI Aerospace, Inc.
7.38% due 07/15/19		436,000		452,350
Moog, Inc.
5.25% due 12/01/226		200,000		205,000
Total Industrial				24,032,561
Technology - 5.0%
First Data Corp.
5.75% due 01/15/245,6		2,350,000		2,424,025
5.00% due 01/15/246		1,750,000		1,780,625
7.00% due 12/01/236		350,000		375,375
Micron Technology, Inc.
5.25% due 08/01/23		1,950,000		1,998,750
7.50% due 09/15/236		1,760,000		1,964,600
NCR Corp.
6.38% due 12/15/235		2,350,000		2,473,375
5.88% due 12/15/21		750,000		781,875
Epicor Software
9.40% due 06/21/23†††,1		2,000,000		1,954,000
Open Text Corp.
5.88% due 06/01/266		1,250,000		1,309,375
Infor US, Inc.
6.50% due 05/15/22		600,000		616,560
Oracle Corp.
3.85% due 07/15/365		550,000		537,393
Microsoft Corp.
4.20% due 11/03/355		450,000		471,788
Total Technology				16,687,741
Basic Materials - 4.2%
Eldorado Gold Corp.
6.13% due 12/15/206		4,700,000		4,817,500
Alcoa Nederland Holding B.V.
7.00% due 09/30/266		2,475,000		2,697,750
6.75% due 09/30/246		1,100,000		1,179,750

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
Constellium N.V.
7.88% due 04/01/216	$	2,200,000	$	2,348,500
GCP Applied Technologies, Inc.
9.50% due 02/01/236		1,180,000		1,339,300
PQ Corp.
6.75% due 11/15/226		800,000		852,000
Yamana Gold, Inc.
4.95% due 07/15/24		625,000		628,125
Mirabela Nickel Ltd.
2.38% due 06/24/191		278,115		19,468
1.00% due 09/10/44†††,1		5,561		—
Total Basic Materials				13,882,393
Utilities - 4.1%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/236		4,090,000		4,243,865
Terraform Global Operating LLC
9.75% due 08/15/226		3,000,000		3,363,750
AES Corp.
6.00% due 05/15/26		2,900,000		3,001,500
4.88% due 05/15/23		350,000		348,250
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.50% due 05/20/25		1,500,000		1,488,750
5.75% due 05/20/27		1,250,000		1,234,063
Total Utilities				13,680,178
Diversified - 0.6%
HRG Group, Inc.
7.88% due 07/15/19		1,885,000		1,950,975
Total Corporate Bonds
(Cost $254,610,429)				258,954,334
SENIOR FLOATING RATE INTERESTS††,2 - 28.5%
Consumer, Cyclical - 5.8%
Men’s Wearhouse
4.53% due 06/18/21		1,576,348		1,494,897
Sears Holdings Corp.
5.50% due 06/30/18		1,446,898		1,427,451
Leslie’s Poolmart, Inc.
4.77% due 08/16/23		1,246,867		1,250,608
BC Equity Ventures LLC
7.50% due 08/31/22		1,215,813		1,225,697
Sky Bet
5.50% due 02/25/22	GBP	950,000		1,201,338
Fitness International LLC
5.40% due 07/01/20		1,155,019		1,168,013
Equinox Holdings, Inc.
4.25% due 03/08/24		1,050,000		1,057,550
BBB Industries, LLC
6.00% due 11/03/21		1,050,000		1,050,662
Smart & Final Stores LLC
4.58% due 11/15/22		1,000,000		981,250
CH Hold Corp.
4.00% due 02/01/24		954,545		960,511
Mavis Tire
6.25% due 11/02/20†††,1		933,375		923,955
Greektown Holdings LLC
3.75% due 03/20/24		900,000		899,442
Talbots, Inc.
5.50% due 03/19/20		1,005,031		896,488
Belk, Inc.
5.76% due 12/12/22		965,890		813,415
Navistar Inc.
5.00% due 08/07/20		790,000		797,900
Blue Nile, Inc.
7.50% due 02/17/23		775,000		759,500
Accuride Corp.
8.15% due 11/17/23		573,563		569,978
National Vision, Inc.
6.75% due 03/11/22		450,000		435,938
4.00% due 03/12/21		99,743		99,660
Advantage Sales & Marketing LLC
3.86% due 07/25/19†††,1		440,000		413,700
Station Casinos LLC
3.45% due 06/08/23		400,000		400,100
Alexander Mann Solutions Ltd.
5.90% due 12/20/19		401,363		393,335
Acosta, Inc.
3.82% due 09/26/19†††,1		155,556		145,252
Total Consumer, Cyclical				19,366,640
Technology - 5.8%
Solera LLC
4.25% due 03/03/23		1,341,253		1,346,470
5.41% due 03/03/21†††,1		1,000,000		889,615
Verisure Cayman 2
3.00% due 10/21/22	EUR	1,400,000		1,496,326
3.75% due 10/21/22	EUR	500,000		536,557
EIG Investors Corp.
6.04% due 02/09/23		1,428,141		1,437,666
Advanced Computer Software
10.56% due 01/31/231		800,000		727,336
6.56% due 03/18/22		539,000		521,483
TIBCO Software, Inc.
5.50% due 12/04/20		1,227,590		1,239,608
Active Network LLC
6.00% due 11/13/20		1,205,153		1,206,659
Planview, Inc. (PHNTM Holdings, Inc.)
6.25% due 01/27/23†††,1		1,200,000		1,182,000
Cypress Intermediate Holdings III, Inc.
4.00% due 03/31/24		1,150,000		1,130,450
GTT Communications, Inc.
5.00% due 01/09/24		1,097,250		1,110,966
Infor (US), Inc.
3.75% due 02/01/22	EUR	950,000		1,019,884
Sparta Holding Corp.
6.65% due 07/28/20†††,1		859,551		854,787
Kronos, Inc.
5.03% due 11/01/23		847,875		852,208
Go Daddy Operating Company LLC
3.41% due 02/15/24		708,559		709,182
Aspect Software, Inc.
11.28% due 05/25/20		664,618		663,787

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
Masergy Holdings, Inc.
5.50% due 12/15/23	$	648,375	$	652,427
Diebold, Inc.
5.38% due 11/06/23		556,500		564,324
Cypress Holdings
7.75% due 03/31/25		400,000		391,656
Oberthur Technologies of America Corp.
3.75% due 01/10/24		381,579		383,964
GlobalLogic Holdings, Inc.
5.65% due 06/20/22		277,002		277,694
Total Technology				19,195,049
Consumer, Non-cyclical - 5.4%
CTI Foods Holding Co. LLC
4.65% due 06/29/20		1,550,000		1,534,499
8.40% due 06/28/21		590,000		531,000
Albertson’s LLC
3.98% due 08/25/21		1,364,072		1,369,650
Change Healthcare Holdings, Inc.
3.75% due 03/01/24		1,150,000		1,151,438
American Tire Distributors, Inc.
5.25% due 09/01/21		1,131,244		1,132,658
Give and Go Prepared Foods Corp.
6.65% due 07/29/23		1,089,824		1,100,723
ADMI Corp.
4.80% due 04/29/22		1,000,000		1,008,130
IHC Holding Corp.
7.02% due 04/30/21†††,1		837,250		828,704
7.25% due 04/30/21†††,1		159,200		158,961
Reddy Ice Holdings, Inc.
6.75% due 05/01/19		972,899		951,009
Project Ruby Ultimate Parent Corp.
4.75% due 02/09/24		900,000		902,628
Lineage Logistics LLC
4.50% due 04/07/21		829,411		828,897
ABB Concise Optical Group LLC
6.13% due 06/15/23		796,000		802,965
Pinnacle Foods Finance LLC
2.81% due 02/02/24		798,000		800,809
Arctic Glacier Group Holdings, Inc.
5.25% due 03/20/24		775,000		781,781
Halyard Health
3.73% due 11/01/21		675,000		680,488
JBS USA Lux SA
3.29% due 10/30/22		650,000		652,035
American Seafoods
6.02% due 08/19/211		555,628		556,784
Sterigenics-Norion Holdings
4.00% due 05/16/22		550,000		547,855
PT Intermediate Holdings III LLC
7.50% due 06/23/22†††,1		497,500		497,500
NES Global Talent
6.54% due 10/03/191		477,708		429,938
Pelican Products, Inc.
9.40% due 04/09/21		300,000		297,000
Quorum Business Solutions
5.75% due 08/06/211		215,050		203,222
PT Intermediate Holdings III, LLC
7.50% due 06/23/221		110,000		108,900
8.13% due 06/23/22†††,1		32,917		29,928
Packaging Coordinators Midco, Inc.
6.14% due 07/01/21†††,1		115,385		103,118
Targus Group International, Inc.
due 05/24/16†††,1,9		153,489		—
Total Consumer, Non-cyclical				17,990,620
Industrial - 3.8%
Advanced Integration Technology LP
6.50% due 07/22/21		1,525,500		1,535,033
VC GB Holdings, Inc.
4.75% due 02/28/24		1,250,000		1,256,249
Milacron LLC
3.98% due 09/28/23		1,197,000		1,202,243
CareCore National LLC
5.50% due 03/05/21		1,147,348		1,150,216
ProAmpac PG Borrower LLC
5.06% due 11/20/23		650,000		654,550
9.56% due 11/18/24		350,000		354,813
SRS Distribution, Inc.
9.79% due 02/24/23		950,000		983,250
American Bath Group LLC
6.40% due 09/30/23		947,796		954,120
Bioplan USA, Inc.
5.75% due 09/23/21		845,685		829,829
ILPEA Parent, Inc.
6.50% due 03/02/23		650,000		647,563
USIC Holding, Inc.
5.17% due 12/08/23		523,688		526,306
Hardware Holdings LLC
7.68% due 03/30/20†††,1		526,500		515,970
Avis Budget Car Rental LLC
3.15% due 03/15/22		498,750		499,373
CPM Holdings, Inc.
5.25% due 04/11/22		492,500		498,656
BWAY Holding Co.
3.25% due 04/03/24		400,000		398,752
Wencor Group
4.48% due 06/19/191		233,846		219,666
Hunter Defense Technologies
7.01% due 08/05/191		228,333		205,500
Mast Global
7.75% due 09/12/19†††,1		143,917		143,323
NANA Development Corp.
8.00% due 03/15/181		22,222		21,667
Total Industrial				12,597,079
Utilities - 2.8%
Viva Alamo LLC
5.30% due 02/22/21		2,295,378		2,180,610
Moss Creek Resources LLC
9.00% due 03/29/221		1,350,000		1,329,426
Invenergy Thermal Operating I, LLC
6.65% due 10/19/22		1,012,536		972,034
Panda Power

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
7.65% due 08/21/20	$	980,667	$	962,279
Dynegy, Inc.
4.25% due 06/27/23		900,000		901,737
Exgen Texas Power LLC
5.90% due 09/18/21		1,338,306		868,226
MRP Generation Holding
8.15% due 10/18/22		721,375		716,866
Panda Temple II Power
7.25% due 04/03/19		604,632		523,763
Terraform AP Acquisition Holdings LLC
5.65% due 06/26/22		491,080		494,764
Stonewall
6.65% due 11/15/21		400,000		389,000
Total Utilities				9,338,705
Financial - 2.0%
National Financial Partners Corp.
4.65% due 01/08/24		1,546,125		1,561,587
Americold Realty Operating Partnership, LP
4.75% due 12/01/22		1,486,269		1,500,210
LPL Holdings, Inc.
3.77% due 03/11/24		1,000,000		1,000,630
Acrisure LLC
5.90% due 11/22/23		963,492		977,944
York Risk Services
4.90% due 10/01/211		733,125		712,048
American Stock Transfer & Trust
5.75% due 06/26/20		554,148		552,762
Integro Parent, Inc.
6.80% due 10/28/22		444,503		444,503
Total Financial				6,749,684
Communications - 1.9%
Sprint Communications, Inc.
3.50% due 02/02/24		1,600,000		1,598,863
Ziggo Secured Finance BV
3.41% due 04/15/25		1,100,000		1,098,163
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		991,314		943,295
Neustar, Inc.
3.25% due 09/02/19		450,000		455,436
4.75% due 03/01/24		250,000		252,813
Altice US Finance I Corp.
2.25% due 07/15/25		650,000		648,986
Anaren, Inc.
9.40% due 08/18/211		500,000		486,875
Houghton Mifflin Co.
4.00% due 05/31/21		498,731		458,832
MergerMarket Ltd.
4.56% due 02/04/21		291,000		290,273
Charter Communications Operating, LLC
3.23% due 01/15/24		149,623		150,268
Total Communications				6,383,804
Energy - 0.6%
Veresen Midstream LP
4.50% due 03/31/22		735,000		741,431
Cactus Wellhead
7.15% due 07/31/20		687,449		653,420
PSS Companies
5.65% due 01/28/201		531,357		425,086
Associated Asphalt Partners LLC
6.25% due 03/29/24		300,000		301,125
Total Energy				2,121,062
Basic Materials - 0.4%
Zep, Inc.
5.00% due 06/27/22		985,000		997,312
PQ Corp.
5.29% due 11/04/22		347,379		350,916
Total Basic Materials				1,348,228
Total Senior Floating Rate Interests
(Cost $95,335,103)				95,090,871
ASSET-BACKED SECURITIES†† - 2.6%
Collateralized Loan Obligations - 2.6%
OCP CLO Ltd.
2014-6A, 5.97% due 07/17/262,6		1,500,000		1,433,238
2014-6A, 4.67% due 07/17/262,6		1,000,000		999,242
2013-4A, 6.04% due 10/24/252,6		500,000		474,625
Catamaran CLO Ltd.
2014-1A, 5.53% due 04/20/262,6		750,000		692,444
WhiteHorse X Ltd.
2015-10A, 6.32% due 04/17/272,6		750,000		680,211
WhiteHorse VII Ltd.
2013-1A, 5.85% due 11/24/252,6		600,000		561,131
Eaton Vance CLO Ltd.
2014-1A, 6.05% due 07/15/262,6		600,000		560,982
Longfellow Place CLO Ltd.
2013-1A, 6.77% due 01/15/242,6		500,000		495,935
THL Credit Wind River CLO Ltd.
2014-2A, 6.27% due 07/15/262,6		500,000		480,085
KVK CLO Ltd.
2015-1A, 6.80% due 05/20/272,6		500,000		475,137
Regatta IV Funding Ltd.
2014-1A, 5.99% due 07/25/262,6		500,000		470,457
Jamestown CLO III Ltd.
2013-3A, 5.62% due 01/15/262,6		500,000		466,435
NewMark Capital Funding CLO Ltd.
2014-2A, 5.80% due 06/30/262,6		500,000		463,082
MP CLO V Ltd.
2014-1A, 6.92% due 07/18/262,6		250,000		230,003
Shackleton CLO
2014-6A, 6.77% due 07/17/262,6		250,000		210,430
Total Collateralized Loan Obligations				8,693,437
Collateralized Debt Obligations - 0.0%
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/462,6		60,322		59,593
Total Asset-Backed Securities
(Cost $7,434,673)				8,753,030

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

	Face Amount10		Value
SENIOR FIXED RATE INTERESTS†† - 0.4%
Consumer, Non-cyclical - 0.2%
Hanger, Inc.
11.50% due 08/01/19	$	575,000	$	579,312
Targus International LLC
7.50% due 12/31/19†††,1		61,827		86,453
Total Consumer, Non-cyclical				665,765
Financial - 0.2%
Magic Newco, LLC
12.00% due 06/12/19		500,000		523,750
Total Senior Fixed Rate Interests
(Cost $1,160,527)				1,189,515
Total Investments - 117.6%
(Cost $387,914,597)			$	391,929,009
Other Assets & Liabilities, net - (17.6)%				(58,733,214	)
Total Net Assets - 100.0%			$	333,195,795

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell			Currency	Settlement Date	Settlement Value		Value at March 31, 2017		Net Unrealized Appreciation/(Depreciation)
Morgan Stanley		(948,000	)	EUR	04/11/17	$	1,023,353	$	1,011,785	$	11,568
J.P. Morgan		(2,768,000	)	CAD	04/11/17		2,069,293		2,081,802		(12,509	)
Bank of America		(5,943,000	)	EUR	04/11/17		6,300,572		6,342,870		(42,298	)
Barclays		(4,755,000	)	GBP	04/11/17		5,798,709		5,958,934		(160,225	)
										$	(203,464	)

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	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, 2017.
3	Perpetual maturity.
4	Rate indicated is the 7 day yield as of March 31, 2017.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2)illiquid or restricted securities is $24,974 (cost $139,296), or 0.00% of total net assets.
6	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $163,976,345 (cost $159,244,475), or 49.2% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
7	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is rate effective as of March 31, 2017.
8	Security is in default of interest and/or principal obligations.
9	Security with no rate was unsettled at March 31, 2017.
10	The face amount is denominated in U.S. dollars unless otherwise noted.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	CAD — Canadian Dollar
	EUR — Euro
	GBP — British Pound
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
HIGH YIELD FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	—	$	8,753,030	$	—	$	—	$	8,753,030
Common Stocks		1,403,188		712,211		—		992,879		3,108,278
Corporate Bonds		—		257,000,333		—		1,954,001		258,954,334
Currency Contracts		—		—		11,568		—		11,568
Exchange-Traded Funds		5,019,859		—		—		—		5,019,859
Preferred Stocks		1,272,360		2,351,512		—		—		3,623,872
Senior Fixed Rate Interests		—		1,103,062		—		86,453		1,189,515
Senior Floating Rate Interests		—		88,404,058		—		6,686,813		95,090,871
Short Term Investments		16,104,881		—		—		—		16,104,881
Warrants		698		83,671		—		—		84,369
Total	$	23,800,986	$	358,407,877	$	11,568	$	9,720,146	$	391,940,577
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Currency Contracts	$	—	$	—	$	215,032	$	—	$	215,032
Unfunded Loan Commitments		—		—		512,339		260,325		772,664
Total	$	—	$	—	$	727,371	$	260,325	$	987,696

* 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. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of March 31, 2017, High Yield Fund had securities with the total value of $4,727,265 transfer out of Level 3 into Level 2 and securities with a total value of $1,075,364 transfer out of Level 2 into Level 3 due to changes in securities’ valuation methods using observable market input. There were no other transfers between levels.

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

Category	Ending Balance at 03/31/17		Valuation Technique	Unobservable Inputs	Input Values
Common Stocks	$	968,308	Enterprise Value	Valuation Multiple		7.0	x
Common Stocks		19,330	Enterprise Value	Valuation Multiple		6.4	x
Common Stocks		5,161	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Common Stocks		80	Model Price	Liquidation value		—
Corporate Bonds		1,954,001	Model Price	Market Comparable Yields		8.7	%
Senior Fixed Rate Interests		86,453	Enterprise Value	Valuation Multiple		6.4	x
Senior Floating Rate Interests		4,001,178	Model Price	Purchase Price		—
Senior Floating Rate Interests		1,182,000	Model Price	Trade Price		—
Senior Floating Rate Interests		987,665	Model Price	Market Comparable Yields		5.7	%
Senior Floating Rate Interests		515,970	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Total	$	9,720,146

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
HIGH YIELD FUND

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, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Senior Fixed Rate Interests		Corporate Bonds			Common Stocks			Preferred Stocks			Total
HIGH YIELD FUND
Assets:
Beginning Balance	$	5,940,635		$	80,401	$	4,465,758		$	1,029,981		$	27,596		$	11,544,371
Purchases		2,878,535			4,328		—			33,552			—			2,916,415
Sales, maturities and paydowns		(1,082,901	)		—		—			—			—			(1,082,901	)
Corporate actions		—			—		—			427,339			—			427,339
Total realized gains or losses included in earnings		(11,889	)		—		—			—			—			(11,889	)
Total change in unrealized gains or losses included in earnings		77,045			1,724		—			(500,057	)		—			(421,288	)
Transfers into Level 3		1,073,300			—		—			2,064			—			1,075,364
Transfers out of Level 3		(2,187,912	)		—		(2,511,757	)		—			(27,596	)		(4,727,265	)
Ending Balance	$	6,686,813		$	86,453	$	1,954,001		$	992,879		$	—		$	9,720,146
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	49,131		$	2,506	$	(2,883	)	$	(500,057	)	$	—		$	(451,303	)

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $387,914,597)	$	391,929,009
Foreign currency, at value (cost $739)		739
Cash		424,747
Prepaid expenses		65,508
Unrealized appreciation of forward foreign currency exchange contracts		11,568
Receivables:
Securities sold		13,379,370
Interest		4,931,201
Fund shares sold		1,630,026
Foreign taxes reclaim		16,460
Dividends		7,425
Total assets		412,396,053
Liabilities:
Reverse Repurchase Agreements		60,538,766
Unfunded loan commitments, at value (Note 9) (proceeds $1,371,197)		772,664
Unrealized depreciation on forward foreign currency exchange contracts		215,032
Payable for:
Securities purchased		15,930,550
Fund shares redeemed		1,016,500
Management fees		186,930
Interest from reverse repurchase agreements		57,688
Transfer agent/maintenance fees		53,174
Distribution and service fees		51,398
Fund accounting/administration fees		23,140
Trustees’ fees*		3,286
Miscellaneous		351,130
Total liabilities		79,200,258
Commitments and Contingent Liabilities (Note 14)		—
Net assets	$	333,195,795
Net assets consist of:
Paid in capital	$	331,217,515
Accumulated net investment loss		(297,614	)
Accumulated net realized loss on investments		(2,141,930	)
Net unrealized appreciation on investments		4,417,824
Net assets	$	333,195,795
A-Class:
Net assets	$	116,420,740
Capital shares outstanding		10,222,316
Net asset value per share	$	11.39
Maximum offering price per share (Net asset value divided by 96.00%)	$	11.86
C-Class:
Net assets	$	28,531,340
Capital shares outstanding		2,484,320
Net asset value per share	$	11.48
P-Class:
Net assets	$	14,531,880
Capital shares outstanding		1,275,202
Net asset value per share	$	11.40
Institutional Class:
Net assets	$	173,711,835
Capital shares outstanding		18,705,052
Net asset value per share	$	9.29

* 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.

HIGH YIELD FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Interest	$	10,720,364
Dividends		197,756
Total investment income		10,918,120
Expenses:
Management fees		968,645
Transfer agent/maintenance fees
A-Class		39,354
C-Class		15,271
P-Class		2,771
Institutional Class		29,294
Distribution and service fees:
A-Class		123,354
C-Class		138,173
P-Class		8,756
Fund accounting/administration fees		121,506
Interest expense		159,878
Line of credit fees		26,142
Custodian fees		8,175
Trustees’ fees*		5,026
Miscellaneous		58,967
Total expenses		1,705,312
Less:
Expenses waived by Adviser:		(883	)
Expenses reimbursed by Adviser:
P-Class		(968	)
Institutional Class		(407	)
Total waived/reimbursed expenses		(2,258	)
Net expenses		1,703,054
Net investment income		9,215,066
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	2,108,789
Foreign currency		64,098
Forward foreign currency exchange contracts		842,016
Net realized gain		3,014,903
Net change in unrealized appreciation (depreciation) on:
Investments		2,820,782
Foreign currency		12,524
Forward foreign currency exchange contracts		(287,104	)
Net change in unrealized appreciation (depreciation)		2,546,202
Net realized and unrealized gain		5,561,105
Net increase in net assets resulting from operations	$	14,776,171

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

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	9,215,066		$	13,635,030
Net realized gain (loss) on investments		3,014,903			(3,898,866	)
Net change in unrealized appreciation (depreciation) on investments		2,546,202			16,190,861
Net increase in net assets resulting from operations		14,776,171			25,927,025
Distributions to shareholders from:
Net investment income
A-Class		(3,007,683	)		(5,021,892	)
C-Class		(742,757	)		(1,046,425	)
P-Class		(212,534	)		(86,534	)
Institutional Class		(5,512,657	)		(8,343,089	)
Total distributions to shareholders		(9,475,631	)		(14,497,940	)
Capital share transactions:
Proceeds from sale of shares
A-Class		40,939,875			38,862,308
C-Class		4,585,346			15,767,122
P-Class		12,970,485			3,039,848
Institutional Class		116,351,694			132,721,401
Redemption fees collected
A-Class		12,722			58,517
C-Class		3,763			11,173
P-Class		930			214
Institutional Class		23,913			67,613
Distributions reinvested
A-Class		2,659,156			4,590,806
C-Class		598,289			831,218
P-Class		212,534			86,534
Institutional Class		4,586,471			7,079,015
Cost of shares redeemed
A-Class		(16,012,210	)		(32,283,621	)
C-Class		(4,146,789	)		(4,511,046	)
P-Class		(1,905,868	)		(161,209	)
Institutional Class		(91,981,388	)		(80,676,896	)
Net increase from capital share transactions		68,898,923			85,482,997
Net increase in net assets		74,199,463			96,912,082
Net assets:
Beginning of period		258,996,332			162,084,250
End of period	$	333,195,795		$	258,996,332
Accumulated net investment loss at end of period	$	(297,614	)	$	(37,049	)

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		3,608,251			3,698,743
C-Class		402,046			1,482,332
P-Class		1,140,473			290,517
Institutional Class		12,596,388			15,474,086
Shares issued from reinvestment of distributions
A-Class		235,038			431,226
C-Class		52,466			77,164
P-Class		18,992			8,117
Institutional Class		497,411			813,446
Shares redeemed
A-Class		(1,418,300	)		(3,117,471	)
C-Class		(363,654	)		(422,663	)
P-Class		(168,800	)		(14,985	)
Institutional Class		(9,966,016	)		(9,241,452	)
Net increase in shares		6,634,295			9,479,060

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	11.16		$	10.79		$	12.02		$	11.85		$	11.95		$	11.12
Income (loss) from investment operations:
Net investment income (loss)c		.33			.67			.69			.72			.81			.58
Net gain (loss) on investments (realized and unrealized)		.24			.41			(.97	)		.27			.27			.84
Total from investment operations		.57			1.08			(.28	)		.99			1.08			1.42
Less distributions from:
Net investment income		(.34	)		(.72	)		(.74	)		(.83	)		(.90	)		(.59	)
Net realized gains		—			—			(.22	)		—			(.29	)		—
Total distributions		(.34	)		(.72	)		(.96	)		(.83	)		(1.19	)		(.59	)
Redemption fees collected		—	d		.01			.01			.01			.01			—	d
Net asset value, end of period	$	11.39		$	11.16		$	10.79		$	12.02		$	11.85		$	11.95
Total Returnh		5.22	%		10.71	%		(2.40	%)		9.18	%		9.54	%		12.93	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	116,421		$	87,045		$	73,236		$	82,854		$	70,451		$	64,174
Ratios to average net assets:
Net investment income (loss)		5.93	%		6.32	%		6.01	%		5.91	%		6.84	%		7.19	%
Total expensese		1.28	%		1.25	%		1.27	%		1.32	%		1.41	%		1.44	%
Net expensesf,i		1.28	%		1.23	%		1.20	%		1.26	%		1.18	%		1.17	%
Portfolio turnover rate		38	%		55	%		72	%		97	%		101	%		55	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	11.26		$	10.88		$	12.12		$	11.95		$	12.03		$	11.20
Income (loss) from investment operations:
Net investment income (loss)c		.30			.60			.61			.63			.73			.56
Net gain (loss) on investments (realized and unrealized)		.22			.41			(.98	)		.27			.27			.80
Total from investment operations		.52			1.01			(.37	)		.90			1.00			1.36
Less distributions from:
Net investment income		(.30	)		(.64	)		(.66	)		(.74	)		(.80	)		(.53	)
Net realized gains		—			—			(.22	)		—			(.29	)		—
Total distributions		(.30	)		(.64	)		(.88	)		(.74	)		(1.09	)		(.53	)
Redemption fees collected		—	d		.01			.01			.01			.01			—	d
Net asset value, end of period	$	11.48		$	11.26		$	10.88		$	12.12		$	11.95		$	12.03
Total Returnh		4.80	%		9.81	%		(3.14	%)		8.46	%		8.69	%		12.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,531		$	26,941		$	13,671		$	14,674		$	9,463		$	9,054
Ratios to average net assets:
Net investment income (loss)		5.20	%		5.52	%		5.25	%		5.14	%		6.10	%		6.37	%
Total expensese		2.03	%		2.01	%		2.01	%		2.09	%		2.17	%		2.19	%
Net expensesf,i		2.03	%		1.98	%		1.95	%		2.01	%		1.93	%		1.92	%
Portfolio turnover rate		38	%		55	%		72	%		97	%		101	%		55	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	11.17		$	10.80		$	11.53
Income (loss) from investment operations:
Net investment income (loss)c		.34			.67			.27
Net gain (loss) on investments (realized and unrealized)		.25			.42			(.73	)
Total from investment operations		.59			1.09			(.46	)
Less distributions from:
Net investment income		(.36	)		(.72	)		(.27	)
Total distributions		(.36	)		(.72	)		(.27	)
Redemption fees collected		—	d		—	d		—	d
Net asset value, end of period	$	11.40		$	11.17		$	10.80
Total Returnh		5.31	%		10.74	%		(4.06	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,532		$	3,178		$	10
Ratios to average net assets:
Net investment income (loss)		5.96	%		6.20	%		5.76	%
Total expensese		1.20	%		1.17	%		3.36	%
Net expensesf,i		1.18	%		1.17	%		1.19	%
Portfolio turnover rate		38	%		55	%		72	%

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	9.11		$	8.81		$	9.87		$	9.74		$	9.90		$	9.26
Income (loss) from investment operations:
Net investment income (loss)c		.29			.58			.58			.61			.70			.55
Net gain (loss) on investments (realized and unrealized)		.19			.34			(.79	)		.23			.22			.64
Total from investment operations		.48			.92			(.21	)		.84			.92			1.19
Less distributions from:
Net investment income		(.30	)		(.62	)		(.64	)		(.72	)		(.80	)		(.55	)
Net realized gains		—			—			(.22	)		—			(.29	)		—
Total distributions		(.30	)		(.62	)		(.86	)		(.72	)		(1.09	)		(.55	)
Redemption fees collected		—	d		—	d		.01			.01			.01			—	d
Net asset value, end of period	$	9.29		$	9.11		$	8.81		$	9.87		$	9.74		$	9.90
Total Returnh		5.48	%		10.95	%		(2.21	%)		9.50	%		9.97	%		13.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	173,712		$	141,833		$	75,167		$	36,880		$	18,755		$	9,974
Ratios to average net assets:
Net investment income (loss)		6.32	%		6.58	%		6.21	%		6.12	%		7.12	%		7.42	%
Total expensese		0.88	%		0.95	%		0.94	%		1.01	%		1.01	%		1.11	%
Net expensesf,i		0.88	%		0.94	%		0.94	%		1.01	%		0.93	%		0.92	%
Portfolio turnover rate		38	%		55	%		72	%		97	%		101	%		55	%

a	Unaudited figures for the period ended March 31, 2017. 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. Excluding these expenses, the net expense ratios for the years would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	1.16%	1.16%	1.16%	1.16%
C-Class	1.91%	1.91%	1.91%	1.91%
P-Class	1.03%	1.09%	1.16%	—
Institutional Class	0.76%	0.87%	0.91%	0.91%

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

FUND PROFILE (Unaudited) March 31, 2017

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.

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 Bond	7.9%
Anchorage Credit Funding Ltd.	1.2%
Fortress Credit Opportunities III CLO, LP	1.1%
Golub Capital Partners CLO Ltd.	1.1%
LSTAR Securities Investment Ltd.	1.0%
Fortress Credit Opportunities VII CLO Ltd.	1.0%
Catamaran CLO Ltd.	1.0%
Capital Automotive REIT	1.0%
GSAA Trust	0.9%
LSTAR Commercial Mortgage Trust	0.9%
Top Ten Total	17.1%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35

FUND PROFILE (Unaudited)(concluded) March 31, 2017

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	25.2%
AA	20.7%
A	19.6%
BBB	15.5%
BB	2.2%
B	3.8%
CCC	2.2%
CC	0.8%
NR2	8.1%
Total	98.1%
Other Instruments	1.9%
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.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Shares		Value
UNIT INVESTMENT TRUST† - 0.0%**
Financial - 0.0%**
Rescap Liquidating Trust*		5,199	$	55,629
Total Unit Investment Trust
(Cost $262,501)				55,692
COMMON STOCKS - 0.0%**
Industrial - 0.0%**
Constar International Holdings LLC*,†††,1		68		—
Total Common Stocks
(Cost $—)				—
PREFERRED STOCKS†† - 0.9%
Financial - 0.7%
Woodbourne Capital Trust IV 0.02% †††,2,3,13		950,000		568,357
Woodbourne Capital Trust II 0.02% †††,2,3,13		950,000		568,357
Woodbourne Capital Trust I 0.02% †††,2,3,13		950,000		568,356
Woodbourne Capital Trust III 0.02% †††,2,3,13		950,000		567,693
Total Financial				2,272,763
Industrial - 0.2%
Seaspan Corp. 6.38% due 04/30/191		20,575		516,433
Constar International Holdings LLC*,†††,1		7		—
Total Industrial				516,433
Total Preferred Stocks
(Cost $4,332,729)				2,789,196
SHORT-TERM INVESTMENTS† - 0.9%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 0.50%5		2,651,038		2,651,038
Total Short-Term Investments
(Cost $2,651,038)				2,651,038
	Face Amount14
ASSET-BACKED SECURITIES†† - 48.5%
Collateralized Loan Obligations - 36.9%
Golub Capital Partners CLO Ltd.
2016-33A, 3.37% due 11/21/282,4	$	3,500,000		3,488,404
2015-25A, 2.83% due 08/05/272,4		1,500,000		1,500,284
2014-21A, 3.49% due 10/25/262,4		600,000		591,381
2013-17A, 4.87% due 10/25/252,4		250,000		250,619
Fortress Credit Opportunities III CLO, LP
2017-3A, 2.96% due 04/28/262,4		4,100,000		4,093,891
2014-3A, 4.26% due 04/28/262,4		300,000		299,997
2014-3A, 3.51% due 04/28/262,4		300,000		298,983
Great Lakes CLO Ltd.
2015-1A, 2.97% due 07/15/262,4		1,000,000		1,003,199
2014-1A, 2.87% due 04/15/252,4		1,000,000		1,001,021
2012-1A, 5.12% due 01/15/232,4		1,000,000		999,939

2012-1A, 3.77% due 01/15/232,4	1,000,000	998,827
2014-1A, 4.72% due 04/15/252,4	250,000	247,172
Fortress Credit Opportunities V CLO Ltd.
2017-5A, 2.86% due 10/15/262,4	2,500,000	2,501,623
2014-5A, 3.66% due 10/15/262,4	1,000,000	999,500
Fortress Credit BSL II Ltd.
2017-2A, 2.80% due 10/19/252,4	2,300,000	2,294,641
2013-2A, 3.27% due 10/19/252,4	1,000,000	1,001,565
KVK CLO Ltd.
2017-1A, 2.84% due 05/15/262,4	1,600,000	1,598,858
2015-1A, 5.05% due 05/20/272,4	1,250,000	1,228,289
2013-1A, due 04/14/254,6	1,000,000	452,958
Fortress Credit Opportunities VII CLO Ltd.
2016-7A, 2.98% due 12/15/282,4	3,000,000	3,004,865
Catamaran CLO Ltd.
2016-1A, 3.10% due 12/20/232,4	3,000,000	3,000,833
PFP Ltd.
2017-3, 1.83% due 01/14/352,4	1,750,000	1,754,183
2015-2, 2.93% due 07/14/342,4	1,000,000	999,135
WhiteHorse VI Ltd.
2016-1A, 2.93% due 02/03/252,4	1,500,000	1,498,889
2016-1A, 3.78% due 02/03/252,4	1,000,000	1,000,265
CIFC Funding Ltd.
2015-2A, 3.00% due 12/05/242,4	1,500,000	1,499,629
2015-3A, 3.12% due 10/19/272,4	1,000,000	998,986
Shackleton CLO Ltd.
2016-7A, 2.97% due 04/15/272,4	1,500,000	1,499,928
2015-8A, 3.98% due 10/20/272,4	1,000,000	997,074
OCP CLO Ltd.
2014-6A, 5.97% due 07/17/262,4	1,400,000	1,337,689
2016-11A, 3.43% due 04/26/282,4	1,000,000	999,942
Telos CLO Ltd.
2013-3A, 4.02% due 01/17/242,4	1,250,000	1,250,465
2007-2A, 3.22% due 04/15/222,4	1,100,000	1,071,169
Dryden XXVI Senior Loan Fund
2013-26A, 3.52% due 07/15/252,4	2,250,000	2,250,001
Venture XIX CLO Ltd.
2016-19A, 3.02% due 01/15/272,4	2,100,000	2,099,900
TCP Waterman CLO LLC
2016-1A, 3.18% due 12/15/282,4	1,000,000	1,010,440
2016-1A, 3.43% due 12/15/282,4	1,000,000	999,956
Madison Park Funding XVI Ltd.
2016-16A, 2.93% due 04/20/262,4	2,000,000	2,004,278
FS Senior Funding Ltd.
2015-1A, 2.82% due 05/28/252,4	2,000,000	2,000,100
Northwoods Capital IX Ltd.
2012-9A, 3.27% due 01/18/242,4	2,000,000	1,999,890
Flagship CLO VIII Ltd.
2017-8A, 2.29% due 01/16/262,4	2,000,000	1,995,197
OZLM Funding II Ltd.
2016-2A, 3.64% due 10/30/272,4	2,000,000	1,994,431
Cerberus Loan Funding XVII Ltd.
2016-3A, 3.48% due 01/15/282,4	2,000,000	1,993,523
ABPCI Direct Lending Fund CLO I LLC
2016-1A, 3.65% due 12/22/282,4	2,000,000	1,989,471

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
NXT Capital CLO LLC
2017-1A, 2.86% due 04/20/292,4	$	1,800,000	$	1,796,880
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.33% due 10/20/252,4		1,000,000		976,347
2013-7A, 4.48% due 10/20/252,4		600,000		580,541
Venture CLO Ltd.
2013-14A, 3.80% due 08/28/252,4		1,550,000		1,549,717
Cent CLO 20 Ltd.
2014-20A, 3.04% due 01/25/262,4		1,500,000		1,506,540
Oaktree EIF I Ltd.
2016-A1, 3.62% due 10/18/272,4		1,500,000		1,502,477
OZLM IX Ltd.
2017-9A, 2.69% due 01/20/272,4		1,400,000		1,395,681
Grayson CLO Ltd.
2006-1A, 1.44% due 11/01/212,4		1,400,000		1,367,716
WhiteHorse VIII Ltd.
2014-1A, 3.08% due 05/01/262,4		1,100,000		1,102,774
Steele Creek CLO Ltd.
2017-1A, 2.89% due 08/21/262,4		1,100,000		1,099,994
Rockwall CDO II Ltd.
2007-1A, 1.58% due 08/01/242,4		1,100,000		1,091,563
Cerberus Loan Funding XVI, LP
2016-2A, 3.37% due 11/15/272,4		1,000,000		1,009,051
AIMCO CLO Series
2015-AA, 3.32% due 01/15/282,4		1,000,000		1,008,457
Recette CLO LLC
2015-1A, 3.83% due 10/20/272,4		1,000,000		1,006,019
Vibrant CLO Ltd.
2015-1A, 3.12% due 07/17/242,4		1,000,000		1,005,612
AMMC CLO XI Ltd.
2016-11A, 3.89% due 10/30/232,4		1,000,000		1,005,089
AMMC CLO XV Ltd.
2016-15A, 3.01% due 12/09/262,4		1,000,000		1,003,697
Northwoods Capital XIV Ltd.
2017-14A, 2.79% due 11/12/252,4		1,000,000		1,001,137
Fortress Credit Investments IV Ltd.
2015-4A, 2.92% due 07/17/232,4		1,000,000		1,001,108
TICP CLO I Ltd.
2014-1A, 4.03% due 04/26/262,4		1,000,000		1,000,090
Atrium XI
2014-11A, 4.24% due 10/23/252,4		1,000,000		1,000,084
Marathon CLO IV Ltd.
2012-4A, 4.06% due 05/20/232,4		1,000,000		1,000,047
Mountain Hawk I CLO Ltd.
2013-1A, 3.21% due 01/20/242,4		1,000,000		1,000,030
TICP CLO III Ltd.
2014-3A, 3.38% due 01/20/272,4		1,000,000		1,000,000
Atlas Senior Loan Fund V Ltd.
2016-1A, 3.53% due 07/16/262,4		1,000,000		999,949
Figueroa CLO Ltd.
2013-1A, 3.80% due 03/21/242,4		1,000,000		999,920
Nelder Grove CLO Ltd.
2017-1A, 2.80% due 08/28/262,4		1,000,000		999,846
Marea CLO Ltd.
2015-1A, 2.82% due 10/15/232,4		1,000,000		999,785
Betony CLO Ltd.
2016-1A, 2.97% due 04/15/272,4		1,000,000		998,889
KKR CLO Ltd.
2015-12, 3.32% due 07/15/272,4		1,000,000		998,817
Eaton Vance CLO 2014-1 Ltd.
2017-1A, 2.62% due 07/15/262,4		1,000,000		997,583
Babson CLO Ltd.
2012-2A, due 05/15/234,6		1,000,000		594,801
2014-IA, due 07/20/254,6		650,000		402,726
Garrison Funding Ltd.
2016-2A, 4.20% due 09/29/272,4		1,000,000		997,362
Venture XII CLO Ltd.
2017-12A, 2.67% due 02/28/262,4		1,000,000		997,252
Vibrant CLO III Ltd.
2016-3A, 3.08% due 04/20/262,4		1,000,000		996,339
Black Diamond CLO Ltd.
2013-1A, 4.28% due 02/01/232,4		950,000		950,245
Jamestown CLO VI Ltd.
2015-6A, 5.80% due 02/20/272,4		1,000,000		948,468
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/274,6		1,000,000		939,141
Saranac CLO II Ltd.
2014-2A, 6.20% due 02/20/252,4		1,000,000		915,000
COA Summit CLO Limited
2014-1A, 3.83% due 04/20/232,4		800,000		799,928
Newstar Trust
2012-2A, 4.28% due 01/20/232,4		750,000		753,336
ACIS CLO Ltd.
2013-1A, 3.97% due 04/18/242,4		500,000		500,994
2013-2A, 4.23% due 10/14/222,4		250,000		249,698
Cerberus Onshore II CLO LLC
2014-1A, 3.72% due 10/15/232,4		500,000		500,256
2014-1A, 3.72% due 10/15/232,4		250,000		249,861
KKR CLO Trust
2012-1A, 4.43% due 12/15/242,4		500,000		500,268
Cent CLO
2014-16A, 3.28% due 08/01/242,4		500,000		500,043
Treman Park CLO Ltd.
2015-1A, due 04/20/274,6		500,000		448,500
Eastland CLO Ltd.
2007-1A, 1.43% due 05/01/222,4		450,000		441,851
Halcyon Loan Advisors Funding Ltd.
2012-2A, 5.65% due 12/20/242,4		350,000		350,106
DIVCORE CLO Ltd.
2013-1A, 4.81% due 11/15/322,4		300,000		299,425
ALM XIV Ltd.
2014-14A, 3.99% due 07/28/262,4		250,000		251,000
TICC CLO LLC
2012-1A, 5.68% due 08/25/232,4		250,000		250,111
Gallatin CLO VII Ltd.
2014-1A, 3.92% due 07/15/232,4		250,000		250,013
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.34% due 07/25/252,4		250,000		247,480
Keuka Park CLO Ltd.
2013-1A, due 10/21/244,6		250,000		126,486
Copper River CLO Ltd.
2007-1A, due 01/20/216,13		700,000		98,415
Total Collateralized Loan Obligations				114,665,935

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
Transport-Aircraft - 5.1%
Apollo Aviation Securitization Equity Trust
2016-2, 4.21% due 11/15/41	$	2,327,280	$	2,329,271
2016-1A, 4.88% due 03/17/364		1,350,000		1,356,750
2014-1, 5.13% due 12/15/292		1,140,315		1,138,889
2014-1, 7.38% due 12/15/292		570,157		569,445
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/374		1,935,343		1,920,828
Castlelake Aircraft Securitization Trust
2015-1A, 4.70% due 12/15/404		1,278,849		1,305,080
2014-1, 5.25% due 02/15/29		408,039		407,019
2014-1, 7.50% due 02/15/29		161,814		161,814
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/384		921,977		926,587
2013-1, 6.35% due 10/15/384		184,395		184,395
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/42		1,093,840		1,102,712
ECAF I Ltd.
2015-1A, 4.95% due 06/15/404		974,062		943,846
Rise Ltd.
2014-1A, 4.75% due 02/12/39		899,896		895,397
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		851,190		847,999
Diamond Head Aviation Ltd.
2015-1, 3.81% due 07/14/284		674,906		675,239
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/4813		656,488		650,281
AABS
2013-1 A, 4.88% due 01/10/38		269,222		268,549
Total Transport-Aircraft				15,684,101
Collateralized Debt Obligations - 2.8%
Anchorage Credit Funding Ltd.
2016-4A, 3.50% due 02/15/354		3,750,000		3,736,329
2016-3A, 3.85% due 10/28/334		1,000,000		1,014,586
FDF II Ltd.
2016-2A, 4.29% due 05/12/314		1,000,000		1,004,802
Putnam Structured Product Funding Ltd.
2003-1A, 1.91% due 10/15/382,4		833,546		756,513
Triaxx Prime CDO Ltd.
2006-2A, 1.05% due 10/02/392,4		698,626		680,835
Highland Park CDO I Ltd.
2006-1A, 1.45% due 11/25/512,4		536,905		498,739
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/462,4		656,837		469,610
N-Star REL CDO VIII Ltd.
2006-8A, 1.15% due 02/01/412,4		266,698		265,188
RAIT CRE CDO I Ltd.
2006-1X A1B, 1.31% due 11/20/46		181,236		180,218
Total Collateralized Debt Obligations				8,606,820
Net Lease - 1.9%
Capital Automotive REIT
2017-1A, 3.87% due 04/15/474		3,000,000		2,999,130
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/464		2,878,968		2,752,294
Total Net Lease				5,751,424
Whole Business - 1.4%
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/464		1,940,250		1,969,435
Wendys Funding LLC
2015-1A, 4.50% due 06/15/454		1,477,500		1,438,305
Drug Royalty III Limited Partnership
2016-1A, 3.98% due 04/15/274		849,838		849,926
Total Whole Business				4,257,666
Insurance - 0.2%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/344		594,000		591,262
Diversified Payment Rights - 0.2%
CIC Receivables Master Trust
REGD, 4.89% due 10/07/21†††		263,657		271,404
Garanti Diversified Payment Rights Finance Co.
2007-A, 1.20% due 07/09/172		208,000		207,525
Total Diversified Payment Rights				478,929
Total Asset-Backed Securities
(Cost $149,288,146)				150,036,137
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 21.5%
Residential Mortgage Backed Securities - 12.6%
LSTAR Securities Investment Ltd.
2016-4, 2.78% due 10/01/212,4		3,033,743		3,009,531
2015-6, 2.78% due 05/01/202,4		1,242,284		1,237,625
2016-3, 2.78% due 09/01/212,4		1,145,562		1,131,133
American Home Mortgage Investment Trust
2007-1, 5.27% due 05/25/477		11,449,277		2,101,166
2006-1, 1.38% due 03/25/462		1,171,258		972,798
GSAA Trust
2005-6, 1.41% due 06/25/352		3,150,000		2,853,714
LSTAR Commercial Mortgage Trust
2016-7, 2.78% due 12/01/212,4		2,814,582		2,789,955
Countrywide Asset-Backed Certificates
2006-6, 1.15% due 09/25/362		2,536,115		2,364,312
LSTAR Securities Investment Trust
2016-2, 2.78% due 03/01/212,4		1,548,272		1,540,530
2015-10, 2.78% due 11/02/202,4		457,968		457,825
GCAT A1,
3.38% due 03/25/47		1,900,000		1,898,183
Banc of America Funding Trust
2015-R4, 0.95% due 01/27/352,4		905,533		849,395
2014-R7, 0.92% due 09/26/362,4		749,043		718,706
Structured Asset Investment Loan Trust
2005-11, 1.34% due 01/25/362		1,606,264		1,452,275
NRPL Trust
2014-2A, 3.75% due 10/25/572,4		778,193		783,747
2015-1A, 3.88% due 11/01/544		495,957		492,773
VOLT LIII LLC
2016-NP13, 3.88% due 12/26/464		1,275,219		1,272,010
CSMC Series
2015-12R, 1.27% due 11/30/372,4		1,271,818		1,199,455
CIM Trust
2017-2, 2.78% due 12/25/572,4		1,000,000		992,529

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
VOLT LIV LLC
2017-NPL1, 3.63% due 02/25/472,4	$	984,299	$	980,845
RALI Series Trust
2006-QO2, 1.20% due 02/25/462		2,176,994		943,732
Bayview Opportunity Master Fund IVb Trust
2017-RN1, 3.60% due 02/28/322,4		944,284		942,903
Luminent Mortgage Trust
2006-2, 1.18% due 02/25/462		1,256,303		933,048
CIT Mortgage Loan Trust
2007-1, 2.43% due 10/25/372,4		944,491		924,779
VOLT XLVIII LLC
2016-NPL8, 3.50% due 07/25/464		896,781		901,624
Stanwich Mortgage Loan Co.
2016-NPA1, 3.84% due 10/16/462,4		897,267		895,981
Deutsche Alt-A Securities Mortgage Loan Trust Series
2007-OA2, 1.41% due 04/25/472		860,001		729,792
VOLT XLII LLC
2016-NPL2, 4.25% due 03/26/464		718,807		724,212
VOLT XLI LLC
2016-NPL1, 4.25% due 02/26/464		682,865		686,121
MASTR Adjustable Rate Mortgages Trust
2003-5, 2.75% due 11/25/332		709,184		638,064
American Home Mortgage Assets Trust
2007-1, 1.34% due 02/25/472		1,013,060		587,497
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.48% due 11/25/462		591,797		474,645
Nationstar HECM Loan Trust
2016-1A, 2.98% due 02/25/264		459,379		459,379
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		201,715		208,067
Nomura Resecuritization Trust
2012-1R, 1.22% due 08/27/472,4		86,057		85,403
Total Residential Mortgage Backed Securities				39,233,754
Commercial Mortgage Backed Securities - 7.6%
Citigroup Commercial Mortgage Trust
2016-GC36, 4.76% due 02/10/492		1,400,000		1,446,196
2016-P5, 4.32% due 10/10/492		1,000,000		951,871
2016-GC37, 1.81% due 04/10/492		3,829,633		455,584
2016-C2, 1.80% due 08/10/492		2,491,336		315,278
2016-P5, 1.56% due 10/10/492		1,993,213		199,503
Cosmopolitan Hotel Trust
2016-CSMO, 3.01% due 11/15/332,4		1,500,000		1,515,917
2016-CSMO, 3.56% due 11/15/332,4		1,000,000		1,013,733
JPMDB Commercial Mortgage Securities Trust
2016-C2, 3.40% due 06/15/492		1,700,000		1,596,602
2016-C2, 1.71% due 06/15/492		8,913,123		896,460
COMM Mortgage Trust
2015-CR26, 4.49% due 10/10/482		1,217,000		1,164,990
2015-CR26, 1.05% due 10/10/482		10,108,034		630,282
Americold LLC Trust
2010-ARTA, 7.44% due 01/14/294		1,250,000		1,400,194
GS Mortgage Securities Trust
2014-GSFL, 2.66% due 07/15/312,4		1,400,000		1,386,503
SG Commercial Mortgage Securities Trust
2016-C5, 2.03% due 10/10/482		9,940,728		1,269,417
GS Mortgage Securities Corporation Trust
2016-ICE2, 5.16% due 02/15/332,4		1,200,000		1,228,164
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.36% due 01/15/592		6,394,516		537,758
2016-NXS5, 1.57% due 01/15/592		4,954,378		446,420
2016-C37, 1.05% due 12/15/492		3,889,230		238,857
Motel 6 Trust
2015-MTL6, 4.53% due 02/05/304		1,150,000		1,157,841
JP Morgan Chase Commercial Mortgage Securities Trust
2014-CBM, 2.86% due 10/15/292,4		1,000,000		1,004,993
Morgan Stanley Bank of America Merrill Lynch Trust
2014-C19, 4.75% due 12/15/46†††,4		1,000,000		998,987
BAMLL Commercial Mortgage Securities Trust
2014-ICTS, 2.81% due 06/15/282,4		1,000,000		965,632
Morgan Stanley Capital I Trust
2016-UB11, 1.68% due 08/15/492		7,728,342		819,232
JPMCC Commercial Mortgage Securities Trust
2017-JP5, 1.28% due 03/15/507		7,000,000		530,771
LSTAR Commercial Mortgage Trust
2014-2, 4.91% due 01/20/412,4		500,000		503,254
CFCRE Commercial Mortgage Trust
2016-C3, 1.09% due 01/10/482		5,944,475		424,462
CD Mortgage Trust
2016-CD1, 1.44% due 08/10/492		2,589,512		251,208
GreenPoint Mortgage Funding Trust
2007-AR1, 1.06% due 02/25/472		11		11
Total Commercial Mortgage Backed Securities				23,350,120
Military Housing - 1.3%
GMAC Commercial Mortgage Asset Corp.
2003-PRES, 6.24% due 10/10/414		1,398,824		1,596,636
2007-HCKM, 6.11% due 08/10/52†††,13		1,512,383		1,532,365
Capmark Military Housing Trust
2007-ROBS, 6.06% due 10/10/5213		480,599		482,324
2007-AETC, 5.75% due 02/10/5213		335,203		327,641
Total Military Housing				3,938,966
Total Collateralized Mortgage Obligations
(Cost $66,412,786)				66,522,840
CORPORATE BONDS†† - 11.1%
Financial - 6.2%
Bank of America Corp.
6.50% due 12/31/492,3		2,400,000		2,619,000
6.30% due 12/31/492,3		350,000		380,625
6.10% due 03/12/492,3		250,000		264,875
Citigroup, Inc.
5.95% due 12/31/492,3		2,400,000		2,499,024
5.90% due 12/31/492,3		500,000		521,875
6.25% due 12/31/492,3		100,000		107,875
American Equity Investment Life Holding Co.
6.63% due 07/15/21		1,458,000		1,512,675

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
Hospitality Properties Trust
5.25% due 02/15/26	$	1,050,000	$	1,100,276
4.95% due 02/15/27		400,000		410,726
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/504		1,274,320		1,199,033
KeyCorp
5.00% due 12/31/492,3		1,150,000		1,138,500
Jefferies Group LLC
4.85% due 01/15/27		900,000		918,707
Aurora Military Housing LLC
6.89% due 01/15/47†††,4		750,000		844,756
JPMorgan Chase & Co.
6.00% due 12/31/492,3		800,000		834,240
Infinity Property & Casualty Corp.
5.00% due 09/19/22		700,000		739,295
Voya Financial, Inc.
5.65% due 05/15/532		700,000		712,250
AmTrust Financial Services, Inc.
6.13% due 08/15/231		652,000		684,172
Wilton Re Finance LLC
5.88% due 03/30/332,4		475,000		483,906
Pacific Northwest Communities LLC
5.91% due 06/15/5013		400,000		432,412
GEO Group, Inc.
5.88% due 10/15/24		385,000		393,662
6.00% due 04/15/26		30,000		30,382
BBC Military Housing-Navy Northeast LLC
6.30% due 10/15/49†††,1		415,000		415,579
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/5013		380,442		371,262
ACC Group Housing LLC
6.35% due 07/15/5413		300,000		344,935
Wells Fargo & Co.
5.88% due 12/31/492,3		200,000		215,588
Cadence Bank North America
6.25% due 06/28/2913		200,000		200,000
TIG Holdings, Inc.
8.60% due 01/15/2713		34,000		30,600
Total Financial				19,406,230
Consumer, Non-cyclical - 1.5%
Offutt AFB America First Community LLC
5.46% due 09/01/504		1,920,300		1,828,893
Danone S.A.
2.95% due 11/02/264		1,650,000		1,577,331
Bumble Bee Holdings, Inc.
9.00% due 12/15/174		1,100,000		1,072,500
Tenet Healthcare Corp.
4.63% due 06/15/202		300,000		301,500
Total Consumer, Non-cyclical				4,780,224
Energy - 1.3%
ConocoPhillips
6.50% due 02/01/39		1,400,000		1,783,092
Buckeye Partners, LP
3.95% due 12/01/26		773,000		757,070
4.35% due 10/15/24		339,000		344,456
Sunoco Logistics Partners Operations, LP
3.90% due 07/15/26		665,000		642,520
Hess Corp.
4.30% due 04/01/27		350,000		343,774
Total Energy				3,870,912
Basic Materials - 1.2%
Yamana Gold, Inc.
4.95% due 07/15/24		1,485,000		1,492,425
Newcrest Finance Pty Ltd.
4.20% due 10/01/224		1,390,000		1,427,811
BHP Billiton Finance USA Ltd.
6.75% due 10/19/752,4		750,000		848,250
Total Basic Materials				3,768,486
Consumer, Cyclical - 0.4%
Northern Group Housing LLC
6.80% due 08/15/5313		600,000		720,318
HP Communities LLC
5.78% due 03/15/4613		500,000		534,070
Total Consumer, Cyclical				1,254,388
Technology - 0.2%
Micron Technology, Inc.
7.50% due 09/15/234		510,000		569,288
Diversified - 0.1%
HRG Group, Inc.
7.88% due 07/15/19		435,000		450,225
Utilities - 0.1%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		200,000		207,524
Communications - 0.1%
SFR Group S.A.
6.25% due 05/15/244		200,000		201,250
Industrial - 0.0%**
Constar International, Inc
11.00% due 12/31/17†††,1		4,091		—
Total Corporate Bonds
(Cost $33,967,517)				34,508,527
U.S. GOVERNMENT SECURITIES†† - 8.2%
U.S. Treasury Bond
1.94% due 11/15/448,9		57,711,000		24,466,001
2.88% due 11/15/46		820,000		795,624
Total U.S. Treasury Bond				25,261,625
Total U.S. Government Securities
(Cost $26,991,073)				25,261,625

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
FEDERAL AGENCY SECURITIES†† - 4..5%
Freddie Mac Strips11
due 03/15/318	$	2,950,000	$	1,844,889
due 09/15/298		2,600,000		1,738,620
due 07/15/328		2,700,000		1,569,518
Total Freddie Mac Strips				5,153,027
Fannie Mae Principal Strips11
due 05/15/308		3,150,000		2,041,224
due 05/15/298		1,750,000		1,154,309
due 01/15/308		1,000,000		656,776
Total Fannie Mae Principal Strips				3,852,309
Freddie Mac11
due 12/14/298		2,900,000		1,921,307
due 01/02/348		850,000		471,764
6.75% due 03/15/31		287,000		410,717
Total Freddie Mac				2,803,788
Tennessee Valley Authority
5.38% due 04/01/56		600,000		765,348
4.25% due 09/15/65		700,000		734,518
Total Tennessee Valley Authority				1,499,866
Federal Home Loan Bank12
5.50% due 07/15/36		500,000		662,397
Total Federal Agency Securities
(Cost $14,728,928)				13,971,387
SENIOR FLOATING RATE INTERESTS††,2 - 4.4%
Technology - 1.2%
Epicor Software
4.75% due 06/01/22		1,572,084		1,573,657
Equinix, Inc.
3.25% due 12/22/23	EUR	1,000,000		1,075,653
Compucom Systems, Inc.
4.25% due 05/11/20		702,678		583,222
EIG Investors Corp.
6.04% due 02/09/23		443,216		446,172
Total Technology				3,678,704
Communications - 1.0%
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		1,589,866		1,512,853
Internet Brands
4.75% due 07/08/21		619,118		622,154
MergerMarket Ltd.
4.56% due 02/04/21		582,000		580,545
Proquest LLC
5.25% due 10/24/21		492,409		499,179
Total Communications				3,214,731
Utilities - 0.6%
TPF II Power LLC
due 10/02/2310		1,271,642		1,275,774
The Dayton Power and Light Co.
4.24% due 08/24/22		698,250		702,614
Total Utilities				1,978,388
Consumer, Non-cyclical - 0.6%
Packaging Coordinators Midco, Inc.
5.00% due 06/30/23		696,500		693,456
5.25% due 09/01/21		521,013		521,664
DJO Finance LLC
4.25% due 06/08/20		496,222		479,370
MPH Acquisition Holdings LLC
4.90% due 06/07/23		144,352		146,105
NES Global Talent
6.54% due 10/03/191		118,969		107,072
Total Consumer, Non-cyclical				1,947,667
Industrial - 0.5%
Travelport Finance Luxembourg Sarl
4.29% due 09/02/21		1,302,187		1,310,872
CareCore National LLC
5.50% due 03/05/21		121,365		121,669
Total Industrial				1,432,541
Consumer, Cyclical - 0.4%
Petco Animal Supplies, Inc.
4.29% due 01/26/23		1,190,977		1,119,817
Financial - 0.1%
Magic Newco, LLC
5.00% due 12/12/18		240,565		241,267
American Stock Transfer & Trust
5.75% due 06/26/20		94,163		93,928
Total Financial				335,195
Total Senior Floating Rate Interests
(Cost $13,851,312)				13,707,043
MUNICIPAL BONDS†† - 1.5%
California - 0.5%
San Mateo County Community College District General Obligation Unlimited
due 09/01/348		2,000,000		1,047,140
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/398		1,410,000		558,501
Total California				1,605,641
Ohio - 0.4%
American Municipal Power, Inc. Revenue Bonds
8.08% due 02/15/50		980,000		1,510,905
Michigan - 0.4%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/39		850,000		1,113,296
Illinois - 0.2%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		500,000		528,780
Total Municipal Bonds
(Cost $4,674,499)				4,758,622

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

	Face Amount14		Value
FOREIGN GOVERNMENT BONDS†† - 0.3%
Dominican Republic International Bond
6.85% due 01/27/454	$	450,000	$	464,625
Kenya Government International Bond
6.88% due 06/24/244		460,000		457,755
Total Foreign Government Bonds
(Cost $907,999)				922,380
COMMERCIAL PAPER†† - 1.6%
Kellogg Co
0.98% due 04/03/17		3,000,000		2,999,836
Western Union Co/The
1.10% due 04/04/17		2,000,000		1,999,817
Total Commercial Paper
(Cost $4,999,653)				4,999,653

	Contracts
OPTIONS PURCHASED† - 0.2%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ Year Treasury Bond ETF, Expiring with strike price of $120.00		1,798	$	481,864
Total Options Purchased
(Cost $314,650)				481,864
Total Investments - 103.6%
(Cost $323,382,831)			$	320,665,941
OPTIONS WRITTEN† - (0.1)%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ Year Treasury Bond ETF, Expiring with strike price of $123.00		1,798		(260,710	)
Total Options Written
(Premiums received $163,618)				(260,710	)
Other Assets & Liabilities, net - (3.5)%				(10,795,012	)
Total Net Assets - 100.0%			$	309,610,219

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††

Counterparty

Exchange

Floating Rate

Floating Rate Index

Fixed Rate

Maturity Date

Notional Amount

Market Value

Unrealized Appreciation

Merrill Lynch

CME

Receive

3-Month USD-LIBOR

2.16

%

02/13/24

$

(6,200,000

)

$

28,657

$

28,657

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell			Currency	Settlement Date	Settlement Value		Value at March 31, 2017		Net Unrealized Depreciation
Bank of America		(1,020,000	)	EUR	04/11/17	$	1,081,370	$	1,088,630	$	(7,260	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	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, 2017.
3	Perpetual maturity.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $188,786,435 (cost $186,941,429), or 61.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
5	Rate indicated is the 7 day yield as of March 31, 2017.
6	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
7	Security is an interest-only strip. Rate indicated is effective yield at March 31, 2017.
8	Zero coupon rate security.
9	Rate indicated is the effective yield at time of purchase.
10	Security with no rate was unsettled at March 31, 2017.
11	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
12	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
13	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 $7,997,386 (cost $10,324,608), or 2.6% of total net assets — See Note 12.
14	The face amount is denominated in U.S. dollars, unless otherwise noted.
	REIT — Real Estate Investment Trust
	CME — Chicago Mercantile Exchange
	EUR — Euro
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
INVESTMENT GRADE BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	—	$	149,764,734	$	—	$	271,404		$	150,036,137
Collateralized Mortgage Obligations		—		63,991,488		—		2,531,352			66,522,840
Commercial Paper		—		4,999,653		—		—			4,999,653
Common Stocks		—		—		—		—	**		—	**
Corporate Bonds		—		33,248,191		—		1,260,335			34,508,527
Federal Agency Securities		—		13,971,387		—		—			13,971,387
Foreign Government Bonds		—		922,380		—		—			922,380
Interest Rate Swap Agreements		—		—		28,657		—			28,657
Municipal Bonds		—		4,758,622		—		—			4,758,622
Options Purchased		481,864		—		—		—			481,864
Preferred Stocks		—		516,433		—		2,272,763			2,789,196
Senior Floating Rate Interests		—		13,707,043		—		—			13,707,043
Short Term Investments		2,651,038		—		—		—			2,651,038
Unit Investment Trust		55,629		—		—		—			55,629
U.S. Government Securities		—		25,261,625		—		—			25,261,625
Total	$	3,188,531	$	311,141,556	$	28,657	$	6,335,854		$	320,694,598
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3			Total
Currency Contracts	$	—	$	—	$	7,260	$	—		$	7,260
Options Written		260,710		—		—		—			260,710
Total	$	260,710	$	—	$	7,260	$	—		$	267,970

*	Other financial instruments include forward foreign currency exchange contracts and/or swaps, which are reported as unrealized gain/loss at period end.
**	Market value of security is $0.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of March 31, 2017, Investment Grade Bond Fund had securities with the total value $1,014,089 transfer out of Level 3 into Level 2 due changes in securities’ valuation methods using observable inputs. There were no other transfers between levels.

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

Category	Ending Balance at 03/31/17		Valuation Technique	Unobservable Inputs
Collateralized Mortgage Obligations	$	2,531,352	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds		1,531,739	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Preferred Stocks		2,272,763	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Total	$	6,335,854

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
INVESTMENT GRADE BOND FUND

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, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Collateralized Mortgage Obligations			Asset Backed Securities			Corporate Bonds			Preferred Stocks			Total
INVESTMENT GRADE BOND
Assets:
Beginning Balance	$	—		$	1,304,702		$	1,384,591		$	2,282,127		$	4,971,420
Purchases		2,751,144			—			—			—			2,751,144
Sales, maturities and paydowns		(4,817	)		(24,375	)		—			—			(29,192	)
Total realized gains or losses included in earnings		—			—			—			—			—
Total change in unrealized gains or losses included in earnings		(214,975	)		5,166			(124,256	)		(9,364	)		(343,429	)
Transfers into Level 3		—			—			—			—			—
Transfers out of Level 3		—			(1,014,089	)		—			—			(1,014,089	)
Ending Balance	$	2,531,352		$	271,404		$	1,260,335		$	2,272,763		$	6,335,854
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	(213,158	)	$	5,166		$	(123,552	)	$	(9,363	)	$	(340,907	)

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

INVESTMENT GRADE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $323,382,831)	$	320,665,941
Foreign currency, at value (cost $6,935)		6,935
Segregated cash with broker		167,000
Prepaid expenses		74,025
Unrealized appreciation on swap agreements		28,657
Receivables:
Securities sold		3,468,659
Fund shares sold		305,662
Interest		1,586,045
Total assets		326,302,924
Liabilities:
Reverse Repurchase Agreements		793,350
Options written, at value (premiums received $163,618)		260,710
Segregated cash due to broker		26,640
Unrealized depreciation on forward foreign currency exchange contracts		7,260
Overdraft due to custodian bank		6,713
Payable for:
Securities purchased		14,687,549
Fund shares redeemed		645,085
Management fees		138,938
Distribution and service fees		60,866
Transfer agent/maintenance fees		29,455
Fund accounting/administration fees		20,585
Swap settlement		10,923
Interest from reverse repurchase agreements		14
Miscellaneous		4,617
Total liabilities		16,692,705
Net assets	$	309,610,219
Net assets consist of:
Paid in capital	$	334,535,632
Accumulated net investment loss		(874,745	)
Accumulated net realized loss on investments		(21,258,083	)
Net unrealized depreciation on investments		(2,792,585	)
Net assets	$	309,610,219
A-Class:
Net assets	$	164,619,401
Capital shares outstanding		9,010,481
Net asset value per share	$	18.27
Maximum offering price per share (Net asset value divided by 96.00%)	$	19.03
C-Class:
Net assets	$	30,581,804
Capital shares outstanding		1,680,870
Net asset value per share	$	18.19
P-Class:
Net assets	$	2,177,888
Capital shares outstanding		119,112
Net asset value per share	$	18.28
Institutional Class:
Net assets	$	112,231,126
Capital shares outstanding		6,151,633
Net asset value per share	$	18.24

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

INVESTMENT GRADE BOND FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Interest	$	6,452,481
Dividends		80,217
Total investment income		6,532,698
Expenses:
Management fees		800,711
Transfer agent/maintenance fees
A-Class		58,159
C-Class		24,701
P-Class		3,533
Institutional Class		7,539
Distribution and service fees:
A-Class		200,995
C-Class		159,379
P-Class		3,099
Fund accounting/administration fees		118,481
Line of credit fees		26,029
Interest expense		8,200
Custodian fees		6,621
Trustees’ fees*		2,850
Miscellaneous		32,642
Total expenses		1,452,939
Less:
Expenses waived by Adviser:
C-Class		(2,491	)
P-Class		(1,976	)
Total waived/reimbursed expenses		(4,467	)
Net expenses		1,448,472
Net investment income		5,084,226
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	76,746
Swap agreements		3,618
Foreign currency		(26,297	)
Forward foreign currency exchange contracts		14,234
Net realized gain		68,301
Net change in unrealized appreciation (depreciation) on:
Investments		(4,537,900	)
Swap agreements		28,657
Options purchased		167,214
Options written		(97,092	)
Forward foreign currency exchange contracts		(7,260	)
Net change in unrealized appreciation (depreciation)		(4,446,381	)
Net realized and unrealized loss		(4,378,080	)
Net increase in net assets resulting from operations	$	706,146

* 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.

INVESTMENT GRADE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,084,226		$	6,639,023
Net realized gain on investments		68,301			2,098,723
Net change in unrealized appreciation (depreciation) on investments		(4,446,381	)		4,628,363
Net increase in net assets resulting from operations		706,146			13,366,109
Distributions to shareholders from:
Net investment income
A-Class		(2,804,145	)		(4,978,867	)
C-Class		(438,296	)		(868,592	)
P-Class		(43,607	)		(57,008	)
Institutional Class		(1,925,711	)		(1,157,024	)
Total distributions to shareholders		(5,211,759	)		(7,061,491	)
Capital share transactions:
Proceeds from sale of shares
A-Class		34,823,692			66,630,224
C-Class		3,183,956			19,854,556
P-Class		705,541			3,885,131
Institutional Class		45,033,073			85,970,913
Distributions reinvested
A-Class		2,595,425			4,737,216
C-Class		384,987			761,108
P-Class		43,607			57,008
Institutional Class		1,868,108			893,933
Cost of shares redeemed
A-Class		(29,222,213	)		(31,331,066	)
C-Class		(8,474,081	)		(9,542,796	)
P-Class		(1,606,287	)		(946,105	)
Institutional Class		(16,446,948	)		(12,097,691	)
Net increase from capital share transactions		32,888,860			128,872,431
Net increase in net assets		28,383,247			135,177,049
Net assets:
Beginning of period		281,226,972			146,049,923
End of period	$	309,610,219		$	281,226,972
Accumulated net investment loss at end of period	$	(874,745	)	$	(747,212	)
Capital share activity:
Shares sold
A-Class		1,907,202			3,676,365
C-Class		175,395			1,100,204
P-Class		38,734			214,391
Institutional Class		2,464,439			4,719,258
Shares issued from reinvestment of distributions
A-Class		142,426			261,551
C-Class		21,213			42,199
P-Class		2,393			3,148
Institutional Class		102,678			48,739
Shares redeemed
A-Class		(1,604,744	)		(1,727,722	)
C-Class		(466,193	)		(529,935	)
P-Class		(88,257	)		(51,857	)
Institutional Class		(904,259	)		(661,553	)
Net increase in shares		1,791,027			7,094,788

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	18.55		$	18.10		$	18.50		$	17.81		$	17.92		$	17.41
Income (loss) from investment operations:
Net investment income (loss)c		.31			.64			.69			.65			.61			.27
Net gain (loss) on investments (realized and unrealized)		(.27	)		.50			(.30	)		.83			(.04	)		.51
Total from investment operations		.04			1.14			.39			1.48			.57			.78
Less distributions from:
Net investment income		(.32	)		(.69	)		(.79	)		(.79	)		(.68	)		(.27	)
Total distributions		(.32	)		(.69	)		(.79	)		(.79	)		(.68	)		(.27	)
Net asset value, end of period	$	18.27		$	18.55		$	18.10		$	18.50		$	17.81		$	17.92
Total Returnd		0.22	%		6.50	%		2.12	%		8.47	%		3.21	%		4.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	164,619		$	158,932		$	115,019		$	99,565		$	83,642		$	98,063
Ratios to average net assets:
Net investment income (loss)		3.40	%		3.55	%		3.72	%		3.55	%		3.40	%		2.04	%
Total expensesg		1.02	%		1.08	%		1.17	%		1.19	%		1.21	%		1.15	%
Net expensesh,i		1.02	%		1.03	%		1.07	%		1.05	%		1.04	%		1.00	%
Portfolio turnover rate		45	%		100	%		57	%		61	%		119	%		52	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	18.48		$	18.02		$	18.42		$	17.73		$	17.82		$	17.31
Income (loss) from investment operations:
Net investment income (loss)c		.24			.51			.55			.51			.48			.17
Net gain (loss) on investments (realized and unrealized)		(.28	)		.51			(.30	)		.83			(.05	)		.51
Total from investment operations		(.04	)		1.02			.25			1.34			.43			.68
Less distributions from:
Net investment income		(.25	)		(.56	)		(.65	)		(.65	)		(.52	)		(.17	)
Total distributions		(.25	)		(.56	)		(.65	)		(.65	)		(.52	)		(.17	)
Net asset value, end of period	$	18.19		$	18.48		$	18.02		$	18.42		$	17.73		$	17.82
Total Returnd		(0.20	%)		5.78	%		1.36	%		7.69	%		2.42	%		3.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	30,582		$	36,040		$	24,111		$	20,673		$	17,876		$	20,929
Ratios to average net assets:
Net investment income (loss)		2.66	%		2.81	%		3.00	%		2.80	%		2.65	%		1.29	%
Total expensesg		1.79	%		1.90	%		1.99	%		1.99	%		2.03	%		1.92	%
Net expensesh,i		1.77	%		1.77	%		1.82	%		1.80	%		1.79	%		1.75	%
Portfolio turnover rate		45	%		100	%		57	%		61	%		119	%		52	%

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

INVESTMENT GRADE BOND FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015e
Per Share Data
Net asset value, beginning of period	$	18.57		$	18.12		$	18.45
Income (loss) from investment operations:
Net investment income (loss)c		.31			.59			.25
Net gain (loss) on investments (realized and unrealized)		(.28	)		.55			(.26	)
Total from investment operations		.03			1.14			(.01	)
Less distributions from:
Net investment income		(.32	)		(.69	)		(.32	)
Total distributions		(.32	)		(.69	)		(.32	)
Net asset value, end of period	$	18.28		$	18.57		$	18.12
Total Returnd		0.17	%		6.51	%		(0.11	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,178		$	3,087		$	10
Ratios to average net assets:
Net investment income (loss)		3.43	%		3.25	%		3.25	%
Total expensesg		1.16	%		0.98	%		3.29	%
Net expensesh,i		1.00	%		0.98	%		1.09	%
Portfolio turnover rate		45	%		100	%		57	%

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013f
Per Share Data
Net asset value, beginning of period	$	18.53		$	18.07		$	18.47		$	17.80		$	18.00
Income (loss) from investment operations:
Net investment income (loss)c		.34			.62			.74			.68			.46
Net gain (loss) on investments (realized and unrealized)		(.28	)		.58			(.31	)		.83			(.21	)
Total from investment operations		.06			1.20			.43			1.51			.25
Less distributions from:
Net investment income		(.35	)		(.74	)		(.83	)		(.84	)		(.45	)
Total distributions		(.35	)		(.74	)		(.83	)		(.84	)		(.45	)
Net asset value, end of period	$	18.24		$	18.53		$	18.07		$	18.47		$	17.80
Total Returnd		0.35	%		6.83	%		2.37	%		8.64	%		1.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	112,231		$	83,168		$	6,910		$	5,909		$	174
Ratios to average net assets:
Net investment income (loss)		3.76	%		3.41	%		4.01	%		3.72	%		3.85	%
Total expensesg		0.65	%		0.76	%		0.94	%		0.88	%		1.17	%
Net expensesh,i		0.66	%		0.76	%		0.82	%		0.78	%		0.82	%
Portfolio turnover rate		45	%		100	%		57	%		61	%		119	%

a	Unaudited figures for the period ended March 31, 2017. 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	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
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	Does not include expenses of the underlying funds in which the Fund invests.
h	Net expense information reflects the expense ratios after expense waivers.
i	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years would be:

	03/31/17	09/30/16	09/30/15	09/30/14	09/30/13
A-Class	1.00%	1.00%	1.00%	1.00%	1.02%
C-Class	1.75%	1.74%	1.75%	1.75%	1.77%
P-Class	0.99%	0.97%	1.00%	—	—
Institutional Class	0.64%	0.75%	0.75%	0.75%	0.77%

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

FUND PROFILE (Unaudited) March 31, 2017

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)
Republic of Portugal Government Bond	1.9%
Kingdom of Spain Government Bond	1.8%
Venture XVI CLO Ltd.	1.4%
CIT Mortgage Loan Trust	1.4%
Station Place Securitization Trust	1.4%
Fortress Credit BSL II Ltd.	1.3%
FirstKey Master Funding	1.3%
Fortress Credit Opportunities VII CLO Ltd.	1.2%
Floating Rate Strategies Fund - Institutional Class	1.2%
JP Morgan Mortgage Acquisition Trust	1.1%
Top Ten Total	14.0%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53

FUND PROFILE (Unaudited)(concluded) March 31, 2017

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	27.0%
AA	13.8%
A	14.9%
BBB	16.0%
BB	5.0%
B	6.3%
CCC	0.7%
CC	0.1%
NR2	9.4%
Total	93.2%
Other Instruments	6.8%
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.

54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
LIMITED DURATION FUND

	Shares		Value
MUTUAL FUNDS† - 3.5%
Guggenheim Floating Rate Strategies Fund - Institutional Class1		629,435	$	16,415,673
Guggenheim Strategy Fund I1		517,272		12,957,662
Guggenheim Strategy Fund II1		487,233		12,180,825
Guggenheim Strategy Fund III1		280,729		7,021,027
Total Mutual Funds
(Cost $48,421,293)				48,575,187
SHORT-TERM INVESTMENTS† - 3.0%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.50%2		42,119,763		42,119,763
Total Short-Term Investments
(Cost $42,119,763)				42,119,763
	Face Amount12
ASSET-BACKED SECURITIES†† - 46.9%
Collateralized Loan Obligations - 39.2%
Venture XVI CLO Ltd.
2017-16A, 2.27% due 04/15/263,4	$	20,000,000		19,999,106
2014-16A, 2.52% due 04/15/263,4		9,200,000		9,200,000
Fortress Credit BSL II Ltd.
2017-2A, 2.30% due 10/19/253,4		19,000,000		18,976,692
2013-2A, 2.52% due 10/19/253,4		5,000,000		5,002,732
2013-2A, 3.27% due 10/19/253,4		1,500,000		1,502,348
Great Lakes CLO Ltd.
2014-1A, 2.87% due 04/15/253,4		10,000,000		10,010,212
2015-1A, 2.97% due 07/15/263,4		5,000,000		5,015,993
2012-1A, 2.85% due 01/15/233,4		4,457,693		4,461,541
2014-1A, 4.72% due 04/15/253,4		250,000		247,172
Fortress Credit Opportunities III CLO, LP
2017-3A, 2.84% due 04/28/263,4		16,000,000		15,979,366
2017-3A, 4.00% due 04/28/264		1,800,000		1,795,388
2014-3A, 3.51% due 04/28/263,4		1,000,000		996,612
CIFC Funding Ltd.
2016-1A, 2.99% due 01/22/273,4		8,500,000		8,500,307
2014-4A, 2.38% due 10/17/263,4		5,000,000		5,004,184
2015-2A, 3.00% due 12/05/243,4		2,000,000		1,999,506
2015-2A, 3.80% due 12/05/243,4		1,990,000		1,993,348
Fortress Credit Opportunities VII CLO Ltd.
2016-7A, 2.98% due 12/15/283,4		17,000,000		17,027,565
Golub Capital Partners CLO Ltd.
2016-33A, 3.37% due 11/21/283,4		9,000,000		8,970,180
2015-25A, 2.83% due 08/05/273,4		5,000,000		5,000,945
2015-23A, 3.18% due 05/05/273,4		1,000,000		1,004,050
2015-24A, 4.78% due 02/05/273,4		1,000,000		995,426
2014-21A, 3.49% due 10/25/263,4		500,000		492,817
2014-18A, 4.54% due 04/25/263,4		250,000		249,551
2014-18A, 5.04% due 04/25/263,4		250,000		245,050
TICP 2014-3A AR
2.33% due 01/20/27		13,350,000		13,363,787

TICP CLO III Ltd.
2014-3A, 2.57% due 01/20/273,4	13,350,000	13,350,000
Steele Creek CLO Ltd.
2014-1A, 2.37% due 08/21/263,4	11,300,000	11,285,602
2017-1A, 2.89% due 08/21/263,4	2,000,000	1,999,988
Fortress Credit Opportunities V CLO Ltd.
2017-5A, 3.06% due 10/15/263,4	7,200,000	7,204,997
2017-5A, 3.40% due 10/15/264	4,000,000	4,004,147
2014-5A, 4.56% due 10/15/263,4	1,000,000	999,664
2014-5A, 3.66% due 10/15/263,4	1,000,000	999,500
Carlyle Global Market Strategies CLO Ltd.
2013-2A, 2.17% due 04/18/253,4	9,130,000	9,130,000
2013-4A, 2.49% due 10/15/253,4	2,000,000	2,008,444
PFP Ltd.
2017-3, 1.83% due 01/14/353,4	6,750,000	6,766,132
2015-2, 2.93% due 07/14/343,4	3,000,000	2,997,406
Northwoods Capital X Ltd.
2017-10A, 2.48% due 11/04/253,4	7,500,000	7,504,712
2013-10A, 2.93% due 11/04/253,4	2,250,000	2,249,992
OCP CLO Ltd.
2016-11A, 3.43% due 04/26/283,4	3,750,000	3,749,784
2016-2A, 3.05% due 11/22/253,4	2,000,000	2,017,469
2013-4A, 3.79% due 10/24/253,4	2,000,000	2,000,000
2016-11A, 4.48% due 04/26/283,4	1,500,000	1,499,865
Vibrant CLO III Ltd.
2016-3A, 2.51% due 04/20/263,4	8,800,000	8,781,731
ABPCI Direct Lending Fund CLO I LLC
2016-1A, 3.65% due 12/22/283,4	8,000,000	7,957,885
NXT Capital CLO LLC
2017-1A, 2.86% due 04/20/293,4	7,700,000	7,686,651
TICP CLO II Ltd.
2017-2A, 2.70% due 07/20/263,4	7,500,000	7,506,301
Seneca Park CLO Limited
2017-1A, 2.44% due 07/17/263,4	7,500,000	7,504,628
Garrison Funding Ltd.
2015-1A, 2.50% due 05/25/273,4	3,000,000	2,999,924
2016-2A, 3.26% due 09/29/273,4	2,000,000	2,013,403
2015-1A, 3.55% due 05/25/273,4	2,000,000	2,000,202
Flagship CLO VIII Ltd.
2017-8A, 2.29% due 01/16/263,4	6,900,000	6,883,429
Cerberus Loan Funding XVII Ltd.
2016-3A, 3.48% due 01/15/283,4	6,500,000	6,478,951
KVK CLO Ltd.
2017-1A, 2.84% due 05/15/263,4	5,600,000	5,596,004
2014-2A, 4.02% due 07/15/263,4	500,000	499,973
2013-1A, due 04/14/254,5	750,000	339,719
A Voce CLO Ltd.
2017-1A, 2.31% due 07/15/263,4	6,400,000	6,392,459
Venture XIX CLO Ltd.
2016-19A, 3.02% due 01/15/273,4	6,100,000	6,099,707
Crown Point CLO II Ltd.
2013-2A, 2.95% due 12/31/233,4	6,000,000	5,991,288
Catamaran CLO Ltd.
2016-1A, 3.10% due 12/20/233,4	3,250,000	3,250,901
2014-1A, 3.68% due 04/20/263,4	2,750,000	2,722,859

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
Cent CLO Ltd.
2013-19A, 2.37% due 10/29/253,4	$	3,850,000	$	3,849,442
2014-20A, 2.52% due 01/25/263,4		2,100,000		2,100,862
Regatta V Funding Ltd.
2017-1A, 2.27% due 10/25/263,4		4,900,000		4,899,677
2014-1A, 2.60% due 10/25/263,4		1,000,000		1,000,000
GoldenTree Loan Opportunities VII Ltd.
2013-7A, 2.19% due 04/25/253,4		5,750,000		5,747,500
Northwoods Capital Ltd.
2014-14A, 2.33% due 11/12/253,4		5,700,000		5,703,503
Cent CDO 14 Ltd.
2007-14A, 1.72% due 04/15/213,4		6,000,000		5,638,035
Cent CLO LP
2014-21A, 2.27% due 07/27/263,4		5,500,000		5,497,645
Acis CLO Ltd.
2013-1A, 1.89% due 04/18/243,4		5,500,000		5,461,947
Tuolumne Grove CLO Limited
2017-1A, due 04/25/263,4		5,400,000		5,390,607
Galaxy XVIII CLO Ltd.
2017-18A, 2.32% due 10/15/263,4		5,300,000		5,299,762
Venture XII CLO Ltd.
2017-12A, 2.67% due 02/28/263,4		5,100,000		5,085,987
Voya CLO Ltd.
2013-1A, 3.92% due 04/15/243,4		2,300,000		2,300,007
2015-3A, 7.53% due 10/20/273,4		1,950,000		1,784,821
2015-3A, 3.97% due 10/15/223,4		1,000,000		999,964
OZLM IX Ltd.
2017-9A, 2.69% due 01/20/273,4		5,100,000		5,084,268
Flagship CLO
2014-8A, 2.09% due 01/16/263,4		5,000,000		4,993,321
Symphony CLO XIV Ltd.
2017-14A, 2.86% due 07/14/263,4		4,700,000		4,701,778
Oaktree EIF I Ltd.
2016-A1, 3.62% due 10/18/273,4		4,500,000		4,507,431
Shackleton CLO Ltd.
2016-7A, 2.97% due 04/15/273,4		4,250,000		4,249,797
Cerberus Loan Funding XVI, LP
2016-2A, 3.07% due 11/15/273,4		4,000,000		4,047,680
TCP Waterman CLO LLC
2016-1A, 3.18% due 12/15/283,4		4,000,000		4,041,761
Newstar Commercial Loan Funding LLC
2017-1A, 3.54% due 03/20/273,4		3,000,000		2,999,994
2016-1A, 4.80% due 02/25/283,4		1,000,000		1,002,048
WhiteHorse VI Ltd.
2016-1A, 2.93% due 02/03/253,4		4,000,000		3,997,037
ACIS CLO Ltd.
2014-4A, 2.45% due 05/01/263,4		4,000,000		3,991,274
Vibrant CLO III Ltd.
2016-3A, 3.08% due 04/20/263,4		4,000,000		3,985,356
FS Senior Funding Ltd.
2015-1A, 2.82% due 05/28/253,4		2,000,000		2,000,100
2015-1A, 3.67% due 05/28/253,4		2,000,000		1,979,738
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 3.01% due 10/10/263,4		2,750,000		2,749,771
2015-6A, 3.81% due 10/10/263,4		1,000,000		995,856
WhiteHorse VIII Ltd.
2014-1A, 2.53% due 05/01/263,4		3,450,000		3,430,893
Flagship VII Ltd.
2017-7A, 2.28% due 01/20/263,4		3,300,000		3,295,943
Northwoods Capital XIV Ltd.
2017-14A, 2.79% due 11/12/253,4		3,000,000		3,003,412
Fifth Street SLF II Ltd.
2015-2A, 2.96% due 09/29/273,4		3,000,000		3,002,656
Cavalry CLO II
2013-2A, 2.37% due 01/17/243,4		3,000,000		3,000,000
RFTI Issuer Ltd.
2015-FL1, 2.66% due 08/15/303,4		2,986,696		2,984,420
Venture XI CLO Ltd.
2015-11A, 2.99% due 11/14/223,4		3,000,000		2,982,256
Black Diamond CLO Ltd.
2012-1A, 2.43% due 02/01/233,4		2,553,578		2,550,232
Atrium XI
2014-11A, 4.24% due 10/23/253,4		2,500,000		2,500,211
Ares XXVI CLO Ltd.
2013-1A, 3.77% due 04/15/253,4		2,500,000		2,499,880
KKR CLO Ltd.
2015-12, 3.32% due 07/15/273,4		2,500,000		2,497,043
AMMC CLO XV Ltd.
2016-15A, 3.01% due 12/09/263,4		2,400,000		2,408,874
Nelder Grove CLO Ltd.
2017-1A, 2.80% due 08/28/263,4		2,400,000		2,399,631
LCM XXII Ltd.
2016-22A, 2.31% due 10/20/283,4		2,300,000		2,300,679
Vibrant CLO Ltd.
2015-1A, 3.12% due 07/17/243,4		2,000,000		2,011,223
Cereberus ICQ Levered LLC
2015-1A, 3.07% due 11/06/253,4		2,000,000		2,004,332
Madison Park Funding XVI Ltd.
2016-16A, 2.93% due 04/20/263,4		2,000,000		2,004,278
KKR CLO Trust
2012-1A, 3.33% due 12/15/243,4		2,000,000		2,000,503
Atlas Senior Loan Fund V Ltd.
2016-1A, 3.53% due 07/16/263,4		2,000,000		1,999,898
Northwoods Capital IX Ltd.
2012-9A, 3.27% due 01/18/243,4		2,000,000		1,999,890
Marea CLO Ltd.
2015-1A, 3.77% due 10/15/233,4		1,000,000		999,965
2015-1A, 2.82% due 10/15/233,4		1,000,000		999,785
OHA Loan Funding Ltd.
2013-1A, 2.49% due 07/23/253,4		2,000,000		1,998,567
Fortress Credit Funding V, LP
2015-5A, 3.69% due 08/15/223,4		2,000,000		1,997,973
Dryden XXIV Senior Loan Fund
2015-24RA, 3.74% due 11/15/233,4		2,000,000		1,995,807
OZLM Funding II Ltd.
2016-2A, 3.64% due 10/30/273,4		2,000,000		1,994,431
Airlie CLO Ltd.
2006-2A, 2.48% due 12/20/203,4		2,000,000		1,977,372
Resource Capital Corp.
2014-CRE2, 3.44% due 04/15/323,4		2,000,000		1,970,032

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
Flatiron CLO Ltd.
2017-1A, 2.64% due 07/17/263,4	$	1,700,000	$	1,694,990
Tralee CLO III Ltd.
2016-3A, 3.03% due 07/20/263,4		1,600,000		1,601,079
Battalion CLO VII Ltd.
2014-7A, 2.62% due 10/17/263,4		1,500,000		1,501,029
Tuolumne Grove CLO Ltd.
2014-1A, 3.14% due 04/25/263,4		1,500,000		1,500,000
Betony CLO Ltd.
2016-1A, 2.97% due 04/15/273,4		1,500,000		1,498,334
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/274,5		1,500,000		1,408,711
Dryden 30 Senior Loan Fund
2013-30A, 3.89% due 11/15/253,4		1,330,000		1,327,493
Highbridge Loan Management Ltd.
2014-2014, 3.09% due 07/28/253,4		1,250,000		1,249,940
Venture VII CDO Ltd.
2006-7A, 1.26% due 01/20/223,4		1,245,366		1,237,084
Kingsland V Ltd.
2007-5A, 1.82% due 07/14/213,4		1,070,000		1,036,433
CFIP CLO Ltd.
2014-1A, 2.49% due 04/13/253,4		1,000,000		1,003,082
Fortress Credit Investments IV Ltd.
2015-4A, 2.92% due 07/17/233,4		1,000,000		1,001,108
Benefit Street Partners CLO Ltd.
2015-IA, 4.12% due 10/15/253,4		1,000,000		1,001,007
Adirondack Park CLO Ltd.
2013-1A, 4.02% due 04/15/243,4		1,000,000		1,000,797
Anchorage Capital CLO 4 Ltd.
2014-4A, 3.20% due 07/28/263,4		1,000,000		1,000,177
Cent CLO
2014-16A, 3.28% due 08/01/243,4		500,000		500,043
2014-16A, 4.23% due 08/01/243,4		500,000		500,020
Duane Street CLO IV Ltd.
2007-4A, 3.29% due 11/14/213,4		1,000,000		1,000,032
Battalion CLO Ltd.
2007-1A, 3.17% due 07/14/223,4		1,000,000		999,982
Oaktree EIF II Series Ltd.
2014-A2, 3.34% due 11/15/253,4		1,000,000		999,919
Rockwall CDO II Ltd.
2007-1A, 1.58% due 08/01/243,4		1,000,000		992,330
Resource Capital Corp
2015-CRE3, 4.09% due 03/15/323,4		1,000,000		991,564
Madison Park Funding V Ltd.
2007-5A, 2.50% due 02/26/213,4		1,000,000		980,206
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.33% due 10/20/253,4		1,000,000		976,347
Treman Park CLO Ltd.
2015-1A, due 04/20/274,5		1,000,000		897,000
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,5		1,000,000		892,252
Cerberus Onshore II CLO LLC
2014-1A, 3.72% due 10/15/233,4		500,000		500,256
2014-1A, 3.72% due 10/15/233,4		250,000		249,861
2014-1A, 3.02% due 10/15/233,4		138,676		138,696
LMREC, Inc.
2016-CRE2, 2.48% due 11/24/313,4		534,000		532,815
Halcyon Loan Advisors Funding Ltd.
2012-1A, 4.04% due 08/15/233,4		500,000		501,597
ALM XIV Ltd.
2014-14A, 4.49% due 07/28/263,4		500,000		501,281
Gallatin CLO VII Ltd.
2014-1A, 3.92% due 07/15/233,4		500,000		500,026
NZCG Funding Ltd.
2015-2A, 3.39% due 04/27/273,4		500,000		499,990
Figueroa CLO Ltd.
2013-1A, 3.80% due 03/21/243,4		500,000		499,960
Telos CLO Ltd.
2013-4A, 3.77% due 07/17/243,4		500,000		498,960
COA Summit CLO Ltd.
2014-1A, 4.88% due 04/20/233,4		500,000		494,898
WhiteHorse IV Ltd.
2007-4A, 2.47% due 01/17/203,4		500,000		492,630
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.34% due 07/25/253,4		250,000		247,480
2014-1A, 5.29% due 07/25/253,4		250,000		239,424
Babson CLO Ltd.
2012-2A, due 05/15/234,5		750,000		446,101
Keuka Park CLO Ltd.
2013-1A, due 10/21/244,5		500,000		252,972
Kingsland IV Ltd.
2007-4A, 2.47% due 04/16/213,4		250,000		241,023
Copper River CLO Ltd.
2007-1A, due 01/20/213,5,11		500,000		70,296
Total Collateralized Loan Obligations				545,103,975
Transport-Aircraft - 2.2%
Apollo Aviation Securitization Equity Trust
2016-2, 4.21% due 11/15/41		6,400,020		6,405,497
2016-1A, 4.88% due 03/17/364		4,770,000		4,793,850
2014-1, 5.13% due 12/15/293		950,262		949,075
2014-1, 7.38% due 12/15/293		380,105		379,630
Castlelake Aircraft Securitization Trust
2015-1A, 4.70% due 12/15/404		5,115,395		5,220,319
2014-1, 5.25% due 02/15/29		163,216		162,808
2014-1, 7.50% due 02/15/29		161,814		161,814
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/42		3,729,000		3,759,246
ECAF I Ltd.
2015-1A, 3.47% due 06/15/404		1,491,867		1,476,949
2015-1A, 5.80% due 06/15/404		879,834		844,640
Harbour Aircraft Investments Ltd.
2016-1A, 4.70% due 07/15/41		1,835,400		1,839,225
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		1,702,381		1,695,997
Diamond Head Aviation Ltd.
2015-1, 3.81% due 07/14/284		1,349,812		1,350,478
Atlas Ltd.
2014-1 A, 4.88% due 12/15/39		864,600		862,439
AABS
2013-1 A, 4.88% due 01/10/38		538,443		537,097

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
Rise Ltd.
2014-1A, 4.75% due 02/12/39	$	359,958	$	358,159
Total Transport-Aircraft				30,797,223
Collateralized Debt Obligations - 2.2%
Anchorage Credit Funding Ltd.
2016-4A, 3.50% due 02/15/354		10,250,000		10,212,633
2016-3A, 3.85% due 10/28/334		1,500,000		1,521,879
FDF II Ltd.
2016-2A, 4.29% due 05/12/314		4,000,000		4,019,208
RB Commercial Trust
2012-RS1, 5.35% due 01/26/224		3,349,867		3,459,499
FDF I Ltd.
2015-1A, 4.40% due 11/12/304		3,000,000		2,956,969
Triaxx Prime CDO Ltd.
2006-2A, 1.05% due 10/02/393,4		2,940,804		2,865,916
Putnam Structured Product Funding Ltd.
2003-1A, 1.91% due 10/15/383,4		2,500,639		2,269,538
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/463,4		1,449,821		1,432,303
H2 Asset Funding Ltd.
2014-1A, 2.88% due 03/19/37		1,000,000		997,041
Wrightwood Capital Real Estate CDO Ltd.
2005-1A, 1.48% due 11/21/403,4		700,000		686,744
Total Collateralized Debt Obligations				30,421,730
Net Lease - 1.3%
Capital Automotive REIT
2017-1A, 3.87% due 04/15/474		12,200,000		12,196,463
2014-1A, 3.66% due 10/15/444		1,000,000		974,454
Store Master Funding LLC
2012-1A, 5.77% due 08/20/424		3,726,844		3,754,128
2013-1A, 4.16% due 03/20/434		933,635		926,209
Spirit Master Funding LLC
2014-1A, 5.05% due 07/20/404		501,150		507,840
Total Net Lease				18,359,094
Whole Business - 1.2%
Taco Bell Funding LLC
2016-1A, 4.38% due 05/25/464		3,681,500		3,729,220
2016-1A, 4.97% due 05/25/464		3,482,500		3,534,884
DB Master Finance LLC
2015-1A, 3.98% due 02/20/454		3,831,800		3,894,346
Sonic Capital LLC
2016-1A, 4.47% due 05/20/464		1,988,333		1,959,421
Drug Royalty III Limited Partnership
2016-1A, 3.98% due 04/15/274		1,699,675		1,699,851
Drug Royalty II Limited Partnership 2
2014-1, 3.48% due 07/15/234		811,167		804,361
Wendys Funding LLC
2015-1A, 4.08% due 06/15/454		768,300		773,433
Miramax LLC
2014-1A, 3.34% due 07/20/264		596,800		592,916
Total Whole Business				16,988,432
Transport-Container - 0.8%
Global SC Finance II SRL
2013-1A, 2.98% due 04/17/284		9,596,458		9,343,271
2013-2A, 3.67% due 11/17/284		1,941,100		1,913,097
Total Transport-Container				11,256,368
Insurance - 0.0%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/344		594,000		591,262
Automotive - 0.0%
Hertz Vehicle Financing LLC
2016-2A, 4.99% due 03/25/224		477,000		482,313
Diversified Payment Rights - 0.0%
CCR, Inc. MT100 Payment Rights Master Trust
2010-CX, 1.30% due 07/10/173		138,820		138,545
Total Asset-Backed Securities
(Cost $652,601,531)				654,138,942
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 31.2%
Residential Mortgage Backed Securities - 20.5%
FirstKey Master Funding
2017-R1, 1.01% due 11/03/413,4		31,500,000		31,044,014
LSTAR Securities Investment Ltd.
2017-1, 2.78% due 01/01/223,4		9,398,804		9,375,307
2016-4, 2.78% due 10/01/213,4		5,234,651		5,192,873
2015-6, 2.78% due 05/01/203,4		4,450,481		4,433,792
2016-3, 2.78% due 09/01/213,4		3,436,685		3,393,400
CIT Mortgage Loan Trust
2007-1, 2.33% due 10/25/373,4		19,256,482		19,118,695
2007-1, 2.43% due 10/25/373,4		1,518,351		1,486,662
JP Morgan Mortgage Acquisition Trust
2006-HE2, 1.12% due 07/25/363		15,926,146		15,310,033
Bayview Opportunity Master Fund IVb Trust
2017-RN1, 3.60% due 02/28/323,4		7,743,130		7,731,808
2017-NPL1, 3.60% due 01/28/324		4,177,252		4,166,049
LSTAR Securities Investment Trust
2016-2, 2.78% due 03/01/213,4		5,188,803		5,162,859
2016-5, 2.78% due 11/01/213,4		3,133,933		3,118,000
2015-10, 2.78% due 11/02/203,4		2,442,496		2,441,733
Countrywide Asset-Backed Certificates
2006-6, 1.15% due 09/25/363		6,762,973		6,304,829
2006-5, 1.27% due 08/25/363		3,170,441		3,041,922
GCAT
A1, 3.38% due 03/25/47		8,100,000		8,092,256
LSTAR Commercial Mortgage Trust
2016-7, 2.78% due 12/01/213,4		8,152,581		8,081,246
First NLC Trust
2005-4, 1.37% due 02/25/363		8,360,000		7,850,140
VOLT XLVIII LLC
2016-NPL8, 3.50% due 07/25/464		7,622,640		7,663,800
Nationstar HECM Loan Trust
2016-1A, 2.98% due 02/25/264		5,494,174		5,494,174
2015-2A, 2.88% due 11/25/254		1,034,645		1,034,976
2016-3A, 2.01% due 08/25/264		707,638		703,820

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
Stanwich Mortgage Loan Co.
2016-NPA1, 3.84% due 10/16/463,4	$	7,178,140	$	7,167,851
VOLT L LLC
2016-NP10, 3.50% due 09/25/463,4		6,870,348		6,913,346
CSMC Series
2015-12R, 1.27% due 11/30/373,4		6,652,586		6,274,074
2014-2R, 0.98% due 02/27/463,4		385,335		361,216
Ellington Loan Acquisition Trust
2007-2, 1.93% due 05/25/373,4		6,005,608		5,999,949
CWABS Incorporated Asset-Backed Certificates Trust
2004-4, 1.70% due 07/25/343		6,261,986		5,930,564
GSMSC Resecuritization Trust
2015-5R, 0.91% due 02/26/373,4		3,256,069		2,895,724
2015-7R, 0.93% due 09/26/373,4		2,982,262		2,821,518
Credit-Based Asset Servicing & Securitization LLC
2006-CB2, 1.17% due 12/25/363		5,989,058		5,561,040
LVII Resecuritization Trust
2009-3, 5.30% due 11/27/373,4		5,000,000		5,066,955
CIM Trust
2017-2, 2.78% due 12/25/573,4		5,000,000		4,962,643
Banc of America Funding Trust
2015-R4, 0.95% due 01/27/353,4		5,070,985		4,756,612
VOLT LIV LLC
2017-NPL1, 3.63% due 02/25/473,4		4,183,269		4,168,590
VOLT LI LLC
2016-NP11, 3.50% due 10/25/464		4,096,543		4,126,614
VOLT XLI LLC
2016-NPL1, 4.25% due 02/26/464		4,097,189		4,116,726
VOLT LIII LLC
2016-NP13, 3.88% due 12/26/464		3,923,751		3,913,878
Bear Stearns Asset Backed Securities I Trust
2006-HE3, 1.34% due 04/25/363		4,000,000		3,792,070
Soundview Home Loan Trust
2005-OPT3, 1.45% due 11/25/353		4,000,000		3,608,082
2003-1, 4.36% due 08/25/313		140,447		137,860
VOLT XXXIX LLC
2015-NP13, 4.13% due 10/25/454		3,715,934		3,724,007
VOLT LII LLC
2016-NP12, 3.63% due 11/26/464		3,681,123		3,665,691
VOLT XL LLC
2015-NP14, 4.38% due 11/27/454		2,842,532		2,870,326
NRPL Trust
2014-2A, 3.75% due 10/25/573,4		1,485,641		1,496,245
2015-1A, 3.88% due 11/01/544		1,322,552		1,314,063
GCAT LLC
2015-1, 3.63% due 05/26/203,4		2,631,194		2,631,459
VOLT XXXVI LLC
2015-NP10, 3.63% due 07/25/453,4		1,980,383		1,985,172
First Franklin Mortgage Loan Trust
2004-FF10, 2.26% due 07/25/343		1,953,097		1,890,513
VOLT XXXIII LLC
2015-NPL5, 3.50% due 03/25/554		1,881,551		1,888,558
Deutsche Alt-A Securities Mortgage Loan Trust Series
2006-AF1, 1.08% due 04/25/363		2,041,300		1,785,160
Global Mortgage Securitization Ltd.
2005-A, 1.25% due 04/25/323,4		1,795,196		1,699,727
Nomura Resecuritization Trust
2015-4R, 1.66% due 03/26/363,4		1,598,836		1,525,130
2012-1R, 1.22% due 08/27/473,4		129,086		128,105
AJAX Mortgage Loan Trust
2015-A, 3.88% due 11/25/543,4		1,555,229		1,551,266
Bayview Opportunity Master Fund Trust
2016-LT1, 3.47% due 10/28/313,4		1,531,462		1,523,847
VOLT XXVII LLC
2014-NPL7, 3.38% due 08/27/574		1,503,465		1,501,751
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 1.36% due 12/25/353		1,500,000		1,398,681
Structured Asset Investment Loan Trust
2005-2, 1.72% due 03/25/353		959,676		917,907
2005-1, 1.70% due 02/25/353,4		479,356		471,170
VOLT XXXIV LLC
2015-NPL7, 3.25% due 02/25/553,4		1,258,490		1,256,547
Encore Credit Receivables Trust
2005-4, 1.42% due 01/25/363		1,077,390		1,056,047
VOLT XLII LLC
2016-NPL2, 4.25% due 03/26/464		1,006,330		1,013,896
Ocwen Master Advance Receivables Trust
2015-T3, 3.21% due 11/15/474		1,000,000		987,702
Vericrest Opportunity Loan Trust
2015-NPL3, 3.38% due 10/25/584		958,397		954,639
BCAP LLC
2014-RR3, 0.92% due 10/26/363,4		850,144		829,747
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		516,391		532,651
Structured Asset Securities Corporation Mortgage Loan Trust
2007-BC1, 1.11% due 02/25/373		526,474		472,149
First Frankin Mortgage Loan Trust
2006-FF4, 1.17% due 03/25/363		462,268		440,202
GSAMP Trust
2005-HE6, 1.42% due 11/25/353		439,526		432,256
GreenPoint Mortgage Funding Trust
2005-HE4, 1.45% due 07/25/303		286,754		281,857
Accredited Mortgage Loan Trust
2007-1, 1.11% due 02/25/373		226,772		222,051
Morgan Stanley Re-REMIC Trust
2010-R5, 1.60% due 06/26/364		178,455		130,696
Total Residential Mortgage Backed Securities				285,396,918
Commercial Mortgage Backed Securities - 8.1%
Cosmopolitan Hotel Trust
2016-CSMO, 2.31% due 11/15/333,4		10,000,000		10,081,348
2016-CSMO, 3.01% due 11/15/333,4		2,000,000		2,021,223
Bayview Opportunity Master Fund IIIa Trust
2016-RN3, 3.60% due 09/29/313,4		10,798,362		10,782,274

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
Chicago Skyscraper Trust
2017-SKY, 1.71% due 04/15/303,4	$	9,000,000	$	9,005,040
GS Mortgage Securities Corporation Trust
2016-ICE2, 4.16% due 02/15/333,4		6,400,000		6,491,790
Wells Fargo Commercial Mortgage Trust
2016-C37, 1.05% due 12/15/493		38,742,713		2,379,384
2016-C32, 1.36% due 01/15/593		23,149,138		1,946,766
2015-LC22, 0.91% due 09/15/583		24,604,779		1,318,363
2017-RB1, 1.45% due 03/15/503		10,000,000		995,000
2016-NXS5, 1.57% due 01/15/593		6,936,129		624,988
Motel 6 Trust
2015-MTL6, 5.28% due 02/05/304		4,131,000		4,152,117
2015-MTL6, 3.30% due 02/05/304		1,600,000		1,605,270
GS Mortgage Securities Trust
2014-GSFL, 2.66% due 07/15/313,4		3,600,000		3,565,292
2014-GSFL, 3.16% due 07/15/313,4		2,000,000		1,985,510
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.15% due 02/15/503		33,879,632		2,838,940
2016-UB10, 2.01% due 07/15/493		19,388,562		2,322,025
CGGS Commercial Mortgage Trust
2016-RNDA, 4.39% due 02/10/334		5,000,000		5,080,027
JP Morgan Chase Commercial Mortgage Securities Trust
2016-WIKI, 4.01% due 10/05/313,4		3,000,000		2,932,010
2014-CBM, 2.86% due 10/15/293,4		1,100,000		1,105,492
2014-FL5, 2.87% due 07/15/313,4		1,000,000		988,925
GAHR Commercial Mortgage Trust
2015-NRF, 3.38% due 12/15/343,4		4,500,000		4,329,014
2015-NRF, 2.21% due 12/15/343,4		366,093		367,539
VSD
2017-PLT1 A, 3.60% due 12/25/43		4,000,000		3,989,888
Americold LLC Trust
2010-ARTA, 7.44% due 01/14/294		3,500,000		3,920,542
JPMCC Commercial Mortgage Securities Trust
2017-JP5, 1.28% due 03/15/503		48,450,000		3,673,692
Americold 2010 LLC Trust
2010-ARTA, 6.81% due 01/14/294		2,605,000		2,908,228
BAMLL Commercial Mortgage Securities Trust
2014-ICTS, 2.31% due 06/15/283,4		2,750,000		2,662,114
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27, 1.04% due 12/15/473		31,483,678		1,941,350
Hyatt Hotel Portfolio Trust
2015-HYT, 3.96% due 11/15/293,4		1,900,000		1,911,291
BXHTL Mortgage Trust
2015-JWRZ, 3.76% due 05/15/293,4		1,775,000		1,783,353
JPMBB Commercial Mortgage Securities Trust
2013-C17, 0.95% due 01/15/473		33,085,137		1,444,881
Citigroup Commercial Mortgage Trust
2016-C2, 1.80% due 08/10/493		6,776,433		857,555
2016-GC37, 1.81% due 04/10/493		3,829,633		455,584
BHMS Mortgage Trust
2014-ATLS, 2.28% due 07/05/333,4		1,300,000		1,302,037
Morgan Stanley Capital I Trust
2015-XLF1, 3.09% due 08/14/313,4		1,135,000		1,136,632
CSAIL Commercial Mortgage Trust
2016-C6, 1.81% due 01/15/493		9,969,457		1,135,707
CDGJ Commercial Mortgage Trust
2014-BXCH, 3.41% due 12/15/273,4		1,000,000		1,004,213
JPMDB Commercial Mortgage Securities Trust
2017-C5, 1.18% due 03/15/503		58,000,000		4,356,380
2016-C2, 1.71% due 06/15/493		8,913,123		896,460
CD Mortgage Trust
2016-CD1, 1.44% due 08/10/493		7,071,360		685,990
LSTAR Commercial Mortgage Trust
2014-2, 4.21% due 01/20/413,4		500,000		498,597
GE Business Loan Trust
2007-1A, 1.08% due 04/16/353,4		435,614		408,497
GreenPoint Mortgage Funding Trust
2007-AR1, 1.06% due 02/25/473		16		16
Total Commercial Mortgage Backed Securities				113,891,344
Financial - 2.1%
Station Place Securitization Trust
2017-1A, 1.88% due 02/25/49†††,3,4		19,100,000		19,079,167
2017-1, 2.23% due 02/25/49†††,3,4		10,000,000		9,989,467
Total Financial				29,068,634
Government Agency - 0.5%
FREMF Mortgage Trust
2014-K715, 4.13% due 02/25/463,4		4,250,000		4,325,725
Freddie Mac Multifamily Structured Pass Through Certificates
2013-K035, 0.43% due 08/25/233,7		111,322,737		2,454,945
Total Government Agency				6,780,670
Total Collateralized Mortgage Obligations
(Cost $433,422,528)				435,137,566
CORPORATE BONDS†† - 10.6%
Financial - 7.4%
Bank of America Corp.
6.10%3,8		5,300,000		5,615,350
6.30%3,8		4,701,000		5,112,338
6.50%3,8		3,250,000		3,546,563
Citigroup, Inc.
6.25%3,8		8,795,000		9,487,605
5.95%3,8		3,450,000		3,592,347
5.95%3,8		645,000		673,219
Credit Agricole S.A.
2.08% due 06/10/203,4		11,550,000		11,605,139
Sumitomo Mitsui Trust Bank Ltd.
1.93% due 10/18/193,4		7,600,000		7,660,890
Bank of Nova Scotia
1.78% due 06/14/193		6,750,000		6,775,839
Huntington National Bank
1.62% due 03/10/203		6,000,000		6,002,928
Swedbank AB
1.82% due 03/14/223,4		5,800,000		5,802,529
Santander UK plc
2.60% due 03/14/193		5,700,000		5,796,854
Danske Bank A/S
1.68% due 09/06/193,4		5,600,000		5,614,353
Wells Fargo & Co.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
5.88%3,8	$	4,950,000	$	5,335,813
Westpac Banking Corp.
1.86% due 01/11/223		5,000,000		5,033,960
Sumitomo Mitsui Financial Group, Inc.
1.99% due 01/11/223		5,000,000		5,003,305
Voya Financial, Inc.
5.65% due 05/15/533		2,400,000		2,442,000
JPMorgan Chase & Co.
6.00%3,8		1,400,000		1,459,920
6.10%3,8		250,000		264,188
KeyCorp
5.00%3,8		1,650,000		1,633,500
American Equity Investment Life Holding Co.
6.63% due 07/15/21		1,300,000		1,348,750
Citizens Financial Group, Inc.
5.50%3,8		1,000,000		1,026,250
Northern Trust Corp.
4.60%3,8		1,000,000		980,000
GEO Group, Inc.
5.88% due 10/15/24		355,000		362,988
US Bancorp
5.30%3,8		200,000		203,750
Total Financial				102,380,378
Communications - 1.5%
Deutsche Telekom International Finance BV
1.60% due 01/17/203,4		9,400,000		9,400,319
AT&T, Inc.
2.08% due 06/30/203		6,600,000		6,677,121
SFR Group S.A.
6.25% due 05/15/244		3,000,000		3,018,750
T-Mobile USA, Inc.
6.25% due 04/01/21		875,000		902,344
Total Communications				19,998,534
Consumer, Non-cyclical - 0.7%
Tenet Healthcare Corp.
4.63% due 06/15/203		3,850,000		3,869,250
6.25% due 11/01/18		975,000		1,023,141
Aetna, Inc.
1.76% due 12/08/173		3,000,000		3,011,385
Bumble Bee Holdings, Inc.
9.00% due 12/15/174		2,016,000		1,965,600
Total Consumer, Non-cyclical				9,869,376
Basic Materials - 0.5%
Newcrest Finance Pty Ltd.
4.20% due 10/01/224		5,450,000		5,598,251
Yamana Gold, Inc.
4.95% due 07/15/24		1,375,000		1,381,875
Constellium N.V.
7.88% due 04/01/214		600,000		640,500
Total Basic Materials				7,620,626
Industrial - 0.4%
CNH Industrial Capital LLC
3.88% due 07/16/18		1,550,000		1,577,125
3.63% due 04/15/18		850,000		859,563
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.29% due 05/15/213,4		1,500,000		1,535,625
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
4.52% due 07/15/213,4		1,100,000		1,125,443
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/196		600,000		592,500
Total Industrial				5,690,256
Diversified - 0.1%
HRG Group, Inc.
7.88% due 07/15/19		1,740,000		1,800,900
Utilities - 0.0%
AES Corp.
4.05% due 06/01/193		534,000		534,001
Energy - 0.0%
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/229,11		390,900		44,954
Total Corporate Bonds
(Cost $147,129,133)				147,939,025
FOREIGN GOVERNMENT BONDS†† - 7.1%
Republic of Portugal Government Bond
due 05/19/17		24,130,000		25,754,663
Kingdom of Spain Government Bond
due 04/07/17		24,110,000		25,723,824
Republic of Italy Government Bond
due 04/28/17		12,885,000		13,750,713
due 04/13/17		11,220,000		11,971,607
Total Republic of Italy Government Bond				25,722,320
Mexico (United Mexican States) Government Bond
due 05/25/17	MXN	21,432,000		11,333,142
due 06/08/17	MXN	1,590,000		838,577
Total Mexico (United Mexican States) Government Bond				12,171,719
Czech Republic Government Bond
0.85% due 03/17/18	CSK	118,000,000		4,733,613
Kenya Government International Bond
6.88% due 06/24/244		2,420,000		2,408,190
Dominican Republic International Bond
5.95% due 01/25/274		2,350,000		2,399,938
Total Foreign Government Bonds
(Cost $98,721,903)				98,914,267

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

	Face Amount12		Value
SENIOR FLOATING RATE INTERESTS††,3 - 2.5%
Consumer, Cyclical - 0.8%
Smart & Final Stores LLC
4.58% due 11/15/22	$	1,770,796	$	1,737,594
Advantage Sales & Marketing LLC
4.25% due 07/23/21		1,534,304		1,517,043
Equinox Holdings, Inc.
4.25% due 03/08/24		1,500,000		1,510,785
BJ’s Wholesale Club, Inc.
4.75% due 02/03/24		1,215,000		1,185,925
PetSmart Inc
4.02% due 03/11/22		791,940		755,312
Acosta, Inc.
4.29% due 09/26/21		786,655		735,522
Trader Corp.
4.25% due 09/28/23		675,000		676,404
National Vision, Inc.
4.00% due 03/12/21		593,878		593,385
NPC International, Inc.
4.75% due 12/28/18		395,795		397,279
Fitness International LLC
5.40% due 07/01/20		240,403		243,108
Total Consumer, Cyclical				9,352,357
Consumer, Non-cyclical - 0.5%
Sterigenics-Norion Holdings
4.00% due 05/16/22		2,825,000		2,813,983
DJO Finance LLC
4.25% due 06/08/20		2,010,200		1,941,934
Albertson’s LLC
4.40% due 12/21/22		1,240,648		1,247,782
American Tire Distributors, Inc.
5.25% due 09/01/21		686,496		687,354
Dole Food Company, Inc.
4.58% due 11/01/18		494,606		494,759
Grocery Outlet, Inc.
5.15% due 10/21/21		394,960		395,331
Total Consumer, Non-cyclical				7,581,143
Industrial - 0.5%
Travelport Finance Luxembourg Sarl
4.29% due 09/02/21		3,720,944		3,745,762
Filtration Group Corp.
4.30% due 11/23/20		1,342,161		1,351,114
Engility Corp.
4.23% due 08/12/20		975,000		979,271
CHI Overhead Doors, Inc.
4.25% due 07/29/22		500,000		499,165
Berlin Packaging LLC
4.50% due 10/01/21		273,606		274,875
Total Industrial				6,850,187
Communications - 0.4%
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		4,369,861		4,158,184
Internet Brands
4.75% due 07/08/21		1,098,975		855,241
Neustar, Inc.
3.25% due 09/02/19		800,000		809,664
Total Communications				5,823,089
Technology - 0.3%
Epicor Software
4.75% due 06/01/22		3,950,098		3,954,048
5.00% due 06/01/22		294,952		295,445
Eze Castle Software, Inc.
4.15% due 04/06/20		248,110		248,963
Total Technology				4,498,456
Basic Materials - 0.0%*
Royal Holdings, Inc.
4.40% due 06/20/22		600,000		605,436
Financial - 0.0%*
Magic Newco, LLC
5.00% due 12/12/18		197,930		198,508
Total Senior Floating Rate Interests
(Cost $35,062,391)				34,909,176
COMMERCIAL PAPER†† - 4.7%
CVS Health Corp.
1.22% due 04/17/17		20,000,000		19,989,156
Mondelez International, Inc.
1.18% due 04/24/17		20,000,000		19,984,922
General Mills Inc
1.15% due 04/11/17		9,000,000		8,997,125
American Water Capital Corp.
1.14% due 04/12/17		7,000,000		6,997,476
Marriott International, Inc./MD
1.25% due 04/24/17		5,000,000		4,996,007
Harley-Davidson Financial Services, Inc.
1.14% due 05/03/17		5,000,000		4,994,933
Total Commercial Paper
(Cost $65,959,619)				65,959,619
REPURCHASE AGREEMENTS††,10 - 1.1%
Mizuho Securities LLC
issued 03/23/17 at 1.75% due 06/06/17		12,973,000		12,973,000
issued 03/06/17 at 1.75% due 06/06/17		2,047,000		2,047,000
Total Repurchase Agreements
(Cost $15,020,000)				15,020,000
Total Investments - 110.6%
(Cost $1,538,458,161)			$	1,542,713,545
Other Assets & Liabilities, net - (10.6)%				(147,431,966	)
Total Net Assets - 100.0%			$	1,395,281,578

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell			Currency	Settlement Date	Settlement Value		Value at March 31, 2017		Net Unrealized Appreciation/(Depreciation)
J.P. Morgan		(12,890,000	)	EUR	04/07/17	$	13,953,876	$	13,754,421	$	199,455
BNP Paribas		(12,885,000	)	EUR	04/28/17		13,959,093		13,764,161		194,932
J.P. Morgan		(13,130,000	)	EUR	05/19/17		14,235,060		14,040,799		194,261
Bank of America		(119,003,000	)	CSK	03/19/18		4,913,419		4,797,280		116,139
Bank of America		(11,220,000	)	EUR	04/07/17		11,954,719		11,972,429		(17,710	)
Bank of America		(11,220,000	)	EUR	04/13/17		11,952,161		11,976,179		(24,018	)
J.P. Morgan		(15,900,000	)	MXN	06/08/17		801,008		840,814		(39,806	)
Bank of America		(11,000,000	)	EUR	05/19/17		11,681,626		11,763,046		(81,420	)
Bank of America		(214,320,000	)	MXN	05/25/17		10,846,153		11,358,460		(512,307	)
										$	29,526

*	Less than 0.1% of net assets.
†	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	Affiliated issuer — See Note 8.
2	Rate indicated is the 7 day yield as of March 31, 2017.
3	Variable rate security. Rate indicated is rate effective at March 31, 2017.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $1,014,691,192 (cost $1,011,093,832), or 72.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
5	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
6	Illiquid security.
7	Maturity date indicated is next interest reset date.
8	Perpetual maturity.
9	Security is in default of interest and/or principal obligations.
10	Repurchase Agreement — 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 $115,250 (cost $960,036), or 0.09% of total net assets — See Note 12.
12	Face amount is denominated in U.S. dollars unless otherwise noted.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	CSK — Czech Koruna
	EUR — Euro
	MXN — Mexican Peso
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
LIMITED DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	—	$	654,138,942	$	—	$	—	$	654,138,942
Collateralized Mortgage Obligations		—		406,068,932		—		29,068,634		435,137,566
Commercial Paper		—		65,959,619		—		—		65,959,619
Corporate Bonds		—		147,939,025		—		—		147,939,025
Forward Foreign Currency Exchange Contracts		—		—		704,787		—		704,787
Foreign Government Bonds		—		98,914,267		—		—		98,914,267
Mutual Funds		48,575,187		—		—		—		48,575,187
Repurchase Agreements		—		15,020,000		—		—		15,020,000
Senior Floating Rate Interests		—		34,909,176		—		—		34,909,176
Short Term Investments		42,119,763		—		—		—		42,119,763
Total	$	90,694,950	$	1,422,949,961	$	704,787	$	29,068,634	$	1,543,418,332
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Forward Foreign Currency Exchange Contracts	$	—	$	—	$	675,261	$	—	$	675,261

* 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. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of March 31, 2017, Limited Duration Fund had securities with the total value $12,070,529 transfer out of Level 3 into Level 2 due to changes in securities’ valuation methods using observable inputs. There were no other transfers between levels.

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

Category	Ending Balance at 03/31/17		Valuation Technique	Unobservable Inputs
Collateralized Mortgage Obligations	$	29,068,634	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Total	$	29,068,634

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
LIMITED DURATION FUND

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, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Collateralized Mortgage Obligations			Asset-Backed Securities			Corporate Bonds			Total
LIMITED DURATION
Assets:
Beginning Balance	$	954,102		$	1,521,134		$	9,595,293		$	12,070,529
Purchases		29,100,000			—			—			29,100,000
Sales, maturities and paydowns		—			—			—			—
Total realized gains or losses included in earnings		—			—			—			—
Total change in unrealized gains or losses included in earnings		(31,366	)		—			—			(31,366	)
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		(954,102	)		(1,521,134	)		(9,595,293	)		(12,070,529	)
Ending Balance	$	29,068,634		$	—		$	—		$	29,068,634
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	(31,366	)	$	—		$	—		$	(31,366	)

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

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $1,475,016,868)	$	1,479,118,358
Investments in affiliated issuers, at value (cost $48,421,293)		48,575,187
Repurchase agreements, at value (cost $15,020,000)		15,020,000
Total investments (cost $1,538,458,161)		1,542,713,545
Segregated cash with broker		977,289
Prepaid expenses		151,044
Unrealized appreciation on forward foreign currency exchange contracts		704,787
Receivables:
Securities sold		1,629,127
Fund shares sold		21,607,465
Dividends		108,170
Interest		4,573,876
Total assets		1,572,465,303
Liabilities:
Overdraft due to custodian bank		265,784
Unrealized depreciation of forward foreign currency exchange contract		675,261
Payable for:
Securities purchased		166,536,136
Fund shares redeemed		8,804,665
Management fees		438,100
Distribution and service fees		93,555
Fund accounting/administration fees		85,501
Transfer agent/maintenance fees		5,423
Trustees’ fees*		1,940
Miscellaneous		277,360
Total liabilities		177,183,725
Net assets	$	1,395,281,578
Net assets consist of:
Paid in capital	$	1,390,804,030
Accumulated net investment loss		(1,233,005	)
Accumulated net realized gain on investments		1,425,667
Net unrealized appreciation on investments		4,284,886
Net assets	$	1,395,281,578
A-Class:
Net assets	$	321,057,149
Capital shares outstanding		12,978,817
Net asset value per share	$	24.74
Maximum offering price per share (Net asset value divided by 97.75%)	$	25.31
C-Class:
Net assets	$	32,428,408
Capital shares outstanding		1,311,749
Net asset value per share	$	24.72
P-Class:
Net assets	$	34,495,764
Capital shares outstanding		1,394,558
Net asset value per share	$	24.74
Institutional Class:
Net assets	$	1,007,300,257
Capital shares outstanding		40,732,672
Net asset value per share	$	24.73

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

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

LIMITED DURATION FUND

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Interest	$	16,112,423
Dividends from securities of affiliated issuers		370,407
Dividends from securities of unaffiliated issuers		6,066
Total investment income		16,488,896
Expenses:
Management fees		2,123,533
Transfer agent/maintenance fees
A-Class		52,117
C-Class		14,193
P-Class		2,688
Institutional Class		24,633
Distribution and service fees:
A-Class		312,028
C-Class		137,096
P-Class		13,531
Fund accounting/administration fees		378,709
Line of credit fees		79,272
Custodian fees		8,948
Trustees’ fees*		8,741
Miscellaneous		133,782
Total expenses		3,289,271
Less:
Expenses waived by Adviser:		(86,635	)
Expense reimbursed by Adviser:
A-Class		(49,893	)
C-Class		(13,732	)
P-Class		(2,298	)
Institutional Class		(24,388	)
Total waived/reimbursed expenses		(176,946	)
Net expenses		3,112,325
Net investment income		13,376,571
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	1,711,646
Investments in affiliated issuers		5,998
Foreign currency		56,454
Forward foreign currency exchange contracts		(173,066	)
Net realized gain		1,601,032
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		493,719
Investments in affiliated issuers		41,255
Foreign currency		(25	)
Forward foreign currency exchange contracts		29,527
Net change in unrealized appreciation (depreciation)		564,476
Net realized and unrealized gain		2,165,508
Net increase in net assets resulting from operations	$	15,542,079

* 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 | 67

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	13,376,571		$	15,051,006
Net realized gain on investments		1,601,032			329,409
Net change in unrealized appreciation (depreciation) on investments		564,476			5,500,562
Net increase in net assets resulting from operations		15,542,079			20,880,977
Distributions to shareholders from:
Net investment income
A-Class		(3,400,124	)		(5,091,611	)
C-Class		(274,457	)		(443,426	)
P-Class		(141,210	)		(58,350	)
Institutional Class		(9,844,079	)		(9,932,238	)
Net realized gains
A-Class		(40,107	)		—
C-Class		(4,814	)		—
P-Class		(512	)		—
Institutional Class		(103,662	)		—
Total distributions to shareholders		(13,808,965	)		(15,525,625	)
Capital share transactions:
Proceeds from sale of shares
A-Class		176,388,151			197,623,014
C-Class		11,709,010			24,267,204
P-Class		36,877,330			1,976,882
Institutional Class		661,515,742			545,334,586
Distributions reinvested
A-Class		2,766,688			4,329,140
C-Class		196,701			327,005
P-Class		141,210			58,350
Institutional Class		9,033,775			8,366,742
Cost of shares redeemed
A-Class		(74,297,530	)		(105,025,329	)
C-Class		(6,308,092	)		(8,309,387	)
P-Class		(4,219,893	)		(3,110,231	)
Institutional Class		(141,148,936	)		(257,307,806	)
Net increase from capital share transactions		672,654,156			408,530,170
Net increase in net assets		674,387,270			413,885,522
Net assets:
Beginning of period		720,894,308			307,008,786
End of period	$	1,395,281,578		$	720,894,308
Accumulated net investment loss at end of period	$	(1,233,005	)	$	(949,706	)

68 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		7,142,149			8,081,165
C-Class		474,272			992,734
P-Class		1,493,003			80,811
Institutional Class		26,795,980			22,327,682
Shares issued from reinvestment of distributions
A-Class		111,996			176,965
C-Class		7,969			13,376
P-Class		5,791			2,393
Institutional Class		365,752			341,766
Shares redeemed
A-Class		(3,009,157	)		(4,296,150	)
C-Class		(255,627	)		(340,015	)
P-Class		(170,818	)		(127,607	)
Institutional Class		(5,717,529	)		(10,535,961	)
Net increase in shares		27,243,781			16,717,159

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.71		$	24.65		$	24.97		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.33			.67			.69			.52
Net gain (loss) on investments (realized and unrealized)		.04			.08			(.16	)		(.08	)
Total from investment operations		.37			.75			.53			.44
Less distributions from:
Net investment income		(.34	)		(.69	)		(.84	)		(.47	)
Net realized gains		(—	)d		—			(.01	)		—
Total distributions		(.34	)		(.69	)		(.85	)		(.47	)
Net asset value, end of period	$	24.74		$	24.71		$	24.65		$	24.97
Total Returnh		1.48	%		3.16	%		2.15	%		1.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	321,057		$	215,856		$	117,628		$	17,035
Ratios to average net assets:
Net investment income (loss)		2.66	%		2.73	%		2.79	%		2.67	%
Total expensese		0.87	%		0.93	%		0.99	%		1.14	%
Net expensesf,i		0.81	%		0.84	%		0.87	%		0.83	%
Portfolio turnover rate		25	%		39	%		26	%		40	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.70		$	24.63		$	24.96		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.24			.48			.49			.38
Net gain (loss) on investments (realized and unrealized)		.03			.10			(.16	)		(.09	)
Total from investment operations		.27			.58			.33			.29
Less distributions from:
Net investment income		(.25	)		(.51	)		(.65	)		(.33	)
Net realized gains		(—	)d		—			(.01	)		—
Total distributions		(.25	)		(.51	)		(.66	)		(.33	)
Net asset value, end of period	$	24.72		$	24.70		$	24.63		$	24.96
Total Returnh		1.10	%		2.39	%		1.37	%		1.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	32,428		$	26,802		$	10,323		$	643
Ratios to average net assets:
Net investment income (loss)		1.93	%		1.98	%		1.96	%		1.93	%
Total expensese		1.68	%		1.73	%		1.76	%		2.14	%
Net expensesf,i		1.56	%		1.58	%		1.62	%		1.56	%
Portfolio turnover rate		25	%		39	%		26	%		40	%

70 | 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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015g
Per Share Data
Net asset value, beginning of period	$	24.72		$	24.65		$	24.86
Income (loss) from investment operations:
Net investment income (loss)c		.32			.68			.25
Net gain (loss) on investments (realized and unrealized)		.04			.08			(.17	)
Total from investment operations		.36			.76			.08
Less distributions from:
Net investment income		(.34	)		(.69	)		(.29	)
Net realized gains		(—	)d		—			—
Total distributions		(.34	)		(.69	)		(.29	)
Net asset value, end of period	$	24.74		$	24.72		$	24.65
Total Returnh		1.47	%		3.17	%		0.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34,496		$	1,646		$	2,736
Ratios to average net assets:
Net investment income (loss)		2.57	%		2.76	%		2.39	%
Total expensese		0.87	%		0.94	%		0.94	%
Net expensesf,i		0.81	%		0.84	%		0.88	%
Portfolio turnover rate		25	%		39	%		26	%

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	24.71		$	24.64		$	24.96		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.36			.73			.78			.57
Net gain (loss) on investments (realized and unrealized)		.04			.09			(.19	)		(.08	)
Total from investment operations		.40			.82			.59			.49
Less distributions from:
Net investment income		(.37	)		(.75	)		(.90	)		(.53	)
Net realized gains		(—	)d		—			(.01	)		—
Total distributions		(.38	)		(.75	)		(.91	)		(.53	)
Net asset value, end of period	$	24.73		$	24.71		$	24.64		$	24.96
Total Returnh		1.61	%		3.43	%		2.41	%		1.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,007,300		$	476,590		$	176,322		$	69,150
Ratios to average net assets:
Net investment income (loss)		2.94	%		2.97	%		3.14	%		2.90	%
Total expensese		0.59	%		0.67	%		0.73	%		0.96	%
Net expensesf,i		0.56	%		0.58	%		0.62	%		0.57	%
Portfolio turnover rate		25	%		39	%		26	%		40	%

a	Unaudited figures for the period ended March 31, 2017. 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	Distributions from realized gains 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. Excluding these expenses, the net expense ratios for the years would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	0.79%	0.80%	0.80%	0.79%
C-Class	1.54%	1.55%	1.55%	1.52%
P-Class	0.79%	0.80%	0.80%	—
Institutional Class	0.54%	0.55%	0.55%	0.54%

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

FUND PROFILE (Unaudited) March 31, 2017

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	% of Total Investments
Fixed Income Instruments
AAA	7.2%
AA	60.3%
A	10.9%
BBB	14.0%
BB	1.4%
B	0.5%
NR2	1.0%
Total	95.3%
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 Sewage Disposal System Revenue Revenue Bonds	3.3%
Detroit Wayne County Stadium Authority Revenue Bonds	3.1%
Puerto Rico Electric Power Authority Revenue Bonds	2.7%
North Texas Tollway Authority Revenue Bonds	2.4%
Stockton Public Financing Authority Revenue Bonds	2.3%
Tustin Unified School District General Obligation Unlimited	2.3%
Massachusetts Development Finance Agency Revenue Bonds	2.2%
Hudson County Improvement Authority Revenue Bonds	2.1%
Detroit City School District General Obligation Unlimited	2.1%
Southern Illinois University Revenue Bonds	1.9%
Top Ten Total	24.4%

“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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
MUNICIPAL INCOME FUND

	Shares		Value
SHORT-TERM INVESTMENTS† - 4.6%
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Class 0.61%1		2,429,476	$	2,429,476
Total Short-Term Investments
(Cost $2,429,476)				2,429,476
	Face Amount
MUNICIPAL BONDS†† - 94.4%
California - 13.6%
Stockton Public Financing Authority Revenue Bonds
6.25% due 10/01/38	$	1,000,000		1,206,200
6.25% due 10/01/40		250,000		301,550
Tustin Unified School District General Obligation Unlimited
6.00% due 08/01/36		1,000,000		1,192,180
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
6.85% due 08/01/422		1,000,000		599,720
State of California General Obligation Unlimited
5.00% due 03/01/26		500,000		596,275
Sacramento Municipal Utility District Revenue Bonds
5.00% due 08/15/37		500,000		560,365
Los Angeles Department of Water & Power Revenue Bonds
5.00% due 07/01/43		500,000		559,825
Kings Canyon Unified School District General Obligation Unlimited
5.00% due 08/01/28		445,000		521,237
San Diego Unified School District General Obligation Unlimited
due 07/01/393		1,000,000		400,230
Oakland Unified School District/Alameda County General Obligation Unlimited
5.00% due 08/01/22		300,000		339,435
M-S-R Energy Authority Revenue Bonds
6.13% due 11/01/29		200,000		250,040
Alameda Corridor Transportation Authority Revenue Bonds
5.00% due 10/01/35		200,000		223,898
Stanton Redevelopment Agency Tax Allocation
5.00% due 12/01/40		180,000		199,017
Culver Redevelopment Agency Tax Allocation
due 11/01/233		195,000		152,344
Total California				7,102,316
Texas - 10.8%
North Texas Tollway Authority Revenue Bonds
5.75% due 01/01/40		1,470,000		1,521,973

Dallas Area Rapid Transit Revenue Bonds
5.00% due 12/01/35	500,000	570,880
5.00% due 12/01/41	200,000	225,438
Texas Tech University Revenue Bonds
5.00% due 08/15/32	500,000	559,905
North Texas Tollway Authority
due 01/01/363	1,000,000	457,020
Birdville Independent School District General Obligation Unlimited
5.00% due 02/15/27	305,000	361,599
Clint Independent School District General Obligation Unlimited
5.00% due 08/15/31	300,000	347,730
State of Texas General Obligation Unlimited
5.00% due 10/01/29	250,000	295,180
Texas Municipal Gas Acquisition & Supply Corporation I Revenue Bonds
6.25% due 12/15/26	200,000	237,126
Central Texas Regional Mobility Authority Revenue Bonds
5.00% due 01/01/27	200,000	230,408
Texas Water Development Board Revenue Bonds
5.00% due 10/15/46	200,000	228,506
Central Texas Turnpike System Revenue Bonds
5.00% due 08/15/34	200,000	217,710
Arlington Higher Education Finance Corp. Revenue Bonds
5.00% due 12/01/46	200,000	208,874
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/533	1,000,000	175,150
Total Texas		5,637,499
Michigan - 10.1%
City of Detroit Michigan Sewage Disposal System Revenue Revenue Bonds
1.27% due 07/01/324	2,000,000	1,710,319
Detroit Wayne County Stadium Authority Revenue Bonds
5.00% due 10/01/26	1,490,000	1,612,164
Detroit City School District General Obligation Unlimited
5.00% due 05/01/32	1,000,000	1,067,350
5.00% due 05/01/30	300,000	322,275
City of Detroit Michigan Water Supply System Revenue Revenue Bonds
4.75% due 07/01/29	230,000	239,071
5.00% due 07/01/41	200,000	212,716
Total Michigan		5,163,895
Illinois - 9.7%
Southern Illinois University Revenue Bonds
5.00% due 04/01/32	1,000,000	1,011,010
4.00% due 04/01/17	1,000,000	1,000,000
Chicago Transit Authority Revenue Bonds
5.25% due 06/01/26	740,000	759,477

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MUNICIPAL INCOME FUND

	Face Amount		Value
City of Chicago Illinois General Obligation Unlimited
4.75% due 01/01/28	$	500,000	$	501,215
5.00% due 01/01/23		70,000		71,559
5.00% due 01/01/22		5,000		5,037
Will County Township High School District No. 204 Joliet General Obligation Ltd.
6.25% due 01/01/31		500,000		571,710
Chicago O’Hare International Airport Revenue Bonds
5.00% due 01/01/34		300,000		333,309
Chicago Board of Education General Obligation Unlimited
5.25% due 12/01/26		320,000		272,477
Metropolitan Water Reclamation District of Greater Chicago General Obligation Unlimited
5.00% due 12/01/25		200,000		236,484
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		233,748
Metropolitan Pier & Exposition Authority Revenue Bonds
due 06/15/453		500,000		125,200
Total Illinois				5,121,226
New York - 6.1%
New York State Dormitory Authority Revenue Bonds
5.00% due 10/01/41		350,000		390,996
5.00% due 12/01/275		200,000		223,938
New York City Transitional Finance Authority Future Tax Secured Revenue Revenue Bonds
5.00% due 11/01/29		500,000		593,955
City of New York New York General Obligation Unlimited
5.00% due 08/01/28		500,000		589,575
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/39		500,000		566,405
New York Transportation Development Corp. Revenue Bonds
5.00% due 07/01/34		200,000		217,224
5.00% due 08/01/26		200,000		209,920
New York State Urban Development Corp. Revenue Bonds
5.00% due 03/15/35		250,000		285,558
Westchester County Healthcare Corp. Revenue Bonds
5.00% due 11/01/44		200,000		210,068
Total New York				3,287,639
Pennsylvania - 5.9%
Pennsylvania Economic Development Financing Authority Revenue Bonds
5.00% due 02/01/27		500,000		578,725
5.00% due 03/15/31		500,000		572,045
Pennsylvania Turnpike Commission Revenue Bonds
2.18% due 12/01/204		500,000		504,505
1.89% due 12/01/214		500,000		502,255
Pittsburgh Water & Sewer Authority Revenue Bonds
5.25% due 09/01/36		500,000		564,895
Reading School District General Obligation Unlimited
5.00% due 02/01/27		300,000		337,452
Total Pennsylvania				3,059,877
Washington - 4.4%
Greater Wenatchee Regional Events Center Public Facilities Dist Revenue Bonds
5.00% due 09/01/27		500,000		516,490
5.25% due 09/01/32		500,000		510,360
King County Public Hospital District No. 1 General Obligation Ltd.
5.00% due 12/01/37		500,000		523,460
King County School District No. 409 Tahoma General Obligation Unlimited
5.00% due 12/01/27		325,000		386,714
Central Puget Sound Regional Transit Authority Revenue Bonds
5.00% due 11/01/41		200,000		229,150
State of Washington General Obligation Unlimited
5.00% due 06/01/41		195,000		217,053
Total Washington				2,383,227
Arizona - 3.2%
Arizona Health Facilities Authority Revenue Bonds
1.48% due 01/01/374		1,000,000		870,190
Arizona State University Revenue Bonds
5.00% due 07/01/34		500,000		569,445
Salt Verde Financial Corp. Revenue Bonds
5.00% due 12/01/32		200,000		228,128
Total Arizona				1,667,763
New Jersey - 3.1%
Hudson County Improvement Authority Revenue Bonds
6.00% due 01/01/40		1,000,000		1,094,930
New Jersey Health Care Facilities Financing Authority Revenue Bonds
5.00% due 07/01/41		300,000		316,104
5.00% due 07/01/36		200,000		211,832
Total New Jersey				1,622,866
Puerto Rico - 2.8%
Puerto Rico Electric Power Authority Revenue Bonds
1.19% due 07/01/294		1,845,000		1,418,915

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MUNICIPAL INCOME FUND

	Face Amount		Value
District of Columbia - 2.7%
District of Columbia General Obligation Unlimited
5.00% due 06/01/41	$	285,000	$	324,738
5.00% due 06/01/32		275,000		315,761
5.00% due 06/01/31		175,000		207,239
District of Columbia Water & Sewer Authority Revenue Bonds
5.00% due 10/01/45		500,000		564,135
Total District of Columbia				1,411,873
Florida - 2.3%
School Board of Miami-Dade County Certificate Of Participation
5.00% due 05/01/27		500,000		578,165
City of Jacksonville Florida Revenue Bonds
5.00% due 10/01/29		300,000		337,413
Miami Beach Redevelopment Agency Tax Allocation
5.00% due 02/01/40		300,000		330,765
Total Florida				1,246,343
Massachusetts - 2.2%
Massachusetts Development Finance Agency Revenue Bonds
6.88% due 01/01/41		1,000,000		1,139,460
Colorado - 1.9%
University of Colorado Revenue Bonds
5.00% due 06/01/37		285,000		318,445
5.00% due 06/01/41		200,000		227,374
Auraria Higher Education Center Revenue Bonds
5.00% due 04/01/28		390,000		456,752
Total Colorado				1,002,571
Louisiana - 1.8%
Louisiana Local Government Environmental Facilities & Community Development Auth Revenue Bonds
5.00% due 10/01/37		500,000		552,410
5.00% due 10/01/26		150,000		174,542
Louisiana Public Facilities Authority Revenue Bonds
5.00% due 07/01/39		200,000		218,180
Total Louisiana				945,132
North Carolina - 1.8%
North Carolina Turnpike Authority Revenue Bonds
5.00% due 01/01/27		800,000		943,992
West Virginia - 1.7%
West Virginia Higher Education Policy Commission Revenue Bonds
5.00% due 04/01/29		500,000		557,480
West Virginia Hospital Finance Authority Revenue Bonds
5.00% due 06/01/42		300,000		327,462
Total West Virginia				884,942
Mississippi - 1.6%
Mississippi Development Bank Revenue Bonds
6.50% due 10/01/31		500,000		559,745
6.25% due 10/01/26		230,000		259,261
Total Mississippi				819,006
Georgia - 1.5%
City of Atlanta Georgia Water & Wastewater Revenue Revenue Bonds
5.00% due 11/01/40		500,000		563,645
Savannah Economic Development Authority Revenue Bonds
5.00% due 12/01/28		200,000		230,552
Total Georgia				794,197
Ohio - 1.5%
University of Cincinnati Revenue Bonds
5.00% due 06/01/36		500,000		562,545
American Municipal Power, Inc. Revenue Bonds
5.00% due 02/15/41		200,000		220,458
Total Ohio				783,003
Virginia - 1.3%
County of Fairfax Virginia General Obligation Unlimited
5.00% due 10/01/32		300,000		355,068
Virginia College Building Authority Revenue Bonds
5.00% due 02/01/28		250,000		294,690
Total Virginia				649,758
Maryland - 1.0%
Maryland State Transportation Authority Revenue Bonds
5.00% due 07/01/35		500,000		523,655
Indiana - 0.9%
Indiana Finance Authority Revenue Bonds
5.50% due 04/01/24		400,000		445,156
Kentucky - 0.8%
City of Ashland Kentucky Revenue Bonds
5.00% due 02/01/22		200,000		210,986
Kentucky Economic Development Finance Authority Revenue Bonds
5.00% due 07/01/37		200,000		208,972
Total Kentucky				419,958

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
MUNICIPAL INCOME FUND

	Face Amount		Value
South Carolina - 0.7%
Anderson County School District No. 5 General Obligation Unlimited
5.00% due 03/01/27	$	300,000	$	360,633
Nevada - 0.5%
Las Vegas Valley Water District General Obligation Ltd.
5.00% due 06/01/27		230,000		271,874
Vermont - 0.4%
Vermont Educational & Health Buildings Financing Agency Revenue Bonds
5.00% due 12/01/46		200,000		217,452
Total Municipal Bonds
(Cost $49,083,899)				49,324,228
Total Investments - 99.0%
(Cost $51,513,375)			$	51,753,704
Other Assets & Liabilities, net - 1.0%				518,422
Total Net Assets - 100.0%			$	52,272,126

†	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, 2017.
2	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate effective at March 31, 2017.
3	Zero coupon rate security.
4	Variable rate security. Rate indicated is rate effective at March 31, 2017.
5	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $223,938 (cost $219,192), or 0.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Municipal Bonds	$	—	$	49,324,228	$	—	$	49,324,228
Short Term Investments		2,429,476		—		—		2,429,476
Total	$	2,429,476	$	49,324,228	$	—	$	51,753,704

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $51,513,375)	$	51,753,704
Prepaid expenses		43,491
Receivables:
Interest		611,070
Fund shares sold		229,566
Total assets		52,637,831
Liabilities:
Payable for:
Securities purchased		173,988
Fund shares redeemed		79,637
Transfer agent/maintenance fees		34,085
Distributions to Shareholders		31,192
Distribution and service fees		10,288
Management fees		9,030
Fund accounting/administration fees		3,370
Trustees’ fees*		436
Miscellaneous		23,679
Total liabilities		365,705
Net assets	$	52,272,126
Net assets consist of:
Paid in capital	$	79,441,402
Accumulated net investment loss		(1	)
Accumulated net realized loss on investments		(27,409,604	)
Net unrealized appreciation on investments		240,329
Net assets	$	52,272,126
A-Class:
Net assets	$	31,499,117
Capital shares outstanding		2,536,099
Net asset value per share	$	12.42
Maximum offering price per share (Net asset value divided by 96.00%)	$	12.94
C-Class:
Net assets	$	4,194,759
Capital shares outstanding		337,970
Net asset value per share	$	12.41
P-Class:
Net assets	$	367,763
Capital shares outstanding		29,626
Net asset value per share	$	12.41
Institutional Class:
Net assets	$	16,210,487
Capital shares outstanding		1,304,777
Net asset value per share	$	12.42

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Interest	$	888,667
Total investment income		888,667
Expenses:
Management fees		150,379
Transfer agent/maintenance fees
A-Class		32,981
C-Class		2,736
P-Class		199
Institutional Class		6,773
Distribution and service fees:
A-Class		43,324
C-Class		22,692
P-Class		120
Fund accounting/administration fees		24,176
Registration fees		28,356
Line of credit fees		5,980
Trustees’ fees*		3,263
Custodian fees		474
Miscellaneous		17,382
Total expenses		338,835
Less:
Expenses waived by Adviser:		(60,235	)
Expenses reimbursed by Adviser:
A-Class		(31,595	)
C-Class		(2,650	)
P-Class		(193	)
Institutional Class		(6,623	)
Total waived/reimbursed expenses		(101,296	)
Net expenses		237,539
Net investment income		651,128
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		85,240
Net realized gain		85,240
Net change in unrealized appreciation (depreciation) on:
Investments		(2,625,260	)
Net change in unrealized appreciation (depreciation)		(2,625,260	)
Net realized and unrealized loss		(2,540,020	)
Net decrease in net assets resulting from operations	$	(1,888,892	)

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

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	651,128		$	1,364,886
Net realized gain on investments		85,240			647,792
Net change in unrealized appreciation (depreciation) on investments		(2,625,260	)		1,067,522
Net increase (decrease) in net assets resulting from operations		(1,888,892	)		3,080,200
Distributions to shareholders from:
Net investment income
A-Class		(370,883	)		(1,005,003	)
C-Class		(31,542	)		(54,384	)
P-Class		(1,000	)		(803	)
Institutional Class		(247,703	)		(304,697	)
Total distributions to shareholders		(651,128	)		(1,364,887	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,825,769			19,465,560
C-Class		516,956			5,088,386
P-Class		326,153			79,335
Institutional Class		4,834,669			18,451,425
Distributions reinvested
A-Class		229,542			617,221
C-Class		20,846			38,398
P-Class		1,000			812
Institutional Class		182,618			207,229
Cost of shares redeemed
A-Class		(10,449,861	)		(29,246,762	)
C-Class		(1,169,441	)		(2,681,765	)
P-Class		(40,838	)		(6,443	)
Institutional Class		(11,967,064	)		(3,358,814	)
Net increase (decrease) from capital share transactions		(15,689,651	)		8,654,583
Net increase (decrease) in net assets		(18,229,671	)		10,369,896
Net assets:
Beginning of period		70,501,797			60,131,901
End of period	$	52,272,126		$	70,501,797
Accumulated net investment loss at end of period	$	(1	)	$	(1	)
Capital share activity:
Shares sold
A-Class		144,063			1,533,459
C-Class		41,092			399,596
P-Class		26,299			6,189
Institutional Class		383,426			1,437,935
Shares issued from reinvestment of distributions
A-Class		18,476			48,393
C-Class		1,680			3,006
P-Class		81			63
Institutional Class		14,702			16,176
Shares redeemed
A-Class		(835,568	)		(2,292,204	)
C-Class		(94,387	)		(210,500	)
P-Class		(3,309	)		(496	)
Institutional Class		(968,369	)		(262,663	)
Net increase (decrease) in shares		(1,271,814	)		678,953

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Period Ended September 30, 2012b
Per Share Data
Net asset value, beginning of period	$	12.86		$	12.52		$	12.51		$	11.59		$	12.59		$	11.82
Income (loss) from investment operations:
Net investment income (loss)c		.13			.26			.29			.36			.38			.26
Distributions to preferred shareholders from:
Net investment income		—			—			—			—			—			(.01	)
Net gain (loss) on investments (realized and unrealized)		(.44	)		.34			.01			.92			(1.00	)		.78
Total from investment operations		(.31	)		.60			.30			1.28			(.62	)		1.03
Less distributions from:
Net investment income		(.13	)		(.26	)		(.29	)		(.36	)		(.38	)		(.26	)
Total distributions		(.13	)		(.26	)		(.29	)		(.36	)		(.38	)		(.26	)
Net asset value, end of period	$	12.42		$	12.86		$	12.52		$	12.51		$	11.59		$	12.59
Total Returng		(2.38	%)		4.85	%		2.39	%		11.20	%		(5.09	%)		8.91	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	31,499		$	41,283		$	49,086		$	44,090		$	50,463		$	77,609
Ratios to average net assets:
Net investment income (loss)		2.14	%		2.06	%		2.28	%		3.00	%		3.04	%		2.78	%
Total expenses		1.20	%		1.18	%		1.17	%		1.29	%		1.14	%		1.15	%
Net expensesd,h		0.82	%		0.81	%		0.81	%		0.83	%		0.82	%		0.87	%
Portfolio turnover rate		17	%		61	%		80	%		173	%		91	%		121	%

C-Class	Period Ended March 31, 2017a			Year Ended September 30, 2016			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	$	12.86		$	12.52		$	12.50		$	11.59		$	12.58		$	11.98
Income (loss) from investment operations:
Net investment income (loss)c		.09			.16			.19			.27			.28			.20
Net gain (loss) on investments (realized and unrealized)		(.45	)		.35			.02			.91			(.98	)		.62
Total from investment operations		(.36	)		.51			.21			1.18			(.70	)		.82
Less distributions from:
Net investment income		(.09	)		(.17	)		(.19	)		(.27	)		(.29	)		(.22	)
Total distributions		(.09	)		(.17	)		(.19	)		(.27	)		(.29	)		(.22	)
Net asset value, end of period	$	12.41		$	12.86		$	12.52		$	12.50		$	11.59		$	12.58
Total Returng		(2.82	%)		4.06	%		1.71	%		10.28	%		(5.70	%)		7.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,195		$	5,008		$	2,472		$	1,082		$	1,495		$	1,176
Ratios to average net assets:
Net investment income (loss)		1.39	%		1.26	%		1.54	%		2.24	%		2.30	%		2.36	%
Total expenses		1.88	%		1.89	%		1.87	%		2.08	%		1.93	%		1.94	%
Net expensesd,h		1.57	%		1.56	%		1.56	%		1.58	%		1.57	%		1.55	%
Portfolio turnover rate		17	%		61	%		80	%		173	%		91	%		121	%

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

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, 2017a			Year Ended September 30, 2016			Period Ended September 30, 2015f
Per Share Data
Net asset value, beginning of period	$	12.86		$	12.52		$	12.64
Income (loss) from investment operations:
Net investment income (loss)c		.13			.26			.13
Net gain (loss) on investments (realized and unrealized)		(.45	)		.34			(.12	)
Total from investment operations		(.32	)		.60			.01
Less distributions from:
Net investment income		(.13	)		(.26	)		(.13	)
Total distributions		(.13	)		(.26	)		(.13	)
Net asset value, end of period	$	12.41		$	12.86		$	12.52
Total Returng		(2.48	%)		4.86	%		0.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	368		$	84		$	10
Ratios to average net assets:
Net investment income (loss)		2.07	%		2.00	%		2.46	%
Total expenses		1.42	%		1.21	%		3.17	%
Net expensesd,h		0.82	%		0.79	%		0.81	%
Portfolio turnover rate		17	%		61	%		80	%

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

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, 2017a			Year Ended September 30, 2016			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	$	12.87		$	12.53		$	12.51		$	11.60		$	12.59		$	11.98
Income (loss) from investment operations:
Net investment income (loss)c		.15			.29			.32			.39			.40			.29
Net gain (loss) on investments (realized and unrealized)		(.45	)		.34			.02			.91			(.98	)		.62
Total from investment operations		(.30	)		.63			.34			1.30			(.58	)		.91
Less distributions from:
Net investment income		(.15	)		(.29	)		(.32	)		(.39	)		(.41	)		(.30	)
Total distributions		(.15	)		(.29	)		(.32	)		(.39	)		(.41	)		(.30	)
Net asset value, end of period	$	12.42		$	12.87		$	12.53		$	12.51		$	11.60		$	12.59
Total Returng		(2.34	%)		5.11	%		2.73	%		11.38	%		(4.76	%)		7.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,210		$	24,126		$	8,564		$	6,451		$	6,343		$	1,051
Ratios to average net assets:
Net investment income (loss)		2.37	%		2.24	%		2.53	%		3.23	%		3.35	%		3.37	%
Total expenses		0.83	%		0.84	%		0.89	%		0.97	%		0.93	%		0.86	%
Net expensesd,h		0.57	%		0.56	%		0.56	%		0.58	%		0.57	%		0.55	%
Portfolio turnover rate		17	%		61	%		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, 2017. 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 net expense ratios for the years would be:

	03/31/17	09/30/16	09/30/15	09/30/14
A-Class	0.80%	0.80%	0.80%	0.80%
C-Class	1.55%	1.55%	1.55%	1.54%
P-Class	0.80%	0.78%	0.81%	—
Institutional Class	0.55%	0.55%	0.55%	0.55%

82 | 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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 2.25% for the Limited Duration Fund and 4.00% for the remaining Funds. 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, 2017, 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. Only A-Class, C-Class, P-Class and Institutional Class shares had been issued by the Funds.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities. Guggenheim Partners Investment Management (“GPIM”), an affiliate of GI, serves as investment sub-advisor (the “Sub-Advisor”) to the Municipal Income Fund and is responsible for the day-to-day management of the Fund’s portfolio.

Significant Accounting Policies

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

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

The 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 and/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, to 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 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 currencies 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 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.

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

In connection with 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, 2017.

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.

84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 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 an 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 contract is closed. When the 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.

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 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.

I. The Funds declare dividends from investment income daily except Diversified Income Fund, which declares montly. 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 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 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, 2017, there were no earnings credits received.

L. 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 0.82% at March 31, 2017.

M. 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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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

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.

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		450

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.

86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables represent the Funds’ use and activity of options written for the period ended March 31, 2017:

Fund	Use	Average Notional
Investment Grade Bond Fund	Duration, Hedge	$	450

Written Call Options
	Investment Grade Bond Fund
	Number of contracts		Premium amount
Balance at September 30, 2016		—	$	—
Options Written		1,798		163,618
Options terminated in closing purchase transactions		—		—
Options expired		—		—
Options exercised		—		—
Balance at March 31, 2017		1,798	$	163,618

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 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.

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
Intermediate Bond Fund	Duration, Hedge	$	—	$	1,550,000

Forward Foreign Currency Exchange Contracts

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

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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	$	14,901,412	$	683,859
Investment Grade Bond Fund	Hedge		270,343		—
Limited Duration Fund	Hedge, Income		23,574,279		—

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, 2017:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Interest rate contracts	Unrealized appreciation on swap agreements	Unrealized appreciation on swap agreements

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2017:

Asset Derivative Investments Value
Fund	Options Written Equity Contracts		Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2017
High Yield Fund	$	—	$	—	$	11,568	$	11,568
Investment Grade Bond Fund		—		481,864		—		481,864
Limited Duration Fund		—		—		704,787		704,787

Liability Derivative Investments Value
Fund	Options Written Equity Contracts		Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts			Total Value at March 31, 2017
High Yield Fund	$	—	$	—	$	(215,032	)	$	215,032
Investment Grade Bond Fund		260,710		—		(7,260	)		267,970
Limited Duration Fund		—		—		(675,261	)		675,261

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 31, 2017:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest rate contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
Currency 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

88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Equity Contracts		Options Written Equity Contracts		Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts			Total
High Yield Fund	$	—	$	—	$	—	$	515,316		$	515,316
Investment Grade Bond Fund		3,618		—		—		14,234			17,852
Limited Duration Fund		—		—		—		(173,066	)		(173,066	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Equity Contracts		Options Written Equity Contracts			Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts			Total
High Yield Fund	$	—	$	—		$	—	$	(287,104	)	$	(287,104	)
Investment Grade Bond Fund		—		(97,092	)		167,214		(7,260	)		62,862
Limited Duration Fund		—		—			—		29,526			29,526

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.

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 the 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	%

* At a meeting that occurred on November 16, 2016, the Board approved to add an advisory fee breakpoint (“breakpoint”) to the Investment Grade Bond Fund (the “Fund”).   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. Effective January 30, 2017, a breakpoint of 5 basis points (0.05%) on average daily net assets above $5 billion will apply to the Fund’s advisory fees.

GI 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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
Diversified Income Fund — A-Class*		1.30	%	01/29/16	02/01/18
Diversified Income Fund — C-Class**		2.05	%	01/29/16	02/01/18
Diversified Income Fund — P-Class**		1.30	%	01/29/16	02/01/18
Diversified Income Fund — Institutional Class**		1.05	%	01/29/16	02/01/18
High Yield Fund — A-Class		1.16	%	11/30/12	02/01/18
High Yield Fund — C-Class		1.91	%	11/30/12	02/01/18
High Yield Fund — P-Class*		1.16	%	05/01/15	02/01/18
High Yield Fund — Institutional Class		0.91	%	11/30/12	02/01/18
Investment Grade Bond Fund — A-Class		1.00	%	11/30/12	02/01/18
Investment Grade Bond Fund — C-Class		1.75	%	11/30/12	02/01/18
Investment Grade Bond Fund — P-Class*		1.00	%	05/01/15	02/01/18
Investment Grade Bond Fund — Institutional Class		0.75	%	11/30/12	02/01/18
Limited Duration Fund — A-Class		0.80	%	12/01/13	02/01/18
Limited Duration Fund — C-Class		1.55	%	12/01/13	02/01/18
Limited Duration Fund — P-Class*		0.80	%	05/01/15	02/01/18
Limited Duration Fund — Institutional Class		0.55	%	12/01/13	02/01/18
Municipal Income Fund — A-Class		0.80	%	11/30/12	02/01/18
Municipal Income Fund — C-Class		1.55	%	11/30/12	02/01/18
Municipal Income Fund — P-Class*		0.80	%	05/01/15	02/01/18
Municipal Income Fund — Institutional Class		0.55	%	11/30/12	02/01/18

*	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, 2017, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Fund Total
Diversified Income Fund
A-Class	$	—	$	—	$	1,574	$	798	$	2,372
C-Class		—		—		1,435		775		2,210
P-Class		—		—		1,339		699		2,038
Institutional Class		—		—		61,811		27,353		89,164
High Yield Fund
A-Class	$	7,489	$	54,498	$	12,450	$	—	$	74,437
C-Class		611		9,486		4,537		—		14,634
P-Class		—		—		—		968		968
Institutional Class		—		—		11,528		1,290		12,818
Investment Grade Bond Fund
A-Class	$	63,932	$	109,791	$	73,385	$	—	$	247,108
C-Class		16,068		40,125		35,023		2,491		93,707
P-Class		—		49		—		1,976		2,024
Institutional Class		—		—		—		—		—

90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Fund Total
Limited Duration Fund
A-Class	$	9,855	$	66,925	$	171,814	$	61,024	$	309,618
C-Class		1,263		5,382		31,279		15,598		53,522
P-Class		—		338		1,840		2,527		4,705
Institutional Class		75,595		107,741		287,680		59,157		530,173
Municipal Income Fund
A-Class	$	106,674	$	181,845	$	178,718	$	66,985	$	534,222
C-Class		1,992		6,114		13,957		7,188		29,251
P-Class		—		96		169		287		552
Institutional Class		13,794		26,091		36,640		26,836		103,362

For the period ended March 31, 2017, 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, 2017, the Diversified Income Fund and Limited Duration Fund waived $15,382and $25,290, respectively, related to investments in affiliated funds.

For the period ended March 31, 2017, GFD retained sales charges of $712,076 relating to sales of A-Class shares of the Trust.

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

At March 31, 2017, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of Oustanding Shares Owned
Diversified Income Fund		99	%
Investment Grade Bond Fund		40	%

4. Fair Value Measurement

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

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

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

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

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

5. 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, 2017, the following Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at March 31, 2017		Average Balance Outstanding		Average Interest Rate
High Yield Fund		182	$	60,538,766	$	29,105,157		1.1	%
Investment Grade Bond Fund		140		793,350		17,787,857		0.1	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets of 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 Received		Net Amount
High Yield Fund	Reverse repurchase agreements	$	60,538,766	$	—	$	60,538,766	$	60,538,766	$	—	$	—
Investment Grade Bond Fund	Reverse repurchase agreements		793,350		—		793,350		793,350		—		—

92 | 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 period-end, aggregated by asset class of the related collateral pledged by the Fund:

	Overnight and Continuous		Up to 30 days		Total
Investment Grade Bond Fund
U.S. Treasury Bond	$	—	$	793,350	$	793,350
Gross amount of recognized liabilities for reverse repurchase agreements		—		793,350		793,350
High Yield Fund
Corporate Bonds	$	187,500	$	60,351,266	$	60,538,766
Gross amount of recognized liabilities for reverse repurchase agreements		187,500		60,351,266		60,538,766

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, 2017, 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	$	5,321,931	$	387,519	$	(10,934	)	$	376,585
High Yield Fund		388,223,906		11,258,250		(7,553,147	)		3,705,103
Investment Grade Bond Fund		323,651,844		4,863,139		(7,849,042	)		(2,985,903	)
Limited Duration Fund		1,538,519,050		8,440,398		(4,245,903	)		4,194,495
Municipal Income Fund		51,513,375		1,124,538		(884,209	)		240,329

7. Securities Transactions

For the period ended March 31, 2017, 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	$	2,024,061	$	1,877,170
High Yield Fund		193,130,871		124,099,319
Investment Grade Bond Fund		147,467,962		88,435,997
Limited Duration Fund		902,399,417		226,920,741
Municipal Income Fund		9,208,571		22,635,787

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the year ended March 31, 2017, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Investment Grade Bond	$	49,176,560	$	46,810,172

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 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, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchases		Sales		Realized Gain
High Yield Fund	$	18,972,125	$	2,569,563	$	123,786
Investment Grade Bond Fund		1,244,420		1,215,531		56,462
Limited Duration Fund		1,104,708		1,287,359		111,049

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, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Transactions during the period ended March 31, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions			Value 03/31/17		Shares 03/31/17		Investment Income		Realized Gain (Loss)
Diversified Income Fund
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	1,155,330	$	1,822	$	(1,158,038	)	$	—		—	$	2,027	$	29,329
Guggenheim High Yield Fund - Institutional Class		1,189,250		602,240		(33,000	)		1,791,813		192,875		56,086		227
Guggenheim Investment Grade Bond Fund - Institutional Class		1,106,383		30,324		(335,000	)		787,387		43,168		—		(229	)
Guggenheim Limited Duration Fund - Institutional Class		382,050		1,366,041		—			1,371,710		55,467		3,326		—
Guggenheim Risk Managed Real Estate Fund - Institutional Class		262,695		9,631		—			268,551		9,344		3,206		6,424
Guggenheim S&P High Income Infrastructure ETF		565,983		—		—			585,914		21,275		16,360		—
Guggenheim World Equity Income Fund - Institutional Class		327,003		3,954		—			344,603		24,597		3,998		—
	$	4,988,694	$	2,014,012	$	(1,526,038	)	$	5,149,978			$	85,003	$	35,751

94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions			Value 03/31/17		Shares 03/31/17		Investment Income		Realized Gain (Loss)
Limited Duration Fund
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	1,283,886	$	15,142,128	$	—		$	16,415,673		629,435	$	139,497	$	—
Guggenheim Strategy Fund I		12,071,811		1,856,047		(1,000,000	)		12,957,662		517,272		105,604		5,998
Guggenheim Strategy Fund II		5,047,051		7,109,487		—			12,180,825		487,233		108,680		—
Guggenheim Strategy Fund III		—		7,017,525		—			7,021,027		280,729		16,625		—
	$	18,402,748	$	31,125,187	$	(1,000,000	)	$	48,575,187			$	370,406	$	5,998

9. Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2017. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

Borrower	Maturity Date	Face Amount		Value
High Yield Fund
Acosta, Inc.	09/26/19	$	844,444	$	55,935
Acrisure LLC	11/22/23		36,508		—
Advantage Sales & Marketing LLC	07/25/19		660,000		39,348
AMC Entertainment Holdings, Inc.	04/30/17		2,700,000		—
BBB Industries, LLC	11/04/19		1,000,000		71,736
CH Hold Corp.	08/01/17		95,455		157
Epicor Software	06/01/20		1,000,000		78,760
Eyemart Express	12/18/19		600,000		39,524
Go Daddy Operating Company LLC	12/12/17		1,458,559		—
Hillman Group, Inc.	06/30/19		1,000,000		48,889
Learning Care Group (US), Inc.	05/05/19		500,000		35,747
Moss Creek Resources LLC	03/29/22		450,000		—
National Technical Systems	06/12/21		250,000		21,865
Oberthur Technologies of America Corp.	01/10/24		618,421		—
Packaging Coordinators Midco, Inc.	07/01/21		1,384,615		147,173
Pro Mach Group, Inc.	10/22/19		900,000		55,514
PT Intermediate Holdings III, LLC	06/23/22		217,083		19,713
Signode Industrial Group US, Inc.	05/01/19		1,800,000		93,501
Solera LLC	03/03/21		250,000		27,596
Wencor Group	06/19/19		716,154		37,206
		$	16,481,239	$	772,664

10. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

11. 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 Bond Fund	Mizuho Securities LLC					Countrywide Asset-Backed Certificate
	1.75%					5.57%
	Due 06/06/17	$	15,020,000	$	15,076,655	05/25/36	$	6,800,000	$	7,468,526
						HarborView Mortgage Loan Trust
						0.00%
						03/19/37	46,400,000		20,074,391
						Option One Mortgage Loan Trust
						0.00%
						02/25/37		42,500,000		26,052,516
							95,700,000		53,595,432

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.

96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

12. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board of Trustees.

Fund	Restricted Securities		Acquisition Date	Cost		Value
High Yield Fund	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/22		03/21/12	$	139,296	$	24,974
Investment Grade Bond Fund	GMAC Commercial Mortgage Asset Corp.
	6.11% due 08/10/52		10/07/16		1,743,937		1,532,365
	Northern Group Housing LLC
	6.8% due 08/15/53		07/25/13		600,000		720,318
	Turbine Engines Securitization Ltd.
	5.13% due 12/13/48		11/27/13		650,509		650,281
	Woodbourne Capital Trust IV
		0.02%	01/20/06		954,589		568,357
	Woodbourne Capital Trust II
		0.02%	01/20/06		954,589		568,357
	Woodbourne Capital Trust III
		0.02%	01/20/06		954,589		567,693
	Woodbourne Capital Trust I
		0.02%	01/20/06		954,589		568,356
	HP Communities LLC
	5.78% due 03/15/46		08/23/16		593,340		534,070
	ACC Group Housing LLC
	6.35% due 07/15/54		06/03/14		300,000		344,935
	Atlantic Marine Corporations Communities LLC
	5.43% due 12/01/50		07/25/14		366,102		371,262
	Capmark Military Housing Trust
	6.06% due 10/10/52		04/23/15		472,193		482,324
	Pacific Northwest Communities LLC
	5.91% due 06/15/50		05/22/14		400,000		432,412
	Capmark Military Housing Trust
	5.75% due 02/10/52		09/18/14		331,819		327,641
	Cadence Bank North America
	6.25% due 06/28/29		06/06/14		200,000		200,000
	Copper River CLO Ltd.
	due 01/20/21		05/09/14		819,000		98,415
	TIG Holdings, Inc.
	8.6% due 01/15/27		06/29/05		29,353		30,600
					10,324,608		7,997,385
Limited Duration Bond Fund	Copper River CLO Ltd.
	due 01/20/21		05/09/14		585,000		70,296
	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/22		03/21/12		375,036		44,954
					960,036		115,250

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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 from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the 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, are 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 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 Asset		��	Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Asset Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	11,568		$	—	$	11,568	$	—	$	—	$	11,568
Limited Duration Fund	Forward foreign currency exchange contracts		704,787			—		704,787		155,945		—		548,842

								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 Received		Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	215,032	$	—	$	215,032	$	—	$	—	$	215,032
Investment Grade Bond Fund	Forward foreign currency exchange contracts		7,260		—		7,260		—		—		7,260
Limited Duration Fund	Forward foreign currency exchange contracts		675,261		—		675,261		155,945		295,000		224,316

98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

14. Legal Proceedings

Motors Liquidation Company

On or about June of 2015, the Guggenheim High Yield Fund was served and became a party to 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 (MG) (Bankr. S.D.N.Y.), brought by the Motors Liquidation Avoidance Action Trust (the “Motors Trust”). 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 (the “Term Loan”), between General Motors, as borrower, JPMorgan Chase Bank, N.A., as administrative agent (“JPMorgan”), and various institutions as lenders, including the Guggenheim 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 June 1, 2009 court order issued in connection with the General Motors chapter 11 bankruptcy filing. The plaintiff is seeking a court order that the lenders return at least a portion of the proceeds received in 2009 based on the contention that certain UCC financing statements securing the indebtedness due under the Term Loan were terminated (thus releasing collateral secured by the UCC financing statement), rendering the Term Loan under-secured or completely unsecured. As a result, the lawsuit alleges that the Term Loan lenders were unsecured creditors at the time General Motors filed for bankruptcy, and should not have been paid as fully secured creditors.

After being served, the Guggenheim High Yield Fund filed a motion to dismiss the lawsuit on November 19, 2015. On June 30, 2016, the Bankruptcy Court denied the motion to dismiss, holding that the orders extending the time to serve defendants were valid. On July 14, 2016, the Guggenheim High Yield Fund filed a motion for leave to file an interlocutory appeal of the Bankruptcy Court’s decision, which was denied on March 8, 2017.

On December 18, 2015, the Guggenheim High Yield Fund filed cross-claims against co-defendant JPMorgan related to JPMorgan’s actions as administrative agent in connection with the Term Loan and the termination of the UCC financing statements. The Guggenheim High Yield Fund and JPMorgan are exchanging discovery on the cross-claims.

On November 10, 2016, the Motors Trust filed a stipulation and proposed order dismissing its third claim for relief as set forth in its amended complaint, which was so Ordered on November 17, 2016.

On April 24, 2017, a trial commenced in the Bankruptcy Court for the Southern District of New York on the collateral status and valuation of 40 representative assets (the “Representative Asset Trial”). The evidentiary potion of the trial concluded on May 5, 2017, and closing arguments will be held on June 5, 2017.

The parties have agreed to attend a mediation in front of former District Court Judge Joseph J. Farnan in an attempt to consensually resolve the dispute. It is anticipated that the Bankruptcy Court’s decision in the Representative Asset Trial will inform the mediation.

This lawsuit does not allege any wrongdoing on the part of the Guggenheim High Yield Fund and the Fund intends to vigorously defend the matter. If the plaintiff is successful, it is reasonably possible that the Guggenheim 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 recover some or all of this amount from its cross-claims against co-defendant JPMorgan. At this stage of the proceedings, the Guggenheim High Yield Fund is unable to make a reliable prediction as to the outcome of this lawsuit or the affect, if any, on the Fund’s net asset value.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99

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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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.

100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101

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).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

102 | 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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, Guggenheim Investments (2012-present). Former: J.D., University of Kansas School of Law (2009-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103

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
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 J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

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3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Mid Cap Value Fund

GuggenheimInvestments.com SBMCV-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
MID CAP VALUE FUND	8
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, 2017

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Mid Cap Value Fund (the “Fund”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500”) Index* set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index* returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Mid Cap Value Fund
A-Class	1.31%	13.87%	$ 1,000.00	$ 1,138.70	$ 6.99
C-Class	2.14%	13.41%	1,000.00	1,134.10	11.39
P-Class	1.26%	13.85%	1,000.00	1,138.50	6.72
Table 2. Based on hypothetical 5% return (before expenses)
Mid Cap Value Fund
A-Class	1.31%	5.00%	$ 1,000.00	$ 1,018.40	$ 6.59
C-Class	2.14%	5.00%	1,000.00	1,014.26	10.75
P-Class	1.26%	5.00%	1,000.00	1,018.65	6.34

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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)
Zions Bancorporation	2.0%
KeyCorp	2.0%
WestRock Co.	1.8%
Wintrust Financial Corp.	1.8%
OGE Energy Corp.	1.6%
Alleghany Corp.	1.5%
Huntington Bancshares, Inc.	1.5%
Oshkosh Corp.	1.4%
UniFirst Corp.	1.4%
Gentex Corp.	1.4%
Top Ten Total	16.4%

“Ten Largest Holdings” excludes any temporary cash investments.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
MID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.0%
Financial - 32.2%
Zions Bancorporation		257,324	$	10,807,608
KeyCorp		606,788		10,788,691
Wintrust Financial Corp.		136,985		9,468,403
Alleghany Corp.*		13,408		8,241,361
Huntington Bancshares, Inc.		599,471		8,026,917
Unum Group		152,454		7,148,568
Equity Commonwealth*		211,651		6,607,744
Popular, Inc.		161,294		6,569,505
Radian Group, Inc.		360,961		6,482,859
E*TRADE Financial Corp.*		176,549		6,159,795
First American Financial Corp.		144,078		5,659,384
Prosperity Bancshares, Inc.		76,194		5,311,484
Alexandria Real Estate Equities, Inc.		46,202		5,106,245
EastGroup Properties, Inc.		65,008		4,780,038
Sun Communities, Inc.		56,475		4,536,637
Howard Hughes Corp.*		37,553		4,403,089
Hanover Insurance Group, Inc.		46,262		4,166,356
EPR Properties		54,969		4,047,368
Assured Guaranty Ltd.		102,181		3,791,937
Cousins Properties, Inc.		450,768		3,727,851
First Merchants Corp.		92,831		3,650,115
First Industrial Realty Trust, Inc.		115,802		3,083,807
Lexington Realty Trust		305,773		3,051,615
Redwood Trust, Inc.		183,428		3,046,739
National Storage Affiliates Trust		127,313		3,042,781
DCT Industrial Trust, Inc.		62,198		2,992,968
IBERIABANK Corp.		37,822		2,991,720
CubeSmart		107,948		2,802,330
Piedmont Office Realty Trust, Inc. — Class A		129,331		2,765,097
Spirit Realty Capital, Inc.		268,225		2,717,119
Customers Bancorp, Inc.*		84,893		2,676,676
CoreCivic, Inc.		82,972		2,606,980
Camden Property Trust		30,148		2,425,708
Monogram Residential Trust, Inc.		234,338		2,336,350
PacWest Bancorp		41,599		2,215,563
Fulton Financial Corp.		108,522		1,937,118
Farmer Mac — Class C		27,313		1,572,409
Apartment Investment & Management Co. — Class A		28,602		1,268,499
Total Financial				173,015,434
Industrial - 17.4%
WestRock Co.		185,477		9,650,368
Oshkosh Corp.		113,034		7,753,002
Gentex Corp.		350,216		7,470,106
Corning, Inc.		261,760		7,067,520
Orbital ATK, Inc.		66,638		6,530,524
Kirby Corp.*		83,253		5,873,499
FLIR Systems, Inc.		128,731		4,670,361
Harris Corp.		41,737		4,644,076
Covenant Transportation Group, Inc. — Class A*		244,072		4,588,554
Crane Co.		56,455		4,224,528
ITT, Inc.		100,601		4,126,653
Scorpio Tankers, Inc.		877,137		3,894,488
Werner Enterprises, Inc.		145,448		3,810,738
Summit Materials, Inc. — Class A*		151,149		3,734,892
Owens Corning		47,516		2,916,057
Huntington Ingalls Industries, Inc.		14,417		2,886,860
Sonoco Products Co.		51,982		2,750,887
Valmont Industries, Inc.		17,605		2,737,578
Owens-Illinois, Inc.*		132,137		2,692,952
Fabrinet*		38,100		1,601,343
Total Industrial				93,624,986
Consumer, Non-cyclical - 12.6%
Quest Diagnostics, Inc.		68,021		6,678,982
Bunge Ltd.		80,132		6,351,262

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MID CAP VALUE FUND

	Shares		Value
Emergent BioSolutions, Inc.*		196,152	$	5,696,254
Navigant Consulting, Inc.*		243,235		5,560,352
Sanderson Farms, Inc.		47,871		4,970,925
Perrigo Company plc		74,614		4,953,623
United Rentals, Inc.*		33,153		4,145,783
Premier, Inc. — Class A*		124,090		3,949,785
Dermira, Inc.*		97,835		3,337,152
Acadia Healthcare Co., Inc.*		70,950		3,093,420
Dean Foods Co.		157,120		3,088,979
Sprouts Farmers Market, Inc.*		131,055		3,029,992
Akorn, Inc.*		122,633		2,953,003
HealthSouth Corp.		64,208		2,748,744
Hormel Foods Corp.		76,696		2,655,982
Molina Healthcare, Inc.*		56,288		2,566,733
Community Health Systems, Inc.*		205,820		1,825,623
Total Consumer, Non-cyclical				67,606,594
Utilities - 9.5%
OGE Energy Corp.		239,771		8,387,190
Black Hills Corp.		98,951		6,577,273
Ameren Corp.		113,039		6,170,799
Portland General Electric Co.		124,750		5,541,395
Pinnacle West Capital Corp.		62,742		5,231,428
Avista Corp.		123,279		4,814,045
UGI Corp.		92,499		4,569,450
AES Corp.		349,829		3,911,088
Calpine Corp.*		278,143		3,073,480
ONE Gas, Inc.		43,958		2,971,561
Total Utilities				51,247,709
Technology - 8.0%
Micron Technology, Inc.*		244,873		7,076,830
Lam Research Corp.		44,542		5,717,411
CSRA, Inc.		164,143		4,807,748
Cray, Inc.*		211,248		4,626,331
Analog Devices, Inc.		53,862		4,413,991
Qorvo, Inc.*		62,174		4,262,649
IXYS Corp.		290,974		4,233,672
Maxwell Technologies, Inc.*		578,897		3,363,392
Photronics, Inc.*		282,080		3,018,256
Western Digital Corp.		19,028		1,570,381
Total Technology				43,090,661
Consumer, Cyclical - 7.5%
UniFirst Corp.		53,152		7,518,351
PVH Corp.		63,791		6,600,455
DR Horton, Inc.		192,435		6,410,010
Goodyear Tire & Rubber Co.		128,617		4,630,212
CalAtlantic Group, Inc.		84,934		3,180,778
Deckers Outdoor Corp.*		46,980		2,806,115
PACCAR, Inc.		40,635		2,730,672
JetBlue Airways Corp.*		126,845		2,614,275
AutoNation, Inc.*		58,106		2,457,303
Williams-Sonoma, Inc.		27,869		1,494,336
Total Consumer, Cyclical				40,442,507
Energy - 6.3%
Marathon Oil Corp.		339,473		5,363,673
Whiting Petroleum Corp.*		443,521		4,195,709
Oceaneering International, Inc.		152,371		4,126,207
MRC Global, Inc.*		201,830		3,699,544
Chesapeake Energy Corp.*		573,154		3,404,535
Rowan Companies plc — Class A*		202,999		3,162,724
Oasis Petroleum, Inc.*		216,589		3,088,559
Tesoro Corp.		30,706		2,489,028
Western Refining, Inc.		70,909		2,486,779
Gulfport Energy Corp.*		90,204		1,550,607
Total Energy				33,567,365
Basic Materials - 2.8%
Reliance Steel & Aluminum Co.		68,300		5,465,365
Westlake Chemical Corp.		46,660		3,081,893
Nucor Corp.		47,415		2,831,624

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MID CAP VALUE FUND

	Shares		Value
Olin Corp.		80,373	$	2,641,861
Newmont Mining Corp.		36,448		1,201,326
Total Basic Materials				15,222,069
Communications - 2.7%
Scripps Networks Interactive, Inc. — Class A		74,029		5,801,652
DigitalGlobe, Inc.*		123,682		4,050,586
Infinera Corp.*		322,488		3,299,052
NeoPhotonics Corp.*		125,678		1,132,359
Total Communications				14,283,649
Total Common Stocks
(Cost $439,666,064)				532,100,974
CONVERTIBLE PREFERRED STOCKS††† - 0.0%**
Thermoenergy Corp. *,1,3		858,334		10
Total Convertible Preferred Stocks
(Cost $819,654)				10
SHORT-TERM INVESTMENTS† - 1.6%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%2		8,425,177		8,425,177
Total Short-Term Investments
(Cost $8,425,177)				8,425,177
Total Investments - 100.6%
(Cost $448,910,895)			$	540,526,161
Other Assets & Liabilities, net - (0.6)%				(3,421,928	)
Total Net Assets - 100.0%			$	537,104,233

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	Value determined based on Level 1 inputs — See Note 3.
†††	Value determined based on Level 3 inputs — See Note 3.
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, 2017.
3	Illiquid security.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
MID CAP VALUE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 3 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	532,100,974	$	—	$	—	$	532,100,974
Convertible Preferred Stocks		—		—		10		10
Short Term Investments		8,425,177		—		—		8,425,177
Total	$	540,526,151	$	—	$	10	$	540,526,161

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, 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, 2017

Assets:
Investments, at value (cost $448,910,895)	$	540,526,161
Prepaid expenses		39,573
Cash		9,941
Receivables:
Securities sold		6,063,698
Fund shares sold		342,800
Dividends		597,015
Foreign taxes reclaim		13,049
Total assets		547,592,237
Liabilities:
Payable for:
Securities purchased		8,027,594
Fund shares redeemed		1,028,145
Management fees		345,819
Transfer agent/maintenance fees		239,841
Distribution and service fees		177,326
Trustees’ fees*		39,277
Fund accounting/administration fees		36,888
Miscellaneous		593,114
Total liabilities		10,488,004
Net assets	$	537,104,233
Net assets consist of:
Paid in capital	$	409,975,001
Undistributed net investment income		106,708
Accumulated net realized gain on investments		35,407,258
Net unrealized appreciation on investments		91,615,266
Net assets	$	537,104,233
A-Class:
Net assets	$	433,238,783
Capital shares outstanding		12,972,533
Net asset value per share	$	33.40
Maximum offering price per share (Net asset value divided by 95.25%)	$	35.07
C-Class:
Net assets	$	95,991,059
Capital shares outstanding		3,845,481
Net asset value per share	$	24.96
P-Class:
Net assets	$	7,874,391
Capital shares outstanding		237,274
Net asset value per share	$	33.19

* 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, 2017

Investment Income:
Dividends (net of foreign withholding tax of $10,034)	$	4,025,593
Interest		8,499
Total investment income		4,034,092
Expenses:
Management fees		2,171,973
Transfer agent/maintenance fees
A-Class		252,014
C-Class		92,690
P-Class		2,096
Distribution and service fees:
A-Class		539,266
C-Class		494,372
P-Class		5,998
Fund accounting/administration fees		214,867
Line of credit fees		52,327
Custodian fees		4,759
Trustees’ fees*		18
Miscellaneous		97,004
Total expenses		3,927,384
Net investment income		106,708
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	39,554,985
Net realized gain		39,554,985
Net change in unrealized appreciation (depreciation) on:
Investments		29,159,683
Net change in unrealized appreciation (depreciation)		29,159,683
Net realized and unrealized gain		68,714,668
Net increase in net assets resulting from operations	$	68,821,376

* 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	106,708		$	4,724,687
Net realized gain on investments		39,554,985			17,533,078
Net change in unrealized appreciation (depreciation) on investments		29,159,683			53,021,430
Net increase in net assets resulting from operations		68,821,376			75,279,195
Distributions to shareholders from:
Net investment income
A-Class		(4,950,404	)		—
C-Class		(780,189	)		—
P-Class		(49,828	)		—
Net realized gains
A-Class		(8,613,768	)		(71,175,868	)
C-Class		(2,669,531	)		(23,558,203	)
P-Class		(67,525	)		(15,730	)
Total distributions to shareholders		(17,131,245	)		(94,749,801	)
Capital share transactions:
Proceeds from sale of shares
A-Class		25,695,371			32,844,791
C-Class		4,072,136			5,397,137
P-Class		5,959,376			4,471,143
Distributions reinvested
A-Class		12,673,544			65,228,180
C-Class		3,069,526			20,922,534
P-Class		117,352			15,730
Cost of shares redeemed
A-Class		(55,223,772	)		(156,281,880	)
C-Class		(18,466,479	)		(45,239,145	)
P-Class		(1,965,576	)		(1,301,763	)
Net decrease from capital share transactions		(24,068,522	)		(73,943,273	)
Net increase (decrease) in net assets		27,621,609			(93,413,879	)
Net assets:
Beginning of period		509,482,624			602,896,503
End of period	$	537,104,233		$	509,482,624
Undistributed net investment income at end of period	$	106,708		$	5,780,421

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, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		806,607			1,179,023
C-Class		171,206			256,114
P-Class		184,564			157,411
Shares issued from reinvestment of distributions
A-Class		398,539			2,398,977
C-Class		128,809			1,015,657
P-Class		3,715			581
Shares redeemed
A-Class		(1,708,831	)		(5,552,921	)
C-Class		(763,920	)		(2,098,789	)
P-Class		(64,421	)		(46,438	)
Net decrease in shares		(843,732	)		(2,690,385	)

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, 2017a			Year Ended Sept. 30, 2016			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012
Per Share Data
Net asset value, beginning of period	$	30.27		$	30.86		$	37.73		$	38.15		$	33.05		$	27.13
Income (loss) from investment operations:
Net investment income (loss)b		.03			.30			.06			.03			.04			(.07	)
Net gain (loss) on investments (realized and unrealized)		4.12			3.95			(2.24	)		2.04			8.59			6.54
Total from investment operations		4.15			4.25			(2.18	)		2.07			8.63			6.47
Less distributions from:
Net investment income		(.37	)		—			—			—			—			—
Net realized gains		(.65	)		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)
Total distributions		(1.02	)		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)
Net asset value, end of period	$	33.40		$	30.27		$	30.86		$	37.73		$	38.15		$	33.05
Total Returnc		13.87	%		15.51	%		(6.83	%)		5.52	%		28.93	%		24.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	433,239		$	407,883		$	476,792		$	1,017,208		$	1,038,762		$	903,221
Ratios to average net assets:
Net investment income (loss)		0.19	%		1.04	%		0.18	%		0.08	%		0.11	%		(0.22	%)
Total expensesf		1.31	%g		1.49	%		1.42	%		1.39	%		1.39	%		1.46	%
Portfolio turnover rate		31	%		52	%		84	%		35	%		23	%		19	%

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, 2017a			Year Ended Sept. 30, 2016			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012
Per Share Data
Net asset value, beginning of period	$	22.78		$	24.54		$	31.14		$	32.13		$	28.57		$	23.68
Income (loss) from investment operations:
Net investment income (loss)b		(.07	)		.06			(.15	)		(.21	)		(.18	)		(.25	)
Net gain (loss) on investments (realized and unrealized)		3.08			3.02			(1.76	)		1.71			7.27			5.69
Total from investment operations		3.01			3.08			(1.91	)		1.50			7.09			5.44
Less distributions from:
Net investment income		(.18	)		—			—			—			—			—
Net realized gains		(.65	)		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)
Total distributions		(.83	)		(4.84	)		(4.69	)		(2.49	)		(3.53	)		(.55	)
Net asset value, end of period	$	24.96		$	22.78		$	24.54		$	31.14		$	32.13		$	28.57
Total Returnc		13.41	%		14.64	%		(7.49	%)		4.74	%		27.98	%		23.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	95,991		$	98,176		$	126,047		$	192,942		$	219,695		$	191,249
Ratios to average net assets:
Net investment income (loss)		(0.61	%)		0.27	%		(0.53	%)		(0.65	%)		(0.62	%)		(0.92	%)
Total expensesf		2.14	%g		2.27	%		2.12	%		2.12	%		2.12	%		2.17	%
Portfolio turnover rate		31	%		52	%		84	%		35	%		23	%		19	%

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, 2017a			Year Ended Sept. 30, 2016			Period Ended Sept. 30, 2015d
Per Share Data
Net asset value, beginning of period	$	30.18		$	30.77		$	33.91
Income (loss) from investment operations:
Net investment income (loss)b		—	e		.14			.10
Net gain (loss) on investments (realized and unrealized)		4.13			4.11			(3.24	)
Total from investment operations		4.13			4.25			(3.14	)
Less distributions from:
Net investment income		(.47	)		—			—
Net realized gains		(.65	)		(4.84	)		—
Total distributions		(1.12	)		(4.84	)		—
Net asset value, end of period	$	33.19		$	30.18		$	30.77
Total Returnc		13.85	%		15.61	%		(9.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,874		$	3,423		$	57
Ratios to average net assets:
Net investment income (loss)		0.02	%		0.48	%		0.71	%
Total expensesf		1.26	%g		1.32	%		1.32	%
Portfolio turnover rate		31	%		52	%		84	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Since commencement of operations: May 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
e	Net investment income is less than $0.01 per share.
f	Does not include expenses of the underlying funds in which the fund invests.
g	Total expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, operating expense ratio for the periods would be:

	03/31/17
A-Class	1.30%
C-Class	2.12%
P-Class	1.24%

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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, 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.

Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”) provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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, 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.

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 and/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, to 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 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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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, 2017, 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 0.82% at March 31, 2017.

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.

22 | 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, effective February 1, 2017, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund. Prior to February 1, 2017, the Fund paid 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 million.

GI 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
Mid Cap Value Fund – A-Class	1.42%	01/30/17	02/01/18
Mid Cap Value Fund – C-Class	2.12%	01/30/17	02/01/18
Mid Cap Value Fund – P-Class	1.32%	01/30/17	02/01/18

During the period ended March 31, 2017, no fees were waived or amounts recouped by GI.

For the period ended March 31, 2017, GFD retained sales charges of $356,038 relating to sales of A-Class shares of the Trust.

At March 31, 2017, GI and its affiliates owned twenty-two percent of the outstanding shares of the Fund.

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

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change had no impact on the financial statements of the Trust.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s fees and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

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 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.

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.

24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017, 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
Mid Cap Value Fund	$	449,353,014	$	105,615,322	$	(14,442,175	)	$	91,173,147

5. Securities Transactions

For the period ended March 31, 2017, 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	$	164,878,224	$	209,901,554

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 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, 2017, 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 Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

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, 2017.

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, 2017, 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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).

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
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).	95	Current: GP Natural Re-source Partners, LLC (2002-present). Former: Peabody Energy Company (2003-Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).

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
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).	97	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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital In-vestment Management (2007-2009).
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).

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
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, 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 J. 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).

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 - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Mid Cap Value Institutional Fund

GuggenheimInvestments.com SBMCVI-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
MID CAP VALUE INSTITUTIONAL FUND	8
NOTES TO FINANCIAL STATEMENTS	16
OTHER INFORMATION	23
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	24
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	31

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Mid Cap Value Institutional Fund (the “Fund”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^®(“S&P 500”) Index* set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Mid Cap Value Institutional Fund	1.11%	13.68%	$ 1,000.00	$ 1,136.80	$ 5.91
Table 2. Based on hypothetical 5% return (before expenses)
Mid Cap Value Institutional Fund	1.11%	5.00%	$ 1,000.00	$ 1,019.40	$ 5.59

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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)
Zions Bancorporation	2.0%
KeyCorp	2.0%
WestRock Co.	1.8%
Wintrust Financial Corp.	1.8%
OGE Energy Corp.	1.6%
Alleghany Corp.	1.5%
Huntington Bancshares, Inc.	1.5%
Oshkosh Corp.	1.5%
UniFirst Corp.	1.4%
Gentex Corp.	1.4%
Top Ten Total	16.5%

“Ten Largest Holdings” excludes any temporary cash investments.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
COMMON STOCKS† - 99.2%
Financial - 32.4%
Zions Bancorporation		37,688	$	1,582,896
KeyCorp		88,707		1,577,209
Wintrust Financial Corp.		20,104		1,389,588
Alleghany Corp.*		1,951		1,199,201
Huntington Bancshares, Inc.		87,717		1,174,531
Unum Group		22,376		1,049,211
Equity Commonwealth*		32,048		1,000,538
Popular, Inc.		23,633		962,572
Radian Group, Inc.		52,807		948,414
E*TRADE Financial Corp.*		25,761		898,801
First American Financial Corp.		21,121		829,633
EPR Properties		11,203		824,877
Prosperity Bancshares, Inc.		11,212		781,589
Alexandria Real Estate Equities, Inc.		6,798		751,315
EastGroup Properties, Inc.		9,502		698,683
Sun Communities, Inc.		8,110		651,476
Howard Hughes Corp.*		5,529		648,275
Hanover Insurance Group, Inc.		6,909		622,225
Assured Guaranty Ltd.		14,874		551,974
Cousins Properties, Inc.		60,892		503,577
First Merchants Corp.		12,587		494,921
IBERIABANK Corp.		5,534		437,739
First Industrial Realty Trust, Inc.		16,356		435,560
Lexington Realty Trust		42,846		427,603
Redwood Trust, Inc.		25,727		427,325
National Storage Affiliates Trust		17,833		426,209
DCT Industrial Trust, Inc.		8,668		417,104
Spirit Realty Capital, Inc.		39,026		395,333
Customers Bancorp, Inc.*		12,356		389,585
CoreCivic, Inc.		12,247		384,801
CubeSmart		14,665		380,703
Piedmont Office Realty Trust, Inc. — Class A		17,491		373,958
Camden Property Trust		4,414		355,151
Monogram Residential Trust, Inc.		32,985		328,860
PacWest Bancorp		6,045		321,957
Fulton Financial Corp.		15,774		281,566
Farmer Mac — Class C		3,849		221,587
Apartment Investment & Management Co. — Class A		3,928		174,207
Total Financial				25,320,754
Industrial - 17.5%
WestRock Co.		27,698		1,441,127
Oshkosh Corp.		16,582		1,137,359
Gentex Corp.		51,145		1,090,923
Corning, Inc.		38,464		1,038,528
Orbital ATK, Inc.		9,802		960,596
Kirby Corp.*		12,165		858,240
Harris Corp.		6,129		681,974
FLIR Systems, Inc.		18,749		680,214
Covenant Transportation Group, Inc. — Class A*		34,396		646,645
Crane Co.		8,266		618,544
ITT, Inc.		14,828		608,245
Scorpio Tankers, Inc.		127,724		567,095
Werner Enterprises, Inc.		21,317		558,505
Summit Materials, Inc. — Class A*		22,313		551,355
Owens Corning		6,963		427,319
Huntington Ingalls Industries, Inc.		2,041		408,690
Sonoco Products Co.		7,722		408,648
Valmont Industries, Inc.		2,561		398,236
Owens-Illinois, Inc.*		19,214		391,581
Fabrinet*		5,355		225,071
Total Industrial				13,698,895
Consumer, Non-cyclical - 12.5%
Quest Diagnostics, Inc.		9,942		976,204
Bunge Ltd.		11,904		943,511

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MID CAP VALUE INSTITUTIONAL FUND

	Shares			Value
Emergent BioSolutions, Inc.*		28,868		$	838,327
Navigant Consulting, Inc.*		34,459			787,733
Sanderson Farms, Inc.		7,014			728,334
Perrigo Company plc		10,943			726,506
United Rentals, Inc.*		4,866			608,493
Premier, Inc. — Class A*		18,201			579,338
Dermira, Inc.*		13,835	��		471,912
Acadia Healthcare Co., Inc.*		10,395			453,222
Dean Foods Co.		22,883			449,880
Akorn, Inc.*		17,856			429,972
Sprouts Farmers Market, Inc.*		18,101			418,495
HealthSouth Corp.		9,100			389,571
Hormel Foods Corp.		11,168			386,748
Molina Healthcare, Inc.*		8,372			381,763
Community Health Systems, Inc.*		27,961			248,014
Total Consumer, Non-cyclical					9,818,023
Utilities - 9.6%
OGE Energy Corp.		35,196			1,231,157
Black Hills Corp.		14,469			961,754
Ameren Corp.		16,544			903,137
Portland General Electric Co.		18,098			803,913
Pinnacle West Capital Corp.		9,180			765,428
Avista Corp.		18,137			708,250
UGI Corp.		13,467			665,270
AES Corp.		51,253			573,009
Calpine Corp.*		40,459			447,072
ONE Gas, Inc.		6,224			420,742
Total Utilities					7,479,732
Technology - 8.0%
Micron Technology, Inc.*		35,884			1,037,047
Lam Research Corp.		6,523			837,291
CSRA, Inc.		24,092			705,655
Cray, Inc.*		30,830			675,177
Analog Devices, Inc.		8,002			655,764
Qorvo, Inc.*		9,235			633,152
IXYS Corp.		40,633			591,210
Maxwell Technologies, Inc.*		81,428			473,097
Photronics, Inc.*		39,565			423,346
Western Digital Corp.		2,566			211,772
Total Technology					6,243,511
Consumer, Cyclical - 7.5%
UniFirst Corp.		7,802			1,103,592
PVH Corp.		9,348			967,238
DR Horton, Inc.		28,306			942,873
Goodyear Tire & Rubber Co.		18,937			681,732
CalAtlantic Group, Inc.		12,408			464,680
Deckers Outdoor Corp.*		6,835			408,255
PACCAR, Inc.		5,710			383,712
JetBlue Airways Corp.*		17,856			368,012
AutoNation, Inc.*		8,548			361,495
Williams-Sonoma, Inc.		3,910			209,654
Total Consumer, Cyclical					5,891,243
Energy - 6.2%
Marathon Oil Corp.		49,364			779,951
Oceaneering International, Inc.		22,727			615,447
Whiting Petroleum Corp.*		62,387			590,181
MRC Global, Inc.*		29,506			540,845
Chesapeake Energy Corp.*		80,388			477,505
Rowan Companies plc — Class A*		29,781			463,988
Oasis Petroleum, Inc.*		30,670			437,354
Tesoro Corp.		4,351			352,692
Western Refining, Inc.		9,945			348,771
Gulfport Energy Corp.*		12,566			216,010
HydroGen Corp.*,†††,1		1,265,700			1
Total Energy					4,822,745
Basic Materials - 2.9%
Reliance Steel & Aluminum Co.		10,029			802,520
Westlake Chemical Corp.		6,869			453,697

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
Nucor Corp.		6,950	$	415,054
Olin Corp.		11,694		384,382
Newmont Mining Corp.		5,412		178,380
Total Basic Materials				2,234,033
Communications - 2.6%
Scripps Networks Interactive, Inc. — Class A		10,866		851,568
DigitalGlobe, Inc.*		17,994		589,304
Infinera Corp.*		45,274		463,153
NeoPhotonics Corp.*		17,664		159,153
Total Communications				2,063,178
Total Common Stocks
(Cost $65,720,712)				77,572,114
CONVERTIBLE PREFERRED STOCKS††† - 0.0%**
Thermoenergy Corp.*,2,4		793,750		10
Total Convertible Preferred Stocks
(Cost $757,980)				10
SHORT-TERM INVESTMENTS† - 1.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 0.50%3		981,774		981,774
Total Short-Term Investments
(Cost $981,774)				981,774
Total Investments - 100.5%
(Cost $67,460,466)			$	78,553,898
Other Assets & Liabilities, net - (0.5)%				(427,305	)
Total Net Assets - 100.0%			$	78,126,593

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†††	Value determined based on Level 3 inputs — See Note 3.
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	Rate indicated is the 7 day yield as of March 31, 2017.
4	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, 2017 (See Note 3 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	77,572,113	$	—	$	1	$	77,572,114
Convertible Preferred Stocks		—		—		10		10
Short-Term Investments		981,774		—		—		981,774
Total	$	78,553,887	$	—	$	11	$	78,553,898

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MID CAP VALUE INSTITUTIONAL FUND

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $67,457,935)	$	78,553,897
Investments in affiliated issuers, at value (cost $2,531)		1
Total investments (cost $67,460,466)		78,553,898
Prepaid expenses		20,855
Cash		6,592
Receivables:
Securities sold		817,514
Fund shares sold		66,975
Dividends		84,820
Foreign taxes reclaim		10,107
Total assets		79,560,761
Liabilities:
Payable for:
Securities purchased		1,174,358
Fund shares redeemed		73,040
Management fees		48,705
Trustees’ fees*		20,296
Transfer agent/maintenance fees		16,209
Fund accounting/administration fees		5,195
Miscellaneous		96,365
Total liabilities		1,434,168
Net assets	$	78,126,593
Net assets consist of:
Paid in capital		64,217,063
Accumulated net investment loss		(358,457	)
Accumulated net realized gain on investments		3,174,555
Net unrealized appreciation on investments		11,093,432
Net assets	$	78,126,593
Capital shares outstanding		7,032,048
Net asset value per share	$	11.11

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

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

STATEMENT OF OPERATIONS (Unaudited)

MID CAP VALUE INSTITUTIONAL FUND

Period Ended March 31, 2017

Investment Income:
Dividends from unaffiliated issuers (net of foreign withholding tax of $1,542)	$	485,260
Interest		2,329
Total investment income		487,589
Expenses:
Management fees		266,091
Transfer agent/maintenance fees		56,696
Fund accounting/administration fees		28,494
Trustees’ fees*		6,845
Custodian fees		1,157
Miscellaneous		34,270
Total expenses		393,553
Net investment income		94,036
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		5,060,832
Net realized gain		5,060,832
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		3,774,701
Net change in unrealized appreciation (depreciation)		3,774,701
Net realized and unrealized gain		8,835,533
Net increase in net assets resulting from operations	$	8,929,569

* 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

STATEMENTS OF CHANGES IN NET ASSETS

MID CAP VALUE INSTITUTIONAL FUND

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	94,036		$	3,042,350
Net realized gain on investments		5,060,832			17,153,748
Net change in unrealized appreciation (depreciation) on investments		3,774,701			8,094,425
Net increase in net assets resulting from operations		8,929,569			28,290,523
Distributions to shareholders from:
Net investment income		(3,140,884	)		(3,255,047	)
Net realized gains		(4,043,650	)		(25,619,255	)
Total distributions to shareholders		(7,184,534	)		(28,874,302	)
Capital share transactions:
Proceeds from sale of shares		17,243,126			76,460,927
Distributions reinvested		3,569,315			5,764,338
Cost of shares redeemed		(15,240,423	)		(298,201,787	)
Net increase (decrease) from capital share transactions		5,572,018			(215,976,522	)
Net increase (decrease) in net assets		7,317,053			(216,560,301	)
Net assets:
Beginning of period		70,809,540			287,369,841
End of period	$	78,126,593		$	70,809,540
(Accumulated net investment loss)/Undistributed net investment income at end of period	$	(358,457	)	$	2,688,391
Capital share activity:
Shares sold		1,578,110			7,868,173
Shares issued from reinvestment of distributions		337,685			592,429
Shares redeemed		(1,382,708	)		(29,559,662	)
Net increase (decrease) in shares		533,087			(21,099,060	)

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

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, 2017a			Year Ended Sept. 30, 2016			Year Ended Sept. 30, 2015			Year Ended Sept. 30, 2014			Year Ended Sept. 30, 2013			Year Ended Sept. 30, 2012
Per Share Data
Net asset value, beginning of period	$	10.90		$	10.41		$	12.92		$	13.09		$	11.29		$	9.97
Income (loss) from investment operations:
Net investment income (loss)b		.01			.15			.06			.06			.06			.03
Net gain (loss) on investments (realized and unrealized)		1.41			1.43			(.66	)		.65			2.90			2.30
Total from investment operations		1.42			1.58			(.60	)		.71			2.96			2.33
Less distributions from:
Net investment income		(.53	)		(.12	)		(.07	)		(.07	)		(.04	)		(.04	)
Net realized gains		(.68	)		(.97	)		(1.84	)		(.81	)		(1.12	)		(.97	)
Total distributions		(1.21	)		(1.09	)		(1.91	)		(.88	)		(1.16	)		(1.01	)
Net asset value, end of period	$	11.11		$	10.90		$	10.41		$	12.92		$	13.09		$	11.29
Total Returnc		13.68	%		16.28	%		(5.85	%)		5.53	%		28.89	%		24.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	78,127		$	70,810		$	287,370		$	598,101		$	571,465		$	490,741
Ratios to average net assets:
Net investment income (loss)		0.26	%		1.52	%		0.52	%		0.42	%		0.51	%		0.30	%
Total expensesd		1.11	%		1.14	%		1.05	%		1.05	%		1.01	%		1.01	%
Net expenses		1.11	%		1.14	%		1.05	%		1.05	%		1.01	%		0.98	%e
Portfolio turnover rate		43	%		149	%		95	%		41	%		24	%		33	%

a	Unaudited figures for the period ended March 31, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratio after expense waivers and reimbursements.

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

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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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. 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, 2017, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Mid Cap Value Institutional Fund (the “Fund”), a diversified investment company.

Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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, 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, by the number of outstanding shares of the Fund.

16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 and/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, to 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 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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Interest income also includes paydown gains and losses or mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned on 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. 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 year period ended March 31, 2017, 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 0.82% at March 31, 2017.

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. 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.

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI 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 and GFD.

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change has no impact on the financial statements of the Trust.

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Funds’ average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

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 judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

At March 31, 2017, 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
Mid Cap Value Institutional Fund	$	68,311,768	$	12,688,424	$	(2,446,294	)	$	10,242,130

5. Securities Transactions

For the period ended March 31, 2017, 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	$	30,114,353	$	32,078,353

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 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

20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017, 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, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers	Value 09/30/16		Additions		Reductions		Value 03/31/17		Shares 03/31/17		Investment Income
HydroGen Corp.	$	1	$	—	$	—	$	1		1,265,700	$	—

7. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Miscellaneous fees” and the effect on the expense ratio is included in the Financial Highlights.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

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, 2017.

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, 2017 was $15,940.

22 | 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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies 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 https://www.sec.gov. The Fund’s 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 | 23

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).

24 | 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
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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-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 - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	Former: Bennett Group of Funds (2011-2013).

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
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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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 | 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 Occupations During Past Five Years
OFFICERS
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).

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 - continued
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, 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).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

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 J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Capital Stewardship Fund

GuggenheimInvestments.com CSF-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
CAPITAL STEWARDSHIP FUND	7
NOTES TO FINANCIAL STATEMENTS	14
OTHER INFORMATION	18
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	19
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	23

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (the “Fund”) for the six-month period ended March 31, 2017.

Concinnity Advisors, LP serves as the Fund’s sub-adviser (the “Sub-Adviser”).

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 GPIM.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500”) Index* set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index* returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE��) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

*Index Definitions:

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

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Capital Stewardship Fund
Institutional Class	1.00%	8.22%	$ 1,000.00	$ 1,082.20	$ 5.19
Table 2. Based on hypothetical 5% return (before expenses)
Capital Stewardship Fund
Institutional Class	1.00%	5.00%	$ 1,000.00	$ 1,019.95	$ 5.04

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited) March 31, 2017

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: September 26, 2014

Ten Largest Holdings (% of Total Net Assets)
Johnson & Johnson	3.2%
JPMorgan Chase & Co.	2.9%
Apple, Inc.	2.6%
Intel Corp.	2.4%
Alphabet, Inc. — Class A	2.4%
International Business Machines Corp.	2.3%
AT&T, Inc.	2.1%
Oracle Corp.	1.9%
Verizon Communications, Inc.	1.8%
Cisco Systems, Inc.	1.7%
Top Ten Total	23.3%

“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 100.6%
Consumer, Non-cyclical - 21.6%
Johnson & Johnson		57,258	$	7,131,485
Amgen, Inc.		16,557		2,716,508
AbbVie, Inc.		39,801		2,593,433
ManpowerGroup, Inc.		21,977		2,254,181
Cardinal Health, Inc.		26,466		2,158,302
Merck & Company, Inc.		26,985		1,714,627
DaVita, Inc.*		25,133		1,708,290
General Mills, Inc.		27,090		1,598,581
Aetna, Inc.		12,030		1,534,426
Procter & Gamble Co.		15,030		1,350,446
Becton Dickinson and Co.		7,030		1,289,584
WellCare Health Plans, Inc.*		8,526		1,195,430
Ingredion, Inc.		9,667		1,164,197
Cigna Corp.		7,683		1,125,483
Molson Coors Brewing Co. — Class B		11,566		1,106,982
Sysco Corp.		20,681		1,073,757
Whole Foods Market, Inc.		33,970		1,009,588
Conagra Brands, Inc.		24,945		1,006,281
Varian Medical Systems, Inc.*		10,210		930,437
Danaher Corp.		10,325		883,097
Kimberly-Clark Corp.		6,349		835,719
Eli Lilly & Co.		9,616		808,802
Molina Healthcare, Inc.*		17,556		800,554
Thermo Fisher Scientific, Inc.		5,088		781,517
Automatic Data Processing, Inc.		7,500		767,925
Coca-Cola Co.		17,343		736,037
PepsiCo, Inc.		5,986		669,594
Biogen, Inc.*		2,420		661,676
Cooper Cos., Inc.		3,215		642,646
United Natural Foods, Inc.*		14,182		613,088
JM Smucker Co.		4,518		592,219
Bristol-Myers Squibb Co.		9,935		540,265
Deluxe Corp.		7,403		534,275
Estee Lauder Cos., Inc. — Class A		5,917		501,702
Abbott Laboratories		10,754		477,585
Celgene Corp.*		3,601		448,072
Premier, Inc. — Class A*		13,148		418,501
PAREXEL International Corp.*		5,462		344,707
Zoetis, Inc.		5,010		267,384
Clorox Co.		1,870		252,132
Sabre Corp.		10,954		232,115
Total Consumer, Non-cyclical				47,471,630
Technology - 19.5%
Apple, Inc.		40,056		5,754,444
Intel Corp.		147,535		5,321,587
International Business Machines Corp.		28,421		4,949,233
Oracle Corp.		91,814		4,095,823
Microsoft Corp.		51,240		3,374,666
Lam Research Corp.		16,285		2,090,343
Western Digital Corp.		22,884		1,888,617
QUALCOMM, Inc.		31,531		1,807,988
Pitney Bowes, Inc.		112,714		1,477,681
Cognizant Technology Solutions Corp. — Class A*		20,274		1,206,708
HP, Inc.		66,091		1,181,707
VMware, Inc. — Class A*		12,784		1,177,918
Analog Devices, Inc.		14,113		1,156,560
Jack Henry & Associates, Inc.		12,306		1,145,689
Akamai Technologies, Inc.*		14,824		884,993
Cerner Corp.*		14,431		849,264
Paychex, Inc.		14,261		839,973
Xilinx, Inc.		13,999		810,402
Teradata Corp.*		23,216		722,482
Applied Materials, Inc.		18,466		718,327
Teradyne, Inc.		18,899		587,759
Texas Instruments, Inc.		5,393		434,460
NVIDIA Corp.		3,129		340,842
Total Technology				42,817,466
Financial - 14.4%
JPMorgan Chase & Co.		71,455		6,276,608
Citigroup, Inc.		47,149		2,820,453
Prudential Financial, Inc.		18,785		2,003,984
Aflac, Inc.		26,778		1,939,263
Northern Trust Corp.		19,105		1,654,111
U.S. Bancorp		32,053		1,650,729
Berkshire Hathaway, Inc. — Class B*		9,735		1,622,630
Capital One Financial Corp.		15,926		1,380,147
Travelers Cos., Inc.		10,272		1,238,187
PNC Financial Services Group, Inc.		10,188		1,225,005
KeyCorp		68,311		1,214,570
Cullen/Frost Bankers, Inc.		13,359		1,188,550
CIT Group, Inc.		27,537		1,182,163
Hartford Financial Services Group, Inc.		21,949		1,055,089
MetLife, Inc.		18,954		1,001,150
Goldman Sachs Group, Inc.		4,121		946,676
Navient Corp.		63,945		943,828
T. Rowe Price Group, Inc.		8,326		567,417
Hospitality Properties Trust		14,467		456,145
Allstate Corp.		4,156		338,672
Nasdaq, Inc.		4,766		330,999
Interactive Brokers Group, Inc. — Class A		9,059		314,528
Jones Lang LaSalle, Inc.		2,820		314,289
Total Financial				31,665,193
Industrial - 12.5%
Fluor Corp.		43,338		2,280,446
Cummins, Inc.		13,711		2,073,103
Boeing Co.		11,328		2,003,469
Union Pacific Corp.		18,906		2,002,523
Corning, Inc.		71,924		1,941,948
Jabil Circuit, Inc.		67,023		1,938,305
United Technologies Corp.		14,685		1,647,804
3M Co.		7,387		1,413,355
Lockheed Martin Corp.		5,238		1,401,689
Raytheon Co.		8,226		1,254,465
Deere & Co.		10,012		1,089,906
Rockwell Collins, Inc.		11,120		1,080,419
FedEx Corp.		4,842		944,916

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
CAPITAL STEWARDSHIP FUND

	Shares		Value
Bemis Company, Inc.		17,929	$	876,011
Gentex Corp.		40,090		855,120
Sonoco Products Co.		16,077		850,795
CSX Corp.		17,863		831,523
Eaton Corp. plc		9,905		734,456
Waste Management, Inc.		8,217		599,184
Honeywell International, Inc.		3,937		491,613
United Parcel Service, Inc. — Class B		3,806		408,384
Eagle Materials, Inc.		3,828		371,852
Ingersoll-Rand plc		4,247		345,366
Total Industrial				27,436,652
Consumer, Cyclical - 11.9%
CVS Health Corp.		30,806		2,418,271
Goodyear Tire & Rubber Co.		62,193		2,238,948
Alaska Air Group, Inc.		23,142		2,134,154
Ford Motor Co.		172,407		2,006,818
Wal-Mart Stores, Inc.		27,595		1,989,048
Delta Air Lines, Inc.		40,012		1,838,951
General Motors Co.		43,345		1,532,679
Target Corp.		26,555		1,465,570
Kohl’s Corp.		35,217		1,401,989
Nu Skin Enterprises, Inc. — Class A		22,275		1,237,154
WW Grainger, Inc.		4,906		1,141,921
Southwest Airlines Co.		20,347		1,093,855
Macy’s, Inc.		35,402		1,049,315
Best Buy Co., Inc.		18,332		901,018
McDonald’s Corp.		5,585		723,872
Nordstrom, Inc.		12,735		593,069
PVH Corp.		5,262		544,459
Whirlpool Corp.		2,773		475,098
Scotts Miracle-Gro Co. — Class A		5,070		473,487
Hanesbrands, Inc.		21,027		436,521
Coach, Inc.		6,846		282,945
Harley-Davidson, Inc.		3,015		182,408
Total Consumer, Cyclical				26,161,550
Communications - 11.6%
Alphabet, Inc. — Class A*		6,136		5,202,101
AT&T, Inc.		112,385		4,669,596
Verizon Communications, Inc.		80,074		3,903,608
Cisco Systems, Inc.		110,916		3,748,961
Juniper Networks, Inc.		68,921		1,918,071
Comcast Corp. — Class A		38,948		1,464,055
Omnicom Group, Inc.		16,518		1,424,017
Motorola Solutions, Inc.		14,365		1,238,551
Sprint Corp.*		63,229		548,828
T-Mobile US, Inc.*		8,238		532,092
InterDigital, Inc.		4,404		380,065
Time Warner, Inc.		3,052		298,211
Netflix, Inc.*		1,219		180,180
Total Communications				25,508,336
Energy - 3.8%
Marathon Petroleum Corp.		33,302		1,683,083
ConocoPhillips		32,074		1,599,530
Chevron Corp.		13,345		1,432,853
Hess Corp.		25,153		1,212,626
Schlumberger Ltd.		13,113		1,024,125
EOG Resources, Inc.		6,120		597,006
Anadarko Petroleum Corp.		7,525		466,550
Occidental Petroleum Corp.		4,947		313,442
Total Energy				8,329,215
Basic Materials - 2.8%
Air Products & Chemicals, Inc.		10,307		1,394,433
Praxair, Inc.		10,326		1,224,664
Reliance Steel & Aluminum Co.		14,667		1,173,653
Westlake Chemical Corp.		16,318		1,077,804
Compass Minerals International, Inc.		14,776		1,002,552
International Flavors & Fragrances, Inc.		1,403		185,940
Total Basic Materials				6,059,046
Utilities - 2.5%
Exelon Corp.		51,947		1,869,054
Entergy Corp.		23,916		1,816,659
Consolidated Edison, Inc.		16,947		1,316,104
Xcel Energy, Inc.		10,112		449,478
Total Utilities				5,451,295
Total Common Stocks
(Cost $203,425,687)				220,900,383
EXCHANGE-TRADED FUNDS† - 0.2%
SPDR S&P 500 ETF Trust		1,800		424,332
Total Exchange-Traded Funds
(Cost $415,381)				424,332
SHORT-TERM INVESTMENTS† - 0.3%
Dreyfus Treasury Prime Cash Management Institutional Shares 0.50%1		745,179		745,179
Total Short-Term Investments
(Cost $745,179)				745,179
Total Investments - 101.1%
(Cost $204,586,247)			$	222,069,894
Other Assets & Liabilities, net - (1.1)%				(2,404,873	)
Total Net Assets - 100.0%			$	219,665,021

*	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, 2017.
	plc — Public Limited Company
	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, 2017
CAPITAL STEWARDSHIP FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (See Note 3 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1		Level 2		Level 3		Total
Common Stocks	$	220,900,383	$	—	$	—	$	220,900,383
Exchange-Traded Funds		424,332		—		—		424,332
Short-Term Investments		745,179		—		—		745,179
Total	$	222,069,894	$	—	$	—	$	222,069,894

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

For the period ended March 31, 2017, there were no transfers between levels.

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2017

Assets:
Investments, at value (cost $204,586,247)	$	222,069,894
Prepaid expenses		5,626
Cash		1,697
Receivables:
Dividends		200,999
Total assets		222,278,216
Liabilities:
Payable for:
Fund shares redeemed		2,403,215
Management fees		170,407
Fund accounting/administration fees		15,148
Trustees’ fees*		5,011
Transfer agent/maintenance fees		3,167
Miscellaneous		16,247
Total liabilities		2,613,195
Net assets	$	219,665,021
Net assets consist of:
Paid in capital	$	201,165,802
Undistributed net investment income		684,748
Accumulated net realized gain on investments		330,824
Net unrealized appreciation on investments		17,483,647
Institutional Class:
Net assets	$	219,665,021
Capital shares outstanding		8,018,274
Net asset value per share	$	27.40

STATEMENT OF OPERATIONS (Unaudited)

Period Ended March 31, 2017

Investment Income:
Dividends (net of foreign withholding tax of $366)	$	2,470,213
Interest		684
Total investment income		2,470,897
Expenses:
Management fees		963,012
Transfer agent/maintenance fees		12,959
Fund accounting/administration fees		85,942
Trustees’ fees*		2,719
Custodian fees		582
Miscellaneous		10,133
Total expenses		1,075,347
Net investment income		1,395,550
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		3,496,211
Net realized gain		3,496,211
Net change in unrealized appreciation (depreciation) on:
Investments		12,129,916
Net change in unrealized appreciation (depreciation)		12,129,916
Net realized and unrealized gain		15,626,127
Net increase in net assets resulting from operations	$	17,021,677

* 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 | 11

CAPITAL STEWARDSHIP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,395,550		$	2,810,492
Net realized gain on investments		3,496,211			7,701,198
Net change in unrealized appreciation (depreciation) on investments		12,129,916			18,164,398
Net increase in net assets resulting from operations		17,021,677			28,676,088
Distributions to shareholders from:
Net investment income		(2,861,435	)		(2,583,368	)
Net realized gains		(7,195,557	)		(3,078,358	)
Total distributions to shareholders		(10,056,992	)		(5,661,726	)
Capital share transactions:
Proceeds from sale of shares		5,207,987			40,409,661
Distributions reinvested		10,033,367			5,389,571
Cost of shares redeemed		(11,407,673	)		(49,615,134	)
Net increase (decrease) from capital share transactions		3,833,681			(3,815,902	)
Net increase in net assets		10,798,366			19,198,460
Net assets:
Beginning of period		208,866,655			189,668,195
End of period	$	219,665,021		$	208,866,655
Undistributed net investment income at end of period	$	684,748		$	2,150,633
Capital share activity:
Shares sold		200,616			1,615,108
Shares issued from reinvestment of distributions		382,515			218,644
Shares redeemed		(430,579	)		(1,974,077	)
Net increase (decrease) in shares		152,552			(140,325	)

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

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, 2017a			Year Ended September 30, 2016			Year Ended September 30, 2015			Period Ended September 30, 2014b
Per Share Data
Net asset value, beginning of period	$	26.55		$	23.69		$	24.79		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.17			.35			.31			—	d
Net gain (loss) on investments (realized and unrealized)		1.97			3.22			(1.33	)		(.21	)
Total from investment operations		2.14			3.57			(1.02	)		(.21	)
Less distributions from:
Net investment income		(.37	)		(.32	)		(.08	)		—
Net realized gains		(.92	)		(.39	)		—			—
Total distributions		(1.29	)		(.71	)		(.08	)		—
Net asset value, end of period	$	27.40		$	26.55		$	23.69		$	24.79
Total Returnf		8.22	%		15.30	%		(4.15	%)		(0.84	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	219,665		$	208,867		$	189,668		$	209,015
Ratios to average net assets:
Net investment income (loss)		1.30	%		1.38	%		1.22	%		0.13	%
Total expensese		1.00	%		1.07	%		1.15	%		1.24	%
Portfolio turnover rate		87	%		209	%		221	%		—

a	Unaudited figures for the period ended March 31, 2017. 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.

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

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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. As of March 31, 2017 only Institutional Class shares of the Fund were offered for subscription.

Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”) provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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, 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.

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 and/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, to 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 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. Exchange-traded funds (“ETFs”) and closed-end investment companies (“CEFs”) are valued at the last quoted sales price.

14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

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. 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, 2017, 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 0.82% at March 31, 2017.

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. 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.

GI 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 and GFD.

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change had no impact on the financial statements of the Trust.

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Fund’s fees and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

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 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.

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.

At March 31, 2017, 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	$	205,629,845	$	20,208,387	$	(3,768,338	)	$	16,440,049

16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

5. Securities Transactions

For the period ended March 31, 2017, 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	$	187,388,503	$	192,235,188

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 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, 2017, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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.

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).

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 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).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

20 | 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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, Guggenheim Investments (2012-present). Former: J.D., University of Kansas School of Law (2009-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

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
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 J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

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3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Macro Opportunities Fund

GuggenheimInvestments.com MO-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
MACRO OPPORTUNITIES FUND	8
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	56
OTHER INFORMATION	80
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	81
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	88

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P”) Index* Index set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Macro Opportunities Fund
A-Class	1.27%	4.35%	$ 1,000.00	$ 1,043.50	$ 6.47
C-Class	2.04%	4.00%	1,000.00	1,040.00	10.38
P-Class	1.23%	4.35%	1,000.00	1,043.50	6.27
Institutional Class	0.93%	4.56%	1,000.00	1,045.60	4.74
Table 2. Based on hypothetical 5% return (before expenses)
Macro Opportunities Fund
A-Class	1.27%	5.00%	$ 1,000.00	$ 1,018.60	$ 6.39
C-Class	2.04%	5.00%	1,000.00	1,014.76	10.25
P-Class	1.23%	5.00%	1,000.00	1,018.80	6.19
Institutional Class	0.93%	5.00%	1,000.00	1,020.29	4.68

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)(concluded) March 31, 2017

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011

Ten Long Largest Holdings (% of Total Net Assets)
Guggenheim Alpha Opportunity Fund - Institutional Class	3.3%
Guggenheim Limited Duration Fund - Institutional Class	3.2%
Guggenheim Strategy Fund I	1.7%
CIM Trust	1.2%
LSTAR Commercial Mortgage Trust	1.2%
Fortress Credit Opportunities III CLO, LP	1.1%
Octagon Loan Funding Ltd.	1.0%
Bayview Opportunity Master Fund IIIa Trust	1.0%
Bayview Opportunity Master Fund IVb Trust	1.0%
FirstKey Master Funding	1.0%
Top Ten Total	15.7%

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	5.2%
AA	4.3%
A	14.5%
BBB	20.9%
BB	7.4%
B	14.5%
CCC	4.0%
CC	0.4%
NR2	13.1%
Other Instruments	15.7%
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 | 9

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 3.6%
CONSUMER, NON-CYCLICAL - 1.0%
Express Scripts Holding Co.*,1		39,702	$	2,616,759
Western Union Co.1		127,815		2,601,034
Tyson Foods, Inc. — Class A1		40,636		2,507,648
General Mills, Inc.1		34,884		2,058,505
Quest Diagnostics, Inc.1		20,387		2,001,799
Cardinal Health, Inc.1		22,625		1,845,068
Gilead Sciences, Inc.1		26,107		1,773,187
Pfizer, Inc.		51,150		1,749,842
Dean Foods Co.		84,765		1,666,480
Kimberly-Clark Corp.1		12,630		1,662,487
Johnson & Johnson1		13,299		1,656,390
Laboratory Corp. of America Holdings*,1		10,997		1,577,740
Deluxe Corp.1		20,915		1,509,436
Kroger Co.1		50,505		1,489,392
Whole Foods Market, Inc.		49,426		1,468,941
WellCare Health Plans, Inc.*,1		9,910		1,389,480
Sanderson Farms, Inc.1		12,543		1,302,465
UnitedHealth Group, Inc.1		7,919		1,298,795
McKesson Corp.1		8,564		1,269,699
Ingredion, Inc.1		9,687		1,166,605
HCA Holdings, Inc.*,1		12,977		1,154,823
SpartanNash Co.1		32,139		1,124,544
AbbVie, Inc.1		15,448		1,006,592
JM Smucker Co.1		7,512		984,673
Molina Healthcare, Inc.*,1		21,479		979,442
Darling Ingredients, Inc.*,1		65,025		944,163
Dr Pepper Snapple Group, Inc.1		9,292		909,873
Total System Services, Inc.		15,386		822,536
United Therapeutics Corp.*,1		5,826		788,724
Varian Medical Systems, Inc.*		6,988		636,816
Hill-Rom Holdings, Inc.1		8,888		627,493
Magellan Health, Inc.*,1		8,971		619,448
Chemed Corp.1		3,302		603,242
HealthSouth Corp.1		13,916		595,744
Hologic, Inc.*,1		13,716		583,616
Biogen, Inc.*,1		2,093		572,268
Centene Corp.*		7,610		542,289
Boston Beer Company, Inc. — Class A*		3,495		505,552
H&R Block, Inc.		21,438		498,434
Campbell Soup Co.		8,650		495,126
Targus Group International Equity, Inc*,†††,2		13,186		19,252
Total Consumer, Non-cyclical				49,626,402
INDUSTRIAL - 0.5%
Emerson Electric Co.		37,309		2,233,317
Boeing Co.		11,239		1,987,730
TE Connectivity Ltd.		22,913		1,708,164
Timken Co.1		29,489		1,332,903
Huntington Ingalls Industries, Inc.1		6,513		1,304,163
Cummins, Inc.1		8,160		1,233,792
Keysight Technologies, Inc.*,1		32,369		1,169,816
Arrow Electronics, Inc.*,1		14,825		1,088,303
Jacobs Engineering Group, Inc.		19,069		1,054,134
Fluor Corp.1		17,619		927,112
Saia, Inc.*,1		20,726		918,161
EMCOR Group, Inc.1		14,453		909,816
ITT, Inc.1		21,533		883,283
Sanmina Corp.*,1		19,950		809,971
Barnes Group, Inc.1		15,248		782,832
Crane Co.1		10,373		776,212

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Value
Methode Electronics, Inc.1		16,647	$	759,103
Vishay Intertechnology, Inc.1		45,572		749,659
SYNNEX Corp.1		6,647		744,065
Applied Industrial Technologies, Inc.1		11,224		694,204
ArcBest Corp.1		26,093		678,418
FLIR Systems, Inc.1		15,114		548,336
Federal Signal Corp.1		38,465		531,202
Owens-Illinois, Inc.*		25,943		528,718
Werner Enterprises, Inc.1		18,688		489,626
Total Industrial				24,843,040
FINANCIAL - 0.5%
Everest Re Group Ltd.1		9,401		2,198,048
Travelers Cos., Inc.1		16,235		1,956,966
Aflac, Inc.1		26,899		1,948,025
Federated Investors, Inc. — Class B		52,069		1,371,497
Allstate Corp.1		15,397		1,254,702
Equity Residential		19,190		1,194,002
Interactive Brokers Group, Inc. — Class A1		31,780		1,103,402
LaSalle Hotel Properties		35,438		1,025,930
Prudential Financial, Inc.1		9,251		986,897
Franklin Resources, Inc.1		22,895		964,795
Aspen Insurance Holdings Ltd.1		16,997		884,694
Principal Financial Group, Inc.1		12,851		811,027
Hanover Insurance Group, Inc.1		8,975		808,289
American Financial Group, Inc.1		7,719		736,547
Selective Insurance Group, Inc.1		15,429		727,478
Host Hotels & Resorts, Inc.		36,646		683,814
Bank of New York Mellon Corp.		13,866		654,891
State Street Corp.1		7,302		581,312
Citigroup, Inc.1		9,125		545,858
Cullen/Frost Bankers, Inc.1		5,966		530,795
Unum Group		10,831		507,866
Ameriprise Financial, Inc.1		3,872		502,121
Umpqua Holdings Corp.1		27,539		488,542
Hartford Financial Services Group, Inc.1		8,360		401,865
Total Financial				22,869,363
TECHNOLOGY - 0.4%
International Business Machines Corp.1		14,571		2,537,395
CA, Inc.1		78,994		2,505,689
Oracle Corp.1		49,147		2,192,448
Apple, Inc.1		11,517		1,654,532
Convergys Corp.1		76,181		1,611,228
HP, Inc.1		82,219		1,470,076
Xerox Corp.		151,911		1,115,027
Teradata Corp.*,1		34,708		1,080,113
NCR Corp.*,1		22,393		1,022,912
Cerner Corp.*		17,156		1,009,631
DST Systems, Inc.1		7,551		924,998
NetApp, Inc.1		21,317		892,117
KLA-Tencor Corp.		8,027		763,127
CACI International, Inc. — Class A*,1		6,018		705,911
Seagate Technology plc		14,665		673,563
Skyworks Solutions, Inc.		5,993		587,194
Sykes Enterprises, Inc.*,1		17,800		523,320
VeriFone Systems, Inc.*,1		19,618		367,445
Icad, Inc.*,1		57,263		275,435
Qlik Technologies, Inc. A*,†††,2		177		176,810

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Value
Qlik Technologies, Inc. B*,†††,2		43,738	$	1,786
Qlik Technologies, Inc.*,†††,2		11,400		1
Total Technology				22,090,758
CONSUMER, CYCLICAL - 0.4%
CVS Health Corp.1		41,128		3,228,548
Delta Air Lines, Inc.1		39,043		1,794,416
Wal-Mart Stores, Inc.1		24,256		1,748,372
UniFirst Corp.1		12,355		1,747,615
Walgreens Boots Alliance, Inc.1		20,632		1,713,488
Brinker International, Inc.		33,809		1,486,244
Hawaiian Holdings, Inc.*,1		20,434		949,159
Herman Miller, Inc.1		29,526		931,545
Tailored Brands, Inc.		60,220		899,686
Dick’s Sporting Goods, Inc.		18,092		880,357
Darden Restaurants, Inc.		9,081		759,807
Ralph Lauren Corp. — Class A		9,017		735,968
DineEquity, Inc.		12,500		680,250
Children’s Place, Inc.1		5,553		666,638
Cooper-Standard Holdings, Inc.*,1		5,596		620,764
Allegiant Travel Co. — Class A		3,699		592,765
Total Consumer, Cyclical				19,435,622
UTILITIES - 0.4%
CenterPoint Energy, Inc.1		92,379		2,546,889
Exelon Corp.1		65,066		2,341,075
Edison International1		21,658		1,724,193
Consolidated Edison, Inc.1		20,598		1,599,641
WEC Energy Group, Inc.1		23,861		1,446,692
Xcel Energy, Inc.		29,192		1,297,584
Eversource Energy		20,677		1,215,394
Public Service Enterprise Group, Inc.1		25,521		1,131,856
Southwest Gas Holdings, Inc.1		13,605		1,127,991
American Electric Power Company, Inc.1		15,736		1,056,358
AES Corp.1		76,529		855,594
National Fuel Gas Co.		13,478		803,558
Pinnacle West Capital Corp.1		8,923		744,000
PG&E Corp.		7,774		515,883
Total Utilities				18,406,708
ENERGY - 0.2%
SandRidge Energy, Inc.*		507,188		9,377,907
Approach Resources, Inc.*		696,348		1,747,833
Titan Energy LLC*,2		35,116		639,111
Total Energy				11,764,851
COMMUNICATIONS - 0.2%
Verizon Communications, Inc.1		48,217		2,350,579
Cisco Systems, Inc.1		67,291		2,274,436
Cogent Communications Holdings, Inc.1		34,090		1,467,575
InterDigital, Inc.1		15,879		1,370,358
News Corp. — Class A		41,370		537,810
Cengage Learning Acquisitions, Inc.*,††		21,660		265,335
Total Communications				8,266,093
BASIC MATERIALS - 0.0%**
Domtar Corp.		18,073		660,026
AK Steel Holding Corp.*		63,417		455,968

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Value
Mirabela Nickel Ltd.*,†††,2		7,057,522	$	539
Total Basic Materials				1,116,533
Total Common Stocks
(Cost $169,162,282)				178,419,370
PREFERRED STOCKS†† - 0.4%
INDUSTRIAL - 0.3%
Seaspan Corp. 6.38% due 04/30/192		572,000		14,357,200
FINANCIAL - 0.1%
Cent CLO 16, LP due 08/1/24*,4		7,000		3,875,768
BreitBurn Energy Partners 8.00% due 12/31/49*,†††,2		389,684		60,731
Total Financial				3,936,499
Total Preferred Stocks
(Cost $20,786,219)				18,293,699
WARRANTS†† - 0.0%**
Comstock Resources, Inc.
$0.01, 09/06/18		15,538		143,260
Total Warrants
(Cost $70,124)				143,260
MUTUAL FUNDS† - 9.4%
Guggenheim Alpha Opportunity Fund — Institutional Class5		5,591,810		166,244,516
Guggenheim Limited Duration Fund — Institutional Class5		6,519,834		161,235,498
Guggenheim Strategy Fund I5		3,404,090		85,272,458
Guggenheim Strategy Fund II5		1,259,793		31,494,837
Guggenheim Risk Managed Real Estate Fund —Institutional Class5		494,825		14,221,264
Guggenheim Floating Rate Strategies Fund — Institutional Class5		486,739		12,694,154
Total Mutual Funds
(Cost $461,627,818)				471,162,727
SHORT-TERM INVESTMENTS† - 3.7%
Federated U.S. Treasury Cash Reserve Fund — Institutional Class 0.48%6		180,753,999		180,753,999
Western Asset Institutional U.S.Treasury Reserves —Institutional Class 0.55%6		4,360,869		4,360,869
Total Short-Term Investments
(Cost $185,114,868)				185,114,868
	Face Amount15
ASSET-BACKED SECURITIES†† - 34.3%
COLLATERALIZED LOAN OBLIGATIONS - 28.3%
Fortress Credit Opportunities III CLO, LP
2017-3A, 2.96%, due 04/28/268	$	64,300,000		64,203,971
2014-3A, 4.26% due 04/28/267,8		5,500,000		5,499,944
Octagon Loan Funding Ltd.
2014-1X, due 11/18/264		52,700,000		47,757,413
Fortress Credit BSL II Ltd.
2017-2A,2.49%, due 10/19/258		32,400,000		32,349,777

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Golub Capital Partners CLO Ltd.
2016-33A, 3.37% due 11/21/287,8	$	17,500,000	$	17,442,017
2015-25A, 3.68% due 08/05/277,8		6,000,000		5,959,367
2014-21A, 4.34% due 10/25/267,8		4,300,000		4,212,399
2014-18A, 4.54% due 04/25/267,8		2,200,000		2,196,049
2014-18A, 5.04% due 04/25/267,8		1,200,000		1,176,239
CIFC Funding Ltd.
2014-2A, 5.65% due 05/24/267,8		10,000,000		9,538,049
2015-2A, 4.75% due 12/05/247,8		6,250,000		6,251,947
2013-2A, 4.62% due 04/21/257,8		4,250,000		4,259,604
2014-3A, 5.79% due 07/22/267,8		4,000,000		3,851,170
2014-5A, 7.57% due 01/17/277,8		2,500,000		2,343,668
2014-1A, 6.27% due 04/18/257,8		2,500,000		2,206,769
2014-1A, 3.82% due 04/18/257,8		1,750,000		1,749,965
Recette CLO LLC
2015-1X F, 3.79% due 01/28/267,8		29,000,000		28,847,332
Treman Park CLO Ltd.
2015-1A, due 04/20/274,8		32,400,000		26,511,827
Tuolumne Grove CLO Ltd.
2017-1A, 2.33%, due 04/25/268		21,600,000		21,562,427
2014-1A, 5.79% due 04/25/267,8		4,750,000		4,285,261
A Voce CLO Ltd.
2017-1A, 2.31%, due 07/15/268		24,375,000		24,346,279
Galaxy XVIII CLO Ltd.
2017-18A, 2.32% due 10/15/267,8		19,000,000		18,999,148
2014-18A, 6.52% due 10/15/267,8		3,050,000		2,625,215
2014-18A, 4.02% due 10/15/267,8		2,500,000		2,500,000
ABPCI Direct Lending Fund CLO I LLC
2016-1A, 3.65% due 12/22/287,8		24,000,000		23,873,655
2016-1A AT, 8.48% due 10/20/277,8		500,000		486,916
RFTI Issuer Ltd.
2015-FL1, 4.79% due 08/15/307,16		22,841,000		22,876,104
Voya CLO Ltd.
2013-1X, due 04/15/244		20,000,000		12,431,301
2015-3A, 4.97% due 10/15/227,8		4,000,000		3,999,830
2014-3A, 6.44% due 07/25/267,8		2,850,000		2,481,415
2014-2A, 3.97% due 07/17/267,8		2,000,000		1,999,928
2015-3A, 7.53% due 10/20/277,8		2,000,000		1,830,586
KVK CLO Ltd.
2014-2A, 4.02% due 07/15/267,8		8,250,000		8,249,561
2014-2A, 5.77% due 07/15/267,8		7,200,000		6,195,348
2013-1A, due 04/14/254,8		11,900,000		5,390,203
2014-3A, due 10/15/264,8		2,500,000		869,553
Shackleton CLO Ltd.
2014-5A, 3.73% due 05/07/267,8		10,750,000		10,672,504
2013-4A, 3.88% due 01/13/257,8		7,250,000		7,255,187
2014-6A, 4.62% due 07/17/267,8		2,068,000		2,037,116
Fortress Credit Opportunities V CLO Ltd.
2017-5A, 4.93%, due 10/15/268		13,100,000		13,114,355

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
2014-5A, 5.51% due 10/15/267,8	$	3,500,000	$	3,493,007
2014-5A, 4.56% due 10/15/267,8		3,000,000		2,998,992
Regatta V Funding Ltd.
2017-1A, 2.27% due 10/25/267,8		19,400,000		19,398,722
Northwoods Capital X Ltd.
2017-10A, 2.49%, due 11/04/258		19,200,000		19,209,041
Cerberus Loan Funding XVII Ltd.
2016-3A, 3.48% due 01/15/287,8		18,000,000		17,941,710
TICP CLO II Ltd.
2017-2A, 2.31%, due 07/20/268		15,950,000		15,960,515
2014-2A, 4.03% due 07/20/267,8		1,300,000		1,300,000
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/254		19,800,000		16,967,811
TICP CLO Ltd.
2014-3A, 2.33%, due 01/20/27		16,850,000		16,867,401
Babson CLO Ltd.
2012-2A, due 05/15/234,8		11,850,000		7,048,397
2014-IA, due 07/20/254,8		6,400,000		3,965,304
2013-IIA, 4.27% due 01/18/257,8		3,500,000		3,482,497
2014-3A, 6.12% due 01/15/267,8		2,500,000		2,369,413
Betony CLO Ltd.
2015-1A, 6.37% due 04/15/277,8		11,000,000		10,451,503
2016-1A, 3.87% due 04/15/277,8		5,450,000		5,457,175
Fortress Credit Opportunities VII CLO Ltd.
2016-7A, 3.88% due 12/15/287,8		16,000,000		15,903,250
Resource Capital Corp.
2015-CRE4, 3.94% due 08/15/327,8		7,750,000		7,517,500
2015-CRE3, 4.94% due 03/15/327,8		7,000,000		6,926,472
Venture XIX CLO Ltd.
2016-19A, 3.87% due 01/15/277,8		14,350,000		14,315,969
KVK CLO 2014-1 Ltd.
2017-1A, 3.44% due 05/15/267,8		13,250,000		13,190,857
Seneca Park CLO Limited
2017-1A, 2.20%, due 07/17/267,8		13,132,000		13,140,702
Venture XVI CLO Ltd.
2017-16A, 2.27%, due 04/15/267,8		10,300,000		10,299,540
2014-16A, 3.77% due 04/15/267,8		2,250,000		2,250,000
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,8		14,000,000		12,491,522
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 6.36% due 10/10/267,8		5,400,000		5,386,680
2015-6A, 3.81% due 10/10/267,8		4,000,000		3,983,425
2015-6A, 4.76% due 10/10/267,8		3,000,000		2,972,983
Flagship VII Ltd.
2017-7A, 2.28%, due 01/20/268		12,100,000		12,085,123
Northwoods Capital XII Ltd.
2017-12A, 3.50% due 09/15/257,8		12,000,000		12,032,430
Octagon Investment Partners XIX Ltd.
2017-1A, 2.07% due 04/15/267,8		11,800,000		11,779,459
KVK CLO 2013-2 Ltd.
2017-2A, 3.60% due 01/15/267,8		11,500,000		11,462,009

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
TCP Waterman CLO LLC
2016-1A, 4.13% due 12/15/287,8	$	11,000,000	$	11,053,336
NewStar Clarendon Fund CLO LLC
2015-1A, 3.74% due 01/25/277,8		7,000,000		6,984,706
2015-1A, 4.39% due 01/25/277,8		4,000,000		3,979,903
Northwoods Capital XIV Ltd.
2017-14A, 3.44% due 11/12/257,8		10,750,000		10,760,517
ACIS CLO Ltd.
2014-4A, 3.58% due 05/01/267,8		3,600,000		3,479,189
2015-6A, 4.40% due 05/01/277,8		3,250,000		3,249,938
2013-1A, 5.52% due 04/18/247,8		2,100,000		2,099,933
2013-2A, 4.87% due 10/14/227,8		1,800,000		1,793,357
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 10/04/244,8		6,400,000		5,186,888
2014-2A, 4.93% due 07/20/237,8		3,000,000		2,999,853
2013-3X SUB, due 07/15/254		4,000,000		2,276,315
Telos CLO Ltd.
2014-6A, 4.02% due 01/17/277,8		5,000,000		5,001,860
2013-3A, 4.02% due 01/17/247,8		2,750,000		2,751,023
2013-3A, 5.27% due 01/17/247,8		2,550,000		2,551,645
Great Lakes CLO Ltd.
2015-1A, 4.77% due 07/15/267,8		4,250,000		4,134,542
2014-1A, 4.72% due 04/15/257,8		3,000,000		2,966,067
2014-1A, 5.22% due 04/15/257,8		1,500,000		1,453,081
2012-1A, due 01/15/234,16		3,250,000		1,377,576
OCP CLO Ltd.
2014-7A, 4.03% due 10/20/267,8		5,000,000		4,999,685
2015-9A, 6.47% due 07/15/277,8		3,000,000		2,923,069
2014-6A, 4.12% due 07/17/267,8		2,000,000		1,999,916
Flagship CLO VIII Ltd.
2017-8A, 3.54% due 01/16/267,8		9,825,000		9,792,356
Dryden 41 Senior Loan Fund
2015-41A, due 01/15/284,8		10,500,000		8,377,101
2015-41A, 7.92% due 01/15/287,8		1,500,000		1,387,851
Longfellow Place CLO Ltd.
2013-1A, 6.77% due 01/15/247,8		9,250,000		9,174,794
Benefit Street Partners CLO V Ltd.
2017-VA, 3.38% due 10/20/267,8		9,000,000		9,064,517
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/274,8		9,500,000		8,921,835
Steele Creek CLO 2014-1 Ltd.
2017-1A, 3.59% due 08/21/267,8		8,550,000		8,527,562
Venture XIII CLO Ltd.
2013-13A, due 06/10/254,8		11,040,000		5,602,260
2013-13A, 6.41% due 06/10/257,8		2,900,000		2,857,609
Steele Creek CLO Ltd.
2015-1A, 7.55% due 02/21/277,8		7,550,000		6,818,699
2015-1A, 5.05% due 02/21/277,8		1,350,000		1,349,780
Figueroa CLO Ltd.
2013-2A, 4.90% due 12/18/257,8		5,000,000		5,000,150

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
2013-1A, 5.85% due 03/21/247,8	$	1,750,000	$	1,684,871
2014-1A, 6.72% due 01/15/277,8		1,500,000		1,410,502
TICP CLO III Ltd.
2014-3A, 4.78% due 01/20/277,8		8,000,000		7,999,618
Galaxy XIX CLO Ltd.
2015-19A, due 01/24/274,8		5,500,000		4,960,996
2015-19A, 4.44% due 01/24/277,8		3,000,000		3,000,093
Atlas Senior Loan Fund IV Ltd.
2014-2A, 4.49% due 02/17/267,8		3,990,000		3,969,649
2014-2A, 3.74% due 02/17/267,8		3,900,000		3,888,172
Newstar Commercial Loan Funding 2017-1 LLC
2017-1A, 4.54% due 03/20/277,8		7,500,000		7,499,928
Nelder Grove CLO Ltd.
2017-1A, 3.60% due 08/28/267,8		7,450,000		7,448,795
Cent CLO
2014-16A, 4.23% due 08/01/247,8		7,250,000		7,250,295
Fortress Credit Investments IV Ltd.
2015-4A, 4.52% due 07/17/237,8		7,300,000		7,098,374
Catamaran CLO Ltd.
2012-1A, 4.00% due 12/20/237,8		7,000,000		7,000,703
2015-1A, 4.14% due 04/22/277,8		4,000,000		4,030,448
2012-1A, 7.40% due 12/20/237,8		3,250,000		2,942,178
Benefit Street Partners CLO Ltd.
2015-IA, 4.12% due 10/15/257,8		6,500,000		6,506,546
Dryden XXXI Senior Loan Fund
2017-31A, 2.24%, due 04/18/268		6,500,000		6,488,688
Blue Hill CLO Ltd.
2017-1A, 3.42% due 01/15/267,8		6,500,000		6,486,664
Venture XI CLO Ltd.
2015-11A, 3.99% due 11/14/227,8		4,000,000		3,976,962
2015-11A, 4.99% due 11/14/227,8		2,500,000		2,500,140
Cerberus Onshore II CLO-2 LLC
2014-1A, 5.03% due 10/15/237,8		3,500,000		3,467,342
2014-1A, 4.23% due 10/15/237,8		3,000,000		2,993,866
Madison Park Funding XIII Ltd.
2014-13A, 6.87% due 01/19/257,8		6,750,000		6,441,567
OZLM VI Ltd.
2017-6A, 3.60% due 04/17/267,8		6,325,000		6,324,781
Shackleton II CLO Ltd.
2016-2A, 4.93% due 10/20/237,8		6,250,000		6,255,022
Newstar Commercial Loan Funding LLC
2015-1A, 4.88% due 01/20/277,8		5,000,000		4,999,652
2014-1A, 5.78% due 04/20/257,8		1,250,000		1,223,970
Atlas Senior Loan Fund II Ltd.
2012-2A, due 01/30/244,8		9,600,000		6,117,547
WhiteHorse VII Ltd.
2013-1A, 5.85% due 11/24/257,8		6,500,000		6,078,915
Shackleton VII CLO Ltd.
2016-7A, 3.87% due 04/15/277,8		6,000,000		5,996,326

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Flatiron CLO 2014-1 Ltd.
2017-1A, 3.44% due 07/17/267,8	$	6,000,000	$	5,974,038
ALM XIV Ltd.
2014-14A, 3.99% due 07/28/267,8		3,100,000		3,112,406
2014-14A, 4.49% due 07/28/267,8		2,500,000		2,506,403
CIFC Funding 2015-I Ltd.
2016-1A, 3.84% due 01/22/277,8		5,550,000		5,580,619
Hull Street CLO Ltd.
2014-1A, 4.62% due 10/18/267,8		5,785,000		5,576,401
Silvermore CLO Ltd.
2014-1A, 4.04% due 05/15/267,8		5,500,000		5,519,199
Fortress Credit BSL Ltd.
2013-1A, 3.92% due 01/19/257,8		5,500,000		5,499,806
Dryden XXVIII Senior Loan Fund
2013-28A, 4.94% due 08/15/257,8		6,000,000		5,498,974
Shackleton CLO
2014-6A, 6.77% due 07/17/267,8		6,500,000		5,471,178
Saranac CLO II Ltd.
2014-2A, 6.20% due 02/20/257,8		5,750,000		5,261,250
Mountain Hawk II CLO Ltd.
2013-2A, 4.18% due 07/22/247,8		2,750,000		2,585,324
2013-2A, 3.63% due 07/22/247,8		2,500,000		2,476,814
BNPP IP CLO Ltd.
2014-2A, 6.29% due 10/30/257,8		5,500,000		5,032,632
Marea CLO Ltd.
2015-1A, 4.77% due 10/15/237,8		5,000,000		4,999,912
KKR Financial CLO Ltd.
2015-12, 4.02% due 07/15/277,8		5,000,000		4,999,734
Ares XXXIII CLO Ltd.
2016-1A, 3.90% due 12/05/257,8		5,000,000		4,999,498
Fortress Credit Funding V, LP
2015-5A, 4.69% due 08/15/227,8		5,000,000		4,991,604
NXT Capital CLO 2017-1 LLC
2017-1A, 3.81%, due 04/20/298		5,000,000		4,979,857
Golub Capital Partners CLO 18 Ltd.
2014-18A, 3.54% due 04/25/267,8		5,000,000		4,935,346
Fifth Street SLF II Ltd.
2015-2A, 3.85% due 09/29/277,8		5,000,000		4,886,480
MP CLO III Ltd.
2013-1A, 7.13% due 04/20/257,8		4,000,000		3,789,716
2013-1A, 3.78% due 04/20/257,8		1,000,000		999,900
Golub Capital Partners CLO 24M Ltd.
2015-24A, 5.28% due 02/05/277,8		5,000,000		4,772,188
NewStar Arlington Senior Loan Program LLC
2014-1A, 5.29% due 07/25/257,8		2,750,000		2,633,666
2014-1A, 4.34% due 07/25/257,8		2,000,000		1,979,842
Avery Point IV CLO Ltd.
2014-1A, 6.04% due 04/25/267,8		5,570,000		4,596,370
WhiteHorse X Ltd.
2015-10A, 6.32% due 04/17/277,8		4,980,000		4,516,604
Vibrant Clo III Ltd.
2016-3A, 3.98% due 04/20/267,8		4,500,000		4,512,595
Venture X CLO Ltd.
2016-10A, 4.96% due 07/20/227,8		4,500,000		4,500,055

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
AMMC CLO XV Ltd.
2016-15A, 3.91% due 12/09/267,8	$	4,500,000	$	4,475,954
MP CLO V Ltd.
2014-1A, 5.97% due 07/18/267,8		2,500,000		2,388,130
2014-1A, 6.92% due 07/18/267,8		2,250,000		2,070,028
Halcyon Loan Advisors Funding Ltd.
2012-2A, 4.00% due 12/20/247,8		3,250,000		3,255,393
2012-1A, 4.04% due 08/15/237,8		1,000,000		1,003,194
Franklin CLO VI Ltd.
2007-6A, 3.29% due 08/09/197,8		4,165,000		4,133,855
Ares CLO Ltd.
2016-3A, 4.92% due 01/17/247,8		4,100,000		4,100,172
OHA Loan Funding 2013-1 Ltd.
2017-1A, 4.09% due 07/23/257,8		4,100,000		4,096,536
Octagon Investment Partners XVI Ltd.
2013-1A, 6.52% due 07/17/257,8		4,500,000		4,096,378
Madison Park Funding XVI Ltd.
2016-16A, 3.68% due 04/20/267,8		4,000,000		4,003,712
Adirondack Park CLO Ltd.
2013-1A, 4.67% due 04/15/247,8		4,000,000		4,002,035
Symphony Clo V Ltd.
2007-5A, 5.27% due 01/15/247,8		4,000,000		3,999,753
Oaktree EIF II Series Ltd.
2014-A2, 4.24% due 11/17/257,8		4,000,000		3,994,072
JFIN CLO Ltd.
2007-1A, 3.83% due 07/20/217,8		4,000,000		3,989,934
Airlie CLO Ltd.
2006-2A, 2.48% due 12/20/207,8		4,000,000		3,954,743
TICP CLO I Ltd.
2014-1A, 5.53% due 04/26/267,8		4,200,000		3,933,892
THL Credit Wind River CLO Ltd.
2015-2A, 8.82% due 10/15/277,8		4,075,000		3,920,443
Golub Capital Partners CLO 25M Ltd.
2015-25A, 4.68% due 08/05/277,8		4,000,000		3,898,980
Adams Mill CLO Ltd.
2014-1A, 6.02% due 07/15/267,8		4,000,000		3,788,069
Marathon CLO VI Ltd.
2014-6A, 3.88% due 05/13/257,8		3,780,000		3,779,806
Keuka Park CLO Ltd.
2013-1A, 5.99% due 10/21/247,8		2,250,000		2,247,251
2013-1A, due 10/21/244,8		3,000,000		1,517,830
Mountain View CLO Ltd.
2015-9A, 6.37% due 07/15/277,8		4,000,000		3,736,229
Tuolumne Grove CLO Limited
2017-1A, 3.56%, due 04/25/268		3,750,000		3,731,320
Garrison Funding Ltd.
2016-2A, 5.06% due 09/29/277,8		3,700,000		3,636,143
Grayson CLO Ltd.
2006-1A, 1.44% due 11/01/217,8		3,700,000		3,614,679
Jamestown CLO VI Ltd.
2015-6A, 4.30% due 02/20/277,8		3,750,000		3,564,036
Ares XXVI CLO Ltd.
2013-1A, 3.77% due 04/15/257,8		2,000,000		1,999,904

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
2013-1A, 4.77% due 04/15/257,8	$	1,500,000	$	1,499,963
AMMC CLO XI Ltd.
2012-11A, due 10/30/234,8		5,650,000		3,497,612
OZLM IX Ltd.
2017-9A, 3.39% due 01/20/277,8		3,500,000		3,484,419
Primus Clo II Ltd.
2007-2A, 1.97% due 07/15/217,8		3,500,000		3,477,388
Fifth Street Senior Loan Fund I LLC
2015-1A, 4.78% due 01/20/277,8		3,500,000		3,465,102
West CLO Ltd.
2013-1A, due 11/07/254,8		5,300,000		2,447,339
2013-1A, 3.93% due 11/07/257,8		1,000,000		1,007,558
NewMark Capital Funding CLO Ltd.
2014-2A, 4.50% due 06/30/267,8		3,500,000		3,442,804
Cerberus Loan Funding XVI, LP
2016-2A, 4.82% due 11/15/277,8		3,350,000		3,390,180
Mountain Hawk I CLO Ltd.
2013-1A, 3.75% due 01/20/247,8		3,400,000		3,383,174
Ivy Hill Middle Market Credit Fund IX Ltd.
2014-9A, 4.32% due 10/18/257,8		3,500,000		3,371,683
PFP 2017-3 Ltd.
2017-3, 3.28% due 01/14/357,8		3,250,000		3,260,693
Oaktree EIF II Series B1 Ltd.
2015-B1A, 4.14% due 02/15/267,8		3,250,000		3,249,707
DIVCORE CLO Ltd.
2013-1A, 4.81% due 11/15/327,8		3,250,000		3,243,767
Flatiron CLO Ltd.
2013-1A, 4.62% due 01/17/267,8		3,200,000		3,203,277
Recette CLO LLC
2015-1A, 8.48% due 10/20/277,8		3,250,000		3,164,952
Marathon CLO V Ltd.
2013-5A, due 02/21/254,8		5,500,000		3,018,249
Marathon CLO VII Ltd.
2014-7A, 4.54% due 10/28/257,8		3,000,000		3,002,002
Vibrant CLO Ltd.
2015-1A, 4.92% due 07/17/247,8		3,000,000		3,000,126
Vibrant CLO II Ltd.
2013-2A, 3.79% due 07/24/247,8		3,000,000		2,999,791
Mountain Hawk III CLO Ltd.
2014-3A, 3.82% due 04/18/257,8		3,000,000		2,993,318
Sound Point CLO I Ltd.
2012-1A, 5.61% due 10/20/237,8		2,750,000		2,750,230
Symphony CLO XII Ltd.
2013-12A, 4.52% due 10/15/257,8		2,700,000		2,700,000
Westwood CDO II Ltd.
2007-2A, 2.84% due 04/25/227,8		2,550,000		2,510,742
Symphony CLO XI Ltd.
2013-11A, 5.02% due 01/17/257,8		2,500,000		2,499,931
Gallatin CLO VII Ltd.
2014-1A, 4.78% due 07/15/237,8		2,500,000		2,458,168
Octagon Investment Partners XIV Ltd.
2012-1A, 7.52% due 01/15/247,8		2,550,000		2,425,893
MP CLO VI Ltd.
2014-2A, 6.77% due 01/15/277,8		2,300,000		2,265,790

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Venture CLO Ltd.
2013-14A, 3.80% due 08/28/257,8	$	2,250,000	$	2,249,589
Callidus Debt Partners CLO Fund VI Ltd.
2007-6A, 4.04% due 10/23/217,8		2,100,000		2,099,849
AIMCO CLO Series
2015-AA, 4.32% due 01/15/287,8		2,000,000		2,010,010
AMMC CLO XIV Ltd.
2014-14A, 3.84% due 07/27/267,8		2,000,000		1,999,846
Cent CLO 21 Ltd.
2017-21A, 3.46% due 07/27/267,8		2,000,000		1,994,650
Cerberus Onshore II CLO LLC
2014-1A, 4.52% due 10/15/237,8		1,000,000		997,229
2014-1A, 5.02% due 10/15/237,8		1,000,000		990,276
Lime Street CLO Ltd.
2007-1A, 3.65% due 06/20/217,8		2,000,000		1,973,619
NXT Capital CLO LLC
2015-1A, 5.19% due 04/21/277,8		2,000,000		1,861,234
Atlas Senior Loan Fund VI Ltd.
2017-6A, 3.38% due 10/15/267,8		1,800,000		1,793,022
Madison Park Funding XI Ltd.
2013-11A, 4.54% due 10/23/257,8		1,750,000		1,751,304
Octagon Investment Partners XV Ltd.
2013-1A, 3.87% due 01/19/257,8		1,750,000		1,749,895
Jefferson Mill CLO Ltd.
2015-1A, 6.63% due 07/20/277,8		1,750,000		1,669,533
MCF CLO IV LLC
2014-1A, 6.78% due 10/15/257,8		1,750,000		1,590,741
Greywolf CLO III Ltd.
2014-1A, 3.89% due 04/22/267,8		1,500,000		1,499,150
Saranac CLO I Ltd.
2013-1A, 3.73% due 10/26/247,8		1,500,000		1,496,584
Kingsland IV Ltd.
2007-4A, 2.47% due 04/16/217,8		1,500,000		1,446,136
Venture XX CLO Ltd.
2015-20A, 7.32% due 04/15/277,8		1,600,000		1,439,595
Eaton Vance CLO Ltd.
2014-1A, 6.05% due 07/15/267,8		1,500,000		1,402,455
Duane Street CLO IV Ltd.
2007-4A, 3.29% due 11/14/217,8		1,400,000		1,400,045
GoldenTree Loan Opportunities III Ltd.
2007-3A, 4.23% due 05/01/227,8		1,250,000		1,247,541
COA Summit CLO Ltd.
2014-1A, 4.88% due 04/20/237,8		1,250,000		1,237,245
Copper River CLO Ltd.
2007-1A, due 01/20/214,16		8,150,000		1,145,829
Ares XXV CLO Ltd.
2013-3A, due 01/17/244,8		2,000,000		1,080,317
Cavalry CLO II
2013-2A, 5.02% due 01/17/247,8		1,000,000		1,000,039
Northwoods Capital XI Ltd.
2017-11A, due 04/15/257,8		1,000,000		1,000,034
WhiteHorse VIII Ltd.
2014-1A, 3.78% due 05/01/267,8		1,000,000		999,900
Eastland CLO Ltd.
2007-1A, 1.43% due 05/01/227,8		1,000,000		981,892

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Gramercy Park CLO Ltd.
2012-1A, due 07/17/234,8	$	2,650,000	$	437,248
2012-1X, due 07/17/234		1,250,000		206,249
ICE EM CLO
2007-1A, 2.19% due 08/15/227,8		512,366		508,791
Rockwall CDO Ltd.
2007-1A, 1.28% due 08/01/247,8		388,250		387,280
Fortress Credit Opportunities
2005-1A, 0.94% due 07/15/197,16		276,691		269,287
Marathon CLO II Ltd.
2005-2A, due 12/20/19†††,4,8		2,250,000		2
Total Collateralized Loan Obligations				1,423,279,487
TRANSPORT-AIRCRAFT - 3.9%
Apollo Aviation Securitization Equity Trust
2014-1, 7.38% due 12/15/297		15,014,145		14,995,378
2014-1, 5.13% due 12/15/297		14,253,936		14,236,118
2016-2, 5.93% due 11/15/418		10,860,640		10,868,188
2016-2, 4.21% due 11/15/41		9,697,000		9,705,301
2016-1A, 6.50% due 03/17/36		5,400,000		5,427,000
2016-2, 7.87% due 11/15/41		4,479,840		4,475,548
ECAF I Ltd.
2015-1A, 5.80% due 06/15/408		26,175,050		25,128,047
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/42		15,612,080		15,738,710
AIM Aviation Finance Ltd.
2015-1A, 5.07% due 02/15/408		15,704,464		15,390,375
Falcon Aerospace Limited
2017-1, 6.30% due 02/15/42		11,684,200		11,755,801
Rise Ltd.
2014-1 B, 6.50% due 02/12/39		6,478,678		6,540,238
2014-1 A, 4.75% due 02/12/39		5,039,418		5,014,221
2015-1A, 5.75% due 12/15/408		10,795,920		10,622,290
Castlelake Aircraft Securitization Trust
2014-1, 7.50% due 02/15/29		6,109,186		6,109,186
2014-1, 5.25% due 02/15/29		3,356,022		3,347,632
Stripes 2103 Aircraft 1 Ltd.
2013-1 A1, 4.48% due 03/20/23†††,2		8,057,599		7,868,019
Atlas Ltd.
2014-1 A, 4.88% due 12/15/39		6,268,350		6,252,679
Emerald Aviation Finance Ltd.
2013-1, 6.35% due 10/15/388		5,163,073		5,163,073
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/4816		3,064,194		3,035,219
2013-1A, 6.38% due 12/13/4816		2,148,766		2,009,096
Eagle I Ltd.
2014-1A, 5.29% due 12/15/398		4,511,719		4,452,128
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/378		4,222,567		4,190,898
AASET
2014-1 C, 10.00% due 12/15/29		2,479,722		2,473,523

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
AABS Ltd.
2013-1 A, 4.88% due 01/10/38	$	2,126,852	$	2,121,535
Airplanes Pass Through Trust
2001-1A, 1.46% due 03/15/197,16		3,791,006		1,175,212
Total Transport-Aircraft				198,095,415
COLLATERALIZED DEBT OBLIGATIONS - 1.9%
Triaxx Prime CDO Ltd.
2006-2A, 1.05% due 10/02/397,8		24,590,400		23,964,199
Putnam Structured Product Funding Ltd.
2003-1A, 1.91% due 10/15/387,8		15,795,704		14,335,917
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/467,8		19,552,241		13,155,716
FDF I Ltd.
2015-1A, 5.50% due 11/12/308		12,000,000		12,108,195
Wrightwood Capital Real Estate CDO Ltd.
2005-1A, 1.48% due 11/21/407,8		5,000,000		4,905,315
Anchorage Credit Funding 4 Ltd.
2016-4A, 4.50% due 02/15/358		5,000,000		4,824,477
FDF II Ltd.
2016-2A, 6.29% due 05/12/318		4,750,000		4,739,667
N-Star REL CDO VIII Ltd.
2006-8A, 1.15% due 02/01/417,8		4,320,505		4,296,053
Highland Park CDO I Ltd.
2006-1A, 1.45% due 11/25/517,8		4,429,468		4,114,591
Static Repackaging Trust Ltd.
2004-1A, 2.08% due 05/10/397,8		3,529,459		3,456,311
Banco Bradesco SA
2014-1, 5.44% due 03/12/26†††,7,16		2,935,159		2,959,810
RAIT CRE CDO I Ltd.
2006-1X A1B, 1.31% due 11/20/46		2,230,594		2,218,070
Pasadena CDO Ltd.
2002-1A, 2.00% due 06/19/377,8		639,645		632,791
Total Collateralized Debt Obligations				95,711,112
DIVERSIFIED PAYMENT RIGHTS - 0.1%
CIC Receivables Master Trust
REGD, 4.89% due 10/07/21†††		5,712,571		5,880,415
CCR, Inc. MT100 Payment Rights Master Trust
2010-CX, 1.30% due 07/10/177		1,262,818		1,260,317
Garanti Diversified Payment Rights Finance Co.
2007-A, 1.20% due 07/09/177		52,000		51,881
Total Diversified Payment Rights				7,192,613
CREDIT CARD - 0.0%**
Credit Card Pass-Through Trust
2012-BIZ, 0.00%, due 12/15/498		142,999		106,709
Total Asset-Backed Securities
(Cost $1,692,512,238)				1,724,385,336

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.5%
RESIDENTIAL MORTGAGE BACKED SECURITIES - 14.6%
LSTAR Securities Investment Ltd.
2017-1, 2.78% due 01/01/227,8	$	43,680,941	$	43,571,739
2016-4, 2.78% due 10/01/217,8		34,526,881		34,251,322
2016-5, 2.78% due 11/01/217,8		14,143,935		14,072,027
2016-3, 2.78% due 09/01/217,8		10,512,211		10,379,812
FirstKey Master Funding
2017-R1, 1.01% due 11/03/417,8		87,500,000		81,837,301
Bayview Opportunity Master Fund IVb Trust
2017-RN1, 3.60% due 02/28/327,8		45,325,641		45,259,365
2017-NPL1, 3.60% due 01/28/328		17,680,462		17,633,044
CIM Trust
2017-2, 2.78% due 12/25/577,8		59,290,000		58,847,014
LSTAR Commercial Mortgage Trust
2016-7, 2.78% due 12/01/21††,7,8		59,009,160		58,492,829
Bayview Opportunity Master Fund IIIa Trust
2016-RN3, 3.60% due 09/29/317,8		46,125,501		46,056,783
GCAT
A1, 3.38% due 03/25/47		29,900,000		29,871,415
Stanwich Mortgage Loan Co.
2016-NPA1, 3.84% due 10/16/467,8		24,226,222		24,191,496
RALI Series Trust
2006-QO10, 1.14% due 01/25/377		10,366,663		8,793,592
2007-QO2, 1.13% due 02/25/477		12,297,920		7,292,399
2006-QO2, 1.25% due 02/25/467		13,528,610		5,998,964
2006-QO2, 1.20% due 02/25/467		3,906,495		1,693,474
NRPL Trust
2015-1A, 3.88% due 11/01/548		16,653,478		16,546,578
2014-2A, 3.75% due 10/25/577,8		5,376,605		5,414,982
American Home Mortgage Assets Trust
2007-1, 1.34% due 02/25/477		33,056,780		19,170,390
VOLT LI LLC
2016-NP11, 3.50% due 10/25/468		17,624,663		17,754,035
VOLT LIV LLC
2017-NPL1, 3.63% due 02/25/477,8		17,717,374		17,655,204
VOLT LIII LLC
2016-NP13, 3.88% due 12/26/468		16,675,941		16,633,983
VOLT LII LLC
2016-NP12, 3.63% due 11/26/468		16,565,053		16,495,610
Lehman XS Trust Series
2006-16N, 1.17% due 11/25/467		10,866,880		9,305,565
2006-10N, 1.19% due 07/25/467		7,944,316		6,640,712
VOLT XLVIII LLC
2016-NPL8, 3.50% due 07/25/468		14,716,484		14,795,949
RALI Series 2006-QO8 Trust
2006-QO8, 1.18% due 10/25/467		15,300,570		13,221,642
AJAX Mortgage Loan Trust
2015-A, 3.88% due 11/25/547,8		10,108,988		10,083,231
Nomura Resecuritization Trust
2015-4R, 1.66% due 03/26/367,8		6,174,414		5,889,773

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
2012-1R, 1.22% due 08/27/477,8	$	3,855,355	$	3,826,055
Merrill Lynch Alternative Note Asset Trust Series
2007-OAR3, 0.97% due 07/25/377		11,907,301		9,632,520
GSAA Home Equity Trust
2006-3, 1.28% due 03/25/367		5,227,284		3,678,889
2007-7, 1.25% due 07/25/377		3,434,041		3,120,366
2006-14, 1.23% due 09/25/367		4,190,646		2,525,606
Luminent Mortgage Trust
2006-2, 1.18% due 02/25/467		10,891,934		8,089,366
RALI Series 2006-QO3 Trust
2006-QO3, 1.19% due 04/25/467		15,693,009		7,887,325
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.48% due 11/25/467		9,291,214		7,451,924
GSAA Trust
2006-9, 1.22% due 06/25/367		13,821,526		7,450,171
HSI Asset Securitization Corporation Trust
2005-OPT1, 1.40% due 11/25/357		7,320,000		6,672,883
American Home Mortgage Investment Trust
2006-1, 1.38% due 03/25/467		5,686,459		4,722,937
GCAT LLC
2015-1, 3.63% due 05/26/207,8		3,195,022		3,195,343
Alliance Bancorp Trust
2007-OA1, 1.22% due 07/25/377		4,301,337		3,129,908
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 1.12% due 07/25/377,8		2,264,207		2,073,235
Morgan Stanley Re-REMIC Trust
2010-R5, 1.60% due 06/26/368		1,940,693		1,421,323
First Franklin Mortgage Loan Trust
2006-FF1, 1.42% due 01/25/367		1,225,000		1,123,570
Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 1.12% due 07/25/367		1,137,568		1,004,888
GreenPoint Mortgage Funding Trust
2007-AR1, 1.06% due 02/25/477		270		270
Total Residential Mortgage Backed Securities				734,856,809
COMMERCIAL MORTGAGE BACKED SECURITIES - 3.3%
Cosmopolitan Hotel Trust
2016-CSMO, 5.56% due 11/15/337,8		41,183,000		41,879,314
Motel 6 Trust
2015-MTL6, 5.28% due 02/05/308		40,150,000		40,355,243
GS Mortgage Securities Corporation Trust
2016-ICE2, 9.41% due 02/15/337,8		28,300,000		28,868,029
GAHR Commercial Mortgage Trust
2015-NRF, 3.38% due 12/15/347,8		22,600,000		21,741,268

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
GS Mortgage Securities Trust
2014-GSFL, 4.81% due 07/15/317,8	$	11,660,000	$	11,716,854
CDGJ Commercial Mortgage Trust
2014-BXCH, 5.16% due 12/15/277,8		11,240,852		11,318,324
BXHTL Mortgage Trust
2015-JWRZ, 4.60% due 05/15/297,8		5,000,000		5,028,224
GE Business Loan Trust
2007-1A, 1.36% due 04/16/357,8		2,904,093		2,644,354
GS Mortgage Securities Corp Trust
2016-ICE2, 6.66% due 02/15/337,8		1,750,000		1,805,853
Total Commercial Mortgage Backed Securities				165,357,463
FINANCIAL - 0.3%
Station Place Securitization Trust
2017-1, 3.23% due 02/25/49†††,7,8		15,000,000		14,984,455
MILITARY HOUSING - 0.2%
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/5216		5,828,424		6,028,106
Offutt AFB America First Community LLC
5.46% due 09/01/508		5,760,899		5,486,680
Total Military Housing				11,514,786
Total Collateralized Mortgage Obligations
(Cost $925,161,519)				926,713,513
SENIOR FLOATING RATE INTERESTS††,7 - 14.3%
CONSUMER, CYCLICAL - 3.1%
Petco Animal Supplies, Inc.
4.29% due 01/26/23		15,320,560		14,405,156
Gates Global, Inc.
4.40% due 07/05/21		8,600,360		8,606,810
3.50% due 04/01/24	EUR	3,750,000		4,000,013
Advantage Sales & Marketing LLC
4.25% due 07/23/21		8,941,130		8,840,542
3.86% due 07/25/19†††,2		600,000		564,137
Mavis Tire
6.25% due 11/02/20†††,2		9,235,500		9,142,292
National Vision, Inc.
4.00% due 03/12/21		7,161,152		7,155,208
6.75% due 03/11/22		650,000		629,688
Life Time Fitness, Inc.
4.00% due 06/10/22		7,390,826		7,403,759
Navistar Inc.
5.00% due 08/07/20		7,018,750		7,088,938
Sears Holdings Corp.
5.50% due 06/30/18		6,615,058		6,526,152
Belk, Inc.
5.76% due 12/12/22		7,273,052		6,124,928
Fitness International LLC
5.40% due 07/01/20		5,100,215		5,157,593
Leslie’s Poolmart, Inc.
4.77% due 08/16/23		4,691,855		4,705,930
Sky Bet
5.50% due 02/25/22	GBP	3,700,000		4,678,894
Floor and Decor Outlets of America, Inc.
4.50% due 09/30/23		4,452,625		4,474,888
Amaya Holdings B.V.
4.65% due 08/01/21		4,330,309		4,337,541
Accuride Corp.
8.15% due 11/17/23		4,289,250		4,262,442
Eyemart Express
5.19% due 12/17/21		4,195,833		4,237,792
Neiman Marcus Group, Inc.
4.25% due 10/25/20		4,648,486		3,728,736
BBB Industries, LLC
6.00% due 11/03/21		3,677,030		3,679,347

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
P.F. Chang’s China Bistro, Inc.
4.53% due 07/02/19†††	$	3,618,073	$	3,545,711
Blue Nile, Inc.
7.50% due 02/17/23		3,500,000		3,430,000
Acosta, Inc.
4.29% due 09/26/21		2,453,216		2,293,757
3.82% due 09/26/19†††,2		933,333		871,510
Smart & Final Stores LLC
4.58% due 11/15/22		3,200,000		3,140,000
Men’s Wearhouse
4.53% due 06/18/21		3,160,388		2,997,090
BJ’s Wholesale Club, Inc.
4.75% due 02/03/24		2,750,000		2,684,193
Packers Holdings
4.80% due 12/02/21		2,055,725		2,071,143
Dealer Tire LLC
4.94% due 12/22/21		1,955,175		1,979,615
CH Hold Corp.
4.00% due 02/01/24		1,772,727		1,783,807
4.00% due 08/01/17		18,182		—
Peer Holding BV
4.25% due 02/25/222	EUR	1,600,000		1,731,117
Med Finance Merger Sub LLC
7.40% due 08/16/21†††,2		1,576,639		1,565,148
1-800 Contacts
4.28% due 01/22/23		1,460,278		1,468,791
GVC Holdings plc
3.25% due 03/02/23	EUR	1,300,000		1,393,897
NPC International, Inc.
4.75% due 12/28/18		1,276,800		1,281,588
Alexander Mann Solutions Ltd.
5.90% due 12/20/19		1,043,543		1,022,672
Richmond UK Bidco Ltd.
4.51% due 03/04/24	GBP	800,000		1,013,036
K & N Parent, Inc.
5.75% due 10/20/23		997,500		999,994
Focus Brands Inc.
5.00% due 10/05/23		726,000		726,000
Global Blue Finance Sarl
4.50% due 12/12/22	EUR	500,000		540,707
Rite Aid Corp.
5.75% due 08/21/20		100,000		100,125
Total Consumer, Cyclical				156,390,687
TECHNOLOGY - 3.0%
Epicor Software
4.75% due 06/01/22		14,896,170		14,911,066
5.00% due 06/01/22		7,598,101		7,610,790
EIG Investors Corp.
6.04% due 02/09/23		18,023,997		18,144,216
6.53% due 11/08/19		3,132,118		3,143,863
TIBCO Software, Inc.
5.50% due 12/04/20		11,573,609		11,686,914
Severin Acquisition LLC
6.02% due 07/30/21†††,2		3,447,500		3,447,500
5.90% due 07/30/21†††,2		3,450,000		3,415,500
6.15% due 07/30/21†††,2		2,629,788		2,629,788
6.52% due 07/30/21†††,2		796,000		796,000
Advanced Computer Software
10.56% due 01/31/232		5,000,000		4,545,850
6.56% due 03/18/22		3,430,000		3,318,525
Project Alpha Intermediate Holding, Inc.
9.25% due 08/22/22†††		7,960,000		7,821,663
Planview, Inc. (PHNTM Holdings, Inc.)
6.25% due 01/27/23†††,2		6,600,000		6,501,000
Nimbus Acquisition Topco Ltd.
7.25% due 07/15/21†††,2	GBP	5,050,000		6,252,137
LANDesk Group, Inc.
5.25% due 01/20/24		6,075,000		6,101,609

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Solera LLC
5.41% due 03/03/21†††,2	$	6,480,000	$	5,764,704
Kronos, Inc.
5.03% due 11/01/23		4,488,750		4,511,688
Masergy Holdings, Inc.
5.50% due 12/15/23		3,990,000		4,014,938
Active Network LLC
6.00% due 11/13/20		3,974,534		3,979,502
Cypress Holdings
7.75% due 03/31/25		3,843,750		3,763,569
Ipreo Holdings
4.40% due 08/06/21		3,222,944		3,198,772
Micron Technology, Inc.
4.74% due 04/26/22		3,027,125		3,037,538
Diebold, Inc.
5.38% due 11/06/23		2,862,000		2,902,240
Ceridian Corp.
4.54% due 09/15/20		2,631,835		2,608,807
Infor (US), Inc.
3.75% due 02/01/22	EUR	2,200,000		2,361,837
Mirion Technologies
5.90% due 03/31/22		2,205,000		2,199,488
Sparta Holding Corp.
6.65% due 07/28/20†††,2		1,814,608		1,804,549
CPI Acquisition, Inc.
5.83% due 08/17/22		1,722,372		1,598,930
Compucom Systems, Inc.
4.25% due 05/11/20		1,865,732		1,548,558
Verisure Cayman 2
3.00% due 10/21/22	EUR	1,400,000		1,496,326
MRI Software LLC
5.40% due 06/23/21†††		1,381,433		1,367,619
GTT Communications, Inc.
5.00% due 01/09/24		1,296,750		1,312,959
GlobalLogic Holdings, Inc.
5.65% due 06/20/22		1,238,590		1,241,686
Aspect Software, Inc.
11.28% due 05/25/20		1,052,219		1,050,904
Oberthur Technologies of America Corp.
3.75% due 01/10/24		877,632		883,117
Hyland Software, Inc.
4.23% due 07/01/22		617,873		624,824
Oberthur Technologies Group SAS
3.75% due 01/10/24	EUR	516,607		550,961
Eze Castle Software, Inc.
7.65% due 04/05/21		400,000		396,500
Total Technology				152,546,437
CONSUMER, NON-CYCLICAL - 2.3%
IHC Holding Corp.
7.02% due 04/30/21†††,2		7,387,500		7,312,090
7.25% due 04/30/21†††,2		1,442,750		1,440,586
Affordable Care Holdings Corp.
5.75% due 10/24/22		7,159,375		7,159,375
Lineage Logistics LLC
4.50% due 04/07/21		6,350,049		6,346,112
One Call Medical, Inc.
5.09% due 11/27/20		6,040,337		5,642,701
American Seafoods
6.02% due 08/19/212		5,525,556		5,537,049
Springs Industries, Inc.
7.50% due 06/01/21†††,2		5,074,500		5,074,500
At Home Holding III Corp.
4.54% due 06/03/22		4,912,500		4,900,219
ABB Concise Optical Group LLC
6.13% due 06/15/23		4,557,100		4,596,975
Grocery Outlet, Inc.
5.15% due 10/21/21		4,361,329		4,365,429
Project Ruby Ultimate Parent Corp.
4.75% due 02/09/24		4,300,000		4,312,556
Chobani LLC
5.25% due 10/09/23		4,139,625		4,174,108

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Authentic Brands
5.17% due 05/27/21	$	4,056,104	$	4,086,525
Arctic Glacier Group Holdings, Inc.
5.25% due 03/20/24		3,700,000		3,732,375
American Tire Distributors, Inc.
5.25% due 09/01/21		3,649,326		3,653,888
DJO Finance LLC
4.25% due 06/08/20		3,715,396		3,589,221
SHO Holding I Corp.
6.00% due 10/27/222		3,390,000		3,373,050
Packaging Coordinators Midco, Inc.
5.00% due 06/30/23		3,184,000		3,170,086
Give and Go Prepared Foods Corp.
6.65% due 07/29/23		2,796,723		2,824,690
Dole Food Company, Inc.
4.00% due 03/23/24		2,800,000		2,816,800
Chef’s Warehouse Parent LLC
6.75% due 06/22/222		2,599,202		2,621,945
Culligan Holding, Inc.
5.00% due 12/13/23		2,500,000		2,534,375
IVC Acquisition Midco Ltd.
4.50% due 01/26/24	GBP	1,800,000		2,266,633
CTI Foods Holding Co. LLC
4.65% due 06/29/20		1,250,000		1,237,500
8.40% due 06/28/21		1,035,000		931,500
Reddy Ice Holdings, Inc.
6.75% due 05/01/19		1,056,481		1,032,710
10.75% due 10/01/192		1,125,000		1,004,996
Bioclinica-Synowledge Holdings Corp.
5.25% due 10/20/23		2,000,000		2,017,500
Nellson Nutraceutical (US)
6.15% due 12/23/21		1,811,948		1,798,358
BCPE Eagle Buyer LLC
5.33% due 03/18/24		1,700,000		1,697,875
AMAG Pharmaceuticals
4.75% due 08/17/21		1,625,190		1,623,841
ADMI Corp.
4.80% due 04/29/22		1,300,000		1,310,569
CPI Holdco LLC
5.15% due 03/21/24		1,200,000		1,206,000
Nellson Nutraceutical (CAD)
6.15% due 12/23/21		1,125,431		1,116,991
Press Ganey Holdings, Inc.
4.25% due 10/23/23		997,500		999,375
NES Global Talent
6.54% due 10/03/192		1,035,035		931,531
Constellation Brands, Inc.
4.89% due 12/15/23		623,438		627,920
Quorum Business Solutions
5.75% due 08/06/212		654,925		618,904
Alpha BidCo SAS
3.50% due 01/29/23	EUR	279,950		301,440
Cheese Bidco B.V.
3.50% due 02/06/24	EUR	120,050		129,266
Targus Group International, Inc.
due 05/24/16†††,2,9		152,876		—
Total Consumer, Non-cyclical				114,117,564
INDUSTRIAL - 2.2%
Travelport Finance Luxembourg Sarl
4.29% due 09/02/21		10,210,186		10,278,287
DAE Aviation
5.25% due 07/07/22		6,750,848		6,776,163
USIC Holding, Inc.
5.17% due 12/08/23		6,010,938		6,040,992
Optiv, Inc.
4.25% due 02/01/24		5,525,000		5,549,200
Advanced Integration Technology LP
6.50% due 07/22/21		5,295,000		5,328,094
CareCore National LLC
5.50% due 03/05/21		5,080,258		5,092,959
BWAY Holding Co.
3.25% due 04/03/24		4,500,000		4,485,960

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Kuehg Corp.
5.40% due 08/12/22	$	4,426,922	$	4,449,057
ProAmpac PG Borrower LLC
5.06% due 11/20/23		4,250,000		4,279,750
Pro Mach Group, Inc.
4.75% due 10/22/21		4,251,635		4,255,632
GYP Holdings III Corp.
4.54% due 04/01/21		4,234,405		4,248,506
VC GB Holdings, Inc.
4.75% due 02/28/24		4,075,000		4,095,375
Tronair Parent, Inc.
5.86% due 09/08/23		3,988,315		3,948,432
SI Organization
5.65% due 11/22/19		3,680,116		3,716,917
CHI Overhead Doors, Inc.
4.25% due 07/29/22		3,649,507		3,643,412
Hardware Holdings LLC
7.68% due 03/30/20†††,2		3,071,250		3,009,825
Bioplan USA, Inc.
5.75% due 09/23/21		2,959,026		2,903,544
NVA Holdings, Inc.
4.65% due 08/14/21		2,855,574		2,880,560
Milacron LLC
3.98% due 09/28/23		2,294,250		2,304,299
Capstone Logistics
5.50% due 10/07/21		2,186,003		2,169,608
Corialis Group Ltd.
3.75% due 03/11/24	EUR	2,000,000		2,140,467
Thermasys Corp.
5.25% due 05/03/192		2,199,125		1,968,217
Zodiac Pool Solutions LLC
5.65% due 12/20/23		1,795,500		1,805,968
National Technical Systems
7.25% due 06/12/21†††,2		1,841,615		1,795,575
Hillman Group, Inc.
4.65% due 06/30/21		1,767,822		1,780,338
Survitec
5.55% due 03/12/222	GBP	1,125,000		1,380,532
4.00% due 03/12/22	EUR	300,000		319,268
CPM Holdings, Inc.
5.25% due 04/11/22		1,674,500		1,695,431
Douglas Dynamics LLC
4.50% due 12/31/21		1,526,187		1,530,002
Swissport Investments S.A.
6.25% due 02/09/22	EUR	1,250,000		1,352,369
Reynolds Group Holdings, Inc.
3.98% due 02/05/23		1,197,000		1,201,118
Constantia Lux Parent S.A.
4.00% due 04/30/22		985,031		985,652
Mast Global
7.75% due 09/12/19†††,2		978,634		974,596
American Bath Group LLC
6.40% due 09/30/23		652,580		657,057
Filtration Group Corp.
4.30% due 11/23/20		500,000		503,335
Tank Holdings Corp.
5.25% due 03/16/22		445,652		445,282
Doncasters Group Ltd.
9.50% due 10/09/20		456,207		438,337
Ceva Group Plc (United Kingdom)
8.00% due 03/19/19†††,2		480,000		421,200
Hunter Fan Co.
6.50% due 12/20/172		391,931		388,012
Hunter Defense Technologies
7.01% due 08/05/192		365,333		328,800
NANA Development Corp.
8.00% due 03/15/182		260,000		253,500
Wencor Group
4.48% due 06/19/192		123,077		115,614
Total Industrial				111,937,242
COMMUNICATIONS - 1.2%
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		27,019,060		25,710,258

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Radiate HoldCo LLC
3.98% due 02/01/24	$	4,200,000	$	4,216,338
Mcgraw-Hill Global Education Holdings LLC
5.00% due 05/04/22		4,168,500		4,117,561
SFR Group SA
4.29% due 01/14/25		4,039,875		4,039,875
Anaren, Inc.
5.65% due 02/18/212		1,862,113		1,850,474
9.40% due 08/18/212		1,500,000		1,460,625
Proquest LLC
5.25% due 10/24/21		2,999,539		3,040,783
Internet Brands
4.75% due 07/08/21†††		2,606,603		2,616,590
Neustar, Inc.
4.75% due 03/01/24		2,500,000		2,528,125
Ziggo Secured Finance BV
3.00% due 04/15/25	EUR	2,250,000		2,396,503
Telenet Financing USD LLC
3.91% due 01/31/25		2,200,000		2,200,286
MergerMarket Ltd.
4.56% due 02/04/21		1,164,975		1,162,062
Bureau van Dijk Electronic Publishing BV
4.84% due 09/20/212	GBP	787,910		991,112
Virgin Media SFA Finance Ltd.
3.83% due 01/31/26	GBP	750,000		941,640
Sesac Holdco II LLC
4.26% due 02/23/24		750,000		749,378
Liberty Cablevision of Puerto Rico LLC
4.52% due 01/07/22		600,000		597,252
Total Communications				58,618,862
UTILITIES - 1.0%
Invenergy Thermal Operating I, LLC
6.65% due 10/19/22		11,905,088		11,428,883
Dynegy, Inc.
4.25% due 06/27/23		9,300,000		9,317,948
Viva Alamo LLC
5.30% due 02/22/21†††		6,157,367		5,849,498
Helix Gen Funding LLC
4.75% due 03/08/24		4,370,000		4,430,088
EFS Cogen Holdings I LLC
4.65% due 06/28/23		3,938,285		3,969,949
MRP Generation Holding
8.15% due 10/18/22		3,482,500		3,460,734
Panda Hummel
7.00% due 10/27/22		3,525,000		3,406,031
Terraform AP Acquisition Holdings LLC
5.65% due 06/26/22		2,755,283		2,775,948
Lightstone HoldCo LLC
5.54% due 01/30/24		1,700,000		1,708,926
Exgen Texas Power LLC
5.90% due 09/18/21		2,361,613		1,532,097
Osmose Utility Services, Inc.
4.90% due 08/22/22		1,326,009		1,329,325
Panda Power
7.65% due 08/21/20		1,315,063		1,290,405
Panda Temple II Power
7.25% due 04/03/19		1,285,989		1,113,988
Stonewall
6.65% due 11/15/21		500,000		486,250
Panda Hummel Station
7.00% due 10/27/22		200,000		193,250
Total Utilities				52,293,320
FINANCIAL - 0.9%
National Financial Partners Corp.
4.65% due 01/08/24		7,880,250		7,959,052
Americold Realty Operating Partnership, LP
4.75% due 12/01/22		7,467,322		7,537,365
Acrisure LLC
5.90% due 11/22/23		5,877,302		5,965,461
Hyperion Insurance
5.50% due 04/29/22		3,532,477		3,542,050

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
Alliant Holdings I L.P.
4.39% due 08/12/22	$	3,486,656	$	3,501,614
Magic Newco, LLC
5.00% due 12/12/18		3,319,793		3,329,487
York Risk Services
4.90% due 10/01/212		3,033,436		2,946,225
Assured Partners, Inc.
5.25% due 10/21/22		2,408,299		2,423,953
Integro Parent, Inc.
6.80% due 10/28/22		2,222,516		2,222,516
Capital Automotive L.P.
4.00% due 03/25/24		2,000,000		2,020,000
American Stock Transfer & Trust
5.75% due 06/26/20		1,553,695		1,549,811
Ryan LLC
6.75% due 08/07/202		1,145,512		1,131,193
Total Financial				44,128,727
BASIC MATERIALS - 0.4%
PQ Corp.
5.29% due 11/04/22		4,145,359		4,187,559
Platform Specialty Products
4.25% due 06/07/20	EUR	1,968,302		2,106,857
4.50% due 06/07/20		828,130		835,823
Hoffmaster Group, Inc.
5.50% due 11/21/23		2,443,875		2,471,369
Dubois Chemicals, Inc.
4.88% due 03/15/24		2,400,000		2,413,008
Zep, Inc.
5.00% due 06/27/22		1,970,000		1,994,625
ASP Chromaflo Dutch I B.V.
5.00% due 11/20/23		1,692,548		1,699,961
ASP Chromaflo Intermediate Holdings, Inc.
5.00% due 11/20/23		1,301,640		1,307,341
Ferro Corp.
2.75% due 02/14/24	EUR	600,000		638,536
Arch Coal, Inc.
5.00% due 03/07/24		500,000		498,905
Nexeo Solutions LLC
4.81% due 06/09/23		300,000		302,250
Total Basic Materials				18,456,234
ENERGY - 0.1%
Cactus Wellhead
7.15% due 07/31/20		3,095,073		2,941,868
Gavilan Resources LLC
7.00% due 03/01/24		1,500,000		1,481,250
Summit Midstream Partners, LP
7.02% due 05/13/22		1,300,000		1,322,750
Linn Energy LLC / Linn Energy Finance Corp.
4.32% due 02/27/21		578,009		534,658
8.33% due 02/27/21		289,005		290,450
PSS Companies
5.65% due 01/28/202		850,365		680,292
Total Energy				7,251,268
Total Senior Floating Rate Interests
(Cost $718,595,107)				715,740,341
CORPORATE BONDS†† - 9.7%
FINANCIAL - 6.4%
Citigroup, Inc.
6.25%7,10		31,670,000		34,164,012
5.95%7,10		16,169,000		16,876,394
5.95%7,10		6,050,000		6,299,623
5.90%7,10		3,300,000		3,444,375
Bank of America Corp.
6.10%7,10		31,313,000		33,176,123
6.50%7,10		13,948,000		15,220,755
6.30%7,10		11,100,000		12,071,250
JPMorgan Chase & Co.
6.10%7,10		22,250,000		23,512,688
6.00%7,10		11,635,000		12,132,978
Wells Fargo & Co.
5.88%7,10		29,550,000		31,853,186
Goldman Sachs Group, Inc.
5.30%7,10		23,680,000		24,124,000
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/208		10,974,000		11,083,739

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
7.50% due 04/15/218	$	8,826,000	$	8,903,228
6.88% due 04/15/228		1,625,000		1,551,875
Bank of New York Mellon Corp.
4.63%7,10		14,650,000		14,064,000
Atlas Mara Ltd.
8.00% due 12/31/202		14,400,000		11,908,800
Voya Financial, Inc.
5.65% due 05/15/537		10,960,000		11,151,800
GEO Group, Inc.
5.88% due 10/15/24		5,060,000		5,173,850
6.00% due 04/15/26		2,194,000		2,221,915
KeyCorp
5.00%7,10		7,250,000		7,177,500
Customers Bank
6.13% due 06/26/297,16		4,500,000		4,601,250
QBE Insurance Group Ltd.
7.25% due 11/24/437,8		3,800,000		4,313,000
Citizens Financial Group, Inc.
5.50%7,10		4,000,000		4,105,000
Greystar Real Estate Partners LLC
8.25% due 12/01/228		3,600,000		3,883,500
FBM Finance, Inc.
8.25% due 08/15/218		3,200,000		3,392,000
NFP Corp.
9.00% due 07/15/218		3,061,000		3,235,018
M&T Bank Corp.
5.13%7,10		2,600,000		2,587,000
Univest Corporation of Pennsylvania
5.10% due 03/30/252,7		2,500,000		2,543,750
Jefferies LoanCore LLC / JLC Finance Corp.
6.88% due 06/01/208		1,700,000		1,721,250
Northern Trust Corp.
4.60%7,10		1,300,000		1,274,000
NewStar Financial, Inc.
7.25% due 05/01/20		1,225,000		1,246,438
US Bancorp
5.30%7,10		1,200,000		1,222,500
Total Financial				320,236,797
BASIC MATERIALS - 0.6%
BHP Billiton Finance USA Ltd.
6.75% due 10/19/757,8		14,500,000		16,399,500
Yamana Gold, Inc.
4.95% due 07/15/24		12,800,000		12,864,000
GCP Applied Technologies, Inc.
9.50% due 02/01/238		450,000		510,750
Mirabela Nickel Ltd.
2.38% due 06/24/192		1,885,418		131,979
1.00% due 09/10/44†††,2		37,690		—
New Day Aluminum
10.00% due 10/28/20†††,2		47,328		40,229
Total Basic Materials				29,946,458
CONSUMER, CYCLICAL - 0.6%
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.50% due 05/01/21		10,000,000		9,500,000
6.75% due 06/15/23		5,700,000		5,358,000
Ferrellgas, LP / Ferrellgas Finance Corp.
6.75% due 01/15/22		6,653,000		6,287,085
Nathan’s Famous, Inc.
10.00% due 03/15/208		4,355,000		4,681,625
Carrols Restaurant Group, Inc.
8.00% due 05/01/22		2,574,000		2,747,745
Total Consumer, Cyclical				28,574,455
ENERGY - 0.6%
CONSOL Energy, Inc.
8.00% due 04/01/23		10,300,000		10,827,875
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
9.25% due 05/18/20†††,2,11		5,037,000		4,910,071

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
8.50% due 12/15/21	$	4,475,000	$	4,564,500
Hess Corp.
7.30% due 08/15/31		2,950,000		3,475,669
EP Energy LLC / Everest Acquisition Finance, Inc.
8.00% due 02/15/258		2,000,000		1,860,000
Unit Corp.
6.63% due 05/15/21		1,175,000		1,157,375
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/2211,16		7,557,400		869,101
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.
7.88% due 12/15/24		785,000		818,363
Total Energy				28,482,954
CONSUMER, NON-CYCLICAL - 0.5%
Bumble Bee Holdings, Inc.
9.00% due 12/15/178		18,709,000		18,241,275
Kinetic Concepts Incorporated / KCI USA Inc
7.88% due 02/15/218		3,615,000		3,831,900
Bumble Bee Holdco SCA
9.63% due 03/15/188		1,826,000		1,771,220
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/218		1,125,000		1,133,438
Total Consumer, Non-cyclical				24,977,833
INDUSTRIAL - 0.3%
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/238		6,300,000		6,756,750
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/192		5,950,000		5,875,625
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27†††,8		1,707,294		1,705,575
LMI Aerospace, Inc.
7.38% due 07/15/19		1,550,000		1,608,125
Infor US, Inc.
5.75% due 05/15/22	EUR	1,120,000		1,234,294
Grinding Media Inc. / MC Grinding Media Canada Inc.
7.38% due 12/15/238		200,000		210,000
Total Industrial				17,390,369
DIVERSIFIED - 0.3%
HRG Group, Inc.
7.88% due 07/15/19		15,017,000		15,542,595
COMMUNICATIONS - 0.2%
MDC Partners, Inc.
6.50% due 05/01/248		7,746,000		7,387,748
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
7.88% due 05/15/248		2,400,000		2,322,000
EIG Investors Corp.
10.88% due 02/01/24		1,100,000		1,168,750
Cengage Learning, Inc.
9.50% due 06/15/248		1,175,000		1,051,625
Total Communications				11,930,123
TECHNOLOGY - 0.1%
Micron Technology, Inc.
7.50% due 09/15/238		2,250,000		2,511,563
Epicor Software
9.40% due 06/21/23†††,2		1,850,000		1,807,450
Total Technology				4,319,013

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
UTILITIES - 0.1%
Terraform Global Operating LLC
9.75% due 08/15/228	$	3,100,000	$	3,475,875
Total Corporate Bonds
(Cost $482,340,127)				484,876,472
FOREIGN GOVERNMENT BONDS†† - 0.7%
Dominican Republic International Bond
6.85% due 01/27/458		16,525,000		17,062,063
Kenya Government International Bond
6.88% due 06/24/248		16,900,000		16,817,528
Senegal Government International Bond
6.25% due 07/30/248		200,000		201,620
Total Foreign Government Bonds
(Cost $33,192,810)				34,081,211
SENIOR FIXED RATE INTERESTS††,7 - 0.0%**
FINANCIAL - 0.0%**
Magic Newco, LLC
12.00% due 06/12/19		1,075,000		1,126,063
CONSUMER, NON-CYCLICAL - 0.0%**
Targus International LLC
7.50% due 12/31/19†††,2		61,579		86,106
Total Senior Fixed Rate Interests
(Cost $1,279,547)				1,212,169
COMMERCIAL PAPER†† - 11.8%
Marriott International Inc/MD
1.25% due 04/24/17		30,500,000		30,475,642
1.08% due 04/07/17		28,000,000		27,994,960
1.34% due 05/16/17		10,000,000		9,983,000
Total Marriott International Inc/MD				68,453,602
Nissan Motor Acceptance Corp
1.07% due 04/10/17		50,000,000		49,986,625
1.06% due 04/27/17		10,500,000		10,491,962
Total Nissan Motor Acceptance Corp				60,478,587
Mondelez International Inc
1.30% due 06/12/17		40,000,000		39,892,203
0.97% due 04/20/17		20,000,000		19,989,761
Total Mondelez International Inc				59,881,964
Hyundai Capital America
1.24% due 04/24/17		51,900,000		51,858,884
Total Hyundai Capital America				51,858,884
Whirlpool Corp
1.16% due 04/26/17		50,000,000		49,958,333
Ryder System Inc
1.15% due 04/17/17		29,000,000		28,985,178
1.14% due 05/08/17		20,000,000		19,975,950
Total Ryder System Inc				48,961,128
General Mills Inc
1.08% due 04/03/17		19,000,000		18,998,860
1.08% due 04/04/17		17,500,000		17,498,425
Total General Mills Inc				36,497,285
Omnicom Capital Inc
1.08% due 05/08/17		35,500,000		35,458,583
Cox Enterprises Inc
0.97% due 04/10/17		31,500,000		31,490,786
0.82% due 04/03/17		2,000,000		1,999,870
Total Cox Enterprises Inc				33,490,656
CVS Health Corp
1.23% due 04/18/17		30,000,000		29,982,575
Bemis Co Inc
1.15% due 04/03/17		18,750,000		18,748,802
1.15% due 04/04/17		10,000,000		9,999,042
Total Bemis Co Inc				28,747,844
Clorox Co/The
1.13% due 05/05/17		17,075,000		17,056,777
1.13% due 04/24/17		11,600,000		11,591,625
Total Clorox Co/The				28,648,402
Wal-Mart Stores Inc
0.82% due 04/17/17		28,000,000		27,989,796

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount15		Value
American Water Capital Corp
1.03% due 04/03/17	$	20,000,000	$	19,998,767
McDonald’s Corp
1.18% due 04/27/17		10,000,000		9,991,478
Total Commercial Paper
(Cost $590,401,681)				590,397,884
REPURCHASE AGREEMENTS††,12 - 0.1%
Jefferies & Company, Inc.
issued 03/10/17 at 3.95% due 04/10/17		2,956,000		2,956,000
issued 03/15/17 at 4.01% due 04/18/17		1,685,000		1,685,000
Barclays
issued 03/17/17 at 0.50% open maturity1		1,056,250		1,056,250
issued 03/17/17 at 0.25% open maturity1		316,875		316,875
issued 03/17/17 at 0.50% open maturity1		255,313		255,313
Total Repurchase Agreements
(Cost $6,269,438)				6,269,438

	Contracts
OPTIONS PURCHASED† - 0.6%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ year Treasury Bond ETF Expiring with strike price of $120.00		57,976	$	15,537,568
Put options on:
Bank of America Merrill Lynch December 2019 EUR/DLR Expiring with strike price of $97.63		8,995	$	9,950,718
	Notional
Bank of America Merrill Lynch November 2017 EUR/GBP Expiring with strike price of $0.87††	$	169,360,000		5,717,007
Total Put Options				15,667,725
Total Options Purchased
(Cost $28,015,195)				31,205,293
Total Investments - 106.9%
(Cost $5,314,528,973)			$	5,368,015,581

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS SOLD SHORT† - (0.9)%
CONSUMER, NON-CYCLICAL - 0.0%**
Cantel Medical Corp.		6,352	$	(508,795	)
UTILITIES - 0.0%**
South Jersey Industries, Inc.		23,508		(838,060	)
COMMUNICATIONS - (0.1)%
Amazon.com, Inc.*		2,966		(2,629,479	)
CONSUMER, CYCLICAL - (0.1)%
Crocs, Inc.*
Papa John’s International, Inc.		77,889		(550,675	)
Pool Corp.		8,077		(646,483	)
Wynn Resorts Ltd.		6,039		(720,634	)
CarMax, Inc.*		6,571		(753,102	)
		15,913		(942,368	)
Total Consumer, Cyclical				(3,613,262	)
INDUSTRIAL – (0.1)%
EnPro Industries, Inc.
Martin Marietta Materials, Inc.		8,906		(633,751	)
Vulcan Materials Co.		8,560		(1,868,220	)
		17,490		(2,107,194	)
Total Industrial				(4,609,165	)
TECHNOLOGY - (0.1)%
CommVault Systems, Inc.*
Semtech Corp.*		11,557		(587,096	)
Cypress Semiconductor Corp.		19,411		(656,092	)
Medidata Solutions, Inc.*		55,947		(769,831	)
Silicon Laboratories, Inc.*		13,753		(793,411	)
Ultimate Software Group, Inc.*		11,837		(870,611	)
Autodesk, Inc.*		4,520		(882,349	)
		11,050		(955,494	)
Total Technology				(5,514,884	)
BASIC MATERIALS - (0.1)%
NewMarket Corp.
Balchem Corp.		1,373		(622,285	)
Royal Gold, Inc.		15,104		(1,244,872	)
Sensient Technologies Corp.		22,385		(1,568,069	)
FMC Corp.		20,147		(1,596,851	)
		26,222		(1,824,789	)
Total Basic Materials				(6,856,866	)
FINANCIAL - (0.4)%
Life Storage, Inc.
American Assets Trust, Inc.		6,047		(496,580	)
Community Bank System, Inc.		12,111		(506,724	)
Realty Income Corp.		11,256		(618,855	)
Bank of the Ozarks, Inc.		10,898		(648,758	)
Glacier Bancorp, Inc.		12,577		(654,130	)
Extra Space Storage, Inc.		19,291		(654,544	)
EastGroup Properties, Inc.		8,962		(666,683	)
Mercury General Corp.		9,224		(678,241	)
Morgan Stanley		11,833		(721,695	)
Taubman Centers, Inc.		19,834		(849,689	)
Essex Property Trust, Inc.		13,257		(875,227	)
Webster Financial Corp.		3,913		(905,977	)
Federal Realty Investment Trust		19,321		(966,823	)
Associated Banc-Corp.		8,373		(1,117,796	)
American Tower Corp. — Class A		46,785		(1,141,554	)
Douglas Emmett, Inc.		11,393		(1,384,705	)
People’s United Financial, Inc.		43,921		(1,686,566	)
Crown Castle International Corp.		124,127		(2,259,111	)
Total Financial		26,754		(2,526,915	)
Total Common Stocks Sold Short
(Proceeds $39,378,495)				(43,931,084	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Face Amount		Value
CORPORATE BONDS SOLD SHORT†† - (0.0)%
Envision Healthcare Corp.
5.13% due 07/01/228
Nature’s Bounty Co.	$	250,000	$	(254,453	)
7.63% due 05/15/218		1,300,000		(1,368,250	)
Total Corporate Bonds Sold Short
(Proceeds $1,571,635)				(1,622,703	)
	Contracts
OPTIONS WRITTEN† - (0.2)%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ Year Treasury Bond ETF Expiring with strike price of $123.00		57,976		(8,406,520	)

	Notional
Put options on:
Bank of America Merrill Lynch December 2019 EUR/DLR Expiring with strike price of $96.25††	$	8,995		(2,192,531	)
Total Options Written
(Proceeds $8,755,082)				(10,599,051	)
Total Securities Sold Short - (1.1)%
(Proceeds $49,705,212)				(56,152,838	)
Other Assets & Liabilities, net - (5.8)%				(290,433,361	)
Total Net Assets - 100.0%			$	5,021,429,382

	Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS††
Morgan Stanley November 2017 Macro Opportunities Long Custom Basket Swap 1.48%13, Terminating 11/30/17 (Notional Value $72,072,621)	$	4,509,213

OTC EQUITY SWAP AGREEMENTS SOLD SHORT††
Morgan Stanley November 2017 Macro Opportunities Short Custom Basket Swap 0.56%14, Terminating 11/30/17 (Notional Value $124,735,770)			$	(6,117,365	)
	Shares
CUSTOM BASKET OF LONG SECURITIES13
Wabash National Corp.		43,729	$	289,203
Teradyne, Inc.		30,849		270,469
Alaska Air Group, Inc.		14,495		251,001
Scripps Networks Interactive, Inc. — Class A		21,489		245,100
United Continental Holdings, Inc.*		15,499		231,709
Southwest Airlines Co.		20,237		222,629
Best Buy Co., Inc.		23,895		190,784
ManpowerGroup, Inc.		9,576		179,013
Universal Corp.		13,975		168,613
United Rentals, Inc.*		4,959		163,217
UGI Corp.		52,934		154,511
Old Republic International Corp.		68,443		153,648
PPL Corp.		60,689		150,201
Discovery Communications, Inc. — Class A*		52,761		135,538

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares		Unrealized Gain
Conagra Brands, Inc.		37,363	$	135,489
Trinity Industries, Inc.		22,789		134,949
Harris Corp.		7,856		132,329
Ameren Corp.		40,987		132,088
Cambrex Corp.*		10,174		127,327
Post Holdings, Inc.*		7,828		124,924
Robert Half International, Inc.		13,668		111,527
DaVita, Inc.*		31,493		105,949
Archer-Daniels-Midland Co.		42,373		97,450
AECOM*		18,544		94,530
Amgen, Inc.		6,971		92,333
Flowers Foods, Inc.		43,803		91,241
AmerisourceBergen Corp. — Class A		17,781		90,280
JetBlue Airways Corp.*		50,057		85,345
Juniper Networks, Inc.		46,008		78,988
VeriSign, Inc.*		18,192		77,788
Entergy Corp.		15,510		71,170
CNO Financial Group, Inc.		20,568		68,778
Textron, Inc.		12,098		66,977
Lam Research Corp.		8,208		63,642
Hawaiian Electric Industries, Inc.		50,111		61,910
American Airlines Group, Inc.		13,955		61,064
eBay, Inc.*		15,747		57,622
Owens & Minor, Inc.		40,607		39,628
Big Lots, Inc.		25,771		39,517
United Natural Foods, Inc.*		29,605		35,833
Masco Corp.		50,411		31,496
MEDNAX, Inc.*		10,130		25,106
Eastman Chemical Co.		6,595		17,875
Carlisle Companies, Inc.		11,014		13,846
Omnicom Group, Inc.		6,068		10,099
Hospitality Properties Trust		16,731		9,638
Sysco Corp.		30,242		8,411
Hilton Worldwide Holdings, Inc.		8,847		5,416
Tier REIT, Inc.		30,220		2,696

				Unrealized Gain (Loss)
Chesapeake Lodging Trust	21,955			1,424
Corning, Inc.	59,614			(2,478	)
Merck & Company, Inc.	22,767			(3,613	)
Bed Bath & Beyond, Inc.	38,791			(8,107	)
Casey’s General Stores, Inc.	8,013			(13,133	)
FirstEnergy Corp.	83,147			(16,979	)
Cedar Realty Trust, Inc.	100,761			(24,402	)
Ford Motor Co.	41,103			(46,693	)
Mallinckrodt plc*	10,540			(76,263	)
Pitney Bowes, Inc.	40,799			(80,222	)
Telephone & Data Systems, Inc.	98,600			(82,721	)
Michael Kors Holdings Ltd.*	33,366			(168,118	)
Target Corp.	31,520			(232,390	)
Total Custom Basket of Long Securities			$	4,455,202
CUSTOM BASKET OF SHORT SECURITIES14
Mattel, Inc.	(22,943	)		93,005
Compass Minerals International, Inc.	(19,638	)		69,422
FactSet Research Systems, Inc.	(5,609	)		62,459
Trustmark Corp.	(23,186	)		59,922
American Campus Communities, Inc.	(23,444	)		48,499
New York Community Bancorp, Inc.	(127,318	)		48,041
U.S. Bancorp	(21,841	)		44,482
Signature Bank*	(5,192	)		41,643
Concho Resources, Inc.*	(6,201	)		41,372
First Industrial Realty Trust, Inc.	(47,086	)		36,499
Acadia Realty Trust	(16,648	)		35,895
Packaging Corporation of America	(14,007	)		32,664
Coty, Inc. — Class A	(36,462	)		31,988
Provident Financial Services, Inc.	(19,087	)		29,728

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares			Unrealized Gain (Loss)
Washington Federal, Inc.		(23,982	)	$	26,685
KeyCorp		(36,853	)		26,381
Valley National Bancorp		(69,017	)		22,317
Commerce Bancshares, Inc.		(14,455	)		22,295
Newell Brands, Inc.		(24,983	)		19,439
Lithia Motors, Inc. — Class A		(10,610	)		17,183
WD-40 Co.		(6,158	)		15,628
ABM Industries, Inc.		(26,682	)		15,220
EI du Pont de Nemours & Co.		(24,181	)		14,843
Citizens Financial Group, Inc.		(14,401	)		14,240
General Electric Co.		(63,457	)		12,657
Lennox International, Inc.		(3,024	)		9,924
Loews Corp.		(23,284	)		9,630
Iron Mountain, Inc.		(26,293	)		9,015
Acuity Brands, Inc.		(2,506	)		6,854
Cheniere Energy, Inc.*		(11,746	)		5,548
O’Reilly Automotive, Inc.*		(3,408	)		4,096
Chevron Corp.		(4,749	)		1,915
Choice Hotels International, Inc.		(8,181	)		1,775
Ligand Pharmaceuticals, Inc. — Class B*		(4,795	)		1,453
Bemis Company, Inc.		(13,080	)		1,425
Bottomline Technologies de, Inc.*		(20,931	)		(641	)
Hershey Co.		(6,255	)		(1,045	)
Rockwell Automation, Inc.		(3,313	)		(2,097	)
Ball Corp.		(34,182	)		(2,152	)
National Retail Properties, Inc.		(12,210	)		(3,256	)
Carrizo Oil & Gas, Inc.*		(18,047	)		(3,487	)
Healthcare Realty Trust, Inc.		(20,305	)		(4,857	)

			Unrealized Loss
Uniti Group, Inc.	(19,890	)	(5,997	)
Alexandria Real Estate Equities, Inc.	(6,895	)	(6,513	)
Avery Dennison Corp.	(6,406	)	(9,070	)
Black Hills Corp.	(17,039	)	(11,038	)
Quaker Chemical Corp.	(5,981	)	(11,151	)
Public Storage	(3,638	)	(11,639	)
Monolithic Power Systems, Inc.	(6,629	)	(11,844	)
AO Smith Corp.	(10,298	)	(12,300	)
Duke Realty Corp.	(25,972	)	(12,511	)
Gulfport Energy Corp.*	(31,362	)	(16,249	)
MSCI, Inc. — Class A	(5,236	)	(17,256	)
CME Group, Inc. — Class A	(8,642	)	(19,963	)
Equifax, Inc.	(9,808	)	(20,053	)
UDR, Inc.	(18,824	)	(21,305	)
AptarGroup, Inc.	(9,579	)	(21,676	)
Education Realty Trust, Inc.	(19,618	)	(22,390	)
NiSource, Inc.	(26,989	)	(23,015	)
Parsley Energy, Inc. — Class A*	(16,651	)	(23,227	)
Weingarten Realty Investors	(51,382	)	(25,846	)
Alexander & Baldwin, Inc.	(11,804	)	(28,230	)
Aqua America, Inc.	(18,570	)	(28,285	)
Senior Housing Properties Trust	(60,421	)	(29,133	)
Tyler Technologies, Inc.*	(3,513	)	(29,758	)
International Flavors & Fragrances, Inc.	(19,707	)	(29,992	)
Roper Technologies, Inc.	(5,522	)	(31,930	)
KBR, Inc.	(36,461	)	(32,071	)
Expedia, Inc.	(12,427	)	(32,491	)
Newfield Exploration Co.*	(14,850	)	(34,275	)
Allegion plc	(7,456	)	(34,625	)
NIKE, Inc. — Class B	(23,770	)	(38,335	)
Fastenal Co.	(23,358	)	(39,106	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

	Shares			Unrealized Loss
Fortinet, Inc.*		(18,564	)	$	(39,539	)
Xylem, Inc.		(26,391	)		(39,791	)
Orbital ATK, Inc.		(5,983	)		(42,854	)
Lexington Realty Trust		(50,787	)		(43,074	)
Goldman Sachs Group, Inc.		(4,882	)		(43,297	)
DCT Industrial Trust, Inc.		(16,809	)		(43,544	)
Digital Realty Trust, Inc.		(5,721	)		(43,743	)
PPG Industries, Inc.		(7,589	)		(43,820	)
Intercontinental Exchange, Inc.		(12,567	)		(44,472	)
Red Hat, Inc.*		(6,142	)		(45,307	)
MarketAxess Holdings, Inc.		(5,203	)		(47,602	)
Healthcare Services Group, Inc.		(29,714	)		(48,171	)
MB Financial, Inc.		(19,137	)		(48,935	)
Global Payments, Inc.		(9,560	)		(51,695	)
Dominion Resources, Inc.		(23,317	)		(51,722	)
Sempra Energy		(14,658	)		(52,477	)
salesforce.com, Inc.*		(18,481	)		(53,158	)
Toll Brothers, Inc.		(16,791	)		(54,217	)
Symantec Corp.		(31,660	)		(54,266	)
Starbucks Corp.		(12,950	)		(56,169	)
Deltic Timber Corp.		(13,313	)		(57,896	)
Atmos Energy Corp.		(20,649	)		(60,120	)
Bio-Rad Laboratories, Inc. — Class A*		(2,528	)		(60,463	)
Old National Bancorp		(34,517	)		(65,157	)
RPM International, Inc.		(19,168	)		(65,583	)
Trimble, Inc.*		(16,680	)		(73,549	)
Four Corners Property Trust, Inc.		(24,576	)		(74,267	)
First Horizon National Corp.		(48,639	)		(77,726	)
Eagle Materials, Inc.		(8,200	)		(80,885	)
Netflix, Inc.*		(3,523	)		(82,500	)
Align Technology, Inc.*		(5,016	)		(86,055	)
Scotts Miracle-Gro Co. — Class A		(17,552	)		(87,196	)
Facebook, Inc. — Class A*		(10,504	)		(89,066	)
Fulton Financial Corp.		(40,912	)		(92,711	)
Alliant Energy Corp.		(35,203	)		(95,379	)
Weyerhaeuser Co.		(43,221	)		(97,260	)
BancorpSouth, Inc.		(21,527	)		(99,682	)
CoreSite Realty Corp.		(11,418	)		(102,004	)
Freeport-McMoRan, Inc.*		(45,568	)		(106,050	)
Royal Caribbean Cruises Ltd.		(5,880	)		(110,716	)
S&P Global, Inc.		(4,944	)		(111,136	)
New Jersey Resources Corp.		(32,789	)		(112,203	)
Priceline Group, Inc.*		(681	)		(116,379	)
Five Below, Inc.*		(19,102	)		(121,246	)
Domino’s Pizza, Inc.		(6,517	)		(121,781	)
Vertex Pharmaceuticals, Inc.*		(5,770	)		(124,719	)
MDC Holdings, Inc.		(30,886	)		(130,930	)
Ecolab, Inc.		(17,285	)		(131,059	)
Marriott Vacations Worldwide Corp.		(6,367	)		(143,137	)
Allegheny Technologies, Inc.		(45,388	)		(147,788	)
Ulta Beauty, Inc.*		(3,101	)		(158,974	)
Adobe Systems, Inc.*		(9,561	)		(167,280	)
Financial Engines, Inc.		(17,291	)		(181,218	)
NVIDIA Corp.		(8,114	)		(182,444	)
Copart, Inc.*		(14,094	)		(187,390	)
Equinix, Inc.		(6,164	)		(192,207	)
Take-Two Interactive Software, Inc.*		(16,678	)		(196,748	)
PTC, Inc.*		(21,349	)		(223,229	)
United States Steel Corp.		(26,120	)		(234,360	)
Bob Evans Farms, Inc.		(14,072	)		(282,765	)
Panera Bread Co. — Class A*		(5,489	)		(309,182	)
Total Custom Basket of Short Securities				$	(5,962,960	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
Counterparty	Exchange	Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date	Notional Amount			Market Value			Unrealized Appreciation (Depreciation)
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		1.71	%	12/16/19	$	(20,800,000	)	$	29,393		$	29,393
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		1.59	%	07/02/18		(34,550,000	)		(62,153	)		(62,153	)
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.73	%	07/02/23		(23,800,000	)		(771,006	)		(771,006	)
														$	(803,766	)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Buy (Sell)			Currency	Settlement Date	Settlement Value			Value at March 31, 2017			Net Unrealized Appreciation/ (Depreciation)
J.P. Morgan		(6,121,000	)	EUR	05/02/17	$	6,642,313		$	6,540,008		$	102,305
J.P. Morgan		3,459,000		GBP	04/11/17		(4,272,819	)		(4,334,795	)		61,976
J.P. Morgan		(1,900,000	)	EUR	04/11/17		2,055,682			2,027,840			27,842
Morgan Stanley		(2,194,000	)	EUR	04/11/17		2,368,395			2,341,622			26,773
J.P. Morgan		(1,300,000	)	EUR	04/11/17		1,405,059			1,387,470			17,589
Citigroup		(298,000	)	EUR	04/11/17		323,981			318,051			5,930
Deutsche Bank		(103,000	)	EUR	05/02/17		111,449			110,051			1,398
Bank of America		(9,920,000	)	EUR	04/11/17		10,516,857			10,587,460			(70,603	)
Barclays		(15,798,000	)	GBP	04/11/17		19,265,613			19,797,946			(532,333	)
												$	(359,123	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	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, 2017.
2	Illiquid security.
3	Zero coupon rate security.
4	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
5	Affiliated issuer — See Note 8.
6	Rate indicated is the 7 day yield as of March 31, 2017.
7	Variable rate security. Rate indicated is rate effective at March 31, 2017.
8	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,334,766,163 (cost $2,278,579,406), or 46.5% of total net assets.
9	Security with no rate was unsettled at March 31, 2017.
10	Perpetual maturity.
11	Security is in default of interest and/or principal obligations.
12	Repurchase Agreements — See Note 11.
13	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, 2017.
14	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, 2017.
15	The face amount is denominated in U.S. Dollars unless otherwise indicated.
16	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 $46,346,590 (cost $62,012,709), or 0.9% of total net assets — See Note 13.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	CME — Chicago Mercantile Exchange
	EUR — Euro
	GBP — British Pound
	See Sector Classification in Other Information section.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 30, 2017 (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	$	—	$	1,707,677,090	$	—	$	16,708,246	$	1,724,385,336
Collateralized Mortgage Obligations		—		911,729,058		—		14,984,455		926,713,513
Commercial Paper		—		590,397,884		—		—		590,397,884
Common Stocks		177,955,647		265,335		—		198,388		178,419,370
Corporate Bonds		—		476,413,147		—		8,463,325		484,876,472
Equity Swap Agreements		—		—		4,509,213		—		4,509,213
Forward Foreign Currency Exchange Contracts		—		—		243,813		—		243,813
Foreign Government Bonds		—		34,081,211		—		—		34,081,211
Interest Rate Swap Agreements		—		—		29,393		—		29,393
Mutual Funds		471,162,727		—		—		—		471,162,727
Options Purchased		25,488,286		5,717,007		—		—		31,205,293
Preferred Stocks		—		18,232,968		—		60,731		18,293,699
Repurchase Agreement		—		6,269,438		—		—		6,269,438
Senior Fixed Rate Interests		—		1,126,063		—		86,106		1,212,169
Senior Floating Rate Interests		—		645,136,041		—		70,604,300		715,740,341
Short-Term Investments		185,114,868		—		—		—		185,114,868
Warrants		—		143,260		—		—		143,260
Total	$	859,721,528	$	4,397,188,502	$	4,782,419	$	111,105,551	$	5,372,798,000

Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Common Stocks	$	43,931,084	$	—	$	—	$	—	$	43,931,084
Corporate Bonds		—		1,622,703		—		—		1,622,703
Equity Swap Agreements		—		—		6,117,365		—		6,117,365
Forward Foreign Currency Exchange Contracts		—		—		602,936		—		602,936
Interest Rate Swap Agreements		—		—		833,159		—		833,159
Options Written		8,406,520		2,192,531		—		—		10,599,051
Unfunded Loan Commitments		—		—		934,599		455,154		1,389,753
Total	$	52,337,604	$	3,815,234	$	8,488,059	$	455,154	$	65,096,051

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

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
MACRO OPPORTUNITIES FUND

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

Category	Level 3		Valuation Technique	Unobservable Inputs	Input Range
Asset Backed Securities	$	16,708,246	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Collateralized Mortgage Obligations		14,984,455	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Common Stocks		178,597	Model Price	Purchase Price		—
Common Stocks		19,252	Enterprise Value	Valuation Multiple		6.4	%
Common Stocks		539	Model Price	Liquidation value		—
Corporate Bonds		4,910,071	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Corporate Bonds		1,807,450	Model Price	Market Comparable Yields		8.7	%
Corporate Bonds		1,705,575	OAS off prior broker quote	Indicative Quote		—
Corporate Bonds		40,229	Model Price	Market Comparable Yields		12.8	%
Preferred Stocks		60,731	Model Price	Market Comparable Yields		—
Senior Fixed Rate Interests		86,106	Enterprise Value	Valuation Multiple		6.4	x
Senior Floating Rate Interests		34,760,736	Model Price	Purchase Price		—
Senior Floating Rate Interests		10,288,788	Model Price	Market Comparable Yields		4.6	%
Senior Floating Rate Interests		8,752,676	Model Price	Market Comparable Yields		5.7	%
Senior Floating Rate Interests		6,501,000	Model Price	Trade Price		—
Senior Floating Rate Interests		5,074,500	Model Price	Market Comparable Yields		5.5	%
Senior Floating Rate Interests		3,431,025	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Senior Floating Rate Interests		1,795,575	Model Price	Market Comparable Yields		5.8	%
Total	$	111,105,551

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of December 31, 2016, the Fund had securities with a total value of $3,522,846 transfer into Level 3 from Level 2 and securities with a total value of $5,143,776 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs. There were no other securities that transferred between levels.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
MACRO OPPORTUNITIES FUND

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, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests / Senior Fixed Rate Interests			Asset Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Common Stocks / Preferred Stocks			Total
MACRO OPPORTUNITIES
Assets:
Beginning Balance	$	58,771,052		$	17,737,017		$	—		$	8,508,365		$	91,922		$	85,108,356
Purchases		18,052,811			—			15,000,000			550			(11,400	)*		33,041,961
Sales, maturities and paydowns		(5,989,893	)		(1,196,125	)		—			(57,573	)		—			(7,243,591	)
Total realized gains or losses included in earnings		(113,862	)		—			—			(58	)		—			(113,920	)
Total change in unrealized gains or losses included in earnings		328,085			167,354			(15,545	)		1,453,780			1			1,933,675
Transfers into Level 3		3,344,250			—			—			—			178,596			3,522,846
Transfers out of Level 3		(3,702,037	)		—			—			(1,441,739	)		—			(5,143,776	)
Ending Balance	$	70,690,406		$	16,708,246		$	14,984,455		$	8,463,325		$	259,119		$	111,105,551
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	160,623		$	160,195		$	(15,545	)	$	1,450,648		$	1		$	1,755,922

* Prior year purchase reversal.

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MACRO OPPORTUNITIES FUND

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $4,846,631,717)	$	4,890,583,416
Investments in affiliated issuers, at value (cost $461,627,818)		471,162,727
Repurchase agreements, at value (cost $6,269,438)		6,269,438
Total investments (cost $5,314,528,973)		5,368,015,581
Foreign currency, at value (cost $27,957)		27,777
Cash		39,997,738
Segregated cash with broker		15,275,055
Unrealized appreciation on swap agreements		4,538,606
Unrealized appreciation on forward foreign currency exchange contracts		243,813
Prepaid expenses		222,684
Receivables:
Securities sold		37,291,785
Fund shares sold		35,387,260
Interest		20,924,945
Dividends		822,575
Swap settlement		458,346
Foreign taxes reclaim		23,673
Total assets		5,523,229,838
Liabilities:
Securities sold short, at value (proceeds $40,950,130)		45,553,787
Segregated cash due to broker		17,407,133
Options written, at value (premiums received $8,755,082)		10,599,051
Unrealized depreciation on swap agreements		6,950,524
Unfunded loan commitments, at value (Note 9) (proceeds $2,545,590)		1,389,753
Unrealized depreciation on forward foreign currency exchange contracts		602,936
Payable for:
Securities purchased	$	402,629,604
Fund shares redeemed		10,104,647
Management fees		3,050,051
Transfer agent/maintenance fees		708,642
Distribution and service fees		544,824
Fund accounting/administration fees		327,074
Trustees’ fees*		98,558
Miscellaneous		1,833,872
Total liabilities		501,800,456
Net assets	$	5,021,429,382
Net assets consist of:
Paid in capital	$	5,089,584,388
Accumulated net investment loss		(29,767,074	)
Accumulated net realized loss on investments		(83,864,132	)
Net unrealized appreciation on investments		45,476,200
Net assets	$	5,021,429,382
A-Class:
Net assets	$	861,539,674
Capital shares outstanding		32,394,392
Net asset value per share	$	26.60
Maximum offering price per share (Net asset value divided by 96.00%)	$	27.71
C-Class:
Net assets	$	390,092,904
Capital shares outstanding		14,677,520
Net asset value per share	$	26.58
P-Class:
Net assets	$	194,408,945
Capital shares outstanding		7,307,804
Net asset value per share	$	26.60
Institutional Class:
Net assets	$	3,575,387,859
Capital shares outstanding		134,270,668
Net asset value per share	$	26.63

* 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, 2017

Investment Income:
Interest	$	98,539,004
Dividends from securities of affiliated issuers		3,234,422
Dividends from securities of unaffiliated issuers		1,090,425
Total investment income		102,863,851
Expenses:
Management fees		17,756,576
Transfer agent/maintenance fees
A-Class		451,238
C-Class		209,732
P-Class		67,761
Institutional Class		269,214
Distribution and service fees:
A-Class		964,088
C-Class		1,771,151
P-Class		154,914
Fund accounting/administration fees		1,599,726
Line of credit fees		368,595
Prime broker interest expense		253,242
Trustees’ fees*		37,360
Custodian fees		32,161
Miscellaneous		502,410
Total expenses		24,438,168
Less:
Expenses waived by Adviser		(1,992,564	)
Expenses reimbursed by Adviser:
A-Class		(104,548	)
C-Class		(17,921	)
P-Class		(32,826	)
Institutional Class		(275,954	)
Total waived expenses		(2,423,813	)
Net expenses		22,014,355
Net investment income		80,849,496
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	24,292,133
Investments in affiliated issuers		1,092,106
Realized gain distributions received from investment company shares		45,169
Swap agreements		10,239,079
Foreign currency		1,270,676
Forward currency exchange contracts		1,571,215
Securities sold short		2,292,993
Options purchased		(5,940,195	)
Options written		2,321,664
Net realized gain		37,184,840
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		42,178,317
Investments in affiliated issuers		5,573,986
Securities sold short		(794,238	)
Swap agreements		2,631,546
Options purchased		7,089,769
Options written		(3,961,581	)
Foreign currency		50,379
Forward foreign currency exchange contracts		(673,766	)
Net change in unrealized appreciation (depreciation)		52,094,412
Net realized and unrealized gain		89,279,252
Net increase in net assets resulting from operations	$	170,128,748

* 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	80,849,496		$	157,150,208
Net realized gain (loss) on investments		37,184,840			(65,495,116	)
Net change in unrealized appreciation (depreciation) on investments		52,094,412			75,814,822
Net increase in net assets resulting from operations		170,128,748			167,469,914
Distributions to shareholders from:
Net investment income
A-Class		(15,839,792	)		(43,084,447	)
C-Class		(5,930,473	)		(17,221,539	)
P-Class		(2,449,700	)		(3,524,032	)
Institutional Class		(60,012,057	)		(129,098,070	)
Total distributions to shareholders		(84,232,022	)		(192,928,088	)
Capital share transactions:
Proceeds from sale of shares
A-Class		275,188,072			282,051,379
C-Class		88,218,934			78,368,484
P-Class		144,878,749			52,735,159
Institutional Class		1,628,757,428			1,037,025,887
Distributions reinvested
A-Class		12,811,057			34,200,550
C-Class		4,993,805			14,434,110
P-Class		2,449,700			3,524,032
Institutional Class		51,709,376			111,104,610
Cost of shares redeemed
A-Class		(170,961,503	)		(427,797,431	)
C-Class		(47,998,957	)		(127,965,462	)
P-Class		(19,080,579	)		(56,282,422	)
Institutional Class		(367,854,666	)		(1,323,116,513	)
Net increase (decrease) from capital share transactions		1,603,111,416			(321,717,617	)
Net increase (decrease) in net assets		1,689,008,142			(347,175,791	)
Net assets:
Beginning of period		3,332,421,240			3,679,597,031
End of period	$	5,021,429,382		$	3,332,421,240
Accumulated net investment loss at end of period	$	(29,767,074	)	$	(26,384,548	)

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, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		10,425,703			11,100,448
C-Class		3,342,550			3,085,029
P-Class		5,489,571			2,066,333
Institutional Class		61,619,216			40,790,744
Shares issued from reinvestment of distributions
A-Class		485,702			1,349,655
C-Class		189,496			570,223
P-Class		93,365			139,423
Institutional Class		1,956,252			4,378,100
Shares redeemed
A-Class		(6,490,655	)		(16,874,688	)
C-Class		(1,822,454	)		(5,070,813	)
P-Class		(722,274	)		(2,206,800	)
Institutional Class		(13,942,113	)		(52,364,340	)
Net increase (decrease) in shares		60,624,359			(13,036,686	)

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

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, 2017a,h			Year Ended Sept. 30, 2016h			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	$	26.01		$	26.07		$	26.81		$	26.31		$	26.53		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.52			1.16			.98			1.10			1.37			.99
Net gain (loss) on investments (realized and unrealized)		.61			.21			(.55	)		.69			(.04	)		1.52
Total from investment operations		1.13			1.37			.43			1.79			1.33			2.51
Less distributions from:
Net investment income		(.54	)		(1.43	)		(1.17	)		(1.27	)		(1.43	)		(.98	)
Net realized gains		—			—			—			—			(.12	)		—
Return of capital		—			—			—			(.02	)		—			—
Total distributions		(.54	)		(1.43	)		(1.17	)		(1.29	)		(1.55	)		(.98	)
Net asset value, end of period	$	26.60		$	26.01		$	26.07		$	26.81		$	26.31		$	26.53
Total Returni		4.35	%		5.57	%		1.59	%		6.88	%		5.01	%		10.19	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	861,540		$	727,602		$	844,523		$	357,765		$	334,751		$	83,081
Ratios to average net assets:
Net investment income (loss)		3.93	%		4.59	%		3.67	%		4.08	%		5.11	%		4.61	%
Total expensesd		1.40	%		1.65	%		1.52	%		1.51	%		1.56	%		1.61	%
Net expensese,g		1.27	%		1.46	%		1.38	%		1.36	%		1.41	%		1.37	%
Portfolio turnover rate		27	%		61	%		40	%		54	%		84	%		46	%

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

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, 2017a,h			Year Ended Sept. 30, 2016h			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	$	25.99		$	26.05		$	26.79		$	26.29		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.42			.98			.78			.90			1.17			.82
Net gain (loss) on investments (realized and unrealized)		.61			.20			(.55	)		.69			(.03	)		1.53
Total from investment operations		1.03			1.18			.23			1.59			1.14			2.35
Less distributions from:
Net investment income		(.44	)		(1.24	)		(.97	)		(1.07	)		(1.24	)		(.84	)
Net realized gains		—			—			—			—			(.12	)		—
Return of capital		—			—			—			(.02	)		—			—
Total distributions		(.44	)		(1.24	)		(.97	)		(1.09	)		(1.36	)		(.84	)
Net asset value, end of period	$	26.58		$	25.99		$	26.05		$	26.79		$	26.29		$	26.51
Total Returni		4.00	%		4.79	%		0.84	%		6.10	%		4.26	%		9.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	390,093		$	337,075		$	374,633		$	248,359		$	163,129		$	32,711
Ratios to average net assets:
Net investment income (loss)		3.17	%		3.87	%		2.90	%		3.34	%		4.36	%		3.83	%
Total expensesd		2.15	%		2.36	%		2.24	%		2.22	%		2.29	%		2.31	%
Net expensese,g		2.04	%		2.20	%		2.13	%		2.10	%		2.15	%		2.11	%
Portfolio turnover rate		27	%		61	%		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.

P-Class	Period Ended March 31, 2017a,h			Year Ended Sept. 30, 2016h			Period Ended Sept. 30, 2015f,h
Per Share Data
Net asset value, beginning of period	$	26.02		$	26.07		$	26.78
Income (loss) from investment operations:
Net investment income (loss)c		.50			1.20			.37
Net gain (loss) on investments (realized and unrealized)		.62			.21			(.62	)
Total from investment operations		1.12			1.41			(.25	)
Less distributions from:
Net investment income		(.54	)		(1.46	)		(.46	)
Total distributions		(.54	)		(1.46	)		(.46	)
Net asset value, end of period	$	26.60		$	26.02		$	26.07
Total Returni		4.35	%		5.74	%		(0.95	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	194,409		$	63,665		$	63,819
Ratios to average net assets:
Net investment income (loss)		3.79	%		4.73	%		3.36	%
Total expensesd		1.39	%		1.49	%		1.43	%
Net expensese,g		1.23	%		1.33	%		1.30	%
Portfolio turnover rate		27	%		61	%		40	%

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.

Institutional Class	Period Ended March 31, 2017a,h			Year Ended Sept. 30, 2016h			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	$	26.04		$	26.10		$	26.84		$	26.34		$	26.56		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.55			1.26			1.06			1.18			1.46			1.12
Net gain (loss) on investments (realized and unrealized)		.63			.21			(.54	)		.70			(.04	)		1.47
Total from investment operations		1.18			1.47			(.52	)		1.88			1.42			2.59
Less distributions from:
Net investment income		(.59	)		(1.53	)		(1.26	)		(1.36	)		(1.52	)		(1.03	)
Net realized gains		—			—			—			—			(.12	)		—
Return of capital		—			—			—			(.02	)		—			—
Total distributions		(.59	)		(1.53	)		(1.26	)		(1.38	)		(1.64	)		(1.03	)
Net asset value, end of period	$	26.63		$	26.04		$	26.10		$	26.84		$	26.34		$	26.56
Total Returni		4.56	%		5.97	%		1.92	%		7.23	%		5.35	%		10.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,575,388		$	2,204,079		$	2,396,622		$	914,366		$	416,727		$	106,716
Ratios to average net assets:
Net investment income (loss)		4.21	%		4.96	%		3.97	%		4.37	%		5.43	%		5.22	%
Total expensesd		1.05	%		1.29	%		1.20	%		1.18	%		1.23	%		1.31	%
Net expensese,g		0.93	%		1.08	%		1.05	%		1.02	%		1.09	%		1.06	%
Portfolio turnover rate		27	%		61	%		40	%		54	%		84	%		46	%

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

FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

a	Unaudited figures for the period ended March 31, 2017. 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 and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be:

	03/31/17	09/30/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	1.24%	1.28%	1.30%	1.27%	1.29%	1.29%
C-Class	2.01%	2.02%	2.05%	2.01%	2.01%	2.02%
P-Class	1.20%	1.15%	1.21%	N/A	N/A	N/A
Institutional Class	0.90%	0.90%	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.

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

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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a non-diversified investment company.

Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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.

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

A summary of the Fund’s investment in its Subsidiary is as follows:

Fund	Commencement Date of Subsidiary	Subsidiary Net Assets at March 31, 2017		% of Net Assets of the Fund at March 31, 2017
Macro Opportunities Fund	01/08/15	$	4,333,342		0.09	%

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, 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 and/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, to 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 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 currencies 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 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.

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 (“OTC”) 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 is 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.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The value of equity swaps with custom portfolio baskets shall be computed by using the last exchange sale price for each underlying equity security within the swap agreement. A custom portfolio equity swap will be adjusted to include dividends accrued, financing charges and/or interest, as applicable, under the swap agreement.

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

In connection with 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, 2017.

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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 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 an 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 contract is closed. When the 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

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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, 2017, 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 0.82% at March 31, 2017.

M. 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.

N. 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign 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.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The Funds may utilize derivatives for the following purposes:

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

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

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, Index Exposure, Speculation		23,864

Fund	Use	Average Notional*
Macro Opportunities Fund	Duration, Hedge, Index Exposure, Speculation	$	200,380,500

* 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 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables represent the Fund’s use and activity of options written for the period ended March 31, 2017:

Written Call Options
	Macro Opportunities Fund
	Number of Contracts			Premium Amount
Balance at September 30, 2016		9,069		$	2,711,631
Options Written		57,976			5,275,816
Options terminated in closing purchase transactions		(9,069	)		(2,711,631	)
Options expired		—			—
Options exercised		—			—
Balance at March 31, 2017		57,976		$	5,275,816

Written Put Options
	Macro Opportunities Fund
	Number of Contracts		Premium Amount
Balance at September 30, 2016		—	$	—
Options Written		8,995		3,479,266
Options terminated in closing purchase transactions		—		—
Options expired		—		—
Options exercised		—		—
Balance at March 31, 2017		8,995	$	3,479,266

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 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.

Equity 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

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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 equity swaps on a quarterly basis:

		Average Notional
Fund	Use	Long		Short
Macro Opportunities Fund	Index exposure, Speculation	$	189,041,658	$	256,071,639

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, Speculation	$	—	$	1,333,725,000

Forward Foreign Currency Exchange Contracts

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

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the 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	$	27,709,281	$	2,342,140

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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, 2017:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate contracts	Unrealized appreciation on swap agreements	Unrealized appreciation on swap agreements
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts
Currency/Interest Rate contracts	Investments in unaffiliated issues, at value	Options written, at value

The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2017:

Asset Derivative Investments Value
Fund	Swaps Equity Contracts		Swaps Interest Rate Contracts		Options Purchased Currency Contracts		Options Purchased Interest Rate Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2017
Macro Opportunities Fund	$	4,509,213	$	29,393	$	15,667,725	$	15,537,568	$	243,813	$	35,987,712

Liability Derivative Investments Value
Fund	Swaps Equity Contracts		Swaps Interest Rate Contracts		Options Purchased Currency Contracts		Options Written Interest Rate Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2017
Macro Opportunities Fund	$	6,117,365	$	833,159	$	2,192,531	$	8,406,520	$	602,936	$	18,152,511

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The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2017:

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
Currency/Commodity/Equity/Interest Rate/Total Return 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 agrrements
	Net change in unrealized appreciation (depreciation) on swap agreements

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, 2017:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Interest Rate Agreements		Swaps Equity Agreements		Swaps  Currency Agreements		Swaps Total Return Agreements		Options Written Interest Rate Contracts		Options Written Commodities Contracts
Macro Opportunities Fund	$	1,572,489	$	359,377	$	194,574	$	8,112,639	$	—	$	2,321,664

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Options Purchased Foreign Currency Contracts		Options Purchased Interest Rate Contracts		Options Purchased Commodities Contracts		Options Purchased Foreign Currency Contracts			Forward Exchange Contracts		Total
Macro Opportunities Fund	$	—	$	—	$	—	$	(5,940,195	)	$	1,571,215	$	8,191,763

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Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Swaps Interest Rate Agreements		Swaps Equity Agreements		Swaps Currency Agreements		Swaps Total Return Agreements		Options Written Interest Rate Contracts			Options Written Commodities Contracts
Macro Opportunities Fund	$	1,200,762	$	7,591	$	—	$	1,423,193	$	(3,130,704	)	$	(2,117,612	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Options Written  Foreign Currency Contracts		Options Purchased Interest Rate Contracts		Options Purchased Commodities Contracts		Options Purchased Foreign Currency Contracts			Forward Exchange Contracts			Total
Macro Opportunities Fund	$	1,286,735	$	5,391,768	$	3,899,670	$	(2,201,669	)	$	(673,766	)	$	5,085,968

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

At a meeting that occurred on November 16, 2016, the Board approved to add an advisory fee breakpoint (“breakpoint”) to the Fund.

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. Effective January 30, 2017, a breakpoint of 5 basis points (0.05%) on average daily net assets above $5 billion will apply to the Fund’s advisory fees.

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. For the period ended March 31, 2017, the Fund waived $20,956 related to advisory fees in the Subsidiary.

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GI 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
Macro Opportunities Fund - A-Class		1.36	%	11/30/12	02/01/18
Macro Opportunities Fund - C-Class		2.11	%	11/30/12	02/01/18
Macro Opportunities Fund - P-Class		1.36	%	05/01/15	02/01/18
Macro Opportunities Fund - Institutional Class		0.95	%	11/30/12	02/01/18

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, 2017, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Total
Macro Opportunities Fund
A-Class	$	269,842	$	863,800	$	990,093	$	285,928	$	2,409,663
C-Class		122,942		287,650		353,801		101,234		865,627
P-Class		—		10,952		61,438		61,699		134,089
Institutional Class		520,051		2,185,566		3,487,376		919,691		7,112,684

For the period ended March 31, 2017, 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, 2017, the Fund waived $1,034,304 related to investments in affiliated funds.

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For the period ended March 31, 2017, GFD retained sales charges of $712,076 relating to sales of A-Class shares of the Trust.

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

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change had no impact on the financial statements of the Trust.

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s fees and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

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,

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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.

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 from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the 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

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obligations of the Fund and cash collateral received from the counterparty, if any, are 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 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	$	4,509,213	$	—	$	4,509,213	$	4,509,213	$	—	$	—
Foreign forward currency exchange contracts			243,813		—		243,813		26,773		—		217,040
Option contracts			31,205,293		—		31,205,293		10,669,654		6,620,000		13,915,639

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								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	$	6,117,365	$	—	$	6,117,365	$	4,535,986	$	1,581,379	$	—
Foreign forward currency exchange contracts			602,936		—		602,936		70,603		—		532,333
Option contracts			10,599,051		—		10,599,051		10,599,051		—		—

¹ Centrally cleared swaps are excluded from these reported amounts.

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.

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At March 31, 2017, 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
Macro Opportunities Fund	$	5,316,221,903	$	142,119,480	$	(90,325,802	)	$	51,793,678

7. Securities Transactions

For the period ended March 31, 2017, 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	$	2,523,521,360	$	980,578,940

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 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, 2017, 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
Macro Opportunities Fund	$	16,956,793	$	41,832,709	$	3,307,013

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,

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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, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Transactions during the period ended March 31, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions			Value 03/31/17
Macro Opportunities Fund
Guggenheim Alpha Opportunity Fund - Institutional Class	$	50,457,164	$	110,011,896	$	—		$	166,244,516
Guggenheim Floating Rate Strategies Fund - Institutional Class		12,390,218		236,756		—			12,694,154
Guggenheim High Yield Fund - Institutional Class		13,357,046		15,500,783		(29,124,796	)		—
Guggenheim Limited Duration Fund - Institutional Class		48,212,909		273,064,183		—			161,235,498
Guggenheim Risk Managed Real Estate Fund - Institutional Class		13,911,113		509,992		—			14,221,264
Guggenheim Strategy Fund I		81,343,779		3,732,541		—			85,272,458
Guggenheim Strategy Fund II		—		31,458,929		—			31,494,837
	$	219,672,229	$	434,515,080	$	(29,124,796	)	$	471,162,727

Affiliated issuers by Fund	Shares 03/31/17		Investment Income		Realized Gain (Loss)		Capital Gain Distributions
Macro Opportunities Fund
Guggenheim Alpha Opportunity Fund - Institutional Class		5,591,810	$	—	$	—	$	11,896
Guggenheim Floating Rate Strategies Fund - Institutional Class		486,739		236,749		—		—
Guggenheim High Yield Fund - Institutional Class		—		551,270		773,201		—
Guggenheim Limited Duration Fund - Institutional Class		6,519,834		1,391,436		11,979		—
Guggenheim Risk Managed Real Estate Fund - Institutional Class		494,825		169,792		306,926		33,273
Guggenheim Strategy Fund I		3,404,090		729,746		—		—
Guggenheim Strategy Fund II		1,259,793		155,429		—		—
			$	3,234,422	$	1,092,106	$	45,169

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9. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2017. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2017, were as follows:

Borrower	Maturity Date	Face Amount1		Value
Macro Opportunities Fund
Acosta, Inc.	09/26/19	$	5,066,667	$	335,609
Acrisure LLC	11/22/23		222,698		—	*
Advantage Sales & Marketing LLC	07/25/19		900,000		53,657
American Bath Group LLC	09/30/23		47,170		—	*
American Stock Transfer & Trust	06/26/18		400,000		12,985
BBB Industries, LLC	11/04/19		1,750,000		125,537
CEVA Group Plc (United Kingdom)	03/19/19		520,000		63,700
CH Hold Corp.	08/01/17		159,091		262
Dubois Chemicals, Inc.	03/15/24		600,000		—	*
Endries International Inc.	06/29/17		2,000,000		—	*
Epicor Software	06/01/20		2,000,000		157,521
Eyemart Express	12/18/19		500,000		32,937
Go Daddy Operating Company LLC	12/12/17	EUR	4,000,000		—	*
Hillman Group, Inc.	06/30/19		1,000,000		48,889
Internet Brands	07/08/21		790,588		—	*
IntraWest Holdings S.à r.l.	12/10/18		750,000		10,142
Learning Care Group (US), Inc.	05/05/19		500,000		35,747
Linn Energy LLC / Linn Energy Finance Corp.	02/27/21		770,679		57,801
National Technical Systems	06/12/21		594,118		24,432
Oberthur Technologies Group SAS	01/10/24	EUR	833,394		—	*
Oberthur Technologies of America Corp.	01/10/24		1,422,368		—	*
Pro Mach Group, Inc.	10/22/19		900,000		55,514
Signode Industrial Group US, Inc.	05/01/19		3,400,000		176,615
Solera LLC	03/03/21		1,620,000		178,823
Wencor Group	06/19/19		376,923		19,582
		$	31,123,696	$	1,389,753

1	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Security has a market value of $0.

10. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary

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measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

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
Barclays					Nature's Bounty Co/The
0.25% - 0.50%					7.63%
Open Maturity	$	1,628,438	$	1,635,890	05/15/21	$	1,300,000	$	1,405,490
					Envision Healthcare Corp.
					5.13%
					07/01/22		250,000		257,603
						$	1,550,000	$	1,663,093
Jeffries					Neuberger Berman CLO Ltd
3.95% - 4.01%					0.00%
04/10/17 - 04/18/17		4,641,000		4,657,436	01/23/24		14,779,050		9,163,011
					Venture CDO Ltd
					0.00%
					10/20/28		1,831,521		1,685,000
						$	16,610,571	$	10,848,011

* The repurchase agreements were used as a means of borrowing securities to sell short.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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. As of March 31, 2017, the Fund did not have any open reverse repurchase agreements.

Fund	Number of Days Outstanding		Balance at March 31, 2017		Average Balance outstanding		Average Interest Rate
Macro Opportunities Fund		89	$	—	$	2,059,850		-0.21	%

13. Restricted Securities

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

Fund	RestrictedSecurities	AcquisitionDate	Cost		Value
Macro Opportunities Fund	Airplanes Pass Through Trust
	2001-1A, 1.46% due 03/15/19	01/18/12	$	3,057,624	$	1,175,212
	Banco Bradesco SA 2014-1,
	5.44% due 03/12/26	11/19/14		2,935,159		2,959,810
	Capmark Military Housing Trust
	2007-AET2, 6.06% due 10/10/52	04/23/15		5,838,896		6,028,106
	Copper River CLO Ltd.
	2007-1A, due 01/20/21	05/09/14		9,535,500		1,145,829
	Customers Bank
	6.13% due 06/26/29	06/24/14		4,500,000		4,601,250
	Fortress Credit Opportunities
	2005-1A, 0.94% due 07/15/19	02/16/12		264,934		269,287

78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded)

Fund	Restricted Securities	Acquisition Date	Cost		Value
	Great Lakes CLO Ltd.
	2012-1A, due 01/15/23	12/06/12	$	3,103,750	$	1,377,576
	RFTI Issuer Ltd.
	2015-FL1, 4.79% due 08/15/30	10/14/15		22,787,609		22,876,104
	Schahin II Finance Company SPV Ltd.
	5.88% due 09/25/22	03/21/12		4,838,890		869,101
	Turbine Engines Securitization Ltd.
	2013-1A, 6.38% due 12/13/48	11/27/13		2,114,060		2,009,096
	Turbine Engines Securitization Ltd.
	2013-1A, 5.13% due 12/13/48	11/27/13		3,036,287		3,035,219
			$	62,012,709	$	46,346,590

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79

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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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.

80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81

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
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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).

82 | 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).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	Former: Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83

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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

84 | 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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85

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
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, 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).

86 | 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
Adam J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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 | 87

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments

88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89

3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Floating Rate Strategies Fund

GuggenheimInvestments.com FR-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
FLOATING RATE STRATEGIES FUND	8
NOTES TO FINANCIAL STATEMENTS	36
OTHER INFORMATION	52
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	53
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	60

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500”) Index* set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Floating Rate Strategies Fund
A-Class	1.03%	2.33%	$ 1,000.00	$ 1,023.30	$ 5.20
C-Class	1.78%	1.95%	1,000.00	1,019.50	8.96
P-Class	1.03%	2.32%	1,000.00	1,023.20	5.20
Institutional Class	0.78%	2.45%	1,000.00	1,024.50	3.94
Table 2. Based on hypothetical 5% return (before expenses)
Floating Rate Strategies Fund
A-Class	1.03%	5.00%	$ 1,000.00	$ 1,019.80	$ 5.19
C-Class	1.78%	5.00%	1,000.00	1,016.06	8.95
P-Class	1.03%	5.00%	1,000.00	1,019.80	5.19
Institutional Class	0.78%	5.00%	1,000.00	1,021.04	3.93

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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.

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)
Flex Acquisition Company, Inc.	1.0%
LPL Holdings, Inc.	1.0%
Equinox Holdings, Inc.	1.0%
Univision Communications, Inc.	1.0%
LANDesk Group, Inc.	1.0%
VC GB Holdings, Inc.	0.9%
Press Ganey Holdings, Inc.	0.9%
Dynegy, Inc.	0.9%
Leslie’s Poolmart, Inc.	0.9%
Radiate HoldCo LLC	0.9%
Top Ten Total	9.5%

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

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)(concluded) March 31, 2017

Portfolio Composition by Quality Rating¹

Rating	% of Total Investments
Fixed Income Instruments
AAA	0.8%
AA	0.8%
A	3.1%
BBB	11.5%
BB	31.1%
B	44.5%
CCC	2.2%
CC	0.1%
NR2	3.4%
Other Instruments	2.5%
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 | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS† - 0.0%
Energy - 0.0%
Titan Energy LLC*,1		10,110	$	184,002
Consumer, Non-cyclical - 0.0%16,231,796
Targus Group International Equity, Inc*,†††,1		13,186		19,252
Basic Materials - 0.0%
Mirabela Nickel Ltd.*,†††,1		4,755,634		363
Total Common Stocks
(Cost $2,130,407)				203,617
MUTUAL FUNDS† - 0.7%
Guggenheim Strategy Fund I2		742,332		18,595,415
Guggenheim Strategy Fund II2		290,542		7,263,541
Total Mutual Funds
(Cost $25,699,164)				25,858,956
SHORT-TERM INVESTMENTS† - 2.0%
Federated U.S. Treasury Cash Reserve Fund - Institutional Shares 0.48%3		69,808,981		69,808,981
Total Short-Term Investments
(Cost $69,808,981)				69,808,981

	Face Amount9
SENIOR FLOATING RATE INTERESTS†† - 80.5%
Industrial - 15.7%
Flex Acquisition Company, Inc.
4.25% due 12/29/23	$	36,760,714	36,955,913
VC GB Holdings, Inc.
4.75% due 02/28/24		33,036,685	33,201,867

Rexnord LLC/ RBS Global, Inc.
3.84% due 08/21/23		29,986,725	30,072,486
Quikrete Holdings, Inc.
4.23% due 11/15/23		26,433,750	26,650,771
USIC Holding, Inc.
5.17% due 12/08/23		25,641,416	25,769,623
Travelport Finance Luxembourg Sarl
4.29% due 09/02/21		24,470,530	24,633,749
BWAY Holding Co.
3.25% due 04/03/24		24,700,000	24,622,936
Transdigm, Inc.
4.04% due 05/14/22		12,846,355	12,789,061
4.14% due 06/04/21		6,623,878	6,601,423
3.98% due 06/09/23		4,974,937	4,949,267
Optiv, Inc.
4.25% due 02/01/24		22,415,824	22,514,006
Advanced Disposal Services, Inc.
3.70% due 11/10/23		22,051,886	22,166,777
Filtration Group Corp.
4.30% due 11/23/20		18,204,396	18,325,819
Berry Plastics Corp.
3.52% due 01/19/24		9,500,000	9,556,715
3.50% due 10/01/22		8,525,003	8,574,704
American Builders & Contractors Supply Co., Inc.
3.73% due 10/31/23		17,933,712	17,964,558
Cartrawler
4.25% due 04/29/211	EUR	16,231,796	17,144,434
Reynolds Group Holdings, Inc.
3.98% due 02/05/23		16,471,969	16,528,633
Brickman Group Holdings, Inc.
4.00% due 12/18/20		16,239,959	16,271,302
Engility Corp.
4.75% due 08/14/23		13,908,298	13,964,766
Zodiac Pool Solutions LLC
5.65% due 12/20/23		13,240,943	13,318,137

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Amber Bidco Ltd.
5.35% due 06/30/21†††,1	$	10,480,000	$	10,351,879
4.76% due 06/30/21†††,1	GBP	2,333,333		2,887,868
CHI Overhead Doors, Inc.
4.25% due 07/29/22		12,710,005		12,688,779
TMF Group Holding BV
4.00% due 10/16/23	EUR	10,750,000		11,568,207
American Bath Group LLC
6.40% due 09/30/23		10,728,132		10,799,976
DAE Aviation
5.25% due 07/07/22		10,376,159		10,415,069
CareCore National LLC
5.50% due 03/05/21		9,540,494		9,564,345
Crosby Worldwide
4.05% due 11/23/20		6,505,457		5,989,899
CPM Holdings, Inc.
5.25% due 04/11/22		5,713,000		5,784,413
Thermasys Corp.
5.25% due 05/03/191		6,227,813		5,573,892
Corialis Group Ltd.
3.75% due 03/11/24	EUR	5,075,000		5,431,436
Kuehg Corp.
5.40% due 08/12/22		5,386,466		5,413,399
Hardware Holdings LLC
7.68% due 03/30/20†††,1		5,484,375		5,374,688
GYP Holdings III Corp.
4.54% due 04/01/21		4,360,010		4,374,529
NVA Holdings, Inc.
4.65% due 08/14/21		4,287,344		4,324,858
Generac Power Systems, Inc.
3.75% due 05/31/23		4,050,000		4,067,739
Power Borrower, LLC
4.40% due 05/06/20		3,596,794		3,594,564
Hillman Group, Inc.
4.65% due 06/30/21		3,440,373		3,464,731
Survitec
4.00% due 03/12/22	EUR	2,700,000		2,873,413
SIG Onex Wizard Acquisition
4.00% due 03/14/22		2,815,320		2,831,649
Learning Care Group (US), Inc.
5.06% due 05/05/21		2,632,852		2,662,472
SI Organization
5.65% due 11/22/19		2,404,944		2,428,993
Signode Industrial Group US, Inc.
4.06% due 05/01/21		2,406,250		2,409,258
Berlin Packaging LLC
4.50% due 10/01/21		2,351,611		2,362,522
Thor Bidco (Morrison Utility)
5.86% due 09/20/231	GBP	1,850,000		2,318,005
Doncasters Group Ltd.
9.50% due 10/09/20		2,348,621		2,256,625
Avis Budget Car Rental LLC
3.15% due 03/15/22		1,995,000		1,997,494
Constantia Lux Parent S.A.
4.00% due 04/30/22		1,822,308		1,823,456
Tank Holdings Corp.
5.25% due 03/16/22		1,782,609		1,781,129
Mast Global
7.75% due 09/12/19†††,1		1,583,084		1,576,552
Ceva Group Plc (United Kingdom)
8.00% due 03/19/19†††,1		1,440,000		1,263,600
NANA Development Corp.
8.00% due 03/15/181		1,020,000		994,500
Pro Mach Group, Inc.
4.75% due 10/22/21		953,170		954,066
Wencor Group
4.48% due 06/19/191		701,538		658,997
Atkore International, Inc.
4.15% due 12/22/23		597,924		601,476
Omnitracs, Inc.
8.90% due 05/25/21		350,000		351,096

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Hunter Fan Co.
6.50% due 12/20/171	$	150,743	$	149,235
Total Industrial				556,541,756
Consumer, Cyclical - 15.2%
AlixPartners, LLP
4.00% due 03/28/24		26,500,000		26,599,375
4.00% due 07/28/22		16,033,426		16,059,240
Gates Global, Inc.
3.50% due 04/01/24	EUR	20,275,000		21,626,739
4.40% due 07/05/21		14,871,692		14,882,846
Equinox Holdings, Inc.
4.25% due 03/08/24		34,000,000		34,244,460
Leslie’s Poolmart, Inc.
4.77% due 08/16/23		31,300,449		31,394,350
Hilton Worldwide Finance LLC
2.98% due 10/25/23		28,200,937		28,416,110
Smart & Final Stores LLC
4.58% due 11/15/22		28,140,447		27,612,814
Fitness International LLC
5.40% due 07/01/20		25,412,033		25,697,918
Sears Holdings Corp.
5.50% due 06/30/18		24,809,662		24,476,220
Life Time Fitness, Inc.
4.00% due 06/10/22		22,466,912		22,506,229
PetSmart Inc
4.02% due 03/11/22		22,355,416		21,321,478
Eldorado Resorts, Inc.
2.25% due 03/15/24		20,300,000		20,249,250
Navistar Inc.
5.00% due 08/07/20		19,756,875		19,954,444
PC Intermediate Holdings, Inc.
3.87% due 08/19/22		19,729,078		19,669,101
Petco Animal Supplies, Inc.
4.29% due 01/26/23		18,164,000		17,078,701
Acosta, Inc.
4.29% due 09/26/21		17,788,369		16,632,125
Advantage Sales & Marketing LLC
4.25% due 07/23/21		13,391,957		13,241,298
3.86% due 07/25/19†††,1		3,200,000		3,008,730
BBB Industries, LLC
6.00% due 11/03/21		15,576,050		15,585,863
National Vision, Inc.
4.00% due 03/12/21		14,161,937		14,150,182
Greektown Holdings LLC
3.75% due 03/20/24		12,950,000		12,941,971
BJ’s Wholesale Club, Inc.
4.75% due 02/03/24		12,367,000		12,071,058
Burlington Coat Factory Warehouse Corp.
3.70% due 08/13/21		10,100,000		10,128,381
Trader Corp.
4.25% due 09/28/23		9,877,456		9,898,001
Deuce Acquisition
6.50% due 12/08/221	GBP	7,100,000		8,811,615
PTL Acqusition, Inc.
3.23% due 08/01/23		8,258,500		8,315,318
Belk, Inc.
5.76% due 12/12/22		8,051,645		6,780,613
Prime Security Services Borrower LLC
4.25% due 05/02/22		6,650,000		6,713,707
Eyemart Express
5.19% due 12/17/21		6,593,495		6,659,430
Neiman Marcus Group, Inc.
4.25% due 10/25/20		7,766,972		6,230,199
YUM! Brands, Inc.
2.98% due 06/16/23		5,174,000		5,196,662
Men’s Wearhouse
4.53% due 06/18/21		4,366,575		4,140,954
Penn National Gaming, Inc.
3.52% due 01/19/24		2,400,000		2,412,600
CH Hold Corp.
4.00% due 02/01/24		1,636,364		1,646,591
NPC International, Inc.
4.75% due 12/28/18		904,164		907,555
Kate Spade & Co.
4.00% due 04/09/21		575,318		573,880

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Rite Aid Corp.
5.75% due 08/21/20	$	500,000	$	500,625
Total Consumer, Cyclical				538,336,633
Consumer, Non-cyclical - 13.5%
Press Ganey Holdings, Inc.
4.25% due 10/23/23		31,709,703		31,769,318
Albertson’s LLC
3.98% due 08/25/21		23,735,098		23,832,175
4.40% due 12/21/22		6,284,250		6,320,384
Chobani LLC
5.25% due 10/09/23		28,290,000		28,525,657
CHG Healthcare Services, Inc.
4.75% due 06/07/23		26,491,784		26,796,440
Examworks Group, Inc.
4.23% due 07/27/23		23,117,063		23,218,315
DJO Finance LLC
4.25% due 06/08/20		23,867,543		23,057,001
Dole Food Company, Inc.
4.00% due 03/23/24		17,755,000		17,861,530
4.58% due 11/01/18		4,699,164		4,700,620
JBS USA Lux SA
3.29% due 10/30/22		21,170,000		21,236,262
Sterigenics-Norion Holdings
4.00% due 05/16/22		15,715,100		15,653,811
4.40% due 05/15/22		4,925,000		4,925,000
MPH Acquisition Holdings LLC
4.90% due 06/07/23		18,783,285		19,011,314
US Foods, Inc.
3.73% due 06/27/23		16,367,750		16,508,349
American Tire Distributors, Inc.
5.25% due 09/01/21		16,403,574		16,424,079
Hearthside Group Holdings LLC
4.00% due 06/02/21		15,750,000		15,868,125
Authentic Brands
5.17% due 05/27/21		14,961,351		15,073,561
Change Healthcare Holdings, Inc.
3.75% due 03/01/24		14,860,000		14,878,575
Pharmaceutical Product Development
4.33% due 08/18/22		12,592,277		12,623,757
Hostess Brands LLC
4.00% due 08/03/22		12,383,262		12,494,711
At Home Holding III Corp.
4.54% due 06/03/22		12,281,250		12,250,547
Endo Luxembourg Finance Co.
4.00% due 09/25/22		11,257,500		11,240,276
Grifols Worldwide Operations USA, Inc.
3.19% due 01/31/25		11,000,000		11,013,970
Advancepierre Foods, Inc.
4.00% due 06/02/23		10,705,051		10,825,483
Lineage Logistics LLC
4.50% due 04/07/21		10,741,217		10,734,557
CTI Foods Holding Co. LLC
8.40% due 06/28/21		7,420,000		6,678,000
4.65% due 06/29/20		3,662,453		3,625,829
CPI Holdco LLC
5.15% due 03/21/24		9,150,000		9,195,750
Prestige Brands, Inc.
3.73% due 01/26/24		8,570,918		8,642,314
Cotiviti Corp.
3.90% due 09/28/23		8,457,224		8,457,224
ADMI Corp.
4.80% due 04/29/22		8,000,000		8,065,040
Reddy Ice Holdings, Inc.
6.75% due 05/01/19		4,706,406		4,600,512
10.75% due 10/01/191		2,000,000		1,786,660
Valeant Pharmaceuticals International, Inc.
5.57% due 04/01/22		4,685,683		4,696,038
Grocery Outlet, Inc.
5.15% due 10/21/21		3,930,109		3,933,803
Nellson Nutraceutical (US)
6.15% due 12/23/21		3,048,089		3,025,228
R&R Ice Cream PLC
3.00% due 09/29/23	EUR	2,000,000		2,147,615

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9			Value
Nellson Nutraceutical (CAD)
6.15% due 12/23/21	$	1,893,219		$	1,879,020
NES Global Talent
6.54% due 10/03/191		1,592,361			1,433,125
Acadia Healthcare Company, Inc.
3.98% due 02/16/23		1,333,125			1,340,351
Pinnacle Foods Finance LLC
2.81% due 02/02/24		1,326,675			1,331,345
Catalent Pharma Solutions, Inc.
3.75% due 05/20/21		1,032,268			1,042,807
Jacobs Douwe Egberts
3.50% due 07/02/22		702,749			707,141
Arctic Glacier Group Holdings, Inc.
5.25% due 03/20/24		100,000			100,875
Targus Group International, Inc.
due 05/24/16†††,1,4		152,876			—
Total Consumer, Non-cyclical					479,532,494
Technology - 11.5%
LANDesk Group, Inc.
5.25% due 01/20/24		33,725,000			33,872,715
Infor (US), Inc.
3.75% due 02/01/22	EUR	21,600,000			23,188,946
3.90% due 02/01/22		10,086,398			10,046,759
Solera LLC
4.25% due 03/03/23		26,514,625			26,617,766
Verisure Cayman 2
3.75% due 10/21/22	EUR	17,000,000			18,242,942
3.00% due 10/21/22	EUR	7,250,000			7,748,829
Applied Systems, Inc.
4.40% due 01/25/21		23,340,563			23,451,429
EIG Investors Corp.
6.04% due 02/09/23		16,227,858			16,336,098
6.53% due 11/08/19		5,077,305	��		5,096,345
Kronos, Inc.
5.03% due 11/01/23		20,668,731			20,774,348
Epicor Software
4.75% due 06/01/22		18,252,609			18,270,862
TIBCO Software, Inc.
5.50% due 12/04/20		16,569,368			16,731,583
First Data Corp.
3.98% due 03/24/21		15,391,624			15,504,291
3.98% due 07/08/22		1,119,544			1,127,706
Planview, Inc. (PHNTM Holdings, Inc.)
6.25% due 01/27/23†††,1		16,000,000			15,760,000
Diebold, Inc.
5.38% due 11/06/23		13,534,875			13,725,175
Cypress Intermediate Holdings III, Inc.
4.00% due 03/31/24		13,300,000			13,073,900
Cologix Holdings, Inc.
4.00% due 03/20/24		8,575,000			8,577,658
8.00% due 03/20/25		1,900,000			1,891,697
Advanced Computer Software
6.56% due 03/18/22		6,370,000			6,162,975
10.56% due 01/31/231		4,490,000			4,082,173
Informatica Corp.
4.65% due 08/05/22		10,296,233			10,228,690
Coherent Holding GmbH
4.25% due 11/07/23	EUR	8,837,082			9,562,962
Banca Civica (UK) - Chambertin
4.59% due 08/04/21†††,1	GBP	3,800,000			4,609,221
4.59% due 05/29/20†††,1	GBP	3,800,000			4,582,759
Active Network LLC
6.00% due 11/13/20		9,046,611			9,057,920
Micro Focus International plc
4.79% due 11/19/21		8,883,769			8,944,090
Ipreo Holdings
4.40% due 08/06/21		8,773,854			8,708,050
GlobalLogic Holdings, Inc.
5.65% due 06/20/22		7,633,543			7,652,627
Go Daddy Operating Company LLC
3.41% due 02/15/24		7,590,165			7,596,845

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Microsemi Corp.
3.23% due 01/15/23	$	7,056,964	$	7,088,932
Aspect Software, Inc.
11.28% due 05/25/20		6,847,145		6,838,586
Micron Technology, Inc.
4.74% due 04/26/22		5,774,672		5,794,537
Compucom Systems, Inc.
4.25% due 05/11/20		4,196,260		3,482,896
Ceridian Corp.
4.54% due 09/15/20		3,393,424		3,363,732
Cypress Holdings
7.75% due 03/31/25		2,568,750		2,515,166
Sabre GLBL, Inc.
3.73% due 02/22/24		2,387,048		2,404,092
Eze Castle Software, Inc.
7.65% due 04/05/21		1,441,176		1,428,566
Sparta Holding Corp.
6.65% due 07/28/20†††,1		1,384,832		1,377,156
Oberthur Technologies Group SAS
3.75% due 01/10/24	EUR	1,205,415		1,285,575
Gartner, Inc.
2.00% due 04/05/24		350,000		352,625
Total Technology				407,159,224
Communications - 11.4%
Univision Communications, Inc.
3.75% due 03/15/24		34,201,660		33,973,534
Altice US Finance I Corp.
2.25% due 07/15/25		24,800,000		24,761,312
3.98% due 01/15/25		8,977,500		8,960,712
SFR Group SA
4.29% due 01/14/25		29,775,375		29,775,375
3.00% due 07/31/25	EUR	3,000,000		3,181,671
2.75% due 07/31/25		501,438		499,402
Radiate HoldCo LLC
3.98% due 02/01/24		30,154,902		30,272,203
Telenet Financing USD LLC
3.91% due 01/31/25		29,450,000		29,453,829
Virgin Media Bristol LLC
3.66% due 01/31/25		28,185,935		28,247,662
WMG Acquisition Corp.
3.75% due 11/01/23		24,154,713		24,222,588
Zayo Group LLC
3.50% due 01/19/24		24,050,000		24,133,454
Sprint Communications, Inc.
3.50% due 02/02/24		24,125,000		24,107,871
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		23,272,180		22,144,876
Mcgraw-Hill Global Education Holdings LLC
5.00% due 05/04/22		19,389,259		19,152,322
Internet Brands
4.75% due 07/08/21		17,364,824		17,422,652
UPC Broadband Holding BV
3.00% due 01/15/26	EUR	13,200,000		14,056,669
Light Tower Fiber LLC
4.40% due 04/13/20		13,507,316		13,557,969
Ziggo Secured Finance BV
3.41% due 04/15/25		13,550,000		13,527,372
CSC Holdings, LLC
3.94% due 10/11/24		11,812,500		11,779,307
2.25% due 07/14/25		737,037		735,931
Houghton Mifflin Co.
4.00% due 05/31/21		10,711,731		9,854,793
Outfront Media Capital LLC
3.18% due 03/18/24		3,795,000		3,814,924
AMC Entertainment Holdings, Inc.
3.73% due 12/15/23		3,200,000		3,226,016
Charter Communications Operating, LLC
2.99% due 01/03/21		1,567,430		1,570,565
3.23% due 01/15/24		1,339,127		1,344,899
Proquest LLC
5.25% due 10/24/21		2,700,000		2,737,125
Mediacom Illinois LLC
3.20% due 02/15/24		2,650,000		2,661,051
Match Group, Inc.
4.10% due 11/16/22		2,471,875		2,498,151

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Anaren, Inc.
5.65% due 02/18/211	$	1,489,690	$	1,480,379
9.40% due 08/18/211		275,000		267,781
Level 3 Financing, Inc.
3.23% due 02/22/24		1,000,000		1,001,250
Total Communications				404,423,645
Financial - 7.5%
LPL Holdings, Inc.
3.77% due 03/11/24		34,400,000		34,421,671
National Financial Partners Corp.
4.65% due 01/08/24		26,733,000		27,000,330
Amwins Group LLC
4.32% due 01/25/24		25,760,438		25,760,438
Avolon Luxembourg SARL
3.73% due 03/21/22		24,200,000		24,512,664
Americold Realty Operating Partnership, LP
4.75% due 12/01/22		17,964,250		18,132,755
Alliant Holdings I L.P.
4.39% due 08/12/22		16,309,573		16,379,541
Transunion Holding Co.
3.48% due 04/09/23		16,136,565		16,227,414
Hyperion Insurance
5.50% due 04/29/22		12,587,533		12,621,645
HUB International Ltd.
4.03% due 10/02/20		12,380,898		12,441,069
Acrisure LLC
5.90% due 11/22/23		11,744,968		11,921,143
Delos Finance S.A.R.L
3.40% due 10/06/23		11,250,000		11,365,313
York Risk Services
4.90% due 10/01/211		11,406,249		11,078,319
WEX, Inc.
4.48% due 07/01/23		10,024,250		10,133,414
Assured Partners, Inc.
5.25% due 10/21/22		7,667,590		7,717,429
Magic Newco, LLC
5.00% due 12/12/18		7,328,783		7,350,183
American Stock Transfer & Trust
5.75% due 06/26/20		5,649,801		5,635,676
Capital Automotive L.P.
4.00% due 03/25/24		5,175,000		5,226,750
Jefferies Finance LLC
4.56% due 05/14/20		3,782,625		3,763,712
Geo Group, Inc.
3.00% due 03/15/24		2,550,000		2,561,169
Fly Leasing Ltd.
3.79% due 02/09/22		1,639,456		1,643,555
USI Holdings Corp.
4.40% due 12/27/19		1,328,998		1,328,759
Total Financial				267,222,949
Utilities - 2.8%
Dynegy, Inc.
4.25% due 06/27/23		31,400,000		31,460,602
Moss Creek Resources LLC
9.00% due 03/29/221		12,862,500		12,666,475
TPF II Power LLC
due 10/02/234		11,143,402		11,179,618
Helix Gen Funding LLC
4.75% due 03/08/24		10,710,000		10,857,263
EFS Cogen Holdings I LLC
4.65% due 06/28/23		9,708,260		9,786,315
Viva Alamo LLC
5.30% due 02/22/21		7,821,277		7,430,213
Stonewall
6.65% due 11/15/21		5,950,000		5,786,375
Lightstone HoldCo LLC
5.54% due 01/30/24		4,530,000		4,553,782
Panda Temple II Power
7.25% due 04/03/19		4,443,750		3,849,398
Total Utilities				97,570,041
Basic Materials - 2.3%
Alpha 3 B.V.
4.15% due 01/31/24		27,335,376		27,386,768
PQ Corp.
5.29% due 11/04/22		24,212,695		24,459,180
Nexeo Solutions LLC
4.81% due 06/09/23		10,477,858		10,556,442
Platform Specialty Products
4.25% due 06/07/20	EUR	4,139,625		4,431,028

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
4.50% due 06/07/20	$	1,893,912	$	1,911,506
Arch Coal, Inc.
5.00% due 03/07/24		5,900,000		5,887,079
Royal Holdings, Inc.
4.40% due 06/20/22		4,750,000		4,793,035
Zep, Inc.
5.00% due 06/27/22		2,235,727		2,263,673
Minerals Technologies, Inc.
3.29% due 02/14/24		902,558		905,942
Total Basic Materials				82,594,653
Energy - 0.6%
Veresen Midstream LP
4.50% due 03/31/22		15,547,528		15,683,569
PSS Companies
5.65% due 01/28/201		5,580,219		4,464,175
Summit Midstream Partners, LP
7.02% due 05/13/22		1,000,000		1,017,500
Total Energy				21,165,244
Total Senior Floating Rate Interests
(Cost $2,867,778,684)				2,854,546,639
CORPORATE BONDS†† - 6.4%
Communications - 1.6%
Sprint Communications, Inc.
9.00% due 11/15/185		12,700,000		13,827,125
DISH DBS Corp.
7.75% due 07/01/26		10,700,000		12,438,750
Ziggo Secured Finance BV
5.50% due 01/15/275		5,000,000		4,999,500
Midcontinent Communications / Midcontinent Finance Corp.
6.88% due 08/15/235		4,000,000		4,255,000
Level 3 Financing, Inc.
4.76% due 01/15/186		4,210,000		4,231,050
Inmarsat Finance plc
4.88% due 05/15/225		3,500,000		3,465,000
Anixter, Inc.
5.50% due 03/01/23		3,000,000		3,112,500
Zayo Group LLC / Zayo Capital, Inc.
5.75% due 01/15/275		2,000,000		2,109,600
CCO Holdings LLC / CCO Holdings Capital Corp.
5.25% due 09/30/22		1,890,000		1,960,875
MDC Partners, Inc.
6.50% due 05/01/245		1,700,000		1,621,375
Total Communications				52,020,775
Consumer, Non-cyclical - 1.2%
Tenet Healthcare Corp.
4.63% due 06/15/206		17,300,000		17,386,500
7.50% due 01/01/22		1,250,000		1,350,000
HCA, Inc.
6.50% due 02/15/20		13,914,000		15,227,203
4.50% due 02/15/27		1,500,000		1,500,000
ServiceMaster Co. LLC
5.13% due 11/15/245		4,000,000		4,100,000
Bumble Bee Holdings, Inc.
9.00% due 12/15/175		1,754,000		1,710,150
Kinetic Concepts Incorporated / KCI USA Inc
7.88% due 02/15/215		1,240,000		1,314,400
AMN Healthcare, Inc.
5.13% due 10/01/245		450,000		454,500
Total Consumer, Non-cyclical				43,042,753
Energy - 1.0%
Sabine Pass Liquefaction LLC
5.63% due 02/01/21		5,500,000		5,926,029
5.63% due 04/15/23		4,200,000		4,556,588
CONSOL Energy, Inc.
5.88% due 04/15/22		6,750,000		6,674,063
Cheniere Corpus Christi Holdings LLC
5.88% due 03/31/25		5,200,000		5,421,000
Unit Corp.
6.63% due 05/15/21		4,000,000		3,940,000
FTS International, Inc.
8.63% due 06/15/205,6		2,950,000		2,990,563

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
8.00% due 12/01/20	$	2,750,000	$	2,090,000
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
8.50% due 12/15/21		1,428,000		1,456,560
Gibson Energy, Inc.
6.75% due 07/15/215		958,000		1,001,110
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/227		850,000		510,000
Total Energy				34,565,913
Industrial - 0.8%
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.29% due 05/15/215,6		13,500,000		13,820,625
4.63% due 05/15/235		2,100,000		2,115,750
4.25% due 09/15/225		1,500,000		1,515,000
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
4.52% due 07/15/215,6		7,500,000		7,673,475
Novelis Corp.
6.25% due 08/15/245		3,000,000		3,127,500
Grinding Media Inc. / MC Grinding Media Canada Inc.
7.38% due 12/15/235		750,000		787,500
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/235		275,000		294,938
Total Industrial				29,334,788
Financial - 0.6%
Kennedy-Wilson, Inc.
5.88% due 04/01/24		11,855,000		12,151,375
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		5,000,000		5,075,000
6.00% due 08/01/20		1,700,000		1,759,500
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/205		1,050,000		1,060,500
NFP Corp.
9.00% due 07/15/215		850,000		898,323
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/215		450,000		451,125
FBM Finance, Inc.
8.25% due 08/15/215		200,000		212,000
Total Financial				21,607,823
Consumer, Cyclical - 0.5%
Nathan’s Famous, Inc.
10.00% due 03/15/205		7,700,000		8,277,500
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.50% due 05/01/21		4,615,000		4,384,250
WMG Acquisition Corp.
6.75% due 04/15/225		2,280,000		2,396,850
Lennar Corp.
4.13% due 01/15/22		1,500,000		1,510,785
Total Consumer, Cyclical				16,569,385
Technology - 0.4%
First Data Corp.
5.00% due 01/15/245		6,250,000		6,359,375
5.75% due 01/15/245		5,200,000		5,363,800
NCR Corp.
5.88% due 12/15/21		2,250,000		2,345,625
6.38% due 12/15/23		800,000		842,000
Micron Technology, Inc.
5.25% due 08/01/23		450,000		461,250
Total Technology				15,372,050

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Utilities - 0.3%
AES Corp.
4.05% due 06/01/196	$	2,608,000	$	2,608,000
6.00% due 05/15/26		2,000,000		2,070,000
5.50% due 04/15/25		1,150,000		1,164,375
Terraform Global Operating LLC
9.75% due 08/15/225		4,600,000		5,157,750
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/235		630,000		653,701
Total Utilities				11,653,826
Basic Materials - 0.0%
Constellium N.V.
7.88% due 04/01/215		1,000,000		1,067,500
Eldorado Gold Corp.
6.13% due 12/15/205		265,000		271,625
Mirabela Nickel Ltd.
2.38% due 06/24/191		1,279,819		89,587
1.00% due 09/10/44†††,1		25,570		—
Total Basic Materials				1,428,712
Diversified - 0.0%
HRG Group, Inc.
7.88% due 07/15/19		490,000		507,150
Total Corporate Bonds
(Cost $224,338,803)				226,103,175
ASSET-BACKED SECURITIES†† - 4.5%
Collateralized Loan Obligations - 3.5%
Golub Capital Partners CLO Ltd.
2016-33A, 3.37% due 11/21/285,6		12,500,000		12,458,583
2015-24A, 4.78% due 02/05/275,6		3,750,000		3,732,847
TICP CLO II Ltd.
2014-2A, 5.78% due 07/20/265,6		6,560,000		6,266,924
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/255,8		6,000,000		5,353,509
Octagon Loan Funding Ltd.
, % due 11/18/268		5,600,000		5,074,791
PFP Ltd.
2015-2, 3.61% due 07/14/345,6		5,000,000		5,008,191
Fortress Credit Opportunities V CLO Ltd.
2017-5A, % due 10/15/265,6		2,500,000		2,502,642
2014-5A, 5.51% due 10/15/265,6		2,500,000		2,495,005
Cerberus Loan Funding XVII Ltd.
2016-3A, 3.48% due 01/15/285,6		5,000,000		4,983,808
Fortress Credit Opportunities VII CLO Ltd.
2016-7A, 3.88% due 12/15/285,6		5,000,000		4,969,766
OCP CLO Ltd.
2016-2A, 3.90% due 11/22/255,6		3,800,000		3,804,230
ACIS CLO Ltd.
2013-2A, 4.87% due 10/14/225,6		1,800,000		1,793,357
2015-6A, 4.40% due 05/01/275,6		1,000,000		999,981
2013-1A, 5.52% due 04/18/245,6		1,000,000		999,968
Avery
2013-3X COM, % due 01/18/258		4,300,020		3,684,946
Jamestown CLO V Ltd.
2014-5A, 6.12% due 01/17/275,6		4,000,000		3,648,942

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Fortress Credit Funding V, LP
2015-5A, 4.69% due 08/15/225,6	$	3,500,000	$	3,494,123
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 4.76% due 10/10/265,6		3,500,000		3,468,480
OHA Credit Partners VIII Ltd.
2013-8A, 5.43% due 04/20/255,6		3,225,000		3,038,884
Flagship CLO VIII Ltd.
2017-8A, 3.54% due 01/16/265,6		3,000,000		2,990,033
ABPCI Direct Lending Fund CLO I LLC
2016-1A, 3.65% due 12/22/285,6		3,000,000		2,984,207
Treman Park CLO Ltd.
2015-1A, due 04/20/275,8		3,000,000		2,691,001
ALM XIV Ltd.
2014-14A, 4.49% due 07/28/265,6		2,650,000		2,656,788
Halcyon Loan Advisors Funding Ltd.
2012-1A, 4.04% due 08/15/235,6		2,600,000		2,608,305
Ares XXXIII CLO Ltd.
2016-1A, 3.90% due 12/05/255,6		2,500,000		2,499,749
Catamaran CLO 2012-1 Ltd.
2016-1A, 4.00% due 12/20/235,6		2,000,000		2,000,201
Tralee CLO III Ltd.
2016-3A, 3.93% due 07/20/265,6		2,000,000		2,000,167
Duane Street CLO IV Ltd.
2007-4A, 3.29% due 11/14/215,6		2,000,000		2,000,064
KVK CLO 2014-1 Ltd.
2017-1A, 3.44% due 05/15/265,6		2,000,000		1,991,073
Galaxy XVI CLO Ltd.
2013-16A, 4.39% due 11/16/255,6		2,000,000		1,939,050
CIFC Funding Ltd.
2014-1A, 5.52% due 04/18/255,6		2,000,000		1,901,507
DIVCORE CLO Ltd.
2013-1A, 4.81% due 11/15/325,6		1,600,000		1,596,931
Dryden XXVIII Senior Loan Fund
2013-28A, 3.74% due 08/15/255,6		1,500,000		1,489,526
Cent CLO 22 Ltd.
2014-22A, 6.33% due 11/07/265,6		1,500,000		1,417,823
Grayson CLO Ltd.
2006-1A, 1.44% due 11/01/215,6		1,200,000		1,172,328
Cerberus Onshore II CLO LLC
2014-1A, 5.02% due 10/15/235,6		600,000		594,166
2014-1A, 4.52% due 10/15/235,6		500,000		498,615
Telos CLO Ltd.
2013-3A, 5.27% due 01/17/245,6		1,050,000		1,050,677
Cerberus Loan Funding XVI, LP
2016-2A, 4.82% due 11/15/275,6		1,000,000		1,011,994
Newstar Commercial Loan Funding 2017-1 LLC
2017-1A, 4.54% due 03/20/275,6		1,000,000		999,990
Shackleton VII CLO Ltd.
2016-7A, 3.87% due 04/15/275,6		1,000,000		999,388

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Venture XI CLO Ltd.
2015-11A, 3.99% due 11/14/225,6	$	1,000,000	$	994,241
COA Summit CLO Limited
2014-1A, 4.88% due 04/20/235,6		1,000,000		989,796
WhiteHorse VII Ltd.
2013-1A, 5.85% due 11/24/255,6		1,000,000		935,218
Shackleton CLO
2014-6A, 6.77% due 07/17/265,6		1,000,000		841,720
Westchester CLO Ltd.
2007-1A, 1.37% due 08/01/225,6		750,000		747,625
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.34% due 07/25/255,6		600,000		593,953
Ares XXVI CLO Ltd.
2013-1A, due 04/15/255,8		1,250,000		565,880
Kingsland IV Ltd.
2007-4A, 2.47% due 04/16/215,6		500,000		482,045
Eastland CLO Ltd.
2007-1A, 1.43% due 05/01/225,6		350,000		343,662
Newstar Commercial Loan Funding LLC
2014-1A, 5.78% due 04/20/255,6		250,000		244,794
Great Lakes CLO Ltd.
2014-1A, 5.22% due 04/15/255,6		250,000		242,180
Total Collateralized Loan Obligations				123,853,674
Credit Card - 0.6%
Capital One Multi-Asset Execution Trust
2007-A5, 0.95% due 07/15/206		10,000,000		9,998,091
2015-A6, 1.28% due 06/15/206		9,000,000		9,010,015
Chase Issuance Trust
2007-A12, 0.96% due 08/15/196		4,000,000		3,999,999
Credit Card Pass-Through Trust
2012-BIZ, due 12/15/495,11		64,350		48,019
Total Credit Card				23,056,124
Collateralized Debt Obligations - 0.2%
Triaxx Prime CDO Ltd.
2006-2A, 1.05% due 10/02/395,6		2,506,834		2,442,997
N-Star REL CDO VIII Ltd.
2006-8A, 1.15% due 02/01/415,6		1,733,536		1,723,725
RAIT CRE CDO I Ltd.
2006-1X A1B, 1.31% due 11/20/46		1,115,297		1,109,035
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/465,6		180,966		178,780
Total Collateralized Debt Obligations				5,454,537
Automotive - 0.1%
AmeriCredit Automobile Receivables Trust
2016-2, 1.55% due 10/08/196		4,255,710		4,265,683
Transport-Aircraft - 0.1%
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29		1,550,548		1,546,672
2014-1, 7.50% due 02/15/29		1,132,696		1,132,696
Airplanes Pass Through Trust
2001-1A, 1.46% due 03/15/196,10		1,620,327		502,301
Total Transport-Aircraft				3,181,669
Total Asset-Backed Securities
(Cost $156,166,941)				159,811,687

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 4.1%
Residential Mortgage Backed Securities - 3.3%
LSTAR Commercial Mortgage Trust
2016-7, 2.78% due 12/01/215,6	$	19,410,908	$	19,241,064
LSTAR Securities Investment Trust
2016-5, 2.78% due 11/01/215,6		10,308,991		10,256,580
2015-10, 2.78% due 11/02/205,6		1,526,560		1,526,083
LSTAR Securities Investment Ltd.
2016-4, 2.78% due 10/01/215,6		6,862,037		6,807,271
2017-1, 2.78% due 01/01/225,6		4,699,402		4,687,653
RALI Series Trust
2006-QO2, 1.20% due 02/25/466		8,895,441		3,856,192
2007-QO4, 1.17% due 05/25/476		3,531,257		3,183,607
2006-QO10, 1.14% due 01/25/376		3,370,069		2,858,684
Lehman XS Trust Series
2007-15N, 1.23% due 08/25/376		5,733,051		4,903,304
2006-16N, 1.17% due 11/25/466		3,045,683		2,608,090
GSAA Home Equity Trust
2006-14, 1.15% due 09/25/366		11,510,804		5,984,152
2007-7, 1.25% due 07/25/376		909,680		826,587
Soundview Home Loan Trust
2005-OPT3, 1.45% due 11/25/356		6,000,000		5,412,123
American Home Mortgage Investment Trust
2006-1, 1.38% due 03/25/466		6,184,243		5,136,376
CIM Trust
2017-2, 2.78% due 12/25/575,6		5,000,000		4,962,643
IndyMac INDX Mortgage Loan Trust
2006-AR4, 1.19% due 05/25/466		5,555,296		4,851,995
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 1.42% due 07/25/476		5,433,528		4,691,695
Structured Asset Securities Corporation Mortgage Loan Trust
2006-OPT1, 1.24% due 04/25/366		3,473,270		3,383,365
2007-BC1, 1.11% due 02/25/376		789,710		708,223
Nomura Resecuritization Trust
2015-4R, 1.66% due 03/26/365,6		2,398,254		2,287,694
2012-1R, 1.22% due 08/27/475,6		955,233		947,973
AJAX Mortgage Loan Trust
2015-A, 3.88% due 11/25/545,6		3,221,657		3,213,448
American Home Mortgage Assets Trust
2006-4, 1.19% due 10/25/466		4,781,888		3,159,328
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.48% due 11/25/466		3,817,091		3,061,459
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 1.12% due 07/25/375,6		2,937,737		2,689,956

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Merrill Lynch Alternative Note Asset Trust Series
2007-OAR3, 0.97% due 07/25/376	$	2,644,305	$	2,139,135
GreenPoint Mortgage Funding Trust
2005-HE4, 1.45% due 07/25/306		1,903,002		1,870,507
Morgan Stanley Re-REMIC Trust
2010-R5, 1.60% due 06/26/365		1,003,807		735,167
Alliance Bancorp Trust
2007-OA1, 1.22% due 07/25/376		782,061		569,074
New Century Home Equity Loan Trust
2004-4, 1.78% due 02/25/356		351,611		311,685
Total Residential Mortgage Backed Securities				116,871,113
Commercial Mortgage Backed Securities - 0.8%
Cosmopolitan Hotel Trust
2016-CSMO, 5.56% due 11/15/335,6		19,500,000		19,829,702
GS Mortgage Securities Corporation Trust
2016-ICE2, 9.41% due 02/15/335,6		10,000,000		10,200,717
Total Commercial Mortgage Backed Securities				30,030,419
Total Collateralized Mortgage Obligations
(Cost $144,759,623)				146,901,532
SENIOR FIXED RATE INTERESTS†† - 0.1%
Consumer, Cyclical - 0.1%
Men’s Wearhouse, Inc.
5.00% due 06/18/21		4,700,000		4,418,000
Financial - 0.0%
Magic Newco, LLC
12.00% due 06/12/19		500,000		523,750
Consumer, Non-cyclical - 0.0%
Targus International LLC
7.50% due 12/31/19†††,1		61,579		86,106
Total Senior Fixed Rate Interests
(Cost $5,272,896)				5,027,856
COMMERCIAL PAPER†† - 9.4%
CVS Health Corp
1.22% due 04/17/17		55,000,000		54,970,178
Mondelez International Inc
1.30% due 06/13/17		30,000,000		29,918,044
1.04% due 04/26/17		25,000,000		24,978,098
Marriott International Inc/MD
1.23% due 04/18/17		39,000,000		38,977,348
1.25% due 04/24/17		10,000,000		9,992,014
Clorox Co/The
0.90% due 04/06/17		33,500,000		33,495,813
Cox Enterprises Inc
0.97% due 04/10/17		30,000,000		29,991,225
Hyundai Capital America
1.19% due 04/25/17		24,518,000		24,497,732
Whirlpool Corp
1.16% due 04/26/17		21,500,000		21,482,083
VF Corp
0.85% due 04/03/17		20,000,000		19,999,056
Nissan Motor Acceptance Corp
0.90% due 04/27/17		20,000,000		19,987,000
Harley-Davidson Financial Services Inc
0.88% due 04/06/17		16,000,000		15,998,045

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

	Face Amount9		Value
Ryder System Inc
1.15% due 04/19/17	$	8,000,000	$	7,995,400
Total Commercial Paper
(Cost $332,288,753)				332,282,036
Total Investments - 107.7%
(Cost $3,828,244,252)			$	3,820,544,479
Other Assets & Liabilities, net - (7.7)%				(273,148,932	)
Total Net Assets - 100.0%			$	3,547,395,547

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††

Counterparty	Contracts to Buy (Sell)			Currency	Settlement Date	Settlement Value			Value at March 31, 2017			Net Unrealized Appreciation/ (Depreciation)
Morgan Stanley		(21,546,000	)	EUR	04/11/17	$	23,258,631		$	22,995,706		$	262,925
J.P. Morgan		(7,250,000	)	EUR	04/11/17		7,880,823			7,737,811			143,012
Citigroup		(2,670,000	)	EUR	04/11/17		2,902,784			2,849,649			53,135
Morgan Stanley		720,000		EUR	04/11/17		(768,729	)		(768,444	)		(285	)
Bank of America		(1,900,000	)	GBP	04/11/17		2,358,613			2,381,067			(22,454	)
Barclays		(16,883,000	)	GBP	04/11/17		20,588,768			21,157,661			(568,893	)
Bank of America		(76,045,000	)	EUR	04/11/17		80,584,658			81,161,630			(576,972	)
												$	(709,532	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
FLOATING RATE STRATEGIES 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	Affiliated issuer — See Note 7.
3	Rate indicated is the 7 day yield as of March 31, 2017.
4	Security with no rate was unsettled at March 31, 2017.
5	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $318,915,379 (cost $312,259,244), or 9.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
6	Variable rate security. Rate indicated is rate effective at March 31, 2017.
7	Security is in default of interest and/or principal obligations.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
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) illiquid and restricted securities is $502,301 (cost $1,307,090), or less than 0.0% of total net assets — See Note 10.
11	Zero coupon rate security.
	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)(continued)	March 31, 2017
FLOATING RATE STRATEGIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	—	$	159,811,687	$	—	$	—		$	159,811,687
Collateralized Mortgage Obligations		—		146,901,532		—		—			146,901,532
Commercial Paper		—		332,282,036		—		—			332,282,036
Common Stocks		184,002		—		—		19,615			203,617
Corporate Bonds		—		226,103,175		—		—	**		226,103,175
Forward Foreign Currency Exchange Contracts		—		—		459,072		—			459,072
Mutual Funds		25,858,956		—		—		—			25,858,956
Senior Fixed Rate Interests		—		4,941,750		—		86,106			5,027,856
Senior Floating Rate Interests		—		2,803,754,186		—		50,792,453			2,854,546,639
Short-Term Investments		69,808,981		—		—		—			69,808,981
Total	$	95,851,939	$	3,673,794,366	$	459,072	$	50,898,174		$	3,821,003,551
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3			Total
Forward Foreign Currency Exchange Contracts	$	—	$	—	$	1,168,604	$	—		$	1,168,604
Unfunded Loan Commitments		—		1,300,342		—		—			1,300,342
Total	$	—	$	1,300,342	$	1,168,604	$	—		$	2,468,946

*	Other financial instruments include forward foreign currency exchange contracts, which are reported as unrealized gain/loss at period end.
**	Less than $1.

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

Category	Ending Balance at 03/31/17		Valuation Technique	Unobservable Inputs	Input Range
Common Stocks	$	19,252	Enterprise Value	Valuation Multiple		6.4	x
Common Stocks		363	Model Price	Liquidation value		—
Senior Fixed Rate Interests		86,106	Enterprise Value	Valuation Multiple		6.4	x
Senior Floating Rate Interests		19,202,185	Model Price	Purchase Price		—
Senior Floating Rate Interests		15,760,000	Model Price	Trade Price		—
Senior Floating Rate Interests		9,191,980	Enterprise Value	Valuation Multiple		11.1	x
Senior Floating Rate Interests		6,638,288	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—
Total	$	50,898,174

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
FLOATING RATE STRATEGIES FUND

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of March 31, 2017, the Fund had securities with a total value of $6,565,543 transfer into Level 3 from Level 2 and securities with a total value of $809,970 transfer out of Level 3 into Level 2 due to changes in the securities valuation method. There were no other securities that transferred between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Senior Fixed Rate Interests			Common Stocks			Corporate Bonds			Total
Floating Rate Strategies Fund
Assets:
Beginning Balance	$	43,247,269		$	80,078		$	19,616		$	358,349		$	43,705,312
Purchases		24,730,000			4,311			—			—			24,734,311
Sales, maturities and paydowns		(23,081,669	)		—			—			—			(23,081,669	)
Total realized gains or losses included in earnings		(3,736,569	)		—			—			—			(3,736,569	)
Total change in unrealized gains or losses included in earnings		3,519,500			1,717			(1	)		—			3,521,216
Transfers into Level 3		6,565,543			—			—			—			6,565,543
Transfers out of Level 3		(451,621	)		—			—			(358,349	)		(809,970	)
Ending Balance	$	50,792,453		$	86,106		$	19,615		$	—		$	50,898,174
Net change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	285,832		$	(1,717	)	$	(1	)	$	—		$	287,548

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

FLOATING RATE STRATEGIES FUND

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $3,802,545,088)	$	3,794,685,523
Investments in affiliated issuers, at value (cost $25,699,164)		25,858,956
Total investments (cost $3,828,244,252)		3,820,544,479
Foreign currency, at value (cost $564,418)		564,418
Cash		2,989,025
Segregated cash with broker		1,840,000
Unrealized appreciation on forward foreign currency exchange contracts		459,072
Prepaid expenses		227,179
Receivables:
Securities sold		3,299,480
Fund shares sold		23,874,217
Dividends		44,455
Foreign taxes reclaim		63,494
Interest		11,644,680
Total assets		3,865,550,499
Liabilities:
Unfunded loan commitments, at value (Note 8) (proceeds $2,935,523)		1,300,342
Unrealized depreciation on forward foreign currency exchange contracts		1,168,604
Payable for:
Securities purchased		300,984,401
Fund shares redeemed		10,176,471
Management fees		1,878,704
Transfer agent/maintenance fees		353,198
Distribution and service fees		353,110
Fund accounting/administration fees		235,544
Trustees’ fees*		45,622
Miscellaneous		1,658,956
Total liabilities		318,154,952
Net assets	$	3,547,395,547
Net assets consist of:
Paid in capital	$	3,568,874,532
Accumulated net investment loss		(1,573,723	)
Accumulated net realized loss on investments		(13,260,640	)
Net unrealized depreciation on investments		(6,644,622	)
Net assets	$	3,547,395,547
A-Class:
Net assets	$	558,518,710
Capital shares outstanding		21,431,460
Net asset value per share	$	26.06
Maximum offering price per share (Net asset value divided by 97.00%)	$	26.87
C-Class:
Net assets	$	221,361,072
Capital shares outstanding		8,497,331
Net asset value per share	$	26.05
P-Class:
Net assets	$	237,789,758
Capital shares outstanding		9,120,245
Net asset value per share	$	26.07
Institutional Class:
Net assets	$	2,529,726,007
Capital shares outstanding		96,988,773
Net asset value per share	$	26.08

* 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.

STATEMENT OF OPERATIONS (Unaudited)

FLOATING RATE STRATEGIES FUND

Period Ended March 31, 2017

Investment Income:
Interest	$	65,078,700
Dividends from securities of affiliated issuers		249,361
Total investment income		65,328,061
Expenses:
Management fees		9,493,986
Transfer agent/maintenance fees:
A-Class		262,119
C-Class		80,262
P-Class		118,874
Institutional Class		299,904
Distribution and service fees:
A-Class		618,322
C-Class		1,050,679
P-Class		221,761
Fund accounting/administration fees		1,172,479
Line of credit fees		234,136
Trustees’ fees*		36,844
Custodian fees		28,440
Miscellaneous		255,006
Total expenses		13,872,812
Less:
Expenses waived by Adviser		(12,840	)
Expenses reimbursed by Adviser:
A-Class		(212,103	)
C-Class		(59,208	)
P-Class		(100,652	)
Institutional Class		(144,295	)
Expenses waived by Distributor:
A-Class		(5,722	)
C-Class		(2,462	)
P-Class		(1,254	)
Total waived/reimbursed expenses		(538,536	)
Net expenses		13,334,276
Net investment income		51,993,785
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		679,057
Foreign currency		(4,219,396	)
Forward foreign currency exchange contracts		6,049,002
Net realized gain		2,508,663
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		13,102,940
Investments in affiliated issuers		61,672
Foreign currency		206,006
Forward foreign currency exchange contracts		(1,193,914	)
Net change in unrealized appreciation (depreciation)		12,176,704
Net realized and unrealized gain		14,685,367
Net increase in net assets resulting from operations	$	66,679,152

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

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

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	51,993,785		$	82,804,906
Net realized gain (loss) on investments		2,508,663			(15,139,654	)
Net change in unrealized appreciation (depreciation) on investments		12,176,704			28,480,707
Net increase in net assets resulting from operations		66,679,152			96,145,959
Distributions to shareholders from:
Net investment income
A-Class		(8,708,678	)		(17,533,970	)
C-Class		(2,922,283	)		(6,005,382	)
P-Class		(3,044,949	)		(3,269,505	)
Institutional Class		(38,147,940	)		(62,586,943	)
Total distributions to shareholders		(52,823,850	)		(89,395,800	)
Capital share transactions:
Proceeds from sale of shares
A-Class		216,646,483			328,587,677
C-Class		50,443,786			93,383,014
P-Class		142,132,969			130,565,954
Institutional Class		1,244,929,601			1,293,714,252
Distributions reinvested
A-Class		7,347,804			15,307,772
C-Class		2,265,659			4,886,193
P-Class		3,044,949			3,269,505
Institutional Class		30,044,130			50,783,545
Cost of shares redeemed
A-Class		(120,604,981	)		(292,937,913	)
C-Class		(29,734,730	)		(47,794,125	)
P-Class		(33,107,184	)		(30,899,865	)
Institutional Class		(398,681,759	)		(934,769,638	)
Net increase from capital share transactions		1,114,726,727			614,096,371
Net increase in net assets		1,128,582,029			620,846,530
Net assets:
Beginning of period		2,418,813,518			1,797,966,988
End of period	$	3,547,395,547		$	2,418,813,518
Accumulated net investment loss at end of period	$	(1,573,723	)	$	(743,658	)

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		8,322,973			12,898,402
C-Class		1,939,053			3,665,393
P-Class		5,455,000			5,115,313
Institutional Class		47,776,057			50,648,724
Shares issued from reinvestment of distributions
A-Class		282,307			600,582
C-Class		87,089			191,843
P-Class		117,373			128,540
Institutional Class		1,153,200			1,990,689
Shares redeemed
A-Class		(4,634,495	)		(11,505,029	)
C-Class		(1,142,952	)		(1,879,755	)
P-Class		(1,270,948	)		(1,218,323	)
Institutional Class		(15,305,007	)		(36,817,913	)
Net increase in shares		42,779,650			23,818,466

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

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, 2017a			Year Ended Sept. 30, 2016			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	$	25.92		$	25.88		$	26.52		$	26.62		$	26.10		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.45			.99			1.04			1.10			1.30			1.09
Net gain (loss) on investments (realized and unrealized)		.15			.12			(.42	)		.05			.65			.97
Total from investment operations		.60			1.11			.62			1.15			1.95			2.06
Less distributions from:
Net investment income		(.46	)		(1.07	)		(1.18	)		(1.20	)		(1.37	)		(.96	)
Net realized gains		—			—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.46	)		(1.07	)		(1.26	)		(1.25	)		(1.43	)		(.96	)
Net asset value, end of period	$	26.06		$	25.92		$	25.88		$	26.52		$	26.62		$	26.10
Total Returng		2.33	%		4.47	%		2.36	%		4.42	%		7.61	%		8.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	558,519		$	452,611		$	400,270		$	365,207		$	378,324		$	44,175
Ratios to average net assets:
Net investment income (loss)		3.46	%		3.88	%		3.97	%		4.10	%		4.90	%		5.13	%
Total expensesd		1.12	%		1.20	%		1.19	%		1.18	%		1.19	%		1.39	%
Net expensese,h		1.03	%		1.03	%		1.03	%		1.04	%		1.05	%		1.06	%
Portfolio turnover rate		23	%		35	%		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.

C-Class	Period Ended March 31, 2017a			Year Ended Sept. 30, 2016			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	$	25.91		$	25.87		$	26.51		$	26.60		$	26.09		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.35			.80			.85			.90			1.11			.93
Net gain (loss) on investments (realized and unrealized)		.15			.12			(.43	)		.06			.63			.98
Total from investment operations		.50			.92			.42			.96			1.74			1.91
Less distributions from:
Net investment income		(.36	)		(.88	)		(.98	)		(1.00	)		(1.17	)		(.82	)
Net realized gains		—			—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.36	)		(.88	)		(1.06	)		(1.05	)		(1.23	)		(.82	)
Net asset value, end of period	$	26.05		$	25.91		$	25.87		$	26.51		$	26.60		$	26.09
Total Returng		1.95	%		3.68	%		1.63	%		3.64	%		6.77	%		7.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	221,361		$	197,296		$	145,808		$	132,370		$	120,606		$	24,358
Ratios to average net assets:
Net investment income (loss)		2.72	%		3.13	%		3.23	%		3.35	%		4.19	%		4.36	%
Total expensesd		1.84	%		1.93	%		1.91	%		1.89	%		1.93	%		2.06	%
Net expensese,h		1.78	%		1.78	%		1.78	%		1.79	%		1.81	%		1.80	%
Portfolio turnover rate		23	%		35	%		44	%		58	%		50	%		61	%

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.

P-Class	Period Ended March 31, 2017a			Year Ended Sept. 30, 2016			Period Ended Sept. 30, 2015f
Per Share Data
Net asset value, beginning of period	$	25.93		$	25.89		$	26.37
Income (loss) from investment operations:
Net investment income (loss)c		.44			.99			.40
Net gain (loss) on investments (realized and unrealized)		.16			.12			(.46	)
Total from investment operations		.60			1.11			(.06	)
Less distributions from:
Net investment income		(.46	)		(1.07	)		(.42	)
Total distributions		(.46	)		(1.07	)		(.42	)
Net asset value, end of period	$	26.07		$	25.93		$	25.89
Total Returng		2.32	%		4.46	%		(0.24	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	237,790		$	124,974		$	20,536
Ratios to average net assets:
Net investment income (loss)		3.38	%		3.86	%		3.68	%
Total expensesd		1.15	%		1.06	%		1.04	%
Net expensese,h		1.03	%		1.03	%		1.02	%
Portfolio turnover rate		23	%		35	%		44	%

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

FINANCIAL HIGHLIGHTS (concluded)

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, 2017a			Year Ended Sept. 30, 2016			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	$	25.94		$	25.90		$	26.54		$	26.64		$	26.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			1.05			1.10			1.16			1.36			1.10
Net gain (loss) on investments (realized and unrealized)		.15			.12			(.42	)		.06			.65			1.02
Total from investment operations		.63			1.17			.68			1.22			2.01			2.12
Less distributions from:
Net investment income		(.49	)		(1.13	)		(1.24	)		(1.27	)		(1.43	)		(1.00	)
Net realized gains		—			—			(.08	)		(.05	)		(.06	)		—
Total distributions		(.49	)		(1.13	)		(1.32	)		(1.32	)		(1.49	)		(1.00	)
Net asset value, end of period	$	26.08		$	25.94		$	25.90		$	26.54		$	26.64		$	26.12
Total Returng		2.45	%		4.71	%		2.59	%		4.67	%		7.86	%		8.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,529,726		$	1,643,932		$	1,231,352		$	753,476		$	457,813		$	72,197
Ratios to average net assets:
Net investment income (loss)		3.68	%		4.11	%		4.18	%		4.32	%		5.12	%		5.16	%
Total expensesd		0.80	%		0.87	%		0.85	%		0.87	%		0.86	%		0.99	%
Net expensese,h		0.78	%		0.79	%		0.79	%		0.80	%		0.81	%		0.80	%
Portfolio turnover rate		23	%		35	%		44	%		58	%		50	%		61	%

a	Unaudited figures for the period ended March 31, 2017. 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 net expense ratios for the periods would be:

	03/31/17	09/30/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	1.02%	1.02%	1.02%	1.02%	1.03%	1.01%
C-Class	1.77%	1.77%	1.77%	1.77%	1.78%	1.76%
P-Class	1.02%	1.02%	1.01%	N/A	N/A	N/A
Institutional Class	0.78%	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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. Only A-Class, C-Class, P-Class and Institutional Class shares had been issued by the Fund.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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, 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.

36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 and/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, to 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 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 currencies 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 has authorized the Valuation Committee and GI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis. 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, 2017.

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.

38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 contract is closed. When the 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 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, 2017, there were no earnings credits received.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 0.82% at March 31, 2017.

J. 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 aff ect 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.

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.

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.

40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 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 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	$	114,664,552	$	2,252,135

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency contracts	Unrealized appreciation on forward foreign currency exchange 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, 2017:

Asset Derivative Investments Value
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund	$	459,072

Liability Derivative Investments Value
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund	$	1,168,604

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2017:

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, 2017:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund	$	6,049,002

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Fund	Forward Foreign Currency Exchange Contracts
Floating Rate Strategies Fund	$	(1,193,914	)

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.

3. Fees and Other Transactions with Affiliates

At a meeting that occurred on November 16, 2016, the Board approved to add an advisory fee breakpoint (“breakpoint”) to the Fund.

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. Effective January 30, 2017, a breakpoint of 5 basis points (0.05%) on average daily net assets above $5 billion will apply to the Fund’s advisory fees.

GI 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43

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	02/01/18
Floating Rate Strategies Fund - C-Class	1.77%	11/30/12	02/01/18
Floating Rate Strategies Fund - P-Class	1.02%	05/01/15	02/01/18
Floating Rate Strategies Fund - Institutional Class	0.78%	11/30/12	02/01/18

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, 2017, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Fund Total
Floating Rate Strategies Fund
A-Class	$	353,370	$	521,200	$	715,008	$	219,899	$	1,809,477
C-Class		79,639		164,290		254,684		62,500		561,113
P-Class		—		609		19,459		102,748		122,816
Institutional Class		298,590		538,037		1,021,450		153,389		2,011,466

For the period ended March 31, 2017, 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, 2017, the Fund did not waive any fees related to investments in affiliated funds.

For the period ended March 31, 2017, GFD retained sales charges of $356,038 relating to sales of A-Class shares of the Trust.

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

On October 4, 2016, Rydex Fund Services, LLC (“RFS”) was purchased by MUFG Investor Services and as of that date RFS ceased to be an affiliate of GI. In connection with its acquisition, RFS changed its name to MUFG Investor Services (US), LLC (“MUIS”). This change had no impact on the financial statements of the Trust.

44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

MUIS acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s fees and out of pocket expenses. For providing the aforementioned transfer agent services, MUIS is entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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 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, 2017, 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	$	3,828,320,527	$	30,389,020	$	(38,165,068	)	$	(7,776,048	)

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

6. Securities Transactions

For the period ended March 31, 2017, 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	$	1,802,683,332	$	606,506,970

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 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, 2017, 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
Floating Rate Strategies Fund	$	15,866,806	$	—	$	—

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, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gugg65857-ncsr.htm.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Transactions during the period ended March 31, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions		Value 03/31/17		Shares 03/31/17		Investment Income
Floating Rate Strategies Fund
Guggenheim Strategy Fund I	$	18,386,427	$	164,655	$	—	$	18,595,415		742,332	$	164,086
Guggenheim Strategy Fund II		7,160,896		85,306		—		7,263,541		290,542		85,275
	$	25,547,323	$	249,961	$	—	$	25,858,956			$	249,361

8. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2017. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2017 were as follows:

Borrower	Maturity Date	Face Amount1		Value
Floating Rate Strategies Fund
Acrisure LLC	11/22/23	$	445,032	$	—
Advantage Sales & Marketing LLC	07/25/19		4,800,000		286,170
AMC Entertainment Holdings, Inc.	04/30/17		9,750,000		—
American Bath Group LLC	09/30/23		254,717		—
American Stock Transfer & Trust	06/26/18		800,000		25,970
CEVA Group Plc (United Kingdom)	03/19/19		1,560,000		191,100
CH Hold Corp.	08/01/17		163,636		—
CSC Holdings, LLC	07/14/25		9,212,963		—
Go Daddy Operating Company LLC	12/12/17	EUR	15,900,000		—
Go Daddy Operating Company LLC	12/12/17		10,084,835		—
Internet Brands	07/08/21		6,850,588		—
IntraWest Holdings S.à r.l.	12/10/18		6,900,000		93,307
Moss Creek Resources LLC	03/29/22		4,287,500		—
Oberthur Technologies Group SAS	01/10/24	EUR	1,944,585		—
Signode Industrial Group US, Inc.	05/01/19		11,400,000		592,178
Wencor Group	06/19/19		2,148,462		111,617
				$	1,300,342

¹ The face amount is denominated in U.S. dollars unless otherwise indicated.

9. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

10. 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	Airplanes Pass Through Trust 2001-1A, 1.46% due 03/15/19	12/27/11	$	1,307,090	$	502,301

11. 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 following tables present 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 Assets		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
Floating Rate Strategies Fund	Forward foreign currency exchange contracts	$	459,072	$	—	$	459,072	$	459,072	$	—	$	—

50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

								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	$	1,168,604	$	—	$	1,168,604	$	459,072	$	—	$	709,532

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	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).	95	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53

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
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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	Current: Edward-Elmhurst Healthcare System (2012-present).
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).

54 | 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
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).	97	Former: Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55

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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

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 Occupations During Past Five Years
OFFICERS
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).

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 Occupations During Past Five Years
OFFICERS - continued
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, 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).

58 | 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
Adam J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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 | 59

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61

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3.31.2017

Guggenheim Funds Semi-Annual Report

Guggenheim Total Return Bond Fund

GuggenheimInvestments.com TRB-SEMI-0317x0917

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
TOTAL RETURN BOND FUND	8
NOTES TO FINANCIAL STATEMENTS	51
OTHER INFORMATION	71
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	72
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	79

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2017

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the six-month period ended March 31, 2017.

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 and Chief Executive Officer
April 30, 2017

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, 2017

The market optimism that helped lift risk asset prices after the presidential election in November continued through the early part of 2017. The Standard & Poor’s 500^® (“S&P 500^®”) Index set a new record, high yield corporate bond spreads approached cycle lows, and the 10-year Treasury yield rose to 2.63%, the highest level since 2014. Risk appetite faded as the first quarter drew to a close, however, as investors grappled with the implications of an unsuccessful healthcare reform bill and growing geopolitical risks.

Much of the rise in asset valuations since Donald Trump’s victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump’s new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. Tracking estimates for first-quarter real U.S. Gross Domestic Product (“GDP”) growth have fallen in recent weeks despite strong gains in consumer and business sentiment since the election. In late April, after the period ended, the initial estimate of first-quarter GDP growth was 0.7%. However, we attribute a large portion of the apparent weakness to seasonal factors that have depressed as-reported first quarter GDP growth over the past several years. In keeping with this pattern, we would expect the final first-quarter GDP number to be revised higher. More importantly, the prospects for quarterly U.S. GDP growth appear stronger going forward.

Consumer spending should benefit from solid income and wealth gains, with household net worth sitting at an all-time high. Recent job gains have been strong, and we anticipate a further acceleration of wage growth as the labor market continues to tighten. Buoyant consumer sentiment and low household debt service outlays also support our positive outlook. On the business investment side, we expect various factors to be supportive, including the uptick in global industrial production growth, the ongoing rise in U.S. oil drilling activity, the surge in small-business optimism, and the recovery in corporate earnings.

On March 15, the Federal Open Market Committee (“FOMC”) raised the U.S. Federal Reserve (the “Fed”) funds target rate by 25 basis points to a range of 0.75–1.0%. The hike itself had little impact on markets because several FOMC members had indicated in the weeks leading up to the meeting that a hike was likely. Looking ahead, we believe that the market is underpricing the likely pace of Fed rate hikes in 2017 and 2018, particularly now that market optimism about fiscal stimulus is waning.

Importantly, Chair Yellen noted that the FOMC’s baseline forecast of two additional rate increases in 2017 and three more in 2018 was not conditioned on expectations for fiscal stimulus. Rather, it reflected a need to gradually remove accommodation due to the fact that the Fed has essentially achieved its dual mandate objectives for employment and inflation. Fiscal easing, she explained, could result in a faster pace of tightening, if it materializes. Markets are skeptical and are pricing in only 1.5 more rate hikes in 2017 and another 1.5 rate hikes in 2018, according to fed funds futures contracts. We expect that the Fed will deliver three more rate hikes in 2017 and another four in 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2017

We expect to see equity and credit investors take more chips off the table unless there is concrete progress on fiscal legislation in Washington, particularly as the Fed demonstrates its desire to tighten even without fiscal stimulus. While we are optimistic about the near-term U.S. economic outlook, current valuations and growing political risks warrant a more defensive stance.

For the six months ended March 31, 2017, the S&P 500 Index* returned 10.12%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 6.48%. The return of the MSCI Emerging Markets Index* was 6.80%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.18% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.50%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.19% for the 12-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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

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

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, 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, 2016 and ending March 31, 2017.

The following tables illustrate the 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 fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2016	Ending Account Value March 31, 2017	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Total Return Bond Fund
A-Class	0.88%	0.22%	$ 1,000.00	$ 1,002.20	$ 4.39
C-Class	1.61%	(0.15%)	1,000.00	998.50	8.02
P-Class	0.84%	0.23%	1,000.00	1,002.30	4.19
R6-Class4	0.50%	0.63%	1,000.00	1,006.30	2.25
Institutional Class	0.54%	0.39%	1,000.00	1,003.90	2.70
Table 2. Based on hypothetical 5% return (before expenses)
Total Return Bond Fund
A-Class	0.88%	5.00%	$ 1,000.00	$ 1,020.54	$ 4.43
C-Class	1.61%	5.00%	1,000.00	1,016.90	8.10
P-Class	0.84%	5.00%	1,000.00	1,020.74	4.23
R6-Class4	0.50%	5.00%	1,000.00	1,022.69	2.27
Institutional Class	0.54%	5.00%	1,000.00	1,022.24	2.72

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 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2016 to March 31, 2017.
4	Since commencement of operations: October 19, 2016. Expenses paid based on hypothetical 5% return are calculated using 182 days.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

FUND PROFILE (Unaudited) March 31, 2017

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.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

FUND PROFILE (Unaudited)(concluded) March 31, 2017

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
R6-Class	October 19, 2016
Institutional Class	November 30, 2011

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	24.3%
AA	19.3%
A	14.6%
BBB	11.0%
BB	4.6%
B	5.4%
CCC	4.6%
CC	1.3%
NR2	11.1%
Total	96.2%
Other Instruments	3.8%
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 Bond	8.4%
CIT Mortgage Loan Trust	1.5%
FirstKey Master Funding	1.3%
Anchorage Credit Funding Ltd.	1.0%
FirstKey Master Funding	0.9%
Capital Automotive REIT	0.8%
Golub Capital Partners CLO Ltd.	0.8%
Fortress Credit Opportunities VII CLO Ltd.	0.7%
Fortress Credit BSL II Ltd.	0.7%
American Home Mortgage Investment Trust	0.7%
Top Ten Total	16.8%

“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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2017
TOTAL RETURN BOND FUND

	Shares		Value
COMMON STOCKS† - 0.0%**
Energy - 0.0%**
Titan Energy LLC*,1		6,740	$	122,668
Total Common Stocks
(Cost $200,000)				122,668
PREFERRED STOCKS†† - 0.0%**
Industrial - 0.0%**
Seaspan Corp. 6.38% due 04/30/191		44,000		1,104,400
Total Preferred Stocks
(Cost $1,100,000)				1,104,400
MUTUAL FUNDS† - 1.4%
Guggenheim Floating Rate Strategies Fund — Institutional Class2		1,369,251		35,710,067
Guggenheim Limited Duration Fund — Institutional Class2		634,963		15,702,638
Guggenheim Strategy Fund I2		486,545		12,187,954
Guggenheim Strategy Fund II2		475,628		11,890,707
Guggenheim Strategy Fund III2		257,614		6,442,936
Total Mutual Funds
(Cost $81,240,039)				81,934,302
CLOSED-END FUNDS† - 0.2%
Guggenheim Strategic Opportunities Fund2		481,691		9,802,412
Total Closed-End Funds
(Cost $8,478,228)				9,802,412
SHORT-TERM INVESTMENTS† - 2.4%
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares 0.48%4		138,016,288		138,016,288
Total Short-Term Investments
(Cost $138,016,288)				138,016,288

	Face Amount3
ASSET-BACKED SECURITIES†† - 41.3%
Collateralized Loan Obligations - 31.9%
CIFC Funding Ltd.
2017-3A, 2.06% due 10/24/255,6	$	24,700,000	24,644,497
2015-2A, 3.00% due 12/05/245,6		18,500,000	18,495,428
2017-3A, 2.54% due 10/24/255,6		11,500,000	11,457,931
2015-3A, 3.12% due 10/19/275,6		9,750,000	9,740,118
2016-1A, 2.99% due 01/22/275,6		7,500,000	7,500,271
2016-5A, 3.72% due 01/17/275,6		3,750,000	3,751,720
2015-2A, 3.12% due 04/15/275,6		2,000,000	2,000,755
2014-1A, 3.82% due 04/18/255,6		500,000	499,990
Fortress Credit Opportunities III CLO, LP
2017-3A, 2.82% due 04/28/265,6		64,150,000	64,070,609
2017-3A, 4.00% due 04/28/266		7,700,000	7,680,271
2014-3A, 2.91% due 04/28/265,6		5,000,000	4,999,956
2014-3A, 3.51% due 04/28/265,6		650,000	647,797
2014-3A, 4.26% due 04/28/265,6		400,000	399,996
Golub Capital Partners CLO Ltd.
2016-33A, 3.37% due 11/21/285,6		48,750,000	48,588,477
2015-25A, 2.83% due 08/05/275,6		16,500,000	16,503,120
2015-24A, 3.73% due 02/05/275,6		5,000,000	5,004,245
2013-17A, 3.44% due 10/25/255,6		3,250,000	3,205,148
2014-21A, 3.49% due 10/25/265,6		2,700,000	2,661,214
2014-18A, 4.54% due 04/25/265,6		500,000	499,102

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
2013-17A, 4.87% due 10/25/255,6	$	400,000	$	400,990
Fortress Credit BSL II Ltd.
2017-2A, 2.80% due 10/19/255,6		41,850,000		41,752,473
2013-2A, 2.52% due 10/19/255,6		15,500,000		15,508,470
2013-2A, 3.27% due 10/19/255,6		4,000,000		4,006,261
OCP CLO Ltd.
2016-11A, 3.43% due 04/26/285,6		18,500,000		18,498,935
2014-6A, 5.97% due 07/17/265,6		7,700,000		7,357,290
2016-11A, 4.48% due 04/26/285,6		7,000,000		6,999,371
2016-2A, 3.90% due 11/22/255,6		6,500,000		6,507,236
2015-8A, 6.52% due 04/17/275,6		6,500,000		6,250,510
2014-6A, 4.12% due 07/17/265,6		5,500,000		5,499,769
2014-7A, 3.13% due 10/20/265,6		3,500,000		3,499,959
2013-4A, 3.79% due 10/24/255,6		2,250,000		2,250,000
2014-6A, 3.07% due 07/17/265,6		1,500,000		1,500,003
Shackleton CLO Ltd.
2016-7A, 2.97% due 04/15/275,6		20,250,000		20,249,032
2017-4A, 2.65% due 01/13/255,6		14,950,000		14,963,889
2015-8A, 3.98% due 10/20/275,6		7,600,000		7,577,761
2013-4A, 3.02% due 01/13/255,6		5,000,000		5,003,478
2016-2A, 3.68% due 10/20/235,6		4,000,000		3,999,757
2014-6A, 4.12% due 07/17/265,6		2,950,000		2,957,550
2013-3A, 6.52% due 04/15/255,6		2,250,000		1,989,886
KVK CLO Ltd.
2017-1A, 2.84% due 05/15/265,6		24,865,000		24,847,258
2017-2A, 2.80% due 01/15/265,6		19,200,000		19,171,546
2014-2A, 5.77% due 07/15/265,6		9,930,000		8,544,418
2013-1A, due 04/14/256,7		3,800,000		1,721,241
Fortress Credit Opportunities V CLO Ltd.
2017-5A, 2.94% due 10/15/265,6		29,450,000		29,468,853
2017-5A, 3.40% due 10/15/266		16,000,000		16,016,589
2014-5A, 4.56% due 10/15/265,6		1,750,000		1,749,412
2014-5A, 3.66% due 10/15/265,6		1,500,000		1,499,251
2017-5A, 3.75% due 10/15/266		1,000,000		1,001,058
Fortress Credit Opportunities VII CLO Ltd.
2016-7A, 2.98% due 12/15/285,6		42,200,000		42,268,426
2016-7A, 3.88% due 12/15/285,6		5,000,000		4,969,766
PFP Ltd.
2017-3, 1.83% due 01/14/355,6		28,500,000		28,568,115
2015-2, 2.93% due 07/14/345,6		16,500,000		16,485,732
2017-3, 2.53% due 01/14/355,6		2,000,000		2,005,600
NXT Capital CLO LLC
2017-1A, 2.86% due 04/20/295,6		32,000,000		31,944,525
2015-1A, 4.69% due 04/21/275,6		1,000,000		979,787
Cerberus Loan Funding XVII Ltd.
2016-3A, 3.48% due 01/15/285,6		31,500,000		31,397,992
Flagship CLO VIII Ltd.
2017-8A, 2.29% due 01/16/265,6		30,900,000		30,825,789

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
WhiteHorse VI Ltd.
2016-1A, 2.93% due 02/03/255,6	$	22,100,000	$	22,083,631
2016-1A, 3.78% due 02/03/255,6		8,500,000		8,502,249
Venture XIX CLO Ltd.
2016-19A, 3.02% due 01/15/275,6		29,450,000		29,448,586
Great Lakes CLO Ltd.
2015-1A, 2.97% due 07/15/265,6		10,000,000		10,031,986
2014-1A, 2.87% due 04/15/255,6		9,500,000		9,509,702
2012-1A, 3.77% due 01/15/235,6		4,000,000		3,995,308
2015-1A, 3.72% due 07/15/265,6		4,000,000		3,955,993
2012-1A, 5.12% due 01/15/235,6		1,250,000		1,249,924
2012-1A, due 01/15/235,7,15		1,000,000		423,870
2014-1A, 4.72% due 04/15/255,6		250,000		247,172
Cerberus Loan Funding XVI, LP
2016-2A, 3.07% due 11/15/275,6		15,500,000		15,684,760
2016-2A, 3.37% due 11/15/275,6		9,350,000		9,434,628
A Voce CLO Ltd.
2017-1A, 2.70% due 07/15/265,6		23,200,000		23,143,450
OZLM IX Ltd.
2017-9A, 2.69% due 01/20/275,6		22,550,000		22,480,440
Venture XII CLO Ltd.
2017-12A, 2.67% due 02/28/265,6		22,300,000		22,238,729
Galaxy XVIII CLO Ltd.
2017-18A, 2.65% due 10/15/265,6		19,550,000		19,549,101
2014-18A, 4.02% due 10/15/265,6		2,500,000		2,500,000
Tuolumne Grove CLO Limited
2017-1A, 2.81% due 04/25/265,6		22,000,000		21,917,848
Symphony CLO XIV Ltd.
2017-14A, 2.86% due 07/14/265,6		21,275,000		21,283,048
Regatta V Funding Ltd.
2017-1A, 2.71% due 10/25/265,6		20,950,000		20,986,724
Newstar Commercial Loan Funding LLC
2017-1A, 3.54% due 03/20/275,6		12,750,000		12,749,976
2016-1A, 4.80% due 02/25/285,6		5,750,000		5,761,775
2015-1A, 3.83% due 01/20/275,6		1,000,000		999,938
2014-1A, 4.63% due 04/20/255,6		500,000		498,033
Oaktree EIF II Series Ltd.
2014-A2, 3.34% due 11/15/255,6		8,000,000		7,999,352
1.30% due 10/23/21		6,614,009		6,611,915
2014-A2, 4.24% due 11/17/255,6		5,300,000		5,292,145
Catamaran CLO Ltd.
2016-1A, 3.10% due 12/20/235,6		12,000,000		12,003,329
2012-1A, 6.77% due 12/20/235,6		3,000,000		2,961,035
2014-2A, 6.53% due 10/18/265,6		2,500,000		2,141,301
2016-2A, 3.07% due 10/18/265,6		1,750,000		1,761,845
2015-1A, 4.14% due 04/22/275,6		1,000,000		1,007,612
TICP CLO II Ltd.
2017-2A, 2.70% due 07/20/265,6		14,000,000		14,013,979
2014-2A, 4.03% due 07/20/265,6		3,000,000		3,000,000
2014-2A, 4.33% due 07/20/265,6		2,850,000		2,819,533

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Flagship VII Ltd.
2017-7A, 2.71%due 01/20/265,6	$	19,125,000	$	19,075,140
Halcyon Loan Advisors Funding Ltd.
2014-2A, 3.04% due 04/28/255,6		14,000,000		14,027,115
2012-2A, 4.00% due 12/20/245,6		4,000,000		4,006,638
2012-2A, 5.65% due 12/20/245,6		600,000		600,182
Northwoods Capital XIV Ltd.
2017-14A, 2.79% due 11/12/255,6		18,450,000		18,470,986
Regatta IV Funding Ltd.
2014-1A, 3.99% due 07/25/265,6		13,500,000		13,499,216
2014-1A, 5.99% due 07/25/265,6		4,621,000		4,347,968
Venture XVI CLO Ltd.
2017-16A, 2.65% due 04/15/265,6		14,500,000		14,499,333
2014-16A, 3.77% due 04/15/265,6		2,500,000		2,500,000
ABPCI Direct Lending Fund CLO I LLC
2016-1A, 3.65% due 12/22/285,6		17,000,000		16,910,506
Steele Creek CLO Ltd.
2017-1A, 2.89% due 08/21/265,6		16,800,000		16,799,902
Northwoods Capital XI Ltd.
2017-11A, 2.75% due 04/15/255,6		16,750,000		16,750,521
Tralee CLO III Ltd.
2016-3A, 3.03% due 07/20/265,6		8,300,000		8,305,596
2016-3A, 3.93% due 07/20/265,6		7,500,000		7,500,626
WhiteHorse VIII Ltd.
2014-1A, 3.08% due 05/01/265,6		15,750,000		15,789,717
Garrison Funding Ltd.
2016-2A, 3.26% due 09/29/275,6		7,000,000		7,046,912
2015-1A, 3.55% due 05/25/275,6		6,250,000		6,250,630
2016-2A, 4.20% due 09/29/275,6		2,250,000		2,244,064
Fortress Credit Investments IV Ltd.
2015-4A, 2.92% due 07/17/235,6		14,000,000		14,015,512
2015-4A, 3.92% due 07/17/235,6		1,000,000		999,998
Atrium XI
2014-11A, 4.24% due 10/23/255,6		11,500,000		11,500,970
2017-11A, 2.65% due 10/23/255,6		3,500,000		3,491,579
MP CLO VI Ltd.
2017-2A, 2.57% due 01/15/275,6		14,500,000		14,522,913
Northwoods Capital X Ltd.
2017-10A, 2.65% due 11/04/255,6		14,500,000		14,512,390
Marea CLO Ltd.
2015-1A, 2.82% due 10/15/235,6		14,393,000		14,389,911
MP CLO V Ltd.
2017-1A, 2.57% due 07/18/265,6		13,010,000		13,011,304
Seneca Park CLO Limited
2017-1A, 2.65% due 07/17/265,6		12,900,000		12,907,446
Dryden XXXI Senior Loan Fund
2017-31A, 2.66% due 04/18/265,6		12,850,000		12,801,968
Vibrant CLO III Ltd.
2016-3A, 3.08% due 04/20/265,6		12,000,000		11,956,067
AMMC CLO XV Ltd.
2016-15A, 3.01% due 12/09/265,6		11,600,000		11,642,889
Treman Park CLO Ltd.
2015-1A, due 04/20/276,7		13,600,000		11,458,596

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Venture XI CLO Ltd.
2015-11A, 2.99% due 11/14/225,6	$	11,500,000	$	11,431,980
Resource Capital Corp.
2015-CRE3, 3.34% due 03/15/325,6		4,500,000		4,471,295
2015-CRE3, 4.09% due 03/15/325,6		3,000,000		2,974,692
2015-CRE3, 4.94% due 03/15/325,6		2,000,000		1,978,992
2014-CRE2, 3.44% due 04/15/325,6		2,000,000		1,970,032
Crown Point CLO II Ltd.
2013-2A, 2.95% due 12/31/235,6		11,300,000		11,283,592
TCP Waterman CLO LLC
2016-1A, 3.18% due 12/15/285,6		7,150,000		7,224,647
2016-1A, 3.43% due 12/15/285,6		4,000,000		3,999,824
Flatiron CLO Ltd.
2017-1A, 2.64% due 07/17/265,6		7,600,000		7,577,603
2013-1A, 6.37% due 01/17/265,6		2,000,000		1,780,684
2016-1A, 3.54% due 10/25/215,6		1,750,000		1,749,772
Black Diamond CLO Ltd.
2012-1A, 2.43% due 02/01/235,6		8,171,449		8,160,742
2014-1A, 3.87% due 02/06/265,6		2,000,000		2,001,935
2013-1A, 4.28% due 02/01/235,6		650,000		650,168
Nelder Grove CLO Ltd.
2017-1A, 2.80% due 08/28/265,6		10,050,000		10,048,453
Ares XXXIII CLO Ltd.
2016-1A, 3.05% due 12/05/255,6		9,800,000		9,824,506
ACIS CLO Ltd.
2015-6A, 3.51% due 05/01/275,6		7,500,000		7,529,504
2013-1A, 3.97% due 04/18/245,6		1,650,000		1,653,281
2013-2A, 4.23% due 10/14/225,6		375,000		374,547
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/276,7		10,000,000		9,391,405
TICP CLO III Ltd.
2014-3A, 3.38% due 01/20/275,6		7,000,000		7,000,000
2014-3A, 4.28% due 01/20/275,6		2,250,000		2,250,000
Venture XVII CLO Ltd.
2014-17A, 3.87% due 07/15/265,6		8,750,000		8,754,916
Neuberger Berman CLO XVII Ltd.
2014-17A, 3.79% due 08/04/255,6		8,500,000		8,436,256
Madison Park Funding XVI Ltd.
2016-16A, 2.93% due 04/20/265,6		8,250,000		8,267,645
Betony CLO Ltd.
2016-1A, 2.97% due 04/15/275,6		8,250,000		8,240,836
Voya CLO Ltd.
2013-1X, due 04/15/247		9,500,000		5,904,868
2015-3A, 3.97% due 10/15/225,6		2,250,000		2,249,919
Fifth Street SLF II Ltd.
2015-2A, 2.96% due 09/29/275,6		8,000,000		8,007,084
KKR CLO Ltd.
2015-12, 3.32% due 07/15/275,6		8,000,000		7,990,538
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 10/04/246,7		8,920,000		7,229,225
2014-2A, 4.93% due 07/20/235,6		750,000		749,963
Vibrant CLO IV Ltd.
2016-4A, 3.43% due 07/20/285,6		7,000,000		7,111,921

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Vibrant CLO Limited
2015-1A, 3.82% due 07/17/245,6	$	7,000,000	$	6,995,333
Cent CLO 21 Ltd.
2017-21A, 2.76% due 07/27/265,6		7,000,000		6,994,044
Ares XXVI CLO Ltd.
2013-1A, 3.77% due 04/15/255,6		5,000,000		4,999,760
2013-1A, due 04/15/256,7		4,300,000		1,946,628
TICC CLO LLC
2012-1A, 4.55% due 08/25/235,6		6,250,000		6,252,032
2012-1A, 5.68% due 08/25/235,6		350,000		350,156
Marathon CLO VII Ltd.
2014-7A, 4.54% due 10/28/255,6		4,000,000		4,002,669
2014-7A, 3.69% due 10/28/255,6		2,500,000		2,499,854
Atlas Senior Loan Fund V Ltd.
2016-1A, 3.53% due 07/16/265,6		6,500,000		6,499,667
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/257		7,500,060		6,427,252
Fifth Street Senior Loan Fund I LLC
2015-1A, 3.03% due 01/20/275,6		5,000,000		5,007,346
2015-1A, 4.03% due 01/20/275,6		1,250,000		1,252,101
Cereberus ICQ Levered LLC
2015-1A, 3.07% due 11/06/255,6		4,000,000		4,008,664
2015-1A, 4.07% due 11/06/255,6		2,250,000		2,249,870
Fortress Credit Funding V, LP
2015-5A, 3.69% due 08/15/225,6		6,000,000		5,993,920
Northwoods Capital IX Ltd.
2012-9A, 3.27% due 01/18/245,6		5,815,000		5,814,681
Ares CLO Ltd.
2016-3A, 4.92% due 01/17/245,6		5,550,000		5,550,232
TICP CLO I Ltd.
2014-1A, 4.03% due 04/26/265,6		5,500,000		5,500,497
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/256,7		6,000,000		5,353,510
OHA Loan Funding Ltd.
2017-1A, 3.09% due 07/23/255,6		5,300,000		5,296,909
AIMCO CLO Series
2015-AA, 3.32% due 01/15/285,6		5,000,000		5,042,287
RFTI Issuer Ltd.
2015-FL1, 4.79% due 08/15/305,15		5,000,000		5,007,685
Mountain Hawk II CLO Ltd.
2013-2A, 2.73% due 07/22/245,6		5,000,000		4,993,792
Fortress Credit Opportunities VI CLO Ltd.
2015-6A, 3.81% due 10/10/265,6		5,000,000		4,979,282
Telos CLO Ltd.
2013-3A, 4.02% due 01/17/245,6		2,000,000		2,000,744
2014-6A, 3.12% due 01/17/275,6		1,500,000		1,500,779
2007-2A, 3.22% due 04/15/225,6		1,100,000		1,071,169
Benefit Street Partners CLO V Ltd.
2017-VA, 2.53% due 10/20/265,6		4,500,000		4,496,909

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Marathon CLO V Ltd.
2013-5A, 3.40% due 02/21/255,6	$	4,500,000	$	4,485,366
Jamestown CLO VI Ltd.
2015-6A, 5.80% due 02/20/275,6		4,500,000		4,268,106
Cavalry CLO II
2013-2A, 2.37% due 01/17/245,6		4,000,000		4,000,000
Regatta III Funding Ltd.
2014-1A, 3.87% due 04/15/265,6		4,000,000		3,979,412
Kingsland V Ltd.
2007-5A, 1.82% due 07/14/215,6		4,000,000		3,874,516
OZLM Funding II Ltd.
2016-2A, 3.64% due 10/30/275,6		3,750,000		3,739,559
Babson CLO Ltd.
2012-2A, due 05/15/236,7		4,750,000		2,825,307
2014-IA, due 07/20/256,7		1,300,000		805,452
Anchorage Capital CLO 4 Ltd.
2014-4A, 3.20% due 07/28/265,6		3,600,000		3,600,637
Greywolf CLO III Ltd.
2014-1A, 3.89% due 04/22/265,6		2,000,000		1,998,867
2014-1A, 3.09% due 04/22/265,6		1,500,000		1,506,159
Cent CLO
2014-16A, 3.28% due 08/01/245,6		1,750,000		1,750,150
2014-16A, 4.23% due 08/01/245,6		1,750,000		1,750,071
THL Credit Wind River CLO Ltd.
2014-2A, 6.27% due 07/15/265,6		3,600,000		3,456,609
CFIP CLO Ltd.
2014-1A, 2.49% due 04/13/255,6		3,400,000		3,410,480
Eaton Vance CLO Ltd.
2017-1A, 2.62% due 07/15/265,6		3,400,000		3,391,783
Recette CLO LLC
2015-1A, 3.83% due 10/20/275,6		3,250,000		3,269,563
Venture X CLO Ltd.
2016-10A, 3.51% due 07/20/225,6		3,250,000		3,257,371
Oaktree EIF I Series A1 Ltd.
2016-A, 4.68% due 01/20/275,6		3,250,000		3,254,767
Cerberus Onshore II CLO LLC
2014-1A, 3.72% due 10/15/235,6		2,250,000		2,251,151
2014-1A, 3.02% due 10/15/235,6		970,732		970,869
AMMC CLO XI Ltd.
2016-11A, 3.89% due 10/30/235,6		3,000,000		3,015,267
Crown Point CLO III Ltd.
2015-3A, 4.07% due 12/31/275,6		3,000,000		3,012,120
Madison Park Funding Ltd.
2007-6A, 4.28% due 07/26/215,6		3,000,000		3,004,824
Benefit Street Partners CLO Ltd.
2015-IA, 4.12% due 10/15/255,6		3,000,000		3,003,021
Atlas Senior Loan Fund VI Ltd.
2017-6A, 3.38% due 10/15/265,6		3,000,000		2,988,370
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.33% due 10/20/255,6		2,000,000		1,952,694
2013-7A, 4.48% due 10/20/255,6		1,000,000		967,568
KKR CLO Trust
2012-1A, 3.33% due 12/15/245,6		2,000,000		2,000,503

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
2012-1A, 4.43% due 12/15/245,6	$	500,000	$	500,268
FS Senior Funding Ltd.
2015-1A, 2.82% due 05/28/255,6		2,500,000		2,500,125
Marathon CLO IV Ltd.
2012-4A, 4.06% due 05/20/235,6		2,500,000		2,500,118
Oaktree EIF II Series B1 Ltd.
2015-B1A, 3.34% due 02/15/265,6		2,205,000		2,206,382
Rockwall CDO II Ltd.
2007-1A, 1.58% due 08/01/245,6		2,100,000		2,083,893
NewStar Arlington Senior Loan Program LLC
2014-1A, 3.64% due 07/25/255,6		1,000,000		980,666
2014-1A, 4.76% due 07/25/256		700,000		700,442
2014-1A, 4.34% due 07/25/255,6		400,000		395,968
Duane Street CLO IV Ltd.
2007-4A, 3.29% due 11/14/215,6		2,000,000		2,000,064
Mountain Hawk I CLO Ltd.
2013-1A, 3.21% due 01/20/245,6		2,000,000		2,000,060
Octagon Investment Partners XVI Ltd.
2013-1A, 3.77% due 07/17/255,6		2,000,000		1,999,930
NewStar Clarendon Fund CLO LLC
2015-1A, 4.39% due 01/25/275,6		2,000,000		1,989,951
Sound Point CLO IV Ltd.
2013-3A, 3.39% due 01/21/265,6		2,000,000		1,986,450
Madison Park Funding V Ltd.
2007-5A, 2.50% due 02/26/215,6		2,000,000		1,960,411
Ivy Hill Middle Market Credit Fund IX Ltd.
2014-9A, 3.47% due 10/18/255,6		1,000,000		996,232
2014-9A, 4.32% due 10/18/255,6		1,000,000		963,338
LMREC, Inc.
2015-CRE1, 4.48% due 02/22/325,6		2,000,000		1,957,186
Venture XIII CLO Ltd.
2013-13A, due 06/10/256,7		3,700,000		1,877,569
AMMC CLO XIII Ltd.
2013-13A, 6.79% due 01/26/265,6		2,000,000		1,840,910
Westchester CLO Ltd.
2007-1A, 1.47% due 08/01/225,6		1,850,000		1,804,511
Galaxy XIX CLO Ltd.
2015-19A, due 01/24/276,7		2,000,000		1,803,999
Newstar Trust
2012-2A, 5.28% due 01/20/235,6		1,000,000		1,000,053
2012-2A, 4.28% due 01/20/235,6		750,000		753,336
Adirondack Park CLO Ltd.
2013-1A, 4.02% due 04/15/245,6		1,500,000		1,501,196
ING Investment Management CLO Ltd.
2007-4A, 3.24% due 06/14/225,6		1,500,000		1,499,939
COA Summit CLO Limited
2014-1A, 3.83% due 04/20/235,6		1,250,000		1,249,887
Venture CLO Ltd.
2013-14A, 3.80% due 08/28/255,6		1,250,000		1,249,772
Oaktree CLO Ltd.
2014-2A, 6.28% due 10/20/265,6		1,250,000		1,202,124
ALM XIV Ltd.
2014-14A, 3.99% due 07/28/265,6		750,000		753,001

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
2014-14A, 4.49% due 07/28/265,6	$	300,000	$	300,768
Highbridge Loan Management Ltd.
2013-2A, 4.73% due 10/20/245,6		1,000,000		1,002,415
Gallatin CLO VII Ltd.
2014-1A, 3.92% due 07/15/235,6		1,000,000		1,000,052
Lime Street CLO Ltd.
2007-1A, 3.65% due 06/20/215,6		1,000,000		986,809
WhiteHorse IV Ltd.
2007-4A, 2.47% due 01/17/205,6		1,000,000		985,260
Saranac CLO III Ltd.
2014-3A, 6.31% due 06/22/255,6		1,000,000		900,434
Atlas Senior Loan Fund II Ltd.
2012-2A, due 01/30/246,7		1,200,000		764,693
Grayson CLO Ltd.
2006-1A, 1.44% due 11/01/215,6		750,000		732,705
Keuka Park CLO Ltd.
2013-1A, due 10/21/246,7		1,000,000		505,943
GoldenTree Credit Opportunities Financing Ltd.
2012-1A, 5.38% due 06/15/285,6		500,000		503,905
AMMC CLO XIV Ltd.
2014-14A, 3.84% due 07/27/265,6		500,000		499,961
DIVCORE CLO Ltd.
2013-1A, 4.81% due 11/15/325,6		500,000		499,041
MCF CLO IV LLC
2014-1A, 6.78% due 10/15/255,6		500,000		454,498
Ares XXV CLO Ltd.
2013-3A, due 01/17/246,7		750,000		405,119
Rockwall CDO Ltd.
2007-1A, 1.28% due 08/01/245,6		260,624		259,973
Eastland CLO Ltd.
2007-1A, 1.43% due 05/01/225,6		250,000		245,473
Copper River CLO Ltd.
2007-1A, due 01/20/215,7,15		1,500,000		210,889
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 2.03% due 12/20/185,6		73,711		73,656
Marathon CLO II Ltd.
2005-2A, due 12/20/19†††,7		250,000		—
Total Collateralized Loan Obligations				1,833,452,669
Collateralized Debt Obligations - 3.2%
Anchorage Credit Funding Ltd.
2016-4A, 3.50% due 02/15/356		55,600,000		55,397,307
2016-3A, 3.85% due 10/28/336		7,500,000		7,609,395
Putnam Structured Product Funding Ltd.
2003-1A, 1.91% due 10/15/385,6		29,424,187		26,704,900
FDF II Ltd.
2016-2A, 4.29% due 05/12/316		20,500,000		20,598,443
2016-2A, 5.29% due 05/12/316		5,000,000		5,059,237
Triaxx Prime CDO Ltd.
2006-2A, 1.05% due 10/02/395,6		17,220,718		16,782,189
RB Commercial Trust
2012-RS1, 5.35% due 01/26/226		15,792,231		16,309,063
FDF I Ltd.
2015-1A, 4.40% due 11/12/306		13,000,000		12,813,533

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
SRERS Funding Ltd.
2011-RS, 1.10% due 05/09/465,6	$	12,110,238	$	8,127,089
Highland Park CDO I Ltd.
2006-1A, 1.45% due 11/25/515,6		4,026,789		3,740,537
Anchorage Credit Funding 1 Ltd.
2015-1A, 4.30% due 07/28/306		3,000,000		3,099,156
JPMCC Re-REMIC Trust
2014-FRR1, 3.24% due 04/27/445,6		3,000,000		2,959,860
N-Star REL CDO VIII Ltd.
2006-8A, 1.15% due 02/01/415,6		1,946,894		1,935,876
Wrightwood Capital Real Estate CDO Ltd.
2005-1A, 1.48% due 11/21/405,6		1,250,000		1,226,329
RAIT CRE CDO I Ltd.
2006-1X A1B, 1.31% due 11/20/46		557,649		554,518
Total Collateralized Debt Obligations				182,917,432
Transport-Aircraft - 3.2%
Apollo Aviation Securitization Equity Trust
2016-2, 4.21% due 11/15/41		34,618,290		34,647,922
2016-1A, 4.88% due 03/17/366		20,970,000		21,074,850
2014-1, 5.13% due 12/15/295		7,412,046		7,402,781
2014-1, 7.38% due 12/15/295		2,280,630		2,277,779
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/406		28,089,286		27,983,950
2015-1A, 5.07% due 02/15/406		2,340,774		2,293,958
Castlelake Aircraft Securitization Trust
2015-1A, 4.70% due 12/15/406		18,756,450		19,141,173
2014-1, 5.25% due 02/15/29		1,181,888		1,178,933
2014-1, 7.50% due 02/15/29		582,583		582,583
ECAF I Ltd.
2015-1A, 4.95% due 06/15/406		15,828,514		15,337,498
2015-1A, 3.47% due 06/15/406		1,491,867		1,476,949
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/42		16,507,040		16,640,929
Harbour Aircraft Investments Ltd.
2016-1A, 4.70% due 07/15/41		7,616,910		7,632,784
Diamond Head Aviation Ltd.
2015-1, 3.81% due 07/14/286		4,386,890		4,389,052
Rise Ltd.
4.75% due 02/12/39		3,995,539		3,975,561
Atlas Ltd.
2014-1 A, 4.88% due 12/15/39		3,458,400		3,449,754
AABS Ltd.
2013-1 A, 4.88% due 01/10/38		2,842,982		2,835,874
Eagle I Ltd.
2014-1A, 4.31% due 12/15/396		2,573,750		2,575,686
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/386		1,548,922		1,556,667
2013-1, 6.35% due 10/15/386		331,912		331,912
Stripes 2103 Aircraft 1 Ltd.
2013-1 A1, 4.48% due 03/20/23†††,1		1,654,686		1,615,754

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/4815	$	1,094,729	$	1,084,378
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/376		1,055,642		1,047,724
AASET
2014-1 C, 10.41% due 12/15/29		991,889		989,409
Airplanes Pass Through Trust
2001-1A, 1.46% due 03/15/195,15		740,322		229,500
Total Transport-Aircraft				181,753,360
Net Lease - 1.9%
Capital Automotive REIT
2017-1A, 3.87% due 04/15/476		49,950,000		49,935,520
2014-1A, 3.66% due 10/15/446		4,500,000		4,385,043
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/466		30,973,729		29,610,885
2016-1A, 4.32% due 10/20/466		7,400,000		7,429,422
Spirit Master Funding LLC
2014-2A, 5.76% due 03/20/426		4,938,032		5,172,588
2014-4A, 4.63% due 01/20/456		4,250,000		4,170,820
Store Master Funding I LLC
2015-1A, 4.17% due 04/20/456		5,792,947		5,704,147
2015-1A, 3.75% due 04/20/456		1,485,625		1,463,272
Store Master Funding LLC
2012-1A, 5.77% due 08/20/426		1,770,251		1,783,211
2013-1A, 4.16% due 03/20/436		1,727,225		1,713,486
Total Net Lease				111,368,394
Whole Business - 0.8%
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/466		27,462,000		27,875,084
2016-1A, 4.38% due 05/25/466		5,273,500		5,341,855
Wendys Funding LLC
2015-1A, 4.50% due 06/15/456		7,830,750		7,623,016
Drug Royalty III Limited Partnership
2016-1A, 3.98% due 04/15/276		3,824,269		3,824,665
Sonic Capital LLC
2016-1A, 4.47% due 05/20/466		2,485,417		2,449,276
Total Whole Business				47,113,896
Industrial - 0.1%
Agnico-Eagle Mines Ltd.
4.84% due 06/30/26†††,1		6,000,000		5,967,026
Insurance - 0.1%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/346		4,950,000		4,927,181
Financial - 0.1%
Industrial DPR Funding Ltd.
2016-1A, 5.24% due 04/15/26†††,6		4,000,000		3,880,345
Hana Small Business Lending Loan Trust
2014-2014, 3.68% due 01/25/405,6		905,181		890,336
Total Financial				4,770,681
Transport-Container - 0.0%**
CLI Funding V LLC
2013-2A, 3.22% due 06/18/286		1,384,777		1,335,424

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Diversified Payment Rights - 0.0%**
CCR Incorporated MT100 Payment Rights Master Trust
2012-CA, 4.75% due 07/10/226	$	723,810	$	732,068
CCR, Inc. MT100 Payment Rights Master Trust
2010-CX, 1.30% due 07/10/175		210,470		210,053
Garanti Diversified Payment Rights Finance Co.
2007-A, 1.20% due 07/09/175		208,000		207,525
Total Diversified Payment Rights				1,149,646
Total Asset-Backed Securities
(Cost $2,354,851,264)				2,374,755,709
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 31.3%
Residential Mortgage Backed Securities - 21.8%
RALI Series Trust
2006-QO5, 1.20% due 05/25/465		27,612,163		24,522,754
2006-QO10, 1.14% due 01/25/375		16,406,108		13,916,592
2007-QO4, 1.17% due 05/25/475		13,731,741		12,379,863
2006-QO2, 1.20% due 02/25/465		22,548,824		9,774,963
2007-QO2, 1.13% due 02/25/475		13,894,070		8,238,881
2007-QO4, 1.18% due 05/25/475		6,387,420		5,764,406
2005-QO1, 1.28% due 08/25/355		6,458,826		5,147,630
2005-QO1, 2.14% due 08/25/355		4,270,664		3,704,008
2006-QS8, 1.43% due 08/25/365		5,432,822		3,495,335
2006-QO2, 1.25% due 02/25/465		5,966,913		2,645,896
2007-QO3, 1.14% due 03/25/475		2,606,353		2,120,450
CIT Mortgage Loan Trust
2007-1, 2.33% due 10/25/375,6		84,382,335		83,778,544
2007-1, 2.43% due 10/25/375,6		7,086,943		6,939,033
LSTAR Securities Investment Ltd.
2016-4, 2.78% due 10/01/215,6		28,892,787		28,662,194
2017-1, 2.78% due 01/01/225,6		18,797,608		18,750,614
2016-5, 2.78% due 11/01/215,6		16,824,273		16,738,738
2016-3, 2.78% due 09/01/215,6		14,690,142		14,505,122
2015-6, 2.78% due 05/01/205,6		3,416,280		3,403,469
FirstKey Master Funding
2017-R1, 1.01% due 11/03/415,6		64,850,000		63,712,148
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/478		225,682,858		41,417,205
2006-1, 1.26% due 03/25/465		8,433,059		6,946,177
2006-1, 1.38% due 03/25/465		3,783,164		3,142,139
LSTAR Commercial Mortgage Trust
2016-7, 2.78% due 12/01/215,6		41,733,452		41,368,283
VOLT L LLC
2016-NP10, 3.50% due 09/25/465,6		37,118,963		37,351,271
CIM Trust
2017-2, 2.78% due 12/25/575,6		37,500,000		37,219,819
Bayview Opportunity Master Fund IIIa Trust
2016-RN3, 3.60% due 09/29/315,6		35,469,618		35,416,776
GCAT
A1, 3.38% due 03/25/47		34,000,000		33,967,495

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Countrywide Asset-Backed Certificates
2006-6, 1.15% due 09/25/365	$	33,691,563	$	31,409,192
2005-15, 1.43% due 03/25/365		1,500,000		1,230,474
First NLC Trust
2005-4, 1.37% due 02/25/365		30,550,000		28,686,819
2005-1, 1.44% due 05/25/355		3,440,397		2,977,952
Stanwich Mortgage Loan Co.
2016-NPA1, 3.84% due 10/16/465,6		29,609,826		29,567,384
Bayview Opportunity Master Fund IVb Trust
2017-NPL1, 3.60% due 01/28/326		18,749,061		18,698,778
2017-RN1, 3.60% due 02/28/325,6		9,442,842		9,429,035
LSTAR Securities Investment Trust
2016-2, 2.78% due 03/01/215,6		23,885,231		23,765,805
2015-10, 2.78% due 11/02/205,6		3,358,432		3,357,382
Credit-Based Asset Servicing & Securitization LLC
2006-CB2, 1.17% due 12/25/365		26,736,867		24,826,072
VOLT XLI LLC
2016-NPL1, 4.25% due 02/26/466,13		23,558,836		23,671,174
VOLT LI LLC
2016-NP11, 3.50% due 10/25/466		22,102,280		22,264,520
VOLT LIV LLC
2017-NPL1, 3.63% due 02/25/475,6		19,750,000		19,680,697
VOLT LIII LLC
2016-NP13, 3.88% due 12/26/466		19,618,754		19,569,391
American Home Mortgage Assets Trust
2006-4, 1.17% due 10/25/465		14,723,694		9,698,697
2007-1, 1.34% due 02/25/475		12,289,042		7,126,700
2006-5, 1.56% due 11/25/465		5,143,718		2,627,561
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 1.42% due 07/25/475		10,850,341		9,368,957
2007-OA3, 1.41% due 04/25/475		7,034,709		5,743,944
2006-AR13, 1.52% due 10/25/465		2,492,158		2,174,504
2006-AR11, 1.56% due 09/25/465		1,998,134		1,589,335
CSMC Series
2015-12R, 1.27% due 11/30/375,6		19,537,079		18,425,479
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.47% due 11/25/465		20,952,928		15,277,360
2006-7, 4.41% due 09/25/36		3,087,170		1,607,239
2006-AR9, 1.48% due 11/25/465		1,285,679		1,031,166
2006-8, 4.56% due 10/25/36		533,368		323,450
Deutsche Alt-A Securities Mortgage Loan Trust Series
2006-AF1, 1.08% due 04/25/365		11,234,710		9,824,989
2007-OA2, 1.41% due 04/25/475		5,172,549		4,389,392
2006-OA1, 1.18% due 02/25/475		4,458,030		3,994,553

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
VOLT LII LLC
2016-NP12, 3.63% due 11/26/466	$	18,037,502	$	17,961,887
Lehman XS Trust Series
2007-2N, 1.16% due 02/25/375		11,523,152		7,969,082
2007-15N, 1.23% due 08/25/375		6,077,034		5,197,502
2005-7N, 1.25% due 12/25/355		3,088,235		2,911,586
Impac Secured Assets CMN Owner Trust
2005-2, 1.23% due 03/25/365		17,692,619		15,858,676
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 1.12% due 07/25/375,6		9,042,685		8,279,988
2007-HE2A, 1.11% due 07/25/375,6		7,439,708		6,654,334
VOLT XLVIII LLC
2016-NPL8, 3.50% due 07/25/466		14,843,522		14,923,673
GSMSC Resecuritization Trust
2015-5R, 0.91% due 02/26/375,6		15,899,146		14,139,610
Nomura Resecuritization Trust
2016-1R, 3.78% due 01/28/38†††,5,6		9,630,973		9,671,685
2015-4R, 1.66% due 03/26/365,6		2,398,254		2,287,694
2015-4R, 1.49% due 12/26/365,6		1,755,054		1,638,724
2012-1R, 1.22% due 08/27/475,6		137,691		136,645
VOLT XXXIX LLC
2015-NP13, 4.13% due 10/25/456		12,386,445		12,413,357
Citigroup Mortgage Loan Trust, Inc.
2005-HE3, 1.72% due 09/25/355		11,687,000		11,143,564
VOLT XL LLC
2015-NP14, 4.38% due 11/27/456		10,517,368		10,620,208
NRPL Trust
2015-1A, 3.88% due 11/01/546		7,274,037		7,227,344
2014-2A, 3.75% due 10/25/575,6		3,111,357		3,133,565
Banc of America Funding Trust
2014-R7, 0.92% due 09/26/365,6		6,419,296		6,159,314
2015-R4, 0.95% due 01/27/355,6		3,984,346		3,737,338
Alternative Loan Trust
2007-OA7, 0.96% due 05/25/475		6,128,750		5,198,075
2005-38, 1.68% due 09/25/355		5,141,161		4,500,942
First Franklin Mortgage Loan Trust
2004-FF10, 2.26% due 07/25/345		9,970,558		9,651,070
VOLT XXXVI LLC
2015-NP10, 3.63% due 07/25/455,6		9,605,998		9,629,226
VOLT XXXIII LLC
2015-NPL5, 3.50% due 03/25/556		9,370,375		9,405,271
HarborView Mortgage Loan Trust
2006-14, 1.13% due 01/25/475		10,328,164		8,810,625
Soundview Home Loan Trust
2007-1, 1.15% due 03/25/375		5,105,871		4,897,214
2005-OPT3, 1.45% due 11/25/355		3,930,000		3,544,941
Bayview Opportunity Master Fund Trust
2016-LT1, 3.47% due 10/28/315,6		8,402,346		8,360,566

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
VOLT XXVII LLC
2014-NPL7, 3.38% due 08/27/576	$	8,002,314	$	7,993,190
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 1.36% due 12/25/355		7,800,000		7,273,139
Bear Stearns Asset Backed Securities I Trust
2006-HE3, 1.34% due 04/25/365		7,600,000		7,204,932
Morgan Stanley Resecuritization Trust
2014-R9, 0.91% due 11/26/465,6		7,403,934		6,976,727
Structured Asset Investment Loan Trust
2005-11, 1.34% due 01/25/365		7,689,989		6,952,767
IndyMac INDX Mortgage Loan Trust
2005-AR18, 1.76% due 10/25/365		9,353,238		6,721,842
JP Morgan Mortgage Acquisition Trust
2006-HE2, 1.12% due 07/25/365		6,957,211		6,688,067
ASG Resecuritization Trust
2010-3, 1.07% due 12/28/455,6		7,448,451		6,379,773
Vericrest Opportunity Loan Trust
2015-NPL3, 3.38% due 10/25/586		6,389,314		6,364,261
VOLT XXXIV LLC
2015-NPL7, 3.25% due 02/25/555,6		5,033,961		5,026,189
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WCW2, 1.51% due 07/25/355		5,000,000		4,728,089
BCAP LLC
2014-RR2, 1.07% due 03/26/365,6		3,357,490		3,294,075
2014-RR3, 0.92% due 10/26/365,6		1,443,798		1,409,159
VOLT XLII LLC
2016-NPL2, 4.25% due 03/26/466		4,564,423		4,598,744
AJAX Mortgage Loan Trust
2015-A, 3.88% due 11/25/545,6		3,888,072		3,878,166
Luminent Mortgage Trust
2006-2, 1.18% due 02/25/465		5,101,828		3,789,093
GSAA Home Equity Trust
2006-14, 1.15% due 09/25/365		6,018,902		3,129,063
2007-7, 1.25% due 07/25/375		454,840		413,293
CWABS Asset-Backed Certificates Trust
2004-15, 2.33% due 04/25/355		3,490,000		3,404,527
GSAA Trust
2005-10, 1.96% due 06/25/355		3,312,000		3,112,048
Nationstar HECM Loan Trust
2016-1A, 2.98% due 02/25/266		2,250,958		2,250,958
Impac Secured Assets Trust
2006-2, 1.15% due 08/25/365		2,658,066		2,152,606
RFMSI Series Trust
2006-S11, 6.00% due 11/25/36		2,204,785		1,933,726
GreenPoint Mortgage Funding Trust
2005-HE4, 1.45% due 07/25/305		1,942,626		1,909,455
GCAT LLC
2015-1, 3.63% due 05/26/205,6		1,503,540		1,503,691

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Structured Asset Securities Corporation Mortgage Loan Trust
2006-BC6, 1.15% due 01/25/375	$	1,087,842	$	1,024,590
Irwin Home Equity Loan Trust
2007-1, 5.85% due 08/25/376		1,019,890		996,366
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		871,410		898,849
Alliance Bancorp Trust
2007-OA1, 1.22% due 07/25/375		1,173,092		853,611
GSAMP Trust
2005-HE6, 1.42% due 11/25/355		781,380		768,456
Morgan Stanley Re-REMIC Trust
2010-R5, 1.60% due 06/26/366		446,136		326,741
Total Residential Mortgage Backed Securities				1,257,387,705
Commercial Mortgage Backed Securities - 7.2%
Citigroup Commercial Mortgage Trust
2016-GC36, 4.76% due 02/10/495		23,800,000		24,585,333
2016-P5, 4.32% due 10/10/495		5,950,000		5,663,631
2016-C2, 1.80% due 08/10/495		34,480,088		4,363,441
2016-P4, 2.01% due 07/10/495		32,880,527		4,265,019
2016-P5, 1.56% due 10/10/495		31,891,407		3,192,046
2016-GC37, 1.81% due 04/10/495		19,283,447		2,294,011
2015-GC35, 0.90% due 11/10/485		34,235,261		1,784,989
2015-GC29, 1.16% due 04/10/485		24,795,430		1,601,212
2013-GC15, 4.37% due 09/10/465		380,000		411,636
Chicago Skyscraper Trust
2017-SKY, 1.71% due 04/15/305,6		38,500,000		38,521,559
Cosmopolitan Hotel Trust
2016-CSMO, 3.01% due 11/15/335,6		15,500,000		15,664,478
2016-CSMO, 3.56% due 11/15/335,6		13,100,000		13,279,897
2016-CSMO, 4.41% due 11/15/335,6		6,600,000		6,707,107
JPMDB Commercial Mortgage Securities Trust
2016-C2, 3.40% due 06/15/495		14,300,000		13,430,248
2017-C5, 1.18% due 03/15/505		134,710,000		10,118,068
2016-C2, 1.71% due 06/15/495		33,013,410		3,320,406
2016-C4, 3.10% due 12/15/495		3,500,000		3,196,262
2016-C4, 0.85% due 12/15/495		33,947,987		2,140,757
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.36% due 01/15/595		125,213,536		10,530,045
2017-RB1, 1.45% due 03/15/505		40,025,513		3,982,539
2016-C35, 2.01% due 07/15/485		27,572,908		3,614,342
2016-NXS5, 1.57% due 01/15/595		30,717,142		2,767,802
2015-NXS4, 0.96% due 12/15/485		39,667,639		2,354,703
2017-RC1, 1.74% due 01/15/605		21,348,259		2,339,669
2015-P2, 1.03% due 12/15/485		34,791,168		2,142,409
2015-C30, 1.01% due 09/15/585		33,480,376		2,095,453
2016-C32, 4.72% due 01/15/595		1,400,000		1,456,265

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
2015-NXS1, 1.19% due 05/15/485	$	11,813,640	$	761,354
2015-NXS4, 4.22% due 12/15/485		64,000		65,973
COMM Mortgage Trust
2015-CR27, 4.47% due 10/10/585		5,750,000		5,813,464
2015-CR26, 1.05% due 10/10/485		92,954,277		5,796,127
2013-CR13, 4.75% due 12/10/235		4,650,000		4,790,376
2015-CR26, 4.49% due 10/10/485		3,780,000		3,618,458
2015-CR24, 4.38% due 08/10/485		2,967,000		3,012,913
2015-CR23, 1.00% due 05/10/485		49,269,853		2,639,120
2015-CR27, 1.16% due 10/10/485		31,665,320		2,042,556
2013-CR13, 0.94% due 12/10/235		51,997,259		1,996,892
2014-LC15, 1.35% due 04/10/475		15,182,720		878,199
2015-CR23, 3.80% due 05/10/48		700,000		720,252
JP Morgan Chase Commercial Mortgage Securities Trust
2016-WIKI, 4.01% due 10/05/315,6		17,000,000		16,614,726
2016-JP3, 1.52% due 08/15/495		74,764,368		7,509,954
2015-JP1, 4.74% due 01/15/495		2,800,000		2,917,723
2016-WSP, 3.06% due 08/15/335,6		5,000,000		5,005,250
GAHR Commercial Mortgage Trust
2015-NRF, 3.38% due 12/15/345,6		21,950,000		21,115,966
GS Mortgage Securities Corporation Trust
2016-ICE2, 5.16% due 02/15/335,6		18,000,000		18,422,458
VSD
2017-PLT1 A, 3.60% due 12/25/43		17,500,000		17,455,760
JPMCC Commercial Mortgage Securities Trust
2017-JP5, 1.28% due 03/15/505		215,016,000		16,303,459
Motel 6 Trust
2015-MTL6, 5.28% due 02/05/306		15,000,000		15,076,679
Morgan Stanley Bank of America Merrill Lynch Trust
2014-C19, 4.75% due 12/15/46†††,6		7,318,000		7,310,592
2015-C27, 1.04% due 12/15/475		41,492,193		2,558,496
Morgan Stanley Capital I Trust
2015-XLF1, 3.09% due 08/14/315,6		7,600,000		7,610,929
2016-UBS9, 4.55% due 03/15/495		275,000		270,096
JPMBB Commercial Mortgage Securities Trust
2015-C31, 4.62% due 08/15/485		3,253,000		3,041,999
2013-C17, 4.89% due 01/15/475		2,500,000		2,560,481
2013-C12, 0.70% due 07/15/455		50,177,352		1,201,612
CSAIL Commercial Mortgage Trust
2015-C1, 0.95% due 04/15/505		58,138,941		3,161,119
2016-C6, 4.75% due 01/15/495		3,000,000		3,110,586
CDGJ Commercial Mortgage Trust
2014-BXCH, 3.41% due 12/15/275,6		3,000,000		3,012,639
2014-BXCH, 5.16% due 12/15/275,6		1,798,536		1,810,932

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
BAMLL Commercial Mortgage Securities Trust
2014-ICTS, 2.81% due 06/15/285,6	$	3,480,000	$	3,360,400
2014-ICTS, 3.86% due 06/15/285,6		1,500,000		1,452,109
FREMF Mortgage Trust
2013-K29, 0.13% due 05/25/466,9		820,388,451		4,756,448
DBWF Mortgage Trust
2015-LCM, 3.42% due 06/10/345,6		5,000,000		4,330,097
DBJPM Mortgage Trust
2016-C1, 3.35% due 05/10/495		4,450,000		4,176,827
CD Mortgage Trust
2016-CD1, 1.44% due 08/10/495		35,954,378		3,487,923
CFCRE Commercial Mortgage Trust
2016-C3, 1.09% due 01/10/485		40,620,578		2,900,492
CD Commerical Mortgage Trust
2017-CD3, 1.05% due 02/10/505		35,083,560		2,780,021
BXHTL Mortgage Trust
2015-JWRZ, 3.76% due 05/15/295,6		2,500,000		2,511,764
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.15% due 02/15/505		24,585,220		2,060,116
Hyatt Hotel Portfolio Trust
2015-HYT, 3.96% due 11/15/295,6		2,000,000		2,011,885
BLCP Hotel Trust
2014-CLRN, 3.41% due 08/15/295,6		1,795,000		1,800,073
CSMC Trust
2015-SAND, 3.76% due 08/15/305,6		1,700,000		1,703,701
Freddie Mac Multifamily Structured Pass Through Certificates
2015-K043, 0.55% due 12/25/245		44,738,571		1,602,348
GS Mortgage Securities Trust
2015-GC28, 1.15% due 02/10/485		21,608,546		1,273,469
WFRBS Commercial Mortgage Trust
2013-C12, 1.38% due 03/15/485,6		13,906,313		741,909
LSTAR Commercial Mortgage Trust
2014-2, 4.91% due 01/20/415,6		500,000		503,254
GS Mortgage Securities Corporation II
2013-GC10, 2.94% due 02/10/46		225,000		227,245
GreenPoint Mortgage Funding Trust
2007-AR1, 1.06% due 02/25/475		24		24
Total Commercial Mortgage Backed Securities				415,710,572
Military Housing - 1.3%
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,15		22,832,105		23,133,768
2003-PRES, 6.24% due 10/10/416		10,957,451		12,506,988
2005-DRUM, 5.47% due 05/10/50†††,15		4,708,255		4,585,494
2005-BLIS, 5.25% due 07/10/50†††,15		2,500,000		2,327,843
Capmark Military Housing Trust
2008-AMCW, 6.90% due 07/10/55†††,15		8,433,488		9,785,618
2007-AETC, 5.75% due 02/10/5215		8,284,304		8,097,410

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
2007-ROBS, 6.06% due 10/10/5215	$	4,805,985	$	4,823,238
2006-RILY, 1.23% due 07/10/51†††,5,6		7,203,608		4,331,516
2007-AET2, 6.06% due 10/10/5215		2,185,659		2,260,540
Total Military Housing				71,852,415
Government Agency - 0.7%
Fannie Mae
#BA1742, 3.50% due 12/01/45		8,376,195		8,571,883
#AS6528, 4.00% due 01/01/46		4,043,775		4,247,269
#AL6307, 4.50% due 02/01/45		2,283,861		2,453,275
#AS7580, 3.00% due 07/01/46		2,283,901		2,265,273
#AS2523, 5.00% due 05/01/44		1,272,139		1,398,118
#AX3215, 4.50% due 09/01/44		1,276,442		1,369,940
#AL4290, 4.50% due 10/01/43		1,003,302		1,076,762
#AL6671, 5.00% due 12/01/44		847,603		931,540
#MA1525, 3.50% due 08/01/43		836,608		859,219
#AN3562, 3.63% due 01/01/37		748,645		749,698
#AN3620, 2.75% due 11/01/31		676,508		644,275
#AS7386, 3.50% due 06/01/46		99,113		101,402
Freddie Mac
#G08694, 4.00% due 02/01/46		3,788,659		3,979,024
#G60038, 3.50% due 01/01/44		3,307,281		3,394,181
#G08677, 4.00% due 11/01/45		2,934,523		3,081,117
#G08715, 3.00% due 08/01/46		2,310,558		2,290,046
Freddie Mac Multifamily Structured Pass Through Certificates
2014-K715, 2.86% due 01/25/21		450,000		461,390
Total Government Agency				37,874,412
Financial - 0.3%
Station Place Securitization Trust
2017-1, 2.23% due 02/25/49���††,5,6		8,000,000		7,991,573
2017-1, 3.23% due 02/25/49†††,5,6		7,000,000		6,992,746
Total Financial				14,984,319
Total Collateralized Mortgage Obligations
(Cost $1,790,452,163)				1,797,809,423
CORPORATE BONDS†† - 10.1%
Financial - 5.7%
Bank of America Corp.
6.10%5,10		30,749,000		32,578,565
6.30%5,10		18,615,000		20,243,813
6.50%5,10		6,450,000		7,038,563
2.15% due 11/09/20		1,600,000		1,585,563
Citigroup, Inc.
6.25%5,10		30,140,000		32,513,524
5.95%5,10		14,860,000		15,473,124
5.95%5,10		9,235,000		9,639,031
Hospitality Properties Trust
5.25% due 02/15/26		17,900,000		18,757,087
4.95% due 02/15/27		6,850,000		7,033,676
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/506		18,690,030		17,585,824
Jefferies Group LLC
4.85% due 01/15/27		13,750,000		14,035,794
5.13% due 01/20/23		1,500,000		1,611,899
Voya Financial, Inc.
5.65% due 05/15/535		14,145,000		14,392,537

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Infinity Property & Casualty Corp.
5.00% due 09/19/22	$	12,961,000	$	13,688,566
Wells Fargo & Co.
5.88%5,10		9,800,000		10,563,832
KeyCorp
5.00%5,10		9,350,000		9,256,500
BBC Military Housing-Navy Northeast LLC
6.30%†††,1,10		8,725,000		8,737,179
JPMorgan Chase & Co.
6.10%5,10		4,550,000		4,808,213
6.00%5,10		2,000,000		2,085,600
Atlas Mara Ltd.
8.00% due 12/31/201		6,600,000		5,458,200
Fort Benning Family Communities LLC
1.26% due 01/15/36†††,5,15		6,000,000		4,885,444
Lincoln Finance Ltd.
7.38% due 04/15/216		4,580,000		4,854,800
GEO Group, Inc.
5.88% due 10/15/24		3,615,000		3,696,338
6.00% due 04/15/26		1,036,000		1,049,181
Northern Trust Corp.
4.60%5,10		4,737,000		4,642,260
Citizens Financial Group, Inc.
5.50%5,10		4,500,000		4,618,125
Navigators Group, Inc.
5.75% due 10/15/23		4,050,000		4,342,908
Kennedy-Wilson, Inc.
5.88% due 04/01/24		4,113,000		4,215,825
Greystar Real Estate Partners LLC
8.25% due 12/01/226		3,445,000		3,716,293
Fort Knox Military Housing Privatization Project
5.82% due 02/15/526		1,965,613		1,960,463
1.25% due 02/15/52†††,5,15		1,761,916		1,052,067
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/5015		1,426,658		1,392,233
5.37% due 12/01/506		807,741		824,785
5.38% due 02/15/48		549,505		523,524
Fidelity National Financial, Inc.
5.50% due 09/01/22		2,425,000		2,560,899
Customers Bank
6.13% due 06/26/295,15		2,000,000		2,045,000
M&T Bank Corp.
5.13%5,10		2,000,000		1,990,000
Goldman Sachs Group, Inc.
6.13% due 02/15/33		1,600,000		1,931,682
US Bancorp
5.30%5,10		1,800,000		1,833,750
First American Financial Corp.
4.30% due 02/01/23		1,680,000		1,704,625
Prudential Financial, Inc.
6.63% due 12/01/37		1,300,000		1,683,963
Royal Bank of Scotland Group plc
3.88% due 09/12/23		1,700,000		1,675,452
Enstar Group Ltd.
4.50% due 03/10/22		1,610,000		1,630,260
Barclays plc
4.38% due 01/12/26		1,600,000		1,621,363
Compass Bank
2.75% due 09/29/19		1,600,000		1,609,763
CBRE Services, Inc.
5.25% due 03/15/25		1,500,000		1,591,914
International Lease Finance Corp.
8.63% due 01/15/22		1,300,000		1,590,698
Santander UK Group Holdings plc
2.88% due 08/05/21		1,600,000		1,579,178
AmTrust Financial Services, Inc.
6.13% due 08/15/231		1,301,000		1,365,197

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Cadence Bank North America
6.25% due 06/28/295,15	$	1,200,000	$	1,200,000
Morgan Stanley
7.25% due 04/01/32		820,000		1,112,976
Pacific Northwest Communities LLC
5.91% due 06/15/5015		1,000,000		1,081,030
Univest Corporation of Pennsylvania
5.10% due 03/30/251,5		1,000,000		1,017,500
Wilton Re Finance LLC
5.88% due 03/30/335,6		925,000		942,344
Nationwide Mutual Insurance Co.
9.38% due 08/15/396		530,000		849,320
ACC Group Housing LLC
6.35% due 07/15/5415		625,000		718,614
HSBC Holdings plc
4.38% due 11/23/26		700,000		705,434
Hanover Insurance Group, Inc.
4.50% due 04/15/26		650,000		674,881
Discover Bank/Greenwood DE
4.20% due 08/08/23		610,000		635,261
Lincoln National Corp.
8.75% due 07/01/19		307,000		350,435
7.00% due 06/15/40		210,000		271,286
Assurant, Inc.
6.75% due 02/15/34		106,000		127,941
Total Financial				324,962,102
Consumer, Non-cyclical - 1.3%
Danone S.A.
2.95% due 11/02/266		29,200,000		27,913,974
Tenet Healthcare Corp.
4.63% due 06/15/205		22,374,000		22,485,870
Bumble Bee Holdings, Inc.
9.00% due 12/15/176		10,801,000		10,530,975
Offutt AFB America First Community LLC
5.46% due 09/01/506		6,721,049		6,401,127
United Communities LLC
5.61% due 09/15/516		4,628,496		4,888,757
Flowers Foods, Inc.
3.50% due 10/01/26		1,750,000		1,705,872
Actavis Funding SCS
4.55% due 03/15/35		800,000		802,174
Total Consumer, Non-cyclical				74,728,749
Energy - 1.2%
Sunoco Logistics Partners Operations, LP
5.95% due 12/01/25		18,100,000		20,152,884
3.90% due 07/15/26		5,600,000		5,410,698
Buckeye Partners, LP
3.95% due 12/01/26		12,876,000		12,610,651
4.35% due 10/15/24		4,760,000		4,836,603
ConocoPhillips
6.50% due 02/01/39		10,495,000		13,366,820
Hess Corp.
4.30% due 04/01/27		3,650,000		3,585,070
7.88% due 10/01/29		897,000		1,097,154
Sabine Pass Liquefaction LLC
5.88% due 06/30/26		1,500,000		1,653,881
ONEOK Partners, LP
3.38% due 10/01/22		1,600,000		1,601,474
MPLX, LP
4.13% due 03/01/27		1,600,000		1,593,064
Enterprise Products Operating LLC
3.90% due 02/15/24		890,000		910,897
3.95% due 02/15/27		400,000		407,864
Marathon Petroleum Corp.
3.63% due 09/15/24		1,200,000		1,181,430
QEP Resources, Inc.
6.88% due 03/01/21		200,000		212,500
Schahin II Finance Company SPV Ltd.
5.88% due 09/25/2211,15		781,800		89,907
Total Energy				68,710,897
Basic Materials - 1.0%
Yamana Gold, Inc.
4.95% due 07/15/24		21,020,000		21,125,100
Newcrest Finance Pty Ltd.
4.20% due 10/01/226		18,955,000		19,470,614

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
BHP Billiton Finance USA Ltd.
6.75% due 10/19/755,6	$	13,000,000	$	14,703,000
Eldorado Gold Corp.
6.13% due 12/15/206		1,050,000		1,076,250
Southern Copper Corp.
5.25% due 11/08/42		430,000		421,509
7.50% due 07/27/35		260,000		316,574
Total Basic Materials				57,113,047
Consumer, Cyclical - 0.3%
HP Communities LLC
5.78% due 03/15/4615		2,150,000		2,296,500
5.86% due 09/15/5315		1,420,000		1,501,096
5.62% due 09/15/3215		1,000,000		1,090,610
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.50% due 05/01/21		3,000,000		2,850,000
Hasbro, Inc.
6.35% due 03/15/40		1,500,000		1,756,862
Wyndham Worldwide Corp.
4.50% due 04/01/27		1,630,000		1,642,095
Northern Group Housing LLC
6.80% due 08/15/5315		1,200,000		1,440,636
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		1,000,000		985,000
Ford Motor Co.
7.45% due 07/16/31		650,000		819,857
Total Consumer, Cyclical				14,382,656
Industrial - 0.2%
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27†††,6		2,580,793		2,578,194
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
6.88% due 02/15/21		2,009,220		2,064,473
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
4.52% due 07/15/215,6		1,875,000		1,918,369
Dynagas LNG Partners Limited Partnership / Dynagas Finance, Inc.
6.25% due 10/30/191		1,700,000		1,678,750
Eaton Corp.
4.00% due 11/02/32		1,300,000		1,317,533
L3 Technologies, Inc.
5.20% due 10/15/19		760,000		814,398
Total Industrial				10,371,717
Utilities - 0.2%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/236		5,590,000		5,800,295
AES Corp.
4.05% due 06/01/195		3,098,000		3,098,000
Exelon Generation Company LLC
6.25% due 10/01/39		670,000		694,787
Total Utilities				9,593,082
Communications - 0.1%
SFR Group S.A.
6.25% due 05/15/246		3,150,000		3,169,687
Charter Communications Operating LLC / Charter Communications Operating Capital
6.38% due 10/23/35		1,400,000		1,591,452
Time Warner Cable LLC
4.00% due 09/01/21		1,500,000		1,554,914
Qwest Corp.
6.75% due 12/01/21		1,270,000		1,392,235

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
AT&T, Inc.
6.30% due 01/15/38	$	500,000	$	574,540
Total Communications				8,282,828
Diversified - 0.1%
HRG Group, Inc.
7.88% due 07/15/19		6,395,000		6,618,825
Leucadia National Corp.
5.50% due 10/18/23		1,500,000		1,597,464
Total Diversified				8,216,289
Technology - 0.0%**
CA, Inc.
5.38% due 12/01/19		760,000		821,119
Diversified Payment Rights - 0.0%**
CIC Receivables Master Trust
4.89% due 10/07/21†††		439,429		452,340
Total Corporate Bonds
(Cost $568,304,660)				577,634,826
U.S. GOVERNMENT SECURITIES†† - 9.6%
U.S. Treasury Bond
1.94% due 11/15/4412		1,143,025,000		484,574,020
8.75% due 05/15/20		9,030,000		11,001,077
2.88% due 11/15/46		10,379,000		10,070,463
8.75% due 08/15/20		6,500,000		8,014,045
4.38% due 05/15/40		6,150,000		7,635,852
7.88% due 02/15/21		5,500,000		6,755,546
8.13% due 08/15/21		4,400,000		5,553,451
8.13% due 08/15/19		3,000,000		3,471,444
8.00% due 11/15/21		2,600,000		3,300,476
2.75% due 11/15/42		2,580,000		2,456,542
4.75% due 02/15/41		1,500,000		1,963,770
2.88% due 08/15/45		1,800,000		1,745,649
2.13% due 05/15/25		1,200,000		1,181,906
Total U.S. Treasury Bond				547,724,241
U.S. Treasury Note
3.13% due 05/15/19		2,500,000		2,595,118
2.88% due 03/31/18		1,000,000		1,017,383
Total U.S. Treasury Note				3,612,501
Total U.S. Government Securities
(Cost $581,111,599)				551,336,742
FEDERAL AGENCY NOTES†† - 3.5%
Fannie Mae Principal Strips14
due 05/15/3012		43,400,000		28,123,547
due 01/15/3012		35,825,000		23,529,000
due 05/15/2912		33,900,000		22,360,610
due 11/15/3012		17,570,000		11,197,484
Total Fannie Mae Principal Strips				85,210,641
Freddie Mac14
due 12/14/2912		45,850,000		30,376,541
1.25% due 10/02/19		2,500,000		2,486,058
2.38% due 01/13/22		2,000,000		2,036,160
Total Freddie Mac				34,898,759
Freddie Mac Principal Strips14
due 03/15/3112		28,085,000		17,563,966
due 07/15/3212		28,600,000		16,625,266
Total Freddie Mac Principal Strips				34,189,232
Tennessee Valley Authority
5.38% due 04/01/56		8,360,000		10,663,849
4.25% due 09/15/65		9,900,000		10,388,179
Total Tennessee Valley Authority				21,052,028
Fannie Mae Interest Strips14
due 01/15/3212		8,833,000		5,471,178
due 01/15/3512		2,250,000		1,193,645
due 01/15/3312		1,450,000		827,184
due 07/15/3212		1,333,000		776,410
Total Fannie Mae Interest Strips				8,268,417
Freddie Mac Interest Strips
due 03/15/3012		7,250,000		4,698,326
due 09/15/3012		2,906,000		1,845,917
Total Freddie Mac Interest Strips				6,544,243
Fannie Mae14
due 01/15/3012		5,900,000		3,873,014
0.88% due 02/08/18		1,500,000		1,497,158
due 02/06/3312		1,456,000		827,596
Total Fannie Mae				6,197,768

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Residual Funding Corporation Principal Strips
due 01/15/3012	$	5,000,000	$	3,331,590
Total Federal Agency Notes
(Cost $207,762,425)				199,692,678
SENIOR FLOATING RATE INTERESTS††,5 - 3.4%
Technology - 0.9%
Epicor Software
4.75% due 06/01/22		18,076,258		18,094,335
5.00% due 06/01/22		3,293,630		3,299,130
EIG Investors Corp.
6.04% due 02/09/23		8,125,628		8,179,827
6.53% due 11/08/19		698,534		701,154
Cypress Intermediate Holdings III, Inc.
4.00% due 03/31/24		6,200,000		6,094,600
Macom Technology Solutions Holdings, Inc.
3.86% due 05/07/21		1,989,796		2,018,409
TIBCO Software, Inc.
5.50% due 12/04/20		1,960,000		1,979,188
Advanced Computer Software
10.56% due 01/31/231		2,000,000		1,818,340
Cologix Holdings, Inc.
4.00% due 03/20/24		1,000,000		1,000,310
Microsemi Corp.
3.23% due 01/15/23		868,192		872,125
Micro Focus International plc
4.79% due 11/19/21		845,513		851,254
Compucom Systems, Inc.
4.25% due 05/11/20		290,010		240,708
Ceridian Corp.
4.54% due 09/15/20		239,000		236,909
Micron Technology, Inc.
4.74% due 04/26/22		198,997		199,682
Aspect Software, Inc.
11.28% due 05/25/20		14,916		14,897
Total Technology				45,600,868
Communications - 0.6%
Cengage Learning Acquisitions, Inc.
5.25% due 06/07/23		22,170,133		21,096,212
SFR Group SA
4.29% due 01/14/25		6,783,000		6,783,000
5.29% due 01/15/24		1,439,125		1,440,147
Internet Brands
4.75% due 07/08/21		3,151,620		3,167,090
Proquest LLC
5.25% due 10/24/21		1,349,770		1,368,329
Altice US Finance I Corp.
3.98% due 01/15/25		7798,000		7796,508
Houghton Mifflin Co.
4.00% due 05/31/21		42,443		683,048
Telenet Financing USD LLC
3.91% due 01/31/25		500,000		500,065
Ziggo Secured Finance BV
Total Communications				35,834,399
Industrial - 0.6%
Travelport Finance Luxembourg Sarl
4.29% due 09/02/21		21,082,482		21,223,101
Engility Corp.
4.75% due 08/14/23		3,149,902		3,162,691
TMF Group Holding BV
4.00% due 10/16/23	EUR	1,750,000		1,883,196
VC GB Holdings, Inc.
4.75% due 02/28/24		1,675,000		1,683,375
Reynolds Group Holdings, Inc.
3.98% due 02/05/23		1,493,258		1,498,394
CareCore National LLC
5.50% due 03/05/21		1,364,121		1,367,532
Hillman Group, Inc.
4.65% due 06/30/21		989,822		996,830
Hardware Holdings LLC
7.68% due 03/30/20†††,1		745,875		730,958
NVA Holdings, Inc.
4.65% due 08/14/21		575,000		580,031
CHI Overhead Doors, Inc.
4.25% due 07/29/22		498,738		497,905

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Wencor Group
4.65% due 06/18/21	$	292,710	$	284,113
USIC Holding, Inc.
5.17% due 12/08/23		149,625		150,373
Thermasys Corp.
5.25% due 05/03/191		91,250		81,669
Total Industrial				34,140,168
Consumer, Non-cyclical - 0.6%
Pharmaceutical Product Development
4.33% due 08/18/22		8,498,784		8,520,031
MPH Acquisition Holdings LLC
4.90% due 06/07/23		3,890,166		3,937,392
Examworks Group, Inc.
4.23% due 07/27/23		3,815,438		3,832,149
Press Ganey Holdings, Inc.
4.25% due 10/23/23		3,192,000		3,198,001
Packaging Coordinators Midco, Inc.
5.00% due 06/30/23		3,184,000		3,170,086
Albertson’s LLC
4.40% due 12/21/22		2,756,045		2,771,892
DJO Finance LLC
4.25% due 06/08/20		2,366,783		2,286,407
CHG Healthcare Services, Inc.
4.75% due 06/07/23		1,887,745		1,909,454
Grocery Outlet, Inc.
5.15% due 10/21/21		1,741,271		1,742,908
One Call Medical, Inc.
5.09% due 11/27/20		1,658,912		1,549,706
CTI Foods Holding Co. LLC
4.65% due 06/29/20		200,000		198,000
Total Consumer, Non-cyclical				33,116,026
Consumer, Cyclical - 0.5%
Equinox Holdings, Inc.
4.25% due 03/08/24		8,050,000		8,107,879
Leslie’s Poolmart, Inc.
4.77% due 08/16/23		4,453,000		4,466,359
Trader Corp.
4.25% due 09/28/23		4,000,000		4,008,320
PetSmart Inc
4.02% due 03/11/22		4,160,690		3,968,258
Life Time Fitness, Inc.
4.00% due 06/10/22		1,703,954		1,706,936
1-800 Contacts
4.28% due 01/22/23		1,584,030		1,593,265
Eyemart Express
5.19% due 12/17/21		1,325,000		1,338,250
PTL Acqusition, Inc.
3.23% due 08/01/23		1,243,750		1,252,307
BBB Industries, LLC
6.00% due 11/03/21		982,500		983,119
Neiman Marcus Group, Inc.
4.25% due 10/25/20		582,000		466,845
Sears Holdings Corp.
5.50% due 06/30/18		367,738		362,796
Acosta, Inc.
3.82% due 09/26/19†††,1		342,222		319,554
Total Consumer, Cyclical				28,573,888
Financial - 0.1%
Hyperion Insurance
5.50% due 04/29/22		2,648,281		2,655,458
National Financial Partners Corp.
4.65% due 01/08/24		1,820,438		1,838,642
Delos Finance S.A.R.L
3.40% due 10/06/23		1,300,000		1,313,325
HUB International Ltd.
4.03% due 10/02/20		1,000,000		1,004,860
American Stock Transfer & Trust
5.75% due 06/26/20		235,408		234,820
Total Financial				7,047,105
Basic Materials - 0.1%
Road Infrastructure Investment
4.50% due 06/13/23		4,439,250		4,464,776
Nexeo Solutions LLC
4.81% due 06/09/23		1,691,500		1,704,186
Total Basic Materials				6,168,962

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
Utilities - 0.0%**
Invenergy Thermal Operating I, LLC
6.65% due 10/19/22	$	2,602,732	$	2,498,622
Total Senior Floating Rate Interests
(Cost $192,940,654)				192,980,038
MUNICIPAL BONDS†† - 1.2%
California - 0.5%
San Mateo County Community College District General Obligation Unlimited
due 09/01/3412		14,900,000		7,801,193
Poway Unified School District General Obligation Unlimited
due 08/01/4012		10,000,000		3,751,100
due 08/01/3812		8,460,000		3,471,053
Foothill-De Anza Community College District General Obligation Unlimited
due 08/01/3212		9,385,000		5,446,866
San Diego Unified School District General Obligation Unlimited
due 07/01/3912		7,150,000		2,879,305
due 07/01/4312		1,350,000		456,908
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/3412		5,295,000		2,653,589
Total California				26,460,014
Ohio - 0.5%
American Municipal Power, Inc. Revenue Bonds
8.08% due 02/15/50		15,250,000		23,511,535
7.50% due 02/15/50		2,060,000		2,807,883
Total Ohio				26,319,418
Michigan - 0.1%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/39		4,900,000		6,417,824
Illinois - 0.1%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,350,000		5,657,946
Florida - 0.0%**
County of Miami-Dade Florida Revenue Bonds
due 10/01/4112		4,100,000		1,342,258
Texas - 0.0%**
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/4512		2,850,000		766,422
due 11/15/4112		1,500,000		494,415
Total Texas				1,260,837
Total Municipal Bonds
(Cost $66,894,913)				67,458,297
FOREIGN GOVERNMENT BONDS†† - 0.7%
Czech Republic Government Bond
due 11/09/1712	CSK	455,000,000		18,087,219
Dominican Republic International Bond
6.85% due 01/27/456		10,755,000		11,104,537
Kenya Government International Bond
6.88% due 06/24/246		11,005,000		10,951,296
Bahamas Government International Bond
6.95% due 11/20/296		110,000		117,425
Total Foreign Government Bonds
(Cost $39,701,051)				40,260,477
COMMERCIAL PAPER†† - 1.2%
Hyundai Capital America
1.20% due 04/18/176		32,000,000		31,981,867

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

	Face Amount3		Value
CVS Health Corp
1.22% due 04/17/17	$	25,000,000	$	24,986,444
Mondelez International Inc
1.18% due 04/24/17		710,000,000		79,992,461
0.92% due 04/10/17		750,000		749,824
Total Mondelez International Inc				10,742,285
Unilever Capital Corp
0.84% due 04/24/17		1,500,000		1,499,195
Cargill Inc
0.84% due 04/21/17		1,000,000		999,533
Apple Inc
0.77% due 05/10/17		1,000,000		999,200
Total Commercial Paper
(Cost $71,208,490)				71,208,524

	Contracts
OPTIONS PURCHASED† - 0.2%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ Year Treasury Bond ETF, Expiring with strike price of $120.00		33,392		8,949,056
Total Call options				8,949,056
Total Options Purchased
(Cost $5,843,600)				8,949,056
Total Investments - 106.5%
(Cost $6,108,105,374)			$	6,113,065,840
OPTIONS WRITTEN† - (0.1)%
Call options on:
Bank of America Merrill Lynch June 2017 iShares 20+ Year Treasury Bond ETF, Expiring with strike price of $123.00		33,392		(4,841,840	)
Total Options Written
(Premiums received $3,038,672)				(4,841,840	)
Other Assets & Liabilities, net - (6.4)%				(367,703,740	)
Total Net Assets - 100.0%			$	5,740,520,260

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††

Counterparty

Exchange

Floating Rate

Floating Rate Index

Fixed Rate

Maturity Date

Notional Amount

Market Value

Unrealized Appreciation

Merrill Lynch

CME

Receive

3-Month USD-LIBOR

2.16

%

02/13/24

$

(108,330,000

)

$

500,718

$

500,718

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell			Currency	Settlement Date	Settlement Value		Value at March 31, 2017		Net Unrealized Depreciation
Bank of America		(1,786,000	)	CSK	04/11/17	$	1,892,619	$	1,906,170	$	(13,551	)
J.P. Morgan		(455,000,000	)	EUR	11/09/17		18,215,301		18,342,077		(126,776	)
										$	(140,327	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

*	Non-income producing security.
**	Less than 0.1% of net assets.
†	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	Affiliated issuer — See Note 7.
3	The face amount is denominated in U.S. dollars, unless otherwise noted.
4	Rate indicated is the 7 day yield as of March 31, 2017.
5	Variable rate security. Rate indicated is rate effective at March 31, 2017.
6	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $3,442,482,047 (cost $3,411,816,348), or 60.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
7	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
8	Security is an interest-only strip. Rate indicated is effective yield at March 31, 2017.
9	Maturity date indicated is next interest reset date.
10	Perpetual maturity.
11	Security is in default of interest and/or principal obligations.
12	Zero coupon rate security.
13	Security is a step up/step down security. The coupon increases or decreases at regular intervals until the security reaches full maturity. Rate indicated is rate effective as of March 31, 2017.
14	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
15	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $80,763,369 (cost $88,586,441), or 0.01% of total net assets — See Note 11.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	CME — Chicago Mercantile Exchange
	CSK — Czech Koruna
	EUR — Euro
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2017 (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	$	—	$	2,363,292,584	$	—	$	11,463,125	$	2,374,755,709
Closed-End Funds		9,802,412		—		—		—		9,802,412
Collateralized Mortgage Obligations		—		1,721,678,588		—		76,130,835		1,797,809,423
Commercial Paper		—		71,208,524		—		—		71,208,524
Common Stocks		122,668		—		—		—		122,668
Corporate Bonds		—		559,929,602		—		17,705,224		577,634,826
Federal Agency Notes		—		199,692,678		—		—		199,692,678
Foreign Government Bonds		—		40,260,477		—		—		40,260,477
Interest Rate Swap Agreements		—		—		500,718		—		500,718
Municipal Bonds		—		67,458,297		—		—		67,458,297
Mutual Funds		81,934,302		—		—		—		81,934,302
Options Purchased		8,949,056		—		—		—		8,949,056
Preferred Stocks		—		1,104,400		—		—		1,104,400
Senior Floating Rate Interests		—		191,929,526		—		1,050,512		192,980,038
Short Term Investments		138,016,288		—		—		—		138,016,288
U.S. Government Securities		—		551,336,742		—		—		551,336,742
Total	$	238,824,726	$	5,767,891,418	$	500,718	$	106,349,696	$	6,113,566,558
Investments in Securities (Liabilities)	Level 1		Level 2		Level 2 - Other*		Level 3		Total
Currency Contracts	$	—	$	—	$	140,327	$	—	$	140,327
Options Written		4,841,840		—		—		—		4,841,840
Unfunded Loan Commitments		—		—		64,767		58,290		123,057
Total	$	4,841,840	$	—	$	205,094	$	58,290	$	5,105,224

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2017
TOTAL RETURN BOND FUND

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

Category	Ending Balance at 03/31/17		Valuation Technique	Unobservable Inputs
Asset Backed Securities	$	11,463,125	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Collateralized Mortgage Obligations		76,130,835	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds		15,127,030	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds		2,578,194	OAS off prior broker quote	Indicative Quote
Senior Floating Rate Interests		730,958	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Senior Floating Rate Interests		319,554	Model Price	Purchase Price
Total	$	106,349,696

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.

As of March 31, 2017, Total Return Bond Fund had securities with a total value of $7,605,668 transfer out of level 3 into level 2 and securities with a total value of $5,965,295 transfer out of level 2 into level 3 due to changes in the securities valuation method using observable market inputs. There were no other securities that transferred between levels.

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2017
TOTAL RETURN BOND FUND

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, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Collateralized Mortgage Obligations			Asset-Backed Securities			Corporate Bonds			Total
TOTAL RETURN BOND
Assets:
Beginning Balance	$	—		$	26,276,741		$	19,482,303		$	18,329,648		$	64,088,692
Purchases		638,000			53,009,505			—			—			53,647,505
Sales, maturities and paydowns		(427,391	)		(3,236,004	)		(109,814	)		(134,726	)		(3,907,935	)
Total realized gains or losses included in earnings		(1,782	)		(18,615	)		—			—			(20,397	)
Total change in unrealized gains or losses included in earnings		29,510			(5,053,912	)		(303,696	)		(489,698	)		(5,817,796	)
Transfers into Level 3		812,175			5,153,120			—			—			5,965,295
Transfers out of Level 3		—			—			(7,605,668	)		—			(7,605,668	)
Ending Balance	$	1,050,512		$	76,130,835		$	11,463,125		$	17,705,224		$	106,349,696
Net Change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 2017	$	21,444		$	(5,171,258	)	$	(305,167	)	$	(526,787	)	$	(5,981,768	)

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

TOTAL RETURN BOND FUND

March 31, 2017

Assets:
Investments in unaffiliated issuers, at value (cost $6,018,387,107)	$	6,021,329,126
Investments in affiliated issuers, at value(cost $89,718,267)		91,736,714
Total investments (cost $6,108,105,374)		6,113,065,840
Cash		22,643,458
Segregated cash with broker		2,675,000
Prepaid expenses		519,815
Unrealized appreciation on swap agreements		500,718
Receivables:
Securities sold		29,773,633
Fund shares sold		34,226,583
Dividends		208,447
Interest		24,222,819
Total assets		6,227,836,313
Liabilities:
Reverse Repurchase Agreements		10,041,683
Options written, at value(premiums received $3,038,672)		4,841,840
Segregated cash due to broker		4,330,474
Unrealized depreciation on forward foreign currency exchange contracts		140,327
Unfunded loan commitments, at value (Note 8)(proceeds $241,511)		123,057
Payable for:
Securities purchased		452,162,458
Fund shares redeemed		10,626,148
Management fees		1,663,335
Distribution and service fees		394,286
Fund accounting/administration fees		368,259
Transfer agent/maintenance fees		178,155
Swap settlement		169,801
Interest from reverse repurchase agreements		181
Trustees’ fees*		6
Miscellaneous		2,276,043
Total liabilities		487,316,053
Net assets		5,740,520,260
Net assets consist of:
Paid in capital	$	5,751,074,153
Accumulated net investment loss		(12,111,638	)
Accumulated net realized loss on investments		(2,076,493	)
Net unrealized appreciation on investments		3,634,238
Net assets	$	5,740,520,260
A-Class:
Net assets	$	634,448,691
Capital shares outstanding		23,819,053
Net asset value per share	$	26.64
Maximum offering price per share(Net asset value divided by 96.00%)	$	27.75
C-Class:
Net assets	$	226,292,899
Capital shares outstanding		8,494,597
Net asset value per share	$	26.64
P-Class:
Net assets	$	372,994,527
Capital shares outstanding		14,001,764
Net asset value per share	$	26.64
R6-Class:**
Net assets	$	2,681,207
Capital shares outstanding		100,538
Net asset value per share	$	26.67
Institutional Class:
Net assets	$	4,504,102,936
Capital shares outstanding		168,890,573
Net asset value per share	$	26.67

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

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

STATEMENT OF OPERATIONS (Unaudited)

TOTAL RETURN BOND FUND

Period Ended March 31, 2017

Investment Income:
Interest	$	90,826,953
Dividends from securities of affiliated issuers		1,629,684
Dividends from securities of unaffiliated issuers		36,245
Total investment income		92,492,882
Expenses:
Management fees		11,114,761
Transfer agent/maintenance fees
A-Class		362,091
C-Class		80,008
P-Class		118,389
R6-Class*		152
Institutional Class		435,480
Distribution and service fees:
A-Class		745,986
C-Class		1,090,094
P-Class		279,793
Fund accounting/administration fees		1,787,969
Interest expense		655,624
Line of credit fees		377,539
Trustees’ fees**		34,988
Custodian fees		31,906
Miscellaneous		496,306
Total expenses		17,611,086
Less:
Expenses waived by Adviser		(2,506,089	)
Expense reimbursed by Adviser
A-Class		(86,779	)
C-Class		(3,358	)
P-Class		(56,037	)
R6-Class		(482	)
Institutional Class		(438,509	)
Total waived/reimbursed expenses		(3,091,254	)
Net expenses		14,519,832
Net investment income		77,973,050
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		10,812,725
Investments in affiliated issuers		2,715
Swap agreements		(111,540	)
Foreign currency		260,037
Forward currency exchange contracts		(158,101	)
Securities sold short		814
Net realized gain		10,806,650
Net change in unrealized appreciation(depreciation) on:
Investments in unaffiliated issuers		(63,379,610	)
Investments in affiliated issuers		787,317
Swap agreements		500,718
Options purchased		3,105,456
Options written		(1,803,168	)
Foreign currency		2,414
Forward foreign currency exchange contracts		(140,327	)
Net change in unrealized appreciation(depreciation)		(60,927,200	)
Net realized and unrealized loss		(50,120,550	)
Net increase in net assets resulting from operations	$	27,852,500

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

42 | 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, 2017 (Unaudited)			Year Ended September 30, 2016
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	77,973,050		$	106,270,675
Net realized gain on investments		10,806,650			25,179,563
Net change in unrealized appreciation (depreciation) on investments		(60,927,200	)		82,855,164
Net increase in net assets resulting from operations		27,852,500			214,305,402
Distributions to shareholders from:
Net investment income
A-Class		(11,901,713	)		(19,285,718	)
C-Class		(3,538,497	)		(4,414,562	)
P-Class		(4,352,728	)		(2,468,760	)
R6-Class*		(24,032	)		—
Institutional Class		(72,719,263	)		(85,820,390	)
Net realized gains
A-Class		(2,595,729	)		—
C-Class		(928,930	)		—
P-Class		(771,149	)		—
R6-Class*		(418	)		—
Institutional Class		(13,065,720	)		—
Total distributions to shareholders		(109,898,179	)		(111,989,430	)
Capital share transactions:
Proceeds from sale of shares
A-Class		268,089,666			409,315,803
C-Class		48,762,905			142,276,966
P-Class		259,955,914			169,273,892
R6-Class*		2,638,483			—
Institutional Class		2,234,472,266			2,285,297,704
Distributions reinvested
A-Class		12,680,342			16,940,775
C-Class		3,492,317			3,370,562
P-Class		5,123,877			2,496,360
R6-Class*		24,450			—
Institutional Class		69,478,650			68,800,673
Cost of shares redeemed
A-Class		(182,622,321	)		(328,114,466	)
C-Class		(37,387,589	)		(24,573,068	)
P-Class		(50,925,014	)		(26,108,049	)
R6-Class*		(2,997	)		—
Institutional Class		(762,539,367	)		(816,727,764	)
Net increase from capital share transactions		1,871,241,582			1,902,249,388
Net increase in net assets		1,789,195,903			2,004,565,360
Net assets:
Beginning of period		3,951,324,357			1,946,758,997
End of period	$	5,740,520,260		$	3,951,324,357
Accumulated net investment loss/Undistributed net investment income at the end of period	$	(12,111,638	)	$	2,451,545

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Period Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
Capital share activity:
Shares sold
A-Class		10,073,264			15,477,259
C-Class		1,828,129			5,370,784
P-Class		9,778,000			6,363,397
R6-Class*		99,716			—
Institutional Class		83,982,272			86,143,028
Shares issued from reinvestment of distributions
A-Class		477,658			639,848
C-Class		131,556			126,992
P-Class		193,944			93,411
R6-Class*		935			—
Institutional Class		2,612,023			2,587,333
Shares redeemed
A-Class		(6,867,400	)		(12,426,783	)
C-Class		(1,406,942	)		(926,958	)
P-Class		(1,917,051	)		(982,068	)
R6-Class*		(113	)		—
Institutional Class		(28,671,857	)		(30,884,118	)
Net increase in shares		70,314,134			71,582,125

* Since commencement of operations: October 19, 2016.

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

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, 2017a			Year Ended Sept. 30, 2016			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	$	27.23		$	26.50		$	26.94		$	26.16		$	26.51		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.45			.96			.94			1.01			1.20			1.08
Net gain (loss) on investments (realized and unrealized)		(.40	)		.81			(.25	)		1.13			(.28	)		1.35
Total from investment operations		.05			1.77			.69			2.14			.92			2.43
Less distributions from:
Net investment income		(.53	)		(1.04	)		(1.09	)		(1.36	)		(1.23	)		(.92	)
Net realized gains		(.11	)		—			(.04	)		���			(.04	)		—
Total distributions		(.64	)		(1.04	)		(1.13	)		(1.36	)		(1.27	)		(.92	)
Net asset value, end of period	$	26.64		$	27.23		$	26.50		$	26.94		$	26.16		$	26.51
Total Return		0.22	%		6.88	%		2.56	%		8.34	%		3.53	%		9.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	634,449		$	548,223		$	435,760		$	90,805		$	74,328		$	30,689
Ratios to average net assets:
Net investment income (loss)		3.36	%		3.63	%		3.50	%		3.80	%		4.47	%		5.10	%
Total expensesd		1.02	%		1.15	%		1.10	%		1.19	%		1.27	%		1.51	%
Net expensese,h		0.88	%		0.97	%		0.91	%		0.94	%		0.98	%		0.85	%
Portfolio turnover rate		38	%		86	%		74	%		52	%		94	%		69	%

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

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, 2017a			Year Ended Sept. 30, 2016			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	$	27.23		$	26.50		$	26.94		$	26.16		$	26.50		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.35			.75			.74			.82			.99			.94
Net gain (loss) on investments (realized and unrealized)		(.39	)		.82			(.25	)		1.12			(.27	)		1.32
Total from investment operations		(.04	)		1.57			.49			1.94			.72			2.26
Less distributions from:
Net investment income		(.43	)		(.84	)		(.89	)		(1.16	)		(1.02	)		(.76	)
Net realized gains		(.11	)		—			(.04	)		—			(.04	)		—
Total distributions		(.55	)		(.84	)		(.93	)		(1.16	)		(1.06	)		(.76	)
Net asset value, end of period	$	26.64		$	27.23		$	26.50		$	26.94		$	26.16		$	26.50
Total Return		(0.15	%)		6.08	%		1.82	%		7.58	%		2.77	%		9.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	226,293		$	216,255		$	89,320		$	25,107		$	15,654		$	6,607
Ratios to average net assets:
Net investment income (loss)		2.66	%		2.82	%		2.75	%		3.10	%		3.70	%		4.38	%
Total expensesd		1.72	%		1.83	%		1.80	%		1.90	%		2.07	%		2.26	%
Net expensese,h		1.61	%		1.69	%		1.63	%		1.66	%		1.77	%		1.63	%
Portfolio turnover rate		38	%		86	%		74	%		52	%		94	%		69	%

46 | 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.

P-Class	Period Ended March 31, 2017a			Year Ended Sept. 30, 2016			Period Ended Sept. 30, 2015f
Per Share Data
Net asset value, beginning of period	$	27.23		$	26.49		$	26.98
Income (loss) from investment operations:
Net investment income (loss)c		.42			.96			.36
Net gain (loss) on investments (realized and unrealized)		(.36	)		.84			(.43	)
Total from investment operations		.06			1.80			(.07	)
Less distributions from:
Net investment income		(.53	)		(1.06	)		(.42	)
Net realized gains		(.11	)		—			—
Total distributions		(.65	)		(1.06	)		(.42	)
Net asset value, end of period	$	26.64		$	27.23		$	26.49
Total Return		0.23	%		6.97	%		(0.21	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	372,995		$	161,928		$	12,509
Ratios to average net assets:
Net investment income (loss)		3.13	%		3.58	%		3.20	%
Total expensesd		1.00	%		0.96	%		1.02	%
Net expensese,h		0.84	%		0.82	%		0.84	%
Portfolio turnover rate		38	%		86	%		74	%

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

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.

R6-Class	Period Ended March 31, 2017g
Per Share Data
Net asset value, beginning of period	$	27.15
Income (loss) from investment operations:
Net investment income (loss)c		.37
Net gain (loss) on investments (realized and unrealized)		(.21	)
Total from investment operations		.16
Less distributions from:
Net investment income		(.53	)
Net realized gains		(.11	)
Total distributions		(.64	)
Net asset value, end of period	$	26.67
Total Return		0.63	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,681
Ratios to average net assets:
Net investment income (loss)		3.09	%
Total expensesd		0.69	%
Net expensese,h		0.50	%
Portfolio turnover rate		38	%

48 | 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, 2017a			Year Ended Sept. 30, 2016			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	$	27.26		$	26.53		$	26.97		$	26.19		$	26.54		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			1.05			1.03			1.09			1.28			1.06
Net gain (loss) on investments (realized and unrealized)		(.38	)		.82			(.25	)		1.14			(.27	)		1.44
Total from investment operations		.10			1.87			.78			2.23			1.01			2.50
Less distributions from:
Net investment income		(.57	)		(1.14	)		(1.18	)		(1.45	)		(1.32	)		(.96	)
Net realized gains		(.11	)		—			(.04	)		—			(.04	)		—
Total distributions		(.69	)		(1.14	)		(1.22	)		(1.45	)		(1.36	)		(.96	)
Net asset value, end of period	$	26.67		$	27.26		$	26.53		$	26.97		$	26.19		$	26.54
Total Return		0.39	%		7.26	%		2.91	%		8.74	%		3.88	%		10.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,504,103		$	3,024,918		$	1,409,171		$	270,668		$	78,318		$	44,566
Ratios to average net assets:
Net investment income (loss)		3.60	%		3.94	%		3.83	%		4.09	%		4.78	%		4.91	%
Total expensesd		0.68	%		0.79	%		0.76	%		0.81	%		0.89	%		0.99	%
Net expensese,h		0.54	%		0.59	%		0.57	%		0.57	%		0.64	%		0.52	%
Portfolio turnover rate		38	%		86	%		74	%		52	%		94	%		69	%

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

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Unaudited figures for the period ended March 31, 2017. 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	Since commencement of operations: October 19, 2016. 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 net expense ratio for the year would be:

	03/31/17	09/30/16	09/30/15	09/30/14	09/30/13	09/30/12
A-Class	0.83%	0.87%	0.84%	0.86%	0.86%	0.82%
C-Class	1.56%	1.60%	1.56%	1.58%	1.64%	1.59%
P-Class	0.79%	0.75%	0.75%	N/A	N/A	N/A
R6-Class	0.44%	N/A	N/A	N/A	N/A	N/A
Institutional Class	0.49%	0.49%	0.50%	0.50%	0.52%	0.50%

50 | 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 five separate classes of shares, A-Class shares, C-Class shares, P-Class shares, R6-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, 2017, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI 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, 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 and/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, to 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 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 currencies 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 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.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 (“OTC”) 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 is 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.

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 using methods established or ratified by the Board. 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 market prices; sale 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 analysis.

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. 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, 2017.

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-marked 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. 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 Fund. Foreign investments

54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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.

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 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 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.

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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

J. 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, 2017, there were no earnings credits received.

K. 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 0.82% at March 31, 2017.

L. 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.

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.

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.

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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		8,348

Fund	Use	Average Notional
Total Return Bond Fund	Duration, Hedge	$	2,237,264

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, 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 tables represent the Fund’s use and activity of options written for the year ended March 31, 2017:

Call Options Written

Written Call Options
	Total Return Bond Fund
	Number of Contracts		Premium Amount
Balance at September 30, 2016		—	$	—
Options Written		33,392		3,038,672
Options terminated in closing purchase transactions		—		—
Options expired		—		—
Options exercised		—		—
Balance at March 31, 2017		33,392	$	3,038,672

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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. For Funds utilizing interest rate swaps, the exchange bears the risk of loss. 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.

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
Total Return Bond Fund	Duration, Hedge	$	—	$	27,082,500

Forward Foreign Currency Exchange Contracts

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

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the 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.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, Income	$	5,446,480	$	384,418

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, 2017:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest Rate contracts	Unrealized appreciation on swap agreements
Currency contracts		Unrealized depreciation on forward foreign currency exchange contracts
Equity contracts	Investments in unaffiliated issuers, at value	Options written, at value

The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2017:

Asset Derivative Investments Value
Fund	Swap Interest Rate Contracts		Options Written Equity Contracts		Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts		Total Value at March 31, 2017
Total Return Bond Fund	$	500,718	$	—	$	8,949,056	$	—	$	9,449,774

Liability Derivative Investments Value
Fund	Swap Interest Rate Contracts		Options Written Equity Contracts			Options Purchased Equity Contracts		Forward Foreign Currency Exchange Contracts			Total Value at March 31, 2017
Total Return Bond Fund	$	—	$	(4,841,840	)	$	—	$	(140,327	)	$	4,982,167

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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 Operations for the period ended March 31, 2017:

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/Interest rate 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

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, 2017:

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	$	(111,540	)	$	—	$	—	$	(158,101	)	$	(269,641	)

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	$	500,718	$	(1,803,168	)	$	3,105,456	$	(140,327	)	$	1,662,679

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.

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

At a meeting that occurred on November 16, 2016, the Board approved to add an advisory fee breakpoint (“breakpoint”) to the Fund.

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 up to $5 billion; and 0.45% of the average daily net assets in excess of $5 billion of the Fund’s advisory fees.

GI 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 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	02/01/18
Total Return Bond Fund - C-Class		1.65	%	11/30/12	02/01/18
Total Return Bond Fund - P-Class*		0.90	%	05/01/15	02/01/18
Total Return Bond Fund - R6-Class**		0.50	%	10/19/16	02/01/18
Total Return Bond Fund - Institutional Class		0.50	%	11/30/12	02/01/18

*	Since the commencement of operations: May 1, 2015
**	Since the commencement of operations: October 19, 2016

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At March 31, 2017, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2017		Expires 2018		Expires 2019		Expires 2020		Total
Total Return Fund
A-Class	$	105,941	$	576,490	$	886,912	$	397,533	$	1,966,876
C-Class		20,537		99,359		201,092		117,053		438,041
P-Class		—		2,335		91,216		173,904		267,455
Institutional Class		197,372		1,646,773		4,174,107		2,226,692		8,244,944

For the period ended March 31, 2017, 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, 2017, the Fund waived $174,948 related to investments in affiliated funds.

For the period ended March 31, 2017, GFD retained sales charges of $712,076 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI 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.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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.

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 years, and

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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, 2017, 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
Total Return Bond Fund	$	6,109,337,835	$	85,276,734	$	(81,548,729	)	$	3,728,005

6. Securities Transactions

For the period ended March 31, 2017, 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	$	3,226,279,918	$	1,290,743,184

For the year ended March 31, 2017, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Total Return Bond Fund	$	725,923,358	$	479,899,853

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 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, 2017, 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
Total Return Bond Fund	$	23,702,236	$	6,154,416	$	122,920

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Transactions during the period ended March 31, 2017, in which the portfolio company is an “affiliated person,” were as follows:

Affiliated issuers by Fund	Value 09/30/16		Additions		Reductions		Value 03/31/17		Shares 03/31/17		Investment Income		Realized Gain
Total Return Bond Fund
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	20,054,667	$	15,540,977	$	—	$	35,710,067		1,369,251	$	538,310	$	—
Guggenheim Limited Duration Fund - Institutional Class		15,453,399		15,644,174		—		15,662,584		633,343		233,793		2,716
Guggenheim Strategic Opportunities Fund		9,205,115		—		—		9,802,412		481,691		526,296		—
Guggenheim Strategy Fund I		12,050,977		107,920		—		12,187,954		486,545		107,545		—
Guggenheim Strategy Fund II		10,733,931		1,130,786		—		11,890,707		475,628		130,625		—
Guggenheim Strategy Fund III		6,342,121		93,111		—		6,442,936		257,614		93,115		—
	$	73,840,210	$	32,516,968	$	—	$	91,696,600			$	1,629,684	$	2,716

8. Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2017. The Fund is 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, 2017 were as follows:

Borrower	Maturity Date	Face Amount		Value
Total Return Bond Fund
Acosta, Inc.	09/26/19	$	1,857,778	$	123,057
Internet Brands	07/08/21		338,824		—
		$	2,196,601	$	123,057

9. Line of Credit

The Trust, with the exception of Capital Stewardship Fund, and certain affiliated funds, secured a 364-day committed, $800,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2016, at which time the line of credit was renewed, with an increased commitment amount to $1,000,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 0.82% at March 31, 2017, plus 1/2 of 1%. All affiliated funds that participate in the line of credit paid upfront costs totaling $2,032,388 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2017.

The allocated commitment fee amount for each Fund is referenced in the Statement of Operations under “Line of credit fees” and the effect on the expense ratio is included in the Financial Highlights.

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.

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2017, the Fund entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at March 31, 2017		Average Balance Outstanding		Average Interest Rate
Total Return Bond Fund		182	$	10,041,683	$	378,546,324		0.4	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of 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	$	10,041,683	$	—	$	10,041,683	$	10,041,683	$	—	$	—

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of March 31, 2017, aggregated by asset class of the related collateral pledged by the Fund:

Fund	Up to 30 days
Total Return Bond Fund
U.S. Treasury Bond	$	10,041,683.00

11. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board of Trustees.

Fund	Restricted Securities	Acquisition Date	Cost		Value
Total Return Bond Fund	GMAC Commercial Mortgage Asset Corp. 2007-HCKM
	6.11% due 08/10/52	10/07/16	$	26,343,879	$	23,133,768
	Capmark Military Housing Trust 2008-AMCW
	6.90% due 07/10/55	05/20/16		10,793,217		9,785,618

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Restricted Securities	Acquisition Date	Cost		Value
	Capmark Military Housing Trust 2007-AETC
	5.75% due 02/10/52	09/18/14	$	8,300,125	$	8,097,410
	RFTI Issuer Ltd. 2015-FL1
	4.79% due 08/15/30	10/14/15		4,988,313		5,007,685
	Fort Benning Family Communities LLC
	1.26% due 01/15/36	03/27/15		4,765,774		4,885,444
	Capmark Military Housing Trust 2007-ROBS
	6.06% due 10/10/52	04/23/15		4,721,939		4,823,238
	GMAC Commercial Mortgage Asset Corp. 2005-DRUM
	5.47% due 05/10/50	05/20/16		5,036,729		4,585,494
	GMAC Commercial Mortgage Asset Corp. 2005-BLIS
	5.25% due 07/10/50	05/20/16		2,595,215		2,327,843
	HP Communities LLC
	5.78% due 03/15/46	08/23/16		2,553,362		2,296,500
	Capmark Military Housing Trust 2007-AET2
	6.06% due 10/10/52	10/16/15		2,157,960		2,260,540
	Customers Bank
	6.13% due 06/26/29	06/24/14		2,000,000		2,045,000
	HP Communities LLC
	5.86% due 09/15/53	10/06/16		1,617,025		1,501,096
	Northern Group Housing LLC
	6.80% due 08/15/53	07/25/13		1,200,000		1,440,636
	Atlantic Marine Corporations Communities LLC
	5.43% due 12/01/50	07/25/14		1,406,412		1,392,233
	Cadence Bank North America
	6.25% due 06/28/29	06/06/14		1,200,000		1,200,000
	HP Communities LLC
	5.62% due 09/15/32	06/09/14		1,011,240		1,090,610
	Turbine Engines Securitization Ltd. 2013-1A
	5.13% due 12/13/48	11/27/13		1,084,759		1,084,378
	Pacific Northwest Communities LLC
	5.91% due 06/15/50	05/22/14		1,000,000		1,081,030
	Fort Knox Military Housing Privatization Project
	1.25% due 02/15/52	04/09/15		1,115,057		1,052,067
	ACC Group Housing LLC
	6.35% due 07/15/54	06/03/14		625,000		718,614

68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Fund	Restricted Securities	Acquisition Date	Cost		Value
	Great Lakes CLO Ltd. 2012-1A
	due 01/15/23	12/06/12	$	955,000	$	423,870
	Airplanes Pass Through Trust 2001-1A
	1.46% due 03/15/19	11/30/11		607,228		229,500
	Copper River CLO Ltd. 2007-1A
	due 01/20/21	05/09/14		1,755,000		210,889
	Schahin II Finance Company SPV Ltd.
	due 09/25/22	03/21/12		777,505		89,907
			$	88,610,739	$	80,763,369

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.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

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 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 Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets		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
Total Return Bond Fund	Option contracts	$	8,949,056	$	—	$	8,949,056	$	4,855,391	$	3,865,000	$	228,665

								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
Total Return Bond Fund	Option contracts	$	4,841,840	$	—	$	4,841,840	$	4,841,840	$	—	$	—
	Foreign forward currency exchange contracts		140,327		—		140,327		13,551		—		126,776

70 | 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 https://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://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 | 71

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).	98	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).	95	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee	Since 2005	Current: President, Washburn University (1997-present).	95	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).

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 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).	95	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).	95	Current: GP Natural Resource Partners, LLC (2002- present). Former: Peabody Energy Company (2003- Apr. 2017).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus McCluskey Roberts, LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	100	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).	95	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
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).	97	Former: Bennett Group of Funds (2011-2013).

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 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).	230	Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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 | 75

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
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).
Joanna M. Catalucci (1966)	AML Officer	Since 2016	Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing 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).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).

76 | 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
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).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Vice President, 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 J. 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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). 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, 227 West Monroe Street, Chicago, Illinois 60606.
**	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.

78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).

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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.

The Information We Collect About You and How We Collect It

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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information

As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.

How We Safeguard Your Personal Information

We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.

80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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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, 2017

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, 2017
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	June 9, 2017

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