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

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 01136

Guggenheim Funds Trust
(Exact name of registrant as specified in charter)

702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)

Amy J. Lee

Guggenheim Funds Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: October 1, 2020 - March 31, 2021

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:

3.31.2021

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-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	5
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
ALPHA OPPORTUNITY FUND	10
LARGE CAP VALUE FUND	29
MARKET NEUTRAL REAL ESTATE FUND	38
RISK MANAGED REAL ESTATE FUND	49
SMALL CAP VALUE FUND	65
STYLEPLUS—LARGE CORE FUND	74
STYLEPLUS—MID GROWTH FUND	86
WORLD EQUITY INCOME FUND	98
NOTES TO FINANCIAL STATEMENTS	109
OTHER INFORMATION	122
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	123
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	128

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”) (together, “Investment Advisers”), are pleased to present the shareholder report for eight equity funds (the “Fund” or “Funds”). The report covers the semi-annual period ended March 31, 2021.

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,

Security Investors, LLC
Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Alpha Opportunity Fund is subject to a number of risks and may not suitable for all investors. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. There can be no guarantee the Fund will achieve it investment objective. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. ● In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● Please read the prospectus for more detailed information regarding these and other risks.

Large Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means an investor could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. The Fund is subject to risk that large-capitalization stocks may underperform other segments of the equity market or the equity markets as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.

Market Neutral Real Estate Fund may not be suitable for all investors. ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options, and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Risk Managed Real Estate Fund may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell you shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Small Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investing in securities of small-capitalization companies may involve a greater risk of loss and more abrupt fluctuations in market price than investments in larger-capitalization companies. ● Please read the prospectus for more detailed information regarding these and other risks.

StylePlus—Large Core Fund may not be suitable for all investors. ● Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

March 31, 2021

● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

StylePlus—Mid Growth Fund may not be suitable for all investors. ● Investments in mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

World Equity Income Fund may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets are generally subject to an even greater level of risk). Additionally, the Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ● The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index returned 19.07% as the equity market continued to climb after the sharp selloff following the outbreak of COVID-19 in March 2020. This increase was in spite of ongoing personal and economic hardships imposed by COVID-19, highlighting the crucial role of policy support in the form of monetary and fiscal stimulus, which has succeeded in averting a lengthy recession in the U.S. These policy initiatives, particularly on the monetary side, increased market liquidity and lowered borrowing rates, reassuring equity investors that the Federal Reserve (the “Fed”) would do everything in its power to maintain market stability.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

For the six-month period ended March 31, 2021, the S&P 500^® Index* returned, as noted, 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

*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.

Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.

FTSE NAREIT Equity REITs Total Return Index (“FNRE”) is one of the FTSE NAREIT U.S. Real Estate Index Series that contains all Equity REITs not designated as Timber REITs or Infrastructure REITs. FTSE NAREIT U.S. Real Estate Index Series is designed to present investors with a comprehensive family of REIT performance indexes that spans the commercial real estate space across the U.S. economy. The index series provides investors with exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets. The National Association of Real Estate Investment Trusts (NAREIT) is the trade association for REITs and publicly traded real estate companies with an interest in the U.S. property and investment markets.

ICE 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.

Morningstar Long/Short Equity Category Average is the average return of funds Morningstar places in a given category based on their portfolio statistics and compositions over the past three years. Long-short portfolios hold sizeable stakes in both long and short positions in equities, exchange traded funds, and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. At least 75% of the assets are in equity securities or derivatives, and funds in the category will typically have beta values to relevant benchmarks of between 0.3 and 0.8 over a three-year period.

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.

MSCI World Index (Net) is calculated with net dividends reinvested. It is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

Russell 1000^® Value Index is a measure of the performance for the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.

Russell 2000^® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market.

Russell Midcap Growth^® Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.

S&P 500^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

6 | 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, 2020 and ending March 31, 2021.

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 | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Alpha Opportunity Fund
A-Class	1.76%	12.54%	$ 1,000.00	$ 1,125.40	$ 9.33
C-Class	2.51%	12.14%	1,000.00	1,121.40	13.28
P-Class	1.76%	12.57%	1,000.00	1,125.70	9.33
Institutional Class	1.49%	12.68%	1,000.00	1,126.80	7.90
Large Cap Value Fund
A-Class	1.15%	35.54%	1,000.00	1,355.40	6.75
C-Class	1.90%	35.03%	1,000.00	1,350.30	11.13
P-Class	1.15%	35.53%	1,000.00	1,355.30	6.75
Institutional Class	0.90%	35.71%	1,000.00	1,357.10	5.29
Market Neutral Real Estate Fund
A-Class	1.64%	(1.39%)	1,000.00	986.10	8.12
C-Class	2.39%	(1.74%)	1,000.00	982.60	11.81
P-Class	1.64%	(1.43%)	1,000.00	985.70	8.12
Institutional Class	1.39%	(1.27%)	1,000.00	987.30	6.89
Risk Managed Real Estate Fund
A-Class	1.31%	17.64%	1,000.00	1,176.40	7.11
C-Class	2.12%	17.17%	1,000.00	1,171.70	11.48
P-Class	1.37%	17.60%	1,000.00	1,176.00	7.43
Institutional Class	1.04%	17.81%	1,000.00	1,178.10	5.65
Small Cap Value Fund
A-Class	1.30%	50.91%	1,000.00	1,509.10	8.13
C-Class	2.05%	50.36%	1,000.00	1,503.60	12.80
P-Class	1.30%	50.89%	1,000.00	1,508.90	8.13
Institutional Class	1.05%	51.04%	1,000.00	1,510.40	6.57
StylePlus—Large Core Fund
A-Class	1.19%	19.60%	1,000.00	1,196.00	6.52
C-Class	2.10%	19.05%	1,000.00	1,190.50	11.47
P-Class	1.32%	19.58%	1,000.00	1,195.80	7.23
Institutional Class	1.06%	19.70%	1,000.00	1,197.00	5.81
StylePlus—Mid Growth Fund
A-Class	1.30%	21.22%	1,000.00	1,212.20	7.17
C-Class	2.18%	20.68%	1,000.00	1,206.80	11.99
P-Class	1.39%	21.17%	1,000.00	1,211.70	7.66
Institutional Class	1.10%	21.35%	1,000.00	1,213.50	6.07
World Equity Income Fund
A-Class	1.21%	24.11%	1,000.00	1,241.10	6.76
C-Class	1.96%	23.58%	1,000.00	1,235.80	10.93
P-Class	1.21%	24.06%	1,000.00	1,240.60	6.76
Institutional Class	0.96%	24.19%	1,000.00	1,241.90	5.37

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Alpha Opportunity Fund
A-Class	1.76%	5.00%	$ 1,000.00	$ 1,016.16	$ 8.85
C-Class	2.51%	5.00%	1,000.00	1,012.42	12.59
P-Class	1.76%	5.00%	1,000.00	1,016.16	8.85
Institutional Class	1.49%	5.00%	1,000.00	1,017.50	7.49
Large Cap Value Fund
A-Class	1.15%	5.00%	1,000.00	1,019.20	5.79
C-Class	1.90%	5.00%	1,000.00	1,015.46	9.55
P-Class	1.15%	5.00%	1,000.00	1,019.20	5.79
Institutional Class	0.90%	5.00%	1,000.00	1,020.44	4.53
Market Neutral Real Estate Fund
A-Class	1.64%	5.00%	1,000.00	1,016.75	8.25
C-Class	2.39%	5.00%	1,000.00	1,013.01	11.99
P-Class	1.64%	5.00%	1,000.00	1,016.75	8.25
Institutional Class	1.39%	5.00%	1,000.00	1,018.00	6.99
Risk Managed Real Estate Fund
A-Class	1.31%	5.00%	1,000.00	1,018.40	6.59
C-Class	2.12%	5.00%	1,000.00	1,014.36	10.65
P-Class	1.37%	5.00%	1,000.00	1,018.10	6.89
Institutional Class	1.04%	5.00%	1,000.00	1,019.75	5.24
Small Cap Value Fund
A-Class	1.30%	5.00%	1,000.00	1,018.45	6.54
C-Class	2.05%	5.00%	1,000.00	1,014.71	10.30
P-Class	1.30%	5.00%	1,000.00	1,018.45	6.54
Institutional Class	1.05%	5.00%	1,000.00	1,019.70	5.29
StylePlus—Large Core Fund
A-Class	1.19%	5.00%	1,000.00	1,019.00	5.99
C-Class	2.10%	5.00%	1,000.00	1,014.46	10.55
P-Class	1.32%	5.00%	1,000.00	1,018.35	6.64
Institutional Class	1.06%	5.00%	1,000.00	1,019.65	5.34
StylePlus—Mid Growth Fund
A-Class	1.30%	5.00%	1,000.00	1,018.45	6.54
C-Class	2.18%	5.00%	1,000.00	1,014.06	10.95
P-Class	1.39%	5.00%	1,000.00	1,018.00	6.99
Institutional Class	1.10%	5.00%	1,000.00	1,019.45	5.54
World Equity Income Fund
A-Class	1.21%	5.00%	1,000.00	1,018.90	6.09
C-Class	1.96%	5.00%	1,000.00	1,015.16	9.85
P-Class	1.21%	5.00%	1,000.00	1,018.90	6.09
Institutional Class	0.96%	5.00%	1,000.00	1,020.14	4.84

1	This ratio represents annualized net expenses, which may include short dividend and interest expense. Excluding these expenses, the operating expense ratios for the Risk Managed Real Estate Fund would be 1.22%, 2.03%, 1.29% and 0.95% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest, if any.
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, 2020 to March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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 Holdings (% of Total Net Assets)
McKesson Corp.	1.3%
International Business Machines Corp.	1.3%
SS&C Technologies Holdings, Inc.	1.3%
Verizon Communications, Inc.	1.3%
Molson Coors Beverage Co. — Class B	1.3%
MetLife, Inc.	1.2%
General Dynamics Corp.	1.2%
Amgen, Inc.	1.2%
Cisco Systems, Inc.	1.1%
Evergy, Inc.	1.1%
Top Ten Total	12.3%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	12.54%	18.58%	1.32%	5.25%
A-Class Shares with sales charge‡	7.21%	12.94%	0.34%	4.74%
C-Class Shares	12.14%	17.74%	0.53%	4.45%
C-Class Shares with CDSC§	11.14%	16.74%	0.53%	4.45%
Institutional Class Shares	12.68%	18.96%	1.77%	5.68%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.19%	0.63%
S&P 500 Index	19.07%	56.35%	16.29%	13.91%
S&P 500 Index Blended**	0.06%	0.12%	4.46%	7.96%
Morningstar Long/Short Equity Category Average	12.72%	24.72%	4.90%	4.17%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	12.57%	18.69%	1.40%	1.50%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.19%	1.02%
S&P 500 Index	19.07%	56.35%	16.29%	13.55%
S&P 500 Index Blended**	0.06%	0.12%	4.46%	3.71%
Morningstar Long/Short Equity Category Average	12.72%	24.72%	4.90%	3.15%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500 Index, and the Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported return.
**	Effective March 13, 2017, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmark is the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index. The Fund’s performance was previously compared to the S&P 500 Index. The S&P 500 Index-Blended uses performance data for the S&P 500 Index from 03/31/11 to 03/12/17, and the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill index from 03/13/17 to 03/31/21.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 104.3%
Consumer, Non-cyclical - 34.4%
McKesson Corp.1		2,433	$	474,532
Molson Coors Beverage Co. — Class B*,1		9,061		463,470
Amgen, Inc.1		1,684		418,996
J M Smucker Co.1		3,179		402,239
Merck & Company, Inc.		5,183		399,558
Bristol-Myers Squibb Co.1		6,324		399,234
General Mills, Inc.1		6,415		393,368
Altria Group, Inc.1		7,573		387,435
Philip Morris International, Inc.1		4,211		373,684
Johnson & Johnson1		2,264		372,088
Colgate-Palmolive Co.1		4,718		371,920
Cardinal Health, Inc.1		5,998		364,379
Campbell Soup Co.		7,062		355,007
Humana, Inc.		833		349,235
Conagra Brands, Inc.		8,825		331,820
Procter & Gamble Co.1		2,318		313,927
Kraft Heinz Co.		7,809		312,360
United Rentals, Inc.*,1		944		310,869
Kellogg Co.		4,654		294,598
Kimberly-Clark Corp.1		2,004		278,656
Gilead Sciences, Inc.		4,103		265,177
United Therapeutics Corp.*		1,522		254,585
Pfizer, Inc.1		6,483		234,879
Tyson Foods, Inc. — Class A		2,878		213,835
Quanta Services, Inc.		2,335		205,433
DaVita, Inc.*		1,842		198,513
Ingredion, Inc.		2,078		186,854
John B Sanfilippo & Son, Inc.		2,051		185,349
Quest Diagnostics, Inc.		1,420		182,243
Regeneron Pharmaceuticals, Inc.*		381		180,266
Sprouts Farmers Market, Inc.*		6,682		177,875
Kroger Co.		4,934		177,575
Cigna Corp.1		728		175,987
H&R Block, Inc.1		7,823		170,542
Post Holdings, Inc.*		1,491		157,628
Laboratory Corporation of America Holdings*		577		147,152
Incyte Corp.*		1,765		143,442
Coca-Cola Co.		2,689		141,737
Hologic, Inc.*		1,856		138,049
CVS Health Corp.		1,758		132,254
Vector Group Ltd.		9,136		127,447
Hill-Rom Holdings, Inc.1		1,056		116,667
Ionis Pharmaceuticals, Inc.*,1		2,578		115,907
Becton Dickinson and Co.		465		113,065
Innoviva, Inc.*		8,859		105,865
Prestige Consumer Healthcare, Inc.*		2,278		100,414
Hershey Co.		593		93,789
Perrigo Company plc		2,247		90,936
Abbott Laboratories		749		89,760
Medtronic plc1		755		89,188
Constellation Brands, Inc. — Class A1		391		89,148
Encompass Health Corp.		1,079		88,370
USANA Health Sciences, Inc.*		894		87,254
Boston Scientific Corp.*		2,247		86,847
FleetCor Technologies, Inc.*		310		83,275
Total Consumer, Non-cyclical				12,514,682
Industrial - 17.9%
General Dynamics Corp.		2,382		432,476
Parker-Hannifin Corp.		1,029		324,577
Lockheed Martin Corp.		816		301,512
3M Co.		1,535		295,764
Vishay Intertechnology, Inc.		12,159		292,789
Acuity Brands, Inc.		1,542		254,430
Oshkosh Corp.		1,920		227,827
Arrow Electronics, Inc.*,1		1,967		217,983
Owens Corning		2,362		217,516
Union Pacific Corp.		911		200,794
Masco Corp.1		3,344		200,306
Trane Technologies plc1		1,191		197,182
CSX Corp.		1,977		190,622
Fortive Corp.		2,615		184,724
AGCO Corp.1		1,245		178,844
Snap-on, Inc.1		755		174,208
Northrop Grumman Corp.		536		173,471
Caterpillar, Inc.1		745		172,743
Timken Co.		2,085		169,239
Agilent Technologies, Inc.		1,329		168,969
Hubbell, Inc.1		833		155,679
Norfolk Southern Corp.		546		146,612
Energizer Holdings, Inc.		2,973		141,099
Westinghouse Air Brake Technologies Corp.		1,704		134,889
Hillenbrand, Inc.		2,642		126,050
Lincoln Electric Holdings, Inc.1		988		121,465
Eaton Corporation plc1		870		120,304
Sanmina Corp.*		2,882		119,257
Lennox International, Inc.		374		116,535
Waters Corp.*,1		408		115,941
AECOM*		1,626		104,243
O-I Glass, Inc.*		7,070		104,212
Mettler-Toledo International, Inc.*		87		100,545
Berry Global Group, Inc.*,1		1,481		90,933
TE Connectivity Ltd.		695		89,732
Westrock Co.1		1,704		88,693
Donaldson Company, Inc.		1,495		86,949
Total Industrial				6,539,114
Utilities - 13.8%
Evergy, Inc.		6,928		412,424
PPL Corp.1		14,151		408,115
Public Service Enterprise Group, Inc.1		6,722		404,732
Southern Co.		6,027		374,638
UGI Corp.		8,602		352,768
Duke Energy Corp.		3,381		326,368
Exelon Corp.1		7,283		318,558
IDACORP, Inc.		3,155		315,405
Consolidated Edison, Inc.		3,941		294,787
ONE Gas, Inc.		3,715		285,721
NiSource, Inc.		11,214		270,370
OGE Energy Corp.1		8,329		269,526

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Value
Southwest Gas Holdings, Inc.		3,192	$	219,322
Pinnacle West Capital Corp.		2,585		210,290
CenterPoint Energy, Inc.		8,130		184,145
DTE Energy Co.		1,360		181,070
Sempra Energy		742		98,374
AES Corp.		3,253		87,213
Total Utilities				5,013,826
Technology - 12.3%
International Business Machines Corp.1		3,547		472,673
SS&C Technologies Holdings, Inc.1		6,685		467,081
Cerner Corp.		4,313		310,018
Seagate Technology plc		4,026		308,995
Dell Technologies, Inc. — Class C*		2,666		235,008
CDK Global, Inc.1		4,178		225,863
HP, Inc.		6,112		194,056
Kulicke & Soffa Industries, Inc.		3,584		176,010
Intel Corp.1		2,733		174,912
Dropbox, Inc. — Class A*		5,933		158,174
NetApp, Inc.		2,051		149,046
Qorvo, Inc.*		708		129,351
Bandwidth, Inc. — Class A*		982		124,459
Cirrus Logic, Inc.*		1,454		123,285
Texas Instruments, Inc.		637		120,387
VMware, Inc. — Class A*		789		118,705
Cognizant Technology Solutions Corp. — Class A		1,505		117,571
Oracle Corp.1		1,589		111,500
KLA Corp.		317		104,737
Skyworks Solutions, Inc.		526		96,510
Accenture plc — Class A		347		95,859
Microchip Technology, Inc.1		617		95,771
CSG Systems International, Inc.		2,082		93,461
Fiserv, Inc.*		782		93,089
Paychex, Inc.1		941		92,237
Western Digital Corp.		1,295		86,441
Total Technology				4,475,199
Consumer, Cyclical - 9.4%
Gentex Corp.1		8,170		291,424
Allison Transmission Holdings, Inc.1		6,911		282,176
AutoZone, Inc.*,1		195		273,838
Genuine Parts Co.		2,328		269,094
Gentherm, Inc.*		3,256		241,302
Best Buy Company, Inc.1		2,095		240,527
AutoNation, Inc.*,1		2,497		232,770
Lowe’s Companies, Inc.		1,009		191,892
MSC Industrial Direct Company, Inc. — Class A		2,116		190,842
Lear Corp.		1,052		190,675
Cummins, Inc.		715		185,264
Lennar Corp. — Class A		1,572		159,134
PACCAR, Inc.		1,707		158,614
PulteGroup, Inc.		2,791		146,360
Brunswick Corp.1		1,414		134,853
O’Reilly Automotive, Inc.*		263		133,407
Dolby Laboratories, Inc. — Class A1		1,002		98,917
Total Consumer, Cyclical				3,421,089
Communications - 9.1%
Verizon Communications, Inc.1		8,006		465,549
Cisco Systems, Inc.1		8,012		414,300
Viavi Solutions, Inc.*		20,698		324,958
Juniper Networks, Inc.1		10,290		260,646
T-Mobile US, Inc.*		1,761		220,636
VeriSign, Inc.*		1,049		208,499
Ciena Corp.*		3,651		199,783
Charter Communications, Inc. — Class A*		307		189,425
Cogent Communications Holdings, Inc.		2,494		171,488
Sirius XM Holdings, Inc.		24,866		151,434
Omnicom Group, Inc.1		1,957		145,112
Motorola Solutions, Inc.		735		138,217
InterDigital, Inc.		2,028		128,676
AT&T, Inc.1		3,955		119,718
Vonage Holdings Corp.*		10,000		118,200
Facebook, Inc. — Class A*		144		42,412
Discovery, Inc. — Class A*		644		27,988
Total Communications				3,327,041
Financial - 7.2%
MetLife, Inc.1		7,448		452,764
Allstate Corp.1		2,774		318,733
Highwoods Properties, Inc. REIT		7,259		311,701
Prudential Financial, Inc.		2,669		243,146
Travelers Companies, Inc.		1,522		228,909
Berkshire Hathaway, Inc. — Class B*,1		884		225,835
Brandywine Realty Trust REIT1		14,036		181,205
Aflac, Inc.1		3,398		173,910
Hartford Financial Services Group, Inc.		2,369		158,225
Synchrony Financial		3,233		131,454
Western Union Co.1		4,009		98,862
Sabra Health Care REIT, Inc.		5,042		87,529
Total Financial				2,612,273
Basic Materials - 0.2%
International Paper Co.		1,606		86,837
Total Common Stocks
(Cost $33,155,236)				37,990,061
MONEY MARKET FUND† - 4.7%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		1,715,994		1,715,994
Total Money Market Fund
(Cost $1,715,994)				1,715,994
Total Investments - 109.0%
(Cost $34,871,230)			$	39,706,055
Other Assets & Liabilities, net - (9.0)%				(3,279,105	)
Total Net Assets - 100.0%			$	36,426,950

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Financing Rate Pay (Receive)	Payment Frequency	Maturity Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)
OTC Custom Basket Swap Agreements††
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	0.47% (Federal Funds Rate + 0.40%)	At Maturity		02/01/24	$	3,235,092	$	340,231
Goldman Sachs International	GS Equity Custom Basket	0.52% (Federal Funds Rate + 0.45%)	At Maturity		05/06/24		3,235,098		339,251
						$	6,470,190	$	679,482
OTC Custom Basket Swap Agreements Sold Short††
Goldman Sachs International	GS Equity Custom Basket	(0.13)% (Federal Funds Rate - 0.20%)	At Maturity		05/06/24	$	13,320,112	$	(1,561,868	)
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	(0.23)% (Federal Funds Rate - 0.30%)	At Maturity		02/01/24		13,214,069		(1,591,166	)
						$	26,534,181	$	(3,153,034	)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Industrial
Snap-on, Inc.		63		0.47	%	$	6,863
AGCO Corp.		103		0.46	%		6,508
Acuity Brands, Inc.		128		0.65	%		6,144
Oshkosh Corp.		160		0.59	%		4,433
Owens Corning		196		0.56	%		4,419
Caterpillar, Inc.		62		0.44	%		4,305
Vishay Intertechnology, Inc.		1,013		0.75	%		3,958
General Dynamics Corp.		198		1.11	%		3,730
TE Connectivity Ltd.		57		0.23	%		3,538
Hubbell, Inc.		69		0.40	%		3,480
Arrow Electronics, Inc.		164		0.56	%		3,285
Timken Co.		173		0.43	%		2,572
Lincoln Electric Holdings, Inc.		82		0.31	%		2,288
Waters Corp.		34		0.30	%		2,205
3M Co.		128		0.76	%		1,743
Parker-Hannifin Corp.		85		0.83	%		1,432
Eaton Corporation plc		72		0.31	%		1,368
Trane Technologies plc		99		0.51	%		1,258
Masco Corp.		278		0.51	%		1,187
O-I Glass, Inc.		589		0.27	%		1,112
Energizer Holdings, Inc.		247		0.36	%		1,009
Northrop Grumman Corp.		44		0.44	%		983
Lennox International, Inc.		31		0.30	%		877
Lockheed Martin Corp.		68		0.78	%		859
Westinghouse Air Brake Technologies Corp.		142		0.35	%		737
Agilent Technologies, Inc.		110		0.43	%		715
Mettler-Toledo International, Inc.		7		0.25	%		684
AECOM		135		0.27	%		607
Berry Global Group, Inc.		123		0.23	%		575
CSX Corp.		164		0.49	%		507
Union Pacific Corp.		75		0.51	%		498
Sanmina Corp.		240		0.31	%		429
Norfolk Southern Corp.		45		0.37	%		275
Westrock Co.		142		0.23	%		274
Fortive Corp.		218		0.48	%		141
Donaldson Company, Inc.		124		0.22	%		(152	)
Hillenbrand, Inc.		220		0.32	%		(533	)
Total Industrial							74,313
Consumer, Non-cyclical
United Rentals, Inc.		79		0.79	%		9,362
Cardinal Health, Inc.		457		0.86	%		8,099
Molson Coors Beverage Co. — Class B		755		1.19	%		7,485
McKesson Corp.		202		1.22	%		7,111
Amgen, Inc.		140		1.08	%		4,719
Altria Group, Inc.		631		1.00	%		4,681
Quanta Services, Inc.		194		0.53	%		4,491
Kraft Heinz Co.		651		0.80	%		4,373
United Therapeutics Corp.		126		0.65	%		3,930
Johnson & Johnson		188		0.96	%		3,506
J M Smucker Co.		265		1.04	%		3,498
Campbell Soup Co.		718		1.12	%		2,640
Philip Morris International, Inc.		351		0.96	%		2,425
Sprouts Farmers Market, Inc.		557		0.46	%		2,336
H&R Block, Inc.		652		0.44	%		2,219
Procter & Gamble Co.		193		0.81	%		2,192
Tyson Foods, Inc. — Class A		239		0.55	%		1,993
Cigna Corp.		60		0.45	%		1,980
Laboratory Corporation of America Holdings		48		0.38	%		1,860

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
General Mills, Inc.		534		1.01	%	$	1,757
DaVita, Inc.		153		0.51	%		1,751
Vector Group Ltd.		761		0.33	%		1,703
Colgate-Palmolive Co.		393		0.96	%		1,655
Kellogg Co.		387		0.76	%		1,466
Conagra Brands, Inc.		735		0.85	%		1,398
Hill-Rom Holdings, Inc.		88		0.30	%		1,322
Kroger Co.		411		0.46	%		1,283
Pfizer, Inc.		540		0.60	%		1,244
Post Holdings, Inc.	��	124		0.41	%		1,234
Bristol-Myers Squibb Co.		527		1.03	%		1,101
John B Sanfilippo & Son, Inc.		171		0.48	%		1,008
Humana, Inc.		69		0.89	%		966
USANA Health Sciences, Inc.		74		0.22	%		951
Quest Diagnostics, Inc.		118		0.47	%		903
CVS Health Corp.		146		0.34	%		797
Medtronic plc		63		0.23	%		758
Ingredion, Inc.		173		0.48	%		671
Prestige Consumer Healthcare, Inc.		189		0.26	%		567
Constellation Brands, Inc. — Class A		32		0.23	%		554
Kimberly-Clark Corp.		167		0.72	%		465
Innoviva, Inc.		738		0.27	%		456
Abbott Laboratories		62		0.23	%		443
Coca-Cola Co.		224		0.36	%		346
Hershey Co.		49		0.24	%		330
Hologic, Inc.		154		0.35	%		322
Incyte Corp.		147		0.37	%		252
Merck & Company, Inc.		432		1.03	%		207
Encompass Health Corp.		90		0.23	%		6
Becton Dickinson and Co.		38		0.29	%		(9	)
Regeneron Pharmaceuticals, Inc.		31		0.45	%		(142	)
Perrigo Company plc		187		0.23	%		(175	)
Boston Scientific Corp.		187		0.22	%		(243	)
Gilead Sciences, Inc.		342		0.68	%		(312	)
FleetCor Technologies, Inc.		25		0.21	%		(430	)
Ionis Pharmaceuticals, Inc.		214		0.30	%		(1,512	)
Total Consumer, Non-cyclical							101,993
Financial
MetLife, Inc.		621		1.17	%		6,812
Hartford Financial Services Group, Inc.		197		0.41	%		4,032
Allstate Corp.		231		0.82	%		2,842
Travelers Companies, Inc.		126		0.59	%		2,040
Aflac, Inc.		283		0.45	%		1,941
Synchrony Financial		269		0.34	%		1,936
Highwoods Properties, Inc.		605		0.80	%		1,837
Western Union Co.		334		0.25	%		1,652
Berkshire Hathaway, Inc. — Class B		73		0.58	%		1,240
Sabra Health Care REIT, Inc.		420		0.23	%		(201	)
Prudential Financial, Inc.		222		0.63	%		(256	)
Brandywine Realty Trust		1,170		0.47	%		(595	)
Total Financial							23,280
Utilities
Evergy, Inc.		577		1.06	%		3,072
Exelon Corp.		607		0.82	%		2,994
UGI Corp.		717		0.91	%		2,824
Public Service Enterprise Group, Inc.		560		1.04	%		2,467
IDACORP, Inc.		263		0.81	%		2,341
PPL Corp.		1,179		1.05	%		2,122
Southern Co.		502		0.96	%		2,067
NiSource, Inc.		934		0.70	%		1,860
CenterPoint Energy, Inc.		677		0.47	%		1,654
ONE Gas, Inc.		309		0.73	%		1,407
Duke Energy Corp.		281		0.84	%		1,062
DTE Energy Co.		113		0.47	%		979
OGE Energy Corp.		694		0.69	%		786
Pinnacle West Capital Corp.		215		0.54	%		777
Consolidated Edison, Inc.		328		0.76	%		706
Sempra Energy		61		0.25	%		572
Southwest Gas Holdings, Inc.		266		0.56	%		(157	)
AES Corp.		271		0.22	%		(238	)
Total Utilities							27,295
Technology
Seagate Technology plc		335		0.79	%		6,204
HP, Inc.		509		0.50	%		5,842
Texas Instruments, Inc.		53		0.31	%		4,008
Kulicke & Soffa Industries, Inc.		298		0.45	%		3,970
NetApp, Inc.		171		0.38	%		3,750
CDK Global, Inc.		348		0.58	%		3,347
International Business Machines Corp.		295		1.22	%		3,009
SS&C Technologies Holdings, Inc.		557		1.20	%		2,902
Intel Corp.		227		0.45	%		2,530
KLA Corp.		26		0.27	%		2,490
Dell Technologies, Inc. — Class C		222		0.60	%		2,066
Oracle Corp.		132		0.29	%		1,713
Cirrus Logic, Inc.		121		0.32	%		1,668
Microchip Technology, Inc.		51		0.24	%		1,458
Skyworks Solutions, Inc.		43		0.24	%		1,323
Dropbox, Inc. — Class A		494		0.41	%		984
Cerner Corp.		359		0.80	%		760
Qorvo, Inc.		59		0.33	%		710

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Accenture plc — Class A		28		0.24	%	$	535
Cognizant Technology Solutions Corp. — Class A		125		0.30	%		397
VMware, Inc. — Class A		65		0.30	%		371
Paychex, Inc.		78		0.24	%		279
Fiserv, Inc.		65		0.24	%		116
Western Digital Corp.		108		0.22	%		(337	)
CSG Systems International, Inc.		173		0.24	%		(422	)
Bandwidth, Inc. — Class A		81		0.32	%		(3,462	)
Total Technology							46,211
Communications
Facebook, Inc. — Class A		189		1.72	%		6,245
Cisco Systems, Inc.		667		1.07	%		5,702
Viavi Solutions, Inc.		1,725		0.84	%		2,622
Ciena Corp.		304		0.51	%		2,555
Discovery, Inc. — Class A		686		0.92	%		2,256
Juniper Networks, Inc.		857		0.67	%		1,985
Cogent Communications Holdings, Inc.		207		0.44	%		1,642
Omnicom Group, Inc.		163		0.37	%		1,577
Verizon Communications, Inc.		579		1.04	%		1,522
Motorola Solutions, Inc.		61		0.35	%		1,280
T-Mobile US, Inc.		146		0.57	%		786
VeriSign, Inc.		87		0.53	%		564
Sirius XM Holdings, Inc.		2,072		0.39	%		448
Charter Communications, Inc. — Class A		25		0.48	%		(27	)
InterDigital, Inc.		169		0.33	%		(217	)
Vonage Holdings Corp.		833		0.30	%		(747	)
AT&T, Inc.		329		0.31	%		(2,233	)
Total Communications							25,960
Consumer, Cyclical
Gentherm, Inc.		271		0.62	%		5,930
Lear Corp.		87		0.49	%		3,835
AutoZone, Inc.		16		0.69	%		3,543
AutoNation, Inc.		208		0.60	%		3,391
Gentex Corp.		681		0.75	%		2,726
Cummins, Inc.		59		0.47	%		2,677
Brunswick Corp.		117		0.34	%		2,568
Lennar Corp. — Class A		131		0.41	%		2,398
Genuine Parts Co.		194		0.69	%		2,127
MSC Industrial Direct Company, Inc. — Class A		176		0.49	%		1,991
Lowe’s Companies, Inc.		84		0.49	%		1,940
PACCAR, Inc.		142		0.41	%		1,787
PulteGroup, Inc.		232		0.38	%		1,534
Allison Transmission Holdings, Inc.		576		0.73	%		1,382
Best Buy Company, Inc.		174		0.62	%		1,267
Dolby Laboratories, Inc. — Class A		83		0.25	%		1,123
O’Reilly Automotive, Inc.		21		0.33	%		846
Total Consumer, Cyclical							41,065
Basic Materials
International Paper Co.		133		0.22	%		114
Total MS Equity Long Custom Basket						$	340,231
MS EQUITY SHORT CUSTOM BASKET
Basic Materials
Southern Copper Corp.		1,310		(0.70	)%	$	3,686
LyondellBasell Industries N.V. — Class A		686		(0.56	)%		2,717
Royal Gold, Inc.		499		(0.41	)%		(653	)
Westlake Chemical Corp.		613		(0.41	)%		(756	)
PPG Industries, Inc.		975		(1.11	)%		(2,591	)
Steel Dynamics, Inc.		1,851		(0.71	)%		(5,621	)
Huntsman Corp.		3,537		(0.77	)%		(9,631	)
Axalta Coating Systems Ltd.		2,958		(0.66	)%		(11,143	)
RPM International, Inc.		764		(0.53	)%		(13,696	)
Nucor Corp.		1,263		(0.77	)%		(17,673	)
United States Steel Corp.		3,538		(0.70	)%		(18,242	)
Air Products and Chemicals, Inc.		883		(1.88	)%		(19,334	)
Quaker Chemical Corp.		499		(0.92	)%		(31,577	)
Balchem Corp.		1,074		(1.02	)%		(33,448	)
Freeport-McMoRan, Inc.		2,566		(0.64	)%		(39,173	)
Celanese Corp. — Class A		940		(1.07	)%		(41,024	)
Albemarle Corp.		611		(0.68	)%		(42,579	)
Linde plc		871		(1.85	)%		(49,231	)
Total Basic Materials							(329,969	)
Utilities
ALLETE, Inc.		806		(0.41	)%		(1,221	)
California Water Service Group		1,320		(0.56	)%		(3,911	)
Total Utilities							(5,132	)
Financial
Realty Income Corp.		3,976		(1.91	)%		14,475
UDR, Inc.		1,509		(0.50	)%		6,044
Global Net Lease, Inc.		4,111		(0.56	)%		5,541
Goldman Sachs Group, Inc.		686		(1.70	)%		5,269
JBG SMITH Properties		3,355		(0.81	)%		5,224
CyrusOne, Inc.		1,040		(0.53	)%		4,751
Federal Realty Investment Trust		688		(0.53	)%		3,719

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
QTS Realty Trust, Inc. — Class A		1,081		(0.51	)%	$	2,822
Kilroy Realty Corp.		1,217		(0.60	)%		2,277
Nasdaq, Inc.		699		(0.78	)%		(208	)
CubeSmart		1,959		(0.56	)%		(1,295	)
Host Hotels & Resorts, Inc.		5,135		(0.65	)%		(1,297	)
Life Storage, Inc.		902		(0.59	)%		(1,375	)
Intercontinental Exchange, Inc.		997		(0.84	)%		(1,813	)
Agree Realty Corp.		3,363		(1.71	)%		(1,878	)
KKR & Company, Inc. — Class A		1,607		(0.59	)%		(2,352	)
Digital Realty Trust, Inc.		546		(0.58	)%		(2,931	)
CME Group, Inc. — Class A		591		(0.91	)%		(3,505	)
Equity LifeStyle Properties, Inc.		1,499		(0.72	)%		(3,759	)
Americold Realty Trust		2,749		(0.80	)%		(4,220	)
Duke Realty Corp.		1,959		(0.62	)%		(6,818	)
Medical Properties Trust, Inc.		5,925		(0.95	)%		(8,327	)
Healthpeak Properties, Inc.		3,483		(0.84	)%		(9,459	)
Prologis, Inc.		1,264		(1.01	)%		(9,979	)
Equinix, Inc.		168		(0.86	)%		(11,259	)
Camden Property Trust		1,282		(1.07	)%		(11,940	)
S&T Bancorp, Inc.		2,202		(0.56	)%		(13,006	)
Rayonier, Inc.		2,607		(0.64	)%		(13,017	)
TFS Financial Corp.		3,678		(0.57	)%		(15,184	)
Southside Bancshares, Inc.		2,050		(0.60	)%		(16,891	)
Alleghany Corp.		294		(1.39	)%		(16,929	)
First Midwest Bancorp, Inc.		2,692		(0.45	)%		(17,585	)
EastGroup Properties, Inc.		751		(0.81	)%		(18,518	)
First Industrial Realty Trust, Inc.		4,942		(1.71	)%		(19,218	)
Howard Hughes Corp.		993		(0.71	)%		(19,385	)
Ares Management Corp. — Class A		2,028		(0.86	)%		(19,457	)
Loews Corp.		1,841		(0.71	)%		(23,633	)
Terreno Realty Corp.		1,520		(0.66	)%		(23,811	)
American Tower Corp. — Class A		701		(1.27	)%		(25,001	)
Brookline Bancorp, Inc.		6,702		(0.76	)%		(29,890	)
Sun Communities, Inc.		1,091		(1.24	)%		(31,195	)
First Financial Bankshares, Inc.		2,863		(1.01	)%		(38,706	)
Rexford Industrial Realty, Inc.		3,328		(1.27	)%		(42,190	)
First Republic Bank		1,079		(1.36	)%		(65,143	)
Total Financial							(481,052	)
Consumer, Non-cyclical
Nevro Corp.		845		(0.89	)%		24,926
Verisk Analytics, Inc. — Class A		739		(0.99	)%		8,202
CoStar Group, Inc.		136		(0.85	)%		1,675
Moody’s Corp.		253		(0.57	)%		(6,375	)
Avalara, Inc.		247		(0.25	)%		(8,843	)
Equifax, Inc.		593		(0.81	)%		(9,530	)
WD-40 Co.		170		(0.39	)%		(10,772	)
Avery Dennison Corp.		475		(0.66	)%		(35,600	)
Total Consumer, Non-cyclical							(36,317	)
Consumer, Cyclical
Lululemon Athletica, Inc.		432		(1.00	)%		19,611
IAA, Inc.		1,131		(0.47	)%		9,233
Wingstop, Inc.		296		(0.28	)%		(2,061	)
Avient Corp.		3,643		(1.30	)%		(7,797	)
Copart, Inc.		1,274		(1.05	)%		(8,950	)
TJX Companies, Inc.		1,103		(0.55	)%		(11,805	)
Delta Air Lines, Inc.		1,650		(0.60	)%		(16,776	)
Live Nation Entertainment, Inc.		591		(0.38	)%		(19,286	)
NIKE, Inc. — Class B		1,123		(1.13	)%		(21,125	)
Alaska Air Group, Inc.		1,453		(0.76	)%		(24,665	)
Hilton Worldwide Holdings, Inc.		1,048		(0.96	)%		(28,642	)
Burlington Stores, Inc.		438		(0.99	)%		(34,302	)
Southwest Airlines Co.		2,434		(1.12	)%		(45,291	)
Starbucks Corp.		1,629		(1.35	)%		(51,775	)
Scotts Miracle-Gro Co. — Class A		477		(0.88	)%		(57,566	)
Total Consumer, Cyclical							(301,197	)
Energy
Exxon Mobil Corp.		2,371		(1.00	)%		11,182
Valero Energy Corp.		1,300		(0.70	)%		8,410
Chevron Corp.		1,578		(1.25	)%		7,828
Cheniere Energy, Inc.		1,280		(0.70	)%		(274	)
NOV, Inc.		3,123		(0.32	)%		(7,011	)
Pioneer Natural Resources Co.		321		(0.39	)%		(8,467	)
Phillips 66		1,928		(1.19	)%		(11,340	)
Hess Corp.		715		(0.38	)%		(12,864	)
Schlumberger N.V.		5,706		(1.17	)%		(13,310	)
ChampionX Corp.		7,549		(1.24	)%		(50,591	)
Ovintiv, Inc.		6,565		(1.18	)%		(66,245	)
Total Energy							(142,682	)
Technology
Pegasystems, Inc.		709		(0.61	)%		4,960
Clarivate plc		2,969		(0.59	)%		1,653
Coupa Software, Inc.		127		(0.24	)%		(853	)
salesforce.com, Inc.		166		(0.27	)%		(1,680	)
Rapid7, Inc.		877		(0.50	)%		(1,782	)
Tyler Technologies, Inc.		87		(0.28	)%		(3,379	)
Smartsheet, Inc. — Class A		552		(0.27	)%		(9,494	)
HubSpot, Inc.		79		(0.27	)%		(13,364	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Varonis Systems, Inc.		1,182		(0.46	)%	$	(14,805	)
Total Technology							(38,744	)
Industrial
Worthington Industries, Inc.		1,083		(0.55	)%		3,850
Exponent, Inc.		536		(0.40	)%		(300	)
Raytheon Technologies Corp.		1,257		(0.74	)%		(2,476	)
TransDigm Group, Inc.		117		(0.52	)%		(4,053	)
US Ecology, Inc.		1,452		(0.46	)%		(5,972	)
HEICO Corp.		418		(0.40	)%		(6,500	)
Boeing Co.		229		(0.44	)%		(8,736	)
Ball Corp.		2,211		(1.42	)%		(12,665	)
Crown Holdings, Inc.		894		(0.66	)%		(19,897	)
AptarGroup, Inc.		1,503		(1.61	)%		(21,352	)
Martin Marietta Materials, Inc.		323		(0.82	)%		(24,174	)
Ingersoll Rand, Inc.		3,218		(1.20	)%		(27,125	)
Casella Waste Systems, Inc. — Class A		1,865		(0.90	)%		(28,028	)
Vulcan Materials Co.		589		(0.75	)%		(29,287	)
Tetra Tech, Inc.		723		(0.74	)%		(33,027	)
Total Industrial							(219,742	)
Communications
Q2 Holdings, Inc.		623		(0.47	)%		(10,251	)
Liberty Broadband Corp. — Class C		1,272		(1.45	)%		(11,691	)
Zendesk, Inc.		554		(0.56	)%		(14,389	)
Total Communications							(36,331	)
Total MS Equity Short Custom Basket						$	(1,591,166	)
GS EQUITY LONG CUSTOM BASKET
Communications
Facebook, Inc. — Class A		189		1.74	%	$	6,223
Cisco Systems, Inc.		667		1.07	%		5,747
Ciena Corp.		304		0.51	%		2,585
Viavi Solutions, Inc.		1,725		0.84	%		2,535
Discovery, Inc. — Class A		686		0.92	%		2,267
Juniper Networks, Inc.		857		0.67	%		2,066
Cogent Communications Holdings, Inc.		207		0.44	%		1,643
Omnicom Group, Inc.		163		0.37	%		1,620
Motorola Solutions, Inc.		61		0.35	%		1,264
Verizon Communications, Inc.		579		1.04	%		842
T-Mobile US, Inc.		146		0.57	%		777
VeriSign, Inc.		87		0.53	%		566
Sirius XM Holdings, Inc.		2,072		0.39	%		459
Charter Communications, Inc. — Class A		25		0.48	%		(22	)
InterDigital, Inc.		169		0.33	%		(232	)
Vonage Holdings Corp.		833		0.30	%		(731	)
AT&T, Inc.		329		0.31	%		(2,258	)
Total Communications							25,351
Consumer, Non-cyclical
United Rentals, Inc.		79		0.79	%		9,334
Cardinal Health, Inc.		457		0.86	%		8,127
Molson Coors Beverage Co. — Class B		755		1.19	%		7,503
McKesson Corp.		202		1.22	%		5,901
Amgen, Inc.		140		1.08	%		5,269
Altria Group, Inc.		631		1.00	%		4,661
Quanta Services, Inc.		194		0.53	%		4,487
Kraft Heinz Co.		651		0.80	%		4,343
United Therapeutics Corp.		126		0.65	%		4,015
Johnson & Johnson		188		0.96	%		3,561
J M Smucker Co.		265		1.04	%		3,493
Campbell Soup Co.		718		1.12	%		2,642
Philip Morris International, Inc.		351		0.96	%		2,410
Sprouts Farmers Market, Inc.		557		0.46	%		2,307
H&R Block, Inc.		652		0.44	%		2,248
Procter & Gamble Co.		193		0.81	%		2,210
Tyson Foods, Inc. — Class A		239		0.55	%		2,004
Cigna Corp.		60		0.45	%		1,987
Laboratory Corporation of America Holdings		48		0.38	%		1,847
DaVita, Inc.		153		0.51	%		1,788
Colgate-Palmolive Co.		393		0.96	%		1,752
General Mills, Inc.		534		1.01	%		1,734
Vector Group Ltd.		761		0.33	%		1,700
Conagra Brands, Inc.		735		0.85	%		1,429
Kellogg Co.		387		0.76	%		1,415
Hill-Rom Holdings, Inc.		88		0.30	%		1,308
Kroger Co.		411		0.46	%		1,287
Post Holdings, Inc.		124		0.41	%		1,270
Bristol-Myers Squibb Co.		527		1.03	%		1,106
John B Sanfilippo & Son, Inc.		171		0.48	%		1,074
USANA Health Sciences, Inc.		74		0.22	%		989
Humana, Inc.		69		0.89	%		988
Ingredion, Inc.		173		0.48	%		906
Quest Diagnostics, Inc.		118		0.47	%		898
Pfizer, Inc.		540		0.60	%		889
CVS Health Corp.		146		0.34	%		790
Prestige Consumer Healthcare, Inc.		189		0.26	%		575
Constellation Brands, Inc. — Class A		32		0.23	%		558
Medtronic plc		63		0.23	%		556

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Innoviva, Inc.		738		0.27	%	$	484
Abbott Laboratories		62		0.23	%		443
Kimberly-Clark Corp.		167		0.72	%		433
Coca-Cola Co.		224		0.36	%		355
Hershey Co.		49		0.24	%		337
Hologic, Inc.		154		0.35	%		315
Incyte Corp.		147		0.37	%		243
Merck & Company, Inc.		432		1.03	%		204
Encompass Health Corp.		90		0.23	%		10
Becton Dickinson and Co.		38		0.29	%		(17	)
Regeneron Pharmaceuticals, Inc.		31		0.45	%		(140	)
Perrigo Company plc		187		0.23	%		(204	)
Boston Scientific Corp.		187		0.22	%		(240	)
Gilead Sciences, Inc.		342		0.68	%		(270	)
FleetCor Technologies, Inc.		25		0.21	%		(418	)
Ionis Pharmaceuticals, Inc.		214		0.30	%		(1,487	)
Total Consumer, Non-cyclical							101,409
Industrial
Snap-on, Inc.		63		0.45	%		6,830
AGCO Corp.		103		0.46	%		6,472
Acuity Brands, Inc.		128		0.65	%		6,183
Owens Corning		196		0.56	%		4,439
Oshkosh Corp.		160		0.59	%		4,410
Caterpillar, Inc.		62		0.44	%		4,241
Vishay Intertechnology, Inc.		1,013		0.75	%		3,945
General Dynamics Corp.		198		1.11	%		3,853
TE Connectivity Ltd.		57		0.23	%		3,535
Hubbell, Inc.		69		0.40	%		3,475
Arrow Electronics, Inc.		164		0.56	%		3,283
Timken Co.		173		0.43	%		2,647
Lincoln Electric Holdings, Inc.		82		0.31	%		2,240
Waters Corp.		34		0.30	%		2,196
3M Co.		128		0.76	%		1,793
Parker-Hannifin Corp.		85		0.83	%		1,426
Eaton Corporation plc		72		0.31	%		1,361
Trane Technologies plc		99		0.51	%		1,296
Masco Corp.		278		0.51	%		1,177
O-I Glass, Inc.		589		0.27	%		1,101
Energizer Holdings, Inc.		247		0.36	%		1,012
Northrop Grumman Corp.		44		0.44	%		1,001
Lennox International, Inc.		31		0.30	%		878
Lockheed Martin Corp.		68		0.78	%		847
Westinghouse Air Brake Technologies Corp.		142		0.35	%		737
Agilent Technologies, Inc.		110		0.43	%		722
Mettler-Toledo International, Inc.		7		0.25	%		683
AECOM		135		0.27	%		602
Berry Global Group, Inc.		123		0.23	%		588
Union Pacific Corp.		75		0.51	%		507
CSX Corp.		164		0.49	%		495
Sanmina Corp.		240		0.31	%		425
Westrock Co.		142		0.23	%		283
Norfolk Southern Corp.		45		0.37	%		281
Fortive Corp.		218		0.48	%		140
Donaldson Company, Inc.		124		0.22	%		(157	)
Hillenbrand, Inc.		220		0.32	%		(533	)
Total Industrial							74,414
Financial
MetLife, Inc.		621		1.17	%		6,863
Hartford Financial Services Group, Inc.		197		0.41	%		4,071
Allstate Corp.		231		0.82	%		2,840
Travelers Companies, Inc.		126		0.59	%		2,032
Aflac, Inc.		283		0.45	%		1,933
Synchrony Financial		269		0.34	%		1,917
Highwoods Properties, Inc.		605		0.80	%		1,848
Western Union Co.		334		0.25	%		1,649
Berkshire Hathaway, Inc. — Class B		73		0.58	%		1,221
Sabra Health Care REIT, Inc.		420		0.23	%		(197	)
Prudential Financial, Inc.		222		0.63	%		(252	)
Brandywine Realty Trust		1,170		0.47	%		(588	)
Total Financial							23,337
Basic Materials
International Paper Co.		133		0.22	%		135
Consumer, Cyclical
Gentherm, Inc.		271		0.62	%		5,961
Lear Corp.		87		0.49	%		3,842
AutoZone, Inc.		16		0.69	%		3,524
AutoNation, Inc.		208		0.60	%		3,359
Gentex Corp.		681		0.75	%		2,718
Cummins, Inc.		59		0.47	%		2,635
Brunswick Corp.		117		0.34	%		2,552
Lennar Corp. — Class A		131		0.41	%		2,360
Genuine Parts Co.		194		0.69	%		2,162
MSC Industrial Direct Company, Inc. — Class A		176		0.49	%		1,984
Lowe’s Companies, Inc.		84		0.49	%		1,948
PACCAR, Inc.		142		0.41	%		1,780
PulteGroup, Inc.		232		0.38	%		1,536
Allison Transmission Holdings, Inc.		576		0.73	%		1,452
Best Buy Company, Inc.		174		0.62	%		1,250
Dolby Laboratories, Inc. — Class A		83		0.25	%		1,125
O’Reilly Automotive, Inc.		21		0.33	%		874
Total Consumer, Cyclical							41,062
Technology
Seagate Technology plc		335		0.79	%		6,217

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
HP, Inc.		509		0.50	%	$	5,867
Texas Instruments, Inc.		53		0.31	%		4,016
Kulicke & Soffa Industries, Inc.		298		0.45	%		4,014
NetApp, Inc.		171		0.38	%		3,750
CDK Global, Inc.		348		0.58	%		3,379
International Business Machines Corp.		295		1.22	%		3,027
SS&C Technologies Holdings, Inc.		557		1.20	%		2,905
Intel Corp.		227		0.45	%		2,551
KLA Corp.		26		0.27	%		2,490
Dell Technologies, Inc. — Class C		222		0.60	%		2,061
Cirrus Logic, Inc.		121		0.32	%		1,695
Oracle Corp.		132		0.29	%		1,613
Microchip Technology, Inc.		51		0.24	%		1,460
Skyworks Solutions, Inc.		43		0.24	%		1,325
Dropbox, Inc. — Class A		494		0.41	%		967
Cerner Corp.		359		0.80	%		820
Qorvo, Inc.		59		0.33	%		708
Accenture plc — Class A		28		0.24	%		530
Cognizant Technology Solutions Corp. — Class A		125		0.30	%		397
VMware, Inc. — Class A		65		0.30	%		368
Paychex, Inc.		78		0.24	%		278
Fiserv, Inc.		65		0.24	%		116
Western Digital Corp.		108		0.22	%		(352	)
CSG Systems International, Inc.		173		0.24	%		(424	)
Bandwidth, Inc. — Class A		81		0.32	%		(3,450	)
Total Technology							46,328
Utilities
Evergy, Inc.		577		1.06	%		3,108
Exelon Corp.		607		0.82	%		2,966
UGI Corp.		717		0.91	%		2,836
Public Service Enterprise Group, Inc.		560		1.04	%		2,465
IDACORP, Inc.		263		0.81	%		2,341
PPL Corp.		1,179		1.05	%		2,121
Southern Co.		502		0.96	%		1,992
NiSource, Inc.		934		0.70	%		1,868
CenterPoint Energy, Inc.		677		0.47	%		1,648
ONE Gas, Inc.		309		0.73	%		1,440
Duke Energy Corp.		281		0.84	%		1,064
DTE Energy Co.		113		0.47	%		968
Pinnacle West Capital Corp.		215		0.54	%		793
OGE Energy Corp.		694		0.69	%		770
Consolidated Edison, Inc.		328		0.76	%		700
Sempra Energy		61		0.25	%		566
Southwest Gas Holdings, Inc.		266		0.56	%		(187	)
AES Corp.		271		0.22	%		(244	)
Total Utilities							27,215
Total GS Equity Long Custom Basket						$	339,251
GS EQUITY SHORT CUSTOM BASKET
Financial
Morgan Stanley		4,254		(2.46	)%	$	17,974
Realty Income Corp.		3,976		(1.90	)%		11,866
UDR, Inc.		1,509		(0.50	)%		6,006
Global Net Lease, Inc.		4,111		(0.56	)%		5,496
JBG SMITH Properties		3,355		(0.80	)%		5,217
CyrusOne, Inc.		1,040		(0.53	)%		4,587
Federal Realty Investment Trust		688		(0.52	)%		4,095
Kilroy Realty Corp.		1,217		(0.60	)%		2,341
Nasdaq, Inc.		699		(0.77	)%		(181	)
CubeSmart		1,959		(0.56	)%		(1,028	)
Host Hotels & Resorts, Inc.		5,135		(0.65	)%		(1,040	)
Life Storage, Inc.		902		(0.58	)%		(1,308	)
Intercontinental Exchange, Inc.		997		(0.84	)%		(1,812	)
Agree Realty Corp.		3,363		(1.70	)%		(2,181	)
KKR & Company, Inc. — Class A		1,607		(0.59	)%		(2,279	)
Digital Realty Trust, Inc.		546		(0.58	)%		(2,880	)
CME Group, Inc. — Class A		591		(0.91	)%		(3,664	)
Equity LifeStyle Properties, Inc.		1,499		(0.72	)%		(3,698	)
QTS Realty Trust, Inc. — Class A		1,081		(0.50	)%		(5,457	)
Duke Realty Corp.		1,959		(0.62	)%		(6,973	)
Equinix, Inc.		168		(0.86	)%		(8,186	)
Medical Properties Trust, Inc.		5,925		(0.95	)%		(8,326	)
Healthpeak Properties, Inc.		3,483		(0.83	)%		(9,477	)
Prologis, Inc.		1,264		(1.01	)%		(9,783	)
Camden Property Trust		1,282		(1.06	)%		(11,920	)
Rayonier, Inc.		2,607		(0.63	)%		(12,923	)
S&T Bancorp, Inc.		2,202		(0.55	)%		(13,008	)
TFS Financial Corp.		3,678		(0.56	)%		(15,234	)
Terreno Realty Corp.		1,520		(0.66	)%		(15,698	)
Alleghany Corp.		294		(1.38	)%		(16,427	)
Southside Bancshares, Inc.		2,050		(0.59	)%		(17,112	)
First Midwest Bancorp, Inc.		2,692		(0.44	)%		(17,438	)
EastGroup Properties, Inc.		751		(0.81	)%		(17,498	)
Howard Hughes Corp.		993		(0.71	)%		(19,101	)
Americold Realty Trust		2,749		(0.79	)%		(19,108	)
First Industrial Realty Trust, Inc.		4,942		(1.70	)%		(19,229	)
Ares Management Corp. — Class A		2,028		(0.85	)%		(19,310	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Sun Communities, Inc.		1,091		(1.23	)%	$	(22,135	)
Loews Corp.		1,841		(0.71	)%		(23,601	)
American Tower Corp. — Class A		701		(1.26	)%		(24,997	)
Brookline Bancorp, Inc.		6,702		(0.75	)%		(29,930	)
Rexford Industrial Realty, Inc.		3,328		(1.26	)%		(32,663	)
First Financial Bankshares, Inc.		2,863		(1.00	)%		(38,688	)
First Republic Bank		1,079		(1.35	)%		(64,870	)
Total Financial							(461,581	)
Industrial
Worthington Industries, Inc.		1,083		(0.55	)%		3,831
Exponent, Inc.		536		(0.39	)%		(177	)
Raytheon Technologies Corp.		1,257		(0.73	)%		(2,385	)
TransDigm Group, Inc.		117		(0.52	)%		(4,098	)
US Ecology, Inc.		1,452		(0.45	)%		(5,999	)
HEICO Corp.		418		(0.39	)%		(6,429	)
Boeing Co.		229		(0.44	)%		(8,775	)
Ball Corp.		2,211		(1.41	)%		(12,605	)
Crown Holdings, Inc.		894		(0.65	)%		(19,958	)
AptarGroup, Inc.		1,503		(1.60	)%		(21,284	)
Martin Marietta Materials, Inc.		323		(0.81	)%		(24,220	)
Ingersoll Rand, Inc.		3,218		(1.19	)%		(27,160	)
Casella Waste Systems, Inc. — Class A		1,865		(0.89	)%		(28,164	)
Vulcan Materials Co.		589		(0.75	)%		(29,372	)
Tetra Tech, Inc.		723		(0.74	)%		(33,066	)
Total Industrial							(219,861	)
Basic Materials
Southern Copper Corp.		1,310		(0.67	)%		3,967
LyondellBasell Industries N.V. — Class A		686		(0.54	)%		2,710
Royal Gold, Inc.		499		(0.40	)%		(546	)
Westlake Chemical Corp.		613		(0.41	)%		(657	)
PPG Industries, Inc.		975		(1.10	)%		(2,532	)
Steel Dynamics, Inc.		1,851		(0.71	)%		(5,867	)
Huntsman Corp.		3,537		(0.77	)%		(9,549	)
Axalta Coating Systems Ltd.		2,958		(0.66	)%		(11,076	)
RPM International, Inc.		764		(0.53	)%		(13,762	)
Nucor Corp.		1,263		(0.76	)%		(17,796	)
United States Steel Corp.		3,538		(0.70	)%		(18,233	)
Air Products and Chemicals, Inc.		883		(1.87	)%		(19,234	)
Balchem Corp.		1,074		(1.01	)%		(30,175	)
Quaker Chemical Corp.		499		(0.91	)%		(31,810	)
Freeport-McMoRan, Inc.		2,566		(0.63	)%		(39,142	)
Celanese Corp. — Class A		940		(1.06	)%		(41,072	)
Albemarle Corp.		611		(0.67	)%		(42,704	)
Linde plc		871		(1.83	)%		(49,135	)
Total Basic Materials							(326,613	)
Energy
Exxon Mobil Corp.		2,371		(0.99	)%		11,299
Valero Energy Corp.		1,300		(0.70	)%		8,436
Chevron Corp.		1,578		(1.24	)%		7,947
Cheniere Energy, Inc.		1,280		(0.69	)%		(126	)
NOV, Inc.		3,123		(0.32	)%		(7,037	)
Pioneer Natural Resources Co.		321		(0.38	)%		(8,523	)
Phillips 66		1,928		(1.18	)%		(11,282	)
Schlumberger N.V.		5,706		(1.16	)%		(12,727	)
Hess Corp.		715		(0.38	)%		(12,886	)
ChampionX Corp.		7,549		(1.23	)%		(49,619	)
Ovintiv, Inc.		6,565		(1.17	)%		(65,445	)
Total Energy							(139,963	)
Consumer, Non-cyclical
Nevro Corp.		845		(0.88	)%		25,686
Verisk Analytics, Inc. — Class A		739		(0.98	)%		8,226
CoStar Group, Inc.		136		(0.84	)%		1,506
Moody’s Corp.		253		(0.57	)%		(6,420	)
Avalara, Inc.		247		(0.25	)%		(7,263	)
Equifax, Inc.		593		(0.81	)%		(9,627	)
WD-40 Co.		170		(0.39	)%		(10,815	)
Avery Dennison Corp.		475		(0.65	)%		(35,711	)
Total Consumer, Non-cyclical							(34,418	)
Consumer, Cyclical
Lululemon Athletica, Inc.		432		(0.99	)%		19,517
IAA, Inc.		1,131		(0.47	)%		9,314
Wingstop, Inc.		296		(0.28	)%		(2,063	)
Avient Corp.		3,643		(1.29	)%		(7,269	)
Copart, Inc.		1,274		(1.04	)%		(9,011	)
TJX Companies, Inc.		1,103		(0.55	)%		(11,755	)
Delta Air Lines, Inc.		1,650		(0.60	)%		(16,766	)
Live Nation Entertainment, Inc.		591		(0.38	)%		(19,230	)
NIKE, Inc. — Class B		1,123		(1.12	)%		(21,165	)
Alaska Air Group, Inc.		1,453		(0.75	)%		(24,983	)
Hilton Worldwide Holdings, Inc.		1,048		(0.95	)%		(28,527	)
Burlington Stores, Inc.		438		(0.98	)%		(34,752	)
Southwest Airlines Co.		2,434		(1.12	)%		(45,274	)
Starbucks Corp.		1,629		(1.34	)%		(51,840	)
Scotts Miracle-Gro Co. — Class A		477		(0.88	)%		(57,551	)
Total Consumer, Cyclical							(301,355	)
Utilities
ALLETE, Inc.		806		(0.41	)%		(1,236	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
California Water Service Group		1,320		(0.56	)%	$	(3,865	)
Total Utilities							(5,101	)
Communications
Q2 Holdings, Inc.		623		(0.47	)%		(8,806	)
Liberty Broadband Corp. — Class C		1,272		(1.43	)%		(11,647	)
Zendesk, Inc.		554		(0.55	)%		(14,291	)
Total Communications							(34,744	)
Technology
Pegasystems, Inc.		709		(0.61	)%		4,994
Clarivate plc		2,969		(0.59	)%		1,619
Coupa Software, Inc.		127		(0.24	)%		(851	)
Rapid7, Inc.		877		(0.49	)%		(1,366	)
salesforce.com, Inc.		166		(0.26	)%		(1,822	)
Tyler Technologies, Inc.		87		(0.28	)%		(3,392	)
Smartsheet, Inc. — Class A		552		(0.26	)%		(9,510	)
HubSpot, Inc.		79		(0.27	)%		(13,259	)
Varonis Systems, Inc.		1,182		(0.46	)%		(14,645	)
Total Technology							(38,232	)
Total GS Equity Short Custom Basket						$	(1,561,868	)

*	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 custom basket swap collateral at March 31, 2021.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
ALPHA OPPORTUNITY FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	37,990,061	$	—	$	—	$	37,990,061
Money Market Fund		1,715,994		—		—		1,715,994
Equity Custom Basket Swap Agreements**		—		679,482		—		679,482
Total Assets	$	39,706,055	$	679,482	$	—	$	40,385,537

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Custom Basket Swap Agreements**	$	—	$	3,153,034	$	—	$	3,153,034

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $34,871,230)	$	39,706,055
Cash		592
Unrealized appreciation on OTC swap agreements		679,482
Prepaid expenses		50,614
Receivables:
Dividends		59,749
Interest		8
Total assets		40,496,500
Liabilities:
Unrealized depreciation on OTC swap agreements		3,153,034
Payable for:
Swap settlement		835,948
Management fees		21,465
Transfer agent/maintenance fees		6,430
Fund accounting/administration fees		6,032
Trustees’ fees*		3,087
Distribution and service fees		1,307
Fund shares redeemed		174
Miscellaneous		42,073
Total liabilities		4,069,550
Net assets	$	36,426,950
Net assets consist of:
Paid in capital	$	62,489,280
Total distributable earnings (loss)		(26,062,330	)
Net assets	$	36,426,950
A-Class:
Net assets	$	3,268,137
Capital shares outstanding		174,003
Net asset value per share	$	18.78
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.72
C-Class:
Net assets	$	311,565
Capital shares outstanding		18,931
Net asset value per share	$	16.46
P-Class:
Net assets	$	1,830,026
Capital shares outstanding		96,596
Net asset value per share	$	18.95
Institutional Class:
Net assets	$	31,017,222
Capital shares outstanding		1,128,958
Net asset value per share	$	27.47

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	466,402
Interest		42
Total investment income		466,444
Expenses:
Management fees		165,169
Distribution and service fees:
A-Class		4,127
C-Class		1,571
P-Class		1,819
Transfer agent/maintenance fees:
A-Class		2,803
C-Class		464
P-Class		2,017
Institutional Class		10,744
Registration fees		34,003
Professional fees		23,223
Fund accounting/administration fees		17,033
Trustees’ fees*		10,128
Custodian fees		8,595
Line of credit fees		627
Interest expense		78
Miscellaneous		9,044
Recoupment of previously waived fees:
A-Class		343
Institutional Class		1,490
Total expenses		293,278
Less:
Expenses reimbursed by Adviser:
A-Class		(2,016	)
C-Class		(362	)
P-Class		(1,551	)
Institutional Class		(4,322	)
Expenses waived by Adviser		(3,510	)
Earnings credits applied		(7	)
Total waived/reimbursed expenses		(11,768	)
Net expenses		281,510
Net investment income		184,934
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,372,691
Swap agreements		(4,057,635	)
Net realized gain		315,056
Net change in unrealized appreciation (depreciation) on:
Investments		5,371,675
Swap agreements		(1,467,379	)
Net change in unrealized appreciation (depreciation)		3,904,296
Net realized and unrealized gain		4,219,352
Net increase in net assets resulting from operations	$	4,404,286

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

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	184,934		$	560,342
Net realized gain (loss) on investments		315,056			(4,172,863	)
Net change in unrealized appreciation (depreciation) on investments		3,904,296			(1,111,702	)
Net increase (decrease) in net assets resulting from operations		4,404,286			(4,724,223	)
Distributions to shareholders:
A-Class		(41,923	)		(62,477	)
C-Class		(666	)		—
P-Class		(18,203	)		(14,549	)
Institutional Class		(351,160	)		(785,413	)
Total distributions to shareholders		(411,952	)		(862,439	)
Capital share transactions:
Proceeds from sale of shares
A-Class		111,438			257,347
C-Class		2,850			5,850
P-Class		747,007			395,733
Institutional Class		407,167			1,995,224
Distributions reinvested
A-Class		39,965			60,267
C-Class		628			—
P-Class		18,203			14,549
Institutional Class		345,735			776,126
Cost of shares redeemed
A-Class		(652,883	)		(3,940,371	)
C-Class		(80,924	)		(339,528	)
P-Class		(257,871	)		(1,089,176	)
Institutional Class		(5,450,374	)		(44,596,146	)
Net decrease from capital share transactions		(4,769,059	)		(46,460,125	)
Net decrease in net assets		(776,725	)		(52,046,787	)
Net assets:
Beginning of period		37,203,675			89,250,462
End of period	$	36,426,950		$	37,203,675
Capital share activity:
Shares sold
A-Class		6,299			14,992
C-Class		187			398
P-Class		42,173			22,812
Institutional Class		15,958			82,744
Shares issued from reinvestment of distributions
A-Class		2,300			3,442
C-Class		41			—
P-Class		1,038			823
Institutional Class		13,612			30,436
Shares redeemed
A-Class		(37,558	)		(235,922	)
C-Class		(5,335	)		(22,693	)
P-Class		(14,658	)		(64,097	)
Institutional Class		(209,120	)		(1,931,549	)
Net decrease in shares		(185,063	)		(2,098,614	)

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	16.89		$	17.42		$	19.15		$	21.10		$	19.08		$	18.39
Income (loss) from investment operations:
Net investment income (loss)b		.07			.11			.12			.10			.31			(.19	)
Net gain (loss) on investments (realized and unrealized)		2.03			(.48	)		(1.64	)		(.60	)		1.72			.88
Total from investment operations		2.10			(.37	)		(1.52	)		(.50	)		2.03			.69
Less distributions from:
Net investment income		(.21	)		(.16	)		(.21	)		—			—			—
Net realized gains		—			—			—			(1.45	)		(.01	)		—
Total distributions		(.21	)		(.16	)		(.21	)		(1.45	)		(.01	)		—
Net asset value, end of period	$	18.78		$	16.89		$	17.42		$	19.15		$	21.10		$	19.08
Total Returnc		12.54	%		(2.15	%)		(7.97	%)		(2.90	%)		10.70	%		3.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,268		$	3,429		$	7,326		$	11,243		$	15,011		$	16,041
Ratios to average net assets:
Net investment income (loss)		0.79	%		0.65	%		0.64	%		0.51	%		1.49	%		(1.02	%)
Total expensesd		1.90	%		1.73	%		1.65	%		1.54	%		2.21	%		2.69	%
Net expensese,f,g		1.76	%		1.69	%		1.64	%		1.54	%		2.17	%		2.69	%
Portfolio turnover rate		57	%		209	%		126	%		255	%		92	%		235	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	14.71		$	15.16		$	16.61		$	18.62		$	16.96		$	16.47
Income (loss) from investment operations:
Net investment income (loss)b		—	h		(.02	)		(.03	)		(.05	)		.09			(.29	)
Net gain (loss) on investments (realized and unrealized)		1.78			(.43	)		(1.42	)		(.51	)		1.58			.78
Total from investment operations		1.78			(.45	)		(1.45	)		(.56	)		1.67			.49
Less distributions from:
Net investment income		(.03	)		—			—			—			—			—
Net realized gains		—			—			—			(1.45	)		(.01	)		—
Total distributions		(.03	)		—			—			(1.45	)		(.01	)		—
Net asset value, end of period	$	16.46		$	14.71		$	15.16		$	16.61		$	18.62		$	16.96
Total Returnc		12.14	%		(2.97	%)		(8.73	%)		(3.65	%)		9.91	%		2.91	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	312		$	354		$	702		$	1,036		$	2,508		$	1,550
Ratios to average net assets:
Net investment income (loss)		0.03	%		(0.15	%)		(0.20	%)		(0.31	%)		0.47	%		(1.72	%)
Total expensesd		2.75	%		2.72	%		2.55	%		2.34	%		2.94	%		3.91	%
Net expensese,f,g		2.51	%		2.51	%		2.48	%		2.31	%		2.88	%		3.46	%
Portfolio turnover rate		57	%		209	%		126	%		255	%		92	%		235	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	17.06		$	17.56		$	19.23		$	21.19		$	19.11		$	18.39
Income (loss) from investment operations:
Net investment income (loss)b		.07			.12			.11			.10			(.06	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		2.05			(.49	)		(1.64	)		(.61	)		2.15			.84
Total from investment operations		2.12			(.37	)		(1.53	)		(.51	)		2.09			.72
Less distributions from:
Net investment income		(.23	)		(.13	)		(.14	)		—			—			—
Net realized gains		—			—			—			(1.45	)		(.01	)		—
Total distributions		(.23	)		(.13	)		(.14	)		(1.45	)		(.01	)		—
Net asset value, end of period	$	18.95		$	17.06		$	17.56		$	19.23		$	21.19		$	19.11
Total Return		12.57	%		(2.11	%)		(7.99	%)		(2.93	%)		11.00	%		3.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,830		$	1,161		$	1,905		$	4,525		$	7,720		$	4,453
Ratios to average net assets:
Net investment income (loss)		0.79	%		0.70	%		0.59	%		0.47	%		(0.31	%)		(0.65	%)
Total expensesd		2.00	%		1.67	%		1.67	%		1.58	%		1.75	%		2.44	%
Net expensese,f,g		1.76	%		1.64	%		1.66	%		1.57	%		1.72	%		2.44	%
Portfolio turnover rate		57	%		209	%		126	%		255	%		92	%		235	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	24.65		$	25.37		$	27.77		$	29.86		$	26.82		$	25.73
Income (loss) from investment operations:
Net investment income (loss)b		.13			.25			.28			.27			.12			(.13	)
Net gain (loss) on investments (realized and unrealized)		2.97			(.72	)		(2.37	)		(.91	)		2.93			1.22
Total from investment operations		3.10			(.47	)		(2.09	)		(.64	)		3.05			1.09
Less distributions from:
Net investment income		(.28	)		(.25	)		(.31	)		—			—			—
Net realized gains		—			—			—			(1.45	)		(.01	)		—
Total distributions		(.28	)		(.25	)		(.31	)		(1.45	)		(.01	)		—
Net asset value, end of period	$	27.47		$	24.65		$	25.37		$	27.77		$	29.86		$	26.82
Total Return		12.68	%		(1.87	%)		(7.57	%)		(2.50	%)		11.42	%		4.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	31,017		$	32,260		$	79,318		$	181,095		$	196,180		$	56,550
Ratios to average net assets:
Net investment income (loss)		1.05	%		1.00	%		1.05	%		0.94	%		0.40	%		(0.49	%)
Total expensesd		1.54	%		1.36	%		1.22	%		1.12	%		1.38	%		2.23	%
Net expensese,f,g		1.49	%		1.36	%		1.21	%		1.12	%		1.37	%		2.23	%
Portfolio turnover rate		57	%		209	%		126	%		255	%		92	%		235	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.02%	0.02%	0.09%	0.02%	0.32%
C-Class	—	0.01%	0.04%	0.07%	0.64%
P-Class	—	0.01%	0.03%	0.04%	—
Institutional Class	0.01%	0.00%*	0.00%*	—	0.01%

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.75%	1.69%	1.64%	1.52%	2.00%	2.11%
C-Class	2.50%	2.51%	2.48%	2.30%	2.71%	2.86%
P-Class	1.76%	1.64%	1.66%	1.56%	1.68%	1.87%
Institutional Class	1.49%	1.36%	1.21%	1.11%	1.28%	1.63%

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

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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.	2.5%
Verizon Communications, Inc.	2.5%
Micron Technology, Inc.	2.4%
Berkshire Hathaway, Inc. — Class B	2.1%
Johnson & Johnson	2.1%
Tyson Foods, Inc. — Class A	2.0%
Comcast Corp. — Class A	1.9%
Bank of America Corp.	1.9%
Wells Fargo & Co.	1.9%
Chevron Corp.	1.7%
Top Ten Total	21.0%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	35.54%	62.64%	11.93%	9.55%
A-Class Shares with sales charge‡	29.11%	54.90%	10.85%	9.02%
C-Class Shares	35.03%	61.44%	11.09%	8.74%
C-Class Shares with CDSC§	34.03%	60.44%	11.09%	8.74%
Russell 1000 Value Index	29.34%	56.09%	11.74%	10.99%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	35.53%	62.62%	11.93%	9.05%
Russell 1000 Value Index	29.34%	56.09%	11.74%	9.21%

	6 Month†	1 Year	5 Year	Since Inception (06/07/13)
Institutional Class Shares	35.71%	63.08%	12.20%	10.02%
Russell 1000 Value Index	29.34%	56.09%	11.74%	10.43%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 96.7%
Financial - 23.8%
JPMorgan Chase & Co.		6,526	$	993,453
Berkshire Hathaway, Inc. — Class B*		3,256		831,810
Bank of America Corp.		18,761		725,863
Wells Fargo & Co.		18,543		724,475
Citigroup, Inc.		6,742		490,481
Morgan Stanley		6,187		480,482
Allstate Corp.		3,930		451,557
MetLife, Inc.		7,360		447,415
Synovus Financial Corp.		9,053		414,175
Hartford Financial Services Group, Inc.		5,741		383,441
Principal Financial Group, Inc.		6,393		383,324
Prudential Financial, Inc.		4,099		373,419
Voya Financial, Inc.		5,629		358,230
Charles Schwab Corp.		4,430		288,747
Regions Financial Corp.		12,450		257,217
Medical Properties Trust, Inc. REIT		11,253		239,464
Park Hotels & Resorts, Inc. REIT*		10,682		230,518
KeyCorp		10,260		204,995
Zions Bancorp North America		3,490		191,810
Mastercard, Inc. — Class A		531		189,063
Gaming and Leisure Properties, Inc. REIT		4,284		181,770
Jones Lang LaSalle, Inc.*		926		165,791
BOK Financial Corp.		1,601		143,001
American International Group, Inc.		3,078		142,234
Total Financial				9,292,735
Consumer, Non-cyclical - 18.9%
Johnson & Johnson		4,870		800,385
Tyson Foods, Inc. — Class A		10,678		793,375
Humana, Inc.		1,615		677,089
HCA Healthcare, Inc.		3,443		648,455
McKesson Corp.		2,560		499,302
Archer-Daniels-Midland Co.		8,690		495,330
Quest Diagnostics, Inc.		3,627		465,489
Medtronic plc		3,632		429,048
J M Smucker Co.		2,979		376,933
Encompass Health Corp.		4,310		352,989
Bunge Ltd.		4,271		338,562
Zimmer Biomet Holdings, Inc.		2,098		335,848
Amgen, Inc.		1,160		288,620
Merck & Company, Inc.		3,733		287,777
Procter & Gamble Co.		1,438		194,748
Ingredion, Inc.		2,163		194,497
Pfizer, Inc.		4,927		178,505
Total Consumer, Non-cyclical				7,356,952
Consumer, Cyclical - 10.7%
Walmart, Inc.		4,354		591,404
Kohl’s Corp.		8,436		502,870
Southwest Airlines Co.*		8,084		493,609
LKQ Corp.*		9,048		383,002
DR Horton, Inc.		4,246		378,404
Lear Corp.		2,052		371,925
Penske Automotive Group, Inc.		4,232		339,575
PACCAR, Inc.		3,462		321,689
Home Depot, Inc.		996		304,029
PVH Corp.*		2,358		249,241
Ralph Lauren Corp. — Class A*		1,925		237,083
Total Consumer, Cyclical				4,172,831
Industrial - 8.0%
Honeywell International, Inc.		2,769		601,067
Johnson Controls International plc		7,830		467,216
Knight-Swift Transportation Holdings, Inc.		7,758		373,082
Valmont Industries, Inc.		1,520		361,258
L3Harris Technologies, Inc.		1,448		293,481
FedEx Corp.		990		281,200
Curtiss-Wright Corp.		2,333		276,694
Owens Corning		2,852		262,641
General Electric Co.		16,349		214,662
Total Industrial				3,131,301
Communications - 7.9%
Verizon Communications, Inc.		16,953		985,817
Comcast Corp. — Class A		13,991		757,053
Cisco Systems, Inc.		7,671		396,667
Alphabet, Inc. — Class A*		144		297,003
Walt Disney Co.*		1,396		257,590
T-Mobile US, Inc.*		1,634		204,724
Juniper Networks, Inc.		7,162		181,413
Total Communications				3,080,267
Technology - 7.6%
Micron Technology, Inc.*		10,697		943,582
Skyworks Solutions, Inc.		3,268		599,613
Qorvo, Inc.*		2,268		414,363
Apple, Inc.		2,661		325,041
Intel Corp.		3,836		245,504
Amdocs Ltd.		2,777		194,807
Cerner Corp.		2,157		155,045
DXC Technology Co.*		3,146		98,344
Total Technology				2,976,299
Energy - 7.1%
Chevron Corp.		6,513		682,497
ConocoPhillips		9,454		500,778
Cabot Oil & Gas Corp. — Class A		15,688		294,621
Marathon Oil Corp.		27,332		291,906
Range Resources Corp.*		26,545		274,210
Pioneer Natural Resources Co.		1,695		269,200
Exxon Mobil Corp.		4,271		238,450
Patterson-UTI Energy, Inc.		29,265		208,659
Total Energy				2,760,321

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
LARGE CAP VALUE FUND

	Shares		Value
Utilities - 6.8%
Exelon Corp.		13,360	$	584,366
Public Service Enterprise Group, Inc.		8,648		520,696
Edison International		7,992		468,331
Duke Energy Corp.		3,801		366,911
Pinnacle West Capital Corp.		4,002		325,563
NiSource, Inc.		8,523		205,489
PPL Corp.		5,782		166,753
Total Utilities				2,638,109
Basic Materials - 5.9%
Huntsman Corp.		20,447		589,487
Nucor Corp.		6,947		557,636
Westlake Chemical Corp.		5,207		462,329
Reliance Steel & Aluminum Co.		1,872		285,087
International Flavors & Fragrances, Inc.		1,105		154,269
Dow, Inc.		2,118		135,425
DuPont de Nemours, Inc.		1,392		107,574
Total Basic Materials				2,291,807
Total Common Stocks
(Cost $28,009,989)				37,700,622
MONEY MARKET FUND† - 3.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		1,341,375	$	1,341,375
Total Money Market Fund
(Cost $1,341,375)				1,341,375
Total Investments - 100.1%
(Cost $29,351,364)			$	39,041,997
Other Assets & Liabilities, net - (0.1)%				(31,792	)
Total Net Assets - 100.0%			$	39,010,205

*	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, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	37,700,622	$	—	$	—	$	37,700,622
Money Market Fund		1,341,375		—		—		1,341,375
Total Assets	$	39,041,997	$	—	$	—	$	39,041,997

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $29,351,364)	$	39,041,997
Prepaid expenses		34,469
Receivables:
Securities sold		292,307
Fund shares sold		106,907
Dividends		43,615
Interest		9
Total assets		39,519,304
Liabilities:
Payable for:
Securities purchased		392,181
Fund shares redeemed		47,610
Management fees		16,054
Distribution and service fees		8,671
Fund accounting/administration fees		5,181
Transfer agent/maintenance fees		2,479
Trustees’ fees*		660
Miscellaneous		36,263
Total liabilities		509,099
Net assets	$	39,010,205
Net assets consist of:
Paid in capital	$	28,360,272
Total distributable earnings (loss)		10,649,933
Net assets	$	39,010,205
A-Class:
Net assets	$	36,807,090
Capital shares outstanding		762,337
Net asset value per share	$	48.28
Maximum offering price per share (Net asset value divided by 95.25%)	$	50.69
C-Class:
Net assets	$	1,248,838
Capital shares outstanding		28,406
Net asset value per share	$	43.96
P-Class:
Net assets	$	162,358
Capital shares outstanding		3,374
Net asset value per share	$	48.12
Institutional Class:
Net assets	$	791,919
Capital shares outstanding		16,652
Net asset value per share	$	47.56

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	375,636
Interest		30
Total investment income		375,666
Expenses:
Management fees		111,997
Distribution and service fees:
A-Class		40,903
C-Class		4,958
P-Class		193
Transfer agent/maintenance fees:
A-Class		15,207
C-Class		1,208
P-Class		256
Institutional Class		565
Registration fees		44,468
Professional fees		20,946
Fund accounting/administration fees		16,998
Trustees’ fees*		9,200
Custodian fees		2,151
Line of credit fees		520
Miscellaneous		5,824
Total expenses		275,394
Less:
Expenses reimbursed by Adviser:
A-Class		(15,275	)
C-Class		(1,216	)
P-Class		(257	)
Institutional Class		(566	)
Expenses waived by Adviser		(56,795	)
Total waived/reimbursed expenses		(74,109	)
Net expenses		201,285
Net investment income		174,381
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		883,840
Net realized gain		883,840
Net change in unrealized appreciation (depreciation) on:
Investments		9,321,528
Net change in unrealized appreciation (depreciation)		9,321,528
Net realized and unrealized gain		10,205,368
Net increase in net assets resulting from operations	$	10,379,749

* 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 | 33

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	174,381		$	994,120
Net realized gain on investments		883,840			3,048,366
Net change in unrealized appreciation (depreciation) on investments		9,321,528			(5,202,366	)
Net increase (decrease) in net assets resulting from operations		10,379,749			(1,159,880	)
Distributions to shareholders:
A-Class		(2,193,216	)		(4,000,303	)
C-Class		(62,032	)		(91,548	)
P-Class		(10,031	)		(12,859	)
Institutional Class		(41,693	)		(62,549	)
Total distributions to shareholders		(2,306,972	)		(4,167,259	)
Capital share transactions:
Proceeds from sale of shares
A-Class		687,591			3,084,388
C-Class		491,262			504,377
P-Class		24,001			82,267
Institutional Class		155,481			118,986
Distributions reinvested
A-Class		2,145,743			3,948,727
C-Class		62,032			89,872
P-Class		10,031			12,859
Institutional Class		41,693			62,549
Cost of shares redeemed
A-Class		(2,240,734	)		(26,723,359	)
C-Class		(451,327	)		(1,000,958	)
P-Class		(75,702	)		(62,200	)
Institutional Class		(18,041	)		(419,568	)
Net increase (decrease) from capital share transactions		832,030			(20,302,060	)
Net increase (decrease) in net assets		8,904,807			(25,629,199	)
Net assets:
Beginning of period		30,105,398			55,734,597
End of period	$	39,010,205		$	30,105,398
Capital share activity:
Shares sold
A-Class		15,339			78,228
C-Class		11,589			12,605
P-Class		569			2,222
Institutional Class		3,427			3,414
Shares issued from reinvestment of distributions
A-Class		51,016			90,195
C-Class		1,616			2,239
P-Class		239			295
Institutional Class		1,007			1,449
Shares redeemed
A-Class		(51,933	)		(642,844	)
C-Class		(10,985	)		(27,210	)
P-Class		(1,889	)		(1,632	)
Institutional Class		(420	)		(10,755	)
Net increase (decrease) in shares		19,575			(491,794	)

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	38.17		$	43.56		$	48.08		$	46.96		$	41.78		$	39.11
Income (loss) from investment operations:
Net investment income (loss)b		.22			.97			.62			.48			.37			.58
Net gain (loss) on investments (realized and unrealized)		12.90			(2.97	)		(2.66	)		4.46			6.80			5.23
Total from investment operations		13.12			(2.00	)		(2.04	)		4.94			7.17			5.81
Less distributions from:
Net investment income		(1.30	)		(.70	)		(.36	)		(.51	)		(.58	)		(.37	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)		(2.77	)
Total distributions		(3.01	)		(3.39	)		(2.48	)		(3.82	)		(1.99	)		(3.14	)
Net asset value, end of period	$	48.28		$	38.17		$	43.56		$	48.08		$	46.96		$	41.78
Total Returnc		35.54	%		(5.58	%)		(3.59	%)		10.82	%		17.68	%		15.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,807		$	28,548		$	53,248		$	56,369		$	60,157		$	55,325
Ratios to average net assets:
Net investment income (loss)		1.03	%		2.40	%		1.42	%		1.03	%		0.83	%		1.48	%
Total expensesd		1.57	%		1.46	%		1.31	%		1.31	%		1.30	%		1.34	%
Net expensese,f,g		1.15	%		1.15	%		1.15	%		1.15	%		1.17	%		1.17	%
Portfolio turnover rate		9	%		25	%		37	%		24	%		40	%		56	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	34.79		$	39.77		$	44.03		$	43.29		$	38.68		$	36.38
Income (loss) from investment operations:
Net investment income (loss)b		.06			.62			.26			.12			.03			.27
Net gain (loss) on investments (realized and unrealized)		11.74			(2.74	)		(2.40	)		4.09			6.28			4.87
Total from investment operations		11.80			(2.12	)		(2.14	)		4.21			6.31			5.14
Less distributions from:
Net investment income		(.92	)		(.17	)		—			(.16	)		(.29	)		(.07	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)		(2.77	)
Total distributions		(2.63	)		(2.86	)		(2.12	)		(3.47	)		(1.70	)		(2.84	)
Net asset value, end of period	$	43.96		$	34.79		$	39.77		$	44.03		$	43.29		$	38.68
Total Returnc		35.03	%		(6.30	%)		(4.28	%)		9.97	%		16.74	%		14.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,249		$	911		$	1,533		$	2,632		$	3,461		$	3,075
Ratios to average net assets:
Net investment income (loss)		0.29	%		1.69	%		0.66	%		0.28	%		0.08	%		0.75	%
Total expensesd		2.48	%		2.43	%		2.18	%		2.10	%		2.09	%		2.18	%
Net expensese,f,g		1.90	%		1.90	%		1.90	%		1.90	%		1.92	%		1.92	%
Portfolio turnover rate		9	%		25	%		37	%		24	%		40	%		56	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	38.06		$	43.46		$	48.00		$	46.91		$	41.74		$	39.13
Income (loss) from investment operations:
Net investment income (loss)b		.22			.83			.61			.49			.37			1.40
Net gain (loss) on investments (realized and unrealized)		12.86			(2.82	)		(2.64	)		4.44			6.78			4.44
Total from investment operations		13.08			(1.99	)		(2.03	)		4.93			7.15			5.84
Less distributions from:
Net investment income		(1.31	)		(.72	)		(.39	)		(.53	)		(.57	)		(.46	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)		(2.77	)
Total distributions		(3.02	)		(3.41	)		(2.51	)		(3.84	)		(1.98	)		(3.23	)
Net asset value, end of period	$	48.12		$	38.06		$	43.46		$	48.00		$	46.91		$	41.74
Total Return		35.53	%		(5.58	%)		(3.58	%)		10.80	%		17.63	%		15.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	162		$	170		$	155		$	147		$	158		$	123
Ratios to average net assets:
Net investment income (loss)		1.00	%		2.12	%		1.41	%		1.03	%		0.83	%		3.61	%
Total expensesd		1.83	%		1.72	%		1.60	%		1.59	%		1.69	%		1.41	%
Net expensese,f,g		1.15	%		1.15	%		1.15	%		1.15	%		1.17	%		1.17	%
Portfolio turnover rate		9	%		25	%		37	%		24	%		40	%		56	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	37.71		$	43.08		$	47.60		$	46.56		$	41.84		$	39.17
Income (loss) from investment operations:
Net investment income (loss)b		.27			.98			.71			.64			.51			.83
Net gain (loss) on investments (realized and unrealized)		12.73			(2.84	)		(2.63	)		4.35			6.72			5.10
Total from investment operations		13.00			(1.86	)		(1.92	)		4.99			7.23			5.93
Less distributions from:
Net investment income		(1.44	)		(.82	)		(.48	)		(.64	)		(1.10	)		(.49	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)		(2.77	)
Total distributions		(3.15	)		(3.51	)		(2.60	)		(3.95	)		(2.51	)		(3.26	)
Net asset value, end of period	$	47.56		$	37.71		$	43.08		$	47.60		$	46.56		$	41.84
Total Return		35.71	%		(5.35	%)		(3.33	%)		11.04	%		17.96	%		15.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	792		$	477		$	798		$	5,946		$	1,681		$	40
Ratios to average net assets:
Net investment income (loss)		1.28	%		2.50	%		1.65	%		1.39	%		1.13	%		2.13	%
Total expensesd		1.42	%		1.35	%		1.14	%		1.00	%		1.07	%		1.04	%
Net expensese,f,g		0.90	%		0.90	%		0.90	%		0.90	%		0.92	%		0.92	%
Portfolio turnover rate		9	%		25	%		37	%		24	%		40	%		56	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	0.00%*	0.01%
C-Class	—	0.00%*	—	0.00%*	0.01%
P-Class	—	—	—	—	0.00%*
Institutional Class	—	—	—	—	0.02%

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.15%	1.15%	1.15%	1.15%	1.15%	1.15%
C-Class	1.90%	1.90%	1.90%	1.90%	1.90%	1.90%
P-Class	1.15%	1.15%	1.15%	1.15%	1.15%	1.15%
Institutional Class	0.90%	0.90%	0.90%	0.90%	0.90%	0.90%

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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)
Regency Centers Corp.	3.9%
AvalonBay Communities, Inc.	3.5%
Extra Space Storage, Inc.	3.4%
Hudson Pacific Properties, Inc.	3.1%
Equity Residential	2.9%
Weingarten Realty Investors	2.9%
Sun Communities, Inc.	2.8%
Ventas, Inc.	2.5%
Public Storage	2.4%
Gaming and Leisure Properties, Inc.	2.4%
Top Ten Total	29.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (02/26/16)
A-Class Shares	(1.39%)	(3.82%)	4.58%	4.17%
A-Class Shares with sales charge‡	(6.09%)	(8.38%)	3.57%	3.18%
C-Class Shares	(1.74%)	(4.54%)	3.79%	3.37%
C-Class Shares with CDSC§	(2.72%)	(5.50%)	3.79%	3.37%
P-Class Shares	(1.43%)	(3.86%)	4.50%	4.08%
Institutional Class Shares	(1.27%)	(3.59%)	4.80%	4.38%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.19%	1.18%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 76.9%
REITs - 72.8%
REITs-Office Property - 13.4%
Hudson Pacific Properties, Inc.		74,000	$	2,007,620
Highwoods Properties, Inc.1		33,937		1,457,255
Boston Properties, Inc.		13,429		1,359,821
Alexandria Real Estate Equities, Inc.1		7,806		1,282,526
Empire State Realty Trust, Inc. — Class A		114,879		1,278,603
American Assets Trust, Inc.1		39,374		1,277,293
Total REITs-Office Property				8,663,118
REITs-Health Care - 9.9%
Ventas, Inc.1		30,369		1,619,882
Healthpeak Properties, Inc.1		43,523		1,381,420
Welltower, Inc.1		17,794		1,274,584
CareTrust REIT, Inc.		48,606		1,131,791
Medical Properties Trust, Inc.		48,095		1,023,462
Total REITs-Health Care				6,431,139
REITs-Warehouse/Industries - 8.7%
Prologis, Inc.		12,161		1,289,066
Americold Realty Trust1		29,975		1,153,138
CyrusOne, Inc.		16,369		1,108,509
Innovative Industrial Properties, Inc.1		5,997		1,080,420
Terreno Realty Corp.1		17,086		987,058
Total REITs-Warehouse/Industries				5,618,191
REITs-Shopping Centers - 8.2%
Regency Centers Corp.1		44,683		2,533,973
Weingarten Realty Investors1		68,819		1,851,919
Brixmor Property Group, Inc.		47,131		953,460
Total REITs-Shopping Centers				5,339,352
REITs-Apartments - 7.3%
AvalonBay Communities, Inc.1		12,161		2,243,826
Equity Residential		26,751		1,916,174
Invitation Homes, Inc.		18,551		593,447
Total REITs-Apartments				4,753,447
REITs-Hotels - 7.2%
Ryman Hospitality Properties, Inc.*		16,487		1,277,907
Xenia Hotels & Resorts, Inc.*		65,378		1,274,871
Host Hotels & Resorts, Inc.*		66,253		1,116,363
MGM Growth Properties LLC — Class A		29,985		978,111
Total REITs-Hotels				4,647,252
REITs-Storage - 5.8%
Extra Space Storage, Inc.		16,575		2,197,016
Public Storage		6,410		1,581,732
Total REITs-Storage				3,778,748
REITs-Diversified - 5.3%
Gaming and Leisure Properties, Inc.1		37,260		1,580,942
VICI Properties, Inc.1		44,889		1,267,665
Safehold, Inc.1		8,464		593,326
Total REITs-Diversified				3,441,933
REITs-Single Tenant - 4.2%
Agree Realty Corp.1		18,620		1,253,312
Realty Income Corp.		17,686		1,123,061
NETSTREIT Corp.		19,270		356,302
Total REITs-Single Tenant				2,732,675
REITs-Manufactured Homes - 2.8%
Sun Communities, Inc.1		11,984		1,798,079
Total REITs				47,203,934
Real Estate - 1.4%
Real Estate Management/Services - 1.4%
Jones Lang LaSalle, Inc.*		5,357		959,117
Lodging - 1.4%
Hotels&Motels - 1.4%
Hilton Grand Vacations, Inc.*		24,558		920,680
Entertainment - 1.3%
Resorts/Theme Parks - 1.3%
Marriott Vacations Worldwide Corp.*		4,768		830,490
Total Common Stocks
(Cost $46,028,959)				49,914,221
MONEY MARKET FUND† - 31.2%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		20,216,915		20,216,915
Total Money Market Fund
(Cost $20,216,915)				20,216,915
Total Investments - 108.1%
(Cost $66,245,874)			$	70,131,136
Other Assets & Liabilities, net - (8.1)%				(5,274,393	)
Total Net Assets - 100.0%			$	64,856,743

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MARKET NEUTRAL REAL ESTATE FUND

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Financing Rate Pay	Payment Frequency	Maturity Date		Notional Amount		Value and Unrealized Depreciation
OTC Custom Basket Swap Agreements Sold Short ††
Goldman Sachs International	GS Equity Custom Basket	0.13% (Federal Funds Rate - 0.20%)	At Maturity		05/06/24	$	24,625,437	$	(1,629,963	)
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	0.26% (Federal Funds Rate - 0.30%)	At Maturity		07/22/24		24,622,615		(1,638,204	)
						$	49,248,052	$	(3,268,167	)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY SHORT CUSTOM BASKET
Financial
Essential Properties Realty Trust, Inc.		34,931		(3.24	)%	$	22,319
Easterly Government Properties, Inc.		18,567		(1.56	)%		21,504
Equity Commonwealth		18,621		(2.10	)%		14,388
Office Properties Income Trust		9,135		(1.02	)%		11,488
Federal Realty Investment Trust		7,851		(3.23	)%		10,010
Cousins Properties, Inc.		13,533		(1.94	)%		9,362
Healthcare Trust of America, Inc. — Class A		19,953		(2.23	)%		3,234
Apple Hospitality REIT, Inc.		39,670		(2.35	)%		944
Physicians Realty Trust		10,255		(0.74	)%		738
RLJ Lodging Trust		35,295		(2.22	)%		267
Sunstone Hotel Investors, Inc.		43,907		(2.22	)%		(785	)
American Finance Trust, Inc.		17,638		(0.70	)%		(3,456	)
Corporate Office Properties Trust		22,583		(2.41	)%		(4,308	)
LTC Properties, Inc.		19,108		(3.24	)%		(6,247	)
Healthcare Realty Trust, Inc.		17,525		(2.16	)%		(9,677	)
SITE Centers Corp.		27,145		(1.49	)%		(19,987	)
Digital Realty Trust, Inc.		4,095		(2.34	)%		(23,427	)
Industrial Logistics Properties Trust		13,401		(1.26	)%		(23,488	)
STAG Industrial, Inc.		17,505		(2.39	)%		(31,947	)
Independence Realty Trust, Inc.		31,249		(1.93	)%		(40,222	)
PS Business Parks, Inc.		2,306		(1.45	)%		(40,749	)
Retail Opportunity Investments Corp.		49,713		(3.20	)%		(57,333	)
VEREIT, Inc.		21,015		(3.30	)%		(62,208	)
Life Storage, Inc.		9,213		(3.22	)%		(67,850	)
National Health Investors, Inc.		11,105		(3.26	)%		(70,603	)
American Homes 4 Rent — Class A		23,012		(3.12	)%		(71,560	)
Washington Real Estate Investment Trust		29,657		(2.66	)%		(81,265	)
SL Green Realty Corp.		16,473		(4.68	)%		(103,809	)
STORE Capital Corp.		33,629		(4.58	)%		(105,075	)
Mid-America Apartment Communities, Inc.		8,097		(4.75	)%		(112,897	)
CubeSmart		27,548		(4.23	)%		(115,616	)
Monmouth Real Estate Investment Corp.		62,788		(4.51	)%		(211,413	)
Retail Properties of America, Inc. — Class A		73,657		(3.15	)%		(323,351	)
Total Financial							(1,493,019	)
Consumer, Cyclical
Hyatt Hotels Corp. — Class A		9,896		(3.32	)%		(91,031	)
Exchange Traded Funds
Vanguard Real Estate ETF		26,270		(9.80	)%		(54,154	)
Total MS Equity Short Custom Basket						$	(1,638,204	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GS EQUITY SHORT CUSTOM BASKET
Financial
Essential Properties Realty Trust, Inc.		34,931		(3.24	)%	$	22,389
Easterly Government Properties, Inc.		18,567		(1.56	)%		21,563
Equity Commonwealth		18,621		(2.10	)%		14,696
Office Properties Income Trust		9,135		(1.02	)%		11,267
Cousins Properties, Inc.		13,533		(1.94	)%		9,297
Federal Realty Investment Trust		7,851		(3.23	)%		9,238
Healthcare Trust of America, Inc. — Class A		19,953		(2.23	)%		3,426
Apple Hospitality REIT, Inc.		39,670		(2.35	)%		1,015
Physicians Realty Trust		10,255		(0.74	)%		778
RLJ Lodging Trust		35,295		(2.22	)%		328
Apartment Income REIT Corp.		66		(0.01	)%		28
Sunstone Hotel Investors, Inc.		43,907		(2.22	)%		(975	)
American Finance Trust, Inc.		17,638		(0.70	)%		(2,927	)
Corporate Office Properties Trust		22,583		(2.41	)%		(4,387	)
LTC Properties, Inc.		19,108		(3.24	)%		(5,586	)
Healthcare Realty Trust, Inc.		17,525		(2.16	)%		(9,868	)
SITE Centers Corp.		27,145		(1.49	)%		(19,775	)
Industrial Logistics Properties Trust		13,401		(1.26	)%		(23,343	)
Digital Realty Trust, Inc.		4,095		(2.34	)%		(23,411	)
STAG Industrial, Inc.		17,505		(2.39	)%		(31,434	)
Independence Realty Trust, Inc.		31,249		(1.93	)%		(40,256	)
PS Business Parks, Inc.		2,306		(1.45	)%		(41,076	)
Retail Opportunity Investments Corp.		49,713		(3.20	)%		(53,634	)
VEREIT, Inc.		21,015		(3.30	)%		(61,960	)
Life Storage, Inc.		9,213		(3.22	)%		(67,708	)
National Health Investors, Inc.		11,105		(3.26	)%		(70,915	)
American Homes 4 Rent — Class A		23,012		(3.12	)%		(71,359	)
Washington Real Estate Investment Trust		29,657		(2.66	)%		(80,791	)
STORE Capital Corp.		33,629		(4.57	)%		(103,889	)
SL Green Realty Corp.		16,473		(4.68	)%		(104,045	)
Mid-America Apartment Communities, Inc.		8,097		(4.75	)%		(112,636	)
CubeSmart		27,548		(4.23	)%		(115,412	)
Monmouth Real Estate Investment Corp.		62,788		(4.51	)%		(210,810	)
Retail Properties of America, Inc. — Class A		73,657		(3.15	)%		(322,760	)
Total Financial							(1,484,932	)
Consumer, Cyclical
Hyatt Hotels Corp. — Class A		9,896		(3.32	)%		(90,936	)
Exchange Traded Funds
Vanguard Real Estate ETF		26,270		(9.80	)%		(54,095	)
Total GS Equity Short Custom Basket						$	(1,629,963	)

*	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 index swap collateral at March 31, 2021.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
MARKET NEUTRAL REAL ESTATE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	49,914,221	$	—	$	—	$	49,914,221
Money Market Fund		20,216,915		—		—		20,216,915
Total Assets	$	70,131,136	$	—	$	—	$	70,131,136

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Custom Basket Swap Agreements**	$	—	$	3,268,167	$	—	$	3,268,167

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $66,245,874)	$	70,131,136
Prepaid expenses		61,369
Receivables:
Securities sold		3,441,307
Dividends		184,649
Fund shares sold		109,161
Interest		142
Total assets		73,927,764
Liabilities:
Unrealized depreciation on OTC swap agreements		3,268,167
Payable for:
Securities purchased		3,981,191
Swap settlement		1,329,308
Fund shares redeemed		404,964
Management fees		43,408
Fund accounting/administration fees		7,035
Transfer agent/maintenance fees		3,353
Distribution and service fees		2,999
Trustees’ fees*		1,824
Miscellaneous		28,772
Total liabilities		9,071,021
Net assets	$	64,856,743
Net assets consist of:
Paid in capital	$	64,873,330
Total distributable earnings (loss)		(16,587	)
Net assets	$	64,856,743
A-Class:
Net assets	$	4,617,577
Capital shares outstanding		166,547
Net asset value per share	$	27.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.11
C-Class:
Net assets	$	270,532
Capital shares outstanding		10,146
Net asset value per share	$	26.66
P-Class:
Net assets	$	3,334,060
Capital shares outstanding		124,491
Net asset value per share	$	26.78
Institutional Class:
Net assets	$	56,634,574
Capital shares outstanding		2,060,787
Net asset value per share	$	27.48

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	515,280
Interest		1,009
Total investment income		516,289
Expenses:
Management fees		373,675
Distribution and service fees:
A-Class		8,834
C-Class		1,538
P-Class		10,848
Transfer agent/maintenance fees:
A-Class		11,027
C-Class		381
P-Class		6,721
Institutional Class		19,946
Registration fees		38,472
Fund accounting/administration fees		27,417
Professional fees		26,531
Trustees’ fees*		10,858
Custodian fees		6,847
Line of credit fees		1,178
Miscellaneous		10,097
Total expenses		554,370
Less:
Expenses reimbursed by Adviser:
A Class		(11,213	)
C Class		(394	)
P Class		(6,857	)
Institutional Class		(22,047	)
Expenses waived by Adviser		(21,081	)
Earnings credits applied		(13	)
Total waived/reimbursed expenses		(61,605	)
Net expenses		492,765
Net investment income		23,524
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,971,301
Swap agreements		(6,416,893	)
Net realized loss		(445,592	)
Net change in unrealized appreciation (depreciation) on:
Investments		2,989,658
Swap agreements		(3,288,153	)
Net change in unrealized appreciation (depreciation)		(298,495	)
Net realized and unrealized loss		(744,087	)
Net decrease in net assets resulting from operations	$	(720,563	)

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

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	23,524		$	50,393
Net realized gain (loss) on investments		(445,592	)		346,499
Net change in unrealized appreciation (depreciation) on investments		(298,495	)		195,936
Net increase (decrease) in net assets resulting from operations		(720,563	)		592,828
Distributions to shareholders:
A-Class		(13,489	)		(137,475	)
C-Class		(654	)		(4,629	)
P-Class		(20,444	)		(13,269	)
Institutional Class		(153,777	)		(232,931	)
Total distributions to shareholders		(188,364	)		(388,304	)
Capital share transactions:
Proceeds from sale of shares
A-Class		975,860			15,384,801
C-Class		7,807			305,070
P-Class		2,215,863			9,192,551
Institutional Class		31,443,629			34,862,781
Distributions reinvested
A-Class		9,981			133,439
C-Class		654			4,629
P-Class		19,996			13,147
Institutional Class		153,777			232,932
Cost of shares redeemed
A-Class		(8,033,427	)		(6,481,122	)
C-Class		(63,926	)		(119,128	)
P-Class		(7,092,999	)		(1,198,642	)
Institutional Class		(11,686,036	)		(3,432,966	)
Net increase from capital share transactions		7,951,179			48,897,492
Net increase in net assets		7,042,252			49,102,016
Net assets:
Beginning of period		57,814,491			8,712,475
End of period	$	64,856,743		$	57,814,491
Capital share activity:
Shares sold
A-Class		35,199			537,993
C-Class		287			11,172
P-Class		82,546			338,094
Institutional Class		1,142,901			1,249,909
Shares issued from reinvestment of distributions
A-Class		362			5,172
C-Class		25			185
P-Class		751			527
Institutional Class		5,633			9,127
Shares redeemed
A-Class		(285,069	)		(229,755	)
C-Class		(2,410	)		(4,292	)
P-Class		(265,861	)		(44,287	)
Institutional Class		(427,122	)		(124,553	)
Net increase in shares		287,242			1,749,292

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	28.18		$	26.95		$	25.16		$	26.47		$	24.45		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.04	)		(.02	)		.25			.50			.08			.24
Net gain (loss) on investments (realized and unrealized)		(.35	)		2.30			1.78			(.41	)		1.94			(.79	)
Total from investment operations		(.39	)		2.28			2.03			.09			2.02			(.55	)
Less distributions from:
Net investment income		—			(.25	)		(.01	)		—			—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—			—
Total distributions		(.06	)		(1.05	)		(.24	)		(1.40	)		—			—
Net asset value, end of period	$	27.73		$	28.18		$	26.95		$	25.16		$	26.47		$	24.45
Total Returnd		(1.39	%)		8.81	%		8.12	%		0.13	%		8.38	%		(2.20	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,618		$	11,723		$	2,766		$	2,482		$	109		$	100
Ratios to average net assets:
Net investment income (loss)		(0.31	%)		(0.06	%)		0.96	%		2.00	%		0.31	%		1.66	%
Total expensese		2.02	%		2.38	%		3.99	%		5.01	%		4.88	%		3.74	%
Net expensesf,g,h		1.64	%		1.65	%		1.62	%		1.65	%		1.65	%		1.64	%
Portfolio turnover rate		240	%		355	%		180	%		216	%		145	%		135	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.20		$	26.07		$	24.67		$	26.16		$	24.35		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.13	)		(.15	)		.05			.12			(.11	)		.12
Net gain (loss) on investments (realized and unrealized)		(.35	)		2.16			1.70			(.21	)		1.92			(.77	)
Total from investment operations		(.48	)		2.01			1.75			(.09	)		1.81			(.65	)
Less distributions from:
Net investment income		—			(.08	)		(.12	)		—			—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—			—
Total distributions		(.06	)		(.88	)		(.35	)		(1.40	)		—			—
Net asset value, end of period	$	26.66		$	27.20		$	26.07		$	24.67		$	26.16		$	24.35
Total Returnd		(1.74	%)		7.99	%		7.15	%		(0.59	%)		7.56	%		(2.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	271		$	333		$	135		$	134		$	143		$	97
Ratios to average net assets:
Net investment income (loss)		(0.95	%)		(0.56	%)		0.18	%		0.47	%		(0.52	%)		0.93	%
Total expensese		2.71	%		3.17	%		4.66	%		5.72	%		5.70	%		4.47	%
Net expensesf,g,h		2.39	%		2.40	%		2.40	%		2.38	%		2.40	%		2.38	%
Portfolio turnover rate		240	%		355	%		180	%		216	%		145	%		135	%

46 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.23		$	26.10		$	25.14		$	26.48		$	24.45		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.04	)		—			.20			.33			.16			.26
Net gain (loss) on investments (realized and unrealized)		(.35	)		2.20			1.71			(.27	)		1.87			(.81	)
Total from investment operations		(.39	)		2.20			1.91			.06			2.03			(.55	)
Less distributions from:
Net investment income		—			(.27	)		(.72	)		—			—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—			—
Total distributions		(.06	)		(1.07	)		(.95	)		(1.40	)		—			—
Net asset value, end of period	$	26.78		$	27.23		$	26.10		$	25.14		$	26.48		$	24.45
Total Return		(1.43	%)		8.79	%		7.80	%		0.09	%		8.34	%		(2.20	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,334		$	8,360		$	332		$	488		$	324		$	124
Ratios to average net assets:
Net investment income (loss)		(0.27	%)		0.00	%		0.77	%		1.26	%		0.52	%		1.64	%
Total expensese		1.85	%		2.00	%		4.05	%		4.93	%		5.18	%		3.65	%
Net expensesf,g,h		1.64	%		1.65	%		1.65	%		1.65	%		1.65	%		1.66	%
Portfolio turnover rate		240	%		355	%		180	%		216	%		145	%		135	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	27.92		$	26.74		$	25.32		$	26.57		$	24.49		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.03			.09			.31			.36			.14			.28
Net gain (loss) on investments (realized and unrealized)		(.39	)		2.23			1.73			(.21	)		1.94			(.79	)
Total from investment operations		(.36	)		2.32			2.04			.15			2.08			(.51	)
Less distributions from:
Net investment income		(.02	)		(.34	)		(.39	)		—			—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—			—
Total distributions		(.08	)		(1.14	)		(.62	)		(1.40	)		—			—
Net asset value, end of period	$	27.48		$	27.92		$	26.74		$	25.32		$	26.57		$	24.49
Total Return		(1.27	%)		9.06	%		8.19	%		0.36	%		8.62	%		(2.04	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	56,635		$	37,399		$	5,479		$	5,083		$	4,995		$	4,604
Ratios to average net assets:
Net investment income (loss)		0.18	%		0.32	%		1.18	%		1.39	%		0.55	%		1.92	%
Total expensese		1.54	%		1.85	%		3.57	%		4.59	%		4.52	%		3.41	%
Net expensesf,g,h		1.39	%		1.40	%		1.40	%		1.40	%		1.40	%		1.39	%
Portfolio turnover rate		240	%		355	%		180	%		216	%		145	%		135	%

a	Unaudited figures for the period ended March 31, 2021. 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	Total return does not reflect the impact of any applicable sales charges.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	—	0.22%
C-Class	—	0.00%*	0.02%	—	0.22%
P-Class	—	0.00%*	0.01%	—	0.16%
Institutional Class	—	0.00%*	0.03%	—	0.18%

* Less than 0.01%.

^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:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17	9/30/16
A-Class	1.63%	1.65%	1.62%	1.65%	1.63%	1.63%
C-Class	2.38%	2.40%	2.40%	2.37%	2.37%	2.37%
P-Class	1.63%	1.64%	1.65%	1.65%	1.63%	1.65%
Institutional Class	1.38%	1.40%	1.40%	1.40%	1.38%	1.38%

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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 Holdings (% of Total Net Assets)
Prologis, Inc.	7.3%
Equinix, Inc.	6.1%
Public Storage	3.7%
Welltower, Inc.	3.5%
Equity Residential	3.4%
Simon Property Group, Inc.	3.4%
AvalonBay Communities, Inc.	3.1%
Digital Realty Trust, Inc.	3.0%
Ventas, Inc.	2.7%
Invitation Homes, Inc.	2.7%
Top Ten Total	38.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (03/28/14)
A-Class Shares	17.64%	27.07%	8.91%	10.61%
A-Class Shares with sales charge‡	12.07%	21.02%	7.85%	9.84%
C-Class Shares	17.17%	26.04%	8.07%	9.76%
C-Class Shares with CDSC§	16.17%	25.04%	8.07%	9.76%
Institutional Class Shares	17.81%	27.41%	9.21%	10.92%
FTSE NAREIT Equity REITs Total Return Index	21.47%	37.78%	5.33%	7.79%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	17.60%	26.97%	8.87%	8.52%
FTSE NAREIT Equity REITs Total Return Index	21.47%	37.78%	5.33%	6.12%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The FTSE NAREIT Equity REITs Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 93.4%
REITs - 92.1%
REITs-Diversified - 15.8%
Equinix, Inc.1,2		36,961	$	25,118,326
Digital Realty Trust, Inc.		87,296		12,294,769
Gaming and Leisure Properties, Inc.2		176,779		7,500,733
VICI Properties, Inc.1		208,407		5,885,414
Duke Realty Corp.2		103,728		4,349,315
Colony Capital, Inc.*		600,225		3,889,458
WP Carey, Inc.2		40,076		2,835,778
Safehold, Inc.		40,172		2,816,057
EPR Properties		16,249		757,041
Total REITs-Diversified				65,446,891
REITs-Apartments - 14.4%
Equity Residential		197,424		14,141,481
AvalonBay Communities, Inc.2		70,281		12,967,547
Invitation Homes, Inc.2		344,204		11,011,086
Essex Property Trust, Inc.		25,174		6,843,300
UDR, Inc.		119,640		5,247,411
Mid-America Apartment Communities, Inc.		23,490		3,391,016
American Homes 4 Rent — Class A2		75,172		2,506,235
Apartment Income REIT Corp.2		57,766		2,470,074
Camden Property Trust2		10,187		1,119,653
Total REITs-Apartments				59,697,803
REITs-Warehouse/Industries - 13.7%
Prologis, Inc.		285,062		30,216,572
CyrusOne, Inc.2		88,175		5,971,211
Americold Realty Trust2		135,268		5,203,760
Terreno Realty Corp.2		72,623		4,195,431
Rexford Industrial Realty, Inc.		83,016		4,184,006
Innovative Industrial Properties, Inc.		20,015		3,605,902
QTS Realty Trust, Inc. — Class A		52,874		3,280,303
Total REITs-Warehouse/Industries				56,657,185
REITs-Health Care - 11.6%
Welltower, Inc.		200,453		14,358,448
Ventas, Inc.2		212,786		11,350,005
Healthpeak Properties, Inc.2		334,662		10,622,172
Medical Properties Trust, Inc.		215,204		4,579,541
Omega Healthcare Investors, Inc.		105,367		3,859,593
CareTrust REIT, Inc.		148,644		3,461,176
Total REITs-Health Care				48,230,935
REITs-Office Property - 8.5%
Alexandria Real Estate Equities, Inc.1,2		66,678		10,955,195
Boston Properties, Inc.2		79,060		8,005,616
Hudson Pacific Properties, Inc.		130,280		3,534,496
SL Green Realty Corp.		45,717		3,199,713
Kilroy Realty Corp.		45,128		2,961,751
Highwoods Properties, Inc.2		61,571		2,643,859
Empire State Realty Trust, Inc. — Class A		194,605		2,165,954
JBG SMITH Properties		47,317		1,504,207
American Assets Trust, Inc.		5,930		192,369
Total REITs-Office Property				35,163,160
REITs-Storage - 7.5%
Public Storage		61,416		15,155,012
Extra Space Storage, Inc.2		64,631		8,566,839
Iron Mountain, Inc.		99,013		3,664,471
CubeSmart2		53,884		2,038,432
Life Storage, Inc.		19,449		1,671,642
Total REITs-Storage				31,096,396
REITs-Shopping Centers - 5.1%
Regency Centers Corp.		114,077		6,469,307
Brixmor Property Group, Inc.2		232,319		4,699,813
Weingarten Realty Investors		141,119		3,797,512
Kimco Realty Corp.		162,664		3,049,950
SITE Centers Corp.		132,943		1,802,707
Urban Edge Properties		100,865		1,666,290
Total REITs-Shopping Centers				21,485,579
REITs-Hotels - 4.8%
MGM Growth Properties LLC — Class A		125,588		4,096,681
Ryman Hospitality Properties, Inc.*		46,769		3,625,065
Xenia Hotels & Resorts, Inc.*		167,376		3,263,832
Pebblebrook Hotel Trust		124,187		3,016,502
DiamondRock Hospitality Co.*		292,240		3,010,072
Host Hotels & Resorts, Inc.*		99,561		1,677,603
Park Hotels & Resorts, Inc.*		63,347		1,367,028
Total REITs-Hotels				20,056,783
REITs-Single Tenant - 4.5%
Realty Income Corp.2		140,742		8,937,117
National Retail Properties, Inc.		112,063		4,938,616
Agree Realty Corp.2		71,759		4,830,098
NETSTREIT Corp.		2,728		50,441
Total REITs-Single Tenant				18,756,272
REITs-Regional Malls - 3.4%
Simon Property Group, Inc.		123,092		14,004,177
REITs-Manufactured Homes - 2.8%
Sun Communities, Inc.2		49,543		7,433,432
Equity LifeStyle Properties, Inc.		67,187		4,275,780
Total REITs-Manufactured Homes				11,709,212
Total REITs				382,304,393
Lodging - 0.8%
Hotels & Motels - 0.8%
Hilton Grand Vacations, Inc.*		81,999		3,074,143
Entertainment - 0.5%
Resorts/Theme Parks - 0.5%
Marriott Vacations Worldwide Corp.*		11,915		2,075,355
Real Estate - 0.0%
Real Estate Management/Services - 0.0%
Jones Lang LaSalle, Inc.*		806		144,306
Total Common Stocks
(Cost $343,039,909)				387,598,197

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Value
MONEY MARKET FUND† - 7.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		30,052,050	$	30,052,050
Total Money Market Fund
(Cost $30,052,050)				30,052,050
Total Investments - 100.6%
(Cost $373,091,959)			$	417,650,247
COMMON STOCKS SOLD SHORT† - (1.8)%
Lodging - (0.0)%
Hotels & Motels - (0.0)%
Hyatt Hotels Corp. — Class A*		2,981		(246,529	)
REITs - (1.8)%
REITs-Hotels - (0.1)%
RLJ Lodging Trust		10,632		(164,583	)
Sunstone Hotel Investors, Inc.*		13,226		(164,796	)
Apple Hospitality REIT, Inc.		11,950		(174,112	)
Total REITs-Hotels				(503,491	)
REITs-Storage - (0.1)%
Life Storage, Inc.		2,776		(238,554	)
CubeSmart		8,299		(313,951	)
Total REITs-Storage				(552,505	)
REITs-Single Tenant - (0.1)%
Essential Properties Realty Trust, Inc.		10,523		(240,240	)
STORE Capital Corp.		10,130		(339,355	)
Total REITs-Single Tenant				(579,595	)
REITs-Warehouse/Industries - (0.2)%
Industrial Logistics Properties Trust		4,037		(93,376	)
STAG Industrial, Inc.		5,273		(177,226	)
Monmouth Real Estate Investment Corp.		18,914		(334,589	)
Total REITs-Warehouse/Industries				(605,191	)
REITs-Apartments - (0.2)%
American Homes 4 Rent — Class A		2,678		(89,285	)
Apartment Income REIT Corp.		3,320		(141,963	)
Independence Realty Trust, Inc.		9,414		(143,093	)
Mid-America Apartment Communities, Inc.		2,439		(352,094	)
Total REITs-Apartments				(726,435	)
REITs-Shopping Centers - (0.2)%
SITE Centers Corp.		8,177		(110,880	)
Retail Properties of America, Inc. — Class A		22,188		(232,530	)
Retail Opportunity Investments Corp.		14,975		(237,653	)
Federal Realty Investment Trust		2,365		(239,929	)
Total REITs-Shopping Centers				(820,992	)
REITs-Health Care - (0.2)%
Physicians Realty Trust		3,089		(54,583	)
Healthcare Realty Trust, Inc.		5,279		(160,059	)
Healthcare Trust of America, Inc. — Class A		6,011		(165,783	)
LTC Properties, Inc.		5,756		(240,140	)
National Health Investors, Inc.		3,345		(241,777	)
Total REITs-Health Care				(862,342	)
REITs-Office Property - (0.3)%
Office Properties Income Trust		3,409		(93,816	)
Easterly Government Properties, Inc.		5,593		(115,943	)
Cousins Properties, Inc.		4,077		(144,122	)
Equity Commonwealth		5,610		(155,958	)
Corporate Office Properties Trust		6,803		(179,123	)
VEREIT, Inc.		6,331		(244,503	)
SL Green Realty Corp.		4,962		(347,290	)
Total REITs-Office Property				(1,280,755	)
REITs-Diversified - (0.4)%
American Finance Trust, Inc.		4,996		(49,061	)
PS Business Parks, Inc.		695		(107,433	)
Washington Real Estate Investment Trust		8,934		(197,441	)
Digital Realty Trust, Inc.		7,956		(1,120,523	)
Total REITs-Diversified				(1,474,458	)
Total REITs				(7,405,764	)
Total Common Stocks Sold Short
(Proceeds $7,208,381)				(7,652,293	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.2)%
Vanguard Real Estate ETF		7,913		(726,888	)
Total Exchange-Traded Funds Sold Short
(Proceeds $693,439)				(726,888	)
Total Securities Sold Short - (2.0)%
(Proceeds $7,901,820)			$	(8,379,181	)
Other Assets & Liabilities, net - 1.4%				5,639,320
Total Net Assets - 100.0%			$	414,910,386

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Financing Rate Pay (Receive)	Payment Frequency	Maturity Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)
OTC Custom Basket Swap Agreements††
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	0.47% (Federal Funds Rate + 0.40%)	At Maturity		06/12/24	$	45,989,271	$	3,330,016
Goldman Sachs International	GS Equity Custom Basket	0.52% (Federal Funds Rate + 0.45%)	At Maturity		05/06/24		45,989,280		3,324,239
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	0.47% (Federal Funds Rate + 0.40%)	At Maturity		10/22/25		13,865,823		300,669
Goldman Sachs International	GS Equity Custom Basket	0.52% (Federal Funds Rate + 0.45%)	At Maturity		05/06/24		13,850,616		295,151
						$	119,694,990	$	7,250,075
OTC Custom Basket Swap Agreements Sold Short††
Goldman Sachs International	GS Equity Custom Basket	(0.13)% (Federal Funds Rate - 0.20%)	At Maturity		05/06/24	$	45,420,864	$	(2,306,936	)
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	(0.23)% (Federal Funds Rate - 0.30%)	At Maturity		06/12/24		45,415,604		(2,311,386	)
						$	90,836,468	$	(4,618,322	)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Financial
Innovative Industrial Properties, Inc.		5,550		2.17	%	$	463,831
Weingarten Realty Investors		63,699		3.73	%		437,901
Safehold, Inc.		7,835		1.19	%		286,754
Extra Space Storage, Inc.		15,342		4.42	%		261,147
Ventas, Inc.		28,109		3.26	%		255,598
Regency Centers Corp.		41,359		5.10	%		248,583
Equity Residential		24,761		3.86	%		170,909
VICI Properties, Inc.		41,550		2.55	%		145,912
Jones Lang LaSalle, Inc.		4,958		1.93	%		138,938
Gaming and Leisure Properties, Inc.		34,488		3.18	%		128,181
AvalonBay Communities, Inc.		11,256		4.52	%		122,966
Sun Communities, Inc.		11,092		3.62	%		121,325
Terreno Realty Corp.		15,815		1.99	%		110,077
Public Storage		5,933		3.18	%		93,701
Healthpeak Properties, Inc.		40,285		2.78	%		92,401
Hudson Pacific Properties, Inc.		68,495		4.04	%		83,058
American Assets Trust, Inc.		36,445		2.57	%		61,968
Welltower, Inc.		16,470		2.57	%		61,172
Americold Realty Trust		27,745		2.32	%		53,258
Highwoods Properties, Inc.		31,413		2.93	%		46,724
Invitation Homes, Inc.		17,171		1.19	%		45,432
Alexandria Real Estate Equities, Inc.		6,060		2.16	%		30,247
Agree Realty Corp.		17,235		2.52	%		25,914
Prologis, Inc.		11,256		2.59	%		24,223
Boston Properties, Inc.		12,430		2.74	%		17,284
CyrusOne, Inc.		15,151		2.23	%		15,360
Realty Income Corp.		16,370		2.26	%		12,028
NETSTREIT Corp.		16,771		0.67	%		7,849
Xenia Hotels & Resorts, Inc.		60,514		2.57	%		2,043
Host Hotels & Resorts, Inc.		61,324		2.25	%		(2,819	)
MGM Growth Properties LLC — Class A		27,754		1.97	%		(4,819	)
Brixmor Property Group, Inc.		43,625		1.92	%		(11,663	)
Medical Properties Trust, Inc.		44,517		2.06	%		(29,189	)
Ryman Hospitality Properties, Inc.		15,260		2.57	%		(32,812	)
CareTrust REIT, Inc.		44,990		2.28	%		(33,647	)
Empire State Realty Trust, Inc. — Class A		106,333		2.57	%		(42,230	)
Total Financial							3,407,605

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Consumer, Cyclical
Marriott Vacations Worldwide Corp.		4,413		1.67	%	$	(18,851	)
Hilton Grand Vacations, Inc.		22,731		1.87	%		(58,738	)
Total Consumer, Cyclical							(77,589	)
Total MS Equity Long Custom Basket						$	3,330,016
MS EQUITY SHORT CUSTOM BASKET
Financial
Essential Properties Realty Trust, Inc.		64,665		(3.25	)%	$	43,965
Easterly Government Properties, Inc.		34,371		(1.57	)%		38,215
Equity Commonwealth		34,471		(2.11	)%		24,616
Federal Realty Investment Trust		14,533		(3.25	)%		21,214
Office Properties Income Trust		15,626		(0.95	)%		19,651
Cousins Properties, Inc.		25,053		(1.95	)%		16,522
Apple Hospitality REIT, Inc.		73,437		(2.36	)%		11,659
RLJ Lodging Trust		65,338		(2.23	)%		10,666
Healthcare Trust of America, Inc. — Class A		36,937		(2.24	)%		6,687
Sunstone Hotel Investors, Inc.		81,282		(2.23	)%		6,439
Corporate Office Properties Trust		41,806		(2.42	)%		2,677
Physicians Realty Trust		18,983		(0.74	)%		2,520
LTC Properties, Inc.		35,372		(3.25	)%		(4,074	)
American Finance Trust, Inc.		30,700		(0.66	)%		(6,016	)
Healthcare Realty Trust, Inc.		32,442		(2.17	)%		(13,646	)
Industrial Logistics Properties Trust		24,807		(1.26	)%		(21,822	)
SITE Centers Corp.		50,251		(1.50	)%		(31,558	)
Digital Realty Trust, Inc.		7,581		(2.35	)%		(39,227	)
STAG Industrial, Inc.		32,406		(2.40	)%		(45,469	)
Independence Realty Trust, Inc.		57,849		(1.94	)%		(61,629	)
PS Business Parks, Inc.		4,268		(1.45	)%		(63,895	)
Retail Opportunity Investments Corp.		92,029		(3.22	)%		(82,918	)
Life Storage, Inc.		17,054		(3.23	)%		(97,947	)
VEREIT, Inc.		38,903		(3.31	)%		(98,846	)
National Health Investors, Inc.		20,557		(3.27	)%		(100,300	)
Washington Real Estate Investment Trust		54,901		(2.67	)%		(108,085	)
American Homes 4 Rent — Class A		39,276		(2.88	)%		(114,995	)
SL Green Realty Corp.		30,495		(4.70	)%		(149,102	)
CubeSmart		50,997		(4.25	)%		(168,176	)
Mid-America Apartment Communities, Inc.		14,988		(4.76	)%		(173,715	)
STORE Capital Corp.		62,254		(4.59	)%		(218,729	)
Monmouth Real Estate Investment Corp.		116,235		(4.53	)%		(262,222	)
Retail Properties of America, Inc. — Class A		136,355		(3.13	)%		(478,779	)
Total Financial							(2,136,319	)
Exchange-Traded Funds
Vanguard Real Estate ETF		48,630		(9.84	)%		(40,020	)
Consumer, Cyclical
Hyatt Hotels Corp. — Class A		18,319		(3.34	)%		(135,047	)
Total MS Equity Short Custom Basket						$	(2,311,386	)
MS EQUITY LONG CUSTOM BASKET
Financial
Prologis, Inc.		10,340		7.90	%	$	64,960
Public Storage		2,206		3.93	%		23,052
Digital Realty Trust, Inc.		2,941		2.99	%		20,358
Simon Property Group, Inc.		4,493		3.69	%		18,537
Equity Residential		7,060		3.65	%		17,002
Extra Space Storage, Inc.		2,268		2.17	%		16,826
Invitation Homes, Inc.		12,464		2.88	%		16,143
Equinix, Inc.		1,349		6.61	%		11,566
Americold Realty Trust		4,773		1.32	%		11,278
Healthpeak Properties, Inc.		11,978		2.74	%		11,105
Iron Mountain, Inc.		3,614		0.96	%		9,018
VICI Properties, Inc.		7,361		1.50	%		8,944
Weingarten Realty Investors		4,773		0.93	%		8,789
AvalonBay Communities, Inc.		2,498		3.32	%		8,746
Realty Income Corp.		5,040		2.31	%		8,658
UDR, Inc.		4,367		1.38	%		7,848
Mid-America Apartment Communities, Inc.		857		0.89	%		6,374
Regency Centers Corp.		3,919		1.60	%		6,161
Duke Realty Corp.		3,786		1.14	%		5,970
Rexford Industrial Realty, Inc.		3,030		1.10	%		5,738
Pebblebrook Hotel Trust		4,533		0.79	%		5,707
National Retail Properties, Inc.		4,091		1.30	%		5,073
Equity LifeStyle Properties, Inc.		2,452		1.13	%		4,777
American Homes 4 Rent — Class A		3,817		0.92	%		4,703
Welltower, Inc.		7,220		3.73	%		4,408
CyrusOne, Inc.		3,129		1.53	%		3,203
WP Carey, Inc.		1,463		0.75	%		3,177

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Highwoods Properties, Inc.		1,957		0.61	%	$	2,877
Park Hotels & Resorts, Inc.	��	2,333		0.36	%		2,796
CubeSmart		1,967		0.54	%		2,444
Camden Property Trust		371		0.29	%		2,262
SITE Centers Corp.		4,853		0.47	%		2,170
Terreno Realty Corp.		2,557		1.07	%		2,159
Agree Realty Corp.		2,517		1.22	%		1,946
Kimco Realty Corp.		5,938		0.80	%		1,891
Apartment Income REIT Corp.		1,334		0.41	%		1,805
Sun Communities, Inc.		1,742		1.88	%		1,780
Life Storage, Inc.		710		0.44	%		1,229
Essex Property Trust, Inc.		919		1.80	%		1,204
DiamondRock Hospitality Co.		10,669		0.79	%		1,061
Host Hotels & Resorts, Inc.		3,270		0.40	%		1,044
Alexandria Real Estate Equities, Inc.		2,391		2.83	%		920
Colony Capital, Inc.		21,912		1.02	%		857
Kilroy Realty Corp.		1,647		0.78	%		434
Hudson Pacific Properties, Inc.		4,349		0.85	%		244
Omega Healthcare Investors, Inc.		2,658		0.70	%		135
Innovative Industrial Properties, Inc.		697		0.91	%		124
MGM Growth Properties LLC — Class A		4,420		1.04	%		16
QTS Realty Trust, Inc. — Class A		1,930		0.86	%		(647	)
Xenia Hotels & Resorts, Inc.		6,715		0.94	%		(817	)
EPR Properties		593		0.20	%		(858	)
Brixmor Property Group, Inc.		8,222		1.20	%		(973	)
Urban Edge Properties		3,682		0.44	%		(1,052	)
Gaming and Leisure Properties, Inc.		6,248		1.91	%		(1,106	)
JBG SMITH Properties		1,727		0.40	%		(1,701	)
Medical Properties Trust, Inc.		7,592		1.17	%		(1,916	)
Empire State Realty Trust, Inc. — Class A		6,872		0.55	%		(1,933	)
Safehold, Inc.		1,420		0.72	%		(2,524	)
Ryman Hospitality Properties, Inc.		1,616		0.90	%		(3,506	)
CareTrust REIT, Inc.		7,235		1.21	%		(4,226	)
Ventas, Inc.		7,601		2.92	%		(4,429	)
Boston Properties, Inc.		2,812		2.05	%		(5,852	)
SL Green Realty Corp.		1,670		0.88	%		(6,531	)
Total Financial							309,448
Consumer, Cyclical
Hilton Grand Vacations, Inc.		2,858		0.77	%		(4,022	)
Marriott Vacations Worldwide Corp.		408		0.51	%		(4,757	)
Total Consumer, Cyclical							(8,779	)
Total MS Equity Long Custom Basket						$	300,669
GS EQUITY LONG CUSTOM BASKET
Financial
Innovative Industrial Properties, Inc.		5,550		2.17	%	$	469,242
Weingarten Realty Investors		63,699		3.73	%		435,371
Safehold, Inc.		7,835		1.19	%		286,418
Extra Space Storage, Inc.		15,342		4.42	%		261,192
Ventas, Inc.		28,109		3.26	%		255,257
Regency Centers Corp.		41,359		5.10	%		247,885
Equity Residential		24,761		3.86	%		167,346
VICI Properties, Inc.		41,550		2.55	%		144,735
Jones Lang LaSalle, Inc.		4,958		1.93	%		139,246
Gaming and Leisure Properties, Inc.		34,488		3.18	%		128,824
Sun Communities, Inc.		11,092		3.62	%		122,438
AvalonBay Communities, Inc.		11,256		4.52	%		120,994
Terreno Realty Corp.		15,815		1.99	%		111,829
Public Storage		5,933		3.18	%		93,949
Healthpeak Properties, Inc.		40,285		2.78	%		93,365
Hudson Pacific Properties, Inc.		68,495		4.04	%		82,672
American Assets Trust, Inc.		36,445		2.57	%		70,600
Welltower, Inc.		16,470		2.57	%		60,780
Americold Realty Trust		27,745		2.32	%		52,304
Highwoods Properties, Inc.		31,413		2.93	%		46,205
Invitation Homes, Inc.		17,171		1.19	%		45,682
Alexandria Real Estate Equities, Inc.		6,060		2.16	%		30,237
Prologis, Inc.		11,256		2.59	%		23,664
Agree Realty Corp.		17,235		2.52	%		19,545
Boston Properties, Inc.		12,430		2.74	%		16,700
CyrusOne, Inc.		15,151		2.23	%		15,835
Realty Income Corp.		16,370		2.26	%		11,336
NETSTREIT Corp.		16,771		0.67	%		6,526
Xenia Hotels & Resorts, Inc.		60,514		2.57	%		1,796
Host Hotels & Resorts, Inc.		61,324		2.25	%		(2,247	)
MGM Growth Properties LLC — Class A		27,754		1.97	%		(4,907	)
Brixmor Property Group, Inc.		43,625		1.92	%		(11,347	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Medical Properties Trust, Inc.		44,517		2.06	%	$	(29,186	)
Ryman Hospitality Properties, Inc.		15,260		2.57	%		(33,577	)
CareTrust REIT, Inc.		44,990		2.28	%		(34,292	)
Empire State Realty Trust, Inc. — Class A		106,333		2.59	%		(41,910	)
Total Financial							3,404,507
Consumer, Cyclical
Marriott Vacations Worldwide Corp.		4,413		1.67	%		(20,957	)
Hilton Grand Vacations, Inc.		22,731		1.85	%		(59,311	)
Total Consumer, Cyclical							(80,268	)
Total GS Equity Long Custom Basket						$	3,324,239
GS EQUITY SHORT CUSTOM BASKET
Financial
Essential Properties Realty Trust, Inc.		64,665		(3.25	)%	$	44,581
Easterly Government Properties, Inc.		34,371		(1.57	)%		38,230
Equity Commonwealth		34,471		(2.11	)%		25,121
Federal Realty Investment Trust		14,533		(3.25	)%		19,991
Office Properties Income Trust		15,626		(0.95	)%		19,273
Cousins Properties, Inc.		25,053		(1.95	)%		16,411
Apple Hospitality REIT, Inc.		73,437		(2.36	)%		11,906
RLJ Lodging Trust		65,338		(2.23	)%		10,822
Healthcare Trust of America, Inc. — Class A		36,937		(2.24	)%		6,996
Sunstone Hotel Investors, Inc.		81,282		(2.23	)%		6,218
Corporate Office Properties Trust		41,806		(2.42	)%		2,649
Physicians Realty Trust		18,983		(0.74	)%		2,613
Apartment Income REIT Corp.		123		(0.01	)%		52
LTC Properties, Inc.		35,372		(3.25	)%		(2,967	)
American Finance Trust, Inc.		30,700		(0.66	)%		(5,094	)
Healthcare Realty Trust, Inc.		32,442		(2.17	)%		(13,893	)
Industrial Logistics Properties Trust		24,807		(1.26	)%		(21,815	)
SITE Centers Corp.		50,251		(1.50	)%		(31,111	)
Digital Realty Trust, Inc.		7,581		(2.35	)%		(38,955	)
STAG Industrial, Inc.		32,406		(2.40	)%		(44,751	)
Independence Realty Trust, Inc.		57,849		(1.94	)%		(61,648	)
PS Business Parks, Inc.		4,268		(1.45	)%		(64,345	)
Retail Opportunity Investments Corp.		92,029		(3.22	)%		(85,567	)
Life Storage, Inc.		17,054		(3.23	)%		(97,809	)
VEREIT, Inc.		38,903		(3.31	)%		(98,521	)
National Health Investors, Inc.		20,557		(3.27	)%		(100,736	)
Washington Real Estate Investment Trust		54,901		(2.67	)%		(107,335	)
American Homes 4 Rent — Class A		39,276		(2.88	)%		(114,755	)
SL Green Realty Corp.		30,495		(4.70	)%		(149,516	)
CubeSmart		50,997		(4.25	)%		(167,903	)
Mid-America Apartment Communities, Inc.		14,988		(4.76	)%		(173,482	)
STORE Capital Corp.		62,254		(4.59	)%		(216,465	)
Monmouth Real Estate Investment Corp.		116,235		(4.53	)%		(261,982	)
Retail Properties of America, Inc. — Class A		136,355		(3.12	)%		(477,847	)
Total Financial							(2,131,634	)
Consumer, Cyclical
Hyatt Hotels Corp. — Class A		18,319		(3.34	)%		(135,169	)
Exchange-Traded Funds
Vanguard Real Estate ETF		48,630		(9.84	)%		(40,133	)
Total GS Equity Short Custom Basket						$	(2,306,936	)
GS EQUITY LONG CUSTOM BASKET
Financial
Prologis, Inc.		10,340		7.91	%	$	64,680
Public Storage		2,206		3.93	%		22,901
Digital Realty Trust, Inc.		2,941		2.99	%		20,326
Simon Property Group, Inc.		4,493		3.69	%		18,435
Equity Residential		7,060		3.65	%		16,942
Extra Space Storage, Inc.		2,268		2.17	%		16,788
Invitation Homes, Inc.		12,464		2.88	%		16,077
Americold Realty Trust		4,773		1.33	%		11,333
Healthpeak Properties, Inc.		11,978		2.74	%		11,086
Equinix, Inc.		1,349		6.62	%		10,879
Iron Mountain, Inc.		3,614		0.97	%		9,015
VICI Properties, Inc.		7,361		1.50	%		8,968
Weingarten Realty Investors		4,773		0.93	%		8,782
AvalonBay Communities, Inc.		2,498		3.33	%		8,701
Realty Income Corp.		5,040		2.31	%		8,683
UDR, Inc.		4,367		1.38	%		7,832
Mid-America Apartment Communities, Inc.		857		0.89	%		6,421
Regency Centers Corp.		3,919		1.60	%		6,148
Duke Realty Corp.		3,786		1.15	%		5,919

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Rexford Industrial Realty, Inc.		3,030		1.10	%	$	5,705
Pebblebrook Hotel Trust		4,533		0.79	%		5,677
National Retail Properties, Inc.		4,091		1.30	%		4,819
Equity LifeStyle Properties, Inc.		2,452		1.13	%		4,805
American Homes 4 Rent — Class A		3,817		0.92	%		4,727
Welltower, Inc.		7,220		3.73	%		4,249
CyrusOne, Inc.		3,129		1.53	%		3,254
WP Carey, Inc.		1,463		0.75	%		3,120
Highwoods Properties, Inc.		1,957		0.61	%		2,836
CubeSmart		1,967		0.54	%		2,439
Camden Property Trust		371		0.29	%		2,244
SITE Centers Corp.		4,853		0.48	%		2,203
Terreno Realty Corp.		2,557		1.07	%		2,169
Agree Realty Corp.		2,517		1.22	%		1,943
Kimco Realty Corp.		5,938		0.80	%		1,859
Apartment Income REIT Corp.		1,334		0.41	%		1,834
Sun Communities, Inc.		1,742		1.89	%		1,628
Life Storage, Inc.		710		0.44	%		1,253
Essex Property Trust, Inc.		919		1.80	%		1,231
Host Hotels & Resorts, Inc.		3,270		0.40	%		1,042
DiamondRock Hospitality Co.		10,669		0.79	%		1,033
Colony Capital, Inc.		21,912		1.03	%		888
Alexandria Real Estate Equities, Inc.		2,391		2.84	%		752
Kilroy Realty Corp.		1,647		0.78	%		407
Hudson Pacific Properties, Inc.		4,349		0.85	%		222
Omega Healthcare Investors, Inc.		2,658		0.70	%		112
Innovative Industrial Properties, Inc.		697		0.91	%		103
MGM Growth Properties LLC — Class A		4,420		1.04	%		(35	)
Xenia Hotels & Resorts, Inc.		8,517		1.20	%		(585	)
QTS Realty Trust, Inc. — Class A		1,930		0.86	%		(693	)
Brixmor Property Group, Inc.		8,222		1.20	%		(840	)
EPR Properties		593		0.20	%		(855	)
Urban Edge Properties		3,682		0.44	%		(1,095	)
Gaming and Leisure Properties, Inc.		6,248		1.91	%		(1,236	)
JBG SMITH Properties		1,727		0.40	%		(1,720	)
Medical Properties Trust, Inc.		7,592		1.17	%		(1,920	)
Empire State Realty Trust, Inc. — Class A		6,872		0.55	%		(1,935	)
Safehold, Inc.		1,420		0.72	%		(2,640	)
Ryman Hospitality Properties, Inc.		1,616		0.90	%		(3,552	)
CareTrust REIT, Inc.		7,235		1.22	%		(4,294	)
Ventas, Inc.		7,601		2.93	%		(4,559	)
Boston Properties, Inc.		2,812		2.06	%		(5,915	)
SL Green Realty Corp.		1,670		0.85	%		(6,531	)
Total Financial							304,065
Consumer, Cyclical
Hilton Grand Vacations, Inc.		2,858		0.77	%		(4,062	)
Marriott Vacations Worldwide Corp.		408		0.51	%		(4,852	)
Total Consumer, Cyclical							(8,914	)
Total GS Equity Long Custom Basket						$	295,151

*	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, 2021.
2	All or a portion of this security is pledged as custom basket swap collateral at March 31, 2021.
3	Rate indicated is the 7-day yield as of March 31, 2021.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
RISK MANAGED REAL ESTATE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	387,598,197	$	—	$	—	$	387,598,197
Money Market Fund		30,052,050		—		—		30,052,050
Equity Custom Basket Swap Agreements**		—		7,250,075		—		7,250,075
Total Assets	$	417,650,247	$	7,250,075	$	—	$	424,900,322

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks Sold Short	$	7,652,293	$	—	$	—	$	7,652,293
Exchange-Traded Funds Sold Short		726,888		—		—		726,888
Equity Custom Basket Swap Agreements**		—		4,618,322		—		4,618,322
Total Liabilities	$	8,379,181	$	4,618,322	$	—	$	12,997,503

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $373,091,959)	$	417,650,247
Cash		5,311,245
Unrealized appreciation on OTC swap agreements		7,250,075
Prepaid expenses		64,024
Receivables:
Securities sold		10,686,954
Dividends		1,283,487
Fund shares sold		330,625
Swap settlement		269,209
Interest		157
Other assets		25,208
Total assets		442,871,231
Liabilities:
Securities sold short, at value (proceeds $7,901,820)		8,379,181
Segregated cash due to broker		1,478,030
Unrealized depreciation on OTC swap agreements		4,618,322
Payable for:
Securities purchased		12,312,068
Fund shares redeemed		651,133
Management fees		245,381
Distributions to shareholders		199,600
Fund accounting/administration fees		26,064
Transfer agent/maintenance fees		8,295
Distribution and service fees		7,077
Trustees’ fees*		1,245
Due to Investment Adviser		686
Miscellaneous		33,763
Total liabilities		27,960,845
Net assets	$	414,910,386
Net assets consist of:
Paid in capital	$	367,271,996
Total distributable earnings (loss)		47,638,390
Net assets	$	414,910,386
A-Class:
Net assets	$	6,995,405
Capital shares outstanding		211,814
Net asset value per share	$	33.03
Maximum offering price per share (Net asset value divided by 95.25%)	$	34.68
C-Class:
Net assets	$	3,105,631
Capital shares outstanding		94,794
Net asset value per share	$	32.76
P-Class:
Net assets	$	14,043,241
Capital shares outstanding		423,146
Net asset value per share	$	33.19
Institutional Class:
Net assets	$	390,766,109
Capital shares outstanding		11,680,262
Net asset value per share	$	33.46

* 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 | 59

RISK MANAGED REAL ESTATE FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	4,484,327
Interest		670
Total investment income		4,484,997
Expenses:
Management fees		1,343,402
Distribution and service fees:
A-Class		13,686
C-Class		14,152
P-Class		16,154
Transfer agent/maintenance fees:
A-Class		4,077
C-Class		1,649
P-Class		6,506
Institutional Class		96,405
Short sales dividend expense		150,846
Fund accounting/administration fees		125,378
Professional fees		32,917
Trustees’ fees*		12,305
Custodian fees		11,587
Line of credit fees		6,083
Interest expense		865
Miscellaneous		75,936
Recoupment of previously waived fees:
A-Class		632
C-Class		663
P-Class		4,137
Institutional Class		11,818
Total expenses		1,929,198
Less:
Expenses reimbursed by Adviser:
A-Class		(638	)
C-Class		(292	)
P-Class		(1,361	)
Institutional Class		(8,816	)
Expenses waived by Adviser		(3,885	)
Earnings credits applied		(22	)
Total waived/reimbursed expenses		(15,014	)
Net expenses		1,914,184
Net investment income		2,570,813
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	22,669,686
Investments sold short		(1,697,945	)
Swap agreements		135,818
Net realized gain		21,107,559
Net change in unrealized appreciation (depreciation) on:
Investments		35,894,036
Investments sold short		(299,234	)
Swap agreements		413,080
Net change in unrealized appreciation (depreciation)		36,007,882
Net realized and unrealized gain		57,115,441
Net increase in net assets resulting from operations	$	59,686,254

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,570,813		$	3,220,961
Net realized gain on investments		21,107,559			12,964,702
Net change in unrealized appreciation (depreciation) on investments		36,007,882			(28,257,366	)
Net increase (decrease) in net assets resulting from operations		59,686,254			(12,071,703	)
Distributions to shareholders:
A-Class		(873,217	)		(957,148	)
C-Class		(178,952	)		(113,526	)
P-Class		(780,953	)		(877,436	)
Institutional Class		(20,556,936	)		(12,530,172	)
Total distributions to shareholders		(22,390,058	)		(14,478,282	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,452,243			5,640,634
C-Class		708,778			2,155,146
P-Class		4,396,006			11,549,513
Institutional Class		108,930,724			154,929,010
Distributions reinvested
A-Class		858,530			944,537
C-Class		167,316			104,891
P-Class		780,953			877,436
Institutional Class		16,807,077			10,433,798
Cost of shares redeemed
A-Class		(12,791,941	)		(5,310,772	)
C-Class		(486,096	)		(1,173,851	)
P-Class		(4,633,517	)		(31,799,723	)
Institutional Class		(60,582,621	)		(53,391,937	)
Net increase from capital share transactions		56,607,452			94,958,682
Net increase in net assets		93,903,648			68,408,697
Net assets:
Beginning of period		321,006,738			252,598,041
End of period	$	414,910,386		$	321,006,738
Capital share activity:
Shares sold
A-Class		77,808			181,753
C-Class		22,793			67,526
P-Class		140,090			354,802
Institutional Class		3,473,478			5,166,648
Shares issued from reinvestment of distributions
A-Class		28,206			29,970
C-Class		5,535			3,334
P-Class		25,434			27,630
Institutional Class		542,338			329,330
Shares redeemed
A-Class		(423,267	)		(171,692	)
C-Class		(15,747	)		(39,458	)
P-Class		(145,828	)		(967,278	)
Institutional Class		(1,910,663	)		(1,724,186	)
Net increase in shares		1,820,177			3,258,379

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.97		$	34.11		$	28.93		$	29.70		$	28.87		$	29.77
Income (loss) from investment operations:
Net investment income (loss)b		.17			.31			.34			.41			.03			.19
Net gain (loss) on investments (realized and unrealized)		4.94			(2.53	)		5.65			.38			2.08			3.84
Total from investment operations		5.11			(2.22	)		5.99			.79			2.11			4.03
Less distributions from:
Net investment income		(.31	)		(.63	)		(.55	)		(.52	)		(.57	)		(1.12	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)		(3.81	)
Total distributions		(2.05	)		(1.92	)		(.81	)		(1.56	)		(1.28	)		(4.93	)
Net asset value, end of period	$	33.03		$	29.97		$	34.11		$	28.93		$	29.70		$	28.87
Total Returnc		17.64	%		(6.73	%)		21.12	%		2.70	%		7.54	%		14.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,995		$	15,857		$	16,682		$	13,772		$	2,196		$	743
Ratios to average net assets:
Net investment income (loss)		1.11	%		0.99	%		1.09	%		1.42	%		0.09	%		0.66	%
Total expensesd		1.32	%		1.71	%		1.89	%		1.78	%		1.45	%		1.93	%
Net expensese,f,g		1.31	%		1.70	%		1.88	%		1.76	%		1.33	%		1.78	%
Portfolio turnover rate		59	%		180	%		122	%		107	%		85	%		133	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.76		$	33.88		$	28.75		$	29.54		$	28.77		$	29.56
Income (loss) from investment operations:
Net investment income (loss)b		.06			.08			.11			.15			(.19	)		.02
Net gain (loss) on investments (realized and unrealized)		4.87			(2.53	)		5.60			.42			2.06			3.77
Total from investment operations		4.93			(2.45	)		5.71			.57			1.87			3.79
Less distributions from:
Net investment income		(.19	)		(.38	)		(.32	)		(.32	)		(.39	)		(.77	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)		(3.81	)
Total distributions		(1.93	)		(1.67	)		(.58	)		(1.36	)		(1.10	)		(4.58	)
Net asset value, end of period	$	32.76		$	29.76		$	33.88		$	28.75		$	29.54		$	28.77
Total Returnc		17.17	%		(7.48	%)		20.23	%		1.93	%		6.71	%		14.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,106		$	2,446		$	1,721		$	867		$	725		$	518
Ratios to average net assets:
Net investment income (loss)		0.42	%		0.26	%		0.35	%		0.53	%		(0.66	%)		0.08	%
Total expensesd		2.15	%		2.54	%		2.73	%		2.71	%		2.27	%		3.32	%
Net expensese,f,g		2.12	%		2.51	%		2.65	%		2.53	%		2.08	%		2.53	%
Portfolio turnover rate		59	%		180	%		122	%		107	%		85	%		133	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	30.12		$	34.30		$	29.09		$	29.85		$	29.01		$	29.77
Income (loss) from investment operations:
Net investment income (loss)b		.17			.22			.60			.37			.13			.16
Net gain (loss) on investments (realized and unrealized)		4.95			(2.48	)		5.42			.43			1.98			3.88
Total from investment operations		5.12			(2.26	)		6.02			.80			2.11			4.04
Less distributions from:
Net investment income		(.31	)		(.63	)		(.55	)		(.52	)		(.56	)		(.99	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)		(3.81	)
Total distributions		(2.05	)		(1.92	)		(.81	)		(1.56	)		(1.27	)		(4.80	)
Net asset value, end of period	$	33.19		$	30.12		$	34.30		$	29.09		$	29.85		$	29.01
Total Return		17.60	%		(6.81	%)		21.12	%		2.68	%		7.53	%		14.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,043		$	12,152		$	33,894		$	4,217		$	2,564		$	82
Ratios to average net assets:
Net investment income (loss)		1.08	%		0.70	%		1.87	%		1.29	%		0.42	%		0.56	%
Total expensesd		1.40	%		1.84	%		1.93	%		1.88	%		1.51	%		1.88	%
Net expensese,f,g		1.37	%		1.78	%		1.89	%		1.78	%		1.30	%		1.78	%
Portfolio turnover rate		59	%		180	%		122	%		107	%		85	%		133	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	30.34		$	34.51		$	29.27		$	30.04		$	29.18		$	29.90
Income (loss) from investment operations:
Net investment income (loss)b		.23			.41			.43			.46			.11			.26
Net gain (loss) on investments (realized and unrealized)		5.00			(2.58	)		5.71			.43			2.10			3.89
Total from investment operations		5.23			(2.17	)		6.14			.89			2.21			4.15
Less distributions from:
Net investment income		(.37	)		(.71	)		(.64	)		(.62	)		(.64	)		(1.06	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)		(3.81	)
Total distributions		(2.11	)		(2.00	)		(.90	)		(1.66	)		(1.35	)		(4.87	)
Net asset value, end of period	$	33.46		$	30.34		$	34.51		$	29.27		$	30.04		$	29.18
Total Return		17.81	%		(6.48	%)		21.46	%		2.98	%		7.87	%		15.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	390,766		$	290,551		$	200,301		$	154,245		$	123,037		$	111,823
Ratios to average net assets:
Net investment income (loss)		1.47	%		1.31	%		1.38	%		1.56	%		0.38	%		0.91	%
Total expensesd		1.05	%		1.43	%		1.61	%		1.51	%		1.02	%		1.50	%
Net expensese,f,g		1.04	%		1.43	%		1.60	%		1.50	%		1.01	%		1.50	%
Portfolio turnover rate		59	%		180	%		122	%		107	%		85	%		133	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.01%	0.02%	0.03%	0.03%	0.02%
C-Class	0.05%	0.04%	0.01%	0.01%	0.00%*
P-Class	0.06%	0.02%	0.02%	0.01%	0.00%*
Institutional Class	0.01%	0.01%	0.01%	0.02%	—

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.22%	1.23%	1.27%	1.29%	1.30%	1.29%
C-Class	2.03%	2.05%	2.05%	2.05%	2.04%	2.03%
P-Class	1.29%	1.30%	1.30%	1.30%	1.29%	1.28%
Institutional Class	0.95%	0.96%	1.00%	1.03%	0.97%	1.00%

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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)
Pioneer Natural Resources Co.	2.4%
Pinnacle Financial Partners, Inc.	2.2%
iShares Russell 2000 Value ETF	2.2%
Range Resources Corp.	1.9%
First Horizon Corp.	1.9%
Synovus Financial Corp.	1.9%
Evolent Health, Inc. — Class A	1.7%
MDU Resources Group, Inc.	1.6%
Abercrombie & Fitch Co. — Class A	1.5%
Encompass Health Corp.	1.5%
Top Ten Total	18.8%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	50.91%	78.10%	9.82%	7.69%
A-Class Shares with sales charge‡	43.73%	69.61%	8.76%	7.16%
C-Class Shares	50.36%	76.82%	8.98%	6.88%
C-Class Shares with CDSC§	49.36%	75.82%	8.98%	6.88%
Institutional Class Shares	51.04%	78.55%	10.09%	7.95%
Russell 2000 Value Index	61.59%	97.05%	13.56%	10.06%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	50.89%	78.05%	9.82%	7.46%
Russell 2000 Value Index	61.59%	97.05%	13.56%	10.18%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 94.3%
Financial - 29.8%
Pinnacle Financial Partners, Inc.		1,877	$	166,415
First Horizon Corp.		8,381		141,723
Synovus Financial Corp.		3,046		139,354
Physicians Realty Trust REIT		6,281		110,985
Investors Bancorp, Inc.		7,289		107,075
CNO Financial Group, Inc.		4,045		98,253
Hilltop Holdings, Inc.		2,806		95,769
Lexington Realty Trust REIT		8,172		90,791
Axis Capital Holdings Ltd.		1,793		88,879
Cathay General Bancorp		2,146		87,514
Simmons First National Corp. — Class A		2,938		87,170
BOK Financial Corp.		958		85,568
Radian Group, Inc.		3,075		71,494
Hanmi Financial Corp.		3,541		69,864
MGIC Investment Corp.		4,838		67,006
Heritage Insurance Holdings, Inc.		5,840		64,707
Stifel Financial Corp.		984		63,035
Hancock Whitney Corp.		1,406		59,066
Flagstar Bancorp, Inc.		1,277		57,593
Zions Bancorp North America		1,019		56,004
Independent Bank Group, Inc.		658		47,534
Kennedy-Wilson Holdings, Inc.		2,301		46,503
Berkshire Hills Bancorp, Inc.		2,052		45,801
Apple Hospitality REIT, Inc.		2,954		43,040
Sunstone Hotel Investors, Inc. REIT*		3,446		42,937
Park Hotels & Resorts, Inc. REIT*		1,923		41,499
Piedmont Office Realty Trust, Inc. — Class A REIT		2,297		39,899
Heartland Financial USA, Inc.		764		38,399
Old Republic International Corp.		1,688		36,866
RMR Group, Inc. — Class A		797		32,526
UMB Financial Corp.		182		16,804
Total Financial				2,240,073
Industrial - 18.6%
MDU Resources Group, Inc.		3,802		120,181
Knight-Swift Transportation Holdings, Inc.		2,136		102,720
Owens Corning		1,036		95,405
Sanmina Corp.*		2,233		92,402
GATX Corp.		917		85,043
Graphic Packaging Holding Co.		4,476		81,284
PGT Innovations, Inc.*		3,162		79,841
Plexus Corp.*		862		79,166
Valmont Industries, Inc.		316		75,104
Rexnord Corp.		1,594		75,061
Altra Industrial Motion Corp.		1,281		70,865
Colfax Corp.*		1,552		67,993
EnerSys		695		63,106
Curtiss-Wright Corp.		394		46,728
Kirby Corp.*		748		45,090
Kennametal, Inc.		1,077		43,048
Terex Corp.		905		41,693
Energizer Holdings, Inc.		751		35,642
Encore Wire Corp.		431		28,933
Park Aerospace Corp.		2,051		27,114
Schneider National, Inc. — Class B		1,006		25,120
Howmet Aerospace, Inc.*		627		20,146
Total Industrial				1,401,685
Consumer, Cyclical - 11.5%
Abercrombie & Fitch Co. — Class A*		3,302		113,292
Alaska Air Group, Inc.*		1,224		84,713
Hawaiian Holdings, Inc.*		3,153		84,090
MSC Industrial Direct Company, Inc. — Class A		834		75,218
Penske Automotive Group, Inc.		717		57,532
Meritage Homes Corp.*		592		54,417
Dick’s Sporting Goods, Inc.		567		43,177
Wabash National Corp.		2,262		42,526
Urban Outfitters, Inc.*		1,130		42,025
Methode Electronics, Inc.		975		40,931
Big Lots, Inc.		590		40,297
Dana, Inc.		1,551		37,736
Avient Corp.		797		37,674
International Game Technology plc*		2,275		36,514
Movado Group, Inc.		1,265		35,989
Lakeland Industries, Inc.*		667		18,582
Tenneco, Inc. — Class A*		1,556		16,680
Total Consumer, Cyclical				861,393
Consumer, Non-cyclical - 7.6%
Encompass Health Corp.		1,366		111,875
Central Garden & Pet Co. — Class A*		1,632		84,685
Sabre Corp.*		5,711		84,580
Ingredion, Inc.		834		74,993
Emergent BioSolutions, Inc.*		699		64,944
US Foods Holding Corp.*		1,618		61,678
Integer Holdings Corp.*		637		58,668
Perdoceo Education Corp.*		2,215		26,491
Total Consumer, Non-cyclical				567,914
Energy - 6.6%
Pioneer Natural Resources Co.		1,159		184,073
Range Resources Corp.*		13,806		142,616
Patterson-UTI Energy, Inc.		11,049		78,779
CNX Resources Corp.*		5,066		74,470
Oil States International, Inc.*		3,362		20,273
Total Energy				500,211
Basic Materials - 6.5%
Huntsman Corp.		3,448		99,406
Ashland Global Holdings, Inc.		1,048		93,031
Commercial Metals Co.		2,201		67,879
Reliance Steel & Aluminum Co.		412		62,743
Olin Corp.		1,349		51,221
Element Solutions, Inc.		2,441		44,646
Kraton Corp.*		1,088		39,810
Verso Corp. — Class A		2,106		30,727
Total Basic Materials				489,463

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
SMALL CAP VALUE FUND

	Shares		Value
Technology - 4.9%
Evolent Health, Inc. — Class A*		6,240	$	126,048
Conduent, Inc.*		10,862		72,341
Parsons Corp.*		1,503		60,781
Axcelis Technologies, Inc.*		1,202		49,390
Science Applications International Corp.		493		41,210
DXC Technology Co.*		606		18,944
Total Technology				368,714
Utilities - 4.4%
Black Hills Corp.		1,334		89,071
Avista Corp.		1,751		83,610
Southwest Gas Holdings, Inc.		856		58,816
Spire, Inc.		714		52,757
ALLETE, Inc.		710		47,705
Total Utilities				331,959
Communications - 4.4%
Infinera Corp.*		9,868		95,029
Viavi Solutions, Inc.*		5,482		86,067
Gray Television, Inc.		2,644		48,650
Ciena Corp.*		701		38,359
Tribune Publishing Co.*		1,946		35,009
Entercom Communications Corp. — Class A*		5,002		26,260
Total Communications				329,374
Total Common Stocks
(Cost $5,410,687)				7,090,786
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,1		6,250		9
Total Convertible Preferred Stocks
(Cost $5,968)				9
RIGHTS† - 0.2%
Basic Materials - 0.2%
Pan American Silver Corp.*		17,705		15,403
Total Rights
(Cost $—)				15,403
EXCHANGE-TRADED FUNDS† - 2.2%
iShares Russell 2000 Value ETF		1,026		163,616
Total Exchange-Traded Funds
(Cost $111,453)				163,616
MONEY MARKET FUND† - 2.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		194,447		194,447
Total Money Market Fund
(Cost $194,447)				194,447
Total Investments - 99.3%
(Cost $5,722,555)			$	7,464,261
Other Assets & Liabilities, net - 0.7%				52,432
Total Net Assets - 100.0%			$	7,516,693

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	7,090,786	$	—	$	—	$	7,090,786
Convertible Preferred Stocks		—		—		9		9
Rights		15,403		—		—		15,403
Exchange-Traded Funds		163,616		—		—		163,616
Money Market Fund		194,447		—		—		194,447
Total Assets	$	7,464,252	$	—	$	9	$	7,464,261

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $5,722,555)	$	7,464,261
Prepaid expenses		28,393
Receivables:
Securities sold		61,317
Dividends		11,283
Investment Adviser		10,183
Fund shares sold		88
Total assets		7,575,525
Liabilities:
Payable for:
Securities purchased		19,274
Professional fees		11,883
Printing fees		10,819
Fund shares redeemed		5,159
Fund accounting/administration fees		4,727
Transfer agent/maintenance fees		2,830
Distribution and service fees		1,777
Trustees’ fees*		434
Miscellaneous		1,929
Total liabilities		58,832
Net assets	$	7,516,693
Net assets consist of:
Paid in capital	$	6,495,787
Total distributable earnings (loss)		1,020,906
Net assets	$	7,516,693
A-Class:
Net assets	$	4,996,110
Capital shares outstanding		314,815
Net asset value per share	$	15.87
Maximum offering price per share (Net asset value divided by 95.25%)	$	16.66
C-Class:
Net assets	$	781,251
Capital shares outstanding		53,608
Net asset value per share	$	14.57
P-Class:
Net assets	$	46,437
Capital shares outstanding		2,903
Net asset value per share	$	16.00
Institutional Class:
Net assets	$	1,692,895
Capital shares outstanding		118,677
Net asset value per share	$	14.26

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	63,827
Interest		9
Total investment income		63,836
Expenses:
Management fees		24,089
Distribution and service fees:
A-Class		5,238
C-Class		4,455
P-Class		43
Transfer agent/maintenance fees:
A-Class		9,325
C-Class		2,641
P-Class		141
Institutional Class		2,823
Registration fees		43,150
Professional fees		17,508
Fund accounting/administration fees		16,953
Trustees’ fees*		9,091
Custodian fees		2,359
Line of credit fees		80
Miscellaneous		5,005
Total expenses		142,901
Less:
Expenses reimbursed by Adviser:
A Class		(48,765	)
C Class		(11,205	)
P Class		(459	)
Institutional Class		(14,910	)
Expenses waived by Adviser		(24,083	)
Total waived/reimbursed expenses		(99,422	)
Net expenses		43,479
Net investment income		20,357
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		211,332
Net realized gain		211,332
Net change in unrealized appreciation (depreciation) on:
Investments		2,339,736
Net change in unrealized appreciation (depreciation)		2,339,736
Net realized and unrealized gain		2,551,068
Net increase in net assets resulting from operations	$	2,571,425

* 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 | 69

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	20,357		$	47,572
Net realized gain (loss) on investments		211,332			(714,273	)
Net change in unrealized appreciation (depreciation) on investments		2,339,736			(649,963	)
Net increase (decrease) in net assets resulting from operations		2,571,425			(1,316,664	)
Distributions to shareholders:
A-Class		(36,090	)		(326,187	)
C-Class		—			(40,256	)
P-Class		(472	)		(1,606	)
Institutional Class		(13,445	)		(136,363	)
Total distributions to shareholders		(50,007	)		(504,412	)
Capital share transactions:
Proceeds from sale of shares
A-Class		453,356			860,701
C-Class		67,783			239,864
P-Class		7,223			58,142
Institutional Class		392,161			1,275,902
Distributions reinvested
A-Class		35,259			322,155
C-Class		—			39,690
P-Class		472			1,606
Institutional Class		13,445			136,363
Cost of shares redeemed
A-Class		(516,951	)		(6,879,457	)
C-Class		(421,264	)		(853,611	)
P-Class		(387	)		(88,984	)
Institutional Class		(109,125	)		(2,752,189	)
Net decrease from capital share transactions		(78,028	)		(7,639,818	)
Net increase (decrease) in net assets		2,443,390			(9,460,894	)
Net assets:
Beginning of period		5,073,303			14,534,197
End of period	$	7,516,693		$	5,073,303
Capital share activity:
Shares sold
A-Class		30,655			78,870
C-Class		5,698			22,403
P-Class		464			6,309
Institutional Class		32,508			127,977
Shares issued from reinvestment of distributions
A-Class		2,669			23,970
C-Class		—			3,214
P-Class		35			118
Institutional Class		1,133			11,307
Shares redeemed
A-Class		(38,034	)		(541,851	)
C-Class		(31,003	)		(82,317	)
P-Class		(29	)		(7,591	)
Institutional Class		(8,451	)		(316,698	)
Net decrease in shares		(4,355	)		(674,289	)

70 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	10.61		$	12.86		$	15.56		$	15.74		$	13.61		$	12.78
Income (loss) from investment operations:
Net investment income (loss)b		.05			.06			.10			.04			.02			.01
Net gain (loss) on investments (realized and unrealized)		5.33			(1.87	)		(1.28	)		.91			2.20			1.81
Total from investment operations		5.38			(1.81	)		(1.18	)		.95			2.22			1.82
Less distributions from:
Net investment income		(.12	)		(.18	)		(.19	)		(.15	)		(.09	)		—
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—			(.99	)
Total distributions		(.12	)		(.44	)		(1.52	)		(1.13	)		(.09	)		(.99	)
Net asset value, end of period	$	15.87		$	10.61		$	12.86		$	15.56		$	15.74		$	13.61
Total Returnc		50.91	%		(14.79	%)		(6.14	%)		6.32	%		16.41	%		14.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,996		$	3,390		$	9,751		$	11,931		$	11,943		$	13,283
Ratios to average net assets:
Net investment income (loss)		0.68	%		0.54	%		0.75	%		0.29	%		0.15	%		0.12	%
Total expensesd		4.38	%		3.23	%		2.27	%		2.09	%		1.87	%		2.29	%
Net expensese,f,g		1.30	%		1.30	%		1.30	%		1.30	%		1.32	%		1.32	%
Portfolio turnover rate		12	%		40	%		78	%		18	%		48	%		64	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	9.69		$	11.75		$	14.30		$	14.51		$	12.57		$	11.95
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.02	)		—	h		(.07	)		(.08	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		4.89			(1.73	)		(1.18	)		.84			2.02			1.69
Total from investment operations		4.88			(1.75	)		(1.18	)		.77			1.94			1.61
Less distributions from:
Net investment income		—			(.05	)		(.04	)		—			—			—
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—			(.99	)
Total distributions		—			(.31	)		(1.37	)		(.98	)		—			(.99	)
Net asset value, end of period	$	14.57		$	9.69		$	11.75		$	14.30		$	14.51		$	12.57
Total Returnc		50.36	%		(15.43	%)		(6.89	%)		5.57	%		15.53	%		14.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	781		$	765		$	1,593		$	2,884		$	4,281		$	4,762
Ratios to average net assets:
Net investment income (loss)		(0.10	%)		(0.14	%)		0.01	%		(0.50	%)		(0.60	%)		(0.64	%)
Total expensesd		5.31	%		4.33	%		3.09	%		2.94	%		2.71	%		3.04	%
Net expensese,f,g		2.05	%		2.06	%		2.05	%		2.05	%		2.07	%		2.07	%
Portfolio turnover rate		12	%		40	%		78	%		18	%		48	%		64	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	10.75		$	13.01		$	15.73		$	15.76		$	13.60		$	12.77
Income (loss) from investment operations:
Net investment income (loss)b		.05			.05			.09			.05			.01			.02
Net gain (loss) on investments (realized and unrealized)		5.39			(1.86	)		(1.29	)		.90			2.22			1.80
Total from investment operations		5.44			(1.81	)		(1.20	)		.95			2.23			1.82
Less distributions from:
Net investment income		(.19	)		(.19	)		(.19	)		—			(.07	)		—
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—			(.99	)
Total distributions		(.19	)		(.45	)		(1.52	)		(.98	)		(.07	)		(.99	)
Net asset value, end of period	$	16.00		$	10.75		$	13.01		$	15.73		$	15.76		$	13.60
Total Return		50.89	%		(14.66	%)		(6.18	%)		6.30	%		16.35	%		14.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	46		$	26		$	47		$	15		$	14		$	11
Ratios to average net assets:
Net investment income (loss)		0.70	%		0.46	%		0.72	%		0.30	%		0.09	%		0.13	%
Total expensesd		4.75	%		4.07	%		2.73	%		2.79	%		3.60	%		2.50	%
Net expensese,f,g		1.30	%		1.30	%		1.28	%		1.30	%		1.32	%		1.32	%
Portfolio turnover rate		12	%		40	%		78	%		18	%		48	%		64	%

72 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	9.54		$	11.60		$	14.24		$	14.50		$	12.54		$	11.82
Income (loss) from investment operations:
Net investment income (loss)b		.06			.09			.12			.07			.04			.04
Net gain (loss) on investments (realized and unrealized)		4.78			(1.68	)		(1.20	)		.84			2.04			1.67
Total from investment operations		4.84			(1.59	)		(1.08	)		.91			2.08			1.71
Less distributions from:
Net investment income		(.12	)		(.21	)		(.23	)		(.19	)		(.12	)		—
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—			(.99	)
Total distributions		(.12	)		(.47	)		(1.56	)		(1.17	)		(.12	)		(.99	)
Net asset value, end of period	$	14.26		$	9.54		$	11.60		$	14.24		$	14.50		$	12.54
Total Return		51.04	%		(14.54	%)		(5.96	%)		6.64	%		16.65	%		15.18	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,693		$	892		$	3,143		$	3,798		$	4,790		$	281
Ratios to average net assets:
Net investment income (loss)		0.97	%		0.82	%		0.99	%		0.50	%		0.30	%		0.30	%
Total expensesd		4.08	%		2.86	%		2.09	%		1.91	%		1.56	%		2.09	%
Net expensese,f,g		1.05	%		1.05	%		1.05	%		1.05	%		1.07	%		1.07	%
Portfolio turnover rate		12	%		40	%		78	%		18	%		48	%		64	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	—	—	0.00%*
C-Class	—	—	—	—	0.01%
P-Class	—	—	—	—	0.74%
Institutional Class	—	—	—	—	0.00%*

* Less than 0.01%.

^g Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.30%	1.30%	1.30%	1.30%	1.30%	1.30%
C-Class	2.05%	2.05%	2.05%	2.05%	2.05%	2.05%
P-Class	1.30%	1.30%	1.28%	1.30%	1.30%	1.30%
Institutional Class	1.05%	1.05%	1.05%	1.05%	1.05%	1.05%

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

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

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 II	29.5%
Guggenheim Ultra Short Duration Fund — Institutional Class	24.9%
Guggenheim Strategy Fund III	23.9%
Apple, Inc.	0.9%
Microsoft Corp.	0.8%
Amazon.com, Inc.	0.6%
Alphabet, Inc. — Class C	0.5%
Facebook, Inc. — Class A	0.4%
Johnson & Johnson	0.3%
Verizon Communications, Inc.	0.3%
Top Ten Total	82.1%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	19.60%	60.56%	15.59%	12.06%
A-Class Shares with sales charge‡	13.91%	52.97%	14.48%	11.52%
C-Class Shares	19.05%	59.17%	14.56%	11.04%
C-Class Shares with CDSC§	18.05%	58.17%	14.56%	11.04%
S&P 500 Index	19.07%	56.35%	16.29%	13.91%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	19.58%	60.35%	15.45%	12.59%
S&P 500 Index	19.07%	56.35%	16.29%	13.55%

	6 Month†	1 Year	5 Year	Since Inception (03/01/12)
Institutional Class Shares	19.70%	60.85%	15.91%	13.69%
S&P 500 Index	19.07%	56.35%	16.29%	14.72%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 16.1%
Consumer, Non-cyclical - 5.2%
Johnson & Johnson		4,961	$	815,340
Merck & Company, Inc.		7,317		564,068
Amgen, Inc.		2,094		521,008
Bristol-Myers Squibb Co.		8,050		508,197
Pfizer, Inc.		12,740		461,570
AbbVie, Inc.		4,133		447,273
McKesson Corp.		2,149		419,141
Altria Group, Inc.		8,174		418,182
Humana, Inc.		965		404,576
Molson Coors Beverage Co. — Class B*		7,884		403,266
Gilead Sciences, Inc.		5,460		352,880
Procter & Gamble Co.		2,527		342,231
J M Smucker Co.		2,294		290,260
United Rentals, Inc.*		881		290,122
Philip Morris International, Inc.		3,239		287,429
CVS Health Corp.		3,609		271,505
Anthem, Inc.		740		265,623
Abbott Laboratories		2,155		258,255
Cigna Corp.		1,013		244,883
General Mills, Inc.		3,945		241,907
Medtronic plc		1,960		231,535
Regeneron Pharmaceuticals, Inc.*		484		229,000
Thermo Fisher Scientific, Inc.		500		228,190
UnitedHealth Group, Inc.		608		226,219
Kraft Heinz Co.		5,627		225,080
Becton Dickinson and Co.		921		223,941
Eli Lilly & Co.		1,181		220,634
Campbell Soup Co.		3,998		200,980
Quest Diagnostics, Inc.		1,480		189,943
Conagra Brands, Inc.		4,999		187,962
PayPal Holdings, Inc.*		760		184,558
Hologic, Inc.*		2,417		179,777
Laboratory Corporation of America Holdings*		700		178,521
Cardinal Health, Inc.		2,851		173,198
Quanta Services, Inc.		1,950		171,561
Tyson Foods, Inc. — Class A		2,283		169,627
DaVita, Inc.*		1,556		167,690
Kroger Co.		4,642		167,066
Perrigo Company plc		3,922		158,723
Coca-Cola Co.		2,935		154,704
HCA Healthcare, Inc.		779		146,717
Biogen, Inc.*		516		144,351
Vertex Pharmaceuticals, Inc.*		622		133,661
Centene Corp.*		2,072		132,422
Colgate-Palmolive Co.		1,472		116,038
FleetCor Technologies, Inc.*		409		109,870
Viatris, Inc.*		1		14
Total Consumer, Non-cyclical				12,459,698
Technology - 3.5%
Apple, Inc.		17,074		2,085,589
Microsoft Corp.		7,828		1,845,607
International Business Machines Corp.		3,963		528,109
Intel Corp.		7,519		481,216
Broadcom, Inc.		812		376,492
Oracle Corp.		4,168		292,469
Seagate Technology plc		3,805		292,034
HP, Inc.		7,881		250,222
Cerner Corp.		3,407		244,895
QUALCOMM, Inc.		1,746		231,502
Fiserv, Inc.*		1,917		228,200
Cognizant Technology Solutions Corp. — Class A		2,815		219,908
Accenture plc — Class A		784		216,580
NetApp, Inc.		2,771		201,368
Micron Technology, Inc.*		2,277		200,854
Hewlett Packard Enterprise Co.		10,882		171,283
Qorvo, Inc.*		896		163,699
KLA Corp.		403		133,151
NVIDIA Corp.		220		117,465
Adobe, Inc.*		241		114,564
Advanced Micro Devices, Inc.*		1,411		110,764
Total Technology				8,505,971
Communications - 2.8%
Amazon.com, Inc.*		449		1,389,242
Alphabet, Inc. — Class C*		596		1,232,903
Facebook, Inc. — Class A*		2,973		875,638
Verizon Communications, Inc.		11,195		650,989
Cisco Systems, Inc.		12,221		631,948
Comcast Corp. — Class A		6,269		339,216
AT&T, Inc.		10,231		309,692
Charter Communications, Inc. — Class A*		472		291,233
Juniper Networks, Inc.		11,001		278,655
Walt Disney Co.*		1,305		240,799
Motorola Solutions, Inc.		911		171,314
Omnicom Group, Inc.		1,836		136,139
eBay, Inc.		2,174		133,136
Total Communications				6,680,904
Industrial - 1.7%
General Dynamics Corp.		2,443		443,551
Lockheed Martin Corp.		1,043		385,389
3M Co.		1,878		361,853
CSX Corp.		3,419		329,660
Union Pacific Corp.		1,406		309,896
Parker-Hannifin Corp.		789		248,874
Northrop Grumman Corp.		738		238,846
TE Connectivity Ltd.		1,647		212,644
Caterpillar, Inc.		879		203,814
Deere & Co.		470		175,846
United Parcel Service, Inc. — Class B		1,009		171,520
Snap-on, Inc.		722		166,594
Masco Corp.		2,601		155,800
Textron, Inc.		2,737		153,491
Fortive Corp.		2,116		149,474
Norfolk Southern Corp.		542		145,538
Huntington Ingalls Industries, Inc.		699		143,889
Westinghouse Air Brake Technologies Corp.		1,673		132,435
Total Industrial				4,129,114

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
STYLEPLUS—LARGE CORE FUND

	Shares		Value
Financial - 1.5%
Berkshire Hathaway, Inc. — Class B*		2,066	$	527,801
MetLife, Inc.		6,580		399,998
Bank of America Corp.		9,391		363,338
JPMorgan Chase & Co.		2,289		348,455
Visa, Inc. — Class A		1,396		295,575
Travelers Companies, Inc.		1,389		208,905
Prudential Financial, Inc.		2,247		204,702
Allstate Corp.		1,753		201,420
Western Union Co.		6,783		167,269
Aflac, Inc.		2,971		152,056
Hartford Financial Services Group, Inc.		2,033		135,784
Mastercard, Inc. — Class A		372		132,450
Charles Schwab Corp.		1,732		112,892
Synchrony Financial		2,747		111,693
PNC Financial Services Group, Inc.		635		111,385
Total Financial				3,473,723
Consumer, Cyclical - 1.0%
Lowe’s Companies, Inc.		1,720		327,110
Tesla, Inc.*		459		306,580
AutoZone, Inc.*		196		275,243
Best Buy Company, Inc.		2,333		267,852
Walmart, Inc.		1,869		253,866
Cummins, Inc.		761		197,182
Lennar Corp. — Class A		1,777		179,886
Genuine Parts Co.		1,505		173,963
PulteGroup, Inc.		3,040		159,417
Whirlpool Corp.		555		122,294
LKQ Corp.*		2,580		109,212
General Motors Co.*		1,682		96,648
Total Consumer, Cyclical				2,469,253
Utilities - 0.3%
Evergy, Inc.		3,924		233,596
Exelon Corp.		3,792		165,862
Public Service Enterprise Group, Inc.		2,422		145,828
PPL Corp.		4,951		142,787
Total Utilities				688,073
Energy - 0.1%
Chevron Corp.		1,007		105,524
Exxon Mobil Corp.		1,534		85,643
Total Energy				191,167
Total Common Stocks
(Cost $31,685,889)				38,597,903
MUTUAL FUNDS† - 78.3%
Guggenheim Strategy Fund II1		2,829,659		70,684,872
Guggenheim Ultra Short Duration Fund — Institutional Class1		5,987,006		59,630,578
Guggenheim Strategy Fund III1		2,285,075		57,446,787
Total Mutual Funds
(Cost $186,564,768)				187,762,237
MONEY MARKET FUND† - 5.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		12,778,855		12,778,855
Total Money Market Fund
(Cost $12,778,855)				12,778,855
Total Investments - 99.7%
(Cost $231,029,512)			$	239,138,995
Other Assets & Liabilities, net - 0.3%				651,377
Total Net Assets - 100.0%			$	239,790,372

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		5		Jun 2021	$	992,125	$	4,033

Total Return Swap Agreements
Counterparty	Index	Financing Rate Pay	Payment Frequency	Maturity Date		Units	Notional Amount		Value and Unrealized Appreciation
OTC Equity Index Swap Agreements††
Wells Fargo Bank, N.A.	S&P 500 Total Return Index	0.36% (1 Month USD LIBOR + 0.24%)	At Maturity		12/02/21	24,306	$	200,224,321	$	36,527,373

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
STYLEPLUS—LARGE CORE FUND

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	LIBOR — London Interbank Offered Rate
	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, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	38,597,903	$	—	$	—	$	38,597,903
Mutual Funds		187,762,237		—		—		187,762,237
Money Market Fund		12,778,855		—		—		12,778,855
Equity Futures Contracts**		4,033		—		—		4,033
Equity Index Swap Agreements**		—		36,527,373		—		36,527,373
Total Assets	$	239,143,028	$	36,527,373	$	—	$	275,670,401

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
STYLEPLUS—LARGE CORE FUND

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 03/31/21		Shares 03/31/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	70,019,609	$	637,030	$	—		$	—	$	28,233		$	70,684,872		2,829,659	$	637,026
Guggenheim Strategy Fund III		56,791,001		496,786		—			—		159,000			57,446,787		2,285,075		496,775
Guggenheim Ultra Short Duration Fund — Institutional Class		42,225,877		22,658,997		(5,136,984	)		123,677		(240,989	)		59,630,578		5,987,006		261,021
	$	169,036,487	$	23,792,813	$	(5,136,984	)	$	123,677	$	(53,756	)	$	187,762,237			$	1,394,822

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $44,464,744)	$	51,376,758
Investments in affiliated issuers, at value (cost $186,564,768)		187,762,237
Segregated cash with broker		55,000
Unrealized appreciation on OTC swap agreements		36,527,373
Prepaid expenses		50,826
Receivables:
Dividends		251,607
Fund shares sold		103,218
Variation margin on futures contracts		5,200
Interest		98
Total assets		276,132,317
Liabilities:
Overdraft due to custodian bank		268
Segregated cash due to broker		35,560,000
Payable for:
Swap settlement		259,357
Securities purchased		207,817
Management fees		137,514
Distribution and service fees		49,664
Fund shares redeemed		24,345
Fund accounting/administration fees		16,305
Transfer agent/maintenance fees		11,088
Trustees’ fees*		715
Miscellaneous		74,872
Total liabilities		36,341,945
Net assets	$	239,790,372
Net assets consist of:
Paid in capital	$	191,775,418
Total distributable earnings (loss)		48,014,954
Net assets	$	239,790,372
A-Class:
Net assets	$	233,894,184
Capital shares outstanding		9,287,254
Net asset value per share	$	25.18
Maximum offering price per share (Net asset value divided by 95.25%)	$	26.44
C-Class:
Net assets	$	994,430
Capital shares outstanding		59,611
Net asset value per share	$	16.68
P-Class:
Net assets	$	307,920
Capital shares outstanding		12,411
Net asset value per share	$	24.81
Institutional Class:
Net assets	$	4,593,838
Capital shares outstanding		184,259
Net asset value per share	$	24.93

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	361,592
Dividends from securities of affiliated issuers		1,394,822
Interest		438
Total investment income		1,756,852
Expenses:
Management fees		841,212
Distribution and service fees:
A-Class		273,865
C-Class		5,318
P-Class		345
Transfer agent/maintenance fees:
A-Class		78,761
C-Class		1,216
P-Class		268
Institutional Class		3,655
Fund accounting/administration fees		80,220
Professional fees		29,340
Interest expense		12,872
Trustees’ fees*		10,782
Custodian fees		8,784
Line of credit fees		3,902
Miscellaneous		54,200
Total expenses		1,404,740
Less:
Expenses waived by Adviser		(62,558	)
Earnings credits applied		(60	)
Total waived expenses		(62,618	)
Net expenses		1,342,122
Net investment income		414,730
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	3,038,804
Investments in affiliated issuers		123,677
Swap agreements		17,399,606
Futures contracts		787,541
Net realized gain		21,349,628
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		3,908,178
Investments in affiliated issuers		(53,756	)
Swap agreements		14,341,054
Futures contracts		72,035
Net change in unrealized appreciation (depreciation)		18,267,511
Net realized and unrealized gain		39,617,139
Net increase in net assets resulting from operations	$	40,031,869

* 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 | 81

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	414,730		$	1,573,000
Net realized gain (loss) on investments		21,349,628			(381,266	)
Net change in unrealized appreciation (depreciation) on investments		18,267,511			25,364,647
Net increase in net assets resulting from operations		40,031,869			26,556,381
Distributions to shareholders:
A-Class		(18,893,195	)		(3,244,843	)
C-Class		(129,625	)		(12,363	)
P-Class		(24,513	)		(3,753	)
Institutional Class		(345,692	)		(66,049	)
Total distributions to shareholders		(19,393,025	)		(3,327,008	)
Capital share transactions:
Proceeds from sale of shares
A-Class		5,875,142			4,196,689
C-Class		76,084			227,320
P-Class		37,026			18,348
Institutional Class		1,229,709			1,427,785
Distributions reinvested
A-Class		17,748,487			3,042,509
C-Class		129,475			11,771
P-Class		24,513			3,753
Institutional Class		310,274			59,852
Cost of shares redeemed
A-Class		(14,361,583	)		(22,034,120	)
C-Class		(288,471	)		(301,053	)
P-Class		(1,484	)		(53,627	)
Institutional Class		(642,468	)		(2,331,110	)
Net increase (decrease) from capital share transactions		10,136,704			(15,731,883	)
Net increase in net assets		30,775,548			7,497,490
Net assets:
Beginning of period		209,014,824			201,517,334
End of period	$	239,790,372		$	209,014,824
Capital share activity:
Shares sold
A-Class		240,163			195,983
C-Class		4,642			15,762
P-Class		1,530			844
Institutional Class		51,367			72,157
Shares issued from reinvestment of distributions
A-Class		757,188			139,629
C-Class		8,316			777
P-Class		1,061			174
Institutional Class		13,374			2,773
Shares redeemed
A-Class		(594,895	)		(1,050,623	)
C-Class		(17,558	)		(20,724	)
P-Class		(63	)		(2,792	)
Institutional Class		(26,964	)		(112,891	)
Net increase (decrease) in shares		438,161			(758,931	)

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	23.01		$	20.48		$	24.78		$	25.23		$	21.86		$	21.14
Income (loss) from investment operations:
Net investment income (loss)b		.04			.17			.30			.30			.24			.16
Net gain (loss) on investments (realized and unrealized)		4.31			2.70			(.72	)		3.52			3.72			3.04
Total from investment operations		4.35			2.87			(.42	)		3.82			3.96			3.20
Less distributions from:
Net investment income		(.19	)		(.31	)		(.30	)		(.24	)		(.16	)		(.13	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)		(2.35	)
Total distributions		(2.18	)		(.34	)		(3.88	)		(4.27	)		(.59	)		(2.48	)
Net asset value, end of period	$	25.18		$	23.01		$	20.48		$	24.78		$	25.23		$	21.86
Total Returnc		19.60	%		14.18	%		1.50	%		16.60	%		18.58	%		16.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	233,894		$	204,428		$	196,563		$	217,697		$	206,033		$	188,979
Ratios to average net assets:
Net investment income (loss)		0.37	%		0.79	%		1.48	%		1.27	%		1.03	%		0.79	%
Total expensesd		1.25	%		1.32	%		1.31	%		1.34	%		1.38	%		1.33	%
Net expensese		1.19	%		1.28	%		1.28	%		1.31	%		1.34	%		1.31	%
Portfolio turnover rate		10	%		69	%		51	%		46	%		30	%		50	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	15.87		$	14.22		$	18.41		$	19.74		$	17.22		$	17.17
Income (loss) from investment operations:
Net investment income (loss)b		(.04	)		(.02	)		.08			.06			.03			(.02	)
Net gain (loss) on investments (realized and unrealized)		2.92			1.87			(.69	)		2.69			2.92			2.42
Total from investment operations		2.88			1.85			(.61	)		2.75			2.95			2.40
Less distributions from:
Net investment income		(.08	)		(.17	)		—			(.05	)		—			—
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)		(2.35	)
Total distributions		(2.07	)		(.20	)		(3.58	)		(4.08	)		(.43	)		(2.35	)
Net asset value, end of period	$	16.68		$	15.87		$	14.22		$	18.41		$	19.74		$	17.22
Total Returnc		19.05	%		13.11	%		0.60	%		15.56	%		17.59	%		15.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	994		$	1,019		$	973		$	1,239		$	2,376		$	2,650
Ratios to average net assets:
Net investment income (loss)		(0.53	%)		(0.15	%)		0.58	%		0.33	%		0.19	%		(0.14	%)
Total expensesd		2.16	%		2.24	%		2.23	%		2.24	%		2.23	%		2.27	%
Net expensese		2.10	%		2.20	%		2.19	%		2.21	%		2.20	%		2.25	%
Portfolio turnover rate		10	%		69	%		51	%		46	%		30	%		50	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	22.69		$	20.21		$	24.49		$	25.03		$	21.75		$	21.11
Income (loss) from investment operations:
Net investment income (loss)b		.03			.14			.29			.26			.22			.21
Net gain (loss) on investments (realized and unrealized)		4.25			2.67			(.73	)		3.45			3.68			2.97
Total from investment operations		4.28			2.81			(.44	)		3.71			3.90			3.18
Less distributions from:
Net investment income		(.17	)		(.30	)		(.26	)		(.22	)		(.19	)		(.19	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)		(2.35	)
Total distributions		(2.16	)		(.33	)		(3.84	)		(4.25	)		(.62	)		(2.54	)
Net asset value, end of period	$	24.81		$	22.69		$	20.21		$	24.49		$	25.03		$	21.75
Total Return		19.58	%		13.98	%		1.47	%		16.23	%		18.43	%		16.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	308		$	224		$	236		$	319		$	508		$	405
Ratios to average net assets:
Net investment income (loss)		0.25	%		0.67	%		1.45	%		1.06	%		0.93	%		1.02	%
Total expensesd		1.37	%		1.46	%		1.36	%		1.56	%		1.47	%		1.22	%
Net expensese		1.32	%		1.42	%		1.33	%		1.53	%		1.44	%		1.19	%
Portfolio turnover rate		10	%		69	%		51	%		46	%		30	%		50	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	22.83		$	20.31		$	24.65		$	25.13		$	21.78		$	21.00
Income (loss) from investment operations:
Net investment income (loss)b		.06			.21			.35			.37			.32			.24
Net gain (loss) on investments (realized and unrealized)		4.27			2.70			(.75	)		3.51			3.69			3.10
Total from investment operations		4.33			2.91			(.40	)		3.88			4.01			3.34
Less distributions from:
Net investment income		(.24	)		(.36	)		(.36	)		(.33	)		(.23	)		(.21	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)		(2.35	)
Total distributions		(2.23	)		(.39	)		(3.94	)		(4.36	)		(.66	)		(2.56	)
Net asset value, end of period	$	24.93		$	22.83		$	20.31		$	24.65		$	25.13		$	21.78
Total Return		19.70	%		14.44	%		1.74	%		16.96	%		18.96	%		17.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,594		$	3,344		$	3,747		$	6,826		$	5,631		$	4,247
Ratios to average net assets:
Net investment income (loss)		0.51	%		1.01	%		1.73	%		1.57	%		1.35	%		1.11	%
Total expensesd		1.12	%		1.08	%		1.09	%		1.06	%		1.05	%		0.99	%
Net expensese		1.06	%		1.04	%		1.06	%		1.03	%		1.01	%		0.97	%
Portfolio turnover rate		10	%		69	%		51	%		46	%		30	%		50	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

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 II	33.3%
Guggenheim Ultra Short Duration Fund — Institutional Class	23.2%
Guggenheim Strategy Fund III	22.5%
Williams-Sonoma, Inc.	0.3%
Gentex Corp.	0.2%
Charles River Laboratories International, Inc.	0.2%
SolarEdge Technologies, Inc.	0.2%
Encompass Health Corp.	0.2%
Fair Isaac Corp.	0.2%
Cognex Corp.	0.2%
Top Ten Total	80.5%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	21.22%	75.06%	17.03%	12.79%
A-Class Shares with sales charge‡	15.47%	66.73%	15.89%	12.25%
C-Class Shares	20.68%	73.50%	16.01%	11.81%
C-Class Shares with CDSC§	19.71%	72.50%	16.01%	11.81%
Russell Midcap Growth Index	18.35%	68.61%	18.39%	14.11%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	21.17%	74.92%	16.87%	12.85%
Russell Midcap Growth Index	18.35%	68.61%	18.39%	14.32%

	6 Month†	1 Year	5 Year	Since Inception (03/01/12)
Institutional Class Shares	21.35%	75.40%	17.22%	13.86%
Russell Midcap Growth Index	18.35%	68.61%	18.39%	15.26%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 16.9%
Consumer, Non-cyclical - 5.3%
Charles River Laboratories International, Inc.*		859	$	248,964
Encompass Health Corp.		2,704		221,457
Molina Healthcare, Inc.*		898		209,916
Bio-Techne Corp.		528		201,659
United Therapeutics Corp.*		1,177		196,877
Humana, Inc.		427		179,020
Masimo Corp.*		760		174,542
Exelixis, Inc.*		7,475		168,860
Hill-Rom Holdings, Inc.		1,464		161,743
Jazz Pharmaceuticals plc*		915		150,399
Syneos Health, Inc.*		1,981		150,259
United Rentals, Inc.*		436		143,579
Darling Ingredients, Inc.*		1,924		141,568
Integra LifeSciences Holdings Corp.*		2,048		141,496
Repligen Corp.*		700		136,087
Chemed Corp.		295		135,647
Service Corporation International		2,510		128,136
STERIS plc		669		127,431
Boston Beer Company, Inc. — Class A*		101		121,834
WEX, Inc.*		576		120,511
Flowers Foods, Inc.		5,028		119,667
DaVita, Inc.*		1,092		117,685
Arrowhead Pharmaceuticals, Inc.*		1,753		116,241
Hologic, Inc.*		1,494		111,124
Quanta Services, Inc.		1,231		108,303
Globus Medical, Inc. — Class A*		1,750		107,922
Penumbra, Inc.*		385		104,173
Regeneron Pharmaceuticals, Inc.*		215		101,725
LHC Group, Inc.*		523		100,003
HealthEquity, Inc.*		1,396		94,928
FTI Consulting, Inc.*		675		94,574
McKesson Corp.		481		93,814
Emergent BioSolutions, Inc.*		1,000		92,910
Amedisys, Inc.*		343		90,823
Halozyme Therapeutics, Inc.*		2,159		90,009
Incyte Corp.*		1,068		86,796
ICU Medical, Inc.*		402		82,587
Medpace Holdings, Inc.*		498		81,697
Quidel Corp.*		604		77,270
PerkinElmer, Inc.		548		70,303
Select Medical Holdings Corp.*		1,763		60,118
Biogen, Inc.*		210		58,748
Kimberly-Clark Corp.		390		54,230
Vertex Pharmaceuticals, Inc.*		244		52,433
Cardinal Health, Inc.		859		52,184
Haemonetics Corp.*		457		50,732
FleetCor Technologies, Inc.*		186		49,965
Helen of Troy Ltd.*		128		26,964
Total Consumer, Non-cyclical				5,607,913
Industrial - 3.9%
Cognex Corp.		2,617		217,185
UFP Industries, Inc.		2,629		199,384
Timken Co.		2,388		193,834
Hubbell, Inc.		975		182,218
Knight-Swift Transportation Holdings, Inc.		3,777		181,636
Carlisle Companies, Inc.		1,096		180,380
Agilent Technologies, Inc.		1,374		174,690
AGCO Corp.		1,186		170,369
Lincoln Electric Holdings, Inc.		1,285		157,978
Hillenbrand, Inc.		3,095		147,662
Curtiss-Wright Corp.		1,178		139,711
Energizer Holdings, Inc.		2,681		127,240
II-VI, Inc.*		1,839		125,733
Lennox International, Inc.		397		123,701
TE Connectivity Ltd.		947		122,267
TopBuild Corp.*		576		120,632
Axon Enterprise, Inc.*		846		120,487
Toro Co.		1,099		113,351
Woodward, Inc.		930		112,186
Graco, Inc.		1,537		110,080
Masco Corp.		1,830		109,617
Regal Beloit Corp.		767		109,435
Trex Company, Inc.*		1,156		105,820
Werner Enterprises, Inc.		2,070		97,642
Parker-Hannifin Corp.		309		97,468
Nordson Corp.		466		92,585
XPO Logistics, Inc.*		735		90,625
Simpson Manufacturing Company, Inc.		826		85,681
Waters Corp.*		289		82,125
Middleby Corp.*		454		75,250
Builders FirstSource, Inc.*		1,573		72,940
Clean Harbors, Inc.*		807		67,836
Tetra Tech, Inc.		398		54,017
Total Industrial				4,161,765
Consumer, Cyclical - 2.8%
Williams-Sonoma, Inc.		1,564		280,269
Gentex Corp.		7,009		250,011
AutoZone, Inc.*		113		158,686
Lithia Motors, Inc. — Class A		398		155,256
Deckers Outdoor Corp.*		442		146,046
MSC Industrial Direct Company, Inc. — Class A		1,596		143,943
Brunswick Corp.		1,424		135,807
Polaris, Inc.		992		132,432
Best Buy Company, Inc.		1,139		130,769
Tempur Sealy International, Inc.		3,545		129,605
RH*		214		127,672
Mattel, Inc.*		6,273		124,958
Casey’s General Stores, Inc.		534		115,445
Five Below, Inc.*		562		107,224
PulteGroup, Inc.		1,856		97,329
Visteon Corp.*		767		93,536
Churchill Downs, Inc.		368		83,691
Cummins, Inc.		295		76,437
Toll Brothers, Inc.		1,218		69,097
O’Reilly Automotive, Inc.*		135		68,479
Ollie’s Bargain Outlet Holdings, Inc.*		781		67,947
Scotts Miracle-Gro Co. — Class A		244		59,773

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
STYLEPLUS—MID GROWTH FUND

	Shares		Value
IAA, Inc.*		968	$	53,375
Texas Roadhouse, Inc. — Class A*		556		53,343
YETI Holdings, Inc.*		733		52,930
Fox Factory Holding Corp.*		407		51,713
Total Consumer, Cyclical				2,965,773
Technology - 2.3%
Fair Isaac Corp.*		453		220,181
PTC, Inc.*		1,553		213,770
CDK Global, Inc.		3,358		181,534
Cree, Inc.*		1,548		167,385
MKS Instruments, Inc.		873		161,872
Cerner Corp.		2,197		157,920
J2 Global, Inc.*		1,245		149,226
Cirrus Logic, Inc.*		1,664		141,091
CACI International, Inc. — Class A*		495		122,097
MAXIMUS, Inc.		1,288		114,683
Lumentum Holdings, Inc.*		1,237		113,000
ACI Worldwide, Inc.*		2,716		103,344
Science Applications International Corp.		1,122		93,788
Cognizant Technology Solutions Corp. — Class A		1,200		93,744
Manhattan Associates, Inc.*		780		91,556
Qorvo, Inc.*		495		90,436
Blackbaud, Inc.*		1,144		81,316
Synaptics, Inc.*		594		80,439
Silicon Laboratories, Inc.*		440		62,071
Total Technology				2,439,453
Communications - 1.0%
Ciena Corp.*		3,276		179,262
Viavi Solutions, Inc.*		10,730		168,461
New York Times Co. — Class A		3,063		155,049
FactSet Research Systems, Inc.		408		125,905
Cable One, Inc.		57		104,217
Corning, Inc.		2,041		88,804
Motorola Solutions, Inc.		375		70,519
TEGNA, Inc.		3,510		66,093
F5 Networks, Inc.*		314		65,507
eBay, Inc.		919		56,279
Total Communications				1,080,096
Financial - 0.9%
Stifel Financial Corp.		2,561		164,058
RenaissanceRe Holdings Ltd.		773		123,873
Primerica, Inc.		777		114,856
SLM Corp.		5,877		105,610
Brown & Brown, Inc.		2,278		104,128
PacWest Bancorp		2,511		95,794
Interactive Brokers Group, Inc. — Class A		1,182		86,333
Brighthouse Financial, Inc.*		1,697		75,092
Camden Property Trust REIT		483		53,087
CyrusOne, Inc. REIT		778		52,686
PROG Holdings, Inc.		1,076		46,580
Total Financial				1,022,097
Energy - 0.6%
SolarEdge Technologies, Inc.*		777		223,341
First Solar, Inc.*		2,033		177,481
Sunrun, Inc.*		2,671		161,542
Antero Midstream Corp.		4,814		43,470
Total Energy				605,834
Basic Materials - 0.1%
Cleveland-Cliffs, Inc.*		4,634		93,190
RPM International, Inc.		602		55,293
Total Basic Materials				148,483
Total Common Stocks
(Cost $15,172,702)				18,031,414
MUTUAL FUNDS† - 79.0%
Guggenheim Strategy Fund II1		1,421,671		35,513,345
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,484,042		24,741,063
Guggenheim Strategy Fund III1		951,447		23,919,387
Total Mutual Funds
(Cost $83,730,215)				84,173,795
MONEY MARKET FUND† - 2.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		2,775,297		2,775,297
Total Money Market Fund
(Cost $2,775,297)				2,775,297
Total Investments - 98.5%
(Cost $101,678,214)			$	104,980,506
Other Assets & Liabilities, net - 1.5%				1,609,777
Total Net Assets - 100.0%			$	106,590,283

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
STYLEPLUS—MID GROWTH FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		3		Jun 2021	$	595,275	$	2,420
NASDAQ-100 Index Mini Futures Contracts		2		Jun 2021		523,390		(2,193	)
S&P MidCap 400 Index Mini Futures Contracts		11		Jun 2021		2,867,260		(40,682	)
					$	3,985,925	$	(40,455	)

Total Return Swap Agreements
Counterparty	Index	Financing Rate Pay	Payment Frequency	Maturity Date	Units	Notional Amount		Value and Unrealized Appreciation
OTC Equity Index Swap Agreements††
Citibank, N.A.	Russell MidCap Growth Index Total Return	0.33% (1 Month USD LIBOR + 0.21%)	At Maturity	12/02/21	17,229	$	84,915,883	$	13,076,122

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	18,031,414	$	—	$	—	$	18,031,414
Mutual Funds		84,173,795		—		—		84,173,795
Money Market Fund		2,775,297		—		—		2,775,297
Equity Futures Contracts**		2,420		—		—		2,420
Equity Index Swap Agreements**		—		13,076,122		—		13,076,122
Total Assets	$	104,982,926	$	13,076,122	$	—	$	118,059,048

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	42,875	$	—	$	—	$	42,875

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
STYLEPLUS—MID GROWTH FUND

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 03/31/21		Shares 03/31/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,104,012	$	6,398,693	$	—		$	—	$	10,640		$	35,513,345		1,421,671	$	293,736
Guggenheim Strategy Fund III		23,646,335		206,849		—			—		66,203			23,919,387		951,447		206,849
Guggenheim Ultra Short Duration Fund — Institutional Class		20,960,246		11,686,521		(7,861,991	)		202,420		(246,133	)		24,741,063		2,484,042		141,550
	$	73,710,593	$	18,292,063	$	(7,861,991	)	$	202,420	$	(169,290	)	$	84,173,795			$	642,135

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $17,947,999)	$	20,806,711
Investments in affiliated issuers, at value (cost $83,730,215)		84,173,795
Cash		278
Segregated cash with broker		213,500
Unrealized appreciation on OTC swap agreements		13,076,122
Prepaid expenses		41,047
Receivables:
Dividends		101,215
Variation margin on futures contracts		14,680
Fund shares sold		6,912
Interest		32
Total assets		118,434,292
Liabilities:
Segregated cash due to broker		11,470,000
Payable for:
Swap settlement		104,842
Securities purchased		94,273
Management fees		62,040
Fund shares redeemed		29,731
Distribution and service fees		23,036
Fund accounting/administration fees		8,987
Transfer agent/maintenance fees		5,236
Trustees’ fees*		488
Miscellaneous		45,376
Total liabilities		11,844,009
Net assets	$	106,590,283
Net assets consist of:
Paid in capital	$	86,339,525
Total distributable earnings (loss)		20,250,758
Net assets	$	106,590,283
A-Class:
Net assets	$	103,111,021
Capital shares outstanding		2,114,187
Net asset value per share	$	48.77
Maximum offering price per share (Net asset value divided by 95.25%)	$	51.20
C-Class:
Net assets	$	1,400,189
Capital shares outstanding		48,730
Net asset value per share	$	28.73
P-Class:
Net assets	$	217,587
Capital shares outstanding		4,525
Net asset value per share	$	48.09
Institutional Class:
Net assets	$	1,861,486
Capital shares outstanding		38,201
Net asset value per share	$	48.73

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

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	67,177
Dividends from securities of affiliated issuers		642,135
Interest		249
Total investment income		709,561
Expenses:
Management fees		393,127
Distribution and service fees:
A-Class		126,588
C-Class		8,176
P-Class		238
Transfer agent/maintenance fees:
A-Class		41,492
C-Class		1,751
P-Class		168
Institutional Class		1,250
Registration fees		43,083
Fund accounting/administration fees		39,876
Professional fees		23,075
Interest expense		10,739
Trustees’ fees*		9,742
Custodian fees		8,637
Line of credit fees		1,731
Miscellaneous		9,455
Total expenses		719,128
Less:
Expenses waived by Adviser		(34,217	)
Earnings credits applied		(25	)
Total waived expenses		(34,242	)
Net expenses		684,886
Net investment income		24,675
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	2,296,104
Investments in affiliated issuers		202,420
Swap agreements		15,473,393
Futures contracts		565,139
Net realized gain		18,537,056
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,265,986
Investments in affiliated issuers		(169,290	)
Swap agreements		(1,176,976	)
Futures contracts		(7,077	)
Net change in unrealized appreciation (depreciation)		912,643
Net realized and unrealized gain		19,449,699
Net increase in net assets resulting from operations	$	19,474,374

* 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 | 93

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	24,675		$	382,685
Net realized gain (loss) on investments		18,537,056			(1,198,558	)
Net change in unrealized appreciation (depreciation) on investments		912,643			15,041,235
Net increase in net assets resulting from operations		19,474,374			14,225,362
Distributions to shareholders:
A-Class		(13,186,487	)		(1,858,325	)
C-Class		(336,310	)		(39,450	)
P-Class		(24,991	)		(2,046	)
Institutional Class		(238,403	)		(23,966	)
Total distributions to shareholders		(13,786,191	)		(1,923,787	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,226,453			2,245,934
C-Class		108,658			1,004,377
P-Class		77,420			56,872
Institutional Class		498,393			703,244
Distributions reinvested
A-Class		12,584,970			1,767,121
C-Class		278,491			31,434
P-Class		24,991			2,046
Institutional Class		228,045			23,138
Cost of shares redeemed
A-Class		(5,812,297	)		(9,742,564	)
C-Class		(464,919	)		(1,153,519	)
P-Class		(6,692	)		(51,906	)
Institutional Class		(246,786	)		(556,301	)
Net increase (decrease) from capital share transactions		8,496,727			(5,670,124	)
Net increase in net assets		14,184,910			6,631,451
Net assets:
Beginning of period		92,405,373			85,773,922
End of period	$	106,590,283		$	92,405,373
Capital share activity:
Shares sold
A-Class		24,963			54,683
C-Class		3,598			35,895
P-Class		1,593			1,434
Institutional Class		9,947			16,806
Shares issued from reinvestment of distributions
A-Class		260,504			42,510
C-Class		9,761			1,175
P-Class		525			50
Institutional Class		4,727			557
Shares redeemed
A-Class		(116,933	)		(246,314	)
C-Class		(15,973	)		(51,299	)
P-Class		(141	)		(1,299	)
Institutional Class		(4,986	)		(13,361	)
Net increase (decrease) in shares		177,585			(159,163	)

94 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	45.98		$	39.64		$	49.70		$	47.34		$	40.52		$	41.49
Income (loss) from investment operations:
Net investment income (loss)b		.01			.19			.45			.41			.34			.19
Net gain (loss) on investments (realized and unrealized)		9.68			7.06			(1.58	)		7.70			6.72			4.25
Total from investment operations		9.69			7.25			(1.13	)		8.11			7.06			4.44
Less distributions from:
Net investment income		(.20	)		(.45	)		(.41	)		(.24	)		(.24	)		(.05	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—			(5.36	)
Total distributions		(6.90	)		(.91	)		(8.93	)		(5.75	)		(.24	)		(5.41	)
Net asset value, end of period	$	48.77		$	45.98		$	39.64		$	49.70		$	47.34		$	40.52
Total Returnc		21.22	%		18.57	%		2.34	%		18.51	%		17.54	%		11.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	103,111		$	89,469		$	83,027		$	87,509		$	77,049		$	72,179
Ratios to average net assets:
Net investment income (loss)		0.06	%		0.46	%		1.13	%		0.87	%		0.78	%		0.48	%
Total expensesd		1.36	%		1.45	%		1.44	%		1.55	%		1.45	%		1.45	%
Net expensese		1.30	%		1.40	%		1.41	%		1.52	%		1.42	%		1.43	%
Portfolio turnover rate		20	%		82	%		73	%		52	%		43	%		61	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.40		$	25.66		$	35.78		$	35.64		$	30.58		$	32.78
Income (loss) from investment operations:
Net investment income (loss)b		(.12	)		(.10	)		.08			.02			(.03	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		6.15			4.53			(1.68	)		5.63			5.09			3.28
Total from investment operations		6.03			4.43			(1.60	)		5.65			5.06			3.16
Less distributions from:
Net investment income		—			(.23	)		—			—			—			—
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—			(5.36	)
Total distributions		(6.70	)		(.69	)		(8.52	)		(5.51	)		—			(5.36	)
Net asset value, end of period	$	28.73		$	29.40		$	25.66		$	35.78		$	35.64		$	30.58
Total Returnc		20.68	%		17.53	%		1.46	%		17.51	%		16.55	%		10.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,400		$	1,510		$	1,683		$	1,849		$	3,984		$	3,760
Ratios to average net assets:
Net investment income (loss)		(0.82	%)		(0.39	%)		0.30	%		0.05	%		(0.08	%)		(0.42	%)
Total expensesd		2.24	%		2.32	%		2.27	%		2.33	%		2.31	%		2.34	%
Net expensese		2.18	%		2.28	%		2.24	%		2.30	%		2.27	%		2.32	%
Portfolio turnover rate		20	%		82	%		73	%		52	%		43	%		61	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	45.45		$	39.17		$	49.12		$	46.83		$	40.27		$	41.48
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		.15			.41			.32			.24			.26
Net gain (loss) on investments (realized and unrealized)		9.58			6.99			(1.58	)		7.61			6.65			4.09
Total from investment operations		9.57			7.14			(1.17	)		7.93			6.89			4.35
Less distributions from:
Net investment income		(.23	)		(.40	)		(.26	)		(.13	)		(.33	)		(.20	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—			(5.36	)
Total distributions		(6.93	)		(.86	)		(8.78	)		(5.64	)		(.33	)		(5.56	)
Net asset value, end of period	$	48.09		$	45.45		$	39.17		$	49.12		$	46.83		$	40.27
Total Return		21.17	%		18.48	%		2.22	%		18.26	%		17.27	%		11.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	218		$	116		$	93		$	125		$	121		$	102
Ratios to average net assets:
Net investment income (loss)		(0.04	%)		0.36	%		1.04	%		0.67	%		0.55	%		0.69	%
Total expensesd		1.45	%		1.54	%		1.55	%		1.68	%		1.66	%		1.39	%
Net expensese		1.39	%		1.50	%		1.51	%		1.64	%		1.63	%		1.35	%
Portfolio turnover rate		20	%		82	%		73	%		52	%		43	%		61	%

96 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	45.98		$	39.64		$	49.80		$	47.48		$	40.59		$	41.64
Income (loss) from investment operations:
Net investment income (loss)b		.06			.24			.51			.53			.42			.19
Net gain (loss) on investments (realized and unrealized)		9.68			7.09			(1.63	)		7.71			6.78			4.25
Total from investment operations		9.74			7.33			(1.12	)		8.24			7.20			4.44
Less distributions from:
Net investment income		(.29	)		(.53	)		(.52	)		(.41	)		(.31	)		(.13	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—			(5.36	)
Total distributions		(6.99	)		(.99	)		(9.04	)		(5.92	)		(.31	)		(5.49	)
Net asset value, end of period	$	48.73		$	45.98		$	39.64		$	49.80		$	47.48		$	40.59
Total Return		21.35	%		18.79	%		2.42	%		18.77	%		17.88	%		11.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,861		$	1,311		$	972		$	875		$	1,743		$	113
Ratios to average net assets:
Net investment income (loss)		0.25	%		0.58	%		1.28	%		1.11	%		0.95	%		0.48	%
Total expensesd		1.17	%		1.26	%		1.31	%		1.26	%		1.26	%		1.46	%
Net expensese		1.10	%		1.22	%		1.28	%		1.23	%		1.22	%		1.44	%
Portfolio turnover rate		20	%		82	%		73	%		52	%		43	%		61	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 97

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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

Country	% of Long-Term Investments
United States		62.7	%
Germany		6.3	%
Japan		5.8	%
Singapore		3.3	%
Netherlands		3.1	%
Ireland		3.0	%
United Kingdom		2.9	%
Other		12.9	%
Total Long-Term Investments		100.0	%

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)
Apple, Inc.	2.8%
Amazon.com, Inc.	2.4%
Microsoft Corp.	2.4%
Alphabet, Inc. — Class C	1.7%
Volkswagen AG	1.1%
Pfizer, Inc.	1.1%
Citigroup, Inc.	1.1%
ASML Holding N.V.	1.1%
Accenture plc — Class A	1.0%
AbbVie, Inc.	1.0%
Top Ten Total	15.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	24.11%	53.40%	9.62%	6.71%
A-Class Shares with sales charge‡	18.21%	46.13%	8.55%	6.19%
C-Class Shares	23.58%	52.18%	8.78%	5.92%
C-Class Shares with CDSC§	22.58%	51.18%	8.78%	5.92%
MSCI World Index	19.57%	54.03%	13.36%	9.88%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	24.06%	53.36%	9.76%	7.98%
MSCI World Index	19.57%	54.03%	13.36%	9.99%

	6 Month†	1 Year	5 Year	Since Inception (05/02/11)
Institutional Class Shares	24.19%	53.80%	9.91%	6.58%
MSCI World Index	19.57%	54.03%	13.36%	9.48%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 96.0%
Consumer, Non-cyclical - 21.7%
Pfizer, Inc.		16,000	$	579,680
AbbVie, Inc.		4,800		519,456
Philip Morris International, Inc.		5,800		514,692
PepsiCo, Inc.		3,505		495,782
Merck & Company, Inc.		6,300		485,667
CVS Health Corp.		5,800		436,334
Colgate-Palmolive Co.		5,482		432,146
Anthem, Inc.		1,200		430,740
Boston Scientific Corp.*		11,100		429,015
Gilead Sciences, Inc.		6,400		413,632
Square, Inc. — Class A*		1,800		408,690
Vertex Pharmaceuticals, Inc.*		1,900		408,291
Kimberly-Clark Corp.		2,891		401,994
Humana, Inc.		900		377,325
Kroger Co.		10,000		359,900
Tyson Foods, Inc. — Class A		4,700		349,210
Kellogg Co.		5,456		345,365
Bunge Ltd.		3,900		309,153
Sysco Corp.		3,900		307,086
Molson Coors Beverage Co. — Class B*		6,000		306,900
Centene Corp.*		4,800		306,768
Viatris, Inc.*		19,000		265,430
Archer-Daniels-Midland Co.		4,400		250,800
WH Group Ltd.1		294,500		238,676
Cardinal Health, Inc.		3,400		206,550
Cigna Corp.		800		193,392
Mondelez International, Inc. — Class A		3,000		175,590
J M Smucker Co.		1,300		164,489
Ionis Pharmaceuticals, Inc.*		3,600		161,856
Fresenius Medical Care AG & Co. KGaA		2,100		154,446
Japan Tobacco, Inc.		7,100		136,259
Quest Diagnostics, Inc.		1,000		128,340
Koninklijke Ahold Delhaize N.V.		4,000		111,397
Campbell Soup Co.		2,000		100,540
Johnson & Johnson		600		98,610
ABIOMED, Inc.*		300		95,619
Becton Dickinson and Co.		300		72,945
Total Consumer, Non-cyclical				11,172,765
Financial - 19.6%
Citigroup, Inc.		7,900		574,725
Wells Fargo & Co.		12,900		504,003
Simon Property Group, Inc. REIT		4,200		477,834
Oversea-Chinese Banking Corporation Ltd.		53,500		467,473
Equity Residential REIT		6,200		444,106
Allianz AG		1,700		432,675
Mitsubishi UFJ Financial Group, Inc.		80,300		429,105
AvalonBay Communities, Inc. REIT		2,300		424,373
DBS Group Holdings Ltd.		19,200		411,062
United Overseas Bank Ltd.		20,300		389,929
Hang Seng Bank Ltd.		18,100		350,427
BOC Hong Kong Holdings Ltd.		98,800		345,072
Boston Properties, Inc. REIT		3,400		344,284
NN Group N.V.		7,000		342,202
KeyCorp		16,200		323,676
Annaly Capital Management, Inc. REIT		37,415		321,769
Admiral Group plc		7,000		299,141
Sumitomo Mitsui Financial Group, Inc.		8,100		293,124
Power Corporation of Canada		11,000		289,179
Synchrony Financial		7,100		288,686
Zurich Insurance Group AG		673		287,325
Vornado Realty Trust REIT		6,100		276,879
VEREIT, Inc.		7,100		274,202
Medical Properties Trust, Inc. REIT		11,128		236,804
Legal & General Group plc		51,000		196,151
Prudential Financial, Inc.		2,100		191,310
U.S. Bancorp		3,000		165,930
Mizuho Financial Group, Inc.		10,000		144,409
Citizens Financial Group, Inc.		3,100		136,865
Toronto-Dominion Bank		1,900		123,943
Western Union Co.		5,000		123,300
Kinnevik AB — Class B*		1,900		92,399
MetLife, Inc.		1,500		91,185
Total Financial				10,093,547
Technology - 14.7%
Apple, Inc.		11,936		1,457,983
Microsoft Corp.		5,142		1,212,330
ASML Holding N.V.		900		545,614
Accenture plc — Class A		1,900		524,875
Micron Technology, Inc.*		5,300		467,513
International Business Machines Corp.		3,300		439,758
Cognizant Technology Solutions Corp. — Class A		5,300		414,036
Twilio, Inc. — Class A*		1,100		374,836
Intel Corp.		5,800		371,200
salesforce.com, Inc.*		1,700		360,179
Advanced Micro Devices, Inc.*		4,300		337,550
Seagate Technology plc		3,823		293,415
NVIDIA Corp.		400		213,572
Bechtle AG		1,100		206,250
NetApp, Inc.		2,500		181,675
SAP AG		1,400		171,421
Total Technology				7,572,207
Communications - 9.1%
Amazon.com, Inc.*		401		1,240,726
Alphabet, Inc. — Class C*		424		877,099
Facebook, Inc. — Class A*		1,650		485,975
KDDI Corp.		13,000		398,593
Nippon Telegraph & Telephone Corp.		14,000		359,334
Lumen Technologies, Inc.		22,200		296,370
HKT Trust & HKT Ltd.		186,048		265,184
Juniper Networks, Inc.		10,000		253,300
Cisco Systems, Inc.		4,000		206,840
Twitter, Inc.*		2,700		171,801
Verizon Communications, Inc.		2,000		116,300
Total Communications				4,671,522

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
WORLD EQUITY INCOME FUND

	Shares		Value
Industrial - 7.9%
3M Co.		2,647	$	510,024
Deutsche Post AG		7,300		399,925
Lockheed Martin Corp.		1,000		369,500
CRH plc ADR		7,100		332,771
Northrop Grumman Corp.		1,000		323,640
Boeing Co.*		1,200		305,664
Husqvarna AB — Class B		21,200		305,456
ACS Actividades de Construccion y Servicios S.A.		8,000		265,103
Singapore Technologies Engineering Ltd.		79,900		231,133
Skanska AB — Class B		8,000		200,663
Venture Corporation Ltd.		13,200		196,911
Huntington Ingalls Industries, Inc.		900		185,265
FedEx Corp.		600		170,424
DSV PANALPINA A/S		700		137,339
Siemens AG		800		131,332
Total Industrial				4,065,150
Basic Materials - 7.6%
Rio Tinto plc		5,400		413,071
Nucor Corp.		4,500		361,215
Steel Dynamics, Inc.		7,000		355,320
Koninklijke DSM N.V.		2,000		338,415
UPM-Kymmene Oyj		8,900		319,661
Boliden AB		8,000		296,871
BASF SE		3,200		265,816
Yara International ASA		5,000		260,017
Arkema S.A.		2,100		254,497
Voestalpine AG		6,000		248,570
Akzo Nobel N.V.		2,100		234,625
Lanxess AG		3,100		228,501
Smurfit Kappa Group plc		4,000		188,368
Symrise AG		1,400		169,747
Total Basic Materials				3,934,694
Utilities - 7.1%
Southern Co.		6,500		404,040
Exelon Corp.		8,800		384,912
FirstEnergy Corp.		10,530		365,286
PPL Corp.		12,200		351,848
CLP Holdings Ltd.		35,800		347,706
CenterPoint Energy, Inc.		15,000		339,750
Fortum Oyj		9,900		264,217
Duke Energy Corp.		2,500		241,325
NRG Energy, Inc.		6,100		230,153
Vistra Corp.		12,900		228,072
Power Assets Holdings Ltd.		22,400		132,265
Pinnacle West Capital Corp.		1,600		130,160
Edison International		2,200		128,920
UGI Corp.		3,100		127,131
Total Utilities				3,675,785
Consumer, Cyclical - 4.9%
Walgreens Boots Alliance, Inc.		7,800		428,220
Subaru Corp.		18,300		364,258
Costco Wholesale Corp.		1,000		352,480
Persimmon plc		8,000		324,230
Berkeley Group Holdings plc		4,100		250,835
Honda Motor Co., Ltd.		8,000		239,797
Electrolux AB		8,100		224,694
Tesla, Inc.*		300		200,379
Wesfarmers Ltd.		4,000		160,055
Total Consumer, Cyclical				2,544,948
Energy - 2.6%
ENEOS Holdings, Inc.		70,200		318,010
Idemitsu Kosan Company Ltd.		11,000		283,526
TC Energy Corp.		5,000		229,263
DCC plc		2,400		208,103
Pembina Pipeline Corp.		5,000		144,458
SolarEdge Technologies, Inc.*		500		143,720
Total Energy				1,327,080
Diversified - 0.8%
CK Hutchison Holdings Ltd.		49,501		394,492
Total Common Stocks
(Cost $41,623,500)				49,452,190
PREFERRED STOCKS† - 2.0%
Consumer, Cyclical - 2.0%
Volkswagen AG		2,100		587,547
Porsche Automobil Holding SE		4,400		466,520
Total Consumer, Cyclical				1,054,067
Total Preferred Stocks
(Cost $668,156)				1,054,067
EXCHANGE-TRADED FUNDS† - 0.7%
iShares MSCI EAFE ETF		2,284		173,287
SPDR S&P 500 ETF Trust		431		170,818
Total Exchange-Traded Funds
(Cost $341,356)				344,105
MONEY MARKET FUND† - 0.8%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		401,098		401,098
Total Money Market Fund
(Cost $401,098)				401,098
Total Investments - 99.5%
(Cost $43,034,110)			$	51,251,460
Other Assets & Liabilities, net - 0.5%				249,515
Total Net Assets - 100.0%			$	51,500,975

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
WORLD EQUITY INCOME FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation**
Currency Futures Contracts Sold Short†
Euro FX Futures Contracts		44		Jun 2021	$	6,458,650	$	97,809
Japanese Yen Futures Contracts		26		Jun 2021		2,937,025		61,710
Australian Dollar Futures Contracts		1		Jun 2021		75,980		102
					$	9,471,655	$	159,621

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
1	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 $238,676 (cost $259,981), or 0.5% of total net assets.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	49,452,190	$	—	$	—	$	49,452,190
Preferred Stocks		1,054,067		—		—		1,054,067
Exchange-Traded Funds		344,105		—		—		344,105
Money Market Fund		401,098		—		—		401,098
Currency Futures Contracts**		159,621		—		—		159,621
Total Assets	$	51,411,081	$	—	$	—	$	51,411,081

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $43,034,110)	$	51,251,460
Foreign currency, at value (cost $664)		661
Cash		42,279
Segregated cash with broker		153,000
Prepaid expenses		35,084
Receivables:
Dividends		160,455
Foreign tax reclaims		83,635
Variation margin on futures contracts		6,332
Fund shares sold		1,073
Total assets		51,733,979
Liabilities:
Payable for:
Fund shares redeemed		66,289
Securities purchased		58,382
Professional fees		22,474
Management fees		20,899
Pricing fees		12,426
Distribution and service fees		12,199
Printing fees		11,899
Transfer agent/maintenance fees		10,433
Fund accounting/administration fees		5,870
Distributions to shareholders		5,697
Trustees’ fees*		1,400
Due to Investment Adviser		455
Miscellaneous		4,581
Total liabilities		233,004
Net assets	$	51,500,975
Net assets consist of:
Paid in capital	$	37,109,578
Total distributable earnings (loss)		14,391,397
Net assets	$	51,500,975
A-Class:
Net assets	$	45,001,134
Capital shares outstanding		2,434,321
Net asset value per share	$	18.49
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.41
C-Class:
Net assets	$	3,331,904
Capital shares outstanding		210,685
Net asset value per share	$	15.81
P-Class:
Net assets	$	111,398
Capital shares outstanding		5,971
Net asset value per share	$	18.66
Institutional Class:
Net assets	$	3,056,539
Capital shares outstanding		166,404
Net asset value per share	$	18.37

* 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 | 103

WORLD EQUITY INCOME FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends (net of foreign withholding tax of $24,602)	$	531,120
Total investment income		531,120
Expenses:
Management fees		164,818
Distribution and service fees:
A-Class		51,514
C-Class		15,233
P-Class		109
Transfer agent/maintenance fees:
A-Class		13,882
C-Class		2,313
P-Class		78
Institutional Class		619
Registration fees		45,425
Professional fees		24,953
Fund accounting/administration fees		20,384
Trustees’ fees*		9,428
Custodian fees		6,987
Line of credit fees		780
Interest expense		6
Miscellaneous		5,909
Recoupment of previously waived fees:
Institutional Class		455
Total expenses		362,893
Less:
Expenses reimbursed by Adviser:
A-Class		(14,138	)
C-Class		(2,349	)
P-Class		(79	)
Institutional Class		(1,086	)
Expenses waived by Adviser		(52,529	)
Total waived/reimbursed expenses		(70,181	)
Net expenses		292,712
Net investment income		238,408
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	6,483,358
Futures contracts		(36,003	)
Foreign currency transactions		994
Net realized gain		6,448,349
Net change in unrealized appreciation (depreciation) on:
Investments		3,341,133
Futures contracts		159,621
Foreign currency translations		(3,156	)
Net change in unrealized appreciation (depreciation)		3,497,598
Net realized and unrealized gain		9,945,947
Net increase in net assets resulting from operations	$	10,184,355

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

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	238,408		$	703,779
Net realized gain on investments		6,448,349			80,940
Net change in unrealized appreciation (depreciation) on investments		3,497,598			790,841
Net increase in net assets resulting from operations		10,184,355			1,575,560
Distributions to shareholders:
A-Class		(376,291	)		(951,321	)
C-Class		(18,476	)		(41,581	)
P-Class		(789	)		(2,112	)
Institutional Class		(28,731	)		(69,164	)
Total distributions to shareholders		(424,287	)		(1,064,178	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,045,037			1,840,975
C-Class		434,634			262,757
P-Class		18,071			19,559
Institutional Class		279,588			722,745
Distributions reinvested
A-Class		366,799			941,400
C-Class		18,307			40,533
P-Class		789			2,112
Institutional Class		28,519			68,744
Cost of shares redeemed
A-Class		(2,862,341	)		(26,256,691	)
C-Class		(647,795	)		(701,424	)
P-Class		(19,074	)		(56,772	)
Institutional Class		(332,567	)		(1,575,677	)
Net decrease from capital share transactions		(1,670,033	)		(24,691,739	)
Net increase (decrease) in net assets		8,090,035			(24,180,357	)
Net assets:
Beginning of period		43,410,940			67,591,297
End of period	$	51,500,975		$	43,410,940
Capital share activity:
Shares sold
A-Class		61,666			123,067
C-Class		28,636			19,865
P-Class		976			1,224
Institutional Class		16,964			49,008
Shares issued from reinvestment of distributions
A-Class		21,184			63,949
C-Class		1,250			3,191
P-Class		45			142
Institutional Class		1,652			4,753
Shares redeemed
A-Class		(170,552	)		(1,639,516	)
C-Class		(44,003	)		(55,988	)
P-Class		(1,231	)		(3,569	)
Institutional Class		(20,453	)		(113,599	)
Net decrease in shares		(103,866	)		(1,547,473	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	15.03		$	15.26		$	15.77		$	14.84		$	13.54		$	12.28
Income (loss) from investment operations:
Net investment income (loss)b		.09			.20			.35			.23			.31			.31
Net gain (loss) on investments (realized and unrealized)		3.52			(.12	)h		(.36	)		.95			1.34			1.26
Total from investment operations		3.61			.08			(.01	)		1.18			1.65			1.57
Less distributions from:
Net investment income		(.12	)		(.27	)		(.37	)		(.25	)		(.35	)		(.31	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—			—
Total distributions		(.15	)		(.31	)		(.50	)		(.25	)		(.35	)		(.31	)
Net asset value, end of period	$	18.49		$	15.03		$	15.26		$	15.77		$	14.84		$	13.54
Total Returnc		24.11	%		0.60	%		0.14	%		8.01	%		12.31	%		12.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	45,001		$	37,911		$	60,639		$	67,679		$	80,598		$	80,575
Ratios to average net assets:
Net investment income (loss)		1.04	%		1.36	%		2.39	%		1.48	%		2.23	%		2.36	%
Total expensesd		1.50	%		1.48	%		1.37	%		1.37	%		1.34	%		1.48	%
Net expensese,f,g		1.21	%		1.22	%		1.22	%		1.22	%		1.24	%		1.48	%
Portfolio turnover rate		107	%		192	%		127	%		125	%		94	%		51	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	12.87		$	13.06		$	13.53		$	12.72		$	11.63		$	10.55
Income (loss) from investment operations:
Net investment income (loss)b		.02			.08			.21			.09			.19			.18
Net gain (loss) on investments (realized and unrealized)		3.01			(.10	)h		(.33	)		.83			1.13			1.09
Total from investment operations		3.03			(.02	)		(.12	)		.92			1.32			1.27
Less distributions from:
Net investment income		(.06	)		(.13	)		(.22	)		(.11	)		(.23	)		(.19	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—			—
Total distributions		(.09	)		(.17	)		(.35	)		(.11	)		(.23	)		(.19	)
Net asset value, end of period	$	15.81		$	12.87		$	13.06		$	13.53		$	12.72		$	11.63
Total Returnc		23.58	%		(0.13	%)		(0.69	%)		7.27	%		11.46	%		12.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,332		$	2,893		$	3,366		$	4,215		$	6,449		$	5,455
Ratios to average net assets:
Net investment income (loss)		0.31	%		0.67	%		1.64	%		0.71	%		1.53	%		1.59	%
Total expensesd		2.34	%		2.40	%		2.28	%		2.18	%		2.19	%		2.35	%
Net expensese,f,g		1.96	%		1.97	%		1.97	%		1.97	%		1.99	%		2.23	%
Portfolio turnover rate		107	%		192	%		127	%		125	%		94	%		51	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	15.17		$	15.38		$	15.92		$	15.08		$	13.73		$	12.33
Income (loss) from investment operations:
Net investment income (loss)b		.09			.20			.36			.24			.33			.33
Net gain (loss) on investments (realized and unrealized)		3.55			(.11	)h		(.39	)		.95			1.35			1.35
Total from investment operations		3.64			.09			(.03	)		1.19			1.68			1.68
Less distributions from:
Net investment income		(.12	)		(.26	)		(.38	)		(.35	)		(.33	)		(.28	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—			—
Total distributions		(.15	)		(.30	)		(.51	)		(.35	)		(.33	)		(.28	)
Net asset value, end of period	$	18.66		$	15.17		$	15.38		$	15.92		$	15.08		$	13.73
Total Return		24.06	%		0.66	%		0.06	%		7.99	%		12.32	%		13.73	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	111		$	94		$	129		$	195		$	355		$	133
Ratios to average net assets:
Net investment income (loss)		1.08	%		1.36	%		2.38	%		1.50	%		2.28	%		2.58	%
Total expensesd		1.62	%		1.56	%		1.44	%		1.40	%		1.76	%		1.33	%
Net expensese,f,g		1.21	%		1.22	%		1.22	%		1.22	%		1.24	%		1.33	%
Portfolio turnover rate		107	%		192	%		127	%		125	%		94	%		51	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	14.94		$	15.16		$	15.71		$	14.74		$	13.44		$	12.23
Income (loss) from investment operations:
Net investment income (loss)b		.11			.25			.39			.29			.35			.31
Net gain (loss) on investments (realized and unrealized)		3.49			(.13	)h		(.37	)		.93			1.33			1.28
Total from investment operations		3.60			.12			.02			1.22			1.68			1.59
Less distributions from:
Net investment income		(.14	)		(.30	)		(.44	)		(.25	)		(.38	)		(.38	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—			—
Total distributions		(.17	)		(.34	)		(.57	)		(.25	)		(.38	)		(.38	)
Net asset value, end of period	$	18.37		$	14.94		$	15.16		$	15.71		$	14.74		$	13.44
Total Return		24.19	%		0.92	%		0.40	%		8.34	%		12.61	%		13.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,057		$	2,513		$	3,458		$	19,589		$	3,734		$	2,824
Ratios to average net assets:
Net investment income (loss)		1.31	%		1.66	%		2.67	%		1.85	%		2.50	%		2.42	%
Total expensesd		1.26	%		1.50	%		1.17	%		1.02	%		1.09	%		1.30	%
Net expensese,f,g		0.96	%		0.97	%		0.97	%		0.97	%		0.98	%		1.22	%
Portfolio turnover rate		107	%		192	%		127	%		125	%		94	%		51	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	0.00%*	0.00%*	0.01%
C-Class	—	—	—	0.00%*	0.01%
P-Class	—	—	—	—	—
Institutional Class	0.03%	—	—	0.02%	0.03%

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.21%	1.22%	1.22%	1.22%	1.22%	1.46%
C-Class	1.95%	1.97%	1.97%	1.97%	1.97%	2.21%
P-Class	1.21%	1.22%	1.22%	1.22%	1.22%	1.32%
Institutional Class	0.96%	0.97%	0.97%	0.97%	0.96%	1.21%

^h The amount shown for a share outstanding throughout the year does not agree with the aggregate net gain on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds.

This report covers the following funds (collectively, the “Funds”):

Fund Name	Investment Company Type
Alpha Opportunity Fund	Diversified
Large Cap Value Fund	Diversified
Market Neutral Real Estate Fund	Non-diversified
Risk Managed Real Estate Fund	Diversified
Small Cap Value Fund	Diversified
StylePlus—Large Core Fund	Diversified
StylePlus—Mid Growth Fund	Diversified
World Equity Income Fund	Diversified

At March 31, 2021, only A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Funds.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, 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 a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

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 and other assets 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

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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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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 U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the New York Stock Exchange (“NYSE”).

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) Short Sales

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) Futures Contracts

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

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contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. 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

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

(e) Currency Translations

The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(f) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(g) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. 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. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

(h) Distributions

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 U.S. federal income tax regulations which may differ from U.S. GAAP.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

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(j) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended March 31, 2021, are disclosed in the Statements of Operations.

(k) Cash

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 0.06% at March 31, 2021.

(l) Indemnifications

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.

Note 2 – Financial Instruments and Derivatives

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

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 Contracts

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

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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 monthly basis:

		Average Notional Amount
Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	3,714,144	$	—
StylePlus—Mid Growth Fund	Index exposure		2,647,696		—
World Equity Income Fund	Hedge		—		2,036,004

Swap Agreements

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. When utilizing over-the-counter (“OTC”) swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return or custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

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

		Average Notional Amount
Fund	Use	Long		Short
StylePlus—Large Core Fund	Index exposure	$	185,499,771	$	—
StylePlus—Mid Growth Fund	Index exposure		85,983,541		—

The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Long		Short
Alpha Opportunity Fund	Hedge, Leverage	$	5,252,718	$	26,870,883
Market Neutral Real Estate Fund	Hedge		—		37,134,825
Risk Managed Real Estate Fund	Hedge, Leverage		68,589,776		58,071,921

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, 2021:

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

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The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at March 31, 2021
Alpha Opportunity Fund	$	—	$	679,482	$	—	$	679,482
Risk Managed Real Estate Fund		—		7,250,075		—		7,250,075
StylePlus—Large Core Fund		4,033		36,527,373		—		36,531,406
StylePlus—Mid Growth Fund		2,420		13,076,122		—		13,078,542
World Equity Income Fund		—		—		159,621		159,621

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at March 31, 2021
Alpha Opportunity Fund	$	—	$	3,153,034	$	—	$	3,153,034
Market Neutral Real Estate Fund		—		3,268,167		—		3,268,167
Risk Managed Real Estate Fund		—		4,618,322		—		4,618,322
StylePlus—Mid Growth Fund		42,875		—		—		42,875

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, 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, 2021:

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
Equity 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, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk		Swaps Equity Risk			Futures Foreign Currency Exchange Risk			Total
Alpha Opportunity Fund	$	—	$	(4,057,635	)	$	—		$	(4,057,635	)
Market Neutral Real Estate Fund		—		(6,416,893	)		—			(6,416,893	)
Risk Managed Real Estate Fund		—		135,818			—			135,818
StylePlus—Large Core Fund		787,541		17,399,606			—			18,187,147
StylePlus—Mid Growth Fund		565,139		15,473,393			—			16,038,532
World Equity Income Fund		—		—			(36,003	)		(36,003	)

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Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Foreign Currency Exchange Risk		Total
Alpha Opportunity Fund	$	—		$	(1,467,379	)	$	—	$	(1,467,379	)
Market Neutral Real Estate Fund		—			(3,288,153	)		—		(3,288,153	)
Risk Managed Real Estate Fund		—			413,080			—		413,080
StylePlus—Large Core Fund		72,035			14,341,054			—		14,413,089
StylePlus—Mid Growth Fund		(7,077	)		(1,176,976	)		—		(1,184,053	)
World Equity Income Fund		—			—			159,621		159,621

In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

Foreign Investments

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 Funds may incur transaction costs in connection with conversions between various currencies. The Funds 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.

The 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 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.

Note 3 – 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.

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

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, 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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Alpha Opportunity Fund	Custom basket swap agreements	$	679,482	$	—	$	679,482	$	(679,482	)	$	—		$	—
Risk Managed Real Estate Fund	Custom basket swap agreements		7,250,075		—		7,250,075		(4,618,322	)		(1,319,299	)		1,312,454
StylePlus—Large Core Fund	Swap equity contracts		36,527,373		—		36,527,373		—			(35,560,000	)		967,373
StylePlus—Mid Growth Fund	Swap equity contracts		13,076,122		—		13,076,122		—			(11,470,000	)		1,606,122

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								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	Custom basket swap agreements	$	3,153,034	$	—	$	3,153,034	$	(3,153,034	)	$	—	$	—
Market Neutral Real Estate Fund	Custom basket swap agreements		3,268,167		—		3,268,167		(3,268,167	)		—		—
Risk Managed Real Estate Fund	Custom basket swap agreements		4,618,322		—		4,618,322		(4,618,322	)		—		—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Risk Managed Real Estate Fund	Morgan Stanley Capital Services LLC	Custom basket swap agreements	$	—	$	1,478,030
StylePlus—Large Core Fund	Morgan Stanley Capital Services LLC	Futures contracts		55,000		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		35,560,000
				55,000		35,560,000
StylePlus—Mid Growth Fund	Citibank N.A., New York	Total return swap agreements		—		11,470,000
	Morgan Stanley Capital Services LLC	Futures contracts		213,500		—
				213,500		11,470,000
World Equity Income Fund	BofA Securities, Inc.	Futures contracts		153,000		—

Note 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117

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.

Note 5 – Investment Advisory Agreement and Other Agreements

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		0.90	%
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	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board 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.

Contractual expense limitation agreements 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 or interest 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		1.76	%		05/31/17		02/01/22
Alpha Opportunity Fund – C-Class		2.51	%		05/31/17		02/01/22
Alpha Opportunity - P-Class		1.76	%		05/31/17		02/01/22
Alpha Opportunity Fund – Institutional Class		1.51	%		05/31/17		02/01/22
Large Cap Value Fund – A-Class		1.15	%		11/30/12		02/01/22
Large Cap Value Fund – C-Class		1.90	%		11/30/12		02/01/22
Large Cap Value Fund – P-Class		1.15	%		05/01/15		02/01/22
Large Cap Value Fund – Institutional Class		0.90	%		06/05/13		02/01/22
Market Neutral Real Estate Fund – A-Class		1.65	%		02/26/16		02/01/22
Market Neutral Real Estate Fund – C-Class		2.40	%		02/26/16		02/01/22
Market Neutral Real Estate Fund – P-Class		1.65	%		02/26/16		02/01/22
Market Neutral Real Estate Fund – Institutional Class		1.40	%		02/26/16		02/01/22
Risk Managed Real Estate Fund – A-Class		1.30	%		03/26/14		02/01/22
Risk Managed Real Estate Fund – C-Class		2.05	%		03/26/14		02/01/22
Risk Managed Real Estate Fund – P-Class		1.30	%		05/01/15		02/01/22
Risk Managed Real Estate Fund – Institutional Class		1.10	%		03/26/14		02/01/22
Small Cap Value Fund – A-Class		1.30	%		11/30/12		02/01/22
Small Cap Value Fund – C-Class		2.05	%		11/30/12		02/01/22
Small Cap Value Fund – P-Class		1.30	%		05/01/15		02/01/22
Small Cap Value Fund – Institutional Class		1.05	%		11/30/12		02/01/22
World Equity Income Fund – A-Class		1.22	%		08/15/13		02/01/22
World Equity Income Fund – C-Class		1.97	%		08/15/13		02/01/22
World Equity Income Fund – P-Class		1.22	%		05/01/15		02/01/22
World Equity Income Fund – Institutional Class		0.97	%		08/15/13		02/01/22

118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI and GPIM are 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. For purposes of this arrangement, GI and GPIM are entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI or GPIM. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire dureing the years ended September 30, are presented in the following table:

Fund	2021		2022		2023		2024		Total
Alpha Opportunity Fund
A-Class	$	—	$	—	$	1,631	$	2,325	$	3,956
C-Class		574		594		949		387		2,504
P-Class		—		32		546		1,721		2,299
Institutional Class		—		—		—		7,162		7,162
Large Cap Value Fund
A-Class		41,638		86,271		123,000		69,198		320,107
C-Class		3,867		5,745		6,365		2,856		18,833
P-Class		435		654		1,005		522		2,616
Institutional Class		2,032		9,093		2,945		1,533		15,603
Market Neutral Real Estate Fund
A-Class		13,250		61,944		55,287		13,649		144,130
C-Class		—		2,911		1,909		491		5,311
P-Class		14,497		6,884		8,658		9,343		39,382
Institutional Class		136,635		115,010		79,024		38,109		368,778
Risk Managed Real Estate Fund
A-Class		—		—		—		89		89
C-Class		850		741		611		321		2,523
P-Class		—		—		9,087		1,493		10,580
Institutional Class		—		—		—		655		655
Small Cap Value Fund
A-Class		63,311		101,617		118,318		64,475		347,721
C-Class		22,114		21,993		25,348		14,545		84,000
P-Class		180		491		1,268		586		2,525
Institutional Class		23,564		35,461		35,467		19,816		114,308
World Equity Income Fund
A-Class		54,399		89,463		120,308		60,107		324,277
C-Class		7,811		11,022		13,263		5,764		37,860
P-Class		285		318		359		178		1,140
Institutional Class		3,036		27,702		16,027		4,132		50,897

For the period ended March 31, 2021, GI recouped amounts from the Funds as follows:

Alpha Opportunity Fund	$	1,833
Risk Managed Real Estate Fund		17,250
World Equity Income Fund		455

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended March 31, 2021, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
StylePlus—Large Core Fund	$	62,558
StylePlus—Mid Growth Fund		34,217

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. 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 and custodian services, MUIS and BNY are 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, 2021, 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		71	%

Note 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 or federal excise 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Unrealized Appreciation
Alpha Opportunity Fund	$	35,025,903	$	5,555,766	$	(3,349,166	)	$	2,206,600
Large Cap Value Fund		29,417,013		10,470,965		(845,981	)		9,624,984
Market Neutral Real Estate Fund		66,335,798		4,084,316		(3,557,145	)		527,171
Risk Managed Real Estate Fund		375,983,636		42,291,496		(6,372,313	)		35,919,183
Small Cap Value Fund		5,745,055		1,993,139		(273,933	)		1,719,206
StylePlus—Large Core Fund		231,385,403		44,561,496		(276,498	)		44,284,998
StylePlus—Mid Growth Fund		101,878,462		16,415,367		(277,656	)		16,137,711
World Equity Income Fund		43,134,409		8,668,367		(391,695	)		8,276,672

120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 7 – Securities Transactions

For the period ended March 31, 2021, 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	$	21,639,835	$	30,639,144
Large Cap Value Fund		3,016,857		4,939,154
Market Neutral Real Estate Fund		103,016,775		90,925,967
Risk Managed Real Estate Fund		237,354,674		206,466,594
Small Cap Value Fund		736,185		927,926
StylePlus—Large Core Fund		39,806,025		20,928,093
StylePlus—Mid Growth Fund		30,610,809		20,125,500
World Equity Income Fund		49,306,935		51,393,557

Note 8 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

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 allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 9 – Large Shareholder Risk

As of March 31, 2021, 70.7% of the Alpha Opportunity Fund (the “Fund”) was held by Guggenheim Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.

Note 10 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Funds’ investments and shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 11 – Subsequent Events

The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

122 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123

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

Name, Address* and Year of Birth	Position(s) Held with 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
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

124 | 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 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

126 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) 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); Managing 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, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

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electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Diversified Income Fund

Guggenheim High Yield Fund

Guggenheim Core Bond Fund (formerly,
Guggenheim Investment Grade Bond Fund)

Guggenheim Municipal Income Fund

GuggenheimInvestments.com SBINC-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
DIVERSIFIED INCOME FUND	9
HIGH YIELD FUND	18
CORE BOND FUND	38
MUNICIPAL INCOME FUND	65
NOTES TO FINANCIAL STATEMENTS	80
OTHER INFORMATION	98
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	99
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	104

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

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 semi-annual period ended March 31, 2021.

On April 23, 2021, the name of Guggenheim Investment Grade Bond Fund changed to Guggenheim Core Bond Fund. This name change did not result in changes to the Fund’s investment objective, principal investment strategies or principal risks.

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,

Security Investors, LLC,
Guggenheim Partners Investment Management, LLC,

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Diversified Income Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the fund to greater volatility. ● Derivatives may pose risks in addition to and greater than those associated with investing directly in securities or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. ● Stock prices, especially stock prices of smaller companies, can be volatile as they reflect changes in the issuing company’s financial conditions and changes in the overall market ● Some asset-backed securities, including mortgage-backed securities, may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices very volatile and they are subject to liquidity risk.● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● Master limited partnerships (“MLPs”) are subject to certain risks inherent in the structure of MLPs, including tax risks, limited control and voting rights and potential conflicts of interest. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments and investment strategies, including investments in MLPs and certain investment vehicles, may be subject to special and complex federal income tax provisions that may adversely affect the Fund and its distributions to shareholders. ● Leveraging will exaggerate the effect on NAV of any increase or decrease in the market value of the Fund’s portfolio. ● Please read the prospectus for more detailed information regarding these and other risks.

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March 31, 2021

High Yield Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Core Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Municipal Income Fund may not be suitable for all investors. ● The Fund will be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments and adverse changes in the financial conditions of state and municipal issuers or the federal government in case it provides financial support to the municipality. Income from municipal bonds held by the Fund could be declared taxable because of changes in tax laws. The Fund may invest in securities that generate taxable income. A portion of the Fund’s otherwise tax-exempt dividends may be taxable to those shareholders subject to the alternative minimum tax. ● Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the Fund and the overall municipal market. ● Municipalities currently experience budget shortfalls, which could cause them to default on their debt and thus subject the Fund to unforeseen losses. ● Like other funds that hold bonds and other fixed-income investments, the Fund’s market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high-yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●Instruments and strategies (such as reverse repurchase agreements, unfunded commitments, tender option bonds, and borrowings) may expose the Fund to many of the same risks as investments in derivatives and may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the yield on the two-year U.S. Treasury Note rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year U.S. Treasury Note climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year U.S. Treasury Note and 10-year U.S. Treasury Note widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which the Federal Reserve (the “Fed”) regards as a transitory, short-term phenomenon. Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s^® (“S&P 500^® ”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point — one basis point is equal to 0.01%.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

*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 Municipal Bond Index is a broad market performance benchmark for the tax-exempt bond market. The bonds included in this index must have a minimum credit rating of at least Baa.

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.

ICE 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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2020 and ending March 31, 2021.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund
A-Class	0.81%	11.19%	$ 1,000.00	$ 1,111.90	$ 4.26
C-Class	1.54%	10.80%	1,000.00	1,108.00	8.09
P-Class	0.80%	11.17%	1,000.00	1,111.70	4.21
Institutional Class	0.55%	11.35%	1,000.00	1,113.50	2.90
High Yield Fund
A-Class	1.06%	6.54%	1,000.00	1,065.40	5.46
C-Class	1.91%	6.08%	1,000.00	1,060.80	9.81
P-Class	1.17%	6.41%	1,000.00	1,064.10	6.02
Institutional Class	0.87%	6.60%	1,000.00	1,066.00	4.48
R6-Class	0.77%	6.62%	1,000.00	1,066.20	3.97
Core Bond Fund
A-Class	0.79%	(0.99%)	1,000.00	990.10	3.92
C-Class	1.54%	(1.36%)	1,000.00	986.40	7.63
P-Class	0.79%	(1.04%)	1,000.00	989.60	3.92
Institutional Class	0.50%	(0.89%)	1,000.00	991.10	2.48
Municipal Income Fund
A-Class	0.80%	2.65%	1,000.00	1,026.50	4.04
C-Class	1.55%	2.28%	1,000.00	1,022.80	7.82
P-Class	0.80%	2.73%	1,000.00	1,027.30	4.04
Institutional Class	0.55%	2.78%	1,000.00	1,027.80	2.78

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund
A-Class	0.81%	5.00%	$ 1,000.00	$ 1,020.89	$ 4.08
C-Class	1.54%	5.00%	1,000.00	1,017.25	7.75
P-Class	0.80%	5.00%	1,000.00	1,020.94	4.03
Institutional Class	0.55%	5.00%	1,000.00	1,022.19	2.77
High Yield Fund
A-Class	1.06%	5.00%	1,000.00	1,019.65	5.34
C-Class	1.91%	5.00%	1,000.00	1,015.41	9.60
P-Class	1.17%	5.00%	1,000.00	1,019.10	5.89
Institutional Class	0.87%	5.00%	1,000.00	1,020.59	4.38
R6-Class	0.77%	5.00%	1,000.00	1,021.09	3.88
Core Bond Fund
A-Class	0.79%	5.00%	1,000.00	1,020.99	3.98
C-Class	1.54%	5.00%	1,000.00	1,017.25	7.75
P-Class	0.79%	5.00%	1,000.00	1,020.99	3.98
Institutional Class	0.50%	5.00%	1,000.00	1,022.44	2.52
Municipal Income Fund
A-Class	0.80%	5.00%	1,000.00	1,020.94	4.03
C-Class	1.55%	5.00%	1,000.00	1,017.20	7.80
P-Class	0.80%	5.00%	1,000.00	1,020.94	4.03
Institutional Class	0.55%	5.00%	1,000.00	1,022.19	2.77

¹ Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the period would be:

	A-Class	C-Class	P-Class	Institutional Class	R-6 Class
Diversified Income Fund	0.77%	1.51%	0.77%	0.52%	N/A
High Yield Fund	1.06%	1.88%	1.14%	0.84%	0.74%
Core Bond Fund	0.78%	1.52%	0.77%	0.49%	N/A
Municipal Income Fund	0.80%	1.55%	0.80%	0.55%	N/A

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, 2020 to March 31, 2021.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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 or investments in Guggenheim Ultra Short Duration Fund.

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 — R6-Class	22.7%
Guggenheim Floating Rate Strategies Fund — R6-Class	18.2%
Guggenheim RBP Dividend Fund — Institutional Class	15.9%
Guggenheim Investment Grade Bond Fund — Institutional Class	13.6%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	10.2%
Guggenheim World Equity Income Fund — Institutional Class	5.0%
Guggenheim Ultra Short Duration Fund — Institutional Class	1.0%
Virtus AllianzGI Diversified Income & Convertible Fund	0.4%
First Trust Energy Income and Growth Fund	0.4%
Calamos Convertible Opportunities and Income Fund	0.4%
Top Ten Total	87.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (01/29/16)
A-Class Shares	11.19%	21.01%	5.83%	6.16%
A-Class Shares with sales charge‡	6.76%	16.18%	4.97%	5.33%
C-Class Shares	10.80%	20.10%	5.05%	5.38%
C-Class Shares with CDSC§	9.80%	19.10%	5.05%	5.38%
P-Class Shares	11.17%	21.00%	5.82%	6.15%
Institutional Class Shares	11.35%	21.28%	6.08%	6.42%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	3.32%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.00%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
DIVERSIFIED INCOME FUND

	Shares		Value
MUTUAL FUNDS† - 86.6%
Guggenheim High Yield Fund — R6-Class1		154,259	$	1,661,370
Guggenheim Floating Rate Strategies Fund — R6-Class1		53,521		1,333,203
Guggenheim RBP Dividend Fund — Institutional Class1		82,486		1,162,222
Guggenheim Investment Grade Bond Fund — Institutional Class1		50,687		994,977
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		22,267		745,067
Guggenheim World Equity Income Fund — Institutional Class1		20,169		370,505
Guggenheim Ultra Short Duration Fund — Institutional Class1		7,191		71,618
Total Mutual Funds
(Cost $5,692,710)				6,338,962
CLOSED-END FUNDS† - 11.1%
Virtus AllianzGI Diversified Income & Convertible Fund		904		28,413
First Trust Energy Income and Growth Fund		2,100		28,119
Calamos Convertible Opportunities and Income Fund		1,944		27,644
Neuberger Berman High Yield Strategies Fund, Inc.		2,113		27,237
Royce Value Trust, Inc.		1,500		27,165
John Hancock Premium Dividend Fund		1,750		26,127
Eaton Vance Tax-Advantaged Dividend Income Fund		962		25,272
Western Asset High Income Fund II, Inc.		3,448		23,791
BlackRock Enhanced Equity Dividend Trust		2,500		23,650
PIMCO High Income Fund		3,500		23,590
John Hancock Investors Trust		1,278		22,991
Invesco High Income Trust II		1,650		22,968
Cohen & Steers REIT and Preferred and Income Fund, Inc.		940		22,927
John Hancock Preferred Income Fund II		1,100		22,880
Eaton Vance Enhanced Equity Income Fund II		1,058		22,863
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		1,470		22,770
Ares Dynamic Credit Allocation Fund, Inc.		1,500		22,545
Eaton Vance Tax-Managed Buy-Write Income Fund		1,400		22,036
Brookfield Real Assets Income Fund, Inc.		1,040		21,528
Western Asset Premier Bond Fund		1,529		21,482
Pioneer High Income Trust		2,284		21,401
Tekla Life Sciences Investors		1,050		20,695
DoubleLine Income Solutions Fund		1,123		20,394
Reaves Utility Income Fund		600		20,100
BlackRock Limited Duration Income Trust		1,200		20,100
KKR Income Opportunities Fund		1,266		20,028
PIMCO Dynamic Income Fund		695		19,564
John Hancock Income Securities Trust		1,250		19,513
PGIM High Yield Bond Fund, Inc.		1,242		19,450
Eaton Vance Limited Duration Income Fund		1,500		18,945
Blackstone Strategic Credit Fund		1,419		18,915
Voya Infrastructure Industrials and Materials Fund		1,500		18,570
Ivy High Income Opportunities Fund		1,308		17,841
BlackRock Credit Allocation Income Trust		1,205		17,689
Western Asset Emerging Markets Debt Fund, Inc.		1,330		17,583
Western Asset Global Corporate Defined Opportunity Fund, Inc.		983		17,311
Apollo Senior Floating Rate Fund, Inc.		1,074		15,960
Total Closed-End Funds
(Cost $677,137)				810,057
MONEY MARKET FUND† - 1.9%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		140,699		140,699
Total Money Market Fund
(Cost $140,699)				140,699
Total Investments - 99.6%
(Cost $6,510,546)			$	7,289,718
Other Assets & Liabilities, net - 0.4%				29,993
Total Net Assets - 100.0%			$	7,319,711

†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of March 31, 2021.
	REIT — Real Estate Investment Trust
	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, 2021
DIVERSIFIED INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Mutual Funds	$	6,338,962	$	—	$	—	$	6,338,962
Closed-End Funds		810,057		—		—		810,057
Money Market Fund		140,699		—		—		140,699
Total Assets	$	7,289,718	$	—	$	—	$	7,289,718

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 03/31/21		Shares 03/31/21		Investment Income		Capital Gain Distributions
Mutual Funds
Guggenheim Floating Rate Strategies Fund — R6-Class	$	1,051,568	$	253,129	$	(15,280	)	$	(583	)	$	44,369		$	1,333,203		53,521	$	23,158	$	—
Guggenheim High Yield Fund — R6-Class		1,501,803		341,134		(239,993	)		(4,411	)		62,837			1,661,370		154,259		40,342		—
Guggenheim Investment Grade Bond Fund — Institutional Class		1,312,112		419,911		(686,964	)		20,550			(70,632	)		994,977		50,687		17,807		27,120
Guggenheim RBP Dividend Fund — Institutional Class		614,550		299,788		—			—			247,884			1,162,222		82,486		19,799		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		625,585		51,133		—			—			68,349			745,067		22,267		7,779		35,865
Guggenheim Ultra Short Duration Fund — Institutional Class		343,979		774		(272,995	)		4,955			(5,095	)		71,618		7,191		774		—
Guggenheim World Equity Income Fund — Institutional Class		307,075		3,525		(9,886	)		1,762			68,029			370,505		20,169		3,524		—
	$	5,756,672	$	1,369,394	$	(1,225,118	)	$	22,273		$	415,741		$	6,338,962			$	113,183	$	62,985

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

DIVERSIFIED INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $817,836)	$	950,756
Investments in affiliated issuers, at value (cost $5,692,710)		6,338,962
Cash		451
Prepaid expenses		44,044
Receivables:
Dividends		29,525
Investment Adviser		12,521
Total assets		7,376,259
Liabilities:
Payable for:
Securities purchased		28,573
Professional fees		17,093
Fund accounting/administration fees		5,137
Transfer agent/maintenance fees		2,479
Trustees’ fees*		755
Distribution and service fees		278
Fund shares redeemed		37
Miscellaneous		2,196
Total liabilities		56,548
Net assets	$	7,319,711
Net assets consist of:
Paid in capital	$	6,771,780
Total distributable earnings (loss)		547,931
Net assets	$	7,319,711
A-Class:
Net assets	$	325,996
Capital shares outstanding		11,800
Net asset value per share	$	27.63
Maximum offering price per share (Net asset value divided by 96.00%)	$	28.78
C-Class:
Net assets	$	217,866
Capital shares outstanding		7,911
Net asset value per share	$	27.54
P-Class:
Net assets	$	141,868
Capital shares outstanding		5,139
Net asset value per share	$	27.61
Institutional Class:
Net assets	$	6,633,981
Capital shares outstanding		240,205
Net asset value per share	$	27.62

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	31,067
Dividends from securities of affiliated issuers		113,183
Total investment income		144,250
Expenses:
Management fees		26,062
Distribution and service fees:
A-Class		352
C-Class		1,040
P-Class		169
Transfer agent/maintenance fees:
A-Class		699
C-Class		529
P-Class		319
Institutional Class		11,224
Registration fees		43,519
Professional fees		20,801
Fund accounting/administration fees		16,953
Trustees’ fees*		8,567
Custodian fees		3,369
Tax expense		921
Line of credit fees		123
Miscellaneous		2,851
Total expenses		137,498
Less:
Expenses reimbursed by Adviser:
A-Class		(3,114	)
C-Class		(2,325	)
P-Class		(1,482	)
Institutional Class		(65,484	)
Expenses waived by Adviser		(44,318	)
Total waived/reimbursed expenses		(116,723	)
Net expenses		20,775
Net investment income		123,475
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		7,062
Investments in affiliated issuers		22,273
Distributions received from affiliated investment companies		62,985
Net realized gain		92,320
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		112,195
Investments in affiliated issuers		415,741
Net change in unrealized appreciation (depreciation)		527,936
Net realized and unrealized gain		620,256
Net increase in net assets resulting from operations	$	743,731

* 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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	123,475		$	225,886
Net realized gain (loss) on investments		92,320			(347,868	)
Net change in unrealized appreciation (depreciation) on investments		527,936			(129,464	)
Net increase (decrease) in net assets resulting from operations		743,731			(251,446	)
Distributions to shareholders:
A-Class		(4,855	)		(9,360	)
C-Class		(2,853	)		(14,474	)
P-Class		(2,349	)		(4,452	)
Institutional Class		(117,412	)		(223,499	)
Total distributions to shareholders		(127,469	)		(251,785	)
Capital share transactions:
Proceeds from sale of shares
A-Class		33,999			8,040
C-Class		100			93,138
P-Class		880			1,813
Institutional Class		—			44,460
Distributions reinvested
A-Class		4,855			9,360
C-Class		2,853			14,474
P-Class		2,349			4,452
Institutional Class		117,412			223,499
Cost of shares redeemed
A-Class		(4,865	)		(10,391	)
C-Class		(274	)		(648,757	)
P-Class		(1,163	)		(1,269	)
Institutional Class		(9,500	)		(69,589	)
Net increase (decrease) from capital share transactions		146,646			(330,770	)
Net increase (decrease) in net assets		762,908			(834,001	)
Net assets:
Beginning of period		6,556,803			7,390,804
End of period	$	7,319,711		$	6,556,803
Capital share activity:
Shares sold
A-Class		1,236			299
C-Class		4			3,804
P-Class		33			72
Institutional Class		—			1,735
Shares issued from reinvestment of distributions
A-Class		182			362
C-Class		108			547
P-Class		88			173
Institutional Class		4,412			8,661
Shares redeemed
A-Class		(183	)		(387	)
C-Class		(11	)		(26,782	)
P-Class		(44	)		(51	)
Institutional Class		(354	)		(2,776	)
Net increase (decrease) in shares		5,471			(14,343	)

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	25.27		$	26.99		$	26.70		$	27.58		$	27.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.45			.81			.86			.91			.96			.76
Net gain (loss) on investments (realized and unrealized)		2.37			(1.63	)		.50			(.70	)		.89			2.03
Total from investment operations		2.82			(.82	)		1.36			.21			1.85			2.79
Less distributions from:
Net investment income		(.46	)		(.81	)		(.77	)		(.90	)		(.95	)		(.67	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)		—
Total distributions		(.46	)		(.90	)		(1.07	)		(1.09	)		(1.39	)		(.67	)
Net asset value, end of period	$	27.63		$	25.27		$	26.99		$	26.70		$	27.58		$	27.12
Total Returnd		11.19	%		(3.06	%)		5.31	%		0.78	%		7.00	%		11.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	326		$	267		$	278		$	141		$	138		$	132
Ratios to average net assets:
Net investment income (loss)		3.38	%		3.14	%		3.26	%		3.37	%		3.53	%		4.35	%
Total expensese		4.29	%		4.24	%		4.03	%		4.83	%		4.16	%		3.31	%
Net expensesf,g,h		0.81	%		0.83	%		0.85	%		0.84	%		0.85	%		0.77	%
Portfolio turnover rate		19	%		66	%		58	%		37	%		44	%		83	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	25.19		$	27.00		$	26.69		$	27.56		$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.35			.60			.69			.71			.76			.63
Net gain (loss) on investments (realized and unrealized)		2.36			(1.62	)		.46			(.69	)		.87			2.03
Total from investment operations		2.71			(1.02	)		1.15			.02			1.63			2.66
Less distributions from:
Net investment income		(.36	)		(.70	)		(.54	)		(.70	)		(.74	)		(.55	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)		—
Total distributions		(.36	)		(.79	)		(.84	)		(.89	)		(1.18	)		(.55	)
Net asset value, end of period	$	27.54		$	25.19		$	27.00		$	26.69		$	27.56		$	27.11
Total Returnd		10.80	%		(3.77	%)		4.50	%		0.08	%		6.17	%		10.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	218		$	197		$	816		$	145		$	137		$	118
Ratios to average net assets:
Net investment income (loss)		2.61	%		2.26	%		2.59	%		2.63	%		2.78	%		3.58	%
Total expensese		5.05	%		4.86	%		4.74	%		5.65	%		5.13	%		4.05	%
Net expensesf,g,h		1.54	%		1.58	%		1.59	%		1.59	%		1.60	%		1.52	%
Portfolio turnover rate		19	%		66	%		58	%		37	%		44	%		83	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	25.25		$	26.97		$	26.70		$	27.58		$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.44			.81			.85			.91			.95			.74
Net gain (loss) on investments (realized and unrealized)		2.38			(1.63	)		.51			(.70	)		.89			2.05
Total from investment operations		2.82			(.82	)		1.36			.21			1.84			2.79
Less distributions from:
Net investment income		(.46	)		(.81	)		(.79	)		(.90	)		(.93	)		(.68	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)		—
Total distributions		(.46	)		(.90	)		(1.09	)		(1.09	)		(1.37	)		(.68	)
Net asset value, end of period	$	27.61		$	25.25		$	26.97		$	26.70		$	27.58		$	27.11
Total Return		11.17	%		(3.03	%)		5.23	%		0.82	%		7.00	%		11.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	142		$	128		$	131		$	125		$	123		$	111
Ratios to average net assets:
Net investment income (loss)		3.35	%		3.14	%		3.22	%		3.37	%		3.51	%		4.32	%
Total expensese		4.27	%		4.19	%		3.97	%		4.82	%		4.23	%		3.21	%
Net expensesf,g,h		0.80	%		0.83	%		0.85	%		0.84	%		0.85	%		0.80	%
Portfolio turnover rate		19	%		66	%		58	%		37	%		44	%		83	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Period Ended September 30, 2016b
Per Share Data
Net asset value, beginning of period	$	25.26		$	26.98		$	26.72		$	27.59		$	27.11		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.48			.87			.92			.98			1.03			.79
Net gain (loss) on investments (realized and unrealized)		2.37			(1.63	)		.49			(.70	)		.89			2.04
Total from investment operations		2.85			(.76	)		1.41			.28			1.92			2.83
Less distributions from:
Net investment income		(.49	)		(.87	)		(.85	)		(.96	)		(1.00	)		(.72	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)		—
Total distributions		(.49	)		(.96	)		(1.15	)		(1.15	)		(1.44	)		(.72	)
Net asset value, end of period	$	27.62		$	25.26		$	26.98		$	26.72		$	27.59		$	27.11
Total Return		11.35	%		(2.82	%)		5.52	%		1.06	%		7.30	%		11.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,634		$	5,965		$	6,165		$	5,757		$	5,619		$	5,239
Ratios to average net assets:
Net investment income (loss)		3.60	%		3.39	%		3.47	%		3.62	%		3.78	%		4.57	%
Total expensese		3.90	%		3.78	%		3.58	%		4.42	%		3.83	%		2.93	%
Net expensesf,g,h		0.55	%		0.58	%		0.60	%		0.60	%		0.59	%		0.54	%
Portfolio turnover rate		19	%		66	%		58	%		37	%		44	%		83	%

a	Unaudited figures for the period ended March 31, 2021. 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.
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	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	—	—	0.19%
C-Class	—	0.00%*	—	—	0.19%
P-Class	—	0.00%*	—	—	0.16%
Institutional Class	—	0.00%*	—	—	0.16%

* Less than 0.01%.

^h Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.77%	0.82%	0.85%	0.84%	0.82%	0.76%
C-Class	1.51%	1.57%	1.59%	1.58%	1.57%	1.52%
P-Class	0.77%	0.82%	0.85%	0.84%	0.82%	0.79%
Institutional Class	0.52%	0.57%	0.60%	0.59%	0.57%	0.54%

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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	0.4%
AA	0.2%
BBB	8.0%
BB	47.4%
B	25.2%
CCC	6.2%
NR2	1.1%
Other Instruments	11.5%
Total Investments	100.0%

Inception Dates:
A-Class	August 5, 1996
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	July 11, 2008
R6-Class	May 15, 2017

Ten Largest Holdings (% of Total Net Assets)
SPDR Bloomberg Barclays High Yield Bond ETF	4.9%
Hunt Companies, Inc., 5.25%	1.2%
CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%	1.0%
Kraft Heinz Foods Co., 5.00%	0.9%
Hunt Companies, Inc., 6.25%	0.9%
Howmet Aerospace, Inc., 5.95%	0.8%
LPL Holdings, Inc., 4.00%	0.8%
Virgin Media Secured Finance plc, 4.50%	0.8%
LBC Tank Terminals Holding Netherlands BV, 6.88%	0.8%
PowerTeam Services LLC, 9.03%	0.8%
Top Ten Total	12.9%
“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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	6.54%	22.44%	6.91%	5.46%
A-Class Shares with sales charge‡	2.29%	17.50%	6.05%	4.95%
C-Class Shares	6.08%	21.43%	6.11%	4.66%
C-Class Shares with CDSC§	5.08%	20.43%	6.11%	4.66%
Institutional Class Shares	6.60%	22.55%	7.21%	5.72%
Bloomberg Barclays U.S. Corporate High Yield Index	7.36%	23.72%	8.06%	6.48%

��

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	6.41%	22.23%	6.91%	4.97%
Bloomberg Barclays U.S. Corporate High Yield Index	7.36%	23.72%	8.06%	5.87%

	6 Month†	1 Year	Since Inception (05/15/17)
R6-Class Shares	6.62%	22.74%	4.65%
Bloomberg Barclays U.S. Corporate High Yield Index	7.36%	23.72%	5.86%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 5, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 1.4%
Financial - 0.4%
KKR Acquisition Holdings I Corp.*		142,310	$	1,424,523
MSD Acquisition Corp.*		721		7,318
Jefferies Financial Group, Inc.		81		2,438
Colicity, Inc.*		239		2,414
RXR Acquisition Corp.*		194		1,911
Soaring Eagle Acquisition Corp.*		25		253
Total Financial				1,438,857
Utilities - 0.3%
TexGen Power LLC*,††		26,665		1,075,480
Energy - 0.3%
Unit Corp.*		80,852		988,011
Legacy Reserves, Inc.*,†††		3,452		6,041
SandRidge Energy, Inc.*		20		78
Permian Production Partners LLC*,†††		57,028		6
Total Energy				994,136
Consumer, Non-cyclical - 0.2%
ATD New Holdings, Inc.*,†††		21,488		719,848
Save-A-Lot*,†††		17,185		81,631
Cengage Learning Holdings II, Inc.*,††		2,107		29,498
Targus Group International Equity, Inc.*,†††,1		12,825		27,448
Chef Holdings, Inc.*,†††		49		3,091
Spectrum Brands Holdings, Inc.		2		170
Crimson Wine Group Ltd.*		8		53
Total Consumer, Non-cyclical				861,739
Consumer, Cyclical - 0.2%
Metro-Goldwyn-Mayer, Inc.*,††		7,040		718,080
Information Technology - 0.0%
Bruin E&P Partnership Units*,†††		44,023		42,111
Industrial - 0.0%
BP Holdco LLC*,†††,1		23,711		8,360
Vector Phoenix Holdings, LP*,†††		23,711		2,684
Total Industrial				11,044
Consumer Products - 0.0%
Fashion Holdings Intermediate Inc.*		35		875
Total Common Stocks
(Cost $4,542,691)				5,142,322
PREFERRED STOCKS†† - 2.5%
Financial - 2.5%
Wells Fargo & Co., 4.38%		74,000		1,845,560
JPMorgan Chase & Co., 4.55%*		72,000		1,843,200
Bank of America Corp., 4.38%		57,000		1,425,000
American Equity Investment Life Holding Co., 5.95%2		54,000		1,417,500
First Republic Bank, 4.13%		53,000		1,325,000
Bank of America Corp., 4.13%		40,000		991,200
Assurant, Inc., 5.25% due 01/15/61		30,000		771,600
Total Financial				9,619,060
Industrial - 0.0%
U.S. Shipping Corp.*,†††		14,718		2
Total Preferred Stocks
(Cost $9,875,000)				9,619,062
WARRANTS††† - 0.0%
SandRidge Energy, Inc.
$41.34, Expiring 10/04/22†††		505		6
$42.03, Expiring 10/04/22†††		212		3
Total Warrants
(Cost $43,811)				9
EXCHANGE-TRADED FUNDS† - 4.9%
SPDR Bloomberg Barclays High Yield Bond ETF		173,000		18,822,400
Total Exchange-Traded Funds
(Cost $18,840,947)				18,822,400
MONEY MARKET FUND† - 2.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		8,883,252		8,883,252
Total Money Market Fund
(Cost $8,883,252)				8,883,252
	Face Amount~
CORPORATE BONDS†† - 78.8%
Consumer, Non-cyclical - 15.3%
Kraft Heinz Foods Co.
5.00% due 06/04/42		2,998,000		3,366,026
4.88% due 10/01/49		1,750,000		1,957,382
4.38% due 06/01/46		1,200,000		1,251,119
5.20% due 07/15/45		325,000		374,943
US Foods, Inc.
6.25% due 04/15/254		2,748,000		2,945,856
4.75% due 02/15/294		1,350,000		1,350,000
DaVita, Inc.
3.75% due 02/15/314		3,075,000		2,946,465
4.63% due 06/01/304		850,000		864,578
Sabre GLBL, Inc.
9.25% due 04/15/254		1,500,000		1,788,750
7.38% due 09/01/254		1,450,000		1,580,137
Post Holdings, Inc.
4.50% due 09/15/314		2,925,000		2,892,825
CPI CG, Inc.
8.63% due 03/15/264		2,750,000		2,881,422
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/264		2,540,000		2,622,550
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/274		2,225,000		2,132,373

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
5.00% due 12/31/264		350,000	$	350,000
Prime Security Services Borrower LLC / Prime Finance, Inc.
5.75% due 04/15/264		1,075,000		1,160,167
3.38% due 08/31/274		1,150,000		1,115,500
Tenet Healthcare Corp.
7.50% due 04/01/254		1,700,000		1,835,439
5.13% due 11/01/274		400,000		418,280
Nielsen Finance LLC / Nielsen Finance Co.
5.88% due 10/01/304		1,675,000		1,809,000
5.00% due 04/15/224		417,000		417,086
Molina Healthcare, Inc.
4.38% due 06/15/284		1,100,000		1,131,856
5.38% due 11/15/22		900,000		943,686
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/284		1,950,000		2,025,601
AMN Healthcare, Inc.
4.63% due 10/01/274		1,150,000		1,175,875
4.00% due 04/15/294		675,000		671,625
Centene Corp.
3.00% due 10/15/30		1,100,000		1,098,174
4.25% due 12/15/27		675,000		709,729
Rent-A-Center, Inc.
6.38% due 02/15/294		1,700,000		1,802,000
Carriage Services, Inc.
6.63% due 06/01/264		1,670,000		1,753,500
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/264		1,076,000		1,197,050
Par Pharmaceutical, Inc.
7.50% due 04/01/274		1,010,000		1,073,832
Sotheby’s
7.38% due 10/15/274		975,000		1,054,326
Nathan’s Famous, Inc.
6.63% due 11/01/254		1,000,000		1,025,000
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/294		950,000		959,709
Spectrum Brands, Inc.
3.88% due 03/15/314		900,000		879,750
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/264		850,000		864,875
Charles River Laboratories International, Inc.
4.00% due 03/15/314		775,000		787,826
Central Garden & Pet Co.
4.13% due 10/15/30		725,000		732,250
Syneos Health, Inc.
3.63% due 01/15/294		750,000		729,375
Bausch Health Companies, Inc.
7.00% due 03/15/244		651,000		665,973
Prestige Brands, Inc.
3.75% due 04/01/314		425,000		405,344
Gartner, Inc.
4.50% due 07/01/284		375,000		386,719
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
6.00% due 06/30/284		242,000		196,020
9.50% due 07/31/274		171,000		185,749
Acadia Healthcare Company, Inc.
5.00% due 04/15/294		150,000		155,658
Total Consumer, Non-cyclical				58,671,400
Consumer, Cyclical - 13.7%
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/324		2,100,000		2,038,260
4.00% due 05/01/314		1,475,000		1,475,000
5.75% due 05/01/284		400,000		430,508
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		3,090,000		3,090,000
Yum! Brands, Inc.
4.63% due 01/31/32		1,975,000		2,017,788
3.63% due 03/15/31		925,000		889,378
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		1,460,000		1,518,400
5.75% due 03/01/25		1,325,000		1,346,531
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/304		1,475,000		1,423,375
3.50% due 02/15/294		850,000		827,688
JB Poindexter & Company, Inc.
7.13% due 04/15/264		2,000,000		2,112,500
Wolverine World Wide, Inc.
6.38% due 05/15/254		1,950,000		2,076,750
Live Nation Entertainment, Inc.
6.50% due 05/15/274		1,000,000		1,108,770
3.75% due 01/15/284		925,000		912,281
Titan International, Inc.
6.50% due 11/30/23		1,985,000		1,975,075
PetSmart Incorporated / PetSmart Finance Corp.
4.75% due 02/15/284		1,725,000		1,767,797
Tempur Sealy International, Inc.
4.00% due 04/15/294		1,675,000		1,666,625
Clarios Global, LP
6.75% due 05/15/254		1,475,000		1,577,808
Boyd Gaming Corp.
8.63% due 06/01/254		1,375,000		1,529,000
Williams Scotsman International, Inc.
4.63% due 08/15/284		1,500,000		1,526,250
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/294		1,500,000		1,515,300
Wabash National Corp.
5.50% due 10/01/254		1,435,000		1,467,287
Boyne USA, Inc.
7.25% due 05/01/254		1,407,000		1,462,576
Aramark Services, Inc.
6.38% due 05/01/254		1,350,000		1,431,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
Allison Transmission, Inc.
3.75% due 01/30/314		1,150,000	$	1,114,063
4.75% due 10/01/274		200,000		212,560
Scotts Miracle-Gro Co.
4.00% due 04/01/314		1,300,000		1,281,800
Murphy Oil USA, Inc.
3.75% due 02/15/314		1,300,000		1,277,803
Crocs, Inc.
4.25% due 03/15/294		1,300,000		1,271,413
Performance Food Group, Inc.
6.88% due 05/01/254		1,100,000		1,174,250
Cedar Fair, LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC
5.50% due 05/01/254		1,000,000		1,050,900
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/264		925,000		983,090
Picasso Finance Sub, Inc.
6.13% due 06/15/254		787,000		836,188
Powdr Corp.
6.00% due 08/01/254		675,000		711,349
CD&R Smokey Buyer, Inc.
6.75% due 07/15/254		650,000		697,125
Hanesbrands, Inc.
5.38% due 05/15/254		650,000		687,781
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		600,000		657,000
Burlington Coat Factory Warehouse Corp.
6.25% due 04/15/254		600,000		636,000
Levi Strauss & Co.
3.50% due 03/01/314		625,000		603,125
Vail Resorts, Inc.
6.25% due 05/15/254		525,000		559,781
Six Flags Theme Parks, Inc.
7.00% due 07/01/254		425,000		459,944
WMG Acquisition Corp.
3.00% due 02/15/314		475,000		451,393
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/284		425,000		429,887
Clarios Global, LP / Clarios US Finance Co.
8.50% due 05/15/274		375,000		403,785
Total Consumer, Cyclical				52,685,184
Financial - 12.7%
Hunt Companies, Inc.
5.25% due 04/15/294		4,650,000		4,650,000
6.25% due 02/15/264		3,165,000		3,265,963
United Wholesale Mortgage LLC
5.50% due 11/15/254		2,575,000		2,684,438
5.50% due 04/15/294		1,475,000		1,473,156
Iron Mountain, Inc.
5.63% due 07/15/324		2,525,000		2,638,625
4.88% due 09/15/294		530,000		536,598
5.25% due 07/15/304		475,000		490,105
LPL Holdings, Inc.
4.00% due 03/15/294		3,114,000		3,137,355
NFP Corp.
6.88% due 08/15/284		2,925,000		3,037,905
SBA Communications Corp.
3.13% due 02/01/294		2,400,000		2,306,760
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
3.88% due 03/01/314		2,375,000		2,291,875
OneMain Finance Corp.
7.13% due 03/15/26		700,000		807,345
4.00% due 09/15/30		750,000		729,375
6.63% due 01/15/28		300,000		339,993
8.88% due 06/01/25		275,000		304,645
Newmark Group, Inc.
6.13% due 11/15/23		1,950,000		2,140,374
AmWINS Group, Inc.
7.75% due 07/01/264		1,825,000		1,952,750
Jefferies Finance LLC / JFIN Company-Issuer Corp.
6.25% due 06/03/264		1,775,000		1,863,750
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		1,650,000		1,784,062
Kennedy-Wilson, Inc.
5.00% due 03/01/31		1,225,000		1,240,619
4.75% due 03/01/29		525,000		531,563
Greystar Real Estate Partners LLC
5.75% due 12/01/254		1,400,000		1,438,500
Home Point Capital, Inc.
5.00% due 02/01/264		1,375,000		1,361,250
Charles Schwab Corp.
4.00% 2,5		1,325,000		1,300,686
Assurant, Inc.
7.00% due 03/27/482		950,000		1,083,000
Goldman Sachs Group, Inc.
5.30% 2,5		950,000		1,047,375
American Equity Investment Life Holding Co.
5.00% due 06/15/27		822,000		912,924
USI, Inc.
6.88% due 05/01/254		775,000		788,563
Wilton Re Finance LLC
5.88% due 03/30/332,4		650,000		675,621
Liberty Mutual Group, Inc.
4.30% due 02/01/614		750,000		674,052
HUB International Ltd.
7.00% due 05/01/264		575,000		597,086
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/274		425,000		428,867
Quicken Loans LLC
5.25% due 01/15/284		400,000		421,000
Total Financial				48,936,180

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
Communications - 12.0%
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/324		3,875,000	$	3,923,437
4.25% due 02/01/314		475,000		476,055
Level 3 Financing, Inc.
3.63% due 01/15/294		1,825,000		1,767,969
4.25% due 07/01/284		1,650,000		1,668,662
3.75% due 07/15/294		975,000		954,184
CSC Holdings LLC
6.50% due 02/01/294		1,225,000		1,353,625
4.13% due 12/01/304		1,150,000		1,142,272
4.63% due 12/01/304		950,000		934,434
3.38% due 02/15/314		850,000		801,125
Virgin Media Secured Finance plc
4.50% due 08/15/304		3,075,000		3,101,906
5.50% due 05/15/294		900,000		955,125
Altice France S.A.
5.13% due 01/15/294		975,000		987,187
8.13% due 02/01/274		900,000		986,490
7.38% due 05/01/264		875,000		910,000
Cengage Learning, Inc.
9.50% due 06/15/244		2,389,000		2,433,794
McGraw Hill LLC / McGraw-Hill Global Education Finance, Inc.
8.00% due 11/30/244		2,349,000		2,369,671
LCPR Senior Secured Financing DAC
6.75% due 10/15/274		1,075,000		1,146,111
5.13% due 07/15/294		950,000		966,739
Virgin Media Finance plc
5.00% due 07/15/304		1,950,000		1,947,563
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		1,975,000		1,943,795
Lamar Media Corp.
4.88% due 01/15/29		900,000		941,625
3.63% due 01/15/314		600,000		576,006
3.75% due 02/15/28		375,000		374,531
Sirius XM Radio, Inc.
4.13% due 07/01/304		1,100,000		1,101,265
5.50% due 07/01/294		700,000		756,875
Ziggo BV
4.88% due 01/15/304		1,575,000		1,609,863
Vmed O2 UK Financing I plc
4.25% due 01/31/314		1,525,000		1,482,452
Telenet Finance Luxembourg Note
5.50% due 03/01/28		1,400,000		1,470,000
AMC Networks, Inc.
4.25% due 02/15/29		1,175,000		1,142,688
T-Mobile USA, Inc.
3.30% due 02/15/514		1,200,000		1,121,484
Houghton Mifflin Harcourt Publishers, Inc.
9.00% due 02/15/254		1,000,000		1,070,000
Qualitytech, LP / QTS Finance Corp.
3.88% due 10/01/284		975,000		970,125
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		950,000		960,687
Zayo Group Holdings, Inc.
4.00% due 03/01/274		900,000		885,600
Match Group Holdings II LLC
4.63% due 06/01/284		600,000		613,056
TripAdvisor, Inc.
7.00% due 07/15/254		275,000		297,412
Total Communications				46,143,813
Industrial - 11.2%
TransDigm, Inc.
6.25% due 03/15/264		2,350,000		2,490,765
8.00% due 12/15/254		950,000		1,034,550
Howmet Aerospace, Inc.
5.95% due 02/01/37		2,700,000		3,264,435
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/284		1,575,000		1,764,000
6.25% due 03/15/264		1,275,000		1,306,875
PowerTeam Services LLC
9.03% due 12/04/254		2,750,000		3,053,325
Harsco Corp.
5.75% due 07/31/274		2,925,000		2,994,469
Great Lakes Dredge & Dock Corp.
8.00% due 05/15/22		2,925,000		2,950,594
Grinding Media, Inc. / MC Grinding Media Canada, Inc.
7.38% due 12/15/234		2,625,000		2,664,375
Cleaver-Brooks, Inc.
7.88% due 03/01/234,6		2,250,000		2,205,000
Standard Industries, Inc.
3.38% due 01/15/314		1,100,000		1,042,250
4.38% due 07/15/304		575,000		580,175
5.00% due 02/15/274		350,000		364,875
GrafTech Finance, Inc.
4.63% due 12/15/284		1,975,000		1,986,120
Masonite International Corp.
5.75% due 09/15/264		950,000		988,000
5.38% due 02/01/284		875,000		928,594
Trinity Industries, Inc.
4.55% due 10/01/24		1,290,000		1,340,994
EnerSys
4.38% due 12/15/274		1,250,000		1,278,125
Signature Aviation US Holdings, Inc.
4.00% due 03/01/284		1,225,000		1,245,727
JELD-WEN, Inc.
6.25% due 05/15/254		1,050,000		1,115,625
Amsted Industries, Inc.
4.63% due 05/15/304		1,075,000		1,088,437
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/294		625,000		653,744
6.50% due 03/15/274		350,000		367,937
American Woodmark Corp.
4.88% due 03/15/264		850,000		871,675

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/264		725,000	$	744,248
Arcosa, Inc.
4.38% due 04/15/294		700,000		700,000
EnPro Industries, Inc.
5.75% due 10/15/26		650,000		688,025
Moog, Inc.
4.25% due 12/15/274		625,000		637,500
Vertical US Newco, Inc.
5.25% due 07/15/274		550,000		575,781
TopBuild Corp.
3.63% due 03/15/294		500,000		493,750
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/294		450,000		448,875
Hillenbrand, Inc.
3.75% due 03/01/31		400,000		391,616
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/264		326,000		339,855
PGT Innovations, Inc.
6.75% due 08/01/264		255,000		270,937
Ball Corp.
2.88% due 08/15/30		275,000		264,894
Total Industrial				43,136,147
Energy - 5.5%
NuStar Logistics, LP
5.63% due 04/28/27		1,585,000		1,658,060
6.38% due 10/01/30		1,025,000		1,107,000
6.00% due 06/01/26		525,000		565,995
Parkland Corp.
4.50% due 10/01/294		1,750,000		1,756,038
6.00% due 04/01/264		1,075,000		1,124,235
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25		3,092,000		2,844,640
PDC Energy, Inc.
6.13% due 09/15/24		2,750,000		2,821,844
Indigo Natural Resources LLC
5.38% due 02/01/294		2,200,000		2,167,462
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/27		1,000,000		1,055,000
6.88% due 01/15/29		625,000		670,781
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.63% due 05/01/274		1,250,000		1,228,125
Occidental Petroleum Corp.
4.63% due 06/15/45		1,100,000		959,266
Range Resources Corp.
5.00% due 03/15/23		905,000		919,706
CVR Energy, Inc.
5.75% due 02/15/284		925,000		899,562
Rattler Midstream, LP
5.63% due 07/15/254		575,000		600,369
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		425,000		427,125
Basic Energy Services, Inc.
10.75% due 10/15/237		1,225,000		245,000
Total Energy				21,050,208
Basic Materials - 4.4%
Alcoa Nederland Holding BV
6.75% due 09/30/244		1,475,000		1,524,412
4.13% due 03/31/294		1,400,000		1,411,956
6.13% due 05/15/284		425,000		462,910
7.00% due 09/30/264		375,000		395,625
Carpenter Technology Corp.
6.38% due 07/15/28		2,150,000		2,310,561
4.45% due 03/01/23		400,000		414,493
Valvoline, Inc.
3.63% due 06/15/314		2,100,000		2,031,750
4.25% due 02/15/304		375,000		382,500
Minerals Technologies, Inc.
5.00% due 07/01/284		1,722,000		1,775,813
Kaiser Aluminum Corp.
4.63% due 03/01/284		1,215,000		1,243,613
6.50% due 05/01/254		475,000		503,358
Arconic Corp.
6.00% due 05/15/254		1,175,000		1,266,397
Ingevity Corp.
3.88% due 11/01/284		675,000		654,750
4.50% due 02/01/264		500,000		508,960
WR Grace & Company-Conn
4.88% due 06/15/274		700,000		724,640
Compass Minerals International, Inc.
6.75% due 12/01/274		650,000		695,500
Yamana Gold, Inc.
4.63% due 12/15/27		256,000		279,965
Clearwater Paper Corp.
4.75% due 08/15/284		275,000		277,062
Mirabela Nickel Ltd.
due 06/24/197,8		278,115		11,125
Total Basic Materials				16,875,390
Technology - 3.1%
NCR Corp.
8.13% due 04/15/254		1,975,000		2,165,094
5.25% due 10/01/304		1,050,000		1,063,256
6.13% due 09/01/294		800,000		847,000
5.13% due 04/15/294		700,000		707,931
Crowdstrike Holdings, Inc.
3.00% due 02/15/29		1,300,000		1,271,010
MSCI, Inc.
3.88% due 02/15/314		1,025,000		1,047,345
Twilio, Inc.
3.63% due 03/15/29		525,000		531,473
3.88% due 03/15/31		450,000		459,612

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
Boxer Parent Company, Inc.
7.13% due 10/02/254		875,000	$	938,437
Playtika Holding Corp.
4.25% due 03/15/294		700,000		689,640
Qorvo, Inc.
3.38% due 04/01/314		600,000		587,934
TeamSystem SpA
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/284,9	EUR	460,000		539,130
Open Text Holdings, Inc.
4.13% due 02/15/304		475,000		481,503
CDK Global, Inc.
5.25% due 05/15/294		325,000		348,667
PTC, Inc.
4.00% due 02/15/284		250,000		253,750
Total Technology				11,931,782
Utilities - 0.9%
Terraform Global Operating LLC
6.13% due 03/01/264		2,880,000		2,952,000
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.75% due 05/20/27		375,000		408,750
Total Utilities				3,360,750
Total Corporate Bonds
(Cost $297,361,585)				302,790,854
SENIOR FLOATING RATE INTERESTS†† - 11.2%
Consumer, Cyclical - 3.4%
American Tire Distributors, Inc.
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		1,310,093		1,277,891
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		330,924		325,341
Alexander Mann
5.36% (6 Month GBP LIBOR + 5.25%, Rate Floor: 5.25%) due 06/16/25	GBP	1,100,000		1,427,933
PetSmart LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/11/28		1,350,000		1,346,895
BBB Industries, LLC
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25		1,238,421		1,220,464
First Brands Group LLC
due 03/19/27		1,000,000		998,750
NES Global Talent
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23†††		875,455		818,551
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		783,498		748,241
PT Intermediate Holdings III LLC
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25		742,500		729,506
Accuride Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		643,527		606,982
CCRR Parent, Inc.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/06/28		600,000		600,750
Playtika Holding Corp.
due 03/13/28		600,000		596,250
Wabash National Corporation
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/28/27		590,051		588,576
EnTrans International, LLC
6.11% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24		517,500		501,975
BidFair MergeRight, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 01/15/27		417,218		418,783
Blue Nile, Inc.
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23		423,848		381,463
Apro LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26		208,942		208,290
Belk, Inc.
8.50% (3 Month USD LIBOR +7.50%, Rate Floor: 8.50%) due 07/31/25†††		62,837		62,680
Total Consumer, Cyclical				12,859,321
Industrial - 2.7%
Bhi Investments LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24		1,846,510		1,826,512
9.75% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††		1,500,000		1,473,750
Diversitech Holdings, Inc.
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25†††		1,783,737		1,783,737
American Residential Services LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/15/27		1,175,000		1,170,594
JetBlue Airways Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/17/24		1,072,500		1,096,631
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/17/28		950,000		945,250
SkyMiles IP Limited
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		805,565		845,038
YAK MAT (YAK ACCESS LLC)
10.19% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		1,025,000		830,680
Avison Young (Canada), Inc.
5.20% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.00%) due 01/30/26		539,000		537,653
Total Industrial				10,509,845

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
Communications - 2.3%
Cengage Learning Acquisitions, Inc.
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23		2,358,804	$	2,330,805
Resource Label Group LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23		1,217,243		1,130,515
9.50% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/27/23†††		1,009,662		896,075
McGraw Hill LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/01/24		1,583,506		1,580,212
Market Track LLC
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24		1,623,874		1,550,800
GTT Communications, Inc.
2.86% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25		1,410,125		1,182,446
GTT Communications BV
8.50% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) (in-kind rate was 2.50%) due 12/28/2110		360,347		365,302
Total Communications				9,036,155
Consumer, Non-cyclical - 1.7%
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		1,180,000		1,182,950
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/11/28†††		1,086,648		1,085,289
Quirch Foods Holdings LLC
6.25% (6 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 10/27/27		975,000		980,489
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		770,000		764,803
Springs Window Fashions
8.61% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		689,936		686,486
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/15/28		675,000		675,000
Moran Foods LLC
11.75% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/24†††,10		366,148		318,549
8.00% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,10		298,611		310,556
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		498,750		491,089
Total Consumer, Non-cyclical				6,495,211
Financial - 0.5%
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		1,175,000		1,175,740
Jefferies Finance LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/30/27†††		771,125		764,378
Total Financial				1,940,118
Technology - 0.3%
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		430,000		429,286
due 12/17/27†††		95,000		95,396
Peraton Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		471,030		470,639
Total Technology				995,321
Utilities - 0.2%
RS Ivy Holdco, Inc.
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 12/23/27†††		748,125		748,125
Basic Materials - 0.1%
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		350,000		349,710
Energy - 0.0%
Permian Production Partners LLC
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/23/25†††,10		377,548		45,306
Total Senior Floating Rate Interests
(Cost $43,362,136)				42,979,112
U.S. TREASURY BILLS†† - 0.8%
U.S. Treasury Bills
0.04% due 05/27/2111		2,920,000		2,919,932
Total U.S. Treasury Bills
(Cost $2,919,830)				2,919,932

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

	Face Amount~		Value
ASSET-BACKED SECURITIES†† - 0.5%
Collateralized Loan Obligations - 0.5%
Barings Middle Market CLO Ltd.
2019-IA, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/15/314,9		1,500,000	$	1,491,397
WhiteHorse X Ltd.
2015-10A, 5.52% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/274,9		750,000		611,767
Total Collateralized Loan Obligations				2,103,164
Total Asset-Backed Securities
(Cost $2,143,912)				2,103,164
SENIOR FIXED RATE INTERESTS†† - 0.0%
CONSUMER, CYCLICAL - 0.0%
Belk, Inc.
13.00% (in-kind rate was 8.00%) due 07/31/2510		256,695		164,285
Total Senior Fixed Rate Interests
(Cost $257,979)				164,285
Total Investments - 102.4%
(Cost $388,231,143)			$	393,424,392
Other Assets & Liabilities, net - (2.4)%				(9,272,300	)
Total Net Assets - 100.0%			$	384,152,092

Total Return Swap Agreements
Counterparty	Reference Obligation	Financing Rate Pay	Payment Frequency	Maturity Date		Units		Notional Amount		Value and Unrealized Depreciation
OTC Credit Index Swap Agreements††
BNP Paribas	VanEck Vectors Fallen Angel High Yield Bond ETF	0.21% (1 Month USD LIBOR + 0.10%)	Monthly		05/19/21		190,700	$	6,089,051	$	(110,606	)
BNP Paribas	VanEck Vectors Fallen Angel High Yield Bond ETF	0.21% (1 Month USD LIBOR + 0.10%)	Monthly		05/20/21		191,200		6,105,016		(116,632	)
BNP Paribas	VanEck Vectors Fallen Angel High Yield Bond ETF	0.16% (1 Month USD LIBOR + 0.05%)	Monthly		05/14/21		192,800		6,156,104		(133,032	)
								$	18,350,171	$	(360,270	)

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Barclays Bank plc		1,151,000		EUR		04/16/21	$	1,380,493	$	1,349,982	$	30,511
Goldman Sachs International		1,086,000		GBP		04/16/21		1,518,701		1,497,143		21,558
JPMorgan Chase Bank, N.A.		59,000		GBP		04/16/21		81,435		81,336		99
											$	52,168
Counterparty	Contracts to Buy		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A.		66,000		GBP		04/16/21	$	90,943	$	90,986	$	43
JPMorgan Chase Bank, N.A.		695,000		EUR		04/16/21		818,781		815,150		(3,631	)
											$	(3,588	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	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	Affiliated issuer.
2	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
3	Rate indicated is the 7-day yield as of March 31, 2021.
4	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 $244,484,832 (cost $239,745,417), or 63.6% of total net assets.
5	Perpetual maturity.
6	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2021, the total market value of segregated or earmarked securities was $2,205,000 — See Note 6.
7	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 $256,125 (cost $1,469,336), or 0.1% of total net assets — See Note 10.
8	Security is in default of interest and/or principal obligations.
9	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
10	Payment-in-kind security.
11	Rate indicated is the effective yield at the time of purchase.
	EUR — Euro
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	2,428,044	$	1,823,058	$	891,220	$	5,142,322
Preferred Stocks		—		9,619,060		2		9,619,062
Warrants		—		—		9		9
Exchange-Traded Funds		18,822,400		—		—		18,822,400
Money Market Fund		8,883,252		—		—		8,883,252
Corporate Bonds		—		302,790,854		—		302,790,854
Senior Floating Rate Interests		—		34,576,720		8,402,392		42,979,112
U.S. Treasury Bills		—		2,919,932		—		2,919,932
Asset-Backed Securities		—		2,103,164		—		2,103,164
Senior Fixed Rate Interests		—		164,285		—		164,285
Forward Foreign Currency Exchange Contracts**		—		52,211		—		52,211
Total Assets	$	30,133,696	$	354,049,284	$	9,293,623	$	393,476,603

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	3,631	$	—	$	3,631
Credit Index Swap Agreements**		—		360,270		—		360,270
Unfunded Loan Commitments (Note 9)		—		—		8,533		8,533
Total Liabilities	$	—	$	363,901	$	8,533	$	372,434

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
HIGH YIELD FUND

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $627,198 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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 March 31, 2021			Valuation Technique		Unobservable Inputs		Input Range			Weighted Average*
Assets:
Common Stocks	$	801,479	Third Party Pricing		Broker Quote				—			—
Common Stocks		47,624	Enterprise Value		Valuation Multiple				2.9x-10.4x			5.5x
Common Stocks		42,117	Model Price		Liquidation Value				—			—
Preferred Stocks		2	Model Price		Liquidation Value				—			—
Senior Floating Rate Interests		6,833,246	Third Party Pricing		Broker Quote				—			—
Senior Floating Rate Interests		1,473,750	Model Price		Market Comparable Yields				10.3	%		—
Senior Floating Rate Interests		95,396	Third Party Pricing		Vendor Price				—			—
Warrants		9	Third Party Pricing		Vendor Price				—			—
Total Assets	$	9,293,623
Liabilities:
Unfunded Loan Commitments	$	8,533	Model Price				Purchase Price		—			—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $3,313,963 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of $1,075,480 transfer into Level 2 from Level 3 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
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, 2021:

	Assets													Liabilities
	Senior Floating Rate Interests			Warrants		Common Stocks			Preferred Stocks		Total Assets			Unfunded Loan Commitments
Beginning Balance	$	7,980,655		$	—	$	2,790,320		$	—	$	10,770,975		$	(61,765	)
Purchases/(Receipts)		2,205,376			—		25,200			—		2,230,576			(53,344	)
(Sales, maturities and paydowns)/Fundings		(4,445,004	)		—		(1,076,463	)		—		(5,521,467	)		5,769
Amortization of premiums/discounts		35,633			—		—			—		35,633			471
Total realized gains (losses) included in earnings		(1,230,299	)		—		(21,994	)		—		(1,252,293	)		390,625
Total change in unrealized appreciation (depreciation) included in earnings		1,261,925			—		(470,211	)		2		791,716			(290,289	)
Transfers into Level 3		2,594,106			9		719,848			—		3,313,963			—
Transfers out of Level 3		—			—		(1,075,480	)		—		(1,075,480	)		—
Ending Balance	$	8,402,392		$	9	$	891,220		$	2	$	9,293,623		$	(8,533	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	71,075		$	—	$	400,466		$	2	$	471,543		$	5,451

Affiliated Transactions

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

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 03/31/21		Shares 03/31/21
Common Stocks
BP Holdco LLC *	$	8,360	$	—	$	—	$	—	$	—	$	8,360		23,711
Targus Group International Equity, Inc. *		26,349		—		—		—		1,099		27,448		12,825
	$	34,709	$	—	$	—	$	—	$	1,099	$	35,808

* Non-income producing security.

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $388,218,414)	$	393,388,584
Investments in affiliated issuers, at value (cost $12,729)		35,808
Foreign currency, at value (cost $2,032)		2,032
Cash		86,894
Segregated cash with broker		480,000
Unrealized appreciation on forward foreign currency exchange contracts		52,211
Prepaid expenses		56,451
Receivables:
Interest		4,346,106
Securities sold		3,327,112
Swap settlement		452,836
Fund shares sold		297,573
Investment Adviser		19,683
Dividends		578
Total assets		402,545,868
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $101,837)		8,533
Reverse repurchase agreements (Note 6)		627,198
Segregated cash due to broker		447,953
Unrealized depreciation on OTC swap agreements		360,270
Unrealized depreciation on forward foreign currency exchange contracts		3,631
Payable for:
Securities purchased		12,770,499
Fund shares redeemed		3,592,697
Distributions to shareholders		251,476
Management fees		181,191
Distribution and service fees		26,716
Fund accounting/administration fees		25,454
Transfer agent/maintenance fees		11,615
Trustees’ fees*		1,269
Miscellaneous		85,274
Total liabilities		18,393,776
Net assets	$	384,152,092
Net assets consist of:
Paid in capital	$	408,644,808
Total distributable earnings (loss)		(24,492,716	)
Net assets	$	384,152,092
A-Class:
Net assets	$	55,483,624
Capital shares outstanding		5,146,477
Net asset value per share	$	10.78
Maximum offering price per share (Net asset value divided by 96.00%)	$	11.23
C-Class:
Net assets	$	16,027,378
Capital shares outstanding		1,474,599
Net asset value per share	$	10.87
P-Class:
Net assets	$	5,440,856
Capital shares outstanding		504,524
Net asset value per share	$	10.78
Institutional Class:
Net assets	$	182,072,000
Capital shares outstanding		20,734,521
Net asset value per share	$	8.78
R6-Class:
Net assets	$	125,128,234
Capital shares outstanding		11,622,269
Net asset value per share	$	10.77

* 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 | 31

HIGH YIELD FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	368,772
Interest from securities of unaffiliated issuers		10,664,299
Total investment income		11,033,071
Expenses:
Management fees		1,157,554
Distribution and service fees:
A-Class		69,278
C-Class		82,769
P-Class		7,617
Transfer agent/maintenance fees:
A-Class		10,679
C-Class		11,310
P-Class		3,176
Institutional Class		91,268
R6-Class		379
Fund accounting/administration fees		134,804
Professional fees		50,470
Interest expense		35,675
Line of credit fees		18,095
Trustees’ fees*		13,038
Custodian fees		8,994
Miscellaneous		82,226
Recoupment of previously waived fees:
A-Class		1,550
C-Class		1,036
P-Class		1,286
Institutional Class		11,493
Total expenses		1,792,697
Less:
Expenses reimbursed by Adviser:
A-Class		(1,552	)
C-Class		(1,036	)
P-Class		(26	)
Institutional Class		(11,493	)
Expenses waived by Adviser		(14,168	)
Earnings credits applied		(219	)
Total waived/reimbursed expenses		(28,494	)
Net expenses		1,764,203
Net investment income		9,268,868
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	512,554
Swap agreements		1,863,488
Forward foreign currency exchange contracts		(101,315	)
Foreign currency transactions		74,665
Net realized gain		2,349,392
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		13,370,779
Investments in affiliated issuers		1,099
Swap agreements		(420,124	)
Forward foreign currency exchange contracts		51,050
Foreign currency translations		(211	)
Net change in unrealized appreciation (depreciation)		13,002,593
Net realized and unrealized gain		15,351,985
Net increase in net assets resulting from operations	$	24,620,853

* 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.

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	9,268,868		$	21,668,717
Net realized gain (loss) on investments		2,349,392			(18,325,259	)
Net change in unrealized appreciation (depreciation) on investments		13,002,593			360,465
Net increase in net assets resulting from operations		24,620,853			3,703,923
Distributions to shareholders:
A-Class		(1,365,884	)		(3,450,578	)
C-Class		(342,483	)		(971,742	)
P-Class		(148,776	)		(404,265	)
Institutional Class		(4,628,319	)		(10,045,586	)
R6-Class		(3,368,173	)		(8,460,132	)
Total distributions to shareholders		(9,853,635	)		(23,332,303	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,098,594			10,674,768
C-Class		1,059,803			4,404,185
P-Class		1,206,370			1,606,617
Institutional Class		31,919,405			115,479,278
R6-Class		4,828,000			4,945,592
Redemption fees collected
A-Class		350			14,618
C-Class		104			4,701
P-Class		39			1,654
Institutional Class		1,141			39,668
R6-Class		801			34,156
Distributions reinvested
A-Class		1,233,517			3,103,401
C-Class		320,357			888,143
P-Class		148,776			404,240
Institutional Class		3,237,399			7,451,076
R6-Class		3,368,173			8,460,132
Cost of shares redeemed
A-Class		(5,971,766	)		(24,211,963	)
C-Class		(2,427,810	)		(9,558,871	)
P-Class		(1,989,659	)		(3,870,858	)
Institutional Class		(31,541,491	)		(125,810,891	)
R6-Class		(15,055,891	)		(29,504,021	)
Net decrease from capital share transactions		(5,563,788	)		(35,444,375	)
Net increase (decrease) in net assets		9,203,430			(55,072,755	)
Net assets:
Beginning of period		374,948,662			430,021,417
End of period	$	384,152,092		$	374,948,662

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		380,540			1,065,945
C-Class		97,916			411,041
P-Class		113,727			155,836
Institutional Class		3,646,674			14,086,570
R6-Class		449,022			474,234
Shares issued from reinvestment of distributions
A-Class		114,972			298,678
C-Class		29,603			84,701
P-Class		13,854			38,806
Institutional Class		370,429			878,483
R6-Class		314,331			815,772
Shares redeemed
A-Class		(555,672	)		(2,389,845	)
C-Class		(224,556	)		(920,036	)
P-Class		(185,519	)		(381,340	)
Institutional Class		(3,598,812	)		(14,964,588	)
R6-Class		(1,404,521	)		(2,949,027	)
Net decrease in shares		(438,012	)		(3,294,770	)

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	10.37		$	10.90		$	11.04		$	11.50		$	11.16		$	10.79
Income (loss) from investment operations:
Net investment income (loss)b		.25			.57			.64			.68			.64			.67
Net gain (loss) on investments (realized and unrealized)		.42			(.50	)		(.12	)		(.46	)		.35			.41
Total from investment operations		.67			.07			.52			.22			.99			1.08
Less distributions from:
Net investment income		(.26	)		(.60	)		(.66	)		(.68	)		(.65	)		(.72	)
Total distributions		(.26	)		(.60	)		(.66	)		(.68	)		(.65	)		(.72	)
Redemption fees collected		—	c		—	c		—	c		—	c		—	c		.01
Net asset value, end of period	$	10.78		$	10.37		$	10.90		$	11.04		$	11.50		$	11.16
Total Returnd		6.54	%		0.84	%		4.99	%		2.00	%		9.11	%		10.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	55,484		$	53,997		$	67,916		$	75,028		$	126,097		$	87,045
Ratios to average net assets:
Net investment income (loss)		4.66	%		5.44	%		5.94	%		6.05	%		5.63	%		6.32	%
Total expensese		1.07	%		1.21	%		1.27	%		1.35	%		1.31	%		1.25	%
Net expensesf,g,h		1.06	%		1.20	%		1.26	%		1.33	%		1.29	%		1.23	%
Portfolio turnover rate		48	%		81	%		61	%		61	%		62	%		55	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	10.46		$	10.99		$	11.14		$	11.60		$	11.26		$	10.88
Income (loss) from investment operations:
Net investment income (loss)b		.21			.49			.56			.60			.56			.60
Net gain (loss) on investments (realized and unrealized)		.42			(.49	)		(.12	)		(.46	)		.35			.41
Total from investment operations		.63			—			.44			.14			.91			1.01
Less distributions from:
Net investment income		(.22	)		(.53	)		(.59	)		(.60	)		(.57	)		(.64	)
Total distributions		(.22	)		(.53	)		(.59	)		(.60	)		(.57	)		(.64	)
Redemption fees collected		—	c		—	c		—	c		—	c		—	c		.01
Net asset value, end of period	$	10.87		$	10.46		$	10.99		$	11.14		$	11.60		$	11.26
Total Returnd		6.08	%		0.09	%		4.12	%		1.27	%		8.38	%		9.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,027		$	16,437		$	21,935		$	22,350		$	30,461		$	26,941
Ratios to average net assets:
Net investment income (loss)		3.82	%		4.68	%		5.17	%		5.31	%		4.92	%		5.52	%
Total expensese		1.93	%		2.00	%		2.03	%		2.11	%		2.05	%		2.01	%
Net expensesf,g,h		1.91	%		1.99	%		2.02	%		2.09	%		2.03	%		1.98	%
Portfolio turnover rate		48	%		81	%		61	%		61	%		62	%		55	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	10.38		$	10.91		$	11.05		$	11.51		$	11.17		$	10.80
Income (loss) from investment operations:
Net investment income (loss)b		.24			.57			.64			.68			.64			.67
Net gain (loss) on investments (realized and unrealized)		.42			(.50	)		(.12	)		(.46	)		.37			.42
Total from investment operations		.66			.07			.52			.22			1.01			1.09
Less distributions from:
Net investment income		(.26	)		(.60	)		(.66	)		(.68	)		(.67	)		(.72	)
Total distributions		(.26	)		(.60	)		(.66	)		(.68	)		(.67	)		(.72	)
Redemption fees collected		—	c		—	c		—	c		—	c		—	c		—	c
Net asset value, end of period	$	10.78		$	10.38		$	10.91		$	11.05		$	11.51		$	11.17
Total Return		6.41	%		0.80	%		4.98	%		1.95	%		9.24	%		10.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,441		$	5,837		$	8,170		$	12,124		$	16,883		$	3,178
Ratios to average net assets:
Net investment income (loss)		4.56	%		5.42	%		5.93	%		6.00	%		5.58	%		6.20	%
Total expensese		1.17	%		1.26	%		1.30	%		1.45	%		1.29	%		1.17	%
Net expensesf,g,h		1.17	%		1.25	%		1.28	%		1.39	%		1.22	%		1.17	%
Portfolio turnover rate		48	%		81	%		61	%		61	%		62	%		55	%

Institutional Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	8.45		$	8.88		$	9.01		$	9.38		$	9.11		$	8.81
Income (loss) from investment operations:
Net investment income (loss)b		.21			.48			.54			.58			.56			.58
Net gain (loss) on investments (realized and unrealized)		.34			(.39	)		(.10	)		(.38	)		.28			.34
Total from investment operations		.55			.09			.44			.20			.84			.92
Less distributions from:
Net investment income		(.22	)		(.52	)		(.57	)		(.57	)		(.57	)		(.62	)
Total distributions		(.22	)		(.52	)		(.57	)		(.57	)		(.57	)		(.62	)
Redemption fees collected		—	c		—	c		—	c		—	c		—	c		—	c
Net asset value, end of period	$	8.78		$	8.45		$	8.88		$	9.01		$	9.38		$	9.11
Total Return		6.60	%		1.14	%		5.15	%		2.27	%		9.56	%		10.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	182,072		$	171,641		$	180,442		$	125,945		$	194,280		$	141,833
Ratios to average net assets:
Net investment income (loss)		4.84	%		5.67	%		6.17	%		6.28	%		6.00	%		6.58	%
Total expensese		0.89	%		0.98	%		0.99	%		1.14	%		0.94	%		0.95	%
Net expensesf,g,h		0.87	%		0.96	%		0.97	%		1.11	%		0.93	%		0.94	%
Portfolio turnover rate		48	%		81	%		61	%		61	%		62	%		55	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (concluded)

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

R6-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Period Ended September 30, 2017i
Per Share Data
Net asset value, beginning of period	$	10.36		$	10.89		$	11.03		$	11.49		$	11.45
Income (loss) from investment operations:
Net investment income (loss)b		.26			.60			.68			.72			.24
Net gain (loss) on investments (realized and unrealized)		.43			(.49	)		(.12	)		(.46	)		.04
Total from investment operations		.69			.11			.56			.26			.28
Less distributions from:
Net investment income		(.28	)		(.64	)		(.70	)		(.72	)		(.24	)
Total distributions		(.28	)		(.64	)		(.70	)		(.72	)		(.24	)
Redemption fees collected		—	c		—	c		—	c		—	c		—	c
Net asset value, end of period	$	10.77		$	10.36		$	10.89		$	11.03		$	11.49
Total Return		6.62	%		1.19	%		5.39	%		2.34	%		2.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	125,128		$	127,037		$	151,558		$	190,421		$	200,099
Ratios to average net assets:
Net investment income (loss)		4.95	%		5.79	%		6.31	%		6.41	%		5.41	%
Total expensese		0.78	%		0.85	%		0.89	%		1.00	%		0.82	%
Net expensesf,g,h		0.77	%		0.85	%		0.88	%		1.00	%		0.82	%
Portfolio turnover rate		48	%		81	%		61	%		61	%		62	%

a	Unaudited figures for the period ended March 31, 2021. 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	Redemption fees collected are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.01%	0.05%	0.05%	—	0.09%
C-Class	0.01%	0.04%	0.05%	—	0.06%
P-Class	0.04%	0.02%	0.01%	0.03%	0.00%*
Institutional Class	0.01%	0.02%	0.02%	0.04%	0.00%*
R6-Class	0.00%*	0.00%*	0.00%*	—	—

* Less than 0.01%.

^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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.06%	1.12%	1.15%	1.10%	1.15%	1.16%
C-Class	1.88%	1.90%	1.91%	1.86%	1.89%	1.91%
P-Class	1.14%	1.16%	1.16%	1.16%	1.08%	1.09%
Institutional Class	0.84%	0.87%	0.88%	0.88%	0.79%	0.87%
R6-Class	0.74%	0.77%	0.77%	0.77%	0.79%	—

ⁱ Since commencement of operations: May 15, 2017. 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 | 37

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

CORE BOND FUND

OBJECTIVE: Seeks to provide current income.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	25.5%
AA	11.9%
A	19.1%
BBB	30.7%
BB	1.8%
B	1.3%
CC	0.1%
C	0.1%
NR2	0.9%
Other Instruments	8.6%
Total Investments	100.0%

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

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes, 1.13%	4.4%
Pershing Square Tontine Holdings, Ltd. — Class A	1.0%
Cerberus Loan Funding XXX, LP, 2.08%	0.9%
Woodmont Trust, 2.05%	0.8%
U.S. Treasury Strips	0.8%
Station Place Securitization Trust, 1.11%	0.7%
Delta Air Lines, Inc., 7.00%	0.7%
First Republic Bank	0.6%
SBA Tower Trust, 2.33%	0.6%
Boeing Co., 5.15%	0.6%
Top Ten Total	11.1%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	(0.99%)	7.05%	5.03%	5.04%
A-Class Shares with sales charge‡	(4.97%)	2.77%	4.17%	4.53%
C-Class Shares	(1.36%)	6.24%	4.26%	4.29%
C-Class Shares with CDSC§	(2.32%)	5.24%	4.26%	4.29%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	3.44%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(1.04%)	6.99%	5.03%	4.42%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	3.07%

	6 Month†	1 Year	5 Year	Since Inception (01/29/13)
Institutional Class Shares	(0.89%)	7.32%	5.33%	4.94%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	2.89%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
CORE BOND FUND

	Shares		Value
COMMON STOCKS† - 1.2%
Financial - 1.2%
Pershing Square Tontine Holdings, Ltd. — Class A*		622,890	$	14,955,589
KKR Acquisition Holdings I Corp.*		299,316		2,996,153
RXR Acquisition Corp.*		55,149		543,218
MSD Acquisition Corp.*		46,697		473,974
Soaring Eagle Acquisition Corp.*		32,556		329,467
Colicity, Inc.*		12,785		129,128
Total Financial				19,427,529
Industrial - 0.0%
Constar International Holdings LLC*,†††		68		—
Total Common Stocks
(Cost $16,528,647)				19,427,529
PREFERRED STOCKS† - 3.0%
Financial - 3.0%
First Republic Bank 4.25%*,††		372,000		9,549,240
W R Berkley Corp., 4.13% due 03/30/61††		300,000		7,503,000
Wells Fargo & Co., 4.38%††		210,000		5,237,400
Wells Fargo & Co., 4.70%††		148,000		3,766,600
PartnerRe Ltd., 4.88%*		140,000		3,694,600
Bank of America Corp., 4.13%††		148,000		3,667,440
Public Storage, 4.63%††		118,400		3,180,224
Bank of America Corp., 4.38%††		106,000		2,650,000
American Financial Group, Inc., 4.50% due 09/15/60††		86,800		2,301,068
First Republic Bank, 4.13%		53,200		1,330,000
CNO Financial Group, Inc., 5.13% due 11/25/60††		48,000		1,209,600
Assurant, Inc., 5.25% due 01/15/61††		38,000		977,360
Public Storage, 4.13%††		30,400		784,624
W R Berkley Corp., 4.25% due 09/30/60††		25,600		652,032
Total Financial				46,503,188
Industrial - 0.0%
Constar International Holdings LLC*,†††		7		—
Total Preferred Stocks
(Cost $45,610,000)				46,503,188
WARRANTS† - 0.0%
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25		69,210		564,062
Total Warrants
(Cost $393,044)				564,062
CLOSED-END FUNDS† - 0.2%
BlackRock MuniHoldings California Quality Fund, Inc.		115,612		1,739,961
BlackRock MuniYield California Quality Fund, Inc.		99,320		1,462,983
Total Closed-End Funds
(Cost $3,178,538)				3,202,944
MONEY MARKET FUND† - 4.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		65,627,736		65,627,736
Total Money Market Fund
(Cost $65,627,736)				65,627,736
	Face Amount~
CORPORATE BONDS†† - 45.3%
Financial - 19.6%
Wells Fargo & Co.
3.07% due 04/30/412		8,550,000		8,361,002
3.90%2,3		3,250,000		3,282,175
2.57% due 02/11/312		1,180,000		1,188,992
Charles Schwab Corp.
4.00%2,3		8,000,000		7,853,200
5.38%2,3		3,050,000		3,380,925
American International Group, Inc.
3.40% due 06/30/30		5,120,000		5,438,584
4.38% due 06/30/50		4,280,000		4,871,055
JPMorgan Chase & Co.
3.11% due 04/22/412		3,530,000		3,503,341
2.52% due 04/22/312		2,210,000		2,195,950
2.96% due 05/13/312		1,870,000		1,901,888
4.49% due 03/24/312		1,600,000		1,842,244
Bank of America Corp.
2.59% due 04/29/312		6,900,000		6,877,113
2.68% due 06/19/412		2,650,000		2,475,744
Citizens Financial Group, Inc.
3.25% due 04/30/30		8,070,000		8,518,315
2.50% due 02/06/30		607,000		601,087
BPCE S.A.
2.28% due 01/20/322,4		8,200,000		7,922,111
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		7,410,000		7,755,677
Nippon Life Insurance Co.
2.75% due 01/21/512,4		8,150,000		7,732,312
Macquarie Bank Ltd.
3.62% due 06/03/304		7,470,000		7,631,419
Teachers Insurance & Annuity Association of America
3.30% due 05/15/504		7,750,000		7,516,554
Five Corners Funding Trust II
2.85% due 05/15/304		6,540,000		6,735,475
Reliance Standard Life Global Funding II
2.75% due 05/07/254		6,170,000		6,475,169
Wilton RE Ltd.
6.00% †††,2,3,4		6,350,000		6,240,335
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		3,600,000		3,720,510
5.30% due 01/15/29		1,900,000		2,129,805
Markel Corp.
6.00%2,3		5,210,000		5,665,875

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Reinsurance Group of America, Inc.
3.15% due 06/15/30		5,350,000	$	5,529,924
GA Global Funding Trust
1.63% due 01/15/264		5,450,000		5,440,601
Fidelity National Financial, Inc.
3.40% due 06/15/30		3,630,000		3,786,120
2.45% due 03/15/31		1,210,000		1,169,205
Lincoln National Corp.
3.40% due 01/15/31		3,170,000		3,373,593
4.38% due 06/15/50		1,200,000		1,340,431
Citigroup, Inc.
2.57% due 06/03/312		4,690,000		4,682,942
Prudential plc
3.13% due 04/14/30		4,365,000		4,601,042
Intercontinental Exchange, Inc.
3.00% due 06/15/50		2,430,000		2,248,034
2.65% due 09/15/40		2,400,000		2,209,342
Pershing Square Holdings, Ltd.
3.25% due 11/15/304		4,500,000		4,394,016
Iron Mountain, Inc.
5.25% due 07/15/304		2,350,000		2,424,730
5.63% due 07/15/324		1,000,000		1,045,000
4.50% due 02/15/314		850,000		840,310
Fairfax Financial Holdings Ltd.
3.38% due 03/03/314		4,300,000		4,280,613
BlackRock, Inc.
1.90% due 01/28/31		4,400,000		4,252,423
PartnerRe Finance B LLC
4.50% due 10/01/502		4,040,000		4,116,732
Standard Chartered plc
4.64% due 04/01/312,4		3,550,000		4,026,536
Crown Castle International Corp.
2.90% due 04/01/41		2,800,000		2,564,721
3.30% due 07/01/30		1,149,000		1,199,609
Ares Finance Company II LLC
3.25% due 06/15/304		3,660,000		3,705,517
Host Hotels & Resorts, LP
3.50% due 09/15/30		3,685,000		3,686,986
Aflac, Inc.
3.60% due 04/01/30		3,350,000		3,662,028
MetLife, Inc.
3.85%2,3		3,520,000		3,634,400
KKR Group Finance Company VI LLC
3.75% due 07/01/294		3,230,000		3,567,674
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		3,620,000		3,482,200
Bank of New York Mellon Corp.
3.70%2,3		2,250,000		2,314,800
4.70%2,3		1,060,000		1,148,457
First American Financial Corp.
4.00% due 05/15/30		3,180,000		3,435,294
Brookfield Finance, Inc.
3.50% due 03/30/51		2,550,000		2,422,463
4.70% due 09/20/47		650,000		739,218
Alleghany Corp.
3.63% due 05/15/30		2,850,000		3,070,930
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
3.88% due 03/01/314		3,150,000		3,039,750
Loews Corp.
3.20% due 05/15/30		2,870,000		3,033,436
Arch Capital Group Ltd.
3.64% due 06/30/50		2,900,000		2,899,545
UBS Group AG
2.10% due 02/11/322,4		2,950,000		2,788,940
Belrose Funding Trust
2.33% due 08/15/304		2,780,000		2,675,514
Jefferies Group LLC
2.75% due 10/15/32		2,720,000		2,657,670
KKR Group Finance Company VIII LLC
3.50% due 08/25/504		2,660,000		2,625,469
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		2,560,000		2,461,910
Goldman Sachs Group, Inc.
3.50% due 04/01/25		2,250,000		2,436,813
Visa, Inc.
2.00% due 08/15/50		3,000,000		2,420,427
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/504		2,450,000		2,388,710
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		2,075,000		2,243,594
Liberty Mutual Group, Inc.
3.95% due 05/15/604		2,150,000		2,165,651
Pershing Square Holdings Ltd.
5.50% due 07/15/224		2,000,000		2,097,968
Aon Corp.
2.80% due 05/15/30		1,840,000		1,878,967
HS Wildcat LLC
3.83% due 12/31/50†††		2,000,000		1,878,471
Manulife Financial Corp.
2.48% due 05/19/27		1,800,000		1,865,680
Fifth Third Bancorp
2.55% due 05/05/27		1,750,000		1,819,597
Dyal Capital Partners III
4.40% due 06/15/40†††		1,750,000		1,768,161
AmFam Holdings, Inc.
2.81% due 03/11/314		1,750,000		1,734,874
Australia & New Zealand Banking Group Ltd.
2.57% due 11/25/352,4		1,800,000		1,690,380
Credit Suisse Group AG
4.19% due 04/01/312,4		1,500,000		1,630,640
Kemper Corp.
2.40% due 09/30/30		1,510,000		1,449,548
Allianz SE
3.50%2,3,4		1,400,000		1,421,000
National Australia Bank Ltd.
2.33% due 08/21/304		1,500,000		1,415,909
Raymond James Financial, Inc.
3.75% due 04/01/51		1,300,000		1,341,490
Alexandria Real Estate Equities, Inc.
4.90% due 12/15/30		1,050,000		1,239,480

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
CNA Financial Corp.
2.05% due 08/15/30		1,250,000	$	1,187,262
Prudential Financial, Inc.
3.70% due 10/01/502		1,160,000		1,172,992
Camden Property Trust
2.80% due 05/15/30		1,100,000		1,127,613
QBE Insurance Group Ltd.
5.88%2,3,4		1,000,000		1,076,250
Central Storage Safety Project Trust
4.82% due 02/01/385		1,000,000		1,063,698
Westpac Banking Corp.
2.96% due 11/16/40		1,100,000		1,020,722
Kuvare US Holdings, Inc.
7.00% due 02/17/512,4		1,000,000		1,020,206
Weyerhaeuser Co.
4.00% due 04/15/30		911,000		1,006,338
Apollo Management Holdings, LP
2.65% due 06/05/304		930,000		913,188
W R Berkley Corp.
4.00% due 05/12/50		850,000		901,022
CNO Financial Group, Inc.
5.25% due 05/30/29		700,000		806,223
Nasdaq, Inc.
3.25% due 04/28/50		850,000		796,493
Protective Life Corp.
3.40% due 01/15/304		740,000		769,003
Brown & Brown, Inc.
2.38% due 03/15/31		800,000		768,535
Ameriprise Financial, Inc.
3.00% due 04/02/25		690,000		733,863
Aviation Capital Group LLC
2.88% due 01/20/224		700,000		710,133
New York Life Insurance Co.
3.75% due 05/15/504		600,000		629,731
American Equity Investment Life Holding Co.
5.00% due 06/15/27		486,000		539,758
Hanover Insurance Group, Inc.
2.50% due 09/01/30		480,000		469,012
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		400,000		457,056
Brookfield Finance LLC
3.45% due 04/15/50		470,000		443,497
KKR Group Finance Company III LLC
5.13% due 06/01/444		100,000		121,578
Total Financial				305,016,515
Consumer, Non-cyclical - 5.9%
Altria Group, Inc.
3.70% due 02/04/51		4,650,000		4,226,275
3.40% due 05/06/30		3,110,000		3,243,809
2.35% due 05/06/25		1,180,000		1,222,780
4.45% due 05/06/50		390,000		402,658
Sysco Corp.
5.95% due 04/01/30		6,860,000		8,576,095
CoStar Group, Inc.
2.80% due 07/15/304		5,810,000		5,676,325
Quanta Services, Inc.
2.90% due 10/01/30		4,740,000		4,806,625
BAT Capital Corp.
3.98% due 09/25/50		2,800,000		2,621,986
4.70% due 04/02/27		1,410,000		1,586,372
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		3,850,000		4,113,291
Royalty Pharma plc
3.55% due 09/02/504		2,690,000		2,555,476
2.20% due 09/02/304		1,410,000		1,344,541
Constellation Brands, Inc.
2.88% due 05/01/30		2,680,000		2,736,459
3.75% due 05/01/50		950,000		985,659
Alcon Finance Corp.
2.60% due 05/27/304		3,290,000		3,296,759
RELX Capital, Inc.
3.00% due 05/22/30		2,930,000		3,036,739
Keurig Dr Pepper, Inc.
3.20% due 05/01/30		2,361,000		2,496,522
Anheuser-Busch InBev Worldwide, Inc.
3.50% due 06/01/30		2,225,000		2,404,209
McCormick & Company, Inc.
2.50% due 04/15/30		2,350,000		2,342,325
Boston Scientific Corp.
2.65% due 06/01/30		2,070,000		2,086,080
Emory University
2.97% due 09/01/50		2,000,000		1,972,261
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		2,250,000		1,960,561
Becton Dickinson and Co.
2.82% due 05/20/30		1,890,000		1,936,199
Global Payments, Inc.
2.90% due 05/15/30		1,620,000		1,646,105
California Institute of Technology
3.65% due 09/01/19		1,600,000		1,612,702
Universal Health Services, Inc.
2.65% due 10/15/304		1,320,000		1,274,480
5.00% due 06/01/264		300,000		307,500
Quest Diagnostics, Inc.
2.80% due 06/30/31		1,510,000		1,534,281
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/314		1,500,000		1,462,215
Duke University
2.83% due 10/01/55		1,500,000		1,447,563
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/504		1,480,000		1,395,679
Johnson & Johnson
2.45% due 09/01/60		1,500,000		1,323,529
Transurban Finance Company Pty Ltd.
2.45% due 03/16/314		1,300,000		1,261,789
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28		EUR 1,000,000		1,226,642
University of Chicago
3.00% due 10/01/52		1,250,000		1,225,112

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Thermo Fisher Scientific, Inc.
4.50% due 03/25/30		1,000,000	$	1,163,471
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		1,000,000		1,012,672
OhioHealth Corp.
3.04% due 11/15/50		1,000,000		988,872
Smithfield Foods, Inc.
3.00% due 10/15/304		970,000		964,655
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		1,000,000		954,669
Johns Hopkins University
2.81% due 01/01/60		1,000,000		930,421
California Endowment
2.50% due 04/01/51		1,000,000		916,692
Children’s Hospital Corp.
2.59% due 02/01/50		1,000,000		897,278
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		925,000		897,250
Children’s Health System of Texas
2.51% due 08/15/50		1,000,000		876,611
Moody’s Corp.
3.25% due 05/20/50		700,000		677,259
Total Consumer, Non-cyclical				91,627,453
Industrial - 5.8%
Boeing Co.
5.15% due 05/01/30		8,000,000		9,201,037
5.71% due 05/01/40		4,380,000		5,348,582
5.81% due 05/01/50		3,440,000		4,337,866
5.04% due 05/01/27		2,150,000		2,449,920
3.63% due 02/01/31		1,450,000		1,515,903
2.20% due 02/04/26		1,000,000		996,480
FedEx Corp.
4.25% due 05/15/30		5,415,000		6,144,615
WRKCo, Inc.
3.00% due 06/15/33		5,370,000		5,435,950
Sonoco Products Co.
3.13% due 05/01/30		4,808,000		4,961,518
5.75% due 11/01/40		150,000		184,609
Textron, Inc.
2.45% due 03/15/31		3,600,000		3,483,563
3.00% due 06/01/30		1,355,000		1,375,357
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		4,550,000		4,363,435
National Basketball Association
2.51% due 12/16/24†††		4,000,000		4,091,898
Berry Global, Inc.
1.57% due 01/15/264		4,100,000		4,036,614
Snap-on, Inc.
3.10% due 05/01/506		3,860,000		3,843,109
Vontier Corp.
2.95% due 04/01/314		3,450,000		3,365,820
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		3,000,000		2,838,518
BAE Systems plc
3.40% due 04/15/304		2,659,000		2,820,509
Owens Corning
3.88% due 06/01/30		2,380,000		2,593,473
GATX Corp.
4.00% due 06/30/30		2,110,000		2,322,166
Carrier Global Corp.
2.70% due 02/15/31		2,210,000		2,207,643
CNH Industrial Capital LLC
1.88% due 01/15/26		1,880,000		1,902,283
Flowserve Corp.
3.50% due 10/01/30		1,810,000		1,840,438
Vulcan Materials Co.
3.50% due 06/01/30		1,510,000		1,617,990
Ryder System, Inc.
3.35% due 09/01/25		1,470,000		1,586,987
IDEX Corp.
3.00% due 05/01/30		1,450,000		1,493,546
FLIR Systems, Inc.
2.50% due 08/01/30		1,340,000		1,310,937
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		1,230,000		1,221,605
Xylem, Inc.
2.25% due 01/30/31		1,100,000		1,078,487
Oshkosh Corp.
3.10% due 03/01/30		240,000		246,925
Total Industrial				90,217,783
Consumer, Cyclical - 5.2%
Marriott International, Inc.
3.50% due 10/15/32		3,300,000		3,409,346
4.63% due 06/15/30		2,830,000		3,163,817
2.85% due 04/15/31		2,320,000		2,279,804
5.75% due 05/01/25		1,900,000		2,179,474
Delta Air Lines, Inc.
7.00% due 05/01/254		8,800,000		10,133,701
Hyatt Hotels Corp.
5.38% due 04/23/25		3,950,000		4,427,744
5.75% due 04/23/30		3,010,000		3,513,521
Choice Hotels International, Inc.
3.70% due 01/15/31		7,340,000		7,717,570
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		4,510,000		4,558,045
3.20% due 04/15/30		2,254,000		2,339,082
Starbucks Corp.
2.55% due 11/15/30		4,600,000		4,605,719
British Airways Class A Pass Through Trust
4.25% due 11/15/324		3,853,165		4,034,907
Smithsonian Institution
2.70% due 09/01/44		4,000,000		3,708,800
VF Corp.
2.95% due 04/23/30		3,306,000		3,421,609
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		3,150,000		3,354,299
Ferguson Finance plc
3.25% due 06/02/304		2,840,000		2,987,595
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		2,550,000		2,792,250

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Steelcase, Inc.
5.13% due 01/18/29		2,224,000	$	2,592,325
BorgWarner, Inc.
2.65% due 07/01/27		2,310,000		2,397,265
Lowe’s Companies, Inc.
4.50% due 04/15/30		1,850,000		2,132,564
Whirlpool Corp.
4.60% due 05/15/50		1,430,000		1,639,257
Northern Group Housing LLC
6.80% due 08/15/534		1,100,000		1,486,722
American Airlines Class AA Pass Through Trust
3.20% due 06/15/28		809,500		805,853
Dollar General Corp.
3.50% due 04/03/30		700,000		753,326
JB Poindexter & Company, Inc.
7.13% due 04/15/264		200,000		211,250
Total Consumer, Cyclical				80,645,845
Communications - 3.0%
ViacomCBS, Inc.
4.95% due 01/15/31		4,478,000		5,293,230
4.95% due 05/19/50		2,490,000		2,910,402
4.75% due 05/15/25		2,260,000		2,555,026
2.90% due 01/15/27		450,000		472,438
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		4,525,000		4,473,838
3.90% due 06/01/52		3,350,000		3,208,007
T-Mobile USA, Inc.
3.88% due 04/15/304		4,750,000		5,176,218
Walt Disney Co.
2.65% due 01/13/31		2,490,000		2,531,575
3.80% due 05/13/60		2,000,000		2,193,198
Level 3 Financing, Inc.
4.25% due 07/01/284		2,650,000		2,679,971
3.88% due 11/15/294		1,150,000		1,211,813
Booking Holdings, Inc.
4.63% due 04/13/30		2,370,000		2,758,901
4.50% due 04/13/27		390,000		452,300
AT&T, Inc.
2.75% due 06/01/31		3,200,000		3,184,359
Virgin Media Secured Finance plc
4.50% due 08/15/304		2,350,000		2,370,562
Fox Corp.
3.50% due 04/08/30		931,000		989,822
3.05% due 04/07/25		450,000		478,456
Amazon.com, Inc.
2.70% due 06/03/60		1,610,000		1,422,303
Verizon Communications, Inc.
3.15% due 03/22/30		1,000,000		1,053,825
CSC Holdings LLC
4.13% due 12/01/304		600,000		595,968
Altice France S.A.
5.13% due 01/15/294		450,000		455,625
Telenet Finance Luxembourg Note
5.50% due 03/01/28		400,000		420,000
Total Communications				46,887,837
Energy - 2.2%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/404		6,250,000		5,969,132
2.94% due 09/30/404		4,000,000		3,856,489
BP Capital Markets plc
4.88%2,3		7,530,000		8,066,513
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		4,190,000		4,698,940
Magellan Midstream Partners, LP
3.95% due 03/01/50		2,000,000		1,964,449
3.25% due 06/01/30		1,500,000		1,569,274
Valero Energy Corp.
2.15% due 09/15/27		950,000		930,302
2.85% due 04/15/25		750,000		783,665
4.00% due 04/01/29		500,000		538,464
Chevron USA, Inc.
2.34% due 08/12/50		1,850,000		1,532,420
Equinor ASA
2.38% due 05/22/30		1,210,000		1,206,165
Florida Gas Transmission Company LLC
2.55% due 07/01/304		1,000,000		986,074
NuStar Logistics, LP
6.38% due 10/01/30		700,000		756,000
6.00% due 06/01/26		200,000		215,617
Midwest Connector Capital Company LLC
4.63% due 04/01/294		910,000		922,240
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
4.49% due 05/01/30		410,000		466,759
Phillips 66
3.70% due 04/06/23		250,000		264,880
Total Energy				34,727,383
Technology - 1.5%
Broadcom, Inc.
4.15% due 11/15/30		4,230,000		4,570,531
2.45% due 02/15/314		3,700,000		3,496,232
NetApp, Inc.
2.70% due 06/22/30		8,100,000		8,036,021
Leidos, Inc.
2.30% due 02/15/314		2,350,000		2,216,896
3.63% due 05/15/254		600,000		650,999
4.38% due 05/15/304		200,000		222,328
Oracle Corp.
3.95% due 03/25/51		2,450,000		2,512,252
Apple, Inc.
2.55% due 08/20/60		1,550,000		1,328,266
Analog Devices, Inc.
2.95% due 04/01/25		400,000		424,946
Total Technology				23,458,471

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Basic Materials - 1.1%
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		3,600,000	$	3,764,365
4.20% due 05/13/504		1,700,000		1,835,022
Anglo American Capital plc
5.63% due 04/01/304		3,400,000		4,057,115
3.95% due 09/10/504		970,000		982,983
2.63% due 09/10/304		250,000		244,868
Nucor Corp.
2.70% due 06/01/30		3,000,000		3,062,302
WR Grace & Company-Conn
4.88% due 06/15/274		1,241,000		1,284,683
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		810,000		776,718
Corporation Nacional del Cobre de Chile
3.75% due 01/15/314		680,000		733,509
Steel Dynamics, Inc.
3.25% due 01/15/31		490,000		518,203
Total Basic Materials				17,259,768
Utilities - 1.0%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		6,700,000		6,377,221
Puget Energy, Inc.
6.00% due 09/01/21		2,180,000		2,228,044
AES Corp.
3.95% due 07/15/304		1,760,000		1,876,565
NRG Energy, Inc.
2.45% due 12/02/274		1,750,000		1,735,086
Arizona Public Service Co.
3.35% due 05/15/50		1,300,000		1,284,155
Alexander Funding Trust
1.84% due 11/15/234		950,000		964,497
Black Hills Corp.
2.50% due 06/15/30		940,000		922,825
Total Utilities				15,388,393
Total Corporate Bonds
(Cost $692,989,508)				705,229,448
ASSET-BACKED SECURITIES†† - 25.9%
Collateralized Loan Obligations - 16.4%
Octagon Investment Partners 49 Ltd.
2021-5A, 1.76% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/334,7		8,500,000		8,528,398
2021-5A, 2.26% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/334,7		7,450,000		7,476,471
Woodmont Trust
2020-7A, 2.05% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/324,7		12,000,000		11,986,201
2020-7A, 2.75% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/324,7		3,750,000		3,736,446
Cerberus Loan Funding XXX, LP
2020-3A, 2.08% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/334,7		13,500,000		13,485,113
2020-3A, 2.73% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/334,7		2,000,000		2,001,824
Dryden 33 Senior Loan Fund
2020-33A, 2.24% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/294,7		8,000,000		8,032,775
2020-33A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/294,7		4,250,000		4,245,531
2020-33A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/294,7		3,000,000		2,985,143
Ares LVIII CLO Ltd.
2020-58A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/334,7		7,600,000		7,618,731
2020-58A, 2.39% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/15/334,7		3,750,000		3,780,538
Benefit Street Partners Clo XXII Ltd.
2020-22A, 1.69% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/20/324,7		8,700,000		8,631,142
2020-22A, 2.29% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/324,7		1,000,000		1,006,226
Palmer Square Loan Funding Ltd.
2018-4A, 1.09% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/264,7		2,474,859		2,475,495
2021-1A, 1.96% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/294,7		2,000,000		2,001,927
2021-1A, 1.41% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/294,7		2,000,000		1,995,754
2018-4A, 1.64% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/264,7		1,000,000		1,000,874
2021-2A, due 05/20/294		1,000,000		999,800
2019-3A, 1.03% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/274,7		916,267		916,344
Dryden 36 Senior Loan Fund
2020-36A, 2.29% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/294,7		8,000,000		8,033,344

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
AMMC CLO XIV Ltd.
2021-14A, 1.62% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/294,7		8,000,000	$	7,990,212
Madison Park Funding XLVIII Ltd.
2021-48A, 2.14% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/334,7		4,000,000		3,996,595
2021-48A, 1.59% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/334,7		4,000,000		3,992,739
KREF Funding V LLC
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7		8,000,000		7,939,546
0.15% due 06/25/26†††,10		21,818,182		10,691
GoldenTree Loan Management US CLO 1 Ltd.
2020-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/294,7		3,000,000		2,999,946
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/334,7		3,000,000		2,987,995
2020-1A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/20/294,7		1,000,000		999,894
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.19% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/314,7		5,000,000		5,004,296
2020-9A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/314,7		1,000,000		1,004,037
MidOcean Credit CLO VII
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/294,7		3,000,000		2,996,472
2020-7A, 1.84% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/294,7		2,000,000		1,975,864
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/294,7		1,000,000		1,000,322
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.79% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/324,7		5,500,000		5,500,000
Cerberus Loan Funding XXXII, LP
2021-2A, due 04/22/334		5,500,000		5,498,900
Parliament Funding II Ltd.
2020-1A, 2.67% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/304,7		4,000,000		4,003,575
2020-1A, 3.42% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/304,7		1,000,000		1,000,512
Cerberus Loan Funding XXXI, LP
2021-1A, 1.69% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/324,7		4,500,000		4,500,000
BXMT Ltd.
2020-FL2, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/374,7		4,250,000		4,249,268
Venture XIV CLO Ltd.
2020-14A, 1.22% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/294,7		4,250,000		4,244,513
Golub Capital Partners CLO Ltd.
2018-36A, 1.50% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,7		4,100,000		4,074,733
Wellfleet CLO Ltd.
2020-2A, 1.28% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/294,7		3,250,000		3,250,876
Whitebox CLO II Ltd.
2020-2A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/314,7		2,000,000		2,003,857
2020-2A, 2.49% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/314,7		1,000,000		1,003,886
NXT Capital CLO LLC
2017-1A, 1.92% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 04/20/294,7		1,800,000		1,802,909
2018-1A, 1.82% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 04/21/274,7		1,000,000		999,961
Denali Capital CLO XI Ltd.
2018-1A, 1.35% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/284,7		2,795,306		2,795,641
Lake Shore MM CLO III LLC
2020-1A, 2.53% (3 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/294,7		2,750,000		2,752,788
Diamond CLO Ltd.
2021-1A, 1.65% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/294,7		1,500,000		1,499,700
2018-1A, 1.72% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/304,7		1,000,000		997,959
KREF Ltd.
2018-FL1, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 06/15/364,7		2,486,175		2,486,507

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Crown Point CLO III Ltd.
2017-3A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 12/31/274,7		2,000,000	$	1,999,996
2017-3A, 1.15% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 12/31/274,7		280,250		280,231
Ares LVII CLO Ltd.
2020-57A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/314,7		2,000,000		2,011,559
Marathon CLO V Ltd.
2017-5A, 1.05% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/274,7		1,019,788		1,018,801
2017-5A, 1.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/274,7		1,000,000		990,403
Apres Static CLO Ltd.
2020-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/284,7		2,000,000		2,003,133
GPMT Ltd.
2019-FL2, 1.41% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/364,7		2,000,000		2,002,943
Magnetite Xxix Ltd.
2021-29A, 1.75% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/344,7		2,000,000		2,000,000
Golub Capital Partners CLO 16 Ltd.
2017-16A, 2.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 0.00%) due 07/25/294,7		2,000,000		1,995,334
Avery Point VI CLO Ltd.
2021-6A, 1.96% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/274,7		2,000,000		1,995,074
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.94% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/334,7		2,000,000		1,992,012
TCW CLO Ltd.
2020-1A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 10/20/314,7		2,000,000		1,990,004
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,7		2,000,000		1,981,387
Shackleton CLO Ltd.
2018-6RA, 1.24% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/284,7		1,923,917		1,923,100
Canyon Capital CLO Ltd.
2018-1A, 1.71% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/314,7		1,900,000		1,895,046
Hunt CRE Ltd.
2018-FL2, 1.19% (1 Month USD LIBOR + 1.08%, Rate Floor: 1.08%) due 08/15/284,7		1,750,000		1,745,410
MP CLO VIII Ltd.
2018-2A, 1.13% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/274,7		1,726,265		1,725,716
Wind River CLO Ltd.
2017-2A, 1.11% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/274,7		1,577,627		1,576,246
Allegro CLO IX Ltd.
2018-3A, 1.39% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/314,7		1,500,000		1,504,387
Canyon CLO Ltd.
2020-1A, 2.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/15/284,7		1,500,000		1,503,957
OCP CLO Ltd.
2020-4A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/294,7		1,500,000		1,476,214
Newfleet CLO Ltd.
2018-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/284,7		1,467,774		1,466,752
KVK CLO Ltd.
2018-1A, 1.11% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/294,7		745,951		745,583
2017-1A, 1.13% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/284,7		713,633		712,953
Carlyle Global Market Strategies CLO Ltd.
2018-2A, 0.99% (3 Month USD LIBOR + 0.78%, Rate Floor: 0.00%) due 04/27/274,7		1,285,520		1,284,881
Voya CLO Ltd.
2020-1A, 1.30% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/314,7		1,250,000		1,253,733
Owl Rock CLO IV Ltd.
2020-4A, 2.80% (3 Month USD LIBOR + 2.62%, Rate Floor: 2.62%) due 05/20/294,7		1,250,000		1,253,537
610 Funding CLO 3 Ltd.
2018-3A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/284,7		1,232,130		1,232,110

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
FDF II Ltd.
2016-2A, 4.29% due 05/12/314		1,000,000	$	1,008,464
Owl Rock CLO I Ltd.
2019-1A, 1.98% (3Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/314,7		1,000,000		1,001,050
Monroe Capital BSL CLO Ltd.
2017-1A, 1.93% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 05/22/274,7		1,000,000		1,000,804
Apres Static CLO 2 Ltd.
2020-1A, 3.99% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/15/284,7		1,000,000		1,000,023
Owl Rock CLO II Ltd.
2021-2A, due 04/20/334		1,000,000		999,750
THL Credit Lake Shore MM CLO I Ltd.
2019-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/304,7		1,000,000		996,623
Northwoods Capital XII-B Ltd.
2018-12BA, 2.03% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/314,7		1,000,000		989,317
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.49% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/304,7		989,329		979,339
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.12% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/274,7		935,824		936,032
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/314,8		1,000,000		855,586
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/304,7		750,000		748,661
Cerberus Loan Funding XXVI, LP
2019-1A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/15/314,7		750,000		746,604
TCP Waterman CLO Ltd.
2016-1A, 2.23% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/284,7		723,210		723,713
NewStar Clarendon Fund CLO LLC
2019-1A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/274,7		705,752		705,255
LoanCore Issuer Ltd.
2018-CRE1, 1.24% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/284,7		697,188		697,192
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 1.74% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,7		636,000		634,381
Mountain View CLO Ltd.
2018-1A, 1.04% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/264,7		514,796		514,320
Treman Park CLO Ltd.
2015-1A, due 10/20/284,8		500,000		395,720
BSPRT Issuer Ltd.
2018-FL3, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 03/15/284,7		362,177		362,177
Avery Point V CLO Ltd.
2017-5A, 1.20% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.00%) due 07/17/264,7		184,300		184,309
Babson CLO Ltd.
2014-IA, due 07/20/254,8		650,000		62,725
Copper River CLO Ltd.
2007-1A, due 01/20/215,8		700,000		20,622
Monroe Capital CLO Ltd.
2017-1A, 1.57% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/22/264,7		5,204		5,203
Total Collateralized Loan Obligations				255,630,643
Financial - 2.7%
Station Place Securitization Trust
2020-16, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,4,7		11,500,000		11,500,000
2021-3, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,4,7		7,000,000		7,000,000
2020-12, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 06/09/21†††,4,7		2,250,000		2,250,000
2021-SP1, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,4,7		2,000,000		2,000,000
2021-WL1, 2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/26/544,7		1,400,000		1,399,562
2020-WL1, 2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 0.00%) due 06/25/51†††,5,7		1,000,000		1,000,000
2021-WL1, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/544,7		1,000,000		999,683
2021-WL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/544,7		1,000,000		999,682

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
2021-WL1, 0.96% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/544,7		1,000,000	$	999,681
Aesf Vi Verdi LP
2.15% due 11/25/24†††	EUR	4,998,730		5,859,956
Strategic Partners Fund VIII LP
3.11% due 03/10/25†††		3,500,000		3,565,802
Madison Avenue Secured Funding Trust Series
2020-1, 1.73% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,4,7		3,000,000		3,000,000
Nassau LLC
2019-1, 3.98% due 08/15/344		1,017,433		1,030,915
Total Financial				41,605,281
Whole Business - 1.8%
Domino’s Pizza Master Issuer LLC
2017-1A, 4.12% due 07/25/474		6,790,000		7,309,978
2017-1A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/25/474,7		970,000		969,942
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		6,716,250		6,847,821
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/514		4,000,000		4,085,080
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/464		3,609,375		3,911,119
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/514		2,000,000		1,981,812
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/494		1,401,780		1,483,518
2015-1A, 4.50% due 06/15/454		425,250		428,065
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/07/494		995,000		1,046,700
Total Whole Business				28,064,035
Transport-Aircraft - 1.7%
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		5,436,817		5,520,545
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		3,652,235		3,681,698
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		1,288,007		1,290,599
2017-1, 3.97% due 07/15/42		1,263,495		1,264,305
AASET Trust
2020-1A, 3.35% due 01/16/404		1,886,374		1,883,075
2017-1A, 3.97% due 05/16/424		375,275		375,996
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/394		1,749,160		1,762,929
2017-1, 4.58% due 02/15/424		477,343		481,974
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		2,086,587		2,070,100
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		1,939,000		1,957,227
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		1,788,509		1,779,449
MACH 1 Cayman Ltd.
2019-1, 3.47% due 10/15/394		1,464,393		1,473,098
WAVE LLC
2019-1, 3.60% due 09/15/444		922,586		922,799
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		761,682		604,019
Raspro Trust
2005-1A, 1.15% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,7		373,311		370,385
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/485		416,439		333,151
Total Transport-Aircraft				25,771,349
Net Lease - 1.0%
Capital Automotive REIT
2020-1A, 3.81% due 02/15/504		2,247,656		2,267,692
2020-1A, 3.48% due 02/15/504		1,248,698		1,276,712
Capital Automotive LLC
2017-1A, 3.87% due 04/15/474		2,751,066		2,755,579
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/464		2,658,219		2,720,938
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/504		2,500,000		2,458,120
CF Hippolyta LLC
2020-1, 2.60% due 07/15/604		875,165		871,657
2020-1, 2.28% due 07/15/604		715,784		727,570
STORE Master Funding LLC
2014-1A, 5.00% due 04/20/444		1,448,750		1,504,882
Total Net Lease				14,583,150
Collateralized Debt Obligations - 0.8%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/394		7,250,000		7,195,820
2021-4A, 3.12% due 04/27/394		2,000,000		1,982,243
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/394		3,750,000		3,728,264
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/385,7		38,986		38,799
Total Collateralized Debt Obligations				12,945,126
Transport-Container - 0.7%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/454		4,367,320		4,443,779
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/454		1,888,333		1,888,429
2020-1A, 2.08% due 09/18/454		1,880,000		1,873,765
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/454		1,915,000		1,917,784
Textainer Marine Containers VIII Ltd.
2020-2A, 2.10% due 09/20/454		953,212		955,042
Total Transport-Container				11,078,799

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Infrastructure - 0.6%
SBA Tower Trust
2.33% due 01/15/284		9,250,000	$	9,395,041
Vantage Data Centers LLC
2020-2A, 1.99% due 09/15/454		400,000		392,867
Total Infrastructure				9,787,908
Insurance - 0.1%
JGWPT XXV LLC
2012-1A, 4.21% due 02/16/654		1,356,804		1,508,159
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/344		297,000		304,602
Total Insurance				1,812,761
Diversified Payment Rights - 0.1%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		1,000,000		1,068,903
Total Asset-Backed Securities
(Cost $400,898,773)				402,347,955
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.6%
Government Agency - 5.8%
Fannie Mae
2.81% due 05/01/51		8,250,000		8,363,175
2.17% due 03/01/51		8,347,000		7,682,268
2.24% due 01/01/51		5,979,905		5,582,277
2.00% due 09/01/50		5,102,534		4,729,887
2.43% due 01/01/30		4,500,000		4,688,756
2.36% due 08/01/50		4,500,000		4,272,775
2.20% due 11/01/27		2,586,467		2,683,639
4.17% due 02/01/49		2,000,000		2,233,415
3.09% due 10/01/29		2,000,000		2,168,019
2.46% due 01/01/30		2,000,000		2,097,596
2.30% due 11/01/29		2,000,000		2,070,798
2.81% due 09/01/39		2,000,000		2,018,486
2.32% due 02/01/51		2,096,623		1,979,356
2.40% due 03/01/40		2,000,000		1,954,792
2.11% due 10/01/50		1,885,546		1,745,134
2.27% due 02/01/51		1,747,159		1,637,939
2.39% due 02/01/51		1,454,635		1,416,518
due 12/25/439		1,392,706		1,241,038
1.88% due 01/01/36		1,310,000		1,237,946
3.74% due 02/01/30		1,000,000		1,125,433
4.24% due 08/01/48		1,000,000		1,113,870
3.83% due 05/01/49		1,000,000		1,107,860
4.27% due 12/01/33		966,253		1,079,317
3.46% due 08/01/49		975,151		1,045,687
3.61% due 04/01/39		1,000,000		1,041,270
3.11% due 04/01/30		947,473		1,028,227
2.79% due 01/01/32		981,539		1,028,007
2.99% due 01/01/40		1,000,000		1,021,211
2.69% due 10/01/34		973,690		995,044
2.68% due 04/01/50		982,798		979,557
1.68% due 09/01/37		978,019		951,215
1.83% due 08/01/40		980,556		918,104
2.10% due 07/01/50		987,578		914,284
1.76% due 08/01/40		1,000,000		897,240
4.07% due 05/01/49		780,241		846,388
4.37% due 10/01/48		727,089		816,160
4.25% due 05/01/48		643,429		671,133
3.94% due 10/01/36		337,678		377,971
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-3, 2.00% due 05/25/60		4,651,789		4,650,143
2020-2, 2.00% due 11/25/59		1,793,296		1,793,881
Fannie Mae-Aces
2020-M23, 1.50% (WAC) due 03/25/357,10		25,939,270		3,354,910
Freddie Mac
#WA2518, 1.98% due 05/01/50		1,393,522		1,265,436
2018-4762, 4.00% due 01/15/46		1,000,000		1,037,952
Total Government Agency				89,864,114
Commercial Mortgage Backed Securities - 2.6%
GS Mortgage Securities Trust
2020-GSA2, 2.34% due 12/12/53		8,000,000		7,619,210
2020-GC45, 0.67% (WAC) due 02/13/537,10		18,973,518		912,746
2019-GC42, 0.81% (WAC) due 09/01/527,10		14,944,012		837,220
DBGS Mortgage Trust
2018-C1, 4.64% (WAC) due 10/15/517		7,000,000		7,927,375
CD Mortgage Trust
2017-CD4, 3.95% (WAC) due 05/10/507		4,750,000		5,125,849
2016-CD1, 1.41% (WAC) due 08/10/497,10		2,291,324		136,001
KKR Industrial Portfolio Trust
2021-KDIP, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/374,7		4,600,000		4,599,999
GB Trust
2020-FLIX, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/15/374,7		2,000,000		2,005,078
Life Mortgage Trust
2021-BMR, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/384,7		2,000,000		2,003,199
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.25% (WAC) due 02/10/374,7		1,000,000		977,478
2020-DUNE, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/364,7		1,000,000		974,520
BENCHMARK Mortgage Trust
2019-B14, 0.79% (WAC) due 12/15/627,10		19,901,961		945,128
2018-B6, 0.44% (WAC) due 10/10/517,10		31,216,284		700,668
COMM Mortgage Trust
2015-CR24, 0.76% (WAC) due 08/10/487,10		44,472,676		1,242,807
2015-CR26, 0.93% (WAC) due 10/10/487,10		9,079,547		311,318
Citigroup Commercial Mortgage Trust
2019-GC43, 0.63% (WAC) due 11/10/527,10		19,956,777		878,525
2016-GC37, 1.70% (WAC) due 04/10/497,10		3,377,132		231,747
2016-C2, 1.74% (WAC) due 08/10/497,10		2,399,325		172,092
2016-P5, 1.50% (WAC) due 10/10/497,10		1,906,852		105,163
CSAIL Commercial Mortgage Trust
2019-C15, 1.05% (WAC) due 03/15/527,10		12,437,592		775,956

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
SG Commercial Mortgage Securities Trust
2016-C5, 1.95% (WAC) due 10/10/487,10		9,481,671	$	620,787
UBS Commercial Mortgage Trust
2017-C2, 1.06% (WAC) due 08/15/507,10		10,382,016		520,975
JPMDB Commercial Mortgage Securities Trust
2016-C2, 1.57% (WAC) due 06/15/497,10		7,566,095		421,366
Morgan Stanley Capital I Trust
2016-UB11, 1.51% (WAC) due 08/15/497,10		6,849,681		391,955
Wells Fargo Commercial Mortgage Trust
2016-NXS5, 1.44% (WAC) due 01/15/597,10		3,822,963		211,417
2016-C37, 0.93% (WAC) due 12/15/497,10		3,603,502		106,460
CFCRE Commercial Mortgage Trust
2016-C3, 0.99% (WAC) due 01/10/487,10		5,653,383		230,734
Total Commercial Mortgage Backed Securities				40,985,773
Residential Mortgage Backed Securities - 2.1%
Mill City Mortgage Loan Trust
2021-NMR1, 2.50% (WAC) due 11/25/604,7		4,800,000		4,679,482
Verus Securitization Trust
2019-4, 2.85% due 11/25/594,11		1,540,170		1,565,888
2020-1, 2.42% due 01/25/604,11		1,537,230		1,553,633
2019-4, 2.64% due 11/25/594,11		1,199,274		1,220,547
BRAVO Residential Funding Trust
2019-NQM1, 2.67% (WAC) due 07/25/594,7		1,299,039		1,313,802
2019-NQM2, 2.75% (WAC) due 11/25/594,7		1,150,277		1,186,223
2021-HE1, 1.52% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/704,7		1,000,000		997,528
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/504,7		924,890		939,962
2020-1, 2.56% (WAC) due 02/25/504,7		924,890		935,037
2020-1, 2.28% (WAC) due 02/25/504,7		626,520		638,049
2019-1, 2.94% (WAC) due 06/25/494,7		72,218		72,642
CSMC Trust
2018-RPL9, 3.85% (WAC) due 09/25/574,7		1,699,039		1,801,548
2020-NQM1, 1.72% due 05/25/654,11		781,050		781,498
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/584,7		1,074,981		1,121,975
2019-6A, 3.50% (WAC) due 09/25/594,7		769,776		811,291
2018-1A, 4.00% (WAC) due 12/25/574,7		535,257		571,353
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/594,7		944,447		955,953
2019-2, 2.70% (WAC) due 09/25/594,7		591,837		595,281
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/244,7		726,109		734,635
2020-1, 2.68% (WAC) due 02/25/244,7		726,109		731,593
Angel Oak Mortgage Trust
2020-1, 2.77% (WAC) due 12/25/594,7		1,348,353		1,360,989
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/554		1,250,000		1,226,036
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/4710		7,671,735		1,213,513
SG Residential Mortgage Trust
2019-3, 2.70% (WAC) due 09/25/594,7		997,053		1,011,272
Securitized Asset Backed Receivables LLC Trust
2006-HE2, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/367		1,628,219		912,163
Citigroup Mortgage Loan Trust
2019-IMC1, 2.72% (WAC) due 07/25/494,7		739,573		753,118
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.79% (WAC) due 09/27/604,7		691,170		696,346
MFRA Trust
2021-INV1, 2.29% (WAC) due 01/25/564,7		700,000		676,406
RALI Series Trust
2006-QO2, 0.55% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/467		1,641,676		503,156
Nationstar HECM Loan Trust
2019-2A, 2.27% (WAC) due 11/25/294,7		500,635		501,548
Deephaven Residential Mortgage Trust
2019-3A, 2.96% (WAC) due 07/25/594,7		416,988		419,980
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.10% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/467		326,419		280,394
MASTR Adjustable Rate Mortgages Trust
2003-5, 2.17% (WAC) due 11/25/337		268,735		254,654
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		79,504		81,058
Total Residential Mortgage Backed Securities				33,098,553
Military Housing - 1.1%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 3.48% (WAC) due 11/25/554,7		7,105,700		7,969,681
2015-R1, 4.11% (WAC) due 11/25/524,7		2,933,486		3,224,010
2015-R1, 0.52% (WAC) due 11/25/554,7,10		10,399,733		679,705
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/514		2,306,417		2,345,065
2007-ROBS, 6.06% due 10/10/524		463,942		483,031
2007-AETC, 5.75% due 02/10/524		273,850		281,915
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/524		1,459,217		1,609,281
Total Military Housing				16,592,688
Total Collateralized Mortgage Obligations
(Cost $184,537,753)				180,541,128
U.S. GOVERNMENT SECURITIES†† - 5.2%
U.S. Treasury Notes
1.13% due 02/15/3112		73,097,000		69,008,137
U.S. Treasury Strips
due 02/15/509,13		23,802,000		11,619,286
Total U.S. Government Securities
(Cost $84,837,817)				80,627,423

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
FEDERAL AGENCY BONDS†† - 3.2%
Fannie Mae Principal Strips
due 07/15/379,13		13,000,000	$	8,682,700
due 08/06/3813		250,000		161,266
Freddie Mac Principal Strips
due 07/15/3213		10,550,000		8,300,350
Federal Farm Credit Bank
3.51% due 06/11/40		3,300,000		3,814,724
2.43% due 01/29/37		3,000,000		3,058,146
2.70% due 01/30/45		1,053,000		1,045,044
2.88% due 10/01/40		350,000		370,533
Tennessee Valley Authority Principal Strips
due 06/15/389,13		9,400,000		5,842,344
due 01/15/489,13		9,700,000		4,251,093
due 01/15/3813		4,000,000		2,531,616
due 06/15/359,13		1,583,000		1,125,868
due 12/15/429,13		1,600,000		839,549
United States International Development Finance Corp.
1.63% due 11/20/37		4,000,000		3,842,682
Tennessee Valley Authority
4.25% due 09/15/65		1,300,000		1,677,038
5.38% due 04/01/56		600,000		906,907
Freddie Mac
due 01/02/3413		1,850,000		1,386,244
due 09/15/3613		300,000		204,863
due 01/15/2813		150,000		135,202
U.S. International Development Finance Corp.
due 01/17/2613		800,000		854,548
1.79% due 10/15/29		588,138		618,515
Total Federal Agency Bonds
(Cost $48,126,543)				49,649,232
SENIOR FLOATING RATE INTERESTS††,7 - 2.9%
Consumer, Cyclical - 1.0%
Murphy Oil USA, Inc.
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28†††		8,000,000		8,030,000
CHG Healthcare Services, Inc.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23		3,022,214		3,010,337
Samsonite IP Holdings SARL
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25		2,431,625		2,446,823
BGIS (BIFM CA Buyer, Inc.)
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		2,129,587		2,113,615
Total Consumer, Cyclical				15,600,775
Technology - 0.4%
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		3,681,500		3,679,217
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27		1,600,000		1,599,328
RP Crown Parent LLC (Blue Yonder)
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/02/26		796,000		795,252
Cologix Holdings, Inc.
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/24		150,000		149,652
Total Technology				6,223,449
Industrial - 0.4%
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		1,950,000		2,069,750
Berry Global, Inc.
due 07/01/26		1,600,000		1,585,744
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		1,047,315		1,034,883
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		682,537		681,684
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 06/03/24†††		497,810		496,255
Berlin Packaging LLC
3.12% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25		297,325		291,643
Total Industrial				6,159,959
Consumer, Non-cyclical - 0.4%
Packaging Coordinators Midco, Inc.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27		2,250,000		2,247,187
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		1,314,886		1,318,174
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		1,020,000		1,022,550
Dole Food Company, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 04/05/24		661,409		660,768
Elanco Animal Health, Inc.
1.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		388,360		382,950
Callaway Golf Company
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26		198,919		199,665
Total Consumer, Non-cyclical				5,831,294
Financial - 0.2%
Jefferies Finance LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/30/27†††		1,393,000		1,380,811

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Nexus Buyer LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		897,733	$	892,688
Cross Financial Corp.
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 09/15/27		798,000		800,498
Alliant Holdings Intermediate LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		496,173		489,678
Total Financial				3,563,675
Basic Materials - 0.2%
W.R. Grace & Co.-Conn
due 03/30/28		3,500,000		3,473,750
Utilities - 0.2%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		3,084,461		3,093,468
Energy - 0.1%
Venture Global Calcasieu Pass LLC
2.48% (1 Month USD LIBOR + 2.38% and 3 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		1,122,784		1,061,031
Communications - 0.0%
Radiate Holdco, LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		149,625		149,472
Total Senior Floating Rate Interests
(Cost $44,587,368)				45,156,873
MUNICIPAL BONDS†† - 1.9%
California - 0.7%
State of California General Obligation Unlimited
7.55% due 04/01/39		700,000		1,130,815
7.35% due 11/01/39		650,000		997,926
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/4413		2,000,000		900,634
due 08/01/4113		1,540,000		791,204
due 08/01/4613		750,000		310,080
California Statewide Communities Development Authority Revenue Bonds
2.68% due 02/01/39		1,200,000		1,124,831
Santa Monica Community College District General Obligation Unlimited
2.70% due 08/01/40		1,100,000		1,073,664
San Dieguito Union High School District General Obligation Unlimited
2.68% due 08/01/36		1,000,000		1,017,559
William S Hart Union High School District General Obligation Unlimited
2.36% due 08/01/37		1,000,000		969,329
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/3913		1,410,000		760,423
Hillsborough City School District General Obligation Unlimited
due 09/01/3613		1,000,000		625,710
Cypress School District General Obligation Unlimited
due 08/01/4813		1,000,000		387,472
Hanford Joint Union High School District General Obligation Unlimited
due 08/01/3913		500,000		255,772
Total California				10,345,419
Texas - 0.6%
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.29% due 09/01/40		2,100,000		2,107,832
2.78% due 09/01/34		700,000		694,416
2.69% due 09/01/33		500,000		496,632
2.57% due 09/01/32		475,000		471,155
2.41% due 09/01/31		450,000		444,403
2.08% due 09/01/28		300,000		298,681
City of Dallas Texas Waterworks & Sewer System Revenue Revenue Bonds
2.77% due 10/01/40		2,300,000		2,306,457
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,500,000		1,510,554
North Texas Tollway Authority Revenue Bonds
3.03% due 01/01/40		1,000,000		983,499
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,000,000		950,259
Total Texas				10,263,888
New York - 0.2%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		2,700,000		2,765,150
New York Power Authority Revenue Bonds
2.82% due 11/15/39		1,000,000		969,500
Total New York				3,734,650
Idaho - 0.1%
Boise State University Revenue Bonds
3.06% due 04/01/40		1,150,000		1,092,738
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		1,000,000		934,855
Ohio - 0.1%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		1,000,000		921,164

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

	Face Amount~		Value
Alabama - 0.1%
Auburn University Revenue Bonds
2.68% due 06/01/50		1,000,000	$	916,939
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		500,000		591,863
Cook County School District No. 155 Calumet City General Obligation Unlimited
5.30% due 12/01/22		5,000		5,361
Total Illinois				597,224
Total Municipal Bonds
(Cost $28,845,541)				28,806,877
SENIOR FIXED RATE INTERESTS†† - 0.2%
Industrial - 0.2%
CTL Logistics
2.65% due 10/10/42†††		3,642,781		3,379,857
Total Senior Fixed Rate Interests
(Cost $3,642,781)				3,379,857
U.S. TREASURY BILLS†† - 0.1%
U.S. Treasury Bills
0.04% due 05/27/2114		1,000,000		999,977
Total U.S. Treasury Bills
(Cost $999,938)				999,977
FOREIGN GOVERNMENT DEBT†† - 0.0%
Bermuda Government International Bond
3.38% due 08/20/50		500,000		483,600
Total Foreign Government Debt
(Cost $498,612)				483,600

	Notional Value
OTC OPTIONS PURCHASED†† - 0.4%
Call options on:
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	$	455,200,000		4,224,256
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		120,600,000		890,028
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		55,700,000		516,896
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		47,400,000		349,812
Total OTC Options Purchased
(Cost $1,600,463)				5,980,992
Total Investments - 105.3%
(Cost $1,622,903,062)			$	1,638,528,821
Other Assets & Liabilities, net - (5.3)%				(82,693,934	)
Total Net Assets - 100.0%			$	1,555,834,887

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value			Upfront Premiums Paid		Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.99%		Quarterly	08/25/50		$	10,000,000	$	2,792,085		$	465	$	2,791,620
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.99%		Quarterly	08/20/50			8,200,000		2,275,931			434		2,275,497
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.82%		Annually	04/01/26			50,000,000		(105,681	)		525		(106,206	)
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.52%		Annually	10/02/30			3,000,000		(280,539	)		308		(280,847	)
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.71%		Annually	11/18/30			20,000,000		(1,567,707	)		443		(1,568,150	)
											$	3,114,089		$	2,175	$	3,111,914

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation
Bank of America, N.A.		4,989,000		EUR		06/30/21	$	5,892,019	$	5,861,064	$	30,955
Barclays Bank plc		1,077,000		EUR		04/16/21		1,291,738		1,263,189		28,549
											$	59,504

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	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	Rate indicated is the 7-day yield as of March 31, 2021.
2	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
3	Perpetual maturity.
4	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 $666,550,876 (cost $665,684,768), or 42.8% of total net assets.
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 and restricted securities is $2,456,270 (cost $2,494,866), or 0.2% of total net assets — See Note 10.
6	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
7	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9	Security is a principal-only strip.
10	Security is an interest-only strip.
11	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
12	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2021, the total market value of segregated or earmarked securities was $69,008,137 — See Note 6.
13	Zero coupon rate security.
14	Rate indicated is the effective yield at the time of purchase.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	19,427,529	$	—	$	—	*	$	19,427,529
Preferred Stocks		3,694,600		42,808,588		—	*		46,503,188
Warrants		564,062		—		—			564,062
Closed-End Funds		3,202,944		—		—			3,202,944
Money Market Fund		65,627,736		—		—			65,627,736
Corporate Bonds		—		680,509,927		24,719,521			705,229,448
Asset-Backed Securities		—		357,153,057		45,194,898			402,347,955
Collateralized Mortgage Obligations		—		180,646,839		—			180,646,839
U.S. Government Securities		—		80,627,423		—			80,627,423
Federal Agency Bonds		—		49,649,232		—			49,649,232
Senior Floating Rate Interests		—		34,188,776		10,968,097			45,156,873
Municipal Bonds		—		28,806,877		—			28,806,877
Senior Fixed Rate Interests		—		—		3,379,857			3,379,857
U.S. Treasury Bills		—		999,977		—			999,977
Foreign Government Debt		—		483,600		—			483,600
Options Purchased		—		5,980,992		—			5,980,992
Interest Rate Swap Agreements**		—		5,067,117		—			5,067,117
Forward Foreign Currency Exchange Contracts**		—		59,504		—			59,504
Total Assets	$	92,516,871	$	1,466,981,909	$	84,262,373		$	1,643,761,153

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swap Agreements**	$	—	$	1,955,203	$	—	$	1,955,203
Unfunded Loan Commitments (Note 9)		—		—		79,121		79,121
Total Liabilities	$	—	$	1,955,203	$	79,121	$	2,034,324

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $14,964,175 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CORE 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 March 31, 2021			Valuation Technique		Unobservable Inputs		Input Range			Weighted Average*
Assets:
Asset-Backed Securities	$	25,700,237	Option Adjusted Spread off the prior month end broker quote		Broker Quote				—			—
Asset-Backed Securities		12,565,802	Model Price		Purchase Price				—			—
Asset-Backed Securities		6,928,859	Yield Analysis		Yield				2.2%-2.4%			2.2	%
Corporate Bonds		14,115,751	Option Adjusted Spread off the prior month end broker quote		Broker Quote				—			—
Corporate Bonds		6,240,335	Third Party Pricing		Vendor Price				—			—
Corporate Bonds		4,363,435	Third Party Pricing		Trade Price				—			—
Senior Fixed Rate Interests		3,379,857	Yield Analysis		Yield				3.4	%		—
Senior Floating Rate Interests		10,471,842	Third Party Pricing		Broker Quote				—			—
Senior Floating Rate Interests		496,255	Third Party Pricing				Vendor Price		—			—
Total Assets	$	84,262,373
Liabilities:
Unfunded Loan Commitments	$	79,121	Model Price				Purchase Price		—			—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote or yield would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3 rather than Level 2, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $15,632,414 transfer into Level 3 from Level 2 due to a lack of observable inputs. There were no other securities that transferred between levels.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
CORE 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, 2021:

	Assets																	Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests		Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	33,401,467		$	10,687,442		$	14,037,846		$	—	$	—		$	58,126,755		$	(163,932	)
Purchases/(Receipts)		23,500,000			—			16,899,999			9,010,154		3,642,780			53,052,933			(5,671	)
(Sales, maturities and paydowns)/Fundings		(25,505,288	)		(10,592,125	)		(5,586,008	)		—		—			(41,683,421	)		92,858
Amortization of premiums/discounts		—			—			—			4,820		—			4,820	��		—
Total realized gains (losses) included in earnings		3,911			(7	)		186,008			—		—			189,912			—
Total change in unrealized appreciation (depreciation) included in earnings		39,460			(95,310	)		(818,324	)		76,057		(262,923	)		(1,061,040	)		(2,376	)
Transfers into Level 3		13,755,348			—			—			1,877,066		—			15,632,414			—
Ending Balance	$	45,194,898		$	—		$	24,719,521		$	10,968,097	$	3,379,857		$	84,262,373		$	(79,121	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	37,279		$	—		$	(598,067	)	$	76,057	$	(262,923	)	$	(747,654	)	$	(2,376	)

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)		Future Reset Date(s)
CSMC Trust 2020-NQM1, 1.72% due 05/25/65		2.72	%		09/26/24		—		—
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23		—		—
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24		—		—
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23		—		—

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

CORE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $1,622,903,062)	$	1,638,528,821
Foreign currency, at value (cost $32,994)		32,995
Cash		183,214
Unamortized upfront premiums paid on interest rate swap agreements		2,175
Unrealized appreciation on forward foreign currency exchange contracts		59,504
Prepaid expenses		154,549
Receivables:
Swap settlement		12,540,446
Interest		9,784,362
Fund shares sold		5,038,475
Securities sold		4,991,820
Dividends		12,354
Variation margin on interest rate swap agreements		12,205
Other assets		8,004
Total assets		1,671,348,924
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $77,813)		79,121
Reverse repurchase agreements (Note 6)		14,964,175
Segregated cash due to broker		2,190,644
Payable for:
Securities purchased		94,153,064
Fund shares redeemed		3,128,613
Management fees		304,781
Distributions to shareholders		236,665
Fund accounting/administration fees		91,927
Distribution and service fees		79,921
Transfer agent/maintenance fees		27,394
Trustees’ fees*		3,182
Miscellaneous		254,550
Total liabilities		115,514,037
Net assets	$	1,555,834,887
Net assets consist of:
Paid in capital	$	1,526,691,717
Total distributable earnings (loss)		29,143,170
Net assets	$	1,555,834,887
A-Class:
Net assets	$	148,424,403
Capital shares outstanding		7,550,453
Net asset value per share	$	19.66
Maximum offering price per share (Net asset value divided by 96.00%)	$	20.48
C-Class:
Net assets	$	35,737,553
Capital shares outstanding		1,825,926
Net asset value per share	$	19.57
P-Class:
Net assets	$	86,924,585
Capital shares outstanding		4,418,106
Net asset value per share	$	19.67
Institutional Class:
Net assets	$	1,284,748,346
Capital shares outstanding		65,445,835
Net asset value per share	$	19.63

* 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 | 59

CORE BOND FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	1,367,304
Interest (net of foreign withholding tax of $2,650)		22,828,682
Total investment income		24,195,986
Expenses:
Management fees		3,058,260
Distribution and service fees:
A-Class		210,431
C-Class		179,226
P-Class		84,638
Transfer agent/maintenance fees:
A-Class		97,230
C-Class		17,481
P-Class		42,812
Institutional Class		572,554
Fund accounting/administration fees		534,046
Professional fees		67,287
Line of credit fees		80,969
Custodian fees		28,369
Trustees’ fees*		22,568
Short interest expense		23,020
Miscellaneous		188,103
Recoupment of previously waived fees:
A-Class		1,781
Total expenses		5,208,775
Less:
Expenses reimbursed by Adviser:
A-Class		(61,207	)
C-Class		(9,966	)
P-Class		(27,709	)
Institutional Class		(577,843	)
Expenses waived by Adviser		(95,334	)
Earnings credits applied		(1,710	)
Total waived/reimbursed expenses		(773,769	)
Net expenses		4,435,006
Net investment income		19,760,980
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		9,067,841
Swap agreements		1,786,224
Options purchased		2,581,841
Forward foreign currency exchange contracts		4,331,554
Foreign currency transactions		(6,275	)
Net realized gain		17,761,185
Net change in unrealized appreciation (depreciation) on:
Investments		(52,828,422	)
Swap agreements		929,778
Options purchased		3,189,091
Forward foreign currency exchange contracts		(4,286,532	)
Foreign currency translations		(469	)
Net change in unrealized appreciation (depreciation)		(52,996,554	)
Net realized and unrealized loss		(35,235,369	)
Net decrease in net assets resulting from operations	$	(15,474,389	)

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

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

CORE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	19,760,980		$	21,643,322
Net realized gain on investments		17,761,185			38,692,213
Net change in unrealized appreciation (depreciation) on investments		(52,996,554	)		50,287,078
Net increase (decrease) in net assets resulting from operations		(15,474,389	)		110,622,613
Distributions to shareholders:
A-Class		(5,186,481	)		(3,767,804	)
C-Class		(1,063,082	)		(356,078	)
P-Class		(2,191,963	)		(1,024,712	)
Institutional Class		(46,348,814	)		(19,218,081	)
Total distributions to shareholders		(54,790,340	)		(24,366,675	)
Capital share transactions:
Proceeds from sale of shares
A-Class		27,860,974			110,819,065
C-Class		8,714,753			14,504,419
P-Class		39,779,480			22,554,327
Institutional Class		515,596,664			714,499,854
Distributions reinvested
A-Class		4,875,091			3,613,421
C-Class		936,617			305,013
P-Class		2,191,955			1,024,707
Institutional Class		42,968,822			17,587,263
Cost of shares redeemed
A-Class		(97,226,435	)		(59,704,941	)
C-Class		(5,469,511	)		(6,302,201	)
P-Class		(12,363,058	)		(16,990,731	)
Institutional Class		(353,427,350	)		(272,307,128	)
Net increase from capital share transactions		174,438,002			529,603,068
Net increase in net assets		104,173,273			615,859,006
Net assets:
Beginning of period		1,451,661,614			835,802,608
End of period	$	1,555,834,887		$	1,451,661,614
Capital share activity:
Shares sold
A-Class		1,363,910			5,657,259
C-Class		430,074			736,544
P-Class		1,974,981			1,125,368
Institutional Class		25,248,196			36,204,919
Shares issued from reinvestment of distributions
A-Class		239,161			183,005
C-Class		46,150			15,494
P-Class		107,558			51,991
Institutional Class		2,112,450			890,192
Shares redeemed
A-Class		(4,711,652	)		(3,072,001	)
C-Class		(272,279	)		(324,755	)
P-Class		(609,978	)		(883,015	)
Institutional Class		(17,465,831	)		(13,983,181	)
Net increase in shares		8,462,740			26,601,820

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

CORE 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	20.53		$	18.94		$	18.33		$	18.55		$	18.55		$	18.10
Income (loss) from investment operations:
Net investment income (loss)b		.23			.37			.41			.49			.59			.64
Net gain (loss) on investments (realized and unrealized)		(.41	)		1.63			.63			(.22	)		.02			.50
Total from investment operations		(.18	)		2.00			1.04			.27			.61			1.14
Less distributions from:
Net investment income		(.26	)		(.41	)		(.43	)		(.49	)		(.61	)		(.69	)
Net realized gains		(.43	)		—			—			—			—			—
Total distributions		(.69	)		(.41	)		(.43	)		(.49	)		(.61	)		(.69	)
Net asset value, end of period	$	19.66		$	20.53		$	18.94		$	18.33		$	18.55		$	18.55
Total Returnc		(0.99	%)		10.68	%		5.72	%		1.46	%		3.39	%		6.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	148,424		$	218,856		$	149,442		$	119,066		$	170,624		$	158,932
Ratios to average net assets:
Net investment income (loss)		2.29	%		1.87	%		2.23	%		2.64	%		3.19	%		3.55	%
Total expensesd		0.87	%		0.85	%		0.89	%		0.93	%		1.07	%		1.08	%
Net expensese,f,g		0.79	%		0.79	%		0.80	%		0.83	%		1.02	%		1.03	%
Portfolio turnover rate		41	%		126	%		77	%		53	%		81	%		100	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	20.45		$	18.86		$	18.25		$	18.47		$	18.48		$	18.02
Income (loss) from investment operations:
Net investment income (loss)b		.16			.22			.28			.35			.45			.51
Net gain (loss) on investments (realized and unrealized)		(.43	)		1.64			.62			(.22	)		.02			.51
Total from investment operations		(.27	)		1.86			.90			.13			.47			1.02
Less distributions from:
Net investment income		(.18	)		(.27	)		(.29	)		(.35	)		(.48	)		(.56	)
Net realized gains		(.43	)		—			—			—			—			—
Total distributions		(.61	)		(.27	)		(.29	)		(.35	)		(.48	)		(.56	)
Net asset value, end of period	$	19.57		$	20.45		$	18.86		$	18.25		$	18.47		$	18.48
Total Returnc		(1.36	%)		9.86	%		4.96	%		0.71	%		2.59	%		5.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,738		$	33,163		$	22,531		$	18,799		$	28,083		$	36,040
Ratios to average net assets:
Net investment income (loss)		1.56	%		1.13	%		1.50	%		1.92	%		2.47	%		2.81	%
Total expensesd		1.61	%		1.62	%		1.67	%		1.75	%		1.85	%		1.90	%
Net expensese,f,g		1.54	%		1.54	%		1.55	%		1.57	%		1.77	%		1.77	%
Portfolio turnover rate		41	%		126	%		77	%		53	%		81	%		100	%

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

CORE 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	20.55		$	18.96		$	18.34		$	18.56		$	18.57		$	18.12
Income (loss) from investment operations:
Net investment income (loss)b		.23			.36			.41			.48			.56			.59
Net gain (loss) on investments (realized and unrealized)		(.42	)		1.64			.63			(.21	)		.05			.55
Total from investment operations		(.19	)		2.00			1.04			.27			.61			1.14
Less distributions from:
Net investment income		(.26	)		(.41	)		(.42	)		(.49	)		(.62	)		(.69	)
Net realized gains		(.43	)		—			—			—			—			—
Total distributions		(.69	)		(.41	)		(.42	)		(.49	)		(.62	)		(.69	)
Net asset value, end of period	$	19.67		$	20.55		$	18.96		$	18.34		$	18.56		$	18.57
Total Return		(1.04	%)		10.67	%		5.77	%		1.45	%		3.33	%		6.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	86,925		$	60,534		$	50,258		$	48,263		$	17,303		$	3,087
Ratios to average net assets:
Net investment income (loss)		2.29	%		1.86	%		2.24	%		2.61	%		3.06	%		3.25	%
Total expensesd		0.89	%		0.91	%		0.93	%		0.94	%		1.13	%		0.98	%
Net expensese,f,g		0.79	%		0.79	%		0.80	%		0.80	%		1.01	%		0.98	%
Portfolio turnover rate		41	%		126	%		77	%		53	%		81	%		100	%

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

CORE 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	20.51		$	18.91		$	18.30		$	18.52		$	18.53		$	18.07
Income (loss) from investment operations:
Net investment income (loss)b		.26			.42			.47			.54			.64			.62
Net gain (loss) on investments (realized and unrealized)		(.43	)		1.65			.62			(.22	)		.02			.58
Total from investment operations		(.17	)		2.07			1.09			.32			.66			1.20
Less distributions from:
Net investment income		(.28	)		(.47	)		(.48	)		(.54	)		(.67	)		(.74	)
Net realized gains		(.43	)		—			—			—			—			—
Total distributions		(.71	)		(.47	)		(.48	)		(.54	)		(.67	)		(.74	)
Net asset value, end of period	$	19.63		$	20.51		$	18.91		$	18.30		$	18.52		$	18.53
Total Return		(0.89	%)		11.07	%		6.03	%		1.75	%		3.67	%		6.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,284,748		$	1,139,109		$	613,571		$	380,974		$	142,014		$	83,168
Ratios to average net assets:
Net investment income (loss)		2.59	%		2.17	%		2.52	%		2.92	%		3.51	%		3.41	%
Total expensesd		0.60	%		0.58	%		0.62	%		0.60	%		0.74	%		0.76	%
Net expensese,f,g		0.50	%		0.50	%		0.51	%		0.52	%		0.70	%		0.76	%
Portfolio turnover rate		41	%		126	%		77	%		53	%		81	%		100	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%*	0.00%*	—	0.00%*	0.05%
C-Class	—	0.00%*	—	0.00%*	0.03%
P-Class	—	0.00%*	0.00%*	0.00%*	0.01%
Institutional Class	—	0.00%*	—	0.00%*	0.02%

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.78%	0.78%	0.79%	0.82%	1.00%	1.00%
C-Class	1.52%	1.53%	1.54%	1.57%	1.75%	1.74%
P-Class	0.77%	0.78%	0.79%	0.80%	0.99%	0.97%
Institutional Class	0.49%	0.49%	0.50%	0.52%	0.68%	0.75%

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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	22.1%
AA	44.9%
A	11.8%
BBB	3.1%
B	1.0%
NR2	2.2%
Other Instruments	14.9%
Total Investments	100.0%

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)
El Camino Healthcare District General Obligation Unlimited	2.9%
Denton County Housing Finance Corp. Revenue Bonds, 2.15%	2.7%
Freddie Mac Multifamily, 1.90%	2.7%
Ysleta Independent School District General Obligation Unlimited, 4.00%	2.2%
Dayton-Montgomery County Port Authority Revenue Bonds, 1.84%	2.1%
Stockton Unified School District General Obligation Unlimited	2.1%
Illinois Finance Authority Revenue Bonds, 5.00%	1.9%
City of Los Angeles Department of Airports Revenue Bonds, 5.00%	1.7%
New York City Water & Sewer System Revenue Bonds, 5.00%	1.7%
Private Colleges & Universities Authority Revenue Bonds, 5.00%	1.7%
Top Ten Total	21.7%
“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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares~	2.65%	5.96%	3.35%	4.22%
A-Class Shares with sales charge‡	(1.44%)	1.71%	2.51%	3.71%
Bloomberg Barclays Municipal Bond Index	1.46%	5.51%	3.49%	4.54%

	6 Month†	1 Year	5 Year	Since Inception (01/13/12)
C-Class Shares	2.28%	5.18%	2.58%	3.04%
C-Class Shares with CDSC§	1.28%	4.18%	2.58%	3.04%
Institutional Class Shares	2.78%	6.22%	3.61%	4.07%
Bloomberg Barclays Municipal Bond Index	1.46%	5.51%	3.49%	3.66%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	2.73%	6.04%	3.36%	3.33%
Bloomberg Barclays Municipal Bond Index	1.46%	5.51%	3.49%	3.73%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
~	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 performance prior to that date reflects performance of TYW.

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
MUNICIPAL INCOME FUND

	Shares		Value
CLOSED-END FUNDS† - 13.2%
BlackRock MuniVest Fund, Inc.		86,286	$	802,460
BlackRock Municipal Income Quality Trust		52,731		796,765
BlackRock MuniEnhanced Fund, Inc.		66,723		788,666
Nuveen California Quality Municipal Income Fund		49,986		742,792
DWS Municipal Income Trust		53,020		617,683
BlackRock MuniHoldings Investment Quality Fund		39,612		566,055
Eaton Vance Municipal Income Trust		40,499		557,671
Invesco Trust for Investment Grade Municipals		38,954		525,100
Nuveen AMT-Free Municipal Credit Income Fund		29,838		504,262
BNY Mellon Strategic Municipals, Inc.		57,718		492,912
Invesco Municipal Trust		34,942		461,234
Nuveen Quality Municipal Income Fund		30,461		461,180
Invesco Advantage Municipal Income Trust II		37,925		449,411
Nuveen AMT-Free Quality Municipal Income Fund		29,451		436,464
BlackRock MuniYield Quality Fund, Inc.		25,824		410,343
BlackRock MuniHoldings California Quality Fund, Inc.		22,912		344,826
BlackRock MuniYield California Quality Fund, Inc.		19,796		291,595
Nuveen California AMT-Free Quality Municipal Income Fund		18,593		287,262
Invesco Municipal Opportunity Trust		14,142		186,392
BlackRock Municipal Income Trust		9,687		145,305
Total Closed-End Funds
(Cost $9,143,179)				9,868,378
MONEY MARKET FUND† - 0.9%
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 0.01%1		657,140		657,140
Total Money Market Fund
(Cost $657,140)				657,140
	Face Amount
MUNICIPAL BONDS†† - 84.0%
California - 23.0%
Stockton Unified School District General Obligation Unlimited
due 08/01/332	$	2,000,000		1,537,602
due 08/01/372		810,000		546,876
due 08/01/422		250,000		141,547
El Camino Healthcare District General Obligation Unlimited
due 08/01/292		2,500,000		2,191,255
City of Los Angeles Department of Airports Revenue Bonds
5.00% due 05/15/39		1,000,000		1,270,633
5.00% due 05/15/44		100,000		122,711
San Bernardino Community College District General Obligation Unlimited
4.00% due 08/01/49		1,000,000		1,135,444
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited
due 08/01/312		705,000		579,789
due 08/01/302		415,000		350,947
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
due 08/01/423,4		1,000,000		915,919
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/392		1,300,000		733,402
Sonoma Valley Unified School District General Obligation Unlimited
4.00% due 08/01/44		600,000		689,651
Compton Unified School District General Obligation Unlimited
due 06/01/402		1,000,000		565,220
Stockton Public Financing Authority Revenue Bonds
6.25% due 10/01/40		250,000		287,600
5.00% due 10/01/33		200,000		247,906
Los Angeles Department of Water & Power System Revenue Bonds
5.00% due 07/01/43		500,000		527,312
Kings Canyon Unified School District General Obligation Unlimited
5.00% due 08/01/28		445,000		525,104
San Diego Unified School District General Obligation Unlimited
due 07/01/392		1,000,000		522,593
Riverside County Public Financing Authority Tax Allocation
5.00% due 10/01/28		300,000		374,077
Sacramento Municipal Utility District Revenue Bonds
5.00% due 08/15/37		300,000		330,743
Oakland Unified School District/Alameda County General Obligation Unlimited
5.00% due 08/01/22		165,000		171,739
5.00% due 08/01/40		120,000		140,204
Delhi Unified School District General Obligation Unlimited
5.00% due 08/01/44		250,000		307,130
Riverside County Redevelopment Successor Agency Tax Allocation
due 10/01/373,4		250,000		280,829
Gustine Unified School District General Obligation Unlimited
5.00% due 08/01/41		220,000		262,553

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Freddie Mac Multifamily ML Certificates Revenue Bonds
2.49% due 07/25/35	$	245,952	$	257,443
M-S-R Energy Authority Revenue Bonds
6.13% due 11/01/29		195,000		248,559
Alameda Corridor Transportation Authority Revenue Bonds
5.00% due 10/01/35		200,000		237,954
Upland Unified School District General Obligation Unlimited
due 08/01/382		400,000		232,060
Stanton Redevelopment Agency Successor Agency Tax Allocation
5.00% due 12/01/40		180,000		215,091
Culver Redevelopment Agency Successor Agency Tax Allocation
due 11/01/232		195,000		191,932
Westside Elementary School District General Obligation Unlimited
5.00% due 08/01/48		155,000		184,746
Rio Hondo Community College District General Obligation Unlimited
due 08/01/292		200,000		174,578
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds
3.45% due 12/01/39		150,000		160,847
Freddie Mac Multifamily VRD Certificates Revenue Bonds
2.40% due 10/15/29		150,000		157,739
Coast Community College District General Obligation Unlimited
due 08/01/402		250,000		146,894
Buena Park School District General Obligation Unlimited
5.00% due 08/01/47		100,000		122,863
Roseville Joint Union High School District General Obligation Unlimited
due 08/01/302		100,000		85,036
McKinleyville Union School District General Obligation Unlimited
due 08/01/212		40,000		3,727
Total California				17,178,255
Texas - 14.4%
Denton County Housing Finance Corp. Revenue Bonds
2.15% due 11/01/38		2,000,000		2,000,492
Central Texas Regional Mobility Authority Revenue Bonds
5.00% due 01/01/45		1,250,000		1,530,599
5.00% due 01/01/27		200,000		237,295
Ysleta Independent School District General Obligation Unlimited
4.00% due 08/15/52		1,400,000		1,647,232
Cleveland Independent School District General Obligation Unlimited
4.00% due 02/15/52		1,000,000		1,176,039
North Texas Tollway Authority Revenue Bonds
due 01/01/362		1,000,000		726,661
Central Texas Turnpike System Revenue Bonds
5.00% due 08/15/34		200,000		223,956
5.00% due 08/15/22		35,000		37,292
Bexar County Hospital District General Obligation Limited
5.00% due 02/15/32		200,000		248,957
United Independent School District General Obligation Unlimited
5.00% due 08/15/49		200,000		245,489
Lindale Independent School District General Obligation Unlimited
5.00% due 02/15/49		200,000		241,758
Clifton Higher Education Finance Corp. Revenue Bonds
4.00% due 08/15/33		200,000		240,939
Dallas Area Rapid Transit Revenue Bonds
5.00% due 12/01/41		200,000		235,097
Bexar County Health Facilities Development Corp. Revenue Bonds
5.00% due 07/15/22		225,000		232,454
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/532		1,000,000		229,535
Arlington Higher Education Finance Corp. Revenue Bonds
5.00% due 12/01/46		200,000		218,790
Grand Parkway Transportation Corp. Revenue Bonds
5.00% due 10/01/43		175,000		214,542
Texas Tech University System Revenue Bonds
5.00% due 08/15/32		200,000		203,545
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds
6.25% due 12/15/26		155,000		182,112
City of Fort Worth Texas Water & Sewer System Revenue Bonds
5.00% due 02/15/32		100,000		124,553
Hutto Independent School District General Obligation Unlimited
5.00% due 08/01/49		100,000		122,636
Mansfield Independent School District General Obligation Unlimited
5.00% due 02/15/44		100,000		122,039
University of North Texas System Revenue Bonds
5.00% due 04/15/44		100,000		121,247
City of Arlington Texas Special Tax Revenue Special Tax
5.00% due 02/15/48		100,000		119,953

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Manor Independent School District General Obligation Unlimited
5.00% due 08/01/21	$	20,000	$	20,113
Dallas Independent School District General Obligation Unlimited
5.00% due 02/15/225		15,000		15,477
Tarrant County Health Facilities Development Corp. Revenue Bonds
6.00% due 09/01/24		10,000		10,994
San Antonio Education Facilities Corp. Revenue Bonds
5.00% due 06/01/23		10,000		10,927
City of Austin Texas Water & Wastewater System Revenue Bonds
5.00% due 11/15/21		10,000		10,190
Leander Independent School District General Obligation Unlimited
due 08/15/222		5,000		3,077
due 08/15/242		5,000		2,895
San Antonio Water System Revenue Bonds
5.00% due 05/15/21		5,000		4,977
Total Texas				10,761,862
New York - 4.5%
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/49		1,000,000		1,244,882
New York State Dormitory Authority Revenue Bonds
5.00% due 10/01/41		350,000		351,125
4.00% due 08/01/43		250,000		284,040
5.00% due 05/01/21		5,000		5,018
New York City Industrial Development Agency Revenue Bonds
4.00% due 03/01/32		500,000		599,748
New York Transportation Development Corp. Revenue Bonds
5.00% due 12/01/22		250,000		267,585
5.00% due 07/01/34		200,000		225,438
New York State Urban Development Corp. Revenue Bonds
5.00% due 03/15/35		250,000		281,861
New York Power Authority Revenue Bonds
4.00% due 11/15/45		100,000		116,082
Total New York				3,375,779
Illinois - 4.3%
Illinois Finance Authority Revenue Bonds
5.00% due 10/01/37		1,000,000		1,409,433
5.00% due 10/01/38		250,000		354,982
City of Chicago Illinois Wastewater Transmission Revenue Bonds
5.25% due 01/01/42		400,000		487,214
Chicago O’Hare International Airport Revenue Bonds
5.00% due 01/01/34		300,000		344,642
Metropolitan Water Reclamation District of Greater Chicago General Obligation Unlimited
5.00% due 12/01/25		200,000		238,911
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		223,938
Cook County School District No. 104 Summit General Obligation Unlimited
due 12/01/222		100,000		99,505
County of State Clair Illinois Highway Revenue Bonds
4.25% due 01/01/23		40,000		42,854
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited
due 12/01/212		10,000		9,881
Total Illinois				3,211,360
Michigan - 3.6%
Detroit Wayne County Stadium Authority Revenue Bonds
5.00% due 10/01/26		1,000,000		1,068,527
Detroit City School District General Obligation Unlimited
5.00% due 05/01/32		500,000		525,134
5.00% due 05/01/30		300,000		315,180
Michigan State Hospital Finance Authority Revenue Bonds
5.00% due 11/15/47		200,000		239,521
Michigan State Housing Development Authority Revenue Bonds
3.35% due 12/01/34		200,000		215,255
City of Detroit Michigan Water Supply System Revenue Bonds
5.00% due 07/01/21		200,000		202,345
Flint Hospital Building Authority Revenue Bonds
5.00% due 07/01/25		100,000		113,042
Total Michigan				2,679,004
Colorado - 2.9%
E-470 Public Highway Authority Revenue Bonds
5.00% due 09/01/36		650,000		837,663
Auraria Higher Education Center Revenue Bonds
5.00% due 04/01/28		390,000		453,739
City & County of Denver Colorado Airport System Revenue Bonds
5.00% due 12/01/28		200,000		253,502
Board of Governors of Colorado State University System Revenue Bonds
5.00% due 03/01/41		200,000		239,019
City & County of Denver Colorado Revenue Bonds
due 08/01/302		200,000		159,790

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Colorado Educational & Cultural Facilities Authority Revenue Bonds
5.00% due 03/01/47	$	110,000	$	131,506
Colorado School of Mines Revenue Bonds
5.00% due 12/01/47		100,000		120,518
Total Colorado				2,195,737
Oregon - 2.9%
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited
due 06/15/482		2,000,000		938,446
due 06/15/502		400,000		175,278
due 06/15/492		350,000		158,716
Salem-Keizer School District No. 24J General Obligation Unlimited
due 06/15/402		1,250,000		779,752
University of Oregon Revenue Bonds
5.00% due 04/01/48		100,000		120,730
Total Oregon				2,172,922
Ohio - 2.8%
Dayton-Montgomery County Port Authority Revenue Bonds
1.84% due 09/01/38		1,600,000		1,569,939
County of Miami Ohio Revenue Bonds
5.00% due 08/01/33		200,000		248,441
American Municipal Power, Inc. Revenue Bonds
5.00% due 02/15/41		200,000		235,253
City of Middleburg Heights Ohio Revenue Bonds
5.00% due 08/01/22		15,000		15,819
Ohio Higher Educational Facility Commission Revenue Bonds
5.00% due 01/01/22		15,000		15,394
Total Ohio				2,084,846
Washington - 2.6%
Greater Wenatchee Regional Events Center Public Facilities District Revenue Bonds
5.00% due 09/01/27		500,000		512,884
5.25% due 09/01/32		500,000		511,673
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited
5.00% due 12/01/42		200,000		243,442
Central Puget Sound Regional Transit Authority Revenue Bonds
5.00% due 11/01/41		200,000		240,674
County of King Washington Sewer Revenue Bonds
5.00% due 07/01/42		200,000		240,310
Washington State Convention Center Public Facilities District Revenue Bonds
5.00% due 07/01/48		200,000		232,465
Total Washington				1,981,448
Arizona - 2.7%
Arizona Industrial Development Authority Revenue Bonds
2.12% due 07/01/37		1,188,345		1,176,503
Maricopa County Industrial Development Authority Revenue Bonds
5.00% due 01/01/41		250,000		300,808
Salt Verde Financial Corp. Revenue Bonds
5.00% due 12/01/32		200,000		263,600
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited
5.00% due 07/01/37		100,000		124,559
Industrial Development Authority of the County of Pima Revenue Bonds
7.13% due 06/01/21		75,000		75,794
Total Arizona				1,941,264
District of Columbia - 2.5%
District of Columbia Revenue Bonds
4.00% due 03/01/39		1,000,000		1,186,052
5.00% due 04/01/21		25,000		25,000
6.25% due 04/01/21		5,000		4,950
District of Columbia General Obligation Unlimited
5.00% due 06/01/41		285,000		338,931
5.00% due 06/01/32		275,000		312,999
Total District of Columbia				1,867,932
Georgia - 2.0%
Private Colleges & Universities Authority Revenue Bonds
5.00% due 09/01/48		1,000,000		1,242,040
Savannah Economic Development Authority Revenue Bonds
5.00% due 12/01/28		200,000		235,151
due 12/01/212		20,000		19,779
Richmond County Development Authority Revenue Bonds
due 12/01/212		10,000		9,891
Total Georgia				1,506,861
Pennsylvania - 1.9%
Pennsylvania Economic Development Financing Authority Revenue Bonds
5.00% due 02/01/27		500,000		571,025
Reading School District General Obligation Unlimited
5.00% due 02/01/27		300,000		349,652
Pittsburgh Water & Sewer Authority Revenue Bonds
5.25% due 09/01/36		300,000		333,369
Allegheny County Hospital Development Authority Revenue Bonds
5.00% due 07/15/32		100,000		128,158

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Owen J Roberts School District General Obligation Unlimited
5.00% due 05/15/23	$	25,000	$	27,543
Township of Cheltenham Pennsylvania General Obligation Unlimited
3.00% due 07/01/21		10,000		9,967
City of Erie Pennsylvania General Obligation Unlimited
3.10% due 11/15/22		5,000		5,179
Total Pennsylvania				1,424,893
Louisiana - 1.4%
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds
5.00% due 10/01/37		500,000		585,715
5.00% due 10/01/26		150,000		182,111
City of Shreveport Louisiana Water & Sewer Revenue Bonds
5.00% due 12/01/35		250,000		307,817
Louisiana Public Facilities Authority Revenue Bonds
5.00% due 05/15/26		5,000		5,994
Total Louisiana				1,081,637
North Carolina - 1.2%
North Carolina Turnpike Authority Revenue Bonds
5.00% due 01/01/27		300,000		368,367
North Carolina Central University Revenue Bonds
5.00% due 04/01/44		300,000		360,021
County of New Hanover North Carolina Revenue Bonds
5.00% due 10/01/22		150,000		160,442
North Carolina Eastern Municipal Power Agency Revenue Bonds
4.50% due 01/01/22		10,000		10,226
North Carolina Medical Care Commission Revenue Bonds
6.63% due 07/01/21		10,000		10,054
Total North Carolina				909,110
West Virginia - 1.2%
West Virginia Higher Education Policy Commission Revenue Bonds
5.00% due 04/01/29		500,000		522,949
West Virginia Hospital Finance Authority Revenue Bonds
5.00% due 06/01/42		300,000		350,919
Total West Virginia				873,868
New Jersey - 1.0%
New Jersey Turnpike Authority Revenue Bonds
5.00% due 01/01/31		300,000		369,508
New Jersey Economic Development Authority Revenue Bonds
5.00% due 06/01/28		250,000		305,387
North Hudson Sewerage Authority Revenue Bonds
due 12/15/212		50,000		49,917
New Jersey Health Care Facilities Financing Authority Revenue Bonds
5.25% due 07/01/21		35,000		35,427
New Jersey Transportation Trust Fund Authority Revenue Bonds
5.50% due 06/15/21		20,000		20,008
Total New Jersey				780,247
Virginia - 1.0%
Virginia College Building Authority Revenue Bonds
5.00% due 02/01/25		250,000		293,264
University of Virginia Revenue Bonds
5.00% due 04/01/38		200,000		242,672
Loudoun County Economic Development Authority Revenue Bonds
due 07/01/492		500,000		209,481
City of Norfolk Virginia General Obligation Unlimited
2.50% due 10/01/463		5,000		5,123
Total Virginia				750,540
Mississippi - 1.0%
Mississippi Development Bank Revenue Bonds
6.50% due 10/01/31		500,000		508,329
6.25% due 10/01/26		230,000		233,667
Total Mississippi				741,996
Oklahoma - 0.9%
Oklahoma Development Finance Authority Revenue Bonds
5.00% due 08/15/28		350,000		431,595
Oklahoma City Airport Trust Revenue Bonds
5.00% due 07/01/30		200,000		245,528
Total Oklahoma				677,123
Puerto Rico - 0.8%
Puerto Rico Highway & Transportation Authority Revenue Bonds
5.25% due 07/01/41		250,000		308,518
Puerto Rico Public Buildings Authority Revenue Bonds
6.00% due 07/01/23		250,000		268,280
Commonwealth of Puerto Rico General Obligation Unlimited
5.25% due 07/01/24		45,000		45,785
Total Puerto Rico				622,583

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Arkansas - 0.8%
County of Baxter Arkansas Revenue Bonds
5.00% due 09/01/26	$	330,000	$	373,001
University of Arkansas Revenue Bonds
5.00% due 11/01/47		200,000		242,085
Total Arkansas				615,086
Nebraska - 0.5%
Central Plains Energy Project Revenue Bonds
5.00% due 09/01/29		200,000		252,732
Nebraska Investment Finance Authority Revenue Bonds
3.40% due 09/01/39		85,000		90,274
Total Nebraska				343,006
Alaska - 0.4%
University of Alaska Revenue Bonds
5.00% due 10/01/40		260,000		297,801
Nevada - 0.4%
Las Vegas Valley Water District General Obligation Ltd.
5.00% due 06/01/27		230,000		271,550
Massachusetts - 0.3%
Massachusetts Development Finance Agency Revenue Bonds
5.00% due 10/01/34		150,000		190,845
5.00% due 04/01/21		55,000		54,950
3.00% due 10/01/21		15,000		15,062
Total Massachusetts				260,857
South Carolina - 0.3%
Charleston County Airport District Revenue Bonds
5.00% due 07/01/43		200,000		241,564
Vermont - 0.3%
Vermont Educational & Health Buildings Financing Agency Revenue Bonds			��
5.00% due 12/01/46		200,000		231,036
Tennessee - 0.3%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.48% due 12/01/37		200,000		206,700
Florida - 0.3%
Greater Orlando Aviation Authority Revenue Bonds
5.00% due 10/01/32		100,000		125,901
City of Tampa Florida Water & Wastewater System Revenue Bonds
3.00% due 10/01/21		40,000		40,565
Tampa-Hillsborough County Expressway Authority Revenue Bonds
5.00% due 07/01/22		20,000		20,998
Florida Higher Educational Facilities Financial Authority Revenue Bonds
3.00% due 12/01/22		15,000		15,544
Total Florida				203,008
South Dakota - 0.2%
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds
5.00% due 04/01/34		150,000		181,614
Indiana - 0.2%
Indiana Finance Authority Revenue Bonds
5.00% due 10/01/41		100,000		119,920
Jeffersonville Housing, Inc. Revenue Bonds
7.25% due 11/15/21		50,000		52,082
Total Indiana				172,002
Kansas - 0.2%
University of Kansas Hospital Authority Revenue Bonds
5.00% due 09/01/48		100,000		120,101
Riley County Unified School District No. 383 Manhattan-Ogden General Obligation Unlimited
due 09/01/212		25,000		16,408
Total Kansas				136,509
Idaho - 0.2%
Idaho Housing & Finance Association Revenue Bonds
5.00% due 07/15/30		100,000		127,565
Rhode Island - 0.2%
Rhode Island Health and Educational Building Corp. Revenue Bonds
5.00% due 05/15/42		100,000		123,715
Utah - 0.2%
South Davis Metro Fire Service Area Revenue Bonds
5.00% due 12/01/34		100,000		122,856
Montana - 0.2%
Montana State Board of Regents Revenue Bonds
5.00% due 11/15/43		100,000		121,057
Iowa - 0.2%
PEFA, Inc. Revenue Bonds
5.00% due 09/01/265		100,000		120,523
New Hampshire - 0.1%
New Hampshire Health and Education Facilities Authority Act Revenue Bonds
5.00% due 01/01/23		60,000		65,008

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Maryland - 0.1%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
5.00% due 07/01/22	$	15,000	$	15,758
4.25% due 07/01/22		10,000		10,387
4.00% due 07/01/22		10,000		10,356
5.00% due 07/01/27		5,000		5,723
Total Maryland				42,224
Alabama - 0.0%
Saraland Public Educational Building Authority Revenue Bonds
4.25% due 06/01/21		30,000		30,187
Phenix City Public Building Authority Revenue Bonds
4.38% due 04/01/21		5,000		4,950
Total Alabama				35,137
New Mexico - 0.0%
City of Albuquerque New Mexico Revenue Bonds
5.00% due 07/01/25		30,000		33,583
Total New Mexico				33,583
Wisconsin - 0.0%
State of Wisconsin General Obligation Unlimited
5.00% due 05/01/22		25,000		26,310
Total Municipal Bonds
(Cost $60,159,075)				62,797,978
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 2.6%
Government Agency - 2.6%
Freddie Mac Multifamily
1.90% due 11/25/376		1,998,578		1,986,775
Total Collateralized Mortgage Obligations
(Cost $2,057,884)				1,986,775
U.S. TREASURY BILLS†† - 1.1%
U.S. Treasury Bills
0.07% due 04/15/217,8		500,000		499,997
0.04% due 04/22/217,8		100,000		99,999
0.05% due 08/26/217,8		100,000		99,991
0.03% due 04/08/217,8		50,000		50,000
0.03% due 06/03/217,8		26,000		25,999
0.07% due 04/29/217,8		25,000		25,000
Total U.S. Treasury Bills
(Cost $800,958)				800,986
Total Investments - 101.8%
(Cost $72,818,236)			$	76,111,257
Other Assets & Liabilities, net - (1.8)%				(1,335,407	)
Total Net Assets - 100.0%			$	74,775,850

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value		Upfront Premiums Paid (Received)		Unrealized Appreciation*
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.21%		Quarterly	11/24/50		$	1,600,000	$	366,722	$	324	$	366,398
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.28%		Quarterly	11/04/50			1,200,000		257,208		317		256,891
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.57%		Quarterly	01/27/51			810,000		120,710		312		120,398
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.67%		Quarterly	02/05/51			800,000		102,277		312		101,965
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.57%		Quarterly	01/28/51			200,000		29,741		302		29,439
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	2.09%		Quarterly	03/16/51			750,000		22,087		313		21,774
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	2.10%		Quarterly	03/08/51			650,000		20,193		311		19,882
											$	918,938	$	2,191	$	916,747

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
MUNICIPAL INCOME FUND

*	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	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, 2021.
2	Zero coupon rate security.
3	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
4	Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date.
5	The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at March 31, 2021.
6	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 $1,986,775 (cost $2,057,884), or 2.6% of total net assets.
7	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
8	Rate indicated is the effective yield at the time of purchase.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Closed-End Funds	$	9,868,378	$	—	$	—	$	9,868,378
Money Market Fund		657,140		—		—		657,140
Municipal Bonds		—		62,797,978		—		62,797,978
Collateralized Mortgage Obligations		—		1,986,775		—		1,986,775
U.S. Treasury Bills		—		800,986		—		800,986
Interest Rate Swap Agreements*		—		916,747		—		916,747
Total Assets	$	10,525,518	$	66,502,486	$	—	$	77,028,004

* This derivative is reported as unrealized appreciation/depreciation at period end.

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)			Future Reset Date(s)
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46		3.00	%		10/01/22		3.75% - 5.00%	10/01/26 - 10/01/41
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42		6.85	%		08/01/32		—			—
Riverside County Redevelopment Successor Agency Tax Allocation, due 10/01/37		5.00	%		10/01/21		—			—

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $72,818,236)	$	76,111,257
Cash		3,930
Unamortized upfront premiums paid on interest rate swap agreements		2,191
Prepaid expenses		43,860
Receivables:
Interest		495,369
Securities sold		39,525
Variation margin on interest rate swap agreements		25,985
Dividends		24,795
Fund shares sold		3,213
Total assets		76,750,125
Liabilities:
Segregated cash due to broker		41,484
Payable for:
Securities purchased		1,720,360
Fund shares redeemed		135,061
Distribution and service fees		14,168
Management fees		10,797
Distributions to shareholders		9,422
Fund accounting/administration fees		7,308
Transfer agent/maintenance fees		3,578
Trustees’ fees*		1,177
Miscellaneous		30,920
Total liabilities		1,974,275
Net assets	$	74,775,850
Net assets consist of:
Paid in capital	$	70,578,874
Total distributable earnings (loss)		4,196,976
Net assets	$	74,775,850
A-Class:
Net assets	$	59,433,768
Capital shares outstanding		4,420,802
Net asset value per share	$	13.44
Maximum offering price per share (Net asset value divided by 96.00%)	$	14.00
C-Class:
Net assets	$	1,797,901
Capital shares outstanding		133,838
Net asset value per share	$	13.43
P-Class:
Net assets	$	219,089
Capital shares outstanding		16,306
Net asset value per share	$	13.44
Institutional Class:
Net assets	$	13,325,092
Capital shares outstanding		991,140
Net asset value per share	$	13.44

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	241,385
Interest		776,652
Total investment income		1,018,037
Expenses:
Management fees		192,298
Distribution and service fees:
A-Class		75,471
C-Class		10,029
P-Class		248
Transfer agent/maintenance fees:
A-Class		21,307
C-Class		913
P-Class		284
Institutional Class		7,721
Registration fees		52,343
Fund accounting/administration fees		30,474
Professional fees		27,355
Trustees’ fees*		8,929
Line of credit fees		3,958
Custodian fees		3,889
Miscellaneous		23,001
Total expenses		458,220
Less:
Expenses reimbursed by Adviser:
A-Class		(22,336	)
C-Class		(963	)
P-Class		(288	)
Institutional Class		(7,963	)
Expenses waived by Adviser		(130,643	)
Total waived/reimbursed expenses		(162,193	)
Net expenses		296,027
Net investment income		722,010
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		111,720
Swap agreements		(16,636	)
Net realized gain		95,084
Net change in unrealized appreciation (depreciation) on:
Investments		367,804
Swap agreements		916,747
Net change in unrealized appreciation (depreciation)		1,284,551
Net realized and unrealized gain		1,379,635
Net increase in net assets resulting from operations	$	2,101,645

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

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	722,010		$	1,256,299
Net realized gain on investments		95,084			115,856
Net change in unrealized appreciation (depreciation) on investments		1,284,551			344,828
Net increase in net assets resulting from operations		2,101,645			1,716,983
Distributions to shareholders:
A-Class		(631,686	)		(938,323	)
C-Class		(13,571	)		(24,954	)
P-Class		(2,078	)		(4,476	)
Institutional Class		(169,390	)		(288,553	)
Total distributions to shareholders		(816,725	)		(1,256,306	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,101,972			31,221,279
C-Class		15,336			611,241
P-Class		40,689			902,089
Institutional Class		4,568,878			13,484,207
Distributions reinvested
A-Class		572,951			802,587
C-Class		12,776			22,789
P-Class		2,078			4,476
Institutional Class		167,038			283,837
Cost of shares redeemed
A-Class		(5,837,513	)		(12,445,554	)
C-Class		(441,478	)		(439,495	)
P-Class		(28,077	)		(915,765	)
Institutional Class		(5,052,017	)		(14,294,302	)
Net increase (decrease) from capital share transactions		(4,877,367	)		19,237,389
Net increase (decrease) in net assets		(3,592,447	)		19,698,066
Net assets:
Beginning of period		78,368,297			58,670,231
End of period	$	74,775,850		$	78,368,297
Capital share activity:
Shares sold
A-Class		82,350			2,381,376
C-Class		1,140			46,635
P-Class		3,003			67,519
Institutional Class		342,218			1,026,721
Shares issued from reinvestment of distributions
A-Class		42,773			61,069
C-Class		954			1,738
P-Class		155			341
Institutional Class		12,466			21,612
Shares redeemed
A-Class		(436,239	)		(949,737	)
C-Class		(32,983	)		(34,716	)
P-Class		(2,122	)		(68,344	)
Institutional Class		(377,214	)		(1,098,996	)
Net increase (decrease) in shares		(363,499	)		1,455,218

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	13.23		$	13.12		$	12.46		$	12.70		$	12.86		$	12.52
Income (loss) from investment operations:
Net investment income (loss)b		.12			.26			.30			.30			.27			.26
Net gain (loss) on investments (realized and unrealized)		.23			.11			.70			(.24	)		(.15	)		.34
Total from investment operations		.35			.37			1.00			.06			.12			.60
Less distributions from:
Net investment income		(.12	)		(.26	)		(.30	)		(.30	)		(.28	)		(.26	)
Net realized gains		(.02	)		—			(.04	)		—			—			—
Total distributions		(.14	)		(.26	)		(.34	)		(.30	)		(.28	)		(.26	)
Net asset value, end of period	$	13.44		$	13.23		$	13.12		$	12.46		$	12.70		$	12.86
Total Returnc		2.65	%		2.85	%		8.13	%		0.44	%		0.94	%		4.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	59,434		$	62,583		$	42,512		$	25,570		$	33,515		$	41,283
Ratios to average net assets:
Net investment income (loss)		1.85	%		1.95	%		2.31	%		2.35	%		2.19	%		2.06	%
Total expensesd		1.21	%		1.21	%		1.34	%		1.30	%		1.20	%		1.18	%
Net expensese,f,g		0.80	%		0.81	%		0.81	%		0.80	%		0.82	%		0.81	%
Portfolio turnover rate		10	%		58	%		30	%		13	%		31	%		61	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	13.22		$	13.11		$	12.45		$	12.69		$	12.86		$	12.52
Income (loss) from investment operations:
Net investment income (loss)b		.07			.16			.21			.20			.18			.16
Net gain (loss) on investments (realized and unrealized)		.23			.11			.69			(.24	)		(.17	)		.35
Total from investment operations		.30			.27			.90			(.04	)		.01			.51
Less distributions from:
Net investment income		(.07	)		(.16	)		(.20	)		(.20	)		(.18	)		(.17	)
Net realized gains		(.02	)		—			(.04	)		—			—			—
Total distributions		(.09	)		(.16	)		(.24	)		(.20	)		(.18	)		(.17	)
Net asset value, end of period	$	13.43		$	13.22		$	13.11		$	12.45		$	12.69		$	12.86
Total Returnc		2.28	%		2.09	%		7.33	%		(0.30	%)		0.12	%		4.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,798		$	2,177		$	1,981		$	2,403		$	3,768		$	5,008
Ratios to average net assets:
Net investment income (loss)		1.10	%		1.23	%		1.63	%		1.60	%		1.44	%		1.26	%
Total expensesd		1.98	%		1.97	%		2.12	%		2.11	%		1.92	%		1.89	%
Net expensese,f,g		1.55	%		1.56	%		1.56	%		1.55	%		1.57	%		1.56	%
Portfolio turnover rate		10	%		58	%		30	%		13	%		31	%		61	%

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	13.22		$	13.13		$	12.46		$	12.70		$	12.86		$	12.52
Income (loss) from investment operations:
Net investment income (loss)b		.12			.26			.29			.29			.25			.26
Net gain (loss) on investments (realized and unrealized)		.24			.09			.72			(.23	)		(.14	)		.34
Total from investment operations		.36			.35			1.01			.06			.11			.60
Less distributions from:
Net investment income		(.12	)		(.26	)		(.30	)		(.30	)		(.27	)		(.26	)
Net realized gains		(.02	)		—			(.04	)		—			—			—
Total distributions		(.14	)		(.26	)		(.34	)		(.30	)		(.27	)		(.26	)
Net asset value, end of period	$	13.44		$	13.22		$	13.13		$	12.46		$	12.70		$	12.86
Total Return		2.73	%		2.69	%		8.20	%		0.44	%		0.89	%		4.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	219		$	202		$	207		$	37		$	111		$	84
Ratios to average net assets:
Net investment income (loss)		1.86	%		1.96	%		2.25	%		2.32	%		2.01	%		2.00	%
Total expensesd		1.42	%		1.40	%		1.55	%		1.72	%		1.27	%		1.21	%
Net expensese,f,g		0.80	%		0.81	%		0.81	%		0.80	%		0.82	%		0.79	%
Portfolio turnover rate		10	%		58	%		30	%		13	%		31	%		61	%

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	13.23		$	13.13		$	12.46		$	12.71		$	12.87		$	12.53
Income (loss) from investment operations:
Net investment income (loss)b		.14			.29			.33			.33			.30			.29
Net gain (loss) on investments (realized and unrealized)		.23			.10			.71			(.25	)		(.15	)		.34
Total from investment operations		.37			.39			1.04			.08			.15			.63
Less distributions from:
Net investment income		(.14	)		(.29	)		(.33	)		(.33	)		(.31	)		(.29	)
Net realized gains		(.02	)		—			(.04	)		—			—			—
Total distributions		(.16	)		(.29	)		(.37	)		(.33	)		(.31	)		(.29	)
Net asset value, end of period	$	13.44		$	13.23		$	13.13		$	12.46		$	12.71		$	12.87
Total Return		2.78	%		3.03	%		8.48	%		0.61	%		1.19	%		5.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,325		$	13,406		$	13,970		$	9,067		$	15,914		$	24,126
Ratios to average net assets:
Net investment income (loss)		2.10	%		2.23	%		2.59	%		2.59	%		2.43	%		2.24	%
Total expensesd		1.00	%		1.00	%		1.08	%		1.09	%		0.88	%		0.84	%
Net expensese,f,g		0.55	%		0.56	%		0.56	%		0.55	%		0.57	%		0.56	%
Portfolio turnover rate		10	%		58	%		30	%		13	%		31	%		61	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	—	—
C-Class	—	0.00%*	—	—	—
P-Class	—	0.00%*	—	—	0.04%
Institutional Class	—	0.00%*	—	—	—

* Less than 0.01%.

^g Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.80%	0.80%	0.80%	0.80%	0.80%	0.80%
C-Class	1.55%	1.55%	1.55%	1.55%	1.55%	1.55%
P-Class	0.80%	0.80%	0.80%	0.80%	0.80%	0.78%
Institutional Class	0.55%	0.55%	0.55%	0.55%	0.55%	0.55%

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized 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. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. The High Yield Fund offers R6-Class shares. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds.

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

This report covers the following funds (collectively, the “Funds”):

Fund Name	Investment Company Type
Diversified Income Fund	Diversified
High Yield Fund	Diversified
Core Bond Fund (formerly, Investment Grade Bond Fund)	Diversified
Municipal Income Fund	Diversified

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

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 a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

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,

80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.

Valuations of the Funds’ securities and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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 U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

U.S. Government securities are valued by 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.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.

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

The value of interest rate swap agreements entered into by a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81

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, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations

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 Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Trust 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 disclosed in the Funds’ Schedules of Investments.

The Funds invest in loans and other similar debt obligations (“obligations”). A portion of the Funds’ investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Funds may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Funds may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Funds are subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Funds may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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 Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

(e) Options

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).

82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(f) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(g) Currency Translations

The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

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

(h) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

(i) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(j) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income,

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

Certain Funds may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Funds and included in interest income on the Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(k) Distributions

The Funds declare dividends from investment income daily, except for Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional 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 U.S. federal income tax purposes.

(l) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

(m) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended March 31, 2021, are disclosed in the Statements of Operations.

(n) Cash

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 0.06% at March 31, 2021.

(o) Indemnifications

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.

Note 2 – Derivatives

As part of their investment strategy, the Funds may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on 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 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.

84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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 Funds’ use and volume of call/put options purchased on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Hedge	$	991,816,667	$	—

Swap Agreements

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. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

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

		Average Notional Amount
Fund	Use	Long		Short
High Yield Fund	Income, Index exposure	$	6,130,133	$	—
Core Bond Fund	Income, Index exposure, Speculation		5,782,805		1,018,912

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table represents the Funds’ use and volume of interest rate swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Pay Floating Rate		Receive Floating Rate
Municipal Income Fund	Duration, Hedge	$	—	$	3,338,333
Core Bond Fund	Duration, Hedge		40,166,667		24,033,333

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Protection Sold		Protection Purchased
High Yield Fund	Index Exposure	$	20,583,333	$	—
Core Bond Fund	Index Exposure, Speculation		15,778,333		—

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.

86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

		Average Value
Fund	Use	Purchased		Sold
High Yield Fund	Hedge	$	151,023	$	1,852,298
Core Bond Fund	Hedge, Income		27,027,711		34,245,734

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, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest Rate contracts	Variation margin on interest rate swap agreements
	Unamortized upfront premiums paid on interest rate swap agreements
	Investments in unaffiliated issuers, at value
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Credit contracts		Unrealized depreciation on OTC swap agreements

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Swaps Credit Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
High Yield Fund	$	—	$	—	$	—	$	52,211	$	52,211
Core Bond Fund		5,067,117		—		5,980,992		59,504		11,107,613
Municipal Income Fund		916,747		—		—		—		916,747

Liability Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Swaps Credit Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
High Yield Fund	$	—	$	360,270	$	—	$	3,631	$	363,901
Core Bond Fund		1,955,203		—		—		—		1,955,203

* Includes cumulative appreciation (depreciation) of OTC and centrally-cleared swap agreements as reported on the Schedules of Investments. For centrally-cleared swap agreements, variation margin is reported within the Statements of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended March 31, 2021:

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

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, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Interest Rate Risk			Swaps Credit Risk			Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk			Total
High Yield Fund	$	—		$	1,863,488		$	—	$	(101,315	)	$	1,762,173
Core Bond Fund		(949,063	)		2,735,287			2,581,841		4,331,554			8,699,619
Municipal Income Fund		(16,636	)		—	��		—		—			(16,636	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Swaps Interest Rate Risk		Swaps Credit Risk			Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk			Total
High Yield Fund	$	—	$	(420,124	)	$	—	$	51,050		$	(369,074	)
Core Bond Fund		2,348,203		(1,418,425	)		3,189,091		(4,286,532	)		(167,663	)
Municipal Income Fund		916,747		—			—		—			916,747

In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

Foreign Investments

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 Funds 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.

The 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 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.

Note 3 – 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.

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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	52,211	$	—	$	52,211	$	(587	)	$	—		$	51,624
Core Bond Fund	Forward foreign currency exchange contracts		59,504		—		59,504		—			(30,955	)		28,549
Core Bond Fund	Options purchased contracts		5,980,992		—		5,980,992		—			(1,770,180	)		4,210,812

								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
High Yield Fund	Credit Index Swap Agreements	$	360,270	$	—	$	360,270	$	—		$	(360,270	)	$	—
	Forward foreign currency exchange contracts		3,631		—		3,631		(587	)		—			3,044

¹ Centrally-cleared derivatives are excluded from these reported amounts.

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Fund	Counterparty/Clearing Agent	Asset Type	Cash Pledged		Cash Received
High Yield Fund	BNP Paribas	Total return swap agreements	$	480,000	$	—
	BofA Securities, Inc.	Credit default swap agreements		—		447,953
				480,000		447,953
Core Bond Fund	BNP Paribas	Total return swap agreements		—		300,000
	BofA Securities, Inc.	Credit default swap agreements, forward foreign currency exchange contracts		—		89,239
	BofA Securities, Inc.	Futures contracts, Total return swap agreements, Options		—		414,239
	Goldman Sachs International	Total return swap agreements, Options		—		870,000
	Morgan Stanley Capital Services LLC	Options		—		533,726
				—		2,190,644
Municipal Income Fund	BofA Securities, Inc.	Interest rate swap agreements		—		41,484

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 4 – Fair Value Measurement

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

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

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

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

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

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

Note 5 – Investment Advisory Agreement and Other Agreements

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	%
Core Bond Fund		0.39	%
Municipal Income Fund		0.50	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Board 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.

Contractual expense limitation agreements 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 or interest 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		02/01/22
Diversified Income Fund - C-Class		2.05	%		01/29/16		02/01/22
Diversified Income Fund - P-Class		1.30	%		01/29/16		02/01/22
Diversified Income Fund - Institutional Class		1.05	%		01/29/16		02/01/22
High Yield Fund - A-Class		1.16	%		11/30/12		02/01/22
High Yield Fund - C-Class		1.91	%		11/30/12		02/01/22
High Yield Fund - P-Class		1.16	%		05/01/15		02/01/22
High Yield Fund - Institutional Class		0.91	%		11/30/12		02/01/22
High Yield Fund - R6-Class		0.91	%		05/15/17		02/01/22
Core Bond Fund - A-Class		0.79	%		11/30/12		02/01/22
Core Bond Fund - C-Class		1.54	%		11/30/12		02/01/22
Core Bond Fund - P-Class		0.79	%		05/01/15		02/01/22
Core Bond Fund - Institutional Class		0.50	%		11/30/12		02/01/22
Municipal Income Fund - A-Class		0.80	%		11/30/12		02/01/22
Municipal Income Fund - C-Class		1.55	%		11/30/12		02/01/22
Municipal Income Fund - P-Class		0.80	%		05/01/15		02/01/22
Municipal Income Fund - Institutional Class		0.55	%		11/30/12		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2021		2022		2023		2024		Total
Diversified Income Fund
A-Class	$	4,364	$	4,237	$	7,853	$	4,168	$	20,622
C-Class		4,566		14,152		13,188		3,107		35,013
P-Class		4,015		3,371		3,667		1,990		13,043
Institutional Class		170,720		148,929		161,912		89,198		570,759
High Yield Fund
A-Class		—		—		—		—		—
C-Class		—		—		—		—		—
P-Class		7,336		1,761		1,010		26		10,133
Institutional Class		—		—		—		—		—
R6-Class		—		—		—		—		—
Core Bond Fund
A-Class		124,974		114,831		101,962		68,842		410,609
C-Class		38,385		23,323		20,037		12,779		94,524
P-Class		37,885		66,557		60,229		34,562		199,233
Institutional Class		143,695		535,891		633,157		655,876		1,968,619
Municipal Income Fund
A-Class		94,684		153,746		194,998		124,843		568,271
C-Class		11,544		11,587		8,471		4,388		35,990
P-Class		472		838		1,347		621		3,278
Institutional Class		42,933		58,964		57,034		32,341		191,272

92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2021, GI recouped amounts from the Funds as follows:

High Yield Fund	$	15,365
Core Bond Fund		1,781

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended March 31, 2021, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
Diversified Income Fund	$	18,260
High Yield Fund		14,168

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Funds’ securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Funds’ custodian. As custodian, BNY is responsible for the custody of the Funds’ assets. 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 and custodian services, MUIS and BNY are 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, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows

Fund	Percent of Outstanding Shares Owned
Diversified Income Fund		94	%

Note 6 – 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, 2021, the following Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at March 31, 2021		Average Balance Outstanding		Average Interest Rate
High Yield Fund		140		$627,198		$16,775,026		0.45	%
Core Bond Fund		175		14,964,175		29,730,411		0.16	%

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
High Yield Fund	Reverse repurchase agreements	$	627,198	$	—	$	627,198	$	(627,198	)	$	—	$	—
Core Bond Fund	Reverse repurchase agreements		14,964,175		—		14,964,175		(14,964,175	)		—		—

As of March 31, 2021, the High Yield Fund and the Core Bond Fund had $627,198 and $14,964,175, respectively, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Fund	Counterparty	Interest Rate(s)		Maturity Date(s)	Face Value
High Yield Fund	BNP Paribas	(0.10%)	Open Maturity		$	627,198
Core Bond Fund	Barclay’s Capital, Inc.	(0.34%) - (0.35%)	04/01/21		$	12,405,940
	BMO Capital Markets Corp.	(0.20%)	04/01/21			2,558,235
					$	14,964,175

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

Fund		Asset Type	Overnight and Continuous		Up to 30 days		Total
High Yield Fund	Corporate Bonds		$	627,198	$	—	$	627,198
Gross amount of recoginized liabilities for reverse repurchased agreements			$	627,198	$	—	$	627,198
Core Bond Fund	Treasury Notes		$	—	$	14,964,175	$	14,964,175
Gross amount of recoginized liabilities for reverse repurchased agreements			$	—	$	14,964,175	$	14,964,175

Note 7 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and 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 or federal excise 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
Diversified Income Fund	$	6,561,122	$	730,888	$	(2,292	)	$	728,596
High Yield Fund		388,433,374		10,925,136		(6,245,808	)		4,679,328
Core Bond Fund		1,622,903,062		46,315,814		(27,518,637	)		18,797,177
Municipal Income Fund		72,818,236		4,493,473		(283,705	)		4,209,768

Note 8 – Securities Transactions

For the period ended March 31, 2021, 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	$	1,463,704	$	1,305,506
High Yield Fund		182,406,068		198,639,866
Core Bond Fund		552,063,356		535,439,994
Municipal Income Fund		8,782,276		7,065,301

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Core Bond Fund	$	76,737,341	$	84,097,063

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. 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, 2021, 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	$	—	$	91,275,843	$	4,673,485
Core Bond Fund		14,925,542		55,154,649		3,237,486

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of March 31, 2021. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The unfunded loan commitments as of March 31, 2021, were as follows:

Fund	Borrower	Maturity Date		Face Amount		Value
High Yield Fund
	Aspect Software, Inc.		07/15/23	$	91,145	$	706
	CCC Information Services, Inc.		04/27/22		750,000		1,072
	HAH Group Holding Co. LLC		10/29/27		145,000		2,039
	National Mentor Holdings, Inc.		02/18/28		80,000		394
	Peraton Corp.		02/22/28		828,970		4,086
	SCP Eye Care Services LLC		03/11/28		188,352		236
				$	2,083,467	$	8,533
Core Bond Fund
	CTL Logistics		08/10/42	$	357,219	$	25,783
	HAH Group Holding Co. LLC		10/29/27		130,000		1,828
	Service Logic Acquisition, Inc.		10/22/27		167,463		1,571
	Southern Veterinary Partners LLC		10/05/27		181,818		1,692
	Venture Global Calcasieu Pass LLC		08/19/26		877,216		48,247
				$	1,713,716	$	79,121

Note 10 – Restricted Securities

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

Fund	Restricted Securities	Acquisition Date		Cost		Value
High Yield Fund
	Basic Energy Services, Inc.
	10.75% due 10/15/23		09/25/18	$	1,216,967	$	245,000
	Mirabela Nickel Ltd.
	9.50% due 06/24/191		12/31/13		252,369		11,125
				$	1,469,336	$	256,125
Core Bond Fund	Central Storage Safety Project Trust
	4.82% due 02/01/38		03/20/18	$	1,024,079	$	1,063,698
	Copper River CLO Ltd.
	2007-1A, due 01/20/212		05/09/14		20,019		20,622
	Putnam Structured Product Funding Ltd.
	2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/383		06/01/16		36,333		38,799
	Station Place Securitization Trust
	2020-WL1, 2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 0.00%) due 06/25/513		07/15/20		1,000,000		1,000,000
	Turbine Engines Securitization Ltd.
	2013-1A, 5.13% due 12/13/48		11/27/13		414,435		333,151
				$	2,494,866	$	2,456,270

1	Security is in default of interest and/or principal obligations.
2	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
3	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

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 allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 12 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 13 – Subsequent Events

Investment Grade Bond Fund Name Change

On April 23, 2021, the name of the Fund changed to Guggenheim Core Bond Fund. This name change did not result in changes to the Fund’s investment objective, principal investment strategies or principal risks.

The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events other than the one disclosed above, that would require adjustment to or disclosure in the Funds’ financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 97

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99

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

Name, Address* and Year of Birth	Position(s) Held with 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
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

100 | 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 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

102 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) 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); Managing 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, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim SMid Cap Value Fund

GuggenheimInvestments.com SBMCV-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
GUGGENHEIM SMID CAP VALUE FUND	8
NOTES TO FINANCIAL STATEMENTS	23
OTHER INFORMATION	32
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	33
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	40

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (the “Fund” for the semi-annual period ended March 31, 2021.

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,

Security Investors, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

The SMid Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index returned 19.07% as the equity market continued to climb after the sharp selloff following the outbreak of COVID-19 in March 2020. This increase was in spite of ongoing personal and economic hardships imposed by COVID-19, highlighting the crucial role of policy support in the form of monetary and fiscal stimulus, which has succeeded in averting a lengthy recession in the U.S. These policy initiatives, particularly on the monetary side, increased market liquidity and lowered borrowing rates, reassuring equity investors that the Federal Reserve (the “Fed”) would do everything in its power to maintain market stability.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

For the six-month period ended March 31, 2021, the S&P 500^® Index* returned, as noted, 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

*Index Definitions:

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

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.

ICE 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.

Russell 2500^® Value Index measures the performance of the small-to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

S&P 500^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

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, 2020 and ending March 31, 2021.

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, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.20%	45.64%	$ 1,000.00	$ 1,456.40	$ 7.35
C-Class	2.01%	45.03%	1,000.00	1,450.30	12.28
P-Class	1.29%	45.63%	1,000.00	1,456.30	7.90
Institutional Class	1.03%	45.74%	1,000.00	1,457.40	6.31
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.20%	5.00%	$ 1,000.00	$ 1,018.95	$ 6.04
C-Class	2.01%	5.00%	1,000.00	1,014.91	10.10
P-Class	1.29%	5.00%	1,000.00	1,018.50	6.49
Institutional Class	1.03%	5.00%	1,000.00	1,019.80	5.19

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any.
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, 2020 to March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

GUGGENHEIM SMID 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
Institutional Class	January 3, 2020

Ten Largest Holdings (% of Total Net Assets)
Pioneer Natural Resources Co.	2.6%
Bunge Ltd.	2.3%
Voya Financial, Inc.	2.2%
First Horizon Corp.	2.2%
Pinnacle Financial Partners, Inc.	2.2%
Synovus Financial Corp.	2.0%
Alleghany Corp.	1.9%
Evolent Health, Inc. — Class A	1.7%
LKQ Corp.	1.6%
MDU Resources Group, Inc.	1.6%
Top Ten Total	20.3%
“Ten Largest Holdings” excludes any temporary cash investments.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	10 Year
A-Class Shares	45.64%	77.46%	12.90%	8.97%
A-Class Shares with sales charge‡	38.72%	68.99%	11.80%	8.44%
C-Class Shares	45.03%	76.03%	11.99%	8.14%
C-Class Shares with CDSC§	44.03%	75.03%	11.99%	8.14%
Institutional Class Shares1	45.74%	77.67%	13.15%	9.30%
Russell 2500 Value Index	50.13%	87.47%	12.15%	10.23%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	45.63%	77.34%	12.87%	10.13%
Russell 2500 Value Index	50.13%	87.47%	12.15%	9.35%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
1	The Institutional Class shares commenced operations on January 3, 2020 in connection with the reorganization of the SMid Cap Value Institutional Fund. The performance of the Institutional Class shares of the Fund for periods prior to January 3, 2020 reflects the performance of the Guggenheim SMid Cap Value Institutional Fund. The returns for the SMid Cap Value Institutional Fund have not been restated to reflect the fees and expenses applicable to the Institutional Class shares of the Fund.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
SMID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 95.5%
Financial - 26.0%
Voya Financial, Inc.		156,188	$	9,939,804
First Horizon Corp.		574,471		9,714,305
Pinnacle Financial Partners, Inc.		108,970		9,661,280
Synovus Financial Corp.		196,044		8,969,013
Alleghany Corp.*		13,849		8,673,490
Physicians Realty Trust REIT		382,791		6,763,917
BOK Financial Corp.		61,596		5,501,755
Alexandria Real Estate Equities, Inc. REIT		33,157		5,447,695
Axis Capital Holdings Ltd.		107,781		5,342,704
VICI Properties, Inc. REIT		165,679		4,678,775
Radian Group, Inc.		190,807		4,436,263
Stifel Financial Corp.		61,030		3,909,582
Hilltop Holdings, Inc.		114,190		3,897,305
Sun Communities, Inc. REIT		24,554		3,684,082
KeyCorp		168,845		3,373,523
Zions Bancorp North America		60,843		3,343,931
Heritage Insurance Holdings, Inc.		280,423		3,107,087
Apple Hospitality REIT, Inc.		191,498		2,790,126
Medical Properties Trust, Inc. REIT		124,560		2,650,637
Park Hotels & Resorts, Inc. REIT*		119,020		2,568,451
Heartland Financial USA, Inc.		48,817		2,453,542
Old Republic International Corp.		109,037		2,381,368
Gaming and Leisure Properties, Inc. REIT		46,248		1,962,303
UMB Financial Corp.		10,797		996,887
Total Financial				116,247,825
Industrial - 18.4%
MDU Resources Group, Inc.		224,339		7,091,356
Jacobs Engineering Group, Inc.		45,754		5,914,620
Knight-Swift Transportation Holdings, Inc.		113,408		5,453,791
Graphic Packaging Holding Co.		279,720		5,079,715
Rexnord Corp.		102,246		4,814,764
PGT Innovations, Inc.*		186,565		4,710,766
Plexus Corp.*		50,906		4,675,207
Johnson Controls International plc		76,754		4,579,911
Valmont Industries, Inc.		18,655		4,433,734
Altra Industrial Motion Corp.		75,605		4,182,469
Colfax Corp.*		93,835		4,110,911
EnerSys		43,436		3,943,989
Owens Corning		32,815		3,021,934
Curtiss-Wright Corp.		25,342		3,005,561
Kirby Corp.*		47,573		2,867,700
Kennametal, Inc.		66,439		2,655,567
Terex Corp.		55,895		2,575,083
GATX Corp.		27,068		2,510,286
Energizer Holdings, Inc.		44,336		2,104,186
Park Aerospace Corp.		143,193		1,893,011
Schneider National, Inc. — Class B		65,740		1,641,528
Howmet Aerospace, Inc.*		37,205		1,195,397
Total Industrial				82,461,486
Consumer, Cyclical - 14.4%
LKQ Corp.*		169,119		7,158,807
Kohl’s Corp.		96,304		5,740,681

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
SMID CAP VALUE FUND

	Shares		Value
Alaska Air Group, Inc.*		75,819	$	5,247,433
MSC Industrial Direct Company, Inc. — Class A		52,550		4,739,484
PVH Corp.*		42,818		4,525,863
Ralph Lauren Corp. — Class A*		31,603		3,892,225
Penske Automotive Group, Inc.		45,617		3,660,308
Lear Corp.		17,436		3,160,275
Abercrombie & Fitch Co. — Class A*		88,592		3,039,592
Dick’s Sporting Goods, Inc.		37,038		2,820,444
Urban Outfitters, Inc.*		74,659		2,776,568
DR Horton, Inc.		29,990		2,672,709
Methode Electronics, Inc.		62,648		2,629,963
Big Lots, Inc.		34,877		2,382,099
Skechers USA, Inc. — Class A*		55,597		2,318,951
Movado Group, Inc.		80,698		2,295,858
Avient Corp.		47,702		2,254,874
Dana, Inc.		91,572		2,227,947
Lakeland Industries, Inc.*		39,658		1,104,872
Total Consumer, Cyclical				64,648,953
Consumer, Non-cyclical - 10.6%
Bunge Ltd.		128,258		10,167,012
Encompass Health Corp.		72,511		5,938,651
Sabre Corp.*		353,636		5,237,349
Central Garden & Pet Co. — Class A*		100,456		5,212,662
Emergent BioSolutions, Inc.*		53,452		4,966,225
US Foods Holding Corp.*		104,944		4,000,465
Integer Holdings Corp.*		40,418		3,722,498
Ingredion, Inc.		39,597		3,560,562
Tyson Foods, Inc. — Class A		31,731		2,357,614
J M Smucker Co.		18,610		2,354,723
Total Consumer, Non-cyclical				47,517,761
Basic Materials - 8.7%
Huntsman Corp.		221,662		6,390,515
Ashland Global Holdings, Inc.		64,211		5,700,011
Reliance Steel & Aluminum Co.		36,971		5,630,313
Westlake Chemical Corp.		59,218		5,257,966
Commercial Metals Co.		139,802		4,311,494
Nucor Corp.		39,296		3,154,290
Olin Corp.		80,246		3,046,941
Element Solutions, Inc.		156,948		2,870,579
Kraton Corp.*		69,755		2,552,335
Total Basic Materials				38,914,444
Technology - 5.3%
Evolent Health, Inc. — Class A*		384,621		7,769,344
Qorvo, Inc.*		28,398		5,188,315
Parsons Corp.*		88,946		3,596,976
Skyworks Solutions, Inc.		19,123		3,508,688
Science Applications International Corp.		31,711		2,650,722
DXC Technology Co.*		36,249		1,133,144
Total Technology				23,847,189
Energy - 4.6%
Pioneer Natural Resources Co.		72,588		11,528,426
Patterson-UTI Energy, Inc.		668,139		4,763,831
Range Resources Corp.*		418,464		4,322,733

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
SMID CAP VALUE FUND

	Shares		Value
HydroGen Corp.*,†††,1		1,265,700	$	2
Total Energy				20,614,992
Utilities - 4.5%
Avista Corp.		79,710		3,806,153
Black Hills Corp.		54,696		3,652,052
Southwest Gas Holdings, Inc.		50,360		3,460,235
Pinnacle West Capital Corp.		42,487		3,456,317
Spire, Inc.		42,220		3,119,636
Edison International		44,188		2,589,417
Total Utilities				20,083,810
Communications - 3.0%
Infinera Corp.*		668,796		6,440,506
Viavi Solutions, Inc.*		282,669		4,437,903
Ciena Corp.*		43,648		2,388,419
Total Communications				13,266,828
Total Common Stocks
(Cost $317,411,983)				427,603,288
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,2		1,652,084		2,412
Total Convertible Preferred Stocks
(Cost $1,577,634)				2,412
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.		516,551		449,399
Total Rights
(Cost $—)				449,399
MONEY MARKET FUND† - 4.0%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		18,063,897		18,063,897
Total Money Market Fund
(Cost $18,063,897)				18,063,897
Total Investments - 99.6%
(Cost $337,053,514)			$	446,118,996
Other Assets & Liabilities, net - 0.4%				1,822,804
Total Net Assets - 100.0%			$	447,941,800

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer.
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, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
SMID CAP VALUE FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	427,603,286	$	—	$	2	$	427,603,288
Convertible Preferred Stocks		—		—		2,412		2,412
Rights		449,399		—		—		449,399
Money Market Fund		18,063,897		—		—		18,063,897
Total Assets	$	446,116,582	$	—	$	2,414	$	446,118,996

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 03/31/21		Shares 03/31/21		Investment Income
Common Stock
HydroGen Corp.*	$	2	$	—	$	—	$	—	$	—	$	2		1,265,700	$	—

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

SMID CAP VALUE FUND

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $337,050,983)	$	446,118,994
Investments in affiliated issuers, at value (cost $2,531)		2
Prepaid expenses		46,068
Receivables:
Securities sold		3,956,959
Dividends		773,608
Fund shares sold		225,785
Foreign tax reclaims		302
Interest		102
Total assets		451,121,820
Liabilities:
Payable for:
Fund shares redeemed		1,494,473
Securities purchased		1,152,925
Management fees		268,655
Distribution and service fees		83,230
Fund accounting/administration fees		27,778
Transfer agent/maintenance fees		20,245
Trustees’ fees*		1,437
Due to Investment Adviser		733
Miscellaneous		130,544
Total liabilities		3,180,020
Net assets	$	447,941,800
Net assets consist of:
Paid in capital	$	320,614,413
Total distributable earnings (loss)		127,327,387
Net assets	$	447,941,800
A-Class:
Net assets	$	334,443,895
Capital shares outstanding		8,740,381
Net asset value per share	$	38.26
Maximum offering price per share (Net asset value divided by 95.25%)	$	40.17
C-Class:
Net assets	$	12,340,632
Capital shares outstanding		491,188
Net asset value per share	$	25.12
P-Class:
Net assets	$	7,517,620
Capital shares outstanding		198,115
Net asset value per share	$	37.95
Institutional Class:
Net assets	$	93,639,653
Capital shares outstanding		7,494,810
Net asset value per share	$	12.49

* 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.

STATEMENT OF OPERATIONS (Unaudited)

SMID CAP VALUE FUND

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	3,867,834
Interest		216
Total investment income		3,868,050
Expenses:
Management fees		1,466,291
Distribution and service fees:
A-Class		366,699
C-Class		73,276
P-Class		8,921
Transfer agent/maintenance fees:
A-Class		102,224
C-Class		11,545
P-Class		2,497
Institutional Class		40,172
Fund accounting/administration fees		136,413
Professional fees		35,420
Trustees’ fees*		13,179
Line of credit fees		6,047
Custodian fees		4,950
Miscellaneous		97,295
Recoupment of previously waived fees:
C-Class		188
P-Class		2,908
Institutional		30
Total expenses		2,368,055
Less:
Expenses reimbursed by Adviser:
A-Class		(9,671	)
C-Class		(2,367	)
P-Class		(6	)
Institutional Class		(14,930	)
Expenses waived by Adviser		(103	)
Earnings credits applied		(7	)
Total waived/reimbursed expenses		(27,084	)
Net expenses		2,340,971
Net investment income		1,527,079
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	24,563,539
Net realized gain		24,563,539
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		117,846,919
Net change in unrealized appreciation (depreciation)		117,846,919
Net realized and unrealized gain		142,410,458
Net increase in net assets resulting from operations	$	143,937,537

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

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

STATEMENTS OF CHANGES IN NET ASSETS

SMID CAP VALUE FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,527,079		$	5,810,547
Net realized gain (loss) on investments		24,563,539			(3,604,141	)
Net change in unrealized appreciation (depreciation) on investments		117,846,919			(48,873,555	)
Net increase (decrease) in net assets resulting from operations		143,937,537			(46,667,149	)
Distributions to shareholders:
A-Class		—			(13,545,510	)
C-Class		—			(1,423,333	)
P-Class		—			(560,321	)
Return of capital
A-Class		—			(423,603	)
C-Class		—			(33,103	)
P-Class		—			(16,100	)
Total distributions to shareholders		—			(16,001,970	)
Capital share transactions:
Proceeds from sale of shares
A-Class		12,719,806			17,615,688
C-Class		422,874			594,137
P-Class		428,981			574,319
Institutional Class		17,291,825			33,393,908	*
Distributions reinvested
A-Class		—			13,561,746
C-Class		—			1,311,431
P-Class		—			576,421
Institutional Class		—			—	*
Net proceeds from the issuance of shares due to mergera		—			66,601,569	*
Cost of shares redeemed
A-Class		(29,243,290	)		(80,108,800	)
C-Class		(7,959,048	)		(14,705,656	)
P-Class		(3,272,567	)		(5,966,542	)
Institutional Class		(12,176,788	)		(26,177,847	)*
Net increase (decrease) from capital share transactions		(21,788,207	)		7,270,374
Net increase (decrease) in net assets		122,149,330			(55,398,745	)
Net assets:
Beginning of period		325,792,470			381,191,215
End of period	$	447,941,800		$	325,792,470

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

SMID CAP VALUE FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		363,458			668,823
C-Class		18,835			30,801
P-Class		12,085			21,752
Institutional Class		1,538,147			3,796,574	*
Shares issued from reinvestment of distributions
A-Class		—			433,009
C-Class		—			63,136
P-Class		—			18,546
Issuance of shares due to mergera		—			6,532,159
Shares redeemed
A-Class		(876,305	)		(2,853,016	)
C-Class		(352,014	)		(793,779	)
P-Class		(107,964	)		(214,531	)
Institutional Class		(1,135,761	)		(3,236,309	)*
Net increase (decrease) in shares		(539,519	)		4,467,165

*	Since commencement of operations, as of the close of business January 3, 2020.
a	Fund merger — See Note 7.

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

FINANCIAL HIGHLIGHTS

SMID 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.27		$	30.52		$	36.20		$	35.37		$	30.27		$	30.86
Income (loss) from investment operations:
Net investment income (loss)b		.13			.46			.22			.06			.03			.30
Net gain (loss) on investments (realized and unrealized)		11.86			(3.37	)		(1.89	)		3.37			6.09			3.95
Total from investment operations		11.99			(2.91	)		(1.67	)		3.43			6.12			4.25
Less distributions from:
Net investment income		—			(.26	)		(.03	)		—			(.37	)		—
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)		(4.84	)
Return of capital		—			(.04	)		—			—			—			—
Total distributions		—			(1.34	)		(4.01	)		(2.60	)		(1.02	)		(4.84	)
Net asset value, end of period	$	38.26		$	26.27		$	30.52		$	36.20		$	35.37		$	30.27
Total Returnc		45.64	%		(10.25	%)		(2.51	%)		10.05	%		20.62	%		15.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	334,444		$	243,072		$	335,806		$	392,495		$	396,408		$	407,883
Ratios to average net assets:
Net investment income (loss)		0.78	%		1.64	%		0.72	%		0.17	%		0.11	%		1.04	%
Total expensesd		1.20	%		1.25	%		1.23	%		1.26	%		1.27	%		1.49	%
Net expensese,f,g		1.20	%		1.24	%		1.23	%		1.26	%		1.27	%		1.49	%
Portfolio turnover rate		14	%		41	%		45	%		54	%		55	%		52	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	17.32		$	20.48		$	26.05		$	26.33		$	22.78		$	24.54
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		.16			(.02	)		(.17	)		(.17	)		.06
Net gain (loss) on investments (realized and unrealized)		7.81			(2.22	)		(1.57	)		2.49			4.55			3.02
Total from investment operations		7.80			(2.06	)		(1.59	)		2.32			4.38			3.08
Less distributions from:
Net investment income		—			(.03	)		—			—			(.18	)		—
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)		(4.84	)
Return of capital		—			(.03	)		—			—			—			—
Total distributions		—			(1.10	)		(3.98	)		(2.60	)		(.83	)		(4.84	)
Net asset value, end of period	$	25.12		$	17.32		$	20.48		$	26.05		$	26.33		$	22.78
Total Returnc		45.03	%		(10.95	%)		(3.35	%)		9.22	%		19.63	%		14.64	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,341		$	14,276		$	31,221		$	52,996		$	87,508		$	98,176
Ratios to average net assets:
Net investment income (loss)		(0.09	%)		0.86	%		(0.11	%)		(0.65	%)		(0.68	%)		0.27	%
Total expensesd		2.04	%		2.14	%		2.07	%		2.03	%		2.07	%		2.27	%
Net expensese,f,g		2.01	%		2.07	%		2.06	%		2.03	%		2.06	%		2.27	%
Portfolio turnover rate		14	%		41	%		45	%		54	%		55	%		52	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.06		$	30.25		$	35.94		$	35.15		$	30.18		$	30.77
Income (loss) from investment operations:
Net investment income (loss)b		.10			.46			.19			.05			.01			.14
Net gain (loss) on investments (realized and unrealized)		11.79			(3.37	)		(1.88	)		3.34			6.08			4.11
Total from investment operations		11.89			(2.91	)		(1.69	)		3.39			6.09			4.25
Less distributions from:
Net investment income		—			(.20	)		(.02	)		—			(.47	)		—
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)		(4.84	)
Return of capital		—			(.04	)		—			—			—			—
Total distributions		—			(1.28	)		(4.00	)		(2.60	)		(1.12	)		(4.84	)
Net asset value, end of period	$	37.95		$	26.06		$	30.25		$	35.94		$	35.15		$	30.18
Total Return		45.63	%		(10.30	%)		(2.61	%)		10.03	%		20.57	%		15.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,518		$	7,662		$	14,165		$	19,889		$	22,203		$	3,423
Ratios to average net assets:
Net investment income (loss)		0.64	%		1.64	%		0.63	%		0.13	%		0.02	%		0.48	%
Total expensesd		1.29	%		1.33	%		1.35	%		1.35	%		1.25	%		1.32	%
Net expensese,f,g		1.29	%		1.31	%		1.32	%		1.28	%		1.23	%		1.32	%
Portfolio turnover rate		14	%		41	%		45	%		54	%		55	%		52	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID 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.

Institutional Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020h
Per Share Data
Net asset value, beginning of period	$	8.57		$	10.20
Income (loss) from investment operations:
Net investment income (loss)b		.05			.11
Net gain (loss) on investments (realized and unrealized)		3.87			(1.74	)
Total from investment operations		3.92			(1.63	)
Net asset value, end of period	$	12.49		$	8.57
Total Return		45.74	%		(15.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	93,640		$	60,783
Ratios to average net assets:
Net investment income (loss)		0.97	%		1.87	%
Total expensesd		1.07	%		1.09	%
Net expensese,f,g		1.03	%		1.03	%
Portfolio turnover rate		14	%		41	%

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

FINANCIAL HIGHLIGHTS (concluded)

SMID CAP VALUE FUND

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.19%	1.24%	1.23%	1.26%	1.25%
C-Class	2.01%	2.07%	2.06%	2.03%	2.04%
P-Class	1.28%	1.30%	1.32%	1.28%	1.21%
Institutional Class	1.03%	1.03%h	N/A	N/A	N/A

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%*	0.00%*	0.00%*	0.01%	0.00%*
C-Class	0.00%*	0.00%*	0.01%	0.01%	0.00%*
P-Class	0.08%	0.01%	0.04%	0.04%	0.00%*
Institutional Class	0.00%*	0.00%*	N/A	N/A	N/A

*	Less than 0.01%
h	Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Guggenheim SMid Cap Value Fund (the “Fund”), a diversified investment company. At March 31, 2021, A-Class, C-Class, P-Class and Instiutional Class shares have been issued by the Fund.

Security Investors, LLC which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD or the “Distributor”) 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.

24 | 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, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, and other information analysis.

(b) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(c) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

(d) Distributions

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 U.S. federal income tax regulations which may differ from U.S. GAAP.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(e) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

(f) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

(g) Cash

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 0.06% at March 31, 2021.

(h) Indemnifications

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.

Note 2 – Investment Advisory Agreement and Other Agreements

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.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board 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.

26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The investment advisory contract 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 or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		1.30	%1		01/03/20		02/01/22
C-Class		2.05	%1		01/03/20		02/01/22
P-Class		1.30	%1		01/03/20		02/01/22
Institutional Class		1.05	%1		01/03/20		02/01/22

¹ Prior to January 3, 2020, the expense limit for A-Class, C-Class and P-Class shares of the Fund was 1.42%, 2.12% and 1.32%, respectively.

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	2021		2022		2023		2024		Fund Total
A-Class	$	—	$	—	$	19,600	$	9,774	$	29,374
C-Class		—		1,152		15,935		2,367		19,454
P-Class		—		3,297		2,961		6		6,264
Institutional Class		—		—		26,262		14,930		41,192

During the period ended March 31, 2021, GI recouped $3,126 from the Fund.

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 3 – 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 or federal excise 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation
$	337,327,087	$	116,056,420	$	(7,264,511	)	$	108,791,909

Note 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.

28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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

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.

Note 5 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	52,090,795	$	90,074,437

Note 6 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 7 – Merger

Effective on the close of business January 3, 2020, the Guggenheim SMid Cap Value Institutional Fund (the “Acquired Fund”) reorganized with and into newly formed Institutional Class shares of the Fund (the “Acquiring Fund”). The purpose of the reorganization was to combine two funds managed by GI with comparable investment objectives and strategies. The reorganization was treated as a tax-free reorganization for federal income tax purposes and, accordingly, the basis of the assets of the Acquiring Fund reflected the historical basis of the assets of the Acquired Fund as of the date of the Reorganization. For financial reporting purposes, the Acquiring Fund was deemed to be the accounting survivor and assets received and shares issued by the Acquiring Fund were recorded at fair value.

In the merger, shareholders of the Acquired Fund received newly issued shares of the Acquiring Fund’s Institutional Class shares, having a NAV equal to the NAV of their holdings of the Acquired Fund’s shares as determined at the close of business on January 3, 2020, which was $10.20. Accordingly, shareholders received the same number of shares of the newly created Institutional Class of the Acquiring Fund with an equivalent value to shares of the Acquired Fund held immediately prior to the merger. As such, no share ratio conversions were required to effect this merger. Relevant details pertaining to the merger as of January 3, 2020 are as follows:

	Acquired Fund Shares prior to reorganization		Institutional Class Shares issued by Acquiring Fund		Net Assets
Acquiring Fund					$	381,345,573
Acquired Fund		6,532,159		6,532,159		66,601,569
					$	447,947,142

Investments

The cost, fair value and net unrealized appreciation (depreciation) of the investments of the Acquired Fund as of the date of the merger, is as follows:

Cost of investments	$	61,009,544
Fair value of investments	$	66,604,886
Net unrealized appreciation (depreciation) on investments	$	5,595,342

Cost and Expenses

The Investment Adviser agreed to cover all costs and expenses associated with the merger (“merger fees”). No merger fees were borne by the Acquired Fund or the Acquiring Fund.

30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Pro Forma Results of Operations

Assuming the acquisition had been completed on October 1, 2019, the beginning of the fiscal reporting period of the Fund, the pro forma results of operations for the year ended September 30, 2020, would be as follows:

SMid Cap Value Fund
Net investment income (loss)	$	6,013,737
Net realized and unrealized gains (loss)	$	(48,729,551	)
Change in net assets resulting from operations	$	(42,715,814	)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Guggenheim SMid Cap Value Institutional Fund that have been included in the Fund’s Statement of Operations since January 3, 2020.

Note 8 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 9 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33

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

Name, Address* and Year of Birth	Position(s) Held with 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
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

34 | 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 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, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35

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

Name, Address* and Year of Birth	Position(s) Held with 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

36 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
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); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

38 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes.

You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Capital Stewardship Fund

GuggenheimInvestments.com CSF-SEMI-0321x0921

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 NOTICE	24

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

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”). The report covers the semi-annual period ended March 31, 2021.

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 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,
Guggenheim Partners Investment Management, LLC
April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

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. Please read the prospectus for more detailed information regarding these and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index returned 19.07% as the equity market continued to climb after the sharp selloff following the outbreak of COVID-19 in March 2020. This increase was in spite of ongoing personal and economic hardships imposed by COVID-19, highlighting the crucial role of policy support in the form of monetary and fiscal stimulus, which has succeeded in averting a lengthy recession in the U.S. These policy initiatives, particularly on the monetary side, increased market liquidity and lowered borrowing rates, reassuring equity investors that the Federal Reserve (the “Fed”) would do everything in its power to maintain market stability.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

For the six-month period ended March 31, 2021, the S&P 500^® Index* returned, as noted, 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

*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.

ICE 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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

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, 2020 and ending March 31, 2021.

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, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Capital Stewardship Fund	1.02%	19.82%	$ 1,000.00	$ 1,198.20	$ 5.59
Table 2. Based on hypothetical 5% return (before expenses)
Capital Stewardship Fund	1.02%	5.00%	$ 1,000.00	$ 1,019.85	$ 5.14

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, 2020 to March 31, 2021.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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)
Apple, Inc.	4.3%
Amazon.com, Inc.	4.0%
Microsoft Corp.	3.9%
Alphabet, Inc. — Class A	2.3%
Facebook, Inc. — Class A	2.1%
Accenture plc — Class A	1.7%
Bristol-Myers Squibb Co.	1.6%
Cisco Systems, Inc.	1.4%
Bank of America Corp.	1.4%
MetLife, Inc.	1.4%
Top Ten Total	24.1%
“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (09/26/14)
Capital Stewardship Fund	19.82%	54.72%	14.42%	11.78%
S&P 500 Index	19.07%	56.35%	16.29%	13.51%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 101.5%
Technology - 23.7%
Apple, Inc.		83,676	$	10,221,024
Microsoft Corp.		39,226		9,248,314
Accenture plc — Class A		14,704		4,061,980
International Business Machines Corp.		24,205		3,225,558
NVIDIA Corp.		5,991		3,198,775
salesforce.com, Inc.*		14,364		3,043,301
Intel Corp.		40,767		2,609,088
Micron Technology, Inc.*		28,382		2,503,576
Advanced Micro Devices, Inc.*		26,501		2,080,328
Cognizant Technology Solutions Corp. — Class A		26,553		2,074,320
Dell Technologies, Inc. — Class C*		17,860		1,574,359
ON Semiconductor Corp.*		33,026		1,374,212
HP, Inc.		39,720		1,261,110
Oracle Corp.		16,710		1,172,541
Twilio, Inc. — Class A*		3,307		1,126,893
Citrix Systems, Inc.		6,761		948,974
Fiserv, Inc.*		7,845		933,869
Texas Instruments, Inc.		4,809		908,853
Take-Two Interactive Software, Inc.*		4,119		727,827
QUALCOMM, Inc.		5,269		698,617
Science Applications International Corp.		7,822		653,841
Applied Materials, Inc.		4,346		580,625
Leidos Holdings, Inc.		5,867		564,875
RingCentral, Inc. — Class A*		1,589		473,331
Akamai Technologies, Inc.*		3,911		398,531
RealPage, Inc.*		2,933		255,758
Adobe, Inc.*		484		230,079
Total Technology				56,150,559
Consumer, Non-cyclical - 23.6%
Bristol-Myers Squibb Co.		59,219		3,738,496
CVS Health Corp.		39,153		2,945,480
Johnson & Johnson		17,635		2,898,313
Gilead Sciences, Inc.		43,737		2,826,722
AbbVie, Inc.		24,160		2,614,595
Molson Coors Beverage Co. — Class B*		49,493		2,531,567
Pfizer, Inc.		67,853		2,458,314
Merck & Company, Inc.		29,347		2,262,360
Amgen, Inc.		8,565		2,131,058
Humana, Inc.		5,048		2,116,374
Kroger Co.		51,589		1,856,688
Square, Inc. — Class A*		7,441		1,689,479
Vertex Pharmaceuticals, Inc.*		7,672		1,648,636
Procter & Gamble Co.		11,350		1,537,130
Anthem, Inc.		4,121		1,479,233
McKesson Corp.		7,555		1,473,527
UnitedHealth Group, Inc.		3,536		1,315,639
Quest Diagnostics, Inc.		9,579		1,229,369
Viatris, Inc.*		80,193		1,120,296
United Rentals, Inc.*		3,352		1,103,847
Boston Scientific Corp.*		26,694		1,031,723
J M Smucker Co.		7,696		973,775
Cigna Corp.		3,884		938,918
Biogen, Inc.*		3,354		938,281
Medtronic plc		7,820		923,777
Abbott Laboratories		7,260		870,038
Kraft Heinz Co.		21,589		863,560
Campbell Soup Co.		15,292		768,729
Becton Dickinson and Co.		3,085		750,118
Thermo Fisher Scientific, Inc.		1,621		739,792
Colgate-Palmolive Co.		9,166		722,556
Regeneron Pharmaceuticals, Inc.*		1,527		722,485
Coca-Cola Co.		11,633		613,175
Laboratory Corporation of America Holdings*		2,259		576,113
Eli Lilly & Co.		3,080		575,406
General Mills, Inc.		9,165		561,998
Kellogg Co.		8,230		520,959
PayPal Holdings, Inc.*		2,075		503,893
Bio-Rad Laboratories, Inc. — Class A*		786		448,940
Mondelez International, Inc. — Class A		7,575		443,365
Kimberly-Clark Corp.		2,958		411,310
Illumina, Inc.*		638		245,030
Total Consumer, Non-cyclical				56,121,064
Communications - 16.6%
Amazon.com, Inc.*		3,082		9,535,955
Alphabet, Inc. — Class A*		2,689		5,546,116
Facebook, Inc. — Class A*		16,940		4,989,338
Cisco Systems, Inc.		66,025		3,414,153
Netflix, Inc.*		6,033		3,147,175
Verizon Communications, Inc.		31,081		1,807,360
eBay, Inc.		28,955		1,773,204
Comcast Corp. — Class A		28,552		1,544,949
AT&T, Inc.		47,192		1,428,502
Arista Networks, Inc.*		3,929		1,186,126
Okta, Inc.*		4,572		1,007,806
F5 Networks, Inc.*		4,761		993,240
Discovery, Inc. — Class C*		24,354		898,419
Omnicom Group, Inc.		9,232		684,553
Motorola Solutions, Inc.		3,230		607,401
Discovery, Inc. — Class A*		10,325		448,724
Walt Disney Co.*		2,329		429,747
Total Communications				39,442,768
Consumer, Cyclical - 12.2%
Best Buy Company, Inc.		24,471		2,809,515
Lowe’s Companies, Inc.		13,205		2,511,327
Home Depot, Inc.		7,304		2,229,546
Cummins, Inc.		6,724		1,742,256
Whirlpool Corp.		7,573		1,668,711
Kohl’s Corp.		27,566		1,643,209
Lear Corp.		8,388		1,520,325
AutoZone, Inc.*		1,022		1,435,195
General Motors Co.*		22,793		1,309,686
NIKE, Inc. — Class B		9,722		1,291,956
Walgreens Boots Alliance, Inc.		21,836		1,198,796
PACCAR, Inc.		12,610		1,171,721
Southwest Airlines Co.*		18,784		1,146,951
Domino’s Pizza, Inc.		3,083		1,133,897

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
CAPITAL STEWARDSHIP FUND

	Shares		Value
BorgWarner, Inc.		24,211	$	1,122,422
Tesla, Inc.*		1,470		981,857
WW Grainger, Inc.		2,370		950,204
Ulta Beauty, Inc.*		2,637		815,281
Walmart, Inc.		5,938		806,559
VF Corp.		7,755		619,780
Tractor Supply Co.		2,653		469,793
Pool Corp.		983		339,371
Total Consumer, Cyclical				28,918,358
Financial - 11.1%
Bank of America Corp.		87,705		3,393,306
MetLife, Inc.		54,179		3,293,541
Citigroup, Inc.		38,346		2,789,672
Prudential Financial, Inc.		25,660		2,337,626
Allstate Corp.		18,939		2,176,091
Hartford Financial Services Group, Inc.		30,813		2,058,000
Progressive Corp.		17,247		1,648,986
Bank of New York Mellon Corp.		27,784		1,313,905
U.S. Bancorp		22,573		1,248,513
Mastercard, Inc. — Class A		3,488		1,241,903
Visa, Inc. — Class A		4,958		1,049,757
JPMorgan Chase & Co.		5,658		861,317
Aflac, Inc.		13,723		702,343
Jones Lang LaSalle, Inc.*		2,947		527,631
State Street Corp.		4,889		410,725
PNC Financial Services Group, Inc.		2,291		401,864
Morgan Stanley		4,303		334,171
Northern Trust Corp.		2,933		308,288
CyrusOne, Inc. REIT		2,933		198,623
Total Financial				26,296,262
Industrial - 8.2%
3M Co.		16,593		3,197,139
Oshkosh Corp.		22,178		2,631,641
Expeditors International of Washington, Inc.		12,730		1,370,894
FedEx Corp.		4,726		1,342,373
Ryder System, Inc.		17,407		1,316,839
Union Pacific Corp.		5,600		1,234,296
Raytheon Technologies Corp.		15,852		1,224,884
Caterpillar, Inc.		5,201		1,205,956
CH Robinson Worldwide, Inc.		9,825		937,600
Parker-Hannifin Corp.		2,927		923,264
Owens Corning		9,666		890,142
Norfolk Southern Corp.		2,931		787,032
Stanley Black & Decker, Inc.		3,447		688,262
Avnet, Inc.		15,668		650,379
United Parcel Service, Inc. — Class B		3,696		628,283
Emerson Electric Co.		5,591		504,420
Total Industrial				19,533,404
Basic Materials - 3.1%
Steel Dynamics, Inc.		30,550		1,550,718
FMC Corp.		10,857		1,200,893
Celanese Corp. — Class A		7,908		1,184,697
Axalta Coating Systems Ltd.*		37,800		1,118,124
International Flavors & Fragrances, Inc.		6,719		938,040
Newmont Corp.		13,394		807,256
Eastman Chemical Co.		5,335		587,490
Total Basic Materials				7,387,218
Energy - 2.2%
ONEOK, Inc.		23,797		1,205,556
Chevron Corp.		11,277		1,181,717
SolarEdge Technologies, Inc.*		3,774		1,084,799
First Solar, Inc.*		11,747		1,025,513
Equities Corp.*		39,111		726,682
Total Energy				5,224,267
Utilities - 0.8%
Exelon Corp.		26,159		1,144,195
Consolidated Edison, Inc.		11,050		826,540
Total Utilities				1,970,735
Total Common Stocks
(Cost $198,957,983)				241,044,635
EXCHANGE-TRADED FUNDS† - 0.8%
SPDR S&P 500 ETF Trust		4,956		1,964,212
Total Exchange-Traded Funds
(Cost $1,888,425)				1,964,212
MONEY MARKET FUND† - 0.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		828,605		828,605
Total Money Market Fund
(Cost $828,605)				828,605
Total Investments - 102.6%
(Cost $201,675,013)			$	243,837,452
Other Assets & Liabilities, net - (2.6)%				(6,224,881	)
Total Net Assets - 100.0%			$	237,612,571

*	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, 2021.
	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 | 9

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
CAPITAL STEWARDSHIP FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	241,044,635	$	—	$	—	$	241,044,635
Exchange-Traded Funds		1,964,212		—		—		1,964,212
Money Market Fund		828,605		—		—		828,605
Total Assets	$	243,837,452	$	—	$	—	$	243,837,452

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments, at value (cost $201,675,013)	$	243,837,452
Prepaid expenses		4,890
Receivables:
Dividends		188,817
Interest		7
Total assets		244,031,166
Liabilities:
Overdraft due to custodian bank		6,854
Payable for:
Fund shares redeemed		6,184,107
Management fees		181,919
Fund accounting/administration fees		16,462
Transfer agent/maintenance fees		2,470
Trustees’ fees*		700
Miscellaneous		26,083
Total liabilities		6,418,595
Net assets	$	237,612,571
Net assets consist of:
Paid in capital	$	172,622,096
Total distributable earnings (loss)		64,990,475
Net assets	$	237,612,571
Capital shares outstanding		6,761,471
Net asset value per share	$	35.14

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	2,127,743
Interest		55
Total investment income		2,127,798
Expenses:
Management fees		1,029,516
Transfer agent/maintenance fees		12,602
Fund accounting/administration fees		81,731
Professional fees		25,727
Trustees’ fees*		11,273
Custodian fees		3,968
Miscellaneous		5,537
Total expenses		1,170,354
Less:
Earnings credits applied		(18	)
Net expenses		1,170,336
Net investment income		957,462
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		26,347,614
Net realized gain		26,347,614
Net change in unrealized appreciation (depreciation) on:
Investments		13,891,377
Net change in unrealized appreciation (depreciation)		13,891,377
Net realized and unrealized gain		40,238,991
Net increase in net assets resulting from operations	$	41,196,453

* 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

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	957,462		$	1,987,550
Net realized gain on investments		26,347,614			10,490,126
Net change in unrealized appreciation (depreciation) on investments		13,891,377			12,587,690
Net increase in net assets resulting from operations		41,196,453			25,065,366
Distributions to shareholders		(13,020,049	)		(6,304,168	)
Capital share transactions:
Proceeds from sale of shares		8,500,000			—
Distributions reinvested		12,936,786			6,179,931
Cost of shares redeemed		(18,751,450	)		(28,243,155	)
Net increase (decrease) from capital share transactions		2,685,336			(22,063,224	)
Net increase (decrease) in net assets		30,861,740			(3,302,026	)
Net assets:
Beginning of period		206,750,831			210,052,857
End of period	$	237,612,571		$	206,750,831
Capital share activity:
Shares sold		271,840			—
Shares issued from reinvestment of distributions		402,138			210,847
Shares redeemed		(565,592	)		(998,019	)
Net increase (decrease) in shares		108,386			(787,172	)

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	31.08		$	28.23		$	31.23		$	29.11		$	26.55		$	23.69
Income (loss) from investment operations:
Net investment income (loss)b		.14			.28			.33			.28			.34			.35
Net gain (loss) on investments (realized and unrealized)		5.84			3.43			.05			4.34			3.51			3.22
Total from investment operations		5.98			3.71			.38			4.62			3.85			3.57
Less distributions from:
Net investment income		(.28	)		(.39	)		(.32	)		(.34	)		(.37	)		(.32	)
Net realized gains		(1.64	)		(.47	)		(3.06	)		(2.16	)		(.92	)		(.39	)
Total distributions		(1.92	)		(.86	)		(3.38	)		(2.50	)		(1.29	)		(.71	)
Net asset value, end of period	$	35.14		$	31.08		$	28.23		$	31.23		$	29.11		$	26.55
Total Return		19.82	%		13.31	%		3.56	%		16.50	%		15.01	%		15.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	237,613		$	206,751		$	210,053		$	220,587		$	216,008		$	208,867
Ratios to average net assets:
Net investment income (loss)		0.84	%		0.96	%		1.23	%		0.93	%		1.23	%		1.38	%
Total expensesc		1.02	%		1.04	%		1.05	%		1.05	%		1.03	%		1.07	%
Portfolio turnover rate		78	%		147	%		131	%		164	%		156	%		209	%

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Does not include expenses of the underlying funds in which the Fund invests.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At March 31, 2021, Institutional Class shares have been issued by the Fund.

Guggenheim Partner Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, 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 subadviser to the Fund.

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.

(a) Valuation of Investments

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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System

14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, and other information analysis.

(b) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. 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. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

(c) Distributions

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 U.S. federal income tax regulations which may differ from U.S. GAAP.

(d) Expenses

Certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(e) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

(f) Cash

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 0.06% at March 31, 2021.

(g) Indemnifications

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.

Note 2 – Investment Advisory Agreement and Other Agreements

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, 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/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 3 – 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 or federal excise 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
$	203,887,622	$	41,663,047	$	(1,713,217	)	$	39,949,830

Note 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.

16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

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.

Note 5 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	175,522,812	$	188,423,356

Note 6 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 7 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. 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)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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 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
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

22 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) 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); Managing 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, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Macro Opportunities Fund

GuggenheimInvestments.com MO-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MACRO OPPORTUNITIES FUND	9
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	74
OTHER INFORMATION	103
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	104
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	111

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the semi-annual period ended March 31, 2021.

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,

Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

Macro Opportunities Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The intrinsic value of the underlying stocks in which the Fund invests may never be realized or the stock may decline in value. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the yield on the two-year U.S. Treasury Note rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year U.S. Treasury Note climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year U.S. Treasury Note and 10-year U.S. Treasury Note widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which the Federal Reserve (the “Fed”) regards as a transitory, short-term phenomenon. Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s^® (“S&P 500^®”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point — one basis point is equal to 0.01%.

*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.

ICE 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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2020 and ending March 31, 2021.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.36%	5.84%	$ 1,000.00	$ 1,058.40	$ 6.98
C-Class	2.11%	5.46%	1,000.00	1,054.60	10.81
P-Class	1.36%	5.84%	1,000.00	1,058.40	6.98
Institutional Class	0.95%	6.05%	1,000.00	1,060.50	4.88
R6-Class	0.95%	6.05%	1,000.00	1,060.50	4.88
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.36%	5.00%	$ 1,000.00	$ 1,018.15	$ 6.84
C-Class	2.11%	5.00%	1,000.00	1,014.41	10.60
P-Class	1.36%	5.00%	1,000.00	1,018.15	6.84
Institutional Class	0.95%	5.00%	1,000.00	1,020.19	4.78
R6-Class	0.95%	5.00%	1,000.00	1,020.19	4.78

1	This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 1.33%, 2.08%, 1.33%, 0.92% and 0.92% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. 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, 2020 to March 31, 2021.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

MACRO OPPORTUNITIES FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
Pershing Square Tontine Holdings, Ltd. — Class A	2.5%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	1.0%
KKR Acquisition Holdings I Corp.	0.8%
KDAC Aviation Finance Ltd., 4.21%	0.7%
Delta Air Lines, Inc., 7.00%	0.7%
TSGE, 6.25%	0.7%
BP Capital Markets plc, 4.88%	0.6%
Boeing Co., 5.15%	0.6%
Markel Corp., 6.00%	0.5%
Liberty Mutual Group, Inc., 4.30%	0.5%
Top Ten Total	8.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) March 31, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	1.4%
AA	2.3%
A	7.9%
BBB	19.1%
BB	20.3%
B	23.4%
CCC	2.9%
CC	3.9%
C	0.2%
NR2	4.7%
Other Instruments	13.9%
Total Investments	100.0%

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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (11/30/11)
A-Class Shares	5.84%	18.48%	5.55%	5.29%
A-Class Shares with sales charge‡	1.60%	13.74%	4.69%	4.74%
C-Class Shares	5.46%	17.58%	4.77%	4.52%
C-Class Shares with CDSC§	4.46%	16.58%	4.77%	4.52%
Institutional Class Shares	6.05%	18.92%	5.96%	5.68%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.19%	0.67%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	5.84%	18.46%	5.57%	4.22%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.19%	1.02%

	6 Month†	1 Year	Since Inception (03/13/19)
R6-Class Shares	6.05%	18.96%	6.45%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.06%	0.12%	1.22%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 4.1%
Financial - 4.0%
Pershing Square Tontine Holdings, Ltd. — Class A*		6,864,930	$	164,826,970
KKR Acquisition Holdings I Corp.*		5,062,315		50,673,773
Gores Holdings VI, Inc. — Class A*		898,206		12,305,422
RXR Acquisition Corp.*		1,080,492		10,642,846
Aequi Acquisition Corp. — Class A*		999,157		9,641,865
MSD Acquisition Corp.*		833,026		8,455,214
Soaring Eagle Acquisition Corp.*		640,025		6,477,053
Colicity, Inc.*		206,136		2,081,974
Total Financial				265,105,117
Utilities - 0.1%
TexGen Power LLC*,††		180,169		7,266,756
Consumer, Non-cyclical - 0.0%
ATD New Holdings, Inc.*,†††		42,478		1,423,013
Cengage Learning Holdings II, Inc.*,††		21,660		303,240
Save-A-Lot*,†††		22,703		107,840
Targus Group International Equity, Inc.*,†††,1		12,773		27,336
Chef Holdings, Inc.*,†††		59		3,722
Total Consumer, Non-cyclical				1,865,151
Energy - 0.0%
Maverick Natural Resources, LLC*,†††		7,168		927,932
Permian Production Partners LLC*,†††		563,442		56
Total Energy				927,988
Technology - 0.0%
Qlik Technologies, Inc. - Class A*,†††		177		225,465
Qlik Technologies, Inc. - Class B*,†††		43,738		4
Total Technology				225,469
Industrial - 0.0%
BP Holdco LLC*,†††,1		37,539		13,236
Vector Phoenix Holdings, LP*,†††		37,539		4,249
API Heat Transfer Parent LLC*,†††		1,024,936		102
Total Industrial				17,587
Consumer Products - 0.0%
Fashion Holdings Intermediate Inc.*		263		6,575
Total Common Stocks
(Cost $241,809,884)				275,414,643
PREFERRED STOCKS† - 3.8%
Financial - 3.7%
Bank of America Corp.
4.13%††		1,002,000		24,829,560
4.38%††		736,000		18,400,000
First Republic Bank
4.25%*,††		1,168,000		29,982,560
4.13%††		369,600		9,240,000
Public Storage
4.63%††		966,000		25,946,760
4.13%††		365,600		9,436,136
W R Berkley Corp.
4.13% due 03/30/61††		934,000		23,359,340
4.25% due 09/30/60††		249,200		6,347,124
Wells Fargo & Co., 4.70%††		982,000		24,991,900
Prudential Financial, Inc., 4.13% due 09/01/60††		686,800		17,396,644
Equitable Holdings, Inc., 4.30%††		616,000		15,344,560

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
PartnerRe Ltd. 4.88%*		372,000	$	9,817,080
CNO Financial Group, Inc., 5.13% due 11/25/60††		324,000		8,164,800
American Financial Group, Inc. 4.50% due 09/15/60††		300,800		7,974,208
Assurant, Inc. 5.25% due 01/15/61††		258,000		6,635,760
Selective Insurance Group, Inc. 4.60%††		246,000		6,137,700
Total Financial				244,004,132
Government - 0.1%
Farmer Mac 5.75%††		378,000		10,249,848
Industrial - 0.0%
API Heat Transfer Intermediate*,†††		218		—
Total Preferred Stocks
(Cost $249,024,412)				254,253,980
WARRANTS† - 0.1%
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25		762,770		6,216,575
Gores Holdings VI, Inc.
Expiring 08/24/27		269,461		1,064,371
Aequi Acquisition Corp.
Expiring 11/30/27		333,052		316,400
Total Warrants
(Cost $6,708,342)				7,597,346
MUTUAL FUNDS† - 1.4%
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		1,892,836		63,334,291
Guggenheim Alpha Opportunity Fund — Institutional Class1		1,003,137		27,556,186
Total Mutual Funds
(Cost $85,351,099)				90,890,477
CLOSED-END FUNDS† - 1.3%
BlackRock Corporate High Yield Fund, Inc.		2,543,550		29,861,277
Blackstone Strategic Credit Fund		923,879		12,315,307
BlackRock Credit Allocation Income Trust		818,356		12,013,466
Guggenheim Strategic Opportunities Fund1		527,233		11,066,621
Eaton Vance Limited Duration Income Fund		632,955		7,994,222
Ares Dynamic Credit Allocation Fund, Inc.		460,168		6,916,325
BlackRock Debt Strategies Fund, Inc.		348,016		3,828,176
Western Asset High Income Opportunity Fund, Inc.		358,091		1,819,102
Total Closed-End Funds
(Cost $62,529,962)				85,814,496

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
MONEY MARKET FUND† - 3.2%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%2		211,058,636	$	211,058,636
Western Asset Institutional U.S. Treasury Reserves Institutional Shares, 0.01%2		5,445,461		5,445,461
Total Money Market Fund
(Cost $216,504,097)				216,504,097
	Face Amount~
CORPORATE BONDS†† - 40.1%
Financial - 11.0%
Citigroup, Inc.
3.88%3,4		29,500,000		29,362,235
4.00%3,4		12,000,000		12,117,000
NFP Corp.
7.00% due 05/15/255		21,300,000		22,844,250
6.88% due 08/15/285		17,500,000		18,175,500
Markel Corp.
6.00%3,4		32,370,000		35,202,375
Liberty Mutual Group, Inc.
4.30% due 02/01/615		36,940,000		33,199,300
Home Point Capital, Inc.
5.00% due 02/01/265		32,910,000		32,580,900
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		22,640,000		23,397,874
5.30% due 01/15/29		6,950,000		7,790,602
Wilton RE Ltd.
6.00%†††,3,4,5		31,350,000		30,808,586
Charles Schwab Corp.
4.00%3,4		16,400,000		16,099,060
5.38%3,4		12,950,000		14,355,075

Iron Mountain, Inc.
5.63% due 07/15/325	25,025,000	26,151,125
4.50% due 02/15/315	2,025,000	2,001,915
Equitable Holdings, Inc.
4.95%3,4	24,550,000	25,961,625
Host Hotels & Resorts, LP
3.50% due 09/15/30	24,000,000	24,012,936
LPL Holdings, Inc.
4.00% due 03/15/295	23,300,000	23,474,750
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/285	21,450,000	23,192,813
Nationwide Mutual Insurance Co.
4.35% due 04/30/505	21,150,000	22,136,649
United Wholesale Mortgage LLC
5.50% due 11/15/255	12,600,000	13,135,500
5.50% due 04/15/295	8,350,000	8,339,562
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
3.88% due 03/01/315	21,650,000	20,892,250
American International Group, Inc.
4.38% due 06/30/50	18,150,000	20,656,461
Kuvare US Holdings, Inc.
7.00% due 02/17/514,5	19,150,000	19,536,949
Wells Fargo & Co.
3.90%3,4	18,000,000	18,178,200
Hampton Roads PPV LLC
6.62% due 06/15/535	16,900,000	18,111,101
Hunt Companies, Inc.
5.25% due 04/15/295	17,200,000	17,200,000
Kennedy-Wilson, Inc.
5.00% due 03/01/31	16,000,000	16,204,000
Pershing Square Holdings, Ltd.
3.25% due 11/15/305	15,100,000	14,766,027

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
First American Financial Corp.
4.00% due 05/15/306		11,760,000	$	12,704,104
MetLife, Inc.
3.85%3,4		12,200,000		12,596,500
Fidelity National Financial, Inc.
3.40% due 06/15/30		11,450,000		11,942,445
OneMain Finance Corp.
4.00% due 09/15/30		11,650,000		11,329,625
Ares Finance Company II LLC
3.25% due 06/15/305,6		11,000,000		11,136,798
OneAmerica Financial Partners, Inc.
4.25% due 10/15/505		11,550,000		11,110,334
Allianz SE
3.50%3,4,5		9,500,000		9,642,500
QBE Insurance Group Ltd.
5.88%3,4,5		7,550,000		8,125,688
SBA Communications Corp.
3.13% due 02/01/295		4,200,000		4,036,830
3.88% due 02/15/27		3,650,000		3,731,030
CIT Group, Inc.
3.93% due 06/19/244		7,150,000		7,561,125
Atlas Mara Ltd.
8.00% due 03/20/21†††,7		14,400,000		6,981,120
PartnerRe Finance B LLC
4.50% due 10/01/504		6,460,000		6,582,695
Lincoln National Corp.
4.38% due 06/15/50		5,080,000		5,674,492
American Equity Investment Life Holding Co.
5.00% due 06/15/27		4,813,000		5,345,382
Bank of New York Mellon Corp.
4.70%3,4		4,500,000		4,875,525
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/275		3,900,000		3,935,490
AmWINS Group, Inc.
7.75% due 07/01/265		3,400,000		3,638,000
Univest Financial Corp.
3.74% (3 Month USD LIBOR + 3.54%) due 03/30/258		1,997,000		1,988,467
HUB International Ltd.
7.00% due 05/01/265		500,000		519,205
Total Financial				733,341,975
Consumer, Cyclical - 7.9%
Delta Air Lines, Inc.
7.00% due 05/01/255		41,320,000		47,582,332
Marriott International, Inc.
2.85% due 04/15/31		14,730,000		14,474,791
4.63% due 06/15/306		10,900,000		12,185,727
5.75% due 05/01/25		8,440,000		9,681,454
3.50% due 10/15/32		8,150,000		8,420,052
Hilton Domestic Operating Company, Inc.
4.00% due 05/01/315		23,200,000		23,200,000
3.63% due 02/15/325		4,150,000		4,027,990
5.75% due 05/01/285		525,000		565,042
Live Nation Entertainment, Inc.
6.50% due 05/15/275		17,785,000		19,719,474
3.75% due 01/15/285		7,500,000		7,396,875
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/285		24,150,000		26,248,027
Walgreens Boots Alliance, Inc.
3.20% due 04/15/30		12,750,000		13,231,275
4.10% due 04/15/50		9,957,000		10,063,071

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/275		19,700,000	$	21,571,500
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/305		22,200,000		21,423,000
Yum! Brands, Inc.
4.63% due 01/31/32		16,350,000		16,704,223
Hyatt Hotels Corp.
5.38% due 04/23/25		7,350,000		8,238,967
5.75% due 04/23/30		6,530,000		7,622,355
Wolverine World Wide, Inc.
6.38% due 05/15/255		14,100,000		15,016,500
British Airways Class A Pass Through Trust
4.25% due 11/15/325		13,772,066		14,421,654
Picasso Finance Sub, Inc.
6.13% due 06/15/255		13,476,000		14,318,250
VF Corp.
2.95% due 04/23/309		13,230,000		13,692,648
Aramark Services, Inc.
6.38% due 05/01/255		11,950,000		12,667,000
5.00% due 02/01/285		795,000		825,011
JB Poindexter & Company, Inc.
7.13% due 04/15/265		11,725,000		12,384,531
JetBlue Class A Pass Through Trust
4.00% due 11/15/326		11,320,000		12,203,974
Six Flags Theme Parks, Inc.
7.00% due 07/01/255		10,475,000		11,336,254
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/285		10,700,000		10,823,050
Cedar Fair, LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC
5.50% due 05/01/255		10,213,000		10,732,842
Scotts Miracle-Gro Co.
4.00% due 04/01/315		9,900,000		9,761,400
Boyne USA, Inc.
7.25% due 05/01/255		8,690,000		9,033,255
PetSmart Incorporated / PetSmart Finance Corp.
4.75% due 02/15/285		7,500,000		7,686,075
Clarios Global, LP
6.75% due 05/15/255		7,150,000		7,648,355
Tempur Sealy International, Inc.
4.00% due 04/15/295		7,600,000		7,562,000
Williams Scotsman International, Inc.
4.63% due 08/15/285		7,376,000		7,505,080
Crocs, Inc.
4.25% due 03/15/295		7,500,000		7,335,075
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/265		5,950,000		6,323,660
American Airlines Class AA Pass Through Trust
3.58% due 01/15/28		2,558,765		2,589,717
3.35% due 10/15/29		1,383,511		1,396,501
3.65% due 02/15/29		1,193,010		1,201,946
3.15% due 02/15/32		1,135,032		1,129,011
Whirlpool Corp.
4.60% due 05/15/50		5,440,000		6,236,056
WMG Acquisition Corp.
3.88% due 07/15/305		3,900,000		3,937,616
3.00% due 02/15/315		1,875,000		1,781,813

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.50% due 06/01/24		5,010,000	$	5,086,904
Murphy Oil USA, Inc.
3.75% due 02/15/315		5,025,000		4,939,198
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/295		4,800,000		4,848,960
Powdr Corp.
6.00% due 08/01/255		4,300,000		4,531,555
Hanesbrands, Inc.
5.38% due 05/15/255		3,810,000		4,031,456
Air Canada 2020-2 Class A Pass Through Trust
5.25% due 04/01/295		3,735,000		4,012,817
CD&R Smokey Buyer, Inc.
6.75% due 07/15/255		3,725,000		3,995,063
Lithia Motors, Inc.
4.38% due 01/15/315		3,175,000		3,295,475
Performance Food Group, Inc.
6.88% due 05/01/255		2,900,000		3,095,750
Allison Transmission, Inc.
3.75% due 01/30/315		2,925,000		2,833,594
Boyd Gaming Corp.
8.63% due 06/01/255		1,700,000		1,890,400
Clarios Global, LP / Clarios US Finance Co.
8.50% due 05/15/275		1,730,000		1,862,795
United Airlines Class AA Pass Through Trust
4.15% due 08/25/31		1,095,356		1,167,625
Vail Resorts, Inc.
6.25% due 05/15/255		1,075,000		1,146,219
Total Consumer, Cyclical				528,643,240
Consumer, Non-cyclical - 5.2%
DaVita, Inc.
4.63% due 06/01/305		29,810,000		30,321,241
Kraft Heinz Foods Co.
5.20% due 07/15/45		5,725,000		6,604,763
4.38% due 06/01/46		6,320,000		6,589,225
4.25% due 03/01/31		5,850,000		6,442,525
5.50% due 06/01/50		2,800,000		3,438,856
5.00% due 06/04/42		2,490,000		2,795,665
4.88% due 10/01/49		2,025,000		2,264,971
US Foods, Inc.
6.25% due 04/15/255		13,300,000		14,257,600
4.75% due 02/15/295		8,950,000		8,950,000
Nielsen Finance LLC / Nielsen Finance Co.
5.63% due 10/01/285		20,700,000		21,760,875
5.00% due 04/15/225		959,000		959,197
Post Holdings, Inc.
4.63% due 04/15/305		11,525,000		11,546,898
4.50% due 09/15/315		4,100,000		4,054,900
Sotheby’s
7.38% due 10/15/275		14,305,000		15,468,855
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/275		10,350,000		9,919,130
5.00% due 12/31/265		5,500,000		5,500,000
CPI CG, Inc.
8.63% due 03/15/265		14,450,000		15,140,566
Molina Healthcare, Inc.
3.88% due 11/15/305		11,900,000		12,212,375
4.38% due 06/15/285		2,750,000		2,829,640
Gartner, Inc.
4.50% due 07/01/285		11,625,000		11,988,281
3.75% due 10/01/305		2,400,000		2,376,000
AMN Healthcare, Inc.
4.63% due 10/01/275		7,925,000		8,103,312
4.00% due 04/15/295		4,050,000		4,029,750
Avantor Funding, Inc.
4.63% due 07/15/285		11,275,000		11,775,159
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/255		8,645,000		8,990,800

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
5.00% due 06/15/285		2,460,000	$	2,562,090
Acadia Healthcare Company, Inc.
5.50% due 07/01/285		5,850,000		6,158,588
5.00% due 04/15/295		4,190,000		4,348,047
Sabre GLBL, Inc.
7.38% due 09/01/255		7,300,000		7,955,175
9.25% due 04/15/255		1,680,000		2,003,400
Tenet Healthcare Corp.
4.63% due 06/15/285		8,375,000		8,584,207
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/285		8,035,000		8,346,517
Centene Corp.
2.50% due 03/01/31		8,650,000		8,239,125
TreeHouse Foods, Inc.
4.00% due 09/01/28		7,575,000		7,628,555
Smithfield Foods, Inc.
3.00% due 10/15/305		7,000,000		6,961,430
Prestige Brands, Inc.
3.75% due 04/01/315		6,650,000		6,342,438
Spectrum Brands, Inc.
5.50% due 07/15/305		5,600,000		5,992,000
Service Corporation International
3.38% due 08/15/30		5,275,000		5,148,664
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		2,650,000		2,570,500
5.25% due 04/15/245		1,900,000		2,026,920
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/295		4,400,000		4,444,968
Hologic, Inc.
3.25% due 02/15/295		4,350,000		4,295,625
Carriage Services, Inc.
6.63% due 06/01/265		4,011,000		4,211,550
Rent-A-Center, Inc.
6.38% due 02/15/295		3,950,000		4,187,000
Central Garden & Pet Co.
4.13% due 10/15/30		4,000,000		4,040,000
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/265		2,903,000		2,997,348
Charles River Laboratories International, Inc.
4.00% due 03/15/315		2,500,000		2,541,375
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/265		2,300,000		2,340,250
Altria Group, Inc.
4.45% due 05/06/50		1,670,000		1,724,204
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/265		1,422,000		1,581,975
Syneos Health, Inc.
3.63% due 01/15/295		1,600,000		1,556,000
Par Pharmaceutical, Inc.
7.50% due 04/01/275		1,000,000		1,063,200
Total Consumer, Non-cyclical				348,171,735
Communications - 4.5%
Level 3 Financing, Inc.
4.25% due 07/01/285		29,350,000		29,681,949
3.75% due 07/15/295		7,600,000		7,437,740
3.88% due 11/15/295		2,600,000		2,739,750
CSC Holdings LLC
4.13% due 12/01/305		21,250,000		21,107,200
4.63% due 12/01/305		5,215,000		5,129,552
3.38% due 02/15/315		2,975,000		2,803,937
Virgin Media Finance plc
5.00% due 07/15/305		21,150,000		21,123,563
Altice France S.A.
7.38% due 05/01/265		11,076,000		11,519,040
5.13% due 01/15/295		6,250,000		6,328,125
T-Mobile USA, Inc.
3.50% due 04/15/31		14,750,000		14,883,487
2.88% due 02/15/31		1,750,000		1,691,375

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
LCPR Senior Secured Financing DAC
5.13% due 07/15/295		16,250,000	$	16,536,325
Booking Holdings, Inc.
3.55% due 03/15/289		10,000,000		10,915,371
4.63% due 04/13/309		3,500,000		4,074,326
CCO Holdings LLC / CCO Holdings Capital Corp.
4.25% due 02/01/315		13,910,000		13,940,880
Cable One, Inc.
4.00% due 11/15/305		12,575,000		12,439,190
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/265		12,100,000		12,236,125
ViacomCBS, Inc.
4.95% due 05/19/50		10,340,000		12,085,766
Switch Ltd.
3.75% due 09/15/285		12,100,000		11,915,112
Lamar Media Corp.
4.00% due 02/15/30		8,600,000		8,576,092
4.88% due 01/15/29		3,070,000		3,211,987
Sirius XM Radio, Inc.
4.13% due 07/01/305		11,500,000		11,513,225
Virgin Media Secured Finance plc
4.50% due 08/15/305		10,150,000		10,238,813
AMC Networks, Inc.
4.25% due 02/15/29		9,600,000		9,336,000
Match Group Holdings II LLC
4.63% due 06/01/285		7,700,000		7,867,552
Qualitytech, LP / QTS Finance Corp.
3.88% due 10/01/285		7,750,000		7,711,250
McGraw Hill LLC / McGraw-Hill Global Education Finance, Inc.
8.00% due 11/30/245		6,156,000		6,210,173
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/285		5,650,000		5,755,259
Cengage Learning, Inc.
9.50% due 06/15/245		5,039,000		5,133,481
Ziggo BV
4.88% due 01/15/305		4,850,000		4,957,355
TripAdvisor, Inc.
7.00% due 07/15/255		1,800,000		1,946,700
Telenet Finance Lux Note
5.50% due 03/01/28		1,000,000		1,050,000
Total Communications				302,096,700
Industrial - 4.4%
Boeing Co.
5.15% due 05/01/306		32,030,000		36,838,652
5.81% due 05/01/50		16,010,000		20,188,729
5.71% due 05/01/406		16,010,000		19,550,411
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/265		16,680,000		17,122,854
Standard Industries, Inc.
4.38% due 07/15/305		7,125,000		7,189,125
3.38% due 01/15/315		6,400,000		6,064,000
5.00% due 02/15/275		3,525,000		3,674,812
PowerTeam Services LLC
9.03% due 12/04/255		14,385,000		15,971,666
BWX Technologies, Inc.
4.13% due 06/30/285		14,400,000		14,546,232
Adevinta ASA
3.00% due 11/15/27		EUR 10,550,000		12,797,566
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/285		10,175,000		11,396,000
6.25% due 03/15/265		850,000		871,250
Boxer Parent Co., Inc.
6.50% due 10/02/25		EUR 8,500,000		10,607,059
Flowserve Corp.
3.50% due 10/01/30		10,270,000		10,442,709
Dyal Capital Partners IV
3.65% due 02/22/41†††		10,950,000		10,432,110

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Howmet Aerospace, Inc.
5.95% due 02/01/37		2,925,000	$	3,536,471
6.88% due 05/01/25		2,875,000		3,331,406
5.90% due 02/01/27		2,100,000		2,383,500
6.75% due 01/15/28		900,000		1,062,000
GrafTech Finance, Inc.
4.63% due 12/15/285		9,875,000		9,930,596
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
4.00% due 10/15/275		9,650,000		9,457,000
Arcosa, Inc.
4.38% due 04/15/295		9,400,000		9,400,000
Cleaver-Brooks, Inc.
7.88% due 03/01/235,6		7,752,000		7,596,960
Vertical US Newco, Inc.
5.25% due 07/15/275		6,850,000		7,171,094
Mauser Packaging Solutions Holding Co.
8.50% due 04/15/245		6,550,000		6,779,250
TopBuild Corp.
3.63% due 03/15/295		5,550,000		5,480,625
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/295		4,825,000		5,046,902
Harsco Corp.
5.75% due 07/31/275		3,850,000		3,941,438
Graphic Packaging International LLC
3.50% due 03/01/295		3,950,000		3,841,375
Grinding Media, Inc. / MC Grinding Media Canada, Inc.
7.38% due 12/15/235		3,050,000		3,095,750
Hillenbrand, Inc.
5.75% due 06/15/25		2,525,000		2,695,437
Crown Americas LLC / Crown Americas Capital Corporation VI
4.75% due 02/01/26		1,923,000		1,994,151
EnerSys
5.00% due 04/30/235		1,325,000		1,387,938
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/277		1,185,457		1,061,209
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/295		950,000		947,625
EnPro Industries, Inc.
5.75% due 10/15/26		790,000		836,215
Waste Pro USA, Inc.
5.50% due 02/15/265		600,000		614,250
Hillman Group, Inc.
6.38% due 07/15/225		340,000		340,425
Intertape Polymer Group, Inc.
7.00% due 10/15/265		150,000		157,781
Yamana Gold, Inc.
4.78% due 06/10/23†††		99,699		106,286
JELD-WEN, Inc.
6.25% due 05/15/255		100,000		106,250
Total Industrial				289,995,109
Technology - 2.0%
NCR Corp.
5.25% due 10/01/305		11,425,000		11,569,241
8.13% due 04/15/255		6,189,000		6,784,691
5.13% due 04/15/295		6,350,000		6,421,945
MSCI, Inc.
3.88% due 02/15/315		15,900,000		16,246,620
Twilio, Inc.
3.88% due 03/15/31		15,100,000		15,422,536
Qorvo, Inc.
4.38% due 10/15/29		11,220,000		11,977,462

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
3.38% due 04/01/315		1,900,000	$	1,861,791
TeamSystem SpA
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/285,8		EUR 11,750,000		13,771,254
Booz Allen Hamilton, Inc.
3.88% due 09/01/285		11,800,000		11,861,950
Black Knight InfoServ LLC
3.63% due 09/01/285		12,000,000		11,791,320
Playtika Holding Corp.
4.25% due 03/15/295		8,750,000		8,620,500
BY Crown Parent LLC / BY Bond Finance, Inc.
4.25% due 01/31/265		7,875,000		8,140,781
CDW LLC / CDW Finance Corp.
3.25% due 02/15/29		5,640,000		5,569,500
Crowdstrike Holdings, Inc.
3.00% due 02/15/29		3,400,000		3,324,180
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.
5.75% due 03/01/255		2,750,000		2,803,213
Total Technology				136,166,984
Energy - 1.9%
BP Capital Markets plc
4.88%3,4		39,360,000		42,164,400
Occidental Petroleum Corp.
7.95% due 06/15/39		4,700,000		5,546,000
6.63% due 09/01/30		3,600,000		4,045,680
3.00% due 02/15/27		3,830,000		3,600,200
6.13% due 01/01/31		2,250,000		2,484,450
4.50% due 07/15/44		2,850,000		2,422,500
4.10% due 02/15/47		2,250,000		1,800,000
4.63% due 06/15/45		1,700,000		1,482,502
4.40% due 04/15/46		900,000		762,750
NuStar Logistics, LP
6.38% due 10/01/30		18,750,000		20,250,000
5.63% due 04/28/27		450,000		470,743
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		16,150,000		18,111,668
Midwest Connector Capital Company LLC
4.63% due 04/01/295		11,943,000		12,103,642
Rattler Midstream, LP
5.63% due 07/15/255		4,125,000		4,306,995
Global Partners Limited Partnership / GLP Finance Corp.
6.88% due 01/15/29		3,900,000		4,185,675
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
4.49% due 05/01/309		1,730,000		1,969,497
Basic Energy Services, Inc.
10.75% due 10/15/237		1,500,000		300,000
Total Energy				126,006,702
Basic Materials - 1.9%
Alcoa Nederland Holding BV
5.50% due 12/15/275		15,125,000		16,280,550
6.13% due 05/15/285		7,450,000		8,114,540
4.13% due 03/31/295		7,600,000		7,664,904
WR Grace & Company-Conn
4.88% due 06/15/275		13,225,000		13,690,520
Carpenter Technology Corp.
6.38% due 07/15/28		12,005,000		12,901,528
Minerals Technologies, Inc.
5.00% due 07/01/285		11,575,000		11,936,719
Ingevity Corp.
3.88% due 11/01/285		9,625,000		9,336,250

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
HB Fuller Co.
4.25% due 10/15/28		7,750,000	$	7,874,465
Newcrest Finance Pty Ltd.
4.20% due 05/13/505		7,210,000		7,782,653
Kaiser Aluminum Corp.
6.50% due 05/01/255		6,050,000		6,411,185
4.63% due 03/01/285		375,000		383,831
Clearwater Paper Corp.
4.75% due 08/15/285		6,575,000		6,624,313
Novelis Sheet Ingot GmbH
3.38% due 04/15/29		EUR 4,500,000		5,449,284
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.00% due 07/01/285		2,925,000		3,291,502
ArcelorMittal S.A.
4.55% due 03/11/26		2,450,000		2,716,323
Arconic Corp.
6.00% due 05/15/255		2,225,000		2,398,072
Mirabela Nickel Ltd.
due 06/24/197,10		1,885,418		75,417
Total Basic Materials				122,932,056
Utilities - 1.3%
Midcap Funding XLVI Trust
5.60% due 10/29/24†††		32,750,000		32,773,153
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		21,800,000		20,749,765
Clearway Energy Operating LLC
3.75% due 02/15/315		13,450,000		12,899,775
4.75% due 03/15/285		2,250,000		2,340,878
AES Corp.
3.95% due 07/15/305		9,760,000		10,406,405
Terraform Global Operating LLC
6.13% due 03/01/265		5,435,000		5,570,875
Total Utilities				84,740,851
Total Corporate Bonds
(Cost $2,602,138,179)				2,672,095,352
SENIOR FLOATING RATE INTERESTS††,8 - 24.7%
Consumer, Cyclical - 5.1%
Mavis Tire Express Services Corp.
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 03/20/25		15,758,505		15,729,037
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25		7,465,603		7,430,962
MB2 Dental Solutions LLC
6.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/29/27†††		20,874,963		20,469,288
6.19% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/29/27		789,941		774,590
Samsonite IP Holdings SARL
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25		20,792,875		20,922,830
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		21,150,136		20,894,643

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
BGIS (BIFM CA Buyer, Inc.)
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		18,131,129	$	17,995,145
Alterra Mountain Co.
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 07/31/26		17,439,690		17,483,289
CHG Healthcare Services, Inc.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23		15,515,813		15,454,836
Truck Hero, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 01/31/28		14,900,000		14,852,469
SP PF Buyer LLC
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		15,358,079		14,794,898
BCPE Empire Holdings, Inc.
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/11/26		13,450,000		13,416,375
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26		224,431		222,889
CNT Holdings I Corp.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27		12,200,000		12,165,718
Flamingo
due 03/18/28		EUR 10,000,000		11,601,548
CD&R Firefly Bidco Ltd.
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/23/25		EUR 6,000,000		6,993,152
4.25% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/23/25		GBP 3,350,000		4,590,277
Cast & Crew Payroll LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26		11,628,241		11,435,677
EnTrans International, LLC
6.11% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24		11,603,890		11,255,773
Verisure Holding AB
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/20/26		EUR 7,651,053		8,938,041
due 01/14/28		EUR 1,770,000		2,065,886
American Trailer World Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28		8,950,000		8,877,326

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
United Petfood
due 03/19/28		EUR 7,000,000	$	8,172,385
PetSmart LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/11/28		7,500,000		7,482,750
Accuride Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		7,730,703		7,291,677
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28		7,250,000		7,280,233
First Brands Group LLC
due 03/19/27		5,050,000		5,043,688
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		4,920,542		4,699,118
Galls LLC
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††		3,676,657		3,641,379
7.25% (1 Month USD LIBOR + 6.25% and 3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24†††		412,214		386,840
Alexander Mann
5.36% (6 Month GBP LIBOR + 5.25%, Rate Floor: 5.25%) due 06/16/25		GBP 3,000,000		3,894,363
Intrawest Resorts Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/24		3,748,413		3,680,492
SHO Holding I Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/29/24†††		3,661,946		3,259,132
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24†††		60,373		53,732
Checkers Drive-In Restaurants, Inc.
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24		3,322,072		3,101,155
Adevinta ASA
due 10/22/27		EUR 2,600,000		3,051,311
Blue Nile, Inc.
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23		2,843,750		2,559,375
WESCO
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††		2,334,000		2,327,806
Eyemart Express
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 08/05/24		2,287,709		2,272,518

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Zephyr Bidco Ltd.
7.55% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26		GBP 1,540,417	$	2,065,115
Situs AMC Holdings Corp.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25		2,000,000		1,957,500
CCRR Parent, Inc.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/06/28		1,900,000		1,902,375
TTF Holdings Intermediate LLC
due 03/25/28		1,850,000		1,840,750
EG Finco Ltd.
4.84% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 02/07/25		GBP 970,000		1,306,259
K & N Parent, Inc.
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/20/23		954,023		909,498
Apro LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 11/14/26		693,980		691,815
Navistar Inc.
3.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/06/24		494,898		494,774
Belk, Inc.
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 07/31/25†††		467,074		465,906
American Tire Distributors, Inc.
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		249,634		245,423
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		162,694		158,695
BBB Industries, LLC
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 08/01/25		266,109		262,250
Total Consumer, Cyclical				338,862,963
Industrial - 5.0%
CapStone Acquisition Holdings, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27		21,189,294		21,176,157
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 06/03/24†††		17,049,450		16,996,170
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25†††		1,000,000		1,000,000

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/17/28		16,550,000	$	16,467,250
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		15,250,000		16,186,502
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27		15,775,000		15,659,211
Vertical (TK Elevator)
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 07/29/27		EUR 7,000,000		8,231,567
4.48% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/30/27		6,517,291		6,527,067
Fugue Finance BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24		EUR 12,545,690		14,578,333
NA Rail Hold Co. LLC
4.70% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 10/19/26		13,917,369		13,986,956
TransDigm, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		14,223,179		13,919,514
FCG Acquisitions, Inc
due 03/16/28		13,660,000		13,574,625
AI Convoy Luxembourg SARL
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27		EUR 11,402,143		13,326,522
DXP Enterprises, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27		13,216,875		13,183,833
Charter Nex US Holdings, Inc.
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/01/27		13,150,000		13,166,437
Galileo Global Education Finance SARL
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 11/12/26		EUR 10,800,000		12,573,490
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		12,658,596		12,508,338
Gardner Denver, Inc.
2.95% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/01/27		10,795,750		10,764,226

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		9,957,015	$	9,944,569
Filtration Group Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/25		5,653,566		5,643,672
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25		EUR 3,600,000		4,199,395
YAK MAT (YAK ACCESS LLC)
10.19% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		12,020,199		9,741,410
DG Investment Intermediate Holdings 2, Inc.
due 03/17/28		8,720,000		8,670,994
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 02/03/25		300,000		298,875
Berlin Packaging LLC
3.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25		4,486,105		4,400,375
3.12% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25		1,630,567		1,599,407
Park River Holdings, Inc.
4.00% (2 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		5,800,000		5,760,154
BWAY Holding Co.
3.44% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		4,850,125		4,740,997
Pro Mach Group, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/07/25		3,518,167		3,500,576
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/07/25†††		1,164,154		1,216,541
JetBlue Airways Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/17/24		4,553,250		4,655,698
MI Windows And Doors LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/18/27		3,990,000		4,002,489
STS Operating, Inc. (SunSource)
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		3,857,527		3,747,433

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Fortis Solutions Group LLC
6.00% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 12/15/23†††		2,355,075	$	2,339,767
due 12/15/23		718,141		703,778
Alliance Laundry Systems LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27		2,992,500		2,985,318
Titan Acquisition Ltd. (Husky)
3.27% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		2,995,738		2,930,820
Zephyr German Bidco GmbH
3.75% (1 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 01/21/28		EUR 2,400,000		2,827,627
Protective Industrial Products, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27		1,800,000		1,795,878
Douglas Dynamics LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 06/08/26		1,599,136		1,590,149
Tosca Services LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/18/27		1,584,000		1,584,000
Bhi Investments LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24		1,600,046		1,582,717
SLR Consulting Ltd.
4.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††		1,249,650		1,247,221
6.48% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/23/25†††		311,616		305,579
LTI Holdings, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25		1,462,500		1,438,427
ILPEA Parent, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 03/02/23		1,196,814		1,192,326
Safety Bidco Ltd.
4.55% (1 Month GBP LIBOR + 4.50%, Rate Floor: 0.00%) due 10/25/24†††		GBP 850,000		1,165,562
Reynolds Group Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/06/23		660,894		657,695
Duran Group Holding GMBH
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/29/24		EUR 430,207		493,745

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 12/20/24†††		EUR 141,858	$	162,809
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,11		1,076,191		457,381
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,11		197,764		148,323
Hillman Group, Inc.
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25		597,708		596,680
Transcendia Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24		568,653		469,707
Gates Global LLC
3.50% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.50%) due 03/31/27		122,225		121,818
Total Industrial				332,746,110
Consumer, Non-cyclical - 4.6%
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/15/28		31,900,000		31,900,000
Valeo F1 Company Ltd.
due 08/27/27		GBP 22,100,000		30,370,477
Packaging Coordinators Midco, Inc.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27		17,050,000		17,028,688
Triton Water Holdings, Inc.
due 03/16/28		16,250,000		16,173,788
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		14,050,000		13,955,163
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/11/28†††		13,892,045		13,874,680
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25		EUR 12,019,549		13,815,858
Nidda Healthcare Holding GmbH
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26		EUR 11,387,239		13,243,140

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		12,568,500	$	12,375,448
Quirch Foods Holdings LLC
6.25% (6 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 10/27/27		12,250,000		12,318,968
Sunshine Investments BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/28/25		EUR 9,450,000		11,055,436
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		10,970,000		10,997,425
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		10,694,409		10,721,145
Cambrex Corporation
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26		10,444,793		10,431,737
AI Aqua Zip Bidco Pty Ltd.
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/13/23		4,207,345		4,199,477
due 12/13/23		3,500,000		3,501,470
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/13/23†††		1,930,827		1,921,172
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 12/13/23		398,995		399,163
Springs Window Fashions
8.61% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		5,500,000		5,472,500
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25		3,137,939		3,120,931
Zep, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24		7,881,218		7,782,703
Endo Luxembourg Finance Company I SARL
due 03/11/28		7,750,000		7,662,813
CAB (Biogroup)
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/28		EUR 6,500,000		7,571,570
Option Care Health, Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		7,181,818		7,150,434
Diamond (BC) BV
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24		6,680,800		6,642,519

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
3.25% (1 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 09/06/24		EUR 219,043	$	256,371
Hearthside Group Holdings LLC
3.80% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25		5,386,487		5,329,282
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		1,113,608		1,107,694
Pearl Intermediate Parent LLC
3.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 02/14/25		5,785,316		5,762,175
Taxware Holdings (Sovos Compliance LLC)
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 04/29/24		5,289,831		5,184,035
MDVIP LLC
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24		4,574,411		4,551,539
BCPE Eagle Buyer LLC
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24		2,789,789		2,775,840
Certara, Inc.
3.70% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/15/24		1,628,481		1,622,374
EyeCare Partners LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		1,090,578		1,078,461
Recess Holdings, Inc.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		1,071,227		1,058,372
Moran Foods LLC
11.75% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/24†††,11		483,707		420,825
8.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,11		394,487		410,266
Blue Ribbon LLC
5.14% (3 Month USD LIBOR + 4.00% and Commercial Prime Lending Rate + 4.00%, Rate Floor: 5.00%) due 11/15/21		550,000		536,838
Total Consumer, Non-cyclical				303,780,777
Technology - 3.7%
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		20,930,000		20,895,256
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27†††		2,570,000		2,580,704

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Project Ruby Ultimate Parent Corp.
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		17,600,000	$	17,519,392
RealPage, Inc.
due 02/18/28		15,550,000		15,470,073
Team.Blue Finco SARL
due 03/18/28		EUR 13,243,243		15,463,133
Transact Holdings, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26		14,765,324		14,617,670
Sitecore Holding III A/S
6.75% (3 Month USD LIBOR + 6.25%, Rate Floor: 6.75%) due 03/12/26		5,676,667		5,591,516
7.00% (3 Month EURIBOR + 6.25%, Rate Floor: 6.25%) due 03/12/26		EUR 4,333,333		5,005,081
due 03/12/26		EUR 3,466,667		4,004,065
Provation Software Group, Inc.
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/16/27		13,700,000		13,528,750
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27		12,500,000		12,494,750
Sportradar Capital SARL
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27		EUR 10,600,000		12,419,327
Project Boost Purchaser LLC
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/01/26		9,651,500		9,639,436
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		9,601,750		9,595,797
Datix Bidco Ltd.
4.74% (6 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		9,112,505		9,059,797
7.99% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††		461,709		458,542
ThoughtWorks, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/19/28		9,200,000		9,169,364
E2open LLC
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 02/04/28		8,000,000		7,985,040
Imprivata, Inc.
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/01/27		7,900,000		7,876,537
Wrench Group LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/30/26†††		6,733,125		6,749,958

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Peraton Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		6,213,978	$	6,208,820
Sabre GLBL, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/10/27		5,536,125		5,588,054
Epicor Software
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27		5,422,750		5,402,903
AVS Group GmbH
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26		EUR 3,750,000		4,379,207
1A Smart Start LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 08/19/27		4,278,500		4,290,523
Concorde Lux
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/18/28		EUR 3,100,000		3,632,831
Greenway Health LLC
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24		3,491,184		3,316,625
Ministry Brands LLC
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22†††		2,634,962		2,602,117
Verscend Holding Corp.
due 08/27/25		2,400,000		2,397,288
Aspect Software, Inc.
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24		2,054,761		2,047,570
Misys Ltd.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		1,705,889		1,670,133
Boxer Parent Co., Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		1,589,342		1,581,396
Cologix Holdings, Inc.
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/24		1,200,000		1,197,216
Kar Finland Bidco Oy
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23†††		EUR 1,000,000		1,152,087
24-7 Intouch, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25†††		1,150,303		1,104,291
Brave Parent Holdings, Inc.
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25		321,692		321,425

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Evergood 4 ApS (Nets)
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/25		EUR 225,000	$	263,365
Total Technology				247,280,039
Financial - 2.9%
Jones Deslauriers Insurance Management, Inc.
due 03/12/28†††		CAD 23,341,000		18,623,830
due 03/12/29†††		CAD 10,612,000		8,467,336
Jefferies Finance LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/30/27†††		24,427,250		24,213,511
Camelia Bidco Banc Civica
4.84% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/14/24		GBP 12,975,000		17,785,915
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		15,800,000		15,809,954
Teneo Holdings LLC
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25		13,374,849		13,338,068
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27		13,134,000		13,131,898
PAI Holdco, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/22/27		12,600,000		12,631,500
GT Polaris, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 09/24/27		11,521,125		11,506,724
Alter Domus
4.50% (2 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		10,500,000		10,451,910
USI, Inc.
3.45% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		10,248,347		10,140,329
Orion Advisor Solutions, Inc.
due 09/24/27		10,100,000		10,087,375
Higginbotham
6.50% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 11/25/26†††		10,105,491		9,963,081
AlixPartners, LLP
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28		EUR 6,000,000		7,009,264
HUB International Ltd.
3.22% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25		5,173,105		5,096,698

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Cross Financial Corp.
due 09/15/27		3,750,000	$	3,761,737
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 09/15/27		997,500		1,000,622
Aretec Group, Inc.
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25		3,812,250		3,803,901
AmeriLife Holdings LLC
4.11% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27		223,315		222,851
Total Financial				197,046,504
Communications - 1.5%
Syndigo LLC
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††		27,550,000		27,550,000
Xplornet Communications, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27		21,805,225		21,788,217
Trader Interactive
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/17/24†††		10,706,614		10,438,949
7.25% (1 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 06/15/23†††		30,769		29,071
McGraw Hill LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/01/24		8,886,382		8,867,898
Cengage Learning Acquisitions, Inc.
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23		8,297,750		8,199,255
Zayo Group Holdings, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,146,447		6,092,543
LCPR Loan Financing LLC
due 10/15/28		5,300,000		5,306,625
Recorded Books, Inc.
4.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25		4,143,341		4,124,075
Market Track LLC
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24		4,101,250		3,916,694
Resource Label Group LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 05/26/23		1,901,940		1,766,427
9.50% (3 Month USD LIBOR + 8.50%, Rate Floor: 9.50%) due 11/27/23†††		1,500,000		1,331,250

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Flight Bidco, Inc.
7.61% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26		1,000,000	$	902,500
Nielsen Finance LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 06/04/25		586,902		587,912
Total Communications				100,901,416
Basic Materials - 1.1%
Illuminate Buyer LLC
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		12,725,731		12,656,758
LSF11 Skyscraper HoldCo SARL
due 09/29/27		12,050,000		12,019,875
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		8,600,000		8,592,862
GrafTech Finance, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/12/25		8,515,282		8,504,638
TricorBraun Holdings, Inc.
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		7,731,446		7,650,885
Barentz Midco BV
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 11/30/27		EUR 2,400,000		2,814,259
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 11/30/27		1,995,000		1,990,013
Patriot Container Corp. (Wastequip)
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/25		4,741,683		4,691,326
Pregis TopCo LLC
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 07/31/26†††		4,150,000		4,150,000
PQ Corp.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/08/27		3,670,492		3,668,951
Invictus MD Strategies Corp.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		1,997,195		1,973,648
Vectra Co.
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/10/25		1,936,039		1,898,286
DCG Acquisition Corp.
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26		943,340		938,623

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Ascend Performance Materials Operations LLC
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26		395,992	$	400,859
American Rock Salt Company LLC
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/21/25		223,826		223,714
Total Basic Materials				72,174,697
Utilities - 0.6%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		24,516,466		24,588,054
RS Ivy Holdco, Inc.
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 12/23/27†††		13,895,175		13,895,175
Panda Hummel
7.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 10/27/22		1,213,776		1,158,015
Panda Stonewall
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/12/21		723,131		673,872
Granite Generation LLC
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26		518,603		517,416
Total Utilities				40,832,532
Energy - 0.2%
Venture Global Calcasieu Pass LLC
2.48% (1 Month USD LIBOR + 2.38% and 3 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		7,298,099		6,896,704
SeaPort Financing LLC
5.61% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25†††		3,077,227		3,031,068
Buckeye Partners LP
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/01/26		594,011		590,916
Permian Production Partners LLC
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/23/25†††,11		3,730,175		447,621
Total Energy				10,966,309
Total Senior Floating Rate Interests
(Cost $1,633,173,270)				1,644,591,347

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ASSET-BACKED SECURITIES†† - 17.5%
Collateralized Loan Obligations - 9.8%
Diamond CLO Ltd.
2018-1A, 2.82% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/305,8		13,500,000	$	13,477,910
2018-1A, 2.02% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/22/305,8		11,000,000		10,926,534
2021-1A, 3.60% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/295,8		5,500,000		5,498,900
2018-1A, 3.92% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/305,8		5,000,000		4,987,663
2021-1A, 2.60% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/295,8		1,322,000		1,321,736
BXMT Ltd.
2020-FL2, 1.76% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/16/375,8		15,640,000		15,634,604
2020-FL2, 2.06% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/16/375,8		8,000,000		7,962,560
2020-FL3, 2.91% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 03/15/375,8		7,350,000		7,344,775
Tralee CLO III Ltd.
2017-3A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 10/20/275,8		31,000,000		30,875,988
GoldenTree Loan Management US CLO 1 Ltd.
2020-1A, 2.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/20/295,8		19,500,000		19,499,663
2021-9A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/335,8		9,950,000		9,949,791
KREF Funding V LLC
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,8		27,000,000		26,795,967
0.15% due 06/25/26†††,14		73,636,363		36,082
LoanCore Issuer Ltd.
2021-CRE4, 2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/15/355,8		13,500,000		13,475,630
2019-CRE2, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/365,8		12,850,000		12,837,173
Voya CLO Ltd.
2021-2A, due 06/07/305,8		16,500,000		16,496,700
2013-1A, due 10/15/305,12		28,970,307		9,636,712

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Golub Capital Partners CLO Ltd.
2018-36A, 2.30% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/315,8		20,000,000	$	19,525,238
2018-39A, 2.42% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/285,8		5,000,000		4,980,091
NewStar Clarendon Fund CLO LLC
2019-1A, 2.27% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 01/25/275,8		14,050,000		14,019,280
2019-1A, 3.27% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/275,8		4,500,000		4,479,169
2019-1A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/275,8		2,989,065		2,986,961
2015-1A, 4.57% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/275,8		1,300,000		1,299,798
MidOcean Credit CLO VII
2020-7A, 2.44% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/295,8		21,000,000		20,875,268
Treman Park CLO Ltd.
2015-1A, due 10/20/285,12		32,400,000		20,093,521
BSPRT Issuer Ltd.
2021-FL6, 3.10% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/365,8		18,425,000		18,399,297
BDS Ltd.
2019-FL3, 2.41% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 12/15/355,8		18,300,000		18,277,077
Crown Point CLO III Ltd.
2017-3A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 12/31/275,8		15,000,000		14,999,971
Cerberus Loan Funding XXX, LP
2020-3A, 3.88% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/335,8		14,500,000		14,524,203
OZLM XIII Ltd.
2018-13A, 2.31% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 07/30/275,8		12,650,000		12,631,516
Lake Shore MM CLO III LLC
2020-1A, 3.43% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 10/15/295,8		12,200,000		12,176,792

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Palmer Square Loan Funding Ltd.
2018-4A, 2.09% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 11/15/265,8		9,050,000	$	9,055,140
2018-5A, 2.12% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/20/275,8		3,000,000		3,001,707
MP CLO VIII Ltd.
2018-2A, 2.12% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 10/28/275,8		11,950,000		11,897,393
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 2.89% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/325,8		11,500,000		11,498,475
Atlas Senior Loan Fund IX Ltd.
2018-9A, 2.02% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/285,8		10,250,000		10,125,491
2018-9A, due 04/20/285,12		9,600,000		1,154,650
Mountain Hawk II CLO Ltd.
2018-2A, 2.57% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 07/20/245,8		8,250,000		8,250,393
2013-2A, 3.37% (3 Month USD LIBOR + 3.15%, Rate Floor: 0.00%) due 07/22/245,8		2,750,000		2,749,740
TCP Waterman CLO Ltd.
2016-1A, 3.18% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 12/15/285,8		11,000,000		10,985,355
Telos CLO Ltd.
2017-6A, 2.82% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/275,8		7,500,000		7,488,223
2017-6A, 1.49% (3 Month USD LIBOR + 1.27%, Rate Floor: 0.00%) due 01/17/275,8		1,626,515		1,626,565
Magnetite Xxix Ltd.
2021-29A, 2.70% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/345,8		8,800,000		8,913,138
Carlyle Global Market Strategies CLO Ltd.
2017-2A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 01/18/295,8		3,500,000		3,474,476
2012-3A, due 01/14/325,12		6,400,000		2,672,934
2013-3X SUB, due 10/15/3012		4,938,326		1,478,718
2018-1A, 2.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/20/275,8		1,150,000		1,148,865

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Marathon CLO V Ltd.
2017-5A, 1.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/275,8		7,920,233	$	7,844,224
2013-5A, due 11/21/275,12		5,500,000		334,400
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/315,12		9,500,000		8,128,068
Flagship CLO VIII Ltd.
2018-8A, 2.02% (3 Month USD LIBOR + 1.80%, Rate Floor: 0.00%) due 01/16/265,8		8,025,000		8,010,908
Venture XIV CLO Ltd.
2020-14A, 2.44% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/295,8		8,000,000		7,985,888
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/2512		13,084,609		7,714,939
Madison Park Funding XLVIII Ltd.
2021-48A, 3.14% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/335,8		7,500,000		7,507,690
Newstar Commercial Loan Funding LLC
2017-1A, 3.69% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/275,8		7,500,000		7,487,459
ACRE Commercial Mortgage Ltd.
2021-FL4, 2.71% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/375,8		7,350,000		7,347,132
Octagon Loan Funding Ltd.
2014-1A, due 11/18/315,12		19,435,737		7,207,821
ACIS CLO Ltd.
2014-4A, 2.76% (3 Month USD LIBOR + 2.55%, Rate Floor: 0.00%) due 05/01/265,8		3,600,000		3,600,309
2015-6A, 3.58% (3 Month USD LIBOR + 3.37%, Rate Floor: 0.00%) due 05/01/275,8		3,250,000		3,258,082
Marathon CRE Ltd.
2018-FL1, 3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/285,8		6,000,000		5,967,980
2018-FL1, 2.71% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 06/15/285,8		650,000		644,960
Dryden 41 Senior Loan Fund
2015-41A, due 04/15/315,12		11,700,000		6,285,404
Dryden 50 Senior Loan Fund
2017-50A, due 07/15/305,12		7,895,000		5,507,749

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
CHCP Ltd.
2021-FL1, 3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 02/15/385,8		5,500,000	$	5,502,352
Silvermore CLO Ltd.
2014-1A, 3.19% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/265,8		5,500,000		5,498,987
Hull Street CLO Ltd.
2014-1A, 3.83% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/265,8		5,785,000		5,474,080
FDF II Ltd.
2016-2A, 6.29% due 05/12/315		5,250,000		5,233,340
Sudbury Mill CLO Ltd.
2017-1A, 2.67% (3 Month USD LIBOR + 2.45%, Rate Floor: 0.00%) due 01/17/265,8		5,000,000		4,975,819
Venture XIII CLO Ltd.
2013-13A, due 09/10/295,12		13,790,000		4,307,927
Jackson Mill CLO Ltd.
2018-1A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/275,8		4,150,000		4,120,712
WhiteHorse X Ltd.
2015-10A, 5.52% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/275,8		4,980,000		4,062,131
Madison Park Funding XVI Ltd.
2016-16A, 2.87% (3 Month USD LIBOR + 2.65%, Rate Floor: 0.00%) due 04/20/265,8		4,000,000		3,996,012
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 2.94% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/335,8		4,050,000		3,991,883
Adams Mill CLO Ltd.
2014-1A, 5.24% (3 Month USD LIBOR + 5.00%, Rate Floor: 0.00%) due 07/15/265,8		4,000,000		3,524,927
Monroe Capital CLO Ltd.
2017-1A, 3.82% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/265,8		3,000,000		2,974,401
2017-1A, 1.57% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/22/265,8		96,272		96,255
BNPP IP CLO Ltd.
2014-2A, 5.46% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/255,8		5,844,992		3,039,396
Mountain Hawk III CLO Ltd.
2014-3A, 3.02% (3 Month USD LIBOR + 2.80%, Rate Floor: 0.00%) due 04/18/255,8		3,000,000		2,996,707

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
KVK CLO Ltd.
2013-1A, due 01/14/285,12		11,900,000	$	2,878,943
AMMC CLO XI Ltd.
2012-11A, due 04/30/315,12		5,650,000		2,483,147
Denali Capital CLO XI Ltd.
2018-1A, 2.37% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/285,8		2,500,000		2,481,950
Exantas Capital Corporation Ltd.
2019-RSO7, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/365,8		1,500,000		1,505,706
KKR CLO 19 Ltd.
2017-19, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 10/15/305,8		1,350,000		1,333,169
Babson CLO Ltd.
2014-IA, due 07/20/255,12		11,900,000		1,148,350
Dryden Senior Loan Fund
due 01/15/3112		1,897,598		945,167
Great Lakes CLO Ltd.
2014-1A, due 10/15/295,12		1,500,000		657,213
Copper River CLO Ltd.
2007-1A, due 01/20/217,12		8,150,000		240,099
TICP CLO III-2 Ltd.
2018-3R, 1.06% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/285,8		218,855		218,948
West CLO Ltd.
2013-1A, due 11/07/255,12		5,300,000		192,390
Halcyon Loan Advisors Funding Ltd.
2012-1A, 3.19% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 08/15/235,8		60,420		60,475
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/255,12		4,219,178		4,894
Total Collateralized Loan Obligations				650,326,226
Transport-Aircraft - 4.3%
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/435		22,253,906		22,298,690
2017-1, 3.97% due 07/15/42		21,220,977		21,234,575
2016-1, 4.45% due 08/15/41		9,057,599		9,064,163
2019-1A, 3.97% due 04/15/395		7,531,795		7,515,787
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/425		49,823,614		48,210,226
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/425		22,695,461		22,915,671
2019-1, 3.60% due 09/15/395		7,159,894		7,216,254
2017-1, 6.30% due 02/15/425		5,395,449		5,247,789
AASET Trust
2017-1A, 3.97% due 05/16/425		27,582,741		27,635,689
2020-1A, 4.34% due 01/16/405		6,611,667		6,220,755

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Raspro Trust
2005-1A, 1.15% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/245,8		26,934,410	$	26,723,272
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/405		22,242,551		22,129,868
AASET US Ltd.
2018-2A, 4.45% due 11/18/385		19,110,530		19,264,696
Sapphire Aviation Finance II Ltd.
2020-1A, 4.34% due 03/15/405		9,117,555		8,237,377
2020-1A, 3.23% due 03/15/405		665,932		660,670
JOL Air Ltd.
2019-1, 3.97% due 04/15/445		6,948,195		6,990,223
MAPS Ltd.
2018-1A, 4.21% due 05/15/435		6,166,796		6,224,764
GAIA Aviation Ltd.
2019-1, 3.97% due 12/15/445,13		4,391,727		4,379,687
WAVE LLC
2019-1, 3.60% due 09/15/445		4,142,411		4,143,369
Castlelake Aircraft Structured Trust
2021-1A, 6.66% due 01/15/465		3,158,451		3,248,883
Stripes Aircraft Ltd.
2013-1 A1, 3.61% due 03/20/23†††		3,037,079		2,993,114
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/487		1,943,752		1,555,001
2013-1A, 6.38% due 12/13/487		1,467,369		1,013,301
Airplanes Pass Through Trust
2001-1A, due 03/15/19†††,7,10		2,097,481		210
Total Transport-Aircraft				285,124,034
Financial - 1.2%
HV Eight LLC
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/258		EUR 28,000,000		32,833,021
Aesf Vi Verdi LP
2.15% due 11/25/24†††		EUR 20,994,666		24,611,815
Nassau LLC
2019-1, 3.98% due 08/15/345		16,889,389		17,113,183
Ceamer Finance LLC
3.69% due 03/22/31		6,000,000		5,880,000
Station Place Securitization Trust Series
2020-WL1, 3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 0.00%) due 06/25/51†††,7,8		2,600,000		2,600,000
Total Financial				83,038,019
Whole Business - 0.8%
TSGE
2017-1, 6.25% due 09/25/31†††		42,550,000		44,384,520
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/07/495		4,527,250		4,762,486
2019-1A, 4.19% due 06/07/495		2,089,500		2,145,708
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/465		2,719,063		2,946,376

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Wendy’s Funding LLC
2018-1A, 3.88% due 03/15/485		387,000	$	407,863
2015-1A, 4.50% due 06/15/455		47,250		47,563
Drug Royalty III Limited Partnership 1
2017-1A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/15/275,8		357,091		357,088
Total Whole Business				55,051,604
Infrastructure - 0.6%
VB-S1 Issuer LLC
2020-1A, 6.66% due 06/15/505		23,700,000		25,519,164
2020-1A, 4.09% due 06/15/505		5,183,000		5,401,879
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 4.70% due 06/15/487		6,793,748		6,999,198
Total Infrastructure				37,920,241
Collateralized Debt Obligations - 0.4%
Anchorage Credit Funding 3 Ltd.
2021-3A, 3.47% due 01/28/395		14,250,000		14,125,937
Anchorage Credit Funding 4 Ltd.
2021-4A, 3.12% due 04/27/395		9,200,000		9,118,318
2021-4A, 3.52% due 04/27/395		4,250,000		4,207,428
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/387,8		1,064,313		1,059,215
Total Collateralized Debt Obligations				28,510,898
Diversified Payment Rights - 0.2%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		15,300,000		16,354,218
Net Lease - 0.2%
CARS-DB4, LP
2020-1A, 4.95% due 02/15/505		10,550,000		10,434,281
Insurance - 0.0%
J.G. Wentworth XLI LLC
2018-1A, 4.70% due 10/15/745		400,000		410,683
Total Asset-Backed Securities
(Cost $1,152,706,713)				1,167,170,204
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 8.3%
Residential Mortgage Backed Securities - 7.3%
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/368		25,026,559		16,151,288
2006-WMC3, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/368		10,854,760		8,529,229
2006-HE3, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/368		6,879,153		6,328,936
2006-WMC4, 0.23% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/368		8,614,362		5,534,613
2006-WMC4, 0.19% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/368		3,642,454		2,326,245

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Lehman XS Trust Series
2006-16N, 0.32% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/468		17,751,602	$	17,659,951
2006-18N, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 12/25/368		13,949,003		14,334,805
2006-10N, 0.53% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/468		3,702,581		3,752,123
RALI Series Trust
2006-QO6, 0.47% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/468		33,518,432		11,245,759
2007-QO2, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/478		15,635,221		8,226,054
2006-QO8, 0.51% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/468		6,040,061		5,891,798
2006-QO6, 0.57% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/468		8,721,039		2,978,392
2006-QO2, 0.65% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/468		6,565,645		2,091,953
2006-QO6, 0.63% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/468		5,502,233		1,904,706
2006-QO2, 0.79% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/468		3,513,177		1,164,342
2006-QO2, 0.55% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/468		235,489		72,175
WaMu Asset-Backed Certificates WaMu Series
2007-HE2, 0.47% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/378		26,792,184		13,529,086
2007-HE2, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/378		20,415,407		10,108,750
2007-HE4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/478		7,853,270		6,580,830
2007-HE4, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/478		2,496,103		1,884,246
Long Beach Mortgage Loan Trust
2006-6, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/368		15,548,412		8,213,699

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2006-8, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 09/25/368		18,552,114	$	7,301,160
2006-4, 0.43% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/368		11,340,689		4,939,896
2006-1, 0.49% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/368		4,363,663		3,891,297
2006-6, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 07/25/368		4,841,587		2,511,826
2006-8, 0.20% (1 Month USD LIBOR + 0.09%, Rate Floor: 0.09%) due 09/25/368		5,027,274		1,943,980
2006-6, 0.21% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 07/25/368		2,802,692		1,440,539
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.74% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/378		28,841,912		28,392,289
FKRT
2020-C2A, 3.25% due 12/30/23†††,7		26,181,733		26,213,150
American Home Mortgage Assets Trust
2006-1, 0.49% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/468		10,154,572		9,713,617
2006-6, 0.32% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/468		11,128,179		9,519,903
2006-3, 1.20% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/468		6,392,158		5,271,973
Ameriquest Mortgage Securities Trust
2006-M3, 0.28% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/368		23,443,274		15,765,276
2006-M3, 0.21% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/368		14,995,456		6,341,938
2006-M3, 0.35% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/368		3,591,196		1,542,386
CIM Trust
2018-R2, 3.69% (WAC) due 08/25/575,8		22,886,697		22,926,133

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 0.33% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/368		24,461,233	$	11,336,546
2006-2, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/368		18,660,860		8,570,618
Morgan Stanley ABS Capital I Incorporated Trust
2006-HE8, 0.33% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/368		22,693,635		13,294,950
2006-HE6, 0.21% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 09/25/368		4,782,354		2,268,827
2007-HE4, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/378		4,175,447		1,770,424
IXIS Real Estate Capital Trust
2007-HE1, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/378		25,654,200		8,821,448
2007-HE1, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/378		18,175,640		6,316,980
GSAMP Trust
2007-NC1, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/468		22,015,637		14,648,463
GSAA Home Equity Trust
2006-3, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/368		13,263,695		8,987,542
2006-9, 0.59% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/368		8,772,930		3,764,723
2007-7, 0.65% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/378		955,317		941,154
Master Asset Backed Securities Trust
2006-WMC3, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/368		11,558,435		5,348,415
2006-HE3, 0.31% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/368		10,330,354		4,185,386
2006-HE3, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/368		8,685,361		3,555,352

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Citigroup Mortgage Loan Trust, Inc.
2007-AMC3, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/378		13,215,850	$	12,129,080
Nationstar Home Equity Loan Trust
2007-C, 0.28% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/378		11,170,569		10,864,128
Home Equity Loan Trust
2007-FRE1, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/378		10,082,956		9,501,244
First NLC Trust
2007-1, 0.39% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/375,8		7,809,050		5,076,340
2007-1, 0.18% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/375,8		5,921,853		3,748,706
Alternative Loan Trust
2007-OA7, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/478		9,248,111		8,804,964
Argent Securities Trust
2006-W5, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/368		10,949,708		8,463,022
WaMu Asset-Backed Certificates WaMu Series Trust
2007-HE1, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/378		8,762,821		5,580,993
2007-HE4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/478		3,495,943		2,616,534
ACE Securities Corporation Home Equity Loan Trust Series
2007-ASP1, 0.49% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 03/25/378		12,522,451		7,498,724
HSI Asset Securitization Corporation Trust
2007-HE1, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/378		7,176,512		6,087,028
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.10% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/468		5,124,780		4,402,189

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Morgan Stanley Mortgage Loan Trust
2006-9AR, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/368		9,713,599	$	3,966,253
Nomura Resecuritization Trust
2015-4R, 1.81% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/365,8		3,025,614		3,011,112
Alliance Bancorp Trust
2007-OA1, 0.35% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/378		2,812,283		2,611,863
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.26% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/375,8		1,052,880		1,004,235
Morgan Stanley Re-REMIC Trust
2010-R5, 1.55% due 06/26/365		808,134		742,903
Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/368		544,308		535,311
Total Residential Mortgage Backed Securities				486,679,800
Commercial Mortgage Backed Securities - 0.5%
GS Mortgage Securities Corporation Trust
2017-STAY, 2.51% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.15%) due 07/15/325,8		16,531,000		16,488,582
2020-UPTN, 3.25% (WAC) due 02/10/375,8		8,256,000		7,788,606
2020-DUNE, 2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/365,8		7,340,000		6,846,541
2020-DUNE, 2.01% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/365,8		2,750,000		2,600,092
BX Commercial Mortgage Trust
2019-XL, 2.41% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/365,8		2,200,796		2,199,290
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		1,019,831		1,019,484
Total Commercial Mortgage Backed Securities				36,942,595
Military Housing - 0.5%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 0.65% (WAC) due 11/25/525,8,14		162,469,970		9,141,324

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2015-R1, 0.52% (WAC) due 11/25/555,8,14		66,210,064	$	4,327,351
GMAC Commercial Mortgage Asset Corp.
2004-POKA, 6.36% due 09/10/44†††,5		9,000,000		11,058,983
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/525		5,626,602		5,805,641
Total Military Housing				30,333,299
Total Collateralized Mortgage Obligations
(Cost $594,217,449)				553,955,694
U.S. TREASURY BILLS†† - 0.3%
U.S. Treasury Bills
0.02% due 06/03/219,15		15,050,000		15,049,539
0.04% due 06/03/219,15		2,700,000		2,699,917
Total U.S. Treasury Bills
(Cost $17,749,208)				17,749,456
SENIOR FIXED RATE INTERESTS†† - 0.1%
Consumer, Cyclical - 0.1%
WESCO
5.25% due 06/14/24†††		CAD 3,920,000		3,111,695
Belk, Inc.
13.00% (in-kind rate was 8.00%) due 07/31/2511		1,908,043		1,221,147
Total Consumer, Cyclical				4,332,842
Total Senior Fixed Rate Interests
(Cost $4,902,411)				4,332,842

	Notional Value
OTC OPTIONS PURCHASED†† - 0.4%
Call options on:
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		1,424,100,000		13,215,648
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		709,900,000		6,587,872
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		661,700,000		4,883,346
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		126,600,000		1,174,848
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		82,200,000		606,636
Total OTC Options Purchased
(Cost $6,442,615)				26,468,350
Total Investments - 105.3%
(Cost $6,873,257,641)			$	7,016,838,284

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Contracts		Value
OTC OPTIONS WRITTEN† - 0.0%
Call options on:
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring June 2021 with strike price of $35.00 (Notional Value $2,401)		1	$	(80	)
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $35.00 (Notional Value $36,015)		15		(4,162	)
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $30.00 (Notional Value $436,982)		182		(60,970	)
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $40.00 (Notional Value $657,874)		274		(64,390	)
Total OTC Options Written
(Premiums received $283,563)				(129,602	)
Other Assets & Liabilities, net - (5.3)%				(354,529,302	)
Total Net Assets - 100.0%			$	6,662,179,380

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation**
Commodity Futures Contracts Purchased†
Gold 100 oz. Futures Contracts		239		Jun 2021	$	40,840,320	$	599,750
Commodity Futures Contracts Sold Short†
WTI Crude Futures Contracts		909		Apr 2021		53,921,880		5,033,751

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate			Payment Frequency		Maturity Date
J.P. Morgan Securities LLC	CME	Receive	3-Month USD LIBOR		1.65	%		Quarterly		03/17/31
J.P. Morgan Securities LLC	LCH	Pay	Sterling Overnight Interbank Average Rate		0.02	%		At Maturity		05/06/21
J.P. Morgan Securities LLC	LCH	Pay	Sterling Overnight Interbank Average Rate		0.02	%		At Maturity		05/06/21
J.P. Morgan Securities LLC	LCH	Pay	Sterling Overnight Interbank Average Rate		0.03	%		At Maturity		05/06/21
J.P. Morgan Securities LLC	LCH	Pay	3-Month ILS TELBOR		1.01	%		Quarterly		01/25/28
J.P. Morgan Securities LLC	LCH	Pay	3-Month ILS TELBOR		0.92	%		Quarterly		11/15/27

Counterparty	Notional Amount		Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)**
J.P. Morgan Securities LLC	$	180,000,000	$	2,522,322		$	1,683	$	2,520,639
J.P. Morgan Securities LLC		GBP 2,503,488,000		(85,002	)		—		(85,002	)
J.P. Morgan Securities LLC		GBP 2,558,712,000		(111,245	)		1,080		(112,325	)
J.P. Morgan Securities LLC		GBP 5,006,976,000		(149,572	)		—		(149,572	)
J.P. Morgan Securities LLC		ILS 156,832,000		(625,445	)		496		(625,941	)
J.P. Morgan Securities LLC		ILS 159,859,000		(684,551	)		—		(684,551	)
			$	866,507		$	3,259	$	863,248

Total Return Swap Agreements

Counterparty

Reference Obligation

Financing Rate Pay

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Depreciation

OTC Equity Index Swap Agreements††

BNP Paribas

VanEck Vectors Gold Miners ETF

0.36% (1 Month USD LIBOR + 0.25%)

Monthly

04/16/21

1,053,640

$

34,243,300

$

(8,913,794

)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A.		178,600,000		BRL		07/01/21	$	42,785,007	$	31,556,573	$	11,228,434
Citibank, N.A.		122,150,000		BRL		07/01/21		29,677,306		21,582,504		8,094,802
Citibank, N.A.		6,320,158,500		JPY		07/01/21		62,232,010		57,127,729		5,104,281
Barclays Bank plc		6,018,007,500		JPY		07/01/21		59,168,297		54,396,595		4,771,702
Barclays Bank plc		143,090,000		EUR		04/16/21		171,620,114		167,827,081		3,793,033
Goldman Sachs International		8,850,000		BRL		07/01/21		2,073,328		1,563,694		509,634
Goldman Sachs International		8,973,000		GBP		04/16/21		12,548,157		12,370,038		178,119
Bank of America, N.A.		20,947,000		EUR		06/30/21		24,738,448		24,608,480		129,968
JPMorgan Chase Bank, N.A.		14,074,000		EUR		04/16/21		16,625,114		16,507,082		118,032
Barclays Bank plc		92,228,427		ILS		08/01/22		27,935,310		27,899,121		36,189
Citibank, N.A.		1,970,000		GBP		04/16/21		2,738,205		2,715,811		22,394
Morgan Stanley Capital Services LLC		205,000		GBP		04/16/21		283,548		282,610		938
Citibank, N.A.		305,100		ILS		04/26/21		91,623		91,371		252
Citibank, N.A.		4,789,000		CAD		04/16/21		3,811,655		3,811,726		(71	)
Barclays Bank plc		684,673		ILS		08/02/21		204,027		205,520		(1,493	)
UBS AG		7,975,000		GBP		04/16/21		10,992,525		10,994,211		(1,686	)
UBS AG		28,000,000		EUR		04/16/21		32,814,628		32,840,578		(25,950	)
Bank of America, N.A.		7,363,900		ILS		01/31/22		2,183,190		2,219,673		(36,483	)
Bank of America, N.A.		79,971,800		ILS		04/30/21		23,698,472		23,950,866		(252,394	)
Goldman Sachs International		38,713,300		ILS		04/30/21		11,336,277		11,594,300		(258,023	)
Goldman Sachs International		57,434,200		ILS		01/31/22		17,016,598		17,312,178		(295,580	)
Goldman Sachs International		32,149,325		EUR		07/30/21		37,345,460		37,794,569		(449,109	)
JPMorgan Chase Bank, N.A.		29,016,000		EUR		07/30/21		33,489,397		34,111,049		(621,652	)
Citibank, N.A.		193,819,000		ILS		04/30/21		56,980,496		58,047,123		(1,066,627	)
											$	30,978,710

Counterparty	Contracts to Buy		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation
Goldman Sachs International		312,504,100		ILS		04/30/21	$	87,609,812	$	93,592,288	$	5,982,476
Goldman Sachs International		92,228,427		ILS		08/01/22		24,775,937		27,899,121		3,123,184

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

Counterparty	Contracts to Buy		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Goldman Sachs International		64,798,100		ILS		01/31/22	$	17,651,728	$	19,531,852	$	1,880,124
Goldman Sachs International		61,165,325		EUR		07/30/21		70,187,211		71,905,618		1,718,407
Goldman Sachs International		684,673		ILS		08/02/21		183,706		205,520		21,814
JPMorgan Chase Bank, N.A.		186,000		GBP		04/16/21		254,971		256,417		1,446
Citibank, N.A.		578,000		ILS		04/26/21		173,350		173,099		(251	)
UBS AG		3,907,590		ILS		04/26/21		1,180,998		1,170,244		(10,754	)
Citibank, N.A.		309,600,000		BRL		07/01/21		59,488,074		54,702,770		(4,785,304	)
JPMorgan Chase Bank, N.A.		12,338,166,000		JPY		07/01/21		120,472,255		111,524,325		(8,947,930	)
											$	(1,016,788	)

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities.
†	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.
2	Rate indicated is the 7-day yield as of March 31, 2021.
3	Perpetual maturity.
4	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5	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 $2,748,480,314 (cost $2,706,017,002), or 41.3% of total net assets.
6	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2020, the total market value of segregated or earmarked securities was $112,216,626 — See Note 6.
7	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 $48,097,920 (cost $60,666,278), or 0.7% of total net assets — See Note 10.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

8	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
9	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
10	Security is in default of interest and/or principal obligations.
11	Payment-in-kind security.
12	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
13	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
14	Security is an interest-only strip.
15	Rate indicated is the effective yield at the time of purchase.
	BRL — Brazilian Real
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LCH — London Clearing House
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	PPV — Public-Private Venture
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	TELBOR — Tel Aviv Interbank Offered Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	265,111,692	$	7,569,996	$	2,732,955		$	275,414,643
Preferred Stocks		9,817,080		244,436,900		—	*		254,253,980
Warrants		7,597,346		—		—			7,597,346
Mutual Funds		90,890,477		—		—			90,890,477
Closed-End Funds		85,814,496		—		—			85,814,496
Money Market Fund		216,504,097		—		—			216,504,097
Corporate Bonds		—		2,570,244,332		101,851,020			2,672,095,352
Senior Floating Rate Interests		—		1,419,575,876		225,015,471			1,644,591,347
Asset-Backed Securities		—		1,049,394,278		117,775,926			1,167,170,204
Collateralized Mortgage Obligations		—		516,683,561		37,272,133			553,955,694
U.S. Treasury Bills		—		17,749,456		—			17,749,456
Senior Fixed Rate Interests		—		1,221,147		3,111,695			4,332,842
Options Purchased		—		26,468,350		—			26,468,350
Commodity Futures Contracts**		5,633,501		—		—			5,633,501
Interest Rate Swap Agreements**		—		2,520,639		—			2,520,639
Forward Foreign Currency Exchange Contracts**		—		46,715,229		—			46,715,229
Total Assets	$	681,368,689	$	5,902,579,764	$	487,759,200		$	7,071,707,653

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Options Written	$	129,602	$	—	$	—	$	129,602
Interest Rate Swap Agreements**		—		1,657,391		—		1,657,391
Equity Index Swap Agreements**		—		8,913,794		—		8,913,794
Forward Foreign Currency Exchange Contracts**		—		16,753,307		—		16,753,307
Unfunded Loan Commitments (Note 9)		—		—		2,222,482		2,222,482
Total Liabilities	$	129,602	$	27,324,492	$	2,222,482	$	29,676,576

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $72,259,339 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
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	Ending Balance at March 31, 2021		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	85,350,553	Yield Analysis	Yield		2.2%-4.0%		3.2%
Asset-Backed Securities		32,425,373	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Collateralized Mortgage Obligations		26,213,150	Model Price	Purchase Price		—		—
Collateralized Mortgage Obligations		11,058,983	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Common Stocks		1,530,853	Third Party Pricing	Broker Quote		—		—
Common Stocks		1,201,940	Enterprise Value	Valuation Multiple		2.9x-15.7x		6.4x
Common Stocks		162	Model Price	Liquidation Value		—		—
Corporate Bonds		64,061,314	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Corporate Bonds		30,808,586	Third Party Pricing	Vendor Price		—		—
Corporate Bonds		6,981,120	Model Price	Purchase Price		—		—
Senior Fixed Rate Interests		3,111,695	Yield Analysis	Yield		5.3%		—
Senior Floating Rate Interests		138,634,970	Third Party Pricing	Broker Quote		—		—
Senior Floating Rate Interests		40,044,471	Yield Analysis	Yield		4.8%-8.4%		6.6%
Senior Floating Rate Interests		21,621,375	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Senior Floating Rate Interests		20,793,415	Third Party Pricing	Vendor Price		—		—
Senior Floating Rate Interests		2,339,767	Model Price	Market Comparable Yields		6.4%		—
Senior Floating Rate Interests		1,165,562	Model Price	Liquidation Value		—		—
Senior Floating Rate Interests		415,911	Model Price	Purchase Price		—		—
Total Assets	$	487,759,200

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

Category	Ending Balance at March 31, 2021		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Liabilities:
Unfunded Loan Commitments	$	2,222,482	Model Price	Purchase Price		—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiples would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $118,852,692 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of $32,443,976 transfer into Level 2 from Level 3 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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, 2021:

	Assets
	Asset- Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Common Stocks
Beginning Balance	$	136,219,530		$	54,252,847		$	22,823,465		$	74,589,734		$	8,060,143
Purchases/(Receipts)		—			26,226,561			42,300,000			134,758,660			—
(Sales, maturities and paydowns)/Fundings		(35,936,392	)		(41,567,366	)		(71,634	)		(28,945,231	)		(765,169	)
Amortization of premiums/discounts		3,612			(11,556	)		411			185,642			—
Total realized gains (losses) included in earnings		677			(92	)		—			(11,862,932	)		(367,642	)
Total change in unrealized appreciation (depreciation) included in earnings		1,126,813			(1,628,261	)		(1,894,286	)		14,111,516			1,649,366
Transfers into Level 3		26,795,967			—			39,754,273			49,649,639			1,423,013
Transfers out of Level 3		(10,434,281	)		—			(1,061,209	)		(7,471,557	)		(7,266,756	)
Ending Balance	$	117,775,926		$	37,272,133		$	101,851,020		$	225,015,471		$	2,732,955
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	1,606,179		$	(1,254,459	)	$	(1,891,908	)	$	129,619		$	418,272

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
MACRO OPPORTUNITIES FUND

	Assets									Liabilities
	Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	110,798		$	6,285,245		$	302,341,762		$	(1,311,693	)
Purchases/(Receipts)		—			476,625			203,761,846			(2,031,353	)
(Sales, maturities and paydowns)/Fundings		—			(1,323,485	)		(108,609,277	)		757,567
Amortization of premiums/discounts		—			(249	)		177,860			(15,187	)
Total realized gains (losses) included in earnings		—			139			(12,229,850	)		56,956
Total change in unrealized appreciation (depreciation) included in earnings		(110,798	)		2,653,793			15,908,143			321,228
Transfers into Level 3		—			1,229,800			118,852,692			—
Transfers out of Level 3		—			(6,210,173	)		(32,443,976	)		—
Ending Balance	$	—	*	$	3,111,695		$	487,759,200		$	(2,222,482	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	(110,798	)	$	175,021		$	(928,074	)	$	392,573

* Security has a market value of $0.

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44		2.00	%		11/15/26

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
MACRO OPPORTUNITIES FUND

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC*	$	13,236	$	—	$	—	$	—
Targus Group International Equity, Inc.*		26,242		—		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		24,454,689		280,945		—		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		17,551,325		40,568,935		—		—
Closed-End Funds
Guggenheim Strategic Opportunities Fund		9,279,301		—		—		—
	$	51,324,793	$	40,849,880	$	—	$	—

Security Name	Change in Unrealized Appreciation (Depreciation)		Value 03/31/21		Shares 03/31/21		Investment Income		Capital Gain Distributions
Common Stocks
BP Holdco LLC*	$	—	$	13,236		37,539	$	—	$	—
Targus Group International Equity, Inc.*		1,094		27,336		12,773		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		2,820,552		27,556,186		1,003,137		280,945		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		5,214,031		63,334,291		1,892,836		412,835		1,006,240
Closed-End Funds
Guggenheim Strategic Opportunities Fund		1,787,320		11,066,621		527,233		576,055		—
	$	9,822,997	$	101,997,670			$	1,269,835	$	1,006,240

* Non-income producing security.

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

MACRO OPPORTUNITIES FUND

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $6,780,281,000)	$	6,914,840,614
Investments in affiliated issuers, at value (cost $92,976,641)		101,997,670
Foreign currency, at value (cost $11,442,392)		11,442,392
Cash		3,258,906
Segregated cash with broker		13,896,054
Unamortized upfront premiums paid on interest rate swap agreements		3,259
Unrealized appreciation on forward foreign currency exchange contracts		46,715,229
Prepaid expenses		354,744
Receivables:
Securities sold		84,935,756
Interest		43,683,361
Fund shares sold		17,179,841
Swap settlement		6,231,710
Variation margin on futures contracts		1,662,990
Dividends		442,000
Variation margin on interest rate swap agreements		214,198
Total assets		7,246,858,724
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $3,613,312)		2,222,482
Reverse repurchase agreements (Note 6)		72,259,339
Options written, at value (premiums received $283,563)		129,602
Segregated cash due to broker		53,537,604
Unrealized depreciation on OTC swap agreements		8,913,794
Unrealized depreciation on forward foreign currency exchange contracts		16,753,307
Payable for:
Securities purchased		406,912,762
Fund shares redeemed		15,483,834
Management fees		4,162,360
Distributions to shareholders		3,013,069
Fund accounting/administration fees		371,340
Distribution and service fees		293,918
Transfer agent/maintenance fees		174,926
Trustees’ fees*		79,723
Due to Investment Adviser		63,350
Miscellaneous		307,934
Total liabilities		584,679,344
Net assets	$	6,662,179,380

* 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 CONSOLIDATED FINANCIAL STATEMENTS.

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited)(concluded)

MACRO OPPORTUNITIES FUND

March 31, 2021

Net assets consist of:
Paid in capital	$	6,723,989,175
Total distributable earnings (loss)		(61,809,795	)
Net assets	$	6,662,179,380
A-Class:
Net assets	$	389,757,525
Capital shares outstanding		14,318,729
Net asset value per share	$	27.22
Maximum offering price per share (Net asset value divided by 96.00%)	$	28.35
C-Class:
Net assets	$	213,634,806
Capital shares outstanding		7,853,640
Net asset value per share	$	27.20
P-Class:
Net assets	$	131,236,110
Capital shares outstanding		4,819,406
Net asset value per share	$	27.23
Institutional Class:
Net assets	$	5,779,983,769
Capital shares outstanding		212,038,650
Net asset value per share	$	27.26
R6-Class:
Net assets	$	147,567,170
Capital shares outstanding		5,415,587
Net asset value per share	$	27.25

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

CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited)

MACRO OPPORTUNITIES FUND

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	7,760,182
Dividends from securities of affiliated issuers		1,269,835
Interest from securities of unaffiliated issuers		85,812,736
Total investment income		94,842,753
Expenses:
Management fees		25,044,944
Distribution and service fees:
A-Class		429,652
C-Class		1,112,478
P-Class		132,108
Transfer agent/maintenance fees:
A-Class		101,527
C-Class		77,843
P-Class		46,168
Institutional Class		1,733,166
R6-Class		2,798
Fund accounting/administration fees		1,905,229
Professional fees		396,926
Interest expense		375,147
Line of credit fees		232,546
Short sales interest expense		148,690
Trustees’ fees*		84,145
Custodian fees		76,726
Miscellaneous		118,566
Recoupment of previously waived fees:
A-Class		175,804
C-Class		96,409
P-Class		40,152
R6-Class		35
Total expenses		32,331,059
Less:
Expenses reimbursed by Adviser:
A-Class		(4,882	)
P-Class		(1,884	)
Institutional Class		(1,706,265	)
R6-Class		(2,765	)
Expenses waived by Adviser		(1,624,162	)
Earnings credits applied		(5,361	)
Total waived/reimbursed expenses		(3,345,319	)
Net expenses		28,985,740
Net investment income		65,857,013

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

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

CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited)(concluded)

MACRO OPPORTUNITIES FUND

Six Months Ended March 31, 2021

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	60,224,105
Distributions received from affiliated investment companies		1,006,240
Investments sold short		102,131
Swap agreements		67,138,500
Futures contracts		(31,440,332	)
Options purchased		11,427,910
Forward foreign currency exchange contracts		20,894,331
Foreign currency transactions		(1,176,580	)
Net realized gain		128,176,305
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		100,934,910
Investments in affiliated issuers		9,822,997
Swap agreements		(13,773,522	)
Futures contracts		10,678,575
Options purchased		14,117,707
Options written		153,961
Forward foreign currency exchange contracts		(17,979,550	)
Foreign currency translations		1,895,323
Net change in unrealized appreciation (depreciation)		105,850,401
Net realized and unrealized gain		234,026,706
Net increase in net assets resulting from operations	$	299,883,719

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

MACRO OPPORTUNITIES FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	65,857,013		$	160,220,601
Net realized gain (loss) on investments		128,176,305			(84,989,272	)
Net change in unrealized appreciation (depreciation) on investments		105,850,401			175,183,745
Net increase in net assets resulting from operations		299,883,719			250,415,074
Distributions to shareholders:
A-Class		(7,854,823	)		(11,564,799	)
C-Class		(4,273,481	)		(6,528,648	)
P-Class		(2,407,347	)		(3,427,318	)
Institutional Class		(119,528,218	)		(155,990,784	)
R6-Class		(3,528,439	)		(2,567,315	)
Total distributions to shareholders		(137,592,308	)		(180,078,864	)
Capital share transactions:
Proceeds from sale of shares
A-Class		116,859,813			109,769,140
C-Class		23,201,268			15,768,558
P-Class		52,987,942			39,513,794
Institutional Class		2,237,779,947			1,756,127,971
R6-Class		18,054,715			177,460,010
Distributions reinvested
A-Class		6,404,369			9,309,460
C-Class		3,754,829			5,582,109
P-Class		2,405,753			3,425,490
Institutional Class		104,189,671			135,153,093
R6-Class		3,526,263			2,566,997
Cost of shares redeemed
A-Class		(56,739,693	)		(270,489,422	)
C-Class		(40,816,126	)		(125,607,632	)
P-Class		(26,506,020	)		(71,527,362	)
Institutional Class		(796,336,556	)		(3,253,519,833	)
R6-Class		(15,277,964	)		(44,704,950	)
Net increase (decrease) from capital share transactions		1,633,488,211			(1,511,172,577	)
Net increase (decrease) in net assets		1,795,779,622			(1,440,836,367	)
Net assets:
Beginning of period		4,866,399,758			6,307,236,125
End of period	$	6,662,179,380		$	4,866,399,758

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded)

MACRO OPPORTUNITIES FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		4,274,533			4,307,718
C-Class		851,336			619,207
P-Class		1,934,084			1,570,044
Institutional Class		82,004,836			69,459,364
R6-Class		661,336			6,828,040
Shares issued from reinvestment of distributions
A-Class		235,909			364,891
C-Class		138,470			218,971
P-Class		88,546			134,225
Institutional Class		3,830,241			5,288,587
R6-Class		129,791			100,256
Shares redeemed
A-Class		(2,088,743	)		(10,663,377	)
C-Class		(1,498,784	)		(4,940,194	)
P-Class		(986,893	)		(2,812,895	)
Institutional Class		(29,323,112	)		(128,005,044	)
R6-Class		(565,078	)		(1,764,938	)
Net increase (decrease) in shares		59,686,472			(59,295,145	)

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

CONSOLIDATED 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.31		$	25.82		$	26.53		$	26.67		$	26.01		$	26.07
Income (loss) from investment operations:
Net investment income (loss)b		.27			.74			.72			.72			.95			1.16
Net gain (loss) on investments (realized and unrealized)		1.26			.61			(.62	)		(.08	)		.68			.21
Total from investment operations		1.53			1.35			.10			.64			1.63			1.37
Less distributions from:
Net investment income		(.62	)		(.86	)		(.79	)		(.78	)		(.97	)		(1.43	)
Net realized gains		—			—			(.02	)		—			—			—
Total distributions		(.62	)		(.86	)		(.81	)		(.78	)		(.97	)		(1.43	)
Net asset value, end of period	$	27.22		$	26.31		$	25.82		$	26.53		$	26.67		$	26.01
Total Returnc		5.84	%		5.39	%		0.41	%		2.42	%		6.33	%		5.57	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	389,758		$	312,986		$	461,781		$	714,630		$	893,104		$	727,602
Ratios to average net assets:
Net investment income (loss)		2.02	%		2.90	%		2.76	%		2.72	%		3.58	%		4.59	%
Total expensesd		1.42	%		1.51	%		1.47	%		1.43	%		1.42	%		1.65	%
Net expensese,f,g		1.36	%		1.39	%		1.39	%		1.33	%		1.27	%		1.46	%
Portfolio turnover rate		22	%		130	%		46	%		66	%		61	%		61	%

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

CONSOLIDATED 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.29		$	25.80		$	26.52		$	26.65		$	25.99		$	26.05
Income (loss) from investment operations:
Net investment income (loss)b		.17			.55			.52			.53			.75			.98
Net gain (loss) on investments (realized and unrealized)		1.26			.61			(.62	)		(.08	)		.68			.20
Total from investment operations		1.43			1.16			(.10	)		.45			1.43			1.18
Less distributions from:
Net investment income		(.52	)		(.67	)		(.60	)		(.58	)		(.77	)		(1.24	)
Net realized gains		—			—			(.02	)		—			—			—
Total distributions		(.52	)		(.67	)		(.62	)		(.58	)		(.77	)		(1.24	)
Net asset value, end of period	$	27.20		$	26.29		$	25.80		$	26.52		$	26.65		$	25.99
Total Returnc		5.46	%		4.60	%		(0.37	%)		1.69	%		5.55	%		4.79	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	213,635		$	219,866		$	321,576		$	433,121		$	434,634		$	337,075
Ratios to average net assets:
Net investment income (loss)		1.27	%		2.15	%		2.00	%		1.98	%		2.83	%		3.87	%
Total expensesd		2.17	%		2.25	%		2.20	%		2.18	%		2.14	%		2.36	%
Net expensese,f,g		2.11	%		2.15	%		2.13	%		2.09	%		2.03	%		2.20	%
Portfolio turnover rate		22	%		130	%		46	%		66	%		61	%		61	%

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

CONSOLIDATED 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.32		$	25.82		$	26.54		$	26.68		$	26.02		$	26.07
Income (loss) from investment operations:
Net investment income (loss)b		.27			.74			.71			.73			.92			1.20
Net gain (loss) on investments (realized and unrealized)		1.26			.62			(.62	)		(.09	)		.71			.21
Total from investment operations		1.53			1.36			.09			.64			1.63			1.41
Less distributions from:
Net investment income		(.62	)		(.86	)		(.79	)		(.78	)		(.97	)		(1.46	)
Net realized gains		—			—			(.02	)		—			—			—
Total distributions		(.62	)		(.86	)		(.81	)		(.78	)		(.97	)		(1.46	)
Net asset value, end of period	$	27.23		$	26.32		$	25.82		$	26.54		$	26.68		$	26.02
Total Return		5.84	%		5.42	%		0.37	%		2.42	%		6.33	%		5.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	131,236		$	99,575		$	126,334		$	160,578		$	188,980		$	63,665
Ratios to average net assets:
Net investment income (loss)		2.01	%		2.91	%		2.73	%		2.73	%		3.48	%		4.73	%
Total expensesd		1.42	%		1.50	%		1.46	%		1.46	%		1.44	%		1.49	%
Net expensese,f,g		1.36	%		1.40	%		1.39	%		1.33	%		1.26	%		1.33	%
Portfolio turnover rate		22	%		130	%		46	%		66	%		61	%		61	%

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

CONSOLIDATED 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	26.34		$	25.85		$	26.57		$	26.71		$	26.04		$	26.10
Income (loss) from investment operations:
Net investment income (loss)b		.33			.85			.81			.84			1.02			1.26
Net gain (loss) on investments (realized and unrealized)		1.26			.60			(.61	)		(.09	)		.71			.21
Total from investment operations		1.59			1.45			.20			.75			1.73			1.47
Less distributions from:
Net investment income		(.67	)		(.96	)		(.90	)		(.89	)		(1.06	)		(1.53	)
Net realized gains		—			—			(.02	)		—			—			—
Total distributions		(.67	)		(.96	)		(.92	)		(.89	)		(1.06	)		(1.53	)
Net asset value, end of period	$	27.26		$	26.34		$	25.85		$	26.57		$	26.71		$	26.04
Total Return		6.05	%		5.84	%		0.77	%		2.83	%		6.73	%		5.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,779,984		$	4,097,303		$	5,396,868		$	6,065,678		$	4,591,424		$	2,204,079
Ratios to average net assets:
Net investment income (loss)		2.41	%		3.32	%		3.12	%		3.15	%		3.86	%		4.96	%
Total expensesd		1.08	%		1.17	%		1.13	%		1.08	%		1.06	%		1.29	%
Net expensese,f,g		0.95	%		0.99	%		0.98	%		0.93	%		0.91	%		1.08	%
Portfolio turnover rate		22	%		130	%		46	%		66	%		61	%		61	%

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

CONSOLIDATED 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.

R6-Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019h
Per Share Data
Net asset value, beginning of period	$	26.34		$	25.84		$	25.98
Income (loss) from investment operations:
Net investment income (loss)b		.33			.87			.36
Net gain (loss) on investments (realized and unrealized)		1.26			.58			(.03	)
Total from investment operations		1.59			1.45			.33
Less distributions from:
Net investment income		(.68	)		(.95	)		(.47	)
Total distributions		(.68	)		(.95	)		(.47	)
Net asset value, end of period	$	27.25		$	26.34		$	25.84
Total Return		6.05	%		5.81	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	147,567		$	136,669		$	676
Ratios to average net assets:
Net investment income (loss)		2.42	%		3.41	%		2.79	%
Total expensesd		1.01	%		1.09	%		1.11	%
Net expensese,f,g		0.95	%		0.99	%		1.03	%
Portfolio turnover rate		22	%		130	%		46	%

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CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.10%	0.03%	0.02%	0.04%	0.02%
C-Class	0.09%	0.05%	0.05%	0.11%	0.04%
P-Class	0.08%	0.03%	0.04%	0.04%	0.02%
Institutional Class	—	0.00%*	0.00%*	—	—
R6-Class	0.00%*	0.00%*	0.00%*	N/A	N/A

	*	Less than 0.01%
g	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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.33%	1.33%	1.33%	1.31%	1.25%	1.28%
C-Class	2.08%	2.08%	2.07%	2.06%	2.00%	2.02%
P-Class	1.33%	1.33%	1.33%	1.31%	1.24%	1.15%
Institutional Class	0.92%	0.92%	0.92%	0.90%	0.88%	0.90%
R6-Class	0.92%	0.92%	0.92%	N/A	N/A	N/A

^h Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At March 31, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”) which operates under the name Guggenheim Investments, 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 include 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 objectives and policies.

A summary of the Fund’s investment in its Subsidiary is as follows:

Inception Date of Subsidiary		Subsidiary Net Assets at March 31, 2021		% of Net Assets of the Fund at March 31, 2021
	01/08/15	$	19,131,139		0.29	%

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 consolidated 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) Valuation of Investments

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 and other assets 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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 U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.

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

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.

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

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests 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 disclosed in the Fund’s Consolidated Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

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(d) Interest on When-Issued Securities

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 takes 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, it may sell such securities before the settlement date.

(e) Short Sales

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

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

(f) Options

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).

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

(g) Futures Contracts

Upon entering into a futures contract, the 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 appreciation or depreciation. 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.

(h) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(i) Currency Translations

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 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.

(j) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

(k) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Consolidated Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Consolidated Statement of Assets and Liabilities.

(l) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications,

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Consolidated Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Consolidated Statement of Operations at the end of the commitment period.

(m) Distributions

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 U.S. federal income tax purposes.

(n) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

(o) Earnings Credits

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 Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the period ended March 31, 2021, are disclosed in the Consolidated Statement of Operations.

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(p) Cash

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 0.06% at March 31, 2021.

(q) Indemnifications

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.

Note 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 amounts recognized on the Consolidated 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 Consolidated Financial Statements.

Short Sales

A short sale is a transaction in which the 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.

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The Fund utilized 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.

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

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

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 monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge, Speculation	$	4,390,300,000	$	—

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 following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge, Speculation	$	854,713	$	—

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Futures Contracts

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 Consolidated Statement of Assets and Liabilities; securities held as collateral are noted on the Consolidated Schedule of Investments.

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Hedge, Income, Speculation	$	43,176,943	$	55,128,391

Swap Agreements

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. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

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The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income, Index exposure, Speculation	$	430,177,776	$	3,645,247

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, 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 monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	9,169,223,000	$	30,000,000

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap

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agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Index exposure	$	384,100,000	$	—

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 foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	494,210,129	$	650,730,855

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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 Consolidated Statement of Assets and Liabilities as of March 31, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Commodity contracts	Variation margin on futures contracts
Interest Rate contracts	Investments in unaffiliated issuers, at value
	Unamortized upfront premiums paid on interest rate swap agreements
	Variation margin on interest rate swap agreements
Equity contracts		Unrealized depreciation on OTC swap agreements
		Options written, at value
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
	Swaps Equity Risk		Swaps Interest Rate Risk*		Futures Commodity Risk*		Options Written Equity Risk		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	—	$	2,520,639	$	5,633,501	$	—	$	26,468,350	$	46,715,229	$	81,337,719

Liability Derivative Investments Value
	Swaps Equity Risk		Swaps Interest Rate Risk*		Futures Commodity Risk*		Options Written Equity Risk		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	8,913,794	$	1,657,391	$	—	$	129,602	$	—	$	16,753,307	$	27,454,094

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statement of Assets and Liabilities.

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The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the period ended March 31, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest Rate/Commodity contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Equity/Credit/Interest Rate contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Equity/Interest Rate contracts	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
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 Consolidated Statement of Operations categorized by primary risk exposure for the period ended March 31, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Commodity Risk			Futures Interest Rate Risk		Swaps Equity Risk		Swaps Interest Rate Risk		Swaps Credit Risk
	$	(31,531,045	)	$	90,713	$	133,439	$	24,013,591	$	42,991,470

Options Purchased Interest Rate Risk		Options Written Equity Risk		Forward Foreign Currency Exchange Risk		Total
$	11,427,910	$	—	$	20,894,331	$	68,020,409

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Commodity Risk		Futures Interest Rate Risk		Swaps Equity Risk			Swaps Interest Rate Risk		Swaps Credit Risk
	$	10,678,575	$	—	$	(6,595,786	)	$	264,921	$	(7,442,657	)

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Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statement of Operations (continued)
	Options Purchased Interest Rate Risk		Options Written Equity Risk		Forward Foreign Currency Exchange Risk			Total
	$	14,117,707	$	153,961	$	(17,979,550	)	$	(6,802,829	)

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The 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.

The Fund 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

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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.

Note 3 – 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 its 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 Consolidated Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. 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

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counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes 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 Consolidated Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Assets Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	46,715,229	$	—	$	46,715,229	$	(16,556,008	)	$	(28,989,648	)	$	1,169,573
Options purchased		26,468,350		—		26,468,350		—			(19,273,842	)		7,194,508

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	16,753,307	$	—	$	16,753,307	$	(16,556,008	)	$	—		$	197,299
Equity index swap agreements		8,913,794		—		8,913,794		—			(8,913,794	)		—
Options written		129,602		—		129,602		—			—			129,602

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

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The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts, Total return swap agreements	$	—	$	9,699,000
BNP Paribas	Total return swap agreements		11,552,000		—
Citibank N.A.	Forward foreign currency exchange contracts		—		6,199,903
Goldman Sachs International	Futures contracts, Total return swap agreements, Options purchased		—		18,770,000
J.P. Morgan Securities LLC	Credit default swap agreements		—		188,636
J.P. Morgan Securities LLC	Interest rate swap agreements		2,344,054		1,980,065
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		—		3,250,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options purchased		—		13,450,000
		$	13,896,054	$	53,537,604

Note 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.

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Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

Note 5 – Investment Advisory Agreement and Other Agreements

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. 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 for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended March 31, 2021, the Fund waived $138,182 related to advisory fees in the Subsidiary.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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The Board 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 contract 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 or interest on securities sold short, expenses of other investment companies in which the 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		02/01/22
Macro Opportunities Fund - C-Class		2.11	%		11/30/12		02/01/22
Macro Opportunities Fund - P-Class		1.36	%		05/01/15		02/01/22
Macro Opportunities Fund - Institutional Class		0.95	%		11/30/12		02/01/22
Macro Opportunities Fund - R6-Class		0.95	%		03/13/19		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2021		2022		2023		2024		Total
A-Class	$	193,875	$	254,243	$	249,814	$	74,267	$	772,199
C-Class		65,119		126,349		150,071		45,489		387,028
P-Class		83,132		49,360		65,030		23,051		220,573
Institutional Class		4,361,330		6,566,140		5,879,352		2,675,687		19,482,509
R6-Class		—		3,990		41,632		31,632		77,254

For the period ended March 31, 2021, GI recouped $312,400 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. 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, 2021, the Fund waived $351,650 related to investments in affiliated funds.

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For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 6 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, the 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, 2021, the Fund entered into reverse repurchase agreements:

Number of Days Outstanding		Balance at March 31, 2021		Average Balance Outstanding		Average Interest Rate
	182	$	72,259,339	$	160,462,181		0.47	%

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

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

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse Repurchase Agreements	$	72,259,339	$	—	$	72,259,339	$	(72,259,339	)	$	—	$	—

As of March 31, 2021, there was $72,259,339 in reverse repurchase agreements outstanding. The Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Range of Interest Rates			Maturity Dates		Repurchase Price
BMO Capital Markets Corp., New York Branch		0.45	%		05/03/21	$	71,335,559
BNP Paribas		(0.10	%)		Open Maturity		923,780

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:

	Up to 30 days		Overnight and continuous		Total
Corporate Bonds	$	71,335,559	$	923,780	$	72,259,339
Gross amount of recognized liabilities for reverse repurchase agreements	$	71,335,559	$	923,780	$	72,259,339

Note 7 – 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 or federal excise tax is required.

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NOTES TO CONSOLIDATED 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
$	6,873,011,910	$	308,976,177	$	(137,734,528	)	$	171,241,649

Note 8 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	2,494,489,345	$	1,242,730,602

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2021, the cost of purchases and proceeds from the sales of government securities were as follows:

Purchases		Sales
$	9,925,575	$	9,807,034

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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain
$	13,481,353	$	41,534,527	$	4,709,489

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2021, were as follows:

Borrower	Maturity Date		Face Amount*		Value
AI Aqua Zip Bidco Pty Ltd.		12/13/23		3,650,000	$	4,558
Aspect Software, Inc.		07/15/23		144,301		1,118
CapStone Acquisition Holdings, Inc.		10/29/27		3,807,600		35,853
DG Investment Intermediate Holdings 2, Inc.		03/17/28		1,830,000		10,285
FCG Acquisitions, Inc		03/16/28		2,590,000		16,187
Fortis Solutions Group LLC		12/15/23		503,680		3,274
Galls LLC		01/31/24		111,351		6,854
HAH Group Holding Co. LLC		10/29/27		1,380,000		19,404
Higginbotham		11/25/22		2,844,509		17,508
Jones Deslauriers Insurance Management, Inc.		03/12/28	CAD	6,370,000		—
MB2 Dental Solutions LLC		01/29/27		6,635,096		64,501
National Mentor Holdings, Inc.		02/18/28		1,500,000		7,380
Peraton Corp.		02/22/28		10,936,022		53,909
SCP Eye Care Services LLC		03/11/28		2,407,955		3,010
Service Logic Acquisition, Inc.		10/22/27		2,442,985		22,914

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Borrower	Maturity Date		Face Amount*		Value
Sitecore Holding III A/S		03/12/26		615,333	$	9,230
Solera LLC		12/02/22		7,940,287		51,056
Southern Veterinary Partners LLC		10/05/27		1,478,788		13,764
Team.Blue Finco SARL		03/18/28	EUR	756,757		3,771
Trader Interactive		06/15/23		430,769		7,653
TricorBraun Holdings, Inc.		03/03/28		1,668,554		17,386
Venture Global Calcasieu Pass LLC		08/19/26		5,701,901		313,605
Vertical (TK Elevator)		01/30/27	EUR	13,250,000		1,539,259
Zephyr Bidco Ltd.		04/08/22	GBP	20,850,000		3
					$	2,222,482

* The face amount is denominated in U.S. dollars unless otherwise indicated.

Note 10 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Airplanes Pass Through Trust
2001-1A, due 03/15/191		01/18/12	$	1,691,716	$	210
Atlas Mara Ltd.
8.00% due 03/20/21		10/01/15		14,373,834		6,981,120
Basic Energy Services, Inc.
10.75% due 10/15/23		09/25/18		1,490,164		300,000
Copper River CLO Ltd.
2007-1A, due 01/20/212		05/09/14		233,090		240,099
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		26,196,642		26,213,150
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,710,484		75,417
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27		12/17/12		1,182,198		1,061,209
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/383		06/01/16		1,004,356		1,059,215
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 4.70% due 06/15/48		05/25/18		6,794,676		6,999,198
Station Place Securitization Trust Series
2020-WL1, 3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 0.00%) due 06/25/513		07/15/20		2,600,000		2,600,000

100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued)

Restricted Securities	Acquisition Date		Cost		Value
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48		11/27/13	$	1,934,397	$	1,555,001
2013-1A, 6.38% due 12/13/48		11/27/13		1,454,721		1,013,301
			$	60,666,278	$	48,097,920

1	Security is in default of interest and/or principal obligations.
2	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
3	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Consolidated Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 12 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s consolidated financial statements.

102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. 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 | 103

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

104 | 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 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
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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

Name, Address* and Year of Birth	Position(s) Held with 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, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

108 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
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); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

110 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Floating Rate Strategies Fund

GuggenheimInvestments.com FR-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
FLOATING RATE STRATEGIES FUND	10
NOTES TO FINANCIAL STATEMENTS	41
OTHER INFORMATION	58
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	59
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	66

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the semi-annual period ended March 31, 2021.

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,

Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Floating Rate Strategies Fund may not be suitable for all investors. ● Investments in floating rate senior secured syndicated bank loans and other floating rate securities involve special types of risks, including credit rate risk, interest rate risk, liquidity risk and prepayment risk. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the yield on the two-year U.S. Treasury Note rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year U.S. Treasury Note climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year U.S. Treasury Note and 10-year U.S. Treasury Note widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which the Federal Reserve (the “Fed”) regards as a transitory, short-term phenomenon. Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2021

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point – one basis point is equal to 0.01%.

*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.

Credit Suisse Leveraged Loan Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

ICE 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

6 | 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, 2020 and ending March 31, 2021.

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 | 7

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.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.08%	5.10%	$ 1,000.00	$ 1,051.00	$ 5.52
C-Class	1.83%	4.71%	1,000.00	1,047.10	9.34
P-Class	1.08%	5.09%	1,000.00	1,050.90	5.52
Institutional Class	0.84%	5.22%	1,000.00	1,052.20	4.30
R6-Class	0.84%	5.17%	1,000.00	1,051.70	4.30
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.08%	5.00%	$ 1,000.00	$ 1,019.55	$ 5.44
C-Class	1.83%	5.00%	1,000.00	1,015.81	9.20
P-Class	1.08%	5.00%	1,000.00	1,019.55	5.44
Institutional Class	0.84%	5.00%	1,000.00	1,020.74	4.23
R6-Class	0.84%	5.00%	1,000.00	1,020.74	4.23

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any.
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, 2020 to March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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.

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
Invesco Senior Loan ETF	3.8%
American Tire Distributors, Inc., 8.50%	2.3%
GTT Communications BV, 3.25%	1.4%
McGraw Hill LLC, 5.75%	1.1%
AI Aqua Zip Bidco Pty Ltd., 4.25%	1.0%
USI, Inc., 3.20%	1.0%
First Brands Group LLC	1.0%
Berry Global, Inc., 1.90%	1.0%
Power Solutions (Panther), 3.61%	1.0%
Cengage Learning Acquisitions, Inc., 5.25%	1.0%
Top Ten Total	14.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) March 31, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.0%**
AA	0.6%
A	0.1%
BBB	5.6%
BB	29.6%
B	45.3%
CCC	7.0%
CC	1.0%
NR2	1.5%
Other Instruments	9.3%
Total Investments	100.0%

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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.
**	Less than 0.1%.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (11/30/11)
A-Class Shares	5.10%	19.36%	3.80%	4.44%
A-Class Shares with sales charge‡	1.96%	15.77%	3.17%	3.89%
C-Class Shares	4.71%	18.49%	3.04%	3.66%
C-Class Shares with CDSC§	3.71%	17.49%	3.04%	3.66%
Institutional Class Shares	5.22%	19.63%	4.04%	4.69%
Credit Suisse Leveraged Loan Index	5.72%	20.77%	5.33%	4.88%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	5.09%	19.36%	3.80%	3.13%
Credit Suisse Leveraged Loan Index	5.72%	20.77%	5.33%	4.13%

	6 Month†	1 Year	Since Inception (03/13/19)
R6-Class Shares	5.17%	19.63%	3.48%
Credit Suisse Leveraged Loan Index	5.72%	20.77%	4.36%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 3.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 3.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS† - 0.1%
Energy - 0.1%
Unit Corp.*		51,278	$	626,617
Permian Production Partners LLC*,†††		401,481		40
Total Energy				626,657
Industrial - 0.0%
BP Holdco LLC*,†††,1		244,278		86,130
Vector Phoenix Holdings, LP*,†††		244,278		27,648
API Heat Transfer Parent LLC*,†††		2,902,566		290
Total Industrial				114,068
Consumer, Non-cyclical - 0.0%
Targus Group International, Inc.*,†††,1		12,773		27,336
Chef Holdings, Inc.*,†††		94		5,930
Total Consumer, Non-cyclical				33,266
Consumer Products - 0.0%
Fashion Holdings Intermediate Inc.*		291		7,275
Total Common Stocks
(Cost $2,031,630)				781,266
PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
API Heat Transfer Intermediate*		618		—
Total Preferred Stocks
(Cost $493,920)				—
EXCHANGE-TRADED FUNDS† - 3.8%
Invesco Senior Loan ETF		1,370,000		30,318,100
Total Exchange-Traded Funds
(Cost $29,146,173)				30,318,100
MONEY MARKET FUND† - 5.8%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%2		45,829,390		45,829,390
Total Money Market Fund
(Cost $45,829,390)				45,829,390
	Face Amount~
SENIOR FLOATING RATE INTERESTS††,5 - 89.3%
Industrial - 18.5%
Hillman Group, Inc.
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/30/25		4,819,242		4,810,953
due 02/24/28		4,280,802		4,255,845
Berry Global, Inc.
1.90% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		7,910,911		7,840,424
BWAY Holding Co.
3.44% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		7,754,995		7,580,508
Genesee & Wyoming, Inc.
2.20% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26		7,462,312		7,432,015
Alliance Laundry Systems LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27		7,331,625		7,314,029

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
STS Operating, Inc. (SunSource)
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		7,504,637	$	7,290,454
USIC Holding, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 12/08/23		6,867,250		6,824,329
LTI Holdings, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25		6,936,517		6,822,342
Titan Acquisition Ltd. (Husky)
3.27% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		6,923,736		6,773,698
TransDigm, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25	��	3,572,864		3,495,440
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		2,937,437		2,874,722
Cushman & Wakefield US Borrower LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		6,293,216		6,158,164
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		5,700,000		6,050,037
Duran Group Holding GMBH
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 03/29/24	EUR	3,919,666		4,498,562
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 12/20/24†††	EUR	1,276,721		1,465,280
Altra Industrial Motion Corp.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/01/25		5,987,320		5,937,924
Park River Holdings, Inc.
4.00% (2 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		5,850,000		5,809,810
VC GB Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24†††		5,539,054		5,504,435
Gardner Denver, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		5,000,000		4,931,250
Reynolds Group Holdings, Inc.
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26		4,942,613		4,883,301

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Charter Nex US Holdings, Inc.
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/01/27		4,700,000	$	4,705,875
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		4,650,750		4,595,546
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27		4,000,000		3,970,640
DG Investment Intermediate Holdings 2, Inc.
due 03/17/28		3,220,000		3,201,904
Ravago Holdings America, Inc.
2.61% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/04/28		2,850,000		2,835,750
YAK MAT (YAK ACCESS LLC)
10.19% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		2,550,000		2,066,571
Vertical (TK Elevator)
4.48% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/30/27		1,890,512		1,893,348
SkyMiles IP Limited
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		1,664,359		1,745,913
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,3		3,047,720		1,295,281
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,3		560,058		420,044
TAMKO Building Products, Inc.
due 05/29/26		1,200,000		1,193,256
Total Industrial				146,477,650
Consumer, Non-cyclical - 16.2%
AI Aqua Zip Bidco Pty Ltd.
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/13/23		8,088,457		8,073,332
Triton Water Holdings, Inc.
due 03/16/28		7,800,000		7,763,418
Bombardier Recreational Products, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		7,495,466		7,402,972

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		7,431,375	$	7,317,229
Dole Food Company, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 04/05/24		6,801,987		6,795,389
Froneri US, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		6,848,250		6,749,293
Aramark Services, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25		6,400,000		6,324,032
US Foods, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23		5,922,280		5,838,361
Diamond (BC) BV
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24		3,948,980		3,926,352
3.25% (1 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 09/06/24		EUR 1,578,591		1,847,607
Springs Window Fashions
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25		4,324,645		4,301,205
8.61% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		1,350,000		1,343,250
Recess Holdings, Inc.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		5,608,126		5,540,829
Weber-Stephen Products LLC
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27		5,037,375		5,031,078
DaVita, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26		4,974,811		4,942,674
Hayward Industries, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24		4,883,186		4,874,054
IQVIA Holdings, Inc.
1.95% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25		4,854,480		4,822,100
Cidron New Bidco Ltd.
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25		EUR 4,125,000		4,788,637
Grifols Worldwide Operations USA, Inc.
2.08% (1 Week USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27		3,519,133		3,477,959

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25		EUR 3,000,000	$	3,448,347
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		3,250,000		3,228,063
Option Care Health, Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		3,191,919		3,177,971
Energizer Holdings, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		2,850,000		2,834,553
Elanco Animal Health, Inc.
1.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		2,281,613		2,249,830
Arctic Glacier Group Holdings, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24		2,272,564		2,140,483
BCPE Eagle Buyer LLC
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 03/18/24		2,074,372		2,064,000
Endo Luxembourg Finance Company I SARL
due 03/11/28		1,920,000		1,898,400
Cambrex Corp.
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26		1,893,741		1,891,374
Valeant Pharmaceuticals International, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25		1,643,039		1,636,811
PPD, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 01/13/28		1,500,000		1,491,165
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		876,591		878,782
Total Consumer, Non-cyclical				128,099,550
Communications - 15.4%
GTT Communications BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/30/25		EUR 10,770,315		11,240,127

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
8.50% (1 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) (in-kind rate was 2.50%) due 12/28/213		1,566,875	$	1,588,419
McGraw Hill LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/01/24		8,869,099		8,850,651
Cengage Learning Acquisitions, Inc.
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/07/23		7,883,258		7,789,684
WMG Acquisition Corp.
2.23% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/12/28		7,250,000		7,215,997
UPC Financing Partnership
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 01/31/29		7,000,000		6,977,530
ProQuest, LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26		6,982,711		6,933,832
CSC Holdings, LLC
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25		6,887,299		6,785,436
Ziggo Financing Partnership
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		6,685,000		6,612,067
Zayo Group Holdings, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,648,468		6,590,161
Market Track LLC
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/05/24		6,891,086		6,580,987
Virgin Media Bristol LLC
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		6,116,233		6,056,477
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		5,606,376		5,587,371
GTT Communications, Inc.
2.86% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25		6,126,750		5,137,525
Nielsen Finance LLC
2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/04/23		5,018,381		5,008,194
SFR Group S.A.
3.79% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26		3,388,639		3,354,041
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25		1,658,206		1,624,147

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Titan US Finco LLC
4.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26		4,430,511	$	4,419,435
Xplornet Communications, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27		3,970,000		3,966,903
Telenet Financing USD LLC
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		4,000,000		3,946,000
Level 3 Financing, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		3,339,546		3,293,627
Radiate Holdco, LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		1,795,500		1,793,669
Total Communications				121,352,280
Consumer, Cyclical - 14.4%
American Tire Distributors, Inc.
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		18,840,233		18,377,140
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		2,017,146		1,983,116
First Brands Group LLC
due 03/19/27		7,900,000		7,890,125
Power Solutions (Panther)
3.61% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26		7,878,348		7,789,717
Zephyr Bidco Ltd.
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	5,265,000		7,152,361
IBC Capital Ltd.
3.94% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23		7,182,880		7,114,643
CHG Healthcare Services, Inc.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23		6,988,897		6,961,431
Navistar Inc.
3.62% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 11/06/24		6,920,977		6,919,247
Intrawest Resorts Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/24		6,707,949		6,586,401
Whatabrands, LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/26		6,493,682		6,446,798

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
PetSmart LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/11/28		6,350,000	$	6,335,395
EG Finco Ltd.
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25	EUR	3,350,120		3,841,874
4.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25		775,588		762,155
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		4,495,003		4,440,703
Mavis Tire Express Services Corp.
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/20/25		4,232,147		4,212,510
CNT Holdings I Corp.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27		3,800,000		3,789,322
Truck Hero, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 01/31/28		2,850,000		2,840,909
Alexander Mann
5.36% (6 Month GBP LIBOR + 5.25%, Rate Floor: 5.25%) due 06/16/25	GBP	1,540,000		1,999,106
Playtika Holding Corp.
due 03/13/28		2,000,000		1,987,500
Burlington Stores, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/18/24		2,000,000		1,981,660
American Trailer World Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28		1,600,000		1,587,008
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28		1,400,000		1,405,838
Belk, Inc.
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 07/31/25†††		516,492		515,201
SHO Holding I Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/29/24†††		567,571		505,138
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24†††		9,357		8,328
Total Consumer, Cyclical				113,433,626
Financial - 10.8%
USI, Inc.
3.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		8,030,260		7,934,218
Aretec Group, Inc.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25		7,673,375	$	7,656,570
AmWINS Group, Inc.
3.00% (1 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/19/28		7,481,250		7,420,502
Jane Street Group LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		7,381,500		7,296,170
Alliant Holdings Intermediate LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		7,300,807		7,205,240
Focus Financial Partners LLC
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		6,776,187		6,697,922
HarbourVest Partners LP
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25		6,372,346		6,320,602
NFP Corp.
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		5,091,929		5,010,763
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		4,950,000		4,953,119
Jefferies Finance LLC
3.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/03/26		4,617,750		4,572,727
Citadel Securities, LP
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		4,500,000		4,447,485
Virtu Financial, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/01/26		4,320,000		4,304,750
Ryan Specialty Group LLC
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/01/27		3,582,000		3,576,018
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27		2,586,967		2,586,554
Nexus Buyer LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		2,600,000		2,585,388
AlixPartners, LLP
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		2,400,000		2,389,656
Total Financial				84,957,684

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Technology - 8.3%
WEX, Inc.
due 03/19/28		7,800,000	$	7,770,750
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/26		4,604,771		4,582,254
Informatica LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27		7,128,671		7,068,077
Cologix Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 03/20/24		5,039,389		5,027,697
Misys Ltd.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		4,708,988		4,610,288
Emerald TopCo, Inc. (Press Ganey)
3.71% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		4,477,273		4,434,739
Aspect Software, Inc.
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24		4,445,131		4,429,573
Verscend Holding Corp.
due 08/27/25		4,390,000		4,385,039
Project Ruby Ultimate Parent Corp.
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		3,500,000		3,483,970
Brave Parent Holdings, Inc.
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25		3,168,546		3,165,916
ThoughtWorks, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/19/28		3,000,000		2,990,010
Boxer Parent Co., Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		2,985,896		2,970,967
RealPage, Inc.
due 02/18/28		2,400,000		2,387,664
Sabre GLBL, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		2,292,162		2,260,187
Peraton Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		2,173,986		2,172,182
EXC Holdings III Corp.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24		1,959,188		1,954,172

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
TIBCO Software, Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26		1,790,977	$	1,765,796
Total Technology				65,459,281
Basic Materials - 4.7%
Messer Industries USA, Inc.
2.70% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26		7,025,591		6,963,274
Arch Coal, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 03/07/24		6,595,516		6,133,830
PQ Corp.
2.46% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 02/08/27		4,601,166		4,562,838
Illuminate Buyer LLC
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		3,591,000		3,571,537
GrafTech Finance, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/12/25		3,516,849		3,512,453
TricorBraun Holdings, Inc.
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		2,755,356		2,726,645
INEOS Ltd.
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26		2,600,000		2,590,250
HB Fuller Co.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24		2,438,212		2,426,631
Alpha 3 BV (Atotech)
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/05/28		1,800,000		1,793,250
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		1,650,000		1,648,631
Trinseo Materials Operating S.C.A.
due 03/17/28		1,600,000		1,582,000
Total Basic Materials				37,511,339
Energy - 0.5%
Penn Virginia Holding Corp.
9.25% (1 Month USD LIBOR + 8.25%, Rate Floor: 9.25%) due 09/30/24†††		4,098,800		3,945,095
Permian Production Partners LLC
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/23/25†††,3		2,657,939		318,953
Total Energy				4,264,048

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Utilities - 0.5%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		3,960,075	$	3,971,638
Total Senior Floating Rate Interests
(Cost $714,355,424)				705,527,096
CORPORATE BONDS†† - 2.1%
Consumer, Non-cyclical - 0.8%
Nathan’s Famous, Inc.
6.63% due 11/01/254		4,275,000		4,381,875
HCA, Inc.
4.50% due 02/15/27		1,500,000		1,681,657
Total Consumer, Non-cyclical				6,063,532
Energy - 0.6%
Sabine Pass Liquefaction LLC
5.63% due 04/15/23		4,200,000		4,554,464
Communications - 0.5%
Ziggo BV
5.50% due 01/15/274		3,950,000		4,112,937
Industrial - 0.1%
Grinding Media, Inc. / MC Grinding Media Canada, Inc.
7.38% due 12/15/234		750,000		761,250
Consumer, Cyclical - 0.1%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		630,000		630,000
Financial - 0.0%
Lincoln Financing SARL
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/244,5	EUR	350,000		409,530
Basic Materials - 0.0%
Mirabela Nickel Ltd.
due 06/24/196,7		1,279,819		51,193
Total Corporate Bonds
(Cost $16,827,789)				16,582,906
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 2.0%
Residential Mortgage Backed Securities - 2.0%
RALI Series Trust
2006-QO6, 0.47% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/465		11,443,339		3,839,351
2006-QO2, 0.55% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/465		460,034		140,995
Washington Mutual Mortgage Pass-Through Certificates Trust
2007-OA6, 1.07% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/475		3,102,785		2,589,762
American Home Mortgage Assets Trust
2006-4, 0.32% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/465		2,920,026		1,972,388
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.10% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/465		2,105,403		1,808,543

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Lehman XS Trust Series
2006-16N, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 11/25/465		1,706,058	$	1,605,377
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.26% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,5		1,366,079		1,302,964
Nomura Resecuritization Trust
2015-4R, 1.81% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,5		1,175,203		1,169,570
Alliance Bancorp Trust
2007-OA1, 0.35% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/375		511,324		474,884
Morgan Stanley Re-REMIC Trust
2010-R5, 1.55% due 06/26/364		418,000		384,260
GSAA Home Equity Trust
2007-7, 0.65% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/375		253,064		249,312
New Century Home Equity Loan Trust
2004-4, 0.90% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/355		199,849		196,391
Total Residential Mortgage Backed Securities				15,733,797
Total Collateralized Mortgage Obligations
(Cost $16,677,226)				15,733,797
ASSET-BACKED SECURITIES†† - 1.3%
Collateralized Loan Obligations - 1.3%
Jamestown CLO V Ltd.
2014-5A, 5.32% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 01/17/274,5		4,000,000		3,363,284
Treman Park CLO Ltd.
2015-1A, due 10/20/284,8		3,000,000		2,374,322
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/258		2,841,620		1,675,474
ACIS CLO Ltd.
2015-6A, 3.58% (3 Month USD LIBOR + 3.37%, Rate Floor: 0.00%) due 05/01/274,5		1,000,000		1,002,487
Newstar Commercial Loan Funding LLC
2017-1A, 3.69% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/274,5		1,000,000		998,328
Octagon Loan Funding Ltd.
2014-1A, due 11/18/314,8		2,071,948		768,390

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Halcyon Loan Advisors Funding Ltd.
2012-1A, 3.19% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 08/15/234,5		157,093	$	157,235
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,8		1,808,219		2,098
Total Collateralized Loan Obligations				10,341,618
Transport-Aircraft - 0.0%
Airplanes Pass Through Trust
2001-1A, due 03/15/19†††,6,7		896,492		90
Total Asset-Backed Securities
(Cost $12,530,562)				10,341,708
SENIOR FIXED RATE INTERESTS - 0.2%
CONSUMER, CYCLICAL - 0.2%
Belk, Inc.
13.00% (in-kind rate was 8.00%) due 07/31/25		2,109,920		1,350,349
Total Senior Fixed Rate Interests
(Cost $2,136,592)				1,350,349
Total Investments - 104.6%
(Cost $840,028,706)			$	826,464,612
Other Assets & Liabilities, net - (4.6)%				(36,272,405	)
Total Net Assets - 100.0%			$	790,192,207

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation
Barclays Bank plc		28,175,000		EUR		04/16/21	$	33,792,695	$	33,045,831	$	746,864
Goldman Sachs International		6,746,000		GBP		04/16/21		9,433,843		9,299,931		133,912
UBS AG		308,000		EUR		04/16/21		362,805		361,246		1,559
											$	882,335
Counterparty	Contracts to Buy		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Morgan Stanley Capital Services LLC		1,290,000		EUR		04/16/21	$	1,512,095	$	1,513,012	$	917
Barclays Bank plc		43,000		GBP		04/16/21		59,364		59,279		(85	)
											$	832

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	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	Affiliated issuer.
2	Rate indicated is the 7-day yield as of March 31, 2021.
3	Payment-in-kind security.
4	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 $21,818,530 (cost $22,812,841), or 2.8% of total net assets.
5	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
6	Security is in default of interest and/or principal obligations.
7	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 $51,283 (cost $1,883,995), or less than 0.1% of total net assets — See Note 9.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	633,892	$	—	$	147,374		$	781,266
Preferred Stocks		—		—		—	*		—
Exchange-Traded Funds		30,318,100		—		—			30,318,100
Money Market Fund		45,829,390		—		—			45,829,390
Senior Floating Rate Interests		—		691,549,341		13,977,755			705,527,096
Corporate Bonds		—		16,582,906		—			16,582,906
Collateralized Mortgage Obligations		—		15,733,797		—			15,733,797
Asset-Backed Securities		—		10,341,618		90			10,341,708
Senior Fixed Rate Interests		—		1,350,349		—			1,350,349
Forward Foreign Currency Exchange Contracts**		—		883,252		—			883,252
Total Assets	$	76,781,382	$	736,441,263	$	14,125,219		$	827,347,864

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	85	$	—	$	85
Unfunded Loan Commitments (Note 8)		—		—		41,149		41,149
Total Liabilities	$	—	$	85	$	41,149	$	41,234

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
FLOATING RATE STRATEGIES FUND

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

Category	Ending Balance at March 31, 2021		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	90	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Common Stocks		147,044	Enterprise Value	Valuation Multiple	2.9x-10.4x		5.1x
Common Stocks		330	Model Price	Liquidation Value	—		—
Senior Floating Rate Interests		10,032,660	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		3,945,095	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Total Assets	$	14,125,219
Liabilities:
Unfunded Loan Commitments	$	41,149	Model Price	Purchase Price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $897,158 transfer from Level 2 to Level 3 due to lack of observable inputs and had securities with a total market value of $10,819,164 transfer out of Level 3 to 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.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
FLOATING RATE STRATEGIES 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, 2021:

	Assets														Liabilities
	Common Stocks			Senior Floating Rate Interests			Asset-Backed Securities		Preferred Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	1,611,492		$	50,579,979		$	90	$	313,772		$	52,505,333		$	(8,851	)
Purchases/(Receipts)		—			1,736,797			—		—			1,736,797			(34,378	)
(Sales, maturities and paydowns)/Fundings		(1,210,400	)		(29,782,949	)		—		—			(30,993,349	)		1,739
Amortization of premiums/discounts		—			(20,141	)		—		—			(20,141	)		3,636
Total realized gains (losses) included in earnings		(581,562	)		(7,732,677	)		—		—			(8,314,239	)		(1,636	)
Total change in unrealized appreciation (depreciation) included in earnings		327,844			9,118,752			—		(313,772	)		9,132,824			(1,659	)
Transfers into Level 3		—			897,158			—		—			897,158			—
Transfers out of Level 3		—			(10,819,164	)		—		—			(10,819,164	)		—
Ending Balance	$	147,374		$	13,977,755		$	90	$	—		$	14,125,219		$	(41,149	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	327,844		$	736,245		$	—	$	(313,772	)	$	750,317		$	(1,659	)

Affiliated Transactions

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

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 03/31/21		Shares 03/31/21
Common Stocks
BP Holdco LLC*	$	86,130	$	—	$	—	$	—	$	—	$	86,130		244,278
Targus Group International, Inc.*		26,242		—		—		—		1,094		27,336		12,773
	$	112,372	$	—	$	—	$	—	$	1,094	$	113,466

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

FLOATING RATE STRATEGIES FUND

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $839,937,425)	$	826,351,146
Investments in affiliated issuers, at value (cost $91,281)		113,466
Foreign currency, at value (cost $157,485)		157,490
Cash		1,302,894
Unrealized appreciation on forward foreign currency exchange contracts		883,252
Prepaid expenses		171,941
Receivables:
Fund shares sold		1,676,226
Interest		1,606,716
Securities sold		1,271,911
Total assets		833,535,042
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $44,724)		41,149
Segregated cash due to broker		600,000
Unrealized depreciation on forward foreign currency exchange contracts		85
Payable for:
Securities purchased		39,709,550
Fund shares redeemed		1,284,726
Distributions to shareholders		442,435
Management fees		419,550
Transfer agent/maintenance fees		245,734
Distribution and service fees		85,269
Fund accounting/administration fees		47,051
Trustees’ fees*		29,243
Due to Investment Adviser		554
Miscellaneous		437,489
Total liabilities		43,342,835
Net assets	$	790,192,207
Net assets consist of:
Paid in capital	$	966,693,453
Total distributable earnings (loss)		(176,501,246	)
Net assets	$	790,192,207
A-Class:
Net assets	$	142,284,587
Capital shares outstanding		5,718,024
Net asset value per share	$	24.88
Maximum offering price per share (Net asset value divided by 97.00%)	$	25.65
C-Class:
Net assets	$	56,593,252
Capital shares outstanding		2,275,100
Net asset value per share	$	24.88
P-Class:
Net assets	$	31,134,623
Capital shares outstanding		1,250,655
Net asset value per share	$	24.89
Institutional Class:
Net assets	$	558,491,795
Capital shares outstanding		22,424,793
Net asset value per share	$	24.91
R6-Class:
Net assets	$	1,687,950
Capital shares outstanding		67,765
Net asset value per share	$	24.91

* 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 | 31

STATEMENT OF OPERATIONS (Unaudited)

FLOATING RATE STRATEGIES FUND

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	636,448
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $466)		13,901,878
Total investment income		14,538,326
Expenses:
Management fees		2,413,019
Distribution and service fees:
A-Class		173,560
C-Class		300,086
P-Class		40,589
Transfer agent/maintenance fees:
A-Class		31,736
C-Class		10,017
P-Class		2,064
Institutional Class		35,244
R6-Class		262
Line of credit fees		270,836
Fund accounting/administration fees		255,247
Professional fees		57,498
Custodian fees		9,848
Trustees’ fees*		910
Miscellaneous		102,304
Recoupment of previously waived fees:
Institutional Class		1,483
R6-Class		18
Total expenses		3,704,721
Less:
Expenses reimbursed by Adviser:
A-Class		(35,401	)
C-Class		(11,983	)
P-Class		(2,821	)
Institutional Class		(20,530	)
R6-Class		(223	)
Expenses waived by Adviser		(14,266	)
Earnings credits applied		(600	)
Total waived/reimbursed expenses		(85,824	)
Net expenses		3,618,897
Net investment income		10,919,429
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	(11,310,965	)
Forward foreign currency exchange contracts		(1,241,233	)
Foreign currency transactions		218,443
Net realized loss		(12,333,755	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		37,995,072
Investments in affiliated issuers		1,094
Forward foreign currency exchange contracts		503,011
Foreign currency translations		(98,908	)
Net change in unrealized appreciation (depreciation)		38,400,269
Net realized and unrealized gain		26,066,514
Net increase in net assets resulting from operations	$	36,985,943

* 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.

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	10,919,429		$	45,965,099
Net realized loss on investments		(12,333,755	)		(104,503,058	)
Net change in unrealized appreciation (depreciation) on investments		38,400,269			18,077,576
Net increase (decrease) in net assets resulting from operations		36,985,943			(40,460,383	)
Distributions:
Distributions to shareholders
A-Class		(2,373,133	)		(6,169,321	)
C-Class		(802,851	)		(2,453,764	)
P-Class		(554,710	)		(2,596,495	)
Institutional Class		(9,295,094	)		(26,336,056	)
R6-Class		(31,816	)		(172,212	)
Return of capital
A-Class		—			(1,369,063	)
C-Class		—			(544,527	)
P-Class		—			(576,200	)
Institutional Class		—			(5,844,358	)
R6-Class		—			(38,216	)
Total distributions to shareholders		(13,057,604	)		(46,100,212	)
Capital share transactions:
Proceeds from sale of shares
A-Class		16,539,899			59,076,348
C-Class		5,460,937			5,882,260
P-Class		4,105,521			14,359,269
Institutional Class		145,777,277			359,733,415
R6-Class		229,971			7,014,197
Distributions reinvested
A-Class		1,700,554			5,748,291
C-Class		663,027			2,302,265
P-Class		553,560			3,170,610
Institutional Class		7,396,763			25,268,085
R6-Class		31,639			210,428
Cost of shares redeemed
A-Class		(20,380,932	)		(145,876,744	)
C-Class		(15,427,490	)		(50,806,686	)
P-Class		(7,853,072	)		(113,381,867	)
Institutional Class		(115,346,592	)		(887,071,891	)
R6-Class		(260,190	)		(76,762,784	)
Net increase (decrease) from capital share transactions		23,190,872			(791,134,804	)
Net increase (decrease) in net assets		47,119,211			(877,695,399	)
Net assets:
Beginning of period		743,072,996			1,620,768,395
End of period	$	790,192,207		$	743,072,996

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		668,218			2,408,149
C-Class		220,517			239,412
P-Class		166,244			585,090
Institutional Class		5,895,285			14,856,298
R6-Class		9,562			280,578
Shares issued from reinvestment of distributions				��
A-Class		69,149			238,481
C-Class		26,983			95,750
P-Class		22,503			130,742
Institutional Class		300,452			1,046,088
R6-Class		1,285			8,507
Shares redeemed
A-Class		(827,458	)		(6,183,851	)
C-Class		(626,619	)		(2,141,265	)
P-Class		(318,371	)		(4,686,345	)
Institutional Class		(4,702,232	)		(37,182,772	)
R6-Class		(10,512	)		(3,060,616	)
Net increase (decrease) in shares		895,006			(33,365,754	)

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

FINANCIAL HIGHLIGHTS

FLOATING RATE STRATEGIES FUND

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

A-Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	24.08		$	25.23		$	25.92		$	26.01		$	25.92		$	25.88
Income (loss) from investment operations:
Net investment income (loss)b		.35			1.02			1.17			1.04			.93			.99
Net gain (loss) on investments (realized and unrealized)		.87			(1.16	)		(.67	)		(.07	)		.10			.12
Total from investment operations		1.22			(.14	)		.50			.97			1.03			1.11
Less distributions from:
Net investment income		(.42	)		(.83	)		(1.19	)		(1.06	)		(.94	)		(1.07	)
Return of capital		—			(.18	)		—			—			—			—
Total distributions		(.42	)		(1.01	)		(1.19	)		(1.06	)		(.94	)		(1.07	)
Net asset value, end of period	$	24.88		$	24.08		$	25.23		$	25.92		$	26.01		$	25.92
Total Returnc		5.10	%		(0.50	%)		2.01	%		3.80	%		4.03	%		4.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	142,285		$	139,857		$	235,752		$	431,562		$	534,911		$	452,611
Ratios to average net assets:
Net investment income (loss)		2.84	%		4.23	%		4.60	%		4.02	%		3.58	%		3.88	%
Total expensesd		1.13	%		1.25	%		1.23	%		1.15	%		1.13	%		1.20	%
Net expensese,f,g		1.08	%		1.10	%		1.07	%		1.03	%		1.04	%		1.03	%
Portfolio turnover rate		29	%		20	%		10	%		33	%		44	%		35	%

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

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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	24.07		$	25.22		$	25.91		$	26.00		$	25.91		$	25.87
Income (loss) from investment operations:
Net investment income (loss)b		.26			.84			.98			.85			.74			.80
Net gain (loss) on investments (realized and unrealized)		.88			(1.16	)		(.67	)		(.07	)		.10			.12
Total from investment operations		1.14			(.32	)		.31			.78			.84			.92
Less distributions from:
Net investment income		(.33	)		(.68	)		(1.00	)		(.87	)		(.75	)		(.88	)
Return of capital		—			(.15	)		—			—			—			—
Total distributions		(.33	)		(.83	)		(1.00	)		(.87	)		(.75	)		(.88	)
Net asset value, end of period	$	24.88		$	24.07		$	25.22		$	25.91		$	26.00		$	25.91
Total Returnc		4.71	%		(1.24	%)		1.26	%		3.03	%		3.26	%		3.68	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	56,593		$	63,891		$	112,481		$	172,906		$	204,008		$	197,296
Ratios to average net assets:
Net investment income (loss)		2.10	%		3.47	%		3.86	%		3.29	%		2.83	%		3.13	%
Total expensesd		1.87	%		1.96	%		1.93	%		1.87	%		1.83	%		1.93	%
Net expensese,f,g		1.83	%		1.85	%		1.82	%		1.78	%		1.79	%		1.78	%
Portfolio turnover rate		29	%		20	%		10	%		33	%		44	%		35	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

P-Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	24.09		$	25.24		$	25.93		$	26.02		$	25.93		$	25.89
Income (loss) from investment operations:
Net investment income (loss)b		.35			1.04			1.17			1.05			.94			.99
Net gain (loss) on investments (realized and unrealized)		.87			(1.18	)		(.67	)		(.08	)		.09			.12
Total from investment operations		1.22			(.14	)		.50			.97			1.03			1.11
Less distributions from:
Net investment income		(.42	)		(.83	)		(1.19	)		(1.06	)		(.94	)		(1.07	)
Return of capital		—			(.18	)		—			—			—			—
Total distributions		(.42	)		(1.01	)		(1.19	)		(1.06	)		(.94	)		(1.07	)
Net asset value, end of period	$	24.89		$	24.09		$	25.24		$	25.93		$	26.02		$	25.93
Total Return		5.09	%		(0.50	%)		2.01	%		3.80	%		4.03	%		4.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	31,135		$	33,251		$	135,036		$	385,306		$	360,829		$	124,974
Ratios to average net assets:
Net investment income (loss)		2.85	%		4.26	%		4.59	%		4.05	%		3.59	%		3.86	%
Total expensesd		1.10	%		1.37	%		1.22	%		1.15	%		1.16	%		1.06	%
Net expensese,f,g		1.08	%		1.10	%		1.07	%		1.03	%		1.03	%		1.03	%
Portfolio turnover rate		29	%		20	%		10	%		33	%		44	%		35	%

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

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

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

Institutional Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	24.10		$	25.25		$	25.95		$	26.03		$	25.94		$	25.90
Income (loss) from investment operations:
Net investment income (loss)b		.38			1.09			1.23			1.11			1.00			1.05
Net gain (loss) on investments (realized and unrealized)		.88			(1.17	)		(.68	)		(.07	)		.10			.12
Total from investment operations		1.26			(.08	)		.55			1.04			1.10			1.17
Less distributions from:
Net investment income		(.45	)		(.88	)		(1.25	)		(1.12	)		(1.01	)		(1.13	)
Return of capital		—			(.19	)		—			—			—			—
Total distributions		(.45	)		(1.07	)		(1.25	)		(1.12	)		(1.01	)		(1.13	)
Net asset value, end of period	$	24.91		$	24.10		$	25.25		$	25.95		$	26.03		$	25.94
Total Return		5.22	%		(0.26	%)		2.21	%		4.08	%		4.28	%		4.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	558,492		$	504,449		$	1,065,820		$	2,227,970		$	2,590,393		$	1,643,932
Ratios to average net assets:
Net investment income (loss)		3.07	%		4.48	%		4.83	%		4.28	%		3.83	%		4.11	%
Total expensesd		0.85	%		0.97	%		0.92	%		0.84	%		0.82	%		0.87	%
Net expensese,f,g		0.84	%		0.85	%		0.83	%		0.79	%		0.79	%		0.79	%
Portfolio turnover rate		29	%		20	%		10	%		33	%		44	%		35	%

38 | 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.

R6-Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019h
Per Share Data
Net asset value, beginning of period	$	24.10		$	25.25		$	25.38
Income (loss) from investment operations:
Net investment income (loss)b		.38			1.13			.69
Net gain (loss) on investments (realized and unrealized)		.88			(1.21	)		(.14	)
Total from investment operations		1.26			(.08	)		.55
Less distributions from:
Net investment income		(.45	)		(.88	)		(.68	)
Return of capital		—			(.19	)		—
Total distributions		(.45	)		(1.07	)		(.68	)
Net asset value, end of period	$	24.91		$	24.10		$	25.25
Total Return		5.17	%		(0.22	%)		2.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,688		$	1,625		$	71,680
Ratios to average net assets:
Net investment income (loss)		3.12	%		4.56	%		4.89	%
Total expensesd		0.87	%		0.86	%		0.85	%
Net expensese,f,g		0.84	%		0.84	%		0.84	%
Portfolio turnover rate		29	%		20	%		10	%

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

FINANCIAL HIGHLIGHTS (concluded)

FLOATING RATE STRATEGIES FUND

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	—	—	—
C-Class	—	0.00%*	—	0.01%	—
P-Class	—	0.00%*	—	—	—
Institutional Class	0.00%*	0.00%*	—	—	0.01%
R6-Class	0.00%*	0.00%*	0.00%*	N/A	N/A

* Less than 0.01%.

^g 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.01%	1.02%	1.02%	1.02%	1.02%	1.02%
C-Class	1.76%	1.77%	1.77%	1.77%	1.77%	1.77%
P-Class	1.01%	1.02%	1.02%	1.02%	1.02%	1.02%
Institutional Class	0.77%	0.78%	0.78%	0.78%	0.78%	0.78%
R6-Classh	0.77%	0.78%	0.78%	N/A	N/A	N/A

^h Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At March 31, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale 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 that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(b) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests 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 disclosed in the Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(c) Interest on When-Issued Securities

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 takes 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, it may sell such securities before the settlement date.

(d) Currency Translations

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

44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.

(e) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

(f) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(g) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(h) Distributions

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 U.S. federal income tax purposes.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(j) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

(k) Cash

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 0.06% at March 31, 2021.

(l) Indemnifications

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.

Note 2 – 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 amounts recognized on 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 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Fund utilized derivatives for the following purpose:

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 foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge	$	1,419,829	$	51,386,349

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, 2021:

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, 2021:

	Forward Foreign Currency Exchange Risk
Asset Derivative Investments Value	$	883,252
Liability Derivative Investments Value	$	85

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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, 2021:

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, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	(1,241,233	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	503,011

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

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.

Note 3 – 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

In order to better define its 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 over-the-counter (“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. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. 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 it believes to be of good standing and by monitoring the financial stability of those counterparties.

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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Forward foreign currency exchange contracts	$	883,252	$	—	$	883,252	$	(85	)	$	(600,000	)	$	283,167

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Forward foreign currency exchange contracts	$	85	$	—	$	85	$	(85	)	$	—	$	—

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	600,000

Note 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 5 – Investment Advisory Agreement and Other Agreements

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 up to $5 billion; and 0.60% of the average daily net assets in excess of $5 billion.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board 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 contract 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 or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		1.02	%		11/30/12		02/01/22
C-Class		1.77	%		11/30/12		02/01/22
P-Class		1.02	%		05/01/15		02/01/22
Institutional Class		0.78	%		11/30/12		02/01/22
R6-Class		0.78	%		03/13/19		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2021		2022		2023		2024		Fund Total
A-Class	$	572,780	$	478,648	$	272,258	$	38,086	$	1,361,772
C-Class		176,311		165,085		99,862		13,184		454,442
P-Class		442,125		423,256		205,400		3,451		1,074,232
Institutional Class		1,283,901		1,382,501		804,754		30,252		3,501,408
R6-Class		—		2,089		1,025		251		3,365

For the period ended March 31, 2021, GI recouped $1,501 from the Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 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 or federal excise 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
$	840,662,442	$	5,933,517	$	(19,248,180	)	$	(13,314,663	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 7 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	262,305,690	$	209,814,690

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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Loss
$	—	$	4,973,759	$	(53,430	)

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2021, were as follows:

Borrower	Maturity Date		Face Amount		Value
Aspect Software, Inc.		07/15/23	$	939,012	$	7,277
DG Investment Intermediate Holdings 2, Inc.		03/17/28		680,000		3,822
Hillman Group, Inc.		02/24/28		869,198		2,143
National Mentor Holdings, Inc.		02/18/28		350,000		1,722
Peraton Corp.		02/22/28		3,826,014		18,861
Southern Veterinary Partners LLC		10/05/27		121,212		1,128
TricorBraun Holdings, Inc.		03/03/28		594,644		6,196
			$	7,380,080	$	41,149

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 9 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Airplanes Pass Through Trust
2001-1A, due 03/15/191		12/27/11	$	723,184	$	90
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,160,811		51,193
			$	1,883,995	$	51,283

¹ Security is in default of interest and/or principal obligations.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit, with limits subject to applicable regulatory requirements around leverage, 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 11 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund’s 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59

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

Name, Address* and Year of Birth	Position(s) Held with 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
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with 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, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61

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

Name, Address* and Year of Birth	Position(s) Held with 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

62 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
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); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

64 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Total Return Bond Fund

GuggenheimInvestments.com TRB-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
TOTAL RETURN BOND FUND	9
NOTES TO FINANCIAL STATEMENTS	98
OTHER INFORMATION	125
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	126
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	133

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the semi-annual period ended March 31, 2021.

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,

Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Fund’s investments and shareholder’s investment in the Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

Total Return Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

In the six months ending March 31, 2021, the yield on the two-year Treasury rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year Treasury climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year Treasury and 10-year Treasury widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which we and the Federal Reserve (the “Fed”) regard as a transitory, short-term phenomenon. We expect easy financial conditions and low rates to support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

We upgraded our 2021 U.S. economic growth forecast during the first quarter from 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations in Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the labor market in the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Federal Reserve (Fed) rate hike from December 2023 to December 2022, while repricing the long-run terminal fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, we think these factors will prove to be short-lived, with

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^® ”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point - one basis point is equal to 0.01%.

*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.

ICE 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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2020 and ending March 31, 2021.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.79%	(0.99%)	$ 1,000.00	$ 990.10	$ 3.92
C-Class	1.54%	(1.36%)	1,000.00	986.40	7.63
P-Class	0.79%	(0.99%)	1,000.00	990.10	3.92
Institutional Class	0.50%	(0.85%)	1,000.00	991.50	2.48
R6-Class	0.50%	(0.85%)	1,000.00	991.50	2.48
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.79%	5.00%	$ 1,000.00	$ 1,020.99	$ 3.98
C-Class	1.54%	5.00%	1,000.00	1,017.25	7.75
P-Class	0.79%	5.00%	1,000.00	1,020.99	3.98
Institutional Class	0.50%	5.00%	1,000.00	1,022.44	2.52
R6-Class	0.50%	5.00%	1,000.00	1,022.44	2.52

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.78%, 1.52%, 0.78%, 0.49% and 0.49% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively.
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, 2020 to March 31, 2021.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) March 31, 2021

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	October 19, 2016

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	21.9%
AA	7.6%
A	15.5%
BBB	29.1%
BB	8.8%
B	6.5%
CCC	0.9%
CC	1.2%
C	0.1%
NR2	3.1%
Other Instruments	5.3%
Total Investments	100.0%

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes, 1.13%	3.1%
U.S. Treasury Notes, 0.25%	1.6%
U.S. Treasury Strips, due 02/15/50	1.5%
Pershing Square Tontine Holdings, Ltd. — Class A	0.9%
Delta Air Lines, Inc., 7.00%	0.7%
U.S. Treasury Bonds, due 02/15/51	0.6%
Station Place Securitization Trust, 1.01%, due 02/16/22	0.6%
Boeing Co., 5.15%	0.6%
SBA Tower Trust, 2.33%	0.6%
Sysco Corp., 5.95%	0.6%
Top Ten Total	10.8%
“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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (11/30/11)
A Class Shares	(0.99%)	7.41%	5.17%	5.44%
A-Class Shares with sales charge‡	(4.95%)	3.10%	4.31%	4.89%
C-Class Shares	(1.36%)	6.61%	4.39%	4.67%
C-Class Shares with CDSC§	(2.32%)	5.61%	4.39%	4.67%
Institutional Class Shares	(0.85%)	7.67%	5.49%	5.79%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	3.02%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	(0.99%)	7.41%	5.18%	4.50%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	3.10%	3.07%

	6 Month†	1 Year	Since Inception (10/19/16)
R6-Class Shares	(0.85%)	7.71%	4.86%
Bloomberg Barclays U.S. Aggregate Bond Index	(2.73%)	0.71%	2.97%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
TOTAL RETURN BOND FUND

	Shares		Value
COMMON STOCKS† - 1.1%
Financial - 1.1%
Pershing Square Tontine Holdings, Ltd. — Class A*		9,249,470	$	222,079,775
KKR Acquisition Holdings I Corp.*		3,797,870		38,016,679
RXR Acquisition Corp.*		834,256		8,217,421
MSD Acquisition Corp.*		626,308		6,357,026
Soaring Eagle Acquisition Corp.*		504,732		5,107,888
Colicity, Inc.*		162,939		1,645,684
Total Financial				281,424,473
Industrial - 0.0%
BP Holdco LLC*,†††,1		532		188
Vector Phoenix Holdings, LP*,†††		532		60
API Heat Transfer Parent LLC*,†††		42,528		4
Total Industrial				252
Total Common Stocks
(Cost $238,424,819)				281,424,725
PREFERRED STOCKS†† - 2.2%
Financial - 2.2%
First Republic Bank, 4.25%*		3,442,000		88,356,140
Wells Fargo & Co., 4.70%		2,184,000		55,582,800
Bank of America Corp., 4.13%		2,218,000		54,962,040
Public Storage, 4.63%		1,842,400		49,486,864
Equitable Holdings, Inc., 4.30%		1,839,200		45,814,472
Wells Fargo & Co., 4.38%		1,774,000		44,243,560
Bank of America Corp., 4.38%		1,552,000		38,800,000
W R Berkley Corp., 4.13% due 03/30/61		1,540,000		38,515,400
American Financial Group, Inc., 4.50% due 09/15/60		1,292,800		34,272,128
First Republic Bank, 4.13%		798,800		19,970,000
CNO Financial Group, Inc., 5.13% due 11/25/60		712,000		17,942,400
Assurant, Inc., 5.25% due 01/15/61*		558,400		14,362,048
Selective Insurance Group, Inc., 4.60%*		538,000		13,423,100
Public Storage, 4.13%		426,000		10,995,060
W R Berkley Corp., 4.25% due 09/30/60		376,400		9,586,908
Total Financial				536,312,920
Industrial - 0.0%
API Heat Transfer Intermediate*,†††		9		—
Total Preferred Stocks
(Cost $527,357,237)				536,312,920
WARRANTS† - 0.0%
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25		1,027,719		8,375,909
Total Warrants
(Cost $5,836,416)				8,375,909

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Shares		Value
MUTUAL FUNDS† - 0.3%
Guggenheim Strategy Fund II1		1,081,546	$	27,017,020
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,674,461		26,637,634
Guggenheim Strategy Fund III1		581,762		14,625,487
Total Mutual Funds
(Cost $68,126,790)				68,280,141
CLOSED-END FUNDS† - 0.1%
BlackRock MuniHoldings California Quality Fund, Inc.		614,871		9,253,808
BlackRock MuniYield California Quality Fund, Inc.		435,879		6,420,498
Total Closed-End Funds
(Cost $15,526,030)				15,674,306
MONEY MARKET FUND† - 1.7%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%2		403,274,507		403,274,507
Total Money Market Fund
(Cost $403,274,507)				403,274,507
	Face Amount~
CORPORATE BONDS†† - 48.6%
Financial - 18.7%
Wells Fargo & Co.
3.07% due 04/30/413		126,490,000		123,693,937
3.90%3,4		48,500,000		48,980,150
2.57% due 02/11/313		18,410,000		18,550,292
Citigroup, Inc.
3.88%3,4		86,450,000		86,046,278

2.57% due 06/03/313	72,390,000	72,281,064
4.00%3,4	26,450,000	26,707,888
American International Group, Inc.
3.40% due 06/30/30	78,220,000	83,087,114
4.38% due 06/30/50	65,480,000	74,522,593
2.50% due 06/30/25	2,370,000	2,485,701
Bank of America Corp.
2.59% due 04/29/313	100,240,000	99,907,509
2.68% due 06/19/413	43,300,000	40,452,715
0.75% (U.S. Secured Overnight Financing Rate + 0.73%, Rate Floor: 0.00%) due 10/24/245	1,660,000	1,667,636
Citizens Financial Group, Inc.
3.25% due 04/30/30	124,980,000	131,923,051
2.50% due 02/06/30	9,567,000	9,473,809
Charles Schwab Corp.
4.00%3,4	71,500,000	70,187,975
5.38%3,4	47,950,000	53,152,575
Nationwide Mutual Insurance Co.
4.35% due 04/30/506	116,750,000	122,196,395
Liberty Mutual Group, Inc.
4.30% due 02/01/616	94,150,000	84,615,976
3.95% due 05/15/606	33,870,000	34,116,554
Macquarie Bank Ltd.
3.62% due 06/03/306	93,835,000	95,862,671
3.05% due 03/03/363,6	16,000,000	15,309,871
Reliance Standard Life Global Funding II
2.75% due 05/07/256	96,010,000	100,758,666
JPMorgan Chase & Co.
2.96% due 05/13/313	29,530,000	30,033,557
4.49% due 03/24/313	25,750,000	29,648,614
2.52% due 04/22/313	24,520,000	24,364,116
3.11% due 04/22/413	16,439,000	16,314,850
Five Corners Funding Trust II
2.85% due 05/15/306	94,866,000	97,701,470

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Wilton RE Ltd.
6.00%†††,3,4,6		93,150,000	$	91,541,300
Markel Corp.
6.00%3,4		82,610,000		89,838,375
Reinsurance Group of America, Inc.
3.15% due 06/15/30		84,319,000		87,154,708
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		53,354,000		55,140,025
5.30% due 01/15/29		28,165,000		31,571,557
Equitable Holdings, Inc.
4.95%3,4		70,950,000		75,029,625
Lincoln National Corp.
3.40% due 01/15/31		49,200,000		52,359,861
4.38% due 06/15/50		18,680,000		20,866,046
Fidelity National Financial, Inc.
3.40% due 06/15/30		52,430,000		54,684,923
2.45% due 03/15/31		17,490,000		16,900,328
Intercontinental Exchange, Inc.
3.00% due 06/15/50		37,190,000		34,405,101
2.65% due 09/15/40		34,550,000		31,805,313
2.35% due 09/15/22		1,535,000		1,572,799
Fairfax Financial Holdings Ltd.
3.38% due 03/03/316		67,460,000		67,155,857
Pershing Square Holdings, Ltd.
3.25% due 11/15/306		68,200,000		66,689,449
Iron Mountain, Inc.
5.25% due 07/15/306		30,050,000		31,005,590
5.63% due 07/15/326		13,350,000		13,950,750
4.50% due 02/15/316		12,000,000		11,863,200
5.00% due 07/15/286		5,275,000		5,393,688
4.88% due 09/15/276		1,938,000		1,982,816
United Wholesale Mortgage LLC
5.50% due 04/15/296		38,750,000		38,701,563
5.50% due 11/15/256		20,100,000		20,954,250
Standard Chartered plc
4.64% due 04/01/313,6		51,325,000		58,214,639
1.32% due 10/14/233,6		1,080,000		1,086,858
Crown Castle International Corp.
2.90% due 04/01/41		41,150,000		37,692,234
3.30% due 07/01/30		17,657,000		18,434,729
Ares Finance Company II LLC
3.25% due 06/15/306		54,785,000		55,466,316
MetLife, Inc.
3.85%3,4		53,200,000		54,929,000
Host Hotels & Resorts, LP
3.50% due 09/15/30		54,518,000		54,547,384
OneAmerica Financial Partners, Inc.
4.25% due 10/15/506		54,430,000		52,358,050
NFP Corp.
6.88% due 08/15/286		25,475,000		26,458,335
7.00% due 05/15/256		23,600,000		25,311,000
Bank of New York Mellon Corp.
3.70%3,4		32,350,000		33,281,680
4.70%3,4		16,500,000		17,876,925
Prudential plc
3.13% due 04/14/30		48,440,000		51,059,444
Deloitte LLP
3.56% due 05/07/30†††		30,700,000		30,857,566
3.76% due 05/07/35†††		10,200,000		9,954,582
3.66% due 05/07/32†††		9,450,000		9,466,136
7.33% due 11/20/26†††		4,800,000		5,851,658
Teachers Insurance & Annuity Association of America
3.30% due 05/15/506		50,500,000		48,978,833
First American Financial Corp.
4.00% due 05/15/30		44,960,000		48,569,433

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Brookfield Finance, Inc.
3.50% due 03/30/51		37,420,000	$	35,548,459
4.70% due 09/20/47		10,925,000		12,424,550
Nippon Life Insurance Co.
2.75% due 01/21/513,6		50,350,000		47,769,563
Alleghany Corp.
3.63% due 05/15/30		43,920,000		47,324,653
LPL Holdings, Inc.
4.00% due 03/15/296		44,950,000		45,287,125
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
3.88% due 03/01/316		46,650,000		45,017,250
Arch Capital Group Ltd.
3.64% due 06/30/50		44,100,000		44,093,083
Aflac, Inc.
3.60% due 04/01/30		40,160,000		43,900,616
UBS Group AG
2.10% due 02/11/323,6		43,400,000		41,030,505
Jefferies Group LLC
2.75% due 10/15/32		40,440,000		39,513,302
6.50% due 01/20/43		720,000		918,014
Belrose Funding Trust
2.33% due 08/15/306		41,850,000		40,277,069
SBA Communications Corp.
3.13% due 02/01/296		35,500,000		34,120,825
3.88% due 02/15/27		5,425,000		5,545,435
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/506		37,950,000		37,000,629
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		37,760,000		36,313,170
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/286		32,700,000		35,356,875
KKR Group Finance Company VIII LLC
3.50% due 08/25/506		34,760,000		34,308,762
Hunt Companies, Inc.
5.25% due 04/15/296		31,500,000		31,500,000
PricewaterhouseCoopers LLP
3.43% due 09/13/30†††		31,500,000		31,361,302
Loews Corp.
3.20% due 05/15/30		29,538,000		31,220,077
KKR Group Finance Company VI LLC
3.75% due 07/01/296		26,978,000		29,798,361
Manulife Financial Corp.
2.48% due 05/19/27		27,800,000		28,814,398
Fifth Third Bancorp
2.55% due 05/05/27		27,190,000		28,271,344
AmFam Holdings, Inc.
2.81% due 03/11/316		27,550,000		27,311,870
Dyal Capital Partners III
4.40% due 06/15/40†††		26,750,000		27,027,611
Goldman Sachs Group, Inc.
3.50% due 04/01/25		22,500,000		24,368,133
0.57% (U.S. Secured Overnight Financing Rate + 0.54%, Rate Floor: 0.00%) due 11/17/235		1,660,000		1,658,246
Credit Suisse Group AG
4.19% due 04/01/313,6		23,500,000		25,546,689
Pershing Square Holdings Ltd.
5.50% due 07/15/226		21,300,000		22,343,361
Central Storage Safety Project Trust
4.82% due 02/01/387		20,500,000		21,805,814
Kennedy-Wilson, Inc.
4.75% due 03/01/29		21,400,000		21,667,500
Kemper Corp.
2.40% due 09/30/30		22,380,000		21,484,022
Allianz SE
3.50%3,4,6		20,850,000		21,162,750

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
National Australia Bank Ltd.
2.33% due 08/21/306		22,400,000	$	21,144,240
Raymond James Financial, Inc.
3.75% due 04/01/51		20,300,000		20,947,884
Alexandria Real Estate Equities, Inc.
4.90% due 12/15/30		17,450,000		20,598,972
Prudential Financial, Inc.
3.70% due 10/01/503		17,050,000		17,240,960
CNA Financial Corp.
2.05% due 08/15/30		18,150,000		17,239,037
QBE Insurance Group Ltd.
5.88%3,4,6		15,700,000		16,897,125
Australia & New Zealand Banking Group Ltd.
2.57% due 11/25/353,6		17,400,000		16,340,340
Kuvare US Holdings, Inc.
7.00% due 02/17/513,6		15,650,000		15,966,227
Weyerhaeuser Co.
4.00% due 04/15/30		14,424,000		15,933,493
Westpac Banking Corp.
2.96% due 11/16/40		16,600,000		15,403,622
CIT Group, Inc.
3.93% due 06/19/243		13,925,000		14,725,688
PartnerRe Finance B LLC
4.50% due 10/01/503		13,970,000		14,235,334
Apollo Management Holdings, LP
2.65% due 06/05/306		14,407,000		14,146,561
Visa, Inc.
2.00% due 08/15/50		17,383,000		14,024,760
W R Berkley Corp.
4.00% due 05/12/50		13,105,000		13,891,640
4.63% due 03/15/22		70,000		72,789
CNO Financial Group, Inc.
5.25% due 05/30/29		10,850,000		12,496,460
Nasdaq, Inc.
3.25% due 04/28/50		13,150,000		12,322,216
Protective Life Corp.
3.40% due 01/15/306		11,440,000		11,888,373
Brown & Brown, Inc.
2.38% due 03/15/31		11,960,000		11,489,591
Ameriprise Financial, Inc.
3.00% due 04/02/25		10,740,000		11,422,731
Aviation Capital Group LLC
2.88% due 01/20/226		10,691,000		10,845,761
New York Life Insurance Co.
3.75% due 05/15/506		9,300,000		9,760,837
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/256		8,050,000		9,198,252
American Equity Investment Life Holding Co.
5.00% due 06/15/27		8,074,000		8,967,093
Camden Property Trust
2.80% due 05/15/30		7,861,000		8,058,335
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/276		7,975,000		8,047,572
Hanover Insurance Group, Inc.
2.50% due 09/01/30		7,070,000		6,908,151
NFL Trust XI SPV
3.53% due 10/05/35†††		7,000,000		6,793,627
Brookfield Finance LLC
3.45% due 04/15/50		6,820,000		6,435,423
HS Wildcat LLC
3.83% due 12/31/50†††		5,000,000		4,696,177

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
KKR Group Finance Company III LLC
5.13% due 06/01/446		2,710,000	$	3,294,762
Atlas Mara Ltd.
8.00% due 03/20/21†††,7		6,600,000		3,199,680
Fort Knox Military Housing Privatization Project
5.82% due 02/15/526		1,891,027		2,088,436
0.45% (1 Month USD LIBOR + 0.34%) due 02/15/525,6		1,696,802		1,019,912
New York Life Global Funding
0.24% (U.S. Secured Overnight Financing Rate + 0.22%) due 02/02/235,6		2,070,000		2,068,570
Western Group Housing, LP
6.75% due 03/15/576		1,484,948		1,968,914
Assurant, Inc.
6.75% due 02/15/34		1,450,000		1,758,031
Transatlantic Holdings, Inc.
8.00% due 11/30/39		1,135,000		1,674,551
Societe Generale S.A.
1.49% due 12/14/263,6		1,650,000		1,620,860
BNP Paribas S.A.
1.32% due 01/13/273,6		1,640,000		1,603,193
Macquarie Group Ltd.
5.03% due 01/15/303,6		800,000		924,376
1.34% due 01/12/273,6		570,000		559,046
ING Groep N.V.
1.73% due 04/01/273		1,360,000		1,358,050
Mid-Atlantic Military Family Communities LLC
5.24% due 08/01/506		1,104,970		1,268,536
Janus Capital Group, Inc.
4.88% due 08/01/25		780,000		880,448
Atlantic Marine Corporations Communities LLC
5.37% due 12/01/506		770,775		806,503
Univest Financial Corp.
3.74% (3 Month USD LIBOR + 3.54%) due 03/30/255		805,000		801,560
Pacific Beacon LLC
5.51% due 07/15/366		500,000		573,577
Peachtree Corners Funding Trust
3.98% due 02/15/256		215,000		235,129
Sompo International Holdings Ltd.
4.70% due 10/15/22		140,000		148,316
Total Financial				4,572,088,037
Consumer, Non-cyclical - 7.8%
Sysco Corp.
5.95% due 04/01/30		109,590,000		137,004,993
6.60% due 04/01/40		1,440,000		2,004,671
Altria Group, Inc.
3.70% due 02/04/51		67,650,000		61,485,488
3.40% due 05/06/30		47,320,000		49,355,955
2.35% due 05/06/25		18,290,000		18,953,083
4.45% due 05/06/50		6,120,000		6,318,641
5.95% due 02/14/49		1,300,000		1,616,812
CoStar Group, Inc.
2.80% due 07/15/306		89,110,000		87,059,788
DaVita, Inc.
4.63% due 06/01/306		47,150,000		47,958,622
3.75% due 02/15/316		38,095,000		36,502,629
Centene Corp.
2.50% due 03/01/31		48,300,000		46,005,750
3.00% due 10/15/30		37,200,000		37,138,248
Constellation Brands, Inc.
2.88% due 05/01/30		59,320,000		60,569,675
3.75% due 05/01/50		14,760,000		15,314,021

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Quanta Services, Inc.
2.90% due 10/01/30		71,770,000	$	72,778,798
BAT Capital Corp.
3.98% due 09/25/50		41,450,000		38,814,763
4.70% due 04/02/27		22,390,000		25,190,681
3.22% due 09/06/26		1,800,000		1,900,239
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		60,550,000		64,690,852
Kraft Heinz Foods Co.
4.88% due 10/01/49		14,525,000		16,246,273
4.38% due 06/01/46		13,090,000		13,647,621
4.25% due 03/01/31		10,850,000		11,948,956
5.50% due 06/01/50		9,250,000		11,360,505
5.00% due 06/04/42		7,850,000		8,813,644
5.20% due 07/15/45		1,930,000		2,226,584
Royalty Pharma plc
3.55% due 09/02/506		39,710,000		37,724,154
2.20% due 09/02/306		20,800,000		19,834,360
Alcon Finance Corp.
2.60% due 05/27/306		50,650,000		50,754,057
RELX Capital, Inc.
3.00% due 05/22/30		47,873,000		49,616,998
US Foods, Inc.
6.25% due 04/15/256		24,050,000		25,781,600
4.75% due 02/15/296		18,750,000		18,750,000
Nielsen Finance LLC / Nielsen Finance Co.
5.63% due 10/01/286		38,800,000		40,788,500
Keurig Dr Pepper, Inc.
3.20% due 05/01/30		36,818,000		38,931,368
Anheuser-Busch InBev Worldwide, Inc.
3.50% due 06/01/30		35,920,000		38,813,122
Post Holdings, Inc.
4.50% due 09/15/316		23,850,000		23,587,650
4.63% due 04/15/306		9,025,000		9,042,148
Boston Scientific Corp.
2.65% due 06/01/30		32,010,000		32,258,661
Becton Dickinson and Co.
2.82% due 05/20/30		29,400,000		30,118,648
Emory University
2.97% due 09/01/50		30,000,000		29,583,911
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		32,350,000		28,188,505
California Institute of Technology
3.65% due 09/01/19		25,760,000		25,964,499
TriNet Group, Inc.
3.50% due 03/01/296		26,450,000		25,873,390
University of Chicago
3.00% due 10/01/52		18,500,000		18,131,653
2.76% due 04/01/45		8,000,000		7,678,855
Global Payments, Inc.
2.90% due 05/15/30		24,810,000		25,209,802
Quest Diagnostics, Inc.
2.80% due 06/30/31		23,530,000		23,908,370
CPI CG, Inc.
8.63% due 03/15/266		22,500,000		23,575,275
Duke University
2.83% due 10/01/55		23,400,000		22,581,978
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/316		22,650,000		22,079,446
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/506		23,030,000		21,717,904
Universal Health Services, Inc.
2.65% due 10/15/306		19,660,000		18,982,025
Transurban Finance Company Pty Ltd.
2.45% due 03/16/316		19,400,000		18,829,772
Thermo Fisher Scientific, Inc.
4.50% due 03/25/30		16,100,000		18,731,878
Hologic, Inc.
3.25% due 02/15/296		18,850,000		18,614,375
AMN Healthcare, Inc.
4.63% due 10/01/276		10,800,000		11,043,000
4.00% due 04/15/296		7,200,000		7,164,000
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28		EUR 13,750,000		16,866,323

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Avantor Funding, Inc.
4.63% due 07/15/286		15,900,000	$	16,605,324
Smithfield Foods, Inc.
3.00% due 10/15/306		15,760,000		15,673,162
Sabre GLBL, Inc.
7.38% due 09/01/256		12,825,000		13,976,044
Charles River Laboratories International, Inc.
3.75% due 03/15/296		13,300,000		13,321,014
Spectrum Brands, Inc.
3.88% due 03/15/316		13,475,000		13,171,813
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/276		13,450,000		13,046,500
Gartner, Inc.
3.75% due 10/01/306		9,830,000		9,731,700
4.50% due 07/01/286		2,375,000		2,449,219
Moody’s Corp.
3.25% due 05/20/50		11,180,000		10,816,793
4.50% due 09/01/22		720,000		754,147
Service Corporation International
3.38% due 08/15/30		11,225,000		10,956,161
Central Garden & Pet Co.
4.13% due 10/15/30		8,975,000		9,064,750
OhioHealth Corp.
3.04% due 11/15/50		9,100,000		8,998,731
Johns Hopkins University
2.81% due 01/01/60		8,750,000		8,141,181
Catalent Pharma Solutions, Inc.
3.13% due 02/15/296		8,075,000		7,752,000
Tenet Healthcare Corp.
4.63% due 06/15/286		7,156,000		7,334,757
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/296		7,150,000		7,223,073
Syneos Health, Inc.
3.63% due 01/15/296		7,000,000		6,807,500
Children’s Hospital Corp.
2.59% due 02/01/50		7,100,000		6,370,674
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
5.00% due 12/31/266		6,325,000		6,325,000
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/256		4,596,000		4,779,840
5.00% due 06/15/286		1,300,000		1,353,950
Children’s Health System of Texas
2.51% due 08/15/50		6,500,000		5,697,974
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		3,775,000		3,822,837
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		3,500,000		3,341,341
California Endowment
2.50% due 04/01/51		3,100,000		2,841,745
Lamb Weston Holdings, Inc.
4.88% due 11/01/266		2,100,000		2,173,500
Molina Healthcare, Inc.
4.38% due 06/15/286		2,000,000		2,057,920
McKesson Corp.
4.88% due 03/15/44		1,650,000		1,942,009
Sotheby’s
7.38% due 10/15/276		1,784,000		1,929,146
Acadia Healthcare Company, Inc.
5.00% due 04/15/296		1,800,000		1,867,896
HCA, Inc.
3.50% due 09/01/30		1,600,000		1,618,472
Cardinal Health, Inc.
4.50% due 11/15/44		1,450,000		1,558,045
Mondelez International Holdings Netherlands BV
2.13% due 09/19/226		1,440,000		1,475,401

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Trustees of the University of Pennsylvania
4.01% due 08/15/47		1,250,000	$	1,425,800
AmerisourceBergen Corp.
0.74% due 03/15/23		810,000		810,679
Verisk Analytics, Inc.
4.13% due 09/12/22		696,000		729,787
Flowers Foods, Inc.
3.50% due 10/01/26		500,000		541,460
Total Consumer, Non-cyclical				1,904,120,864
Industrial - 6.4%
Boeing Co.
5.15% due 05/01/30		125,140,000		143,927,219
5.71% due 05/01/40		68,110,000		83,171,672
5.81% due 05/01/50		53,550,000		67,526,949
5.04% due 05/01/27		33,850,000		38,572,005
3.63% due 02/01/31		21,400,000		22,372,632
1.17% due 02/04/23		1,650,000		1,658,361
FedEx Corp.
4.25% due 05/15/30		74,049,000		84,026,337
3.80% due 05/15/25		11,750,000		12,909,871
WRKCo, Inc.
3.00% due 06/15/33		82,155,000		83,163,969
Sonoco Products Co.
3.13% due 05/01/30		73,763,000		76,118,228
Textron, Inc.
2.45% due 03/15/31		52,250,000		50,560,050
3.00% due 06/01/30		23,395,000		23,746,466
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		70,450,000		67,561,309
Snap-on, Inc.
3.10% due 05/01/50		59,779,000		59,517,420
Vontier Corp.
2.95% due 04/01/316		33,850,000		33,024,060
2.40% due 04/01/286		20,100,000		19,748,049
BAE Systems plc
3.40% due 04/15/306		42,797,000		45,396,516
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		44,050,000		41,678,901
Owens Corning
3.88% due 06/01/30		36,890,000		40,198,830
Dyal Capital Partners IV
3.65% due 02/22/41†††		41,800,000		39,823,031
Standard Industries, Inc.
4.38% due 07/15/306		13,600,000		13,722,400
3.38% due 01/15/316		14,475,000		13,715,063
5.00% due 02/15/276		7,300,000		7,610,250
Carrier Global Corp.
2.70% due 02/15/31		33,600,000		33,564,167
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/266		31,850,000		32,695,617
GATX Corp.
4.00% due 06/30/30		28,835,000		31,734,442
4.70% due 04/01/29		400,000		459,906
CNH Industrial Capital LLC
1.88% due 01/15/26		27,960,000		28,291,396
Flowserve Corp.
3.50% due 10/01/30		27,340,000		27,799,773
Ball Corp.
2.88% due 08/15/30		28,585,000		27,534,501
Vulcan Materials Co.
3.50% due 06/01/30		23,400,000		25,073,484
Ryder System, Inc.
3.35% due 09/01/25		22,380,000		24,161,071
IDEX Corp.
3.00% due 05/01/30		22,300,000		22,969,715
NFL Ventures, LP
3.02% due 04/15/35†††		20,000,000		19,938,621
FLIR Systems, Inc.
2.50% due 08/01/30		19,920,000		19,487,960
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		18,580,000		18,453,191

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Boxer Parent Co., Inc.
6.50% due 10/02/25	EUR	13,500,000	$	16,846,506
Graphic Packaging International LLC
3.50% due 03/01/296		16,750,000		16,289,375
Howmet Aerospace, Inc.
6.88% due 05/01/25		7,083,000		8,207,426
5.90% due 02/01/27		3,950,000		4,483,250
6.75% due 01/15/28		1,988,000		2,345,840
5.95% due 02/01/37		475,000		574,299
Vertical US Newco, Inc.
5.25% due 07/15/276		14,157,000		14,820,609
TFI International, Inc.
3.35% due 01/05/33†††		14,000,000		13,143,847
Hardwood Funding LLC
3.19% due 06/07/30†††		8,000,000		8,020,985
2.83% due 06/07/31†††		2,000,000		1,937,081
3.13% due 06/07/36†††		1,000,000		964,787
National Basketball Association
2.51% due 12/16/24†††		10,500,000		10,741,233
Xylem, Inc.
2.25% due 01/30/31		10,000,000		9,804,423
Airbus SE
3.95% due 04/10/476		9,000,000		9,501,632
PowerTeam Services LLC
9.03% due 12/04/256		8,490,000		9,426,447
Hillenbrand, Inc.
3.75% due 03/01/31		7,650,000		7,489,656
Virgin Media
4.88% due 07/15/28	GBP	5,000,000		7,097,434
Great Lakes Dredge & Dock Corp.
8.00% due 05/15/22		6,800,000		6,859,500
American Woodmark Corp.
4.88% due 03/15/266		4,599,000		4,716,274
Oshkosh Corp.
3.10% due 03/01/30		3,880,000		3,991,949
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/296		3,750,000		3,740,625
Berry Global, Inc.
1.57% due 01/15/266		2,750,000		2,707,485
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/277		1,791,970		1,604,154
Adevinta ASA
3.00% due 11/15/27	EUR	1,300,000		1,576,951
Burlington Northern Santa Fe LLC
5.40% due 06/01/41		1,180,000		1,524,582
New Enterprise Stone & Lime Company, Inc.
6.25% due 03/15/266		1,350,000		1,383,750
Crown Americas LLC / Crown Americas Capital Corporation VI
4.75% due 02/01/26		1,150,000		1,192,550
TransDigm, Inc.
6.25% due 03/15/266		1,075,000		1,139,393
Tennant Co.
5.63% due 05/01/25		975,000		1,004,250
JELD-WEN, Inc.
6.25% due 05/15/256		300,000		318,750
Hexcel Corp.
4.20% due 02/15/27		180,000		188,572
Hillman Group, Inc.
6.38% due 07/15/226		40,000		40,050
Total Industrial				1,555,597,097

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Consumer, Cyclical - 4.9%
Marriott International, Inc.
4.63% due 06/15/30		43,685,000	$	48,837,933
3.50% due 10/15/32		45,690,000		47,203,946
2.85% due 04/15/31		43,490,000		42,736,503
5.75% due 05/01/25		29,691,000		34,058,302
Delta Air Lines, Inc.
7.00% due 05/01/256		136,400,000		157,072,363
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		72,535,000		73,307,710
3.20% due 04/15/30		33,931,000		35,211,796
4.65% due 06/01/46		1,490,000		1,588,360
Hyatt Hotels Corp.
5.38% due 04/23/25		26,900,000		30,153,499
5.75% due 04/23/30		24,745,000		28,884,406
VF Corp.
2.95% due 04/23/30		52,243,000		54,069,917
Hilton Domestic Operating Company, Inc.
3.75% due 05/01/296		44,400,000		43,956,000
4.00% due 05/01/316		5,750,000		5,750,000
3.63% due 02/15/326		1,900,000		1,844,140
5.38% due 05/01/256		1,744,000		1,838,176
Choice Hotels International, Inc.
3.70% due 01/15/31		45,900,000		48,261,096
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/256		45,200,000		48,131,524
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/306		39,300,000		37,924,500
3.88% due 01/15/286		9,200,000		9,298,808
Ferguson Finance plc
3.25% due 06/02/306		41,430,000		43,583,125
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/276		38,950,000		42,650,250
BorgWarner, Inc.
2.65% due 07/01/27		34,970,000		36,291,066
WMG Acquisition Corp.
3.00% due 02/15/316		28,050,000		26,655,915
3.88% due 07/15/306		7,560,000		7,632,916
Lowe’s Companies, Inc.
4.50% due 04/15/30		29,315,000		33,792,488
Whirlpool Corp.
4.60% due 05/15/50		21,920,000		25,127,637
Aramark Services, Inc.
6.38% due 05/01/256		21,850,000		23,161,000
5.00% due 02/01/286		1,525,000		1,582,569
Starbucks Corp.
2.55% due 11/15/30		19,416,000		19,440,138
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		9,498,668		9,587,854
3.20% due 06/15/28		5,504,600		5,479,802
3.00% due 10/15/28		4,261,325		4,293,739
Yum! Brands, Inc.
4.63% due 01/31/32		18,250,000		18,645,386
Scotts Miracle-Gro Co.
4.00% due 04/01/316		18,750,000		18,487,500
Tempur Sealy International, Inc.
4.00% due 04/15/296		14,400,000		14,328,000
5.50% due 06/15/26		3,600,000		3,758,400
Allison Transmission, Inc.
3.75% due 01/30/316		12,500,000		12,109,375
Dollar General Corp.
3.50% due 04/03/30		10,650,000		11,461,324
Levi Strauss & Co.
3.50% due 03/01/316		11,100,000		10,711,500
Cedar Fair, LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC
5.50% due 05/01/256		9,900,000		10,403,910
British Airways Class A Pass Through Trust
4.25% due 11/15/326		9,614,573		10,068,065

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Williams Scotsman International, Inc.
4.63% due 08/15/286		6,775,000	$	6,893,562
Six Flags Theme Parks, Inc.
7.00% due 07/01/256		5,990,000		6,482,498
Hanesbrands, Inc.
5.38% due 05/15/256		6,095,000		6,449,272
Smithsonian Institution
2.65% due 09/01/39		5,000,000		4,762,197
PetSmart Incorporated / PetSmart Finance Corp.
4.75% due 02/15/286		4,550,000		4,662,886
Performance Food Group, Inc.
6.88% due 05/01/256		4,074,000		4,348,995
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/286		3,800,000		4,130,124
JB Poindexter & Company, Inc.
7.13% due 04/15/266		2,850,000		3,010,313
HP Communities LLC
5.86% due 09/15/536		1,420,000		1,661,450
Lear Corp.
4.25% due 05/15/29		1,450,000		1,605,479
Hasbro, Inc.
3.90% due 11/19/29		1,480,000		1,590,664
JetBlue Class A Pass Through Trust
4.00% due 11/15/32		150,000		161,713
Total Consumer, Cyclical				1,185,140,091
Communications - 4.0%
ViacomCBS, Inc.
4.95% due 01/15/31		69,401,000		82,035,610
4.95% due 05/19/50		39,600,000		46,285,911
4.75% due 05/15/25		36,350,000		41,095,221
2.90% due 01/15/27		6,570,000		6,897,593
5.85% due 09/01/43		1,260,000		1,616,034
T-Mobile USA, Inc.
3.88% due 04/15/306		65,805,000		71,709,683
3.50% due 04/15/31		28,000,000		28,253,400
2.63% due 04/15/26		13,850,000		14,092,375
2.88% due 02/15/31		7,250,000		7,007,125
Level 3 Financing, Inc.
4.25% due 07/01/286		41,950,000		42,424,455
3.63% due 01/15/296		36,820,000		35,669,375
3.88% due 11/15/296		20,300,000		21,391,125
3.75% due 07/15/296		13,950,000		13,652,167
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		71,850,000		71,037,626
3.90% due 06/01/52		21,650,000		20,732,345
3.85% due 04/01/61		1,000,000		902,497
AT&T, Inc.
2.75% due 06/01/31		48,660,000		48,422,161
2.30% due 06/01/27		6,000,000		6,128,746
Booking Holdings, Inc.
4.63% due 04/13/30		30,557,000		35,571,195
4.50% due 04/13/27		11,700,000		13,569,003
Virgin Media Secured Finance plc
4.50% due 08/15/306		35,400,000		35,709,750
5.50% due 08/15/266		1,200,000		1,245,126
Walt Disney Co.
3.80% due 05/13/60		31,990,000		35,080,201
CSC Holdings LLC
3.38% due 02/15/316		14,175,000		13,359,937
5.50% due 05/15/266		6,861,000		7,073,691
4.13% due 12/01/306		5,741,000		5,702,420
6.75% due 11/15/21		1,800,000		1,847,250
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/326		18,275,000		18,503,437
4.25% due 02/01/316		9,025,000		9,045,036
LCPR Senior Secured Financing DAC
5.13% due 07/15/296		17,900,000		18,215,398
6.75% due 10/15/276		5,633,000		6,005,623
Sirius XM Radio, Inc.
4.13% due 07/01/306		21,910,000		21,935,196

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
5.38% due 07/15/266		1,625,000	$	1,677,812
Fox Corp.
3.50% due 04/08/30		14,521,000		15,438,462
3.05% due 04/07/25		7,100,000		7,548,971
Amazon.com, Inc.
2.70% due 06/03/60		25,180,000		22,244,460
Altice France S.A.
7.38% due 05/01/266		14,800,000		15,392,000
5.13% due 01/15/296		6,350,000		6,429,375
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/296		22,100,000		21,750,820
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/266		19,750,000		19,972,187
Verizon Communications, Inc.
3.15% due 03/22/30		16,590,000		17,482,964
Qualitytech, LP / QTS Finance Corp.
3.88% due 10/01/286		17,075,000		16,989,625
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/286		15,600,000		15,890,628
Lamar Media Corp.
3.63% due 01/15/316		10,600,000		10,176,106
4.00% due 02/15/30		5,375,000		5,360,058
Ziggo BV
4.88% due 01/15/306		10,125,000		10,349,117
Switch Ltd.
3.75% due 09/15/286		4,200,000		4,135,824
Telenet Finance Lux Note
5.50% due 03/01/28		2,800,000		2,940,000
Corning, Inc.
4.38% due 11/15/57		2,500,000		2,715,921
Thomson Reuters Corp.
5.65% due 11/23/43		1,290,000		1,619,538
Match Group Holdings II LLC
4.13% due 08/01/306		1,250,000		1,253,512
Virgin Media Finance plc
5.00% due 07/15/306		850,000		848,938
Motorola Solutions, Inc.
5.50% due 09/01/44		360,000		435,396
Total Communications				982,868,426
Energy - 2.3%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/406		91,750,000		87,626,861
2.94% due 09/30/406		58,850,000		56,738,590
1.75% due 09/30/276		2,050,000		2,049,121
BP Capital Markets plc
4.88% 3,4		114,865,000		123,049,131
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		63,355,000		71,050,446
Occidental Petroleum Corp.
3.00% due 02/15/27		13,280,000		12,483,200
5.55% due 03/15/26		5,940,000		6,297,351
4.30% due 08/15/39		6,600,000		5,560,500
3.40% due 04/15/26		5,000,000		4,807,750
4.10% due 02/15/47		4,900,000		3,920,000
3.20% due 08/15/26		2,375,000		2,275,250
4.40% due 08/15/49		2,500,000		2,075,000
4.40% due 04/15/46		1,400,000		1,186,500
4.63% due 06/15/45		800,000		697,648
Valero Energy Corp.
2.15% due 09/15/27		13,920,000		13,631,375
2.85% due 04/15/25		12,000,000		12,538,643
4.00% due 04/01/29		7,450,000		8,023,109
7.50% due 04/15/32		1,180,000		1,588,721
Chevron USA, Inc.
2.34% due 08/12/50		27,250,000		22,572,126
4.20% due 10/15/49		3,300,000		3,746,878
Magellan Midstream Partners, LP
3.25% due 06/01/30		23,260,000		24,334,205
3.95% due 03/01/50		1,600,000		1,571,559
Equinor ASA
2.38% due 05/22/30		18,770,000		18,710,516
1.75% due 01/22/26		6,500,000		6,649,411

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
NuStar Logistics, LP
6.38% due 10/01/30			13,850,000	$	14,958,000
5.63% due 04/28/27			1,799,000		1,881,925
Florida Gas Transmission Company LLC
2.55% due 07/01/306			15,100,000		14,889,720
Midwest Connector Capital Company LLC
4.63% due 04/01/296			13,440,000		13,620,778
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
4.49% due 05/01/308			6,300,000		7,172,158
Phillips 66
3.70% due 04/06/23			2,250,000		2,383,920
5.88% due 05/01/42			1,180,000		1,514,333
Parkland Corp.
5.88% due 07/15/276			2,000,000		2,132,500
6.00% due 04/01/266			1,025,000		1,071,945
ONEOK Partners, LP
6.20% due 09/15/43			680,000		821,328
3.38% due 10/01/22			720,000		743,828
TransCanada PipeLines Ltd.
6.10% due 06/01/40			1,200,000		1,553,882
Total Energy					555,928,208
Technology - 2.1%
NetApp, Inc.
2.70% due 06/22/30			123,550,000		122,574,116
Broadcom, Inc.
4.15% due 11/15/30			60,860,000		65,759,464
2.45% due 02/15/316			57,120,000		53,974,261
2.60% due 02/15/336			1,660,000		1,543,795
MSCI, Inc.
3.88% due 02/15/316			31,882,000		32,577,028
3.63% due 09/01/306			21,243,000		21,600,944
Leidos, Inc.
2.30% due 02/15/316			34,450,000		32,498,752
3.63% due 05/15/256			9,200,000		9,981,982
4.38% due 05/15/306			2,650,000		2,945,846
Oracle Corp.
3.95% due 03/25/51			38,750,000		39,734,598
NCR Corp.
5.00% due 10/01/286			30,050,000		30,350,500
8.13% due 04/15/256			600,000		657,750
Qorvo, Inc.
4.38% due 10/15/29			21,000,000		22,417,710
3.38% due 04/01/316			8,675,000		8,500,546
Apple, Inc.
2.55% due 08/20/60			22,850,000		19,581,214
Crowdstrike Holdings, Inc.
3.00% due 02/15/29			14,450,000		14,127,765
Twilio, Inc.
3.63% due 03/15/29			13,200,000		13,362,756
Analog Devices, Inc.
2.95% due 04/01/25			6,100,000		6,480,429
TeamSystem SpA
3.50% due 02/15/28	EUR		5,000,000		5,842,695
Black Knight InfoServ LLC
3.63% due 09/01/286			5,600,000		5,502,616
Booz Allen Hamilton, Inc.
3.88% due 09/01/286			4,550,000		4,573,887
Presidio Holdings, Inc.
4.88% due 02/01/276			2,300,000		2,357,546
Microchip Technology, Inc.
0.97% due 02/15/246			1,650,000		1,646,809
Citrix Systems, Inc.
3.30% due 03/01/30			1,500,000		1,541,769
Entegris, Inc.
4.38% due 04/15/286			900,000		928,035
HP, Inc.
4.05% due 09/15/22			720,000		755,602
Open Text Holdings, Inc.
4.13% due 02/15/306			210,000		212,875
Total Technology					522,031,290
Basic Materials - 1.4%
Newcrest Finance Pty Ltd.
3.25% due 05/13/306			55,600,000		58,138,521

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~			Value
4.20% due 05/13/506			26,390,000		$	28,486,023
Anglo American Capital plc
5.63% due 04/01/306			39,500,000			47,134,131
2.63% due 09/10/306			18,000,000			17,630,464
3.95% due 09/10/506			14,140,000			14,329,252
2.25% due 03/17/286			1,010,000			996,604
Nucor Corp.
2.70% due 06/01/30			45,300,000			46,240,763
2.00% due 06/01/25			5,000,000			5,127,552
Alcoa Nederland Holding BV
4.13% due 03/31/296			13,400,000			13,514,436
5.50% due 12/15/276			6,525,000			7,023,510
6.13% due 05/15/286			2,800,000			3,049,760
6.75% due 09/30/246			400,000			413,400
Minerals Technologies, Inc.
5.00% due 07/01/286			20,050,000			20,676,563
Valvoline, Inc.
3.63% due 06/15/316			18,300,000			17,705,250
Steel Dynamics, Inc.
3.25% due 01/15/31			7,620,000			8,058,582
2.40% due 06/15/25			5,950,000			6,199,041
Reliance Steel & Aluminum Co.
2.15% due 08/15/30			12,040,000			11,545,290
Corporation Nacional del Cobre de Chile
3.75% due 01/15/316			10,430,000			11,250,737
INEOS Quattro Finance 2 plc
2.50% due 01/15/26	EUR		8,500,000			9,952,515
Carpenter Technology Corp.
6.38% due 07/15/28			2,415,000			2,595,351
Southern Copper Corp.
7.50% due 07/27/35			1,150,000			1,631,854
Dow Chemical Co.
4.25% due 10/01/34			1,420,000			1,570,431
International Paper Co.
7.30% due 11/15/39			1,030,000	��		1,535,864
WR Grace & Company-Conn
4.88% due 06/15/276			925,000			957,560
Sherwin-Williams Co.
2.75% due 06/01/22			220,000			224,920
Total Basic Materials						335,988,374
Utilities - 0.9%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††			97,100,000			92,422,118
AES Corp.
3.95% due 07/15/306			26,390,000			28,137,810
3.30% due 07/15/256			3,750,000			3,978,225
NRG Energy, Inc.
2.45% due 12/02/276			26,000,000			25,778,418
Arizona Public Service Co.
3.35% due 05/15/50			23,140,000			22,857,959
Alexander Funding Trust
1.84% due 11/15/236			14,400,000			14,619,742
Clearway Energy Operating LLC
3.75% due 02/15/316			11,150,000			10,693,866
4.75% due 03/15/286			3,325,000			3,459,297
Black Hills Corp.
2.50% due 06/15/30			14,360,000			14,097,623
ONE Gas, Inc.
0.85% due 03/11/23			1,620,000			1,621,361
Southern Power Co.
5.25% due 07/15/43			1,350,000			1,537,161
Dominion Energy, Inc.
0.71% (3 Month USD LIBOR + 0.53%) due 09/15/235			1,030,000			1,031,331
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.75% due 05/20/27			825,000			899,250
Atmos Energy Corp.
0.63% due 03/09/23			800,000			800,312
Total Utilities						221,934,473

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Financial Institutions - 0.1%
Bain Capital, LP
3.41% due 04/15/41†††		36,000,000	$	32,893,636
Total Corporate Bonds
(Cost $11,636,291,479)				11,868,590,496
ASSET-BACKED SECURITIES†† - 22.0%
Collateralized Loan Obligations - 13.1%
BXMT Ltd.
2020-FL2, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/375,6		76,225,000		76,211,866
2020-FL3, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/375,6		23,550,000		23,679,796
2020-FL3, 2.66% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 03/15/375,6		16,125,000		16,274,466
2020-FL2, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 02/16/375,6		16,000,000		15,989,546
2020-FL3, 2.26% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 03/15/375,6		10,600,000		10,682,737
2020-FL2, 1.76% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/16/375,6		5,360,000		5,358,151
2020-FL2, 1.26% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 02/16/375,6		5,200,000		5,203,190
Dryden 33 Senior Loan Fund
2020-33A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/295,6		56,722,408		56,662,759
2020-33A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/295,6		48,700,000		48,458,828
2020-33A, 2.24% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/295,6		27,000,000		27,110,616
KREF Funding V LLC
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,5		115,000,000		114,130,970
0.15% due 06/25/26†††,11		313,636,364		153,682
Cerberus Loan Funding XXX, LP
2020-3A, 2.08% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/335,6		100,000,000		99,889,730
2020-3A, 2.73% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/335,6		10,200,000		10,209,301
HERA Commercial Mortgage Ltd.
2021-FL1, 1.73% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/385,6		49,562,000		49,585,145

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-FL1, 1.43% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/385,6		28,000,000	$	28,014,664
2021-FL1, 2.08% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/385,6		19,200,000		19,244,532
2021-FL1, 1.18% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/385,6		10,000,000		10,003,952
Cerberus Loan Funding XXXII, LP
2021-2A, (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/335,6		105,125,000		105,103,975
Woodmont Trust
2020-7A, 2.05% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/325,6		83,000,000		82,904,558
2020-7A, 2.75% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/325,6		13,500,000		13,451,207
2020-7A, 2.40% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/325,6		7,000,000		6,984,446
GoldenTree Loan Management US CLO 1 Ltd.
2020-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/295,6		49,250,000		49,249,109
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/335,6		35,900,000		35,763,268
2020-1A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/20/295,6		12,500,000		12,498,671
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/335,6		3,900,000		3,884,393
MidOcean Credit CLO VII
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/295,6		52,000,000		51,938,848
2020-7A, 1.84% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/295,6		27,500,000		27,168,124
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/295,6		14,800,000		14,804,763

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Venture XIV CLO Ltd.
2020-14A, 1.22% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/295,6		69,000,000	$	68,910,921
2020-14A, 2.44% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/295,6		22,725,000		22,684,913
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.19% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/315,6		72,500,000		72,562,292
2020-9A, 2.84% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/315,6		15,250,000		15,311,560
Palmer Square Loan Funding Ltd.
2021-1A, 1.41% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/295,6		19,000,000		18,959,661
2021-2A, (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/295,6		17,500,000		17,496,500
2019-3A, 1.03% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/275,6		16,340,096		16,341,470
2018-4A, 1.09% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/265,6		13,155,001		13,158,380
2018-4A, 1.64% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/265,6		12,000,000		12,010,494
2021-1A, 1.96% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/295,6		7,100,000		7,106,841
GPMT Ltd.
2019-FL2, 1.41% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/365,6		25,899,000		25,937,110
2019-FL2, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/22/365,6		24,300,000		24,316,597
2019-FL2, 2.46% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/365,6		21,400,000		21,375,666
2019-FL2, 2.01% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/365,6		12,750,000		12,741,512
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.79% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/325,6		83,450,000		83,450,000
Cerberus Loan Funding XXXI, LP
2021-1A, 1.69% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/325,6		70,250,000		70,250,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1A, 2.79% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/325,6		12,000,000	$	12,000,000
LoanCore Issuer Ltd.
2019-CRE2, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/365,6		19,984,000		19,964,052
2018-CRE1, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/285,6		17,747,000		17,729,722
2019-CRE3, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/15/345,6		13,551,300		13,572,546
2021-CRE4, 1.81% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/355,6		13,182,000		13,158,032
2019-CRE2, 1.81% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/365,6		11,575,000		11,546,100
2019-CRE3, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/345,6		4,410,000		4,383,120
Parliament Funding II Ltd.
2020-1A, 2.67% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/305,6		71,650,000		71,714,041
2020-1A, 3.42% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/305,6		6,000,000		6,003,071
Golub Capital Partners CLO Ltd.
2018-36A, 1.50% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/315,6		76,300,000		75,829,786
CHCP Ltd.
2021-FL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/15/385,6		28,000,000		28,008,350
2021-FL1, 1.41% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/15/385,6		22,250,000		22,258,466
2021-FL1, 1.76% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/385,6		5,900,000		5,902,545
2021-FL1, 2.21% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 02/15/385,6		2,950,000		2,951,270
Wellfleet CLO Ltd.
2020-2A, 1.28% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/295,6		52,250,000		52,264,087
2018-2A, 1.80% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/285,6		2,500,000		2,502,030

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Diamond CLO Ltd.
2021-1A, 1.65% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/295,6		23,825,000	$	23,820,235
2018-1A, 1.72% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/305,6		18,000,000		17,963,262
2021-1A, 2.60% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/295,6		2,300,000		2,299,540
2021-1A, 1.90% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/295,6		2,150,000		2,149,570
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/315,6		44,300,000		43,887,718
2018-11A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/315,6		2,300,000		2,306,626
Whitebox CLO II Ltd.
2020-2A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/315,6		36,500,000		36,570,394
2020-2A, 2.49% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/315,6		7,000,000		7,027,201
Denali Capital CLO XI Ltd.
2018-1A, 1.35% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/285,6		39,879,704		39,884,474
Lake Shore MM CLO III LLC
2020-1A, 2.53% (3 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/295,6		38,900,000		38,939,441
MP CLO VIII Ltd.
2018-2A, 1.13% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/275,6		38,919,430		38,907,058
LCM XXIV Ltd.
2021-24A, 1.59% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/305,6		24,200,000		24,133,423
2021-24A, 2.09% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/305,6		13,050,000		13,008,739
Marathon CLO V Ltd.
2017-5A, 1.05% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/275,6		18,236,534		18,218,872
2017-5A, 1.63% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/275,6		18,020,137		17,847,201

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
NXT Capital CLO LLC
2017-1A, 1.92% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 04/20/295,6		34,100,000	$	34,155,102
Madison Park Funding XLVIII Ltd.
2021-48A, 1.59% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/335,6		27,500,000		27,450,082
2021-48A, 2.14% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/335,6		5,900,000		5,894,978
Telos CLO Ltd.
2017-6A, 1.97% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/17/275,6		32,000,000		32,019,840
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.59% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/335,6		26,700,000		26,599,066
2021-40A, 1.94% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/335,6		2,000,000		1,992,012
TCW CLO Ltd.
2020-1A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 10/20/315,6		28,000,000		27,860,050
FDF II Ltd.
2016-2A, 4.29% due 05/12/316		21,500,000		21,681,985
2016-2A, 5.29% due 05/12/316		5,000,000		4,987,224
Wind River CLO Ltd.
2017-2A, 1.11% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/275,6		26,568,221		26,544,976
610 Funding CLO 3 Ltd.
2018-3A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/285,6		25,874,727		25,874,318
OCP CLO Ltd.
2020-4A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/295,6		25,500,000		25,095,647
2019-17A, 0.87% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/325,6		750,000		748,972
Canyon CLO Ltd.
2020-1A, 2.99% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/15/285,6		22,500,000		22,559,355
2020-1A, 4.02% (3 Month USD LIBOR + 3.78%, Rate Floor: 3.78%) due 07/15/285,6		2,000,000		1,998,536

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.12% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/275,6		24,518,576	$	24,524,046
Ares LVII CLO Ltd.
2020-57A, 2.74% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 10/25/315,6		13,500,000		13,485,438
2020-57A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/315,6		9,500,000		9,554,906
Magnetite Xxix Ltd.
2021-29A, 1.50% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/345,6		15,100,000		15,100,000
2021-29A, 1.75% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/345,6		7,700,000		7,700,000
Voya CLO Ltd.
2020-1A, 1.30% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/315,6		18,850,000		18,906,297
2013-1A, due 10/15/306,9		10,575,071		3,517,702
STWD Ltd.
2019-FL1, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 07/15/385,6		11,210,000		11,191,018
2019-FL1, 2.06% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 07/15/385,6		8,800,000		8,809,083
2019-FL1, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/15/385,6		2,200,000		2,201,544
Apres Static CLO Ltd.
2020-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/285,6		21,750,000		21,784,076
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.49% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/305,6		21,171,638		20,957,851
Allegro CLO IX Ltd.
2018-3A, 1.39% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/315,6		20,400,000		20,459,668
Avery Point VI CLO Ltd.
2021-6A, 1.96% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/275,6		12,100,000		12,070,195
2021-6A, 1.51% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/275,6		8,000,000		7,991,528

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Recette CLO Ltd.
2021-1A, 1.51% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/345,6		9,800,000	$	9,800,000
2021-1A, 1.86% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/345,6		9,200,000		9,200,000
AMMC CLO XIV Ltd.
2021-14A, 1.62% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/295,6		18,290,000		18,267,622
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 1.59% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/325,6		14,100,000		14,051,506
2021-32A, 1.89% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/325,6		4,200,000		4,184,088
Owl Rock CLO IV Ltd.
2020-4A, 2.80% (3 Month USD LIBOR + 2.62%, Rate Floor: 2.62%) due 05/20/295,6		18,000,000		18,050,929
BSPRT Issuer Ltd.
2018-FL4, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/355,6		7,214,715		7,214,714
2021-FL6, 2.15% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/365,6		5,550,000		5,542,074
2018-FL3, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 03/15/285,6		5,215,344		5,215,343
BDS Ltd.
2019-FL3, 2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/15/355,6		9,900,000		9,895,014
2020-FL5, 1.91% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/16/375,6		4,400,000		4,423,572
2020-FL5, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 02/16/375,6		3,200,000		3,202,299
Owl Rock CLO II Ltd.
2021-2A, 1.74% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/335,6		15,600,000		15,596,100
Dryden 36 Senior Loan Fund
2020-36A, 2.29% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/295,6		15,200,000		15,263,354

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Crown Point CLO III Ltd.
2017-3A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 12/31/275,6		10,280,000	$	10,279,980
2017-3A, 1.15% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 12/31/275,6		4,722,215		4,721,891
Shackleton CLO Ltd.
2017-8A, 1.14% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/275,6		6,150,633		6,150,053
2017-8A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/275,6		5,510,000		5,410,020
2018-6RA, 1.24% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/285,6		3,366,854		3,365,425
NewStar Clarendon Fund CLO LLC
2019-1A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/275,6		12,662,801		12,653,887
2019-1A, 3.27% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/275,6		2,000,000		1,990,742
KREF Ltd.
2018-FL1, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 06/15/365,6		13,396,506		13,398,297
Octagon Investment Partners 49 Ltd.
2021-5A, 1.76% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/335,6		12,800,000		12,842,764
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 1.74% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/295,6		11,527,000		11,497,657
2020-9A, 2.53% due 11/15/296		1,250,000		1,248,624
Newstar Commercial Loan Funding LLC
2017-1A, 2.69% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/275,6		12,750,000		12,739,469
Marathon CLO VII Ltd.
2017-7A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/255,6		12,600,000		12,593,922
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/305,6		12,600,000		12,577,504

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Benefit Street Partners Clo XXII Ltd.
2020-22A, 1.59% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 01/20/325,6		7,700,000	$	7,686,907
2020-22A, 2.29% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/325,6		4,300,000		4,326,770
Columbia Cent CLO 27 Ltd.
2020-27A, 1.83% due 10/25/286		12,000,000		11,997,600
Sudbury Mill CLO Ltd.
2017-1A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 01/17/265,6		11,850,000		11,808,916
KVK CLO Ltd.
2017-1A, 1.13% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/285,6		4,909,795		4,905,116
2018-1A, 1.83% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 05/20/295,6		3,850,000		3,846,871
2018-1A, 1.11% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/295,6		2,983,803		2,982,332
Monroe Capital CLO Ltd.
2017-1A, 1.92% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/22/265,6		11,100,000		11,064,447
2017-1A, 1.57% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/22/265,6		101,736		101,718
Neuberger Berman CLO XVI-S Ltd.
2021-16SA, 1.60% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/345,6		10,200,000		10,197,960
Mountain View CLO Ltd.
2018-1A, 1.04% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/265,6		9,875,670		9,866,546
Treman Park CLO Ltd.
2015-1A, due 10/20/286,9		13,600,000		9,152,548
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/316,9		10,000,000		8,555,861
ACIS CLO Ltd.
2015-6A, 2.69% (3 Month USD LIBOR + 2.48%, Rate Floor: 0.00%) due 05/01/275,6		7,500,000		7,496,374
THL Credit Lake Shore MM CLO I Ltd.
2019-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/305,6		7,250,000		7,225,514

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Golub Capital Partners CLO 16 Ltd.
2017-16A, 2.07% (3 Month USD LIBOR + 1.85%, Rate Floor: 0.00%) due 07/25/295,6		6,700,000	$	6,684,369
TCP Waterman CLO Ltd.
2016-1A, 2.23% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/285,6		6,617,373		6,621,971
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/375,6		3,100,000		3,106,729
2021-FL4, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/375,6		3,100,000		3,106,487
Owl Rock CLO I Ltd.
2019-1A, 1.98% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/315,6		5,650,000		5,655,931
Apres Static CLO 2 Ltd.
2020-1A, 3.99% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 04/15/285,6		2,800,000		2,800,065
2020-1A, 4.54% (3 Month USD LIBOR + 4.30%, Rate Floor: 4.30%) due 04/15/285,6		2,700,000		2,699,897
Ivy Hill Middle Market Credit Fund X Ltd.
2018-10A, 2.02% (3 Month USD LIBOR + 1.80%, Rate Floor: 0.00%) due 07/18/305,6		5,300,000		5,226,992
GoldenTree Loan Opportunities IX Ltd.
2018-9A, 1.32% (3 Month USD LIBOR + 1.11%, Rate Floor: 1.11%) due 10/29/295,6		5,152,000		5,157,327
VOYA CLO
2021-2A, 2.2% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/305,6		4,950,000		4,949,010
Seneca Park CLO Ltd.
2017-1A, 1.72% (3 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 07/17/265,6		4,942,434		4,942,009
TICP CLO III-2 Ltd.
2018-3R, 1.06% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/285,6		4,377,099		4,378,959
Atlas Senior Loan Fund III Ltd.
2017-1A, 1.49% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/275,6		4,300,000		4,257,682

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Avery Point V CLO Ltd.
2017-5A, 1.20% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.00%) due 07/17/265,6		4,183,614	$	4,183,808
TICP CLO I Ltd.
2018-1A, 1.02% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.00%) due 07/20/275,6		4,153,685		4,153,498
TRTX Issuer Ltd.
2019-FL3, 1.26% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 10/15/345,6		2,600,000		2,600,574
2019-FL3, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/15/345,6		1,500,000		1,505,096
Northwoods Capital XII-B Ltd.
2018-12BA, 2.03% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/315,6		4,000,000		3,957,269
Ready Capital Mortgage Financing LLC
2019-FL3, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 03/25/345,6		3,822,771		3,814,819
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 01/14/326,9		8,920,000		3,725,402
Newfleet CLO Ltd.
2018-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/285,6		3,485,964		3,483,536
Golub Capital Partners CLO 39B Ltd.
2018-39A, 1.62% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 10/20/285,6		3,100,000		3,101,489
Monroe Capital BSL CLO Ltd.
2017-1A, 1.93% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 05/22/275,6		3,000,000		3,002,411
ACRES Commercial Realty Corp.
2020-RSO8, 1.56% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 03/15/355,6		3,000,000		2,996,816
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/259		4,956,331		2,922,349
Oaktree CLO Ltd.
2017-1A, 1.09% (3 Month USD LIBOR + 0.87%) due 10/20/275,6		2,917,399		2,917,686
Ocean Trails CLO IV
2017-4A, 1.99% (3 Month USD LIBOR + 1.80%, Rate Floor: 0.00%) due 08/13/255,6		2,500,000		2,488,315

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Allegro CLO VII Ltd.
2018-1A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/315,6		2,500,000	$	2,435,379
Grand Avenue CRE Ltd.
2020-FL2, 4.37% (1 Month USD LIBOR + 4.26%, Rate Floor: 4.26%) due 03/15/355,6		1,100,000		1,116,274
2020-FL2, 3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/15/355,6		900,000		908,573
Tralee CLO III Ltd.
2017-3A, 1.67% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 10/20/275,6		2,000,000		1,991,999
Cerberus Loan Funding XXVI, LP
2019-1A, 1.99% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/15/315,6		2,000,000		1,990,944
Ivy Hill Middle Market Credit Fund IX Ltd.
2017-9A, 1.97% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/18/305,6		1,000,000		983,600
2017-9A, 2.57% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 01/18/305,6		1,000,000		954,970
Dryden XXV Senior Loan Fund
2017-25A, 1.59% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/15/275,6		1,766,703		1,753,423
Catamaran CLO Ltd.
2016-2A, 2.27% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 10/18/265,6		1,750,000		1,750,666
Venture XIII CLO Ltd.
2013-13A, due 09/10/296,9		3,700,000		1,155,862
Mountain Hawk II CLO Ltd.
2018-2A, 1.82% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/20/245,6		602,370		602,262
Dryden 43 Senior Loan Fund
2019-43A, 0.82% (3 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 07/20/295,6		600,000		599,482
Great Lakes CLO Ltd.
2014-1A, due 10/15/296,9		461,538		202,219
Atlas Senior Loan Fund IX Ltd.
2018-9A, due 04/20/286,9		1,200,000		144,331
Babson CLO Ltd.
2014-IA, due 07/20/256,9		1,300,000		125,450
Copper River CLO Ltd.
2007-1A, due 01/20/217,9		1,500,000		44,190

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/256,9			1,808,219	$	2,098
Total Collateralized Loan Obligations					3,187,490,225
Financial - 3.2%
Station Place Securitization Trust
2021-3, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,5,6			144,500,000		144,500,000
2020-16, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,5,6			114,400,000		114,400,000
2021-7, 1.02% (1 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 09/24/215,6			61,100,000		61,100,000
2021-SP1, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,5,6			42,600,000		42,600,000
2020-12, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 06/09/21†††,5,6			35,500,000		35,500,000
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/22†††,5,7			20,000,000		20,000,000
2020-WL1, 2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 0.00%) due 06/25/51†††,5,7			10,000,000		10,000,000
2021-WL1, 0.96% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/545,6			8,850,000		8,847,181
2021-WL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/545,6			6,750,000		6,747,854
2021-WL1, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/545,6			3,400,000		3,398,921
2020-WL1, 2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 0.00%) due 06/25/51†††,5,7			3,000,000		3,000,000
HV Eight LLC
2.75% (3 Month Euribor + 2.75%, Rate Floor: 2.75%) due 12/28/25	EUR		107,000,000		125,469,043
Aesf Vi Verdi LP
2.15% due 11/25/24†††	EUR		49,173,889		57,646,008
2.40% due 11/25/24†††			15,163,796		15,002,611
Strategic Partners Fund VIII LP
3.11% due 03/10/25†††			51,900,000		52,875,749
Oxford Finance Funding
2020-1A, 3.10% due 02/15/286			23,750,000		24,528,288
Ceamer Finance LLC
3.69% due 03/22/31			23,275,000		22,809,500

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Madison Avenue Secured Funding Trust Series
2020-1, 1.73% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,5,6		20,050,000	$	20,050,000
Nassau LLC
2019-1, 3.98% due 08/15/346		17,499,849		17,731,732
Industrial DPR Funding Ltd.
2016-1A, 5.24% due 04/15/266		3,132,118		3,420,220
Total Financial				789,627,107
Transport-Aircraft - 1.6%
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/466		77,791,791		78,989,801
AASET Trust
2020-1A, 3.35% due 01/16/406		28,696,468		28,646,275
2019-1, 3.84% due 05/15/396		13,955,786		13,846,284
2017-1A, 3.97% due 05/16/426		7,317,870		7,331,918
2019-2, 3.38% due 10/16/396		2,235,940		2,245,420
AASET US Ltd.
2018-2A, 4.45% due 11/18/386		50,579,202		50,987,229
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/436		25,939,039		25,991,238
2017-1, 3.97% due 07/15/42		12,347,794		12,355,707
2016-1, 4.45% due 08/15/41		374,060		374,331
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/406		33,006,125		32,838,913
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/426		33,919,253		32,820,880
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/406		33,074,623		32,813,293
MAPS Ltd.
2018-1A, 4.21% due 05/15/436		24,082,380		24,308,757
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/396		13,665,311		13,772,879
2017-1, 4.58% due 02/15/426		7,507,294		7,580,136
WAVE LLC
2019-1, 3.60% due 09/15/446		12,916,203		12,919,191
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/406		14,830,389		11,760,606
Raspro Trust
2005-1A, 1.15% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/245,6		10,546,044		10,463,374
Stripes Aircraft Ltd.
2013-1 A1, 3.61% due 03/20/23†††		623,686		614,657
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/487		694,434		555,547

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Airplanes Pass Through Trust
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,7,15		409,604	$	41
Total Transport-Aircraft				401,216,477
Whole Business - 1.1%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/506		97,062,250		98,963,699
ServiceMaster Funding LLC
2020-1, 3.34% due 01/30/516		29,300,000		29,950,167
2020-1, 2.84% due 01/30/516		9,800,000		10,008,446
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/516		30,200,000		29,925,361
Domino’s Pizza Master Issuer LLC
2017-1A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/25/475,6		16,684,000		16,682,999
2017-1A, 4.12% due 07/25/476		10,427,500		11,226,038
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/506		25,500,000		25,824,615
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/496		12,954,975		13,710,380
2015-1A, 4.50% due 06/15/456		7,938,000		7,990,549
2019-1A, 4.08% due 06/15/496		1,603,813		1,692,712
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/466		14,774,375		16,009,513
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/07/496		3,482,500		3,663,451
2019-1A, 4.19% due 06/07/496		3,373,050		3,463,785
DB Master Finance LLC
2019-1A, 4.35% due 05/20/496		591,000		638,244
Drug Royalty III Limited Partnership 1
2017-1A, 3.60% due 04/15/276		232,324		232,729
Total Whole Business				269,982,688
Net Lease - 0.9%
Capital Automotive REIT
2020-1A, 3.48% due 02/15/506		22,222,827		22,721,387
2020-1A, 3.81% due 02/15/506		20,049,094		20,227,811
2014-1A, 3.66% due 10/15/446		10,940,717		10,955,679
Capital Automotive LLC
2017-1A, 3.87% due 04/15/476		49,840,155		49,921,903
2017-1A, 4.18% due 04/15/476		275,107		277,643
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/466		28,598,769		29,273,537
2016-1A, 4.32% due 10/20/466		11,585,254		11,993,509
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.21% due 11/20/506		22,120,661		22,028,639

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-1A, 2.26% due 11/20/506		15,000,000	$	14,748,723
CF Hippolyta LLC
2020-1, 2.28% due 07/15/606		10,498,167		10,671,030
2020-1, 2.60% due 07/15/606		4,576,247		4,557,900
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/456		9,654,679		10,015,220
STORE Master Funding LLC
2014-1A, 5.00% due 04/20/446		4,346,250		4,514,645
2013-3A, 5.21% due 11/20/436		654,444		670,341
CARS-DB4, LP
2020-1A, 3.25% due 02/15/506		3,529,661		3,589,278
Total Net Lease				216,167,245
Collateralized Debt Obligations - 0.8%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/396		108,450,000		107,639,542
2021-4A, 3.12% due 04/27/396		23,000,000		22,795,795
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/396		54,000,000		53,687,000
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/385,7		1,415,186		1,408,407
Total Collateralized Debt Obligations				185,530,744
Infrastructure - 0.7%
SBA Tower Trust
2.33% due 01/15/286		140,500,000		142,703,054
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/486		21,806,511		22,293,680
Diamond Issuer LLC
2020-1A, 2.74% due 07/20/506		7,900,000		7,917,806
Total Infrastructure				172,914,540
Transport-Container - 0.5%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/456		64,570,585		65,701,028
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/456		26,814,333		26,815,687
2020-1A, 2.08% due 09/18/456		5,640,000		5,621,296
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/456		21,065,000		21,095,622
Textainer Marine Containers VIII Ltd.
2020-2A, 2.10% due 09/20/456		11,200,242		11,221,750
Total Transport-Container				130,455,383
Diversified Payment Rights - 0.1%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		21,400,000		22,874,527
CCR Incorporated MT100 Payment Rights Master Trust
2012-CA, 4.75% due 07/10/226		180,952		183,638
Total Diversified Payment Rights				23,058,165
Insurance - 0.0%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/346		2,475,000		2,538,353

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
321 Henderson Receivables VI LLC
2010-1A, 5.56% due 07/15/596		1,153,817	$	1,269,401
JGWPT XXV LLC
2012-1A, 4.21% due 02/16/656		493,383		548,421
JG Wentworth XXXV LLC
2015-2A, 3.87% due 03/15/586		38,722		42,136
Total Insurance				4,398,311
Transport-Rail - 0.0%
TRIP Rail Master Funding LLC
2017-1A, 2.71% due 08/15/476		414,323		414,590
Total Asset-Backed Securities
(Cost $5,359,346,764)				5,381,255,475
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.6%
Residential Mortgage Backed Securities - 7.0%
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/605,6		103,007,440		104,695,742
2021-RPL1, 1.67% (WAC) due 09/27/605,6		40,322,053		40,222,735
2018-RPL9, 3.85% (WAC) due 09/25/575,6		30,327,847		32,157,638
2020-NQM1, 1.72% due 05/25/656,10		11,815,062		11,821,843
FKRT
2020-C2A, 3.25% due 12/30/23†††,7		113,927,996		114,064,710
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC5, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/365		30,295,035		20,062,802
2007-HE5, 0.45% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/375		31,973,137		17,882,364
2006-HE6, 0.35% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 09/25/365		25,780,390		12,617,709
2006-HE4, 0.59% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/365		10,177,337		6,832,113
2006-NC1, 0.68% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/355		6,331,198		6,303,168
2007-HE2, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/375		9,513,372		5,852,061
2007-HE3, 0.22% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/365		6,732,294		4,309,803
2007-HE6, 0.17% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/375		3,369,400		3,047,253
2007-NC3, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/375		2,595,468		2,213,465
2007-HE3, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/365,6		2,473,190		1,801,887

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/265,7		75,462,614	$	75,666,061
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/265,7		39,789,480		39,761,962
Home Equity Loan Trust
2007-FRE1, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/375		76,127,847		71,735,833
Soundview Home Loan Trust
2006-OPT5, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/365		58,386,699		57,119,801
2005-OPT3, 0.81% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/355		11,827,261		11,799,080
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/365		76,186,546		56,479,700
2006-WMC4, 0.23% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/365		13,676,831		8,787,182
Verus Securitization Trust
2020-1, 2.42% due 01/25/606,10		23,827,067		24,081,316
2019-4, 2.64% due 11/25/596,10		20,387,661		20,749,304
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/505,6		18,795,599		19,141,457
2020-1, 2.56% (WAC) due 02/25/505,6		12,023,568		12,155,477
2020-1, 2.41% (WAC) due 02/25/505,6		9,248,898		9,399,621
2019-1, 2.94% (WAC) due 06/25/495,6		1,428,308		1,436,707
NovaStar Mortgage Funding Trust Series
2007-2, 0.31% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/375		39,485,327		38,709,393
2007-1, 0.24% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/375		3,551,224		2,695,595
Citigroup Mortgage Loan Trust, Inc.
2007-AMC1, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/365,6		26,613,342		17,761,720
2005-HE3, 0.84% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 09/25/355		8,884,630		8,869,735

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-AMC3, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/375		8,068,059	$	7,373,226
2006-WF1, 5.21% due 03/25/36		9,535,330		6,549,427
GSAMP Trust
2007-NC1, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/465		30,706,348		20,430,969
2006-HE8, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/375		10,107,000		8,885,205
2006-NC2, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/365		7,636,831		5,468,569
2007-NC1, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/465		6,851,035		4,497,122
2005-HE6, 0.77% (1 Month USD LIBOR + 0.66%, Rate Floor: 0.66%) due 11/25/355		45,667		45,658
Alternative Loan Trust
2007-OA4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 05/25/475		21,993,650		20,803,406
2007-OH3, 0.40% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/475		8,352,935		7,959,535
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/375		7,462,193		5,846,783
2007-OA7, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/475		3,431,134		3,266,722
2007-OH3, 0.33% (1 Month USD LIBOR + 0.22%, Rate Cap/Floor: 10.00%/0.22%) due 09/25/475		830,312		786,197
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.74% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/375		34,296,259		33,761,608
2006-BC4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 12/25/365		4,183,202		4,107,300
2006-BC6, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/375		404,371		402,013
2006-OPT1, 0.37% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/365		108,597		107,648

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
BRAVO Residential Funding Trust
2019-NQM1, 2.67% (WAC) due 07/25/595,6		18,756,307	$	18,969,457
2019-NQM2, 2.75% (WAC) due 11/25/595,6		11,502,769		11,862,228
2021-HE1, 1.52% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/705,6		7,500,000		7,481,458
CIT Mortgage Loan Trust
2007-1, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/375,6		33,404,344		33,578,383
CIM Trust
2018-R4, 4.07% (WAC) due 12/26/575,6		21,953,525		22,040,953
2018-R2, 3.69% (WAC) due 08/25/575,6		9,485,301		9,501,646
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR10, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 12/25/365		12,887,558		12,495,764
2006-AR9, 1.09% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/465		11,361,506		10,337,666
2006-AR9, 1.10% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/465		5,248,820		4,508,739
2006-7, 4.18% due 09/25/36		2,366,906		985,237
2006-8, 4.24% due 10/25/36		396,677		197,472
ACE Securities Corporation Home Equity Loan Trust Series
2006-NC1, 0.72% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/355		16,761,000		16,153,757
2005-HE2, 1.13% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/355		7,670,085		7,660,312
2007-WM2, 0.32% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/375		7,522,144		4,379,491
New Residential Mortgage Loan Trust
2019-6A, 3.50% (WAC) due 09/25/595,6		13,086,199		13,791,951
2018-1A, 4.00% (WAC) due 12/25/575,6		10,705,132		11,427,060
2018-2A, 3.50% (WAC) due 02/25/585,6		2,736,314		2,855,936
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/685,7		14,811,902		15,425,992

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2019-RM3, 2.80% (WAC) due 06/25/695,7		11,319,798	$	11,574,305
HSI Asset Securitization Corporation Trust
2006-OPT2, 0.69% (1 Month USD LIBOR + 0.59%, Rate Floor: 0.59%) due 01/25/365		27,052,690		26,972,182
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/595,6		15,300,043		15,486,441
2019-2, 2.70% (WAC) due 09/25/595,6		10,651,101		10,713,066
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/4711		156,060,784		24,685,664
RALI Series Trust
2007-QO4, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/475		6,343,105		6,092,834
2006-QO2, 0.55% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/465		18,253,609		5,594,536
2007-QO2, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/475		9,013,901		4,742,423
2006-QO2, 0.65% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/465		5,919,553		1,886,095
2006-QO6, 0.47% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/465		5,152,478		1,728,706
2007-QO3, 0.43% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/475		1,234,143		1,178,147
IXIS Real Estate Capital Trust
2007-HE1, 0.22% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/375		29,213,551		9,964,956
2006-HE1, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/365		13,490,577		8,825,492
2007-HE1, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/375		3,328,363		1,156,779
2007-HE1, 0.17% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/375		2,723,096		921,038
Lehman XS Trust Series
2007-4N, 0.31% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/475		11,518,978		11,551,047

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-2N, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/375		6,395,624	$	6,285,773
2007-15N, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.00%) due 08/25/375		2,554,907		2,436,284
2006-10N, 0.53% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/465		467,694		473,952
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/245,6		15,611,337		15,794,661
2020-1, 2.68% (WAC) due 02/25/245,6		3,884,681		3,914,025
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/556		20,000,000		19,616,572
Bear Stearns Asset Backed Securities I Trust
2006-HE9, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/25/365		20,163,046		19,558,875
First NLC Trust
2005-4, 0.89% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/365		16,665,485		16,461,030
2005-1, 0.56% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/355		2,689,787		2,591,662
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W4, 0.87% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/365		12,191,257		11,075,265
2005-W2, 0.84% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/355		6,220,411		6,212,570
ABFC Trust
2007-WMC1, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/375		18,923,330		16,738,385
Merrill Lynch Mortgage Investors Trust Series
2007-HE2, 0.37% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 02/25/375		21,467,422		8,948,955
2006-HE6, 0.39% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/375		10,222,066		6,994,315

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
HarborView Mortgage Loan Trust
2006-14, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/475		9,252,282	$	8,678,300
2006-12, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/385		7,223,518		6,908,450
SG Residential Mortgage Trust
2019-3, 2.70% (WAC) due 09/25/595,6		15,354,618		15,573,584
Angel Oak Mortgage Trust
2020-1, 2.77% (WAC) due 12/25/595,6		9,141,160		9,226,822
2020-1, 2.67% (WAC) due 12/25/595,6		6,063,544		6,125,632
Securitized Asset Backed Receivables LLC Trust
2006-WM4, 0.19% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 11/25/365		33,109,956		12,983,063
2006-HE2, 0.41% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/365		3,799,177		2,128,380
Merrill Lynch Alternative Note Asset Trust Series
2007-A1, 0.34% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/375		22,370,297		9,843,732
2007-A1, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/375		8,483,190		3,661,062
First Franklin Mortgage Loan Trust
2006-FF3, 0.69% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 02/25/365		8,616,000		8,532,744
2004-FF10, 1.38% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/345		4,158,098		4,174,362
Deephaven Residential Mortgage Trust
2019-3A, 2.96% (WAC) due 07/25/595,6		11,894,595		11,979,939
Citigroup Mortgage Loan Trust
2019-IMC1, 2.72% (WAC) due 07/25/495,6		11,266,160		11,472,497
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 0.49% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/365		11,599,421		11,319,495

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/365			10,072,000	$	9,879,090
Master Asset Backed Securities Trust
2006-NC2, 0.59% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/365	��		8,915,460		4,772,913
2006-WMC4, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/365			6,639,185		2,931,613
2006-WMC3, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/365			3,874,336		1,792,765
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE2A, 0.25% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/375,6			5,194,458		4,878,053
2007-HE1, 0.26% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/375,6			4,204,945		4,010,669
WaMu Asset-Backed Certificates WaMu Series
2007-HE4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/475			5,889,952		4,935,622
2007-HE4, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/475			4,224,264		3,188,791
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 1.07% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/475			6,196,025		5,171,557
2006-AR13, 1.14% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/465			1,861,800		1,746,559
2006-AR11, 1.18% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/465			1,011,622		995,723
Impac Secured Assets CMN Owner Trust
2005-2, 0.61% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/365			8,522,345		7,887,789

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
American Home Mortgage Assets Trust
2006-4, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/465		8,990,919	$	5,810,765
2006-6, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/465		1,977,654		1,690,083
GSAA Home Equity Trust
2006-5, 0.47% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/365		14,761,408		7,005,600
2007-7, 0.65% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/375		126,532		124,656
CSMC Series
2015-12R, 0.63% (WAC) due 11/30/375,6		6,259,113		6,243,915
Long Beach Mortgage Loan Trust
2006-8, 0.27% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 09/25/365		7,950,906		3,129,069
2006-6, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/365		5,145,916		2,718,413
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4
2006-AR4, 0.37% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/365		11,488,682		5,632,555
Structured Asset Investment Loan Trust
2005-11, 0.83% (1 Month USD LIBOR + 0.72%, Rate Floor: 0.72%) due 01/25/365		3,784,195		3,764,500
2006-3, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/365		683,301		670,584
2004-BNC2, 1.31% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/345		662,167		663,023
ASG Resecuritization Trust
2010-3, 0.71% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/455,6		4,100,867		4,057,658
Option One Mortgage Loan Trust
2007-2, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/375		5,974,369		3,776,054

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
CWABS Asset-Backed Certificates Trust
2004-15, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 04/25/355		3,434,647	$	3,438,629
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 0.69% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/365		3,007,543		2,957,591
Deutsche Alt-A Securities Mortgage Loan Trust Series
2007-OA2, 1.03% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/475		2,944,070		2,828,693
Finance of America HECM Buyout
2021-HB1, 2.08% (WAC) due 02/25/315,6		2,600,000		2,586,731
Nationstar HECM Loan Trust
2019-2A, 2.27% (WAC) due 11/25/295,6		2,503,176		2,507,742
Morgan Stanley Resecuritization Trust
2014-R9, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/465,6		2,398,535		2,306,289
Nomura Resecuritization Trust
2015-4R, 1.81% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/365,6		1,175,203		1,169,570
2015-4R, 0.60% (1 Month USD LIBOR + 0.39%, Rate Floor: 0.39%) due 12/26/365,6		434,331		428,593
GE-WMC Asset-Backed Pass-Through Certificates Series
2005-2, 0.61% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/355		1,481,039		1,479,224
Countrywide Asset-Backed Certificates
2005-15, 0.56% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/365		1,500,000		1,461,137
Impac Secured Assets Trust
2006-2, 0.45% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/365		1,153,935		1,031,207
Alliance Bancorp Trust
2007-OA1, 0.35% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/375		766,986		712,326

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		343,455	$	350,171
Morgan Stanley Re-REMIC Trust
2010-R5, 1.55% due 06/26/366		185,778		170,782
Irwin Home Equity Loan Trust
2007-1, 6.35% due 08/25/376		20,460		20,898
Total Residential Mortgage Backed Securities				1,717,891,826
Government Agency - 2.5%
Fannie Mae
2.43% due 01/01/30		53,650,000		55,900,389
3.40% due 02/01/33		25,000,000		27,496,936
2.40% due 03/01/40		27,004,000		26,393,599
3.83% due 05/01/49		19,000,000		21,049,333
2.81% due 09/01/39		20,780,000		20,972,074
4.17% due 02/01/49		16,500,000		18,425,673
2013-124, due 12/25/4312,15		20,487,209		18,256,113
2.30% due 11/01/29		17,060,000		17,663,906
2.46% due 01/01/30		14,500,000		15,207,573
4.08% due 04/01/49		12,879,000		14,135,461
3.42% due 09/01/47		12,752,005		13,669,578
2.07% due 10/01/50		13,420,971		12,397,645
3.59% due 04/01/33		11,163,765		11,766,982
2.00% due 09/01/50		12,060,201		10,997,292
4.21% due 10/01/48		9,750,000		10,925,568
2013-100, due 10/25/4312,15		10,241,833		9,132,400
3.43% due 03/01/33		8,100,000		8,688,455
1.76% due 08/01/40		9,360,000		8,398,163
2.17% due 03/01/51		8,638,000		7,950,094
2.09% due 04/01/35		7,683,275		7,538,914
3.29% due 03/01/33		6,700,000		7,117,881
2.10% due 07/01/50		7,653,727		7,085,699
2.15% due 09/01/29		6,683,000		6,786,074
2.79% due 01/01/32		6,478,157		6,784,845
3.56% due 02/01/38		6,350,047		6,742,516
4.04% due 08/01/48		6,100,000		6,650,335
3.61% due 04/01/39		6,193,000		6,448,587
3.05% due 03/01/50		6,150,063		6,348,491
1.83% due 08/01/40		5,726,445		5,361,731
4.07% due 05/01/49		4,778,974		5,184,126
3.16% due 11/01/30		4,887,020		5,145,611
4.27% due 12/01/33		4,589,703		5,126,756
2.17% due 10/01/50		5,281,463		4,925,138
2.50% due 04/01/35		4,522,591		4,705,613
3.71% due 04/01/31		4,200,000		4,697,234
2.99% due 01/01/40		4,429,000		4,522,945
3.76% due 03/01/37		4,000,000		4,520,518
3.37% due 06/01/39		4,067,000		4,495,751
3.50% due 02/01/48		4,052,341		4,367,544
3.65% due 03/01/33		3,600,000		3,859,855
4.24% due 08/01/48		3,400,000		3,787,159
2.94% due 02/01/40		3,370,833		3,563,606
3.92% due 04/01/39		3,198,000		3,460,331
2.96% due 10/01/49		2,900,040		2,957,124
3.94% due 06/01/35		2,600,000		2,793,449
2.62% due 11/01/28		2,600,000		2,744,400
2.86% due 01/01/33		2,524,000		2,643,560
3.26% due 11/01/46		2,443,912		2,579,829
3.50% due 12/01/47		2,308,708		2,474,968
2.92% due 03/01/50		2,401,607		2,434,879
2.51% due 07/01/50		2,425,250		2,374,101
2.69% due 10/01/34		2,288,171		2,338,353
3.51% due 11/01/37		2,150,000		2,242,808
1.68% due 09/01/37		2,151,642		2,092,672
2.68% due 04/01/50		1,965,596		1,959,114
3.17% due 02/01/30		1,750,000		1,908,847
3.46% due 08/01/49		1,706,514		1,829,953
4.00% due 12/01/38		1,687,212		1,825,242
2.77% due 02/01/36		1,768,003		1,811,910
4.50% due 03/01/48		1,549,745		1,688,029
3.50% due 12/01/46		1,509,311		1,605,050
3.08% due 02/01/33		1,300,000		1,402,295
3.74% due 02/01/48		1,267,288		1,395,228
3.27% due 08/01/34		1,285,597		1,382,410
4.00% due 08/01/47		1,245,266		1,359,749
2.32% due 07/01/50		1,397,173		1,329,289
4.00% due 01/01/46		1,193,466		1,300,025
2.89% due 05/01/33		1,230,286		1,286,569
4.05% due 09/01/48		1,169,378		1,265,181
2.25% due 10/01/50		1,290,635		1,217,396
3.50% due 12/01/45		1,096,365		1,179,142

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2.50% due 01/01/35		1,092,781	$	1,137,079
3.13% due 01/01/30		997,075		1,087,456
3.96% due 06/01/49		974,694		1,059,135
3.60% due 10/01/47		944,716		1,022,934
3.00% due 07/01/46		904,810		951,784
3.18% due 09/01/42		876,041		920,288
3.63% due 01/01/37		717,729		773,126
3.91% due 07/01/49		683,309		749,870
3.36% due 12/01/39		697,623		715,198
2.75% due 11/01/31		632,053		666,959
4.50% due 02/01/45		579,670		649,500
3.99% due 06/01/49		536,910		584,070
5.00% due 12/01/44		434,014		489,885
5.00% due 05/01/44		378,536		423,591
3.50% due 08/01/43		365,075		395,578
4.50% due 05/01/47		352,536		387,196
4.33% due 09/01/48		337,494		376,719
4.22% due 04/01/49		315,000		347,580
Fannie Mae-Aces
2020-M23, 1.50% (WAC) due 03/25/355,11		297,720,113		38,506,256
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-2, 2.00% due 11/25/59		16,139,666		16,144,929
2020-3, 2.00% due 05/25/60		13,025,009		13,020,400
Freddie Mac
3.55% due 10/01/33		4,556,487		4,919,347
2018-4762, 4.00% due 01/15/46		4,673,889		4,851,273
3.26% due 09/01/45		2,244,133		2,311,848
3.50% due 01/01/44		1,406,179		1,519,818
1.96% due 05/01/50		1,593,019		1,442,239
4.00% due 02/01/46		1,222,241		1,334,165
1.95% due 05/01/50		1,467,593		1,326,476
3.40% due 04/01/31		988,740		1,082,259
4.00% due 11/01/45		961,097		1,051,095
3.00% due 08/01/46		938,012		987,086
4.50% due 06/01/48		774,767		845,594
FREMF Mortgage Trust
2013-K29, 0.13% due 05/25/466,11		729,376,361		1,285,963
Freddie Mac Multifamily Structured Pass Through Certificates
2015-K043, 0.53% (WAC) due 12/25/245,11		43,001,933		770,681
Total Government Agency				616,213,443
Military Housing - 1.1%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 3.48% (WAC) due 11/25/555,6		115,225,315		129,190,242
2015-R1, 4.32% (WAC) due 10/25/525,6		13,608,997		14,422,072
2015-R1, 4.11% (WAC) due 11/25/525,6		12,636,553		13,673,908
2015-R1, 0.52% (WAC) due 11/25/555,6,11		173,501,425		11,339,689
2015-R1, 4.11% (WAC) due 11/25/525,6		9,441,310		10,376,351
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/516		12,915,938		13,132,365
2008-AMCW, 6.90% due 07/10/556		8,237,830		10,694,387
2007-AETC, 5.75% due 02/10/526		7,354,833		7,571,438
2007-ROBS, 6.06% due 10/10/526		4,639,421		4,830,314
2006-RILY, 2.09% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/515,6		6,943,741		4,030,725

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-AET2, 6.06% due 10/10/526		3,047,743	$	3,144,722
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/526		22,029,462		24,294,956
2005-DRUM, 5.47% due 05/10/50†††,6		4,499,355		4,818,835
2005-BLIS, 5.25% due 07/10/506		2,500,000		2,637,650
Total Military Housing				254,157,654
Commercial Mortgage Backed Securities - 1.0%
Citigroup Commercial Mortgage Trust
2019-GC43, 0.63% (WAC) due 11/10/525,11		219,524,548		9,663,778
2019-GC41, 1.06% (WAC) due 08/10/565,11		104,680,733		6,946,415
2016-C2, 1.74% (WAC) due 08/10/495,11		33,206,651		2,381,747
2016-P4, 1.95% (WAC) due 07/10/495,11		31,518,986		2,295,329
2016-P5, 1.50% (WAC) due 10/10/495,11		30,509,634		1,682,600
2016-GC37, 1.70% (WAC) due 04/10/495,11		20,382,086		1,398,668
2015-GC35, 0.78% (WAC) due 11/10/485,11		30,473,485		823,104
2015-GC29, 1.04% (WAC) due 04/10/485,11		19,415,432		696,284
2016-C3, 1.14% (WAC) due 11/15/495,11		11,913,668		493,690
2013-GC15, 4.37% (WAC) due 09/10/465		380,000		411,208
GB Trust
2020-FLIX, 2.46% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 08/15/375,6		23,300,000		23,358,173
2020-FLIX, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/15/375,6		2,000,000		2,005,078
Life Mortgage Trust
2021-BMR, 2.46% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/385,6		19,500,000		19,531,192
2021-BMR, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/385,6		5,250,000		5,258,400
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.02% (WAC) due 07/15/505,11		71,195,222		3,455,125
2016-BNK1, 1.74% (WAC) due 08/15/495,11		36,071,280		2,648,606
2017-RB1, 1.24% (WAC) due 03/15/505,11		39,965,941		2,363,142
2016-C35, 1.92% (WAC) due 07/15/485,11		25,965,544		1,954,982
2017-C42, 0.88% (WAC) due 12/15/505,11		34,929,012		1,690,851

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2015-NXS4, 1.04% (WAC) due 12/15/485,11		39,971,893	$	1,608,929
2016-C32, 4.72% (WAC) due 01/15/595		1,400,000		1,545,391
2017-RC1, 1.49% (WAC) due 01/15/605,11		25,602,590		1,529,622
2016-NXS5, 1.44% (WAC) due 01/15/595,11		23,702,373		1,310,784
2015-P2, 0.92% (WAC) due 12/15/485,11		27,740,378		1,021,398
2015-C30, 0.89% (WAC) due 09/15/585,11		30,276,321		1,016,827
2016-C37, 0.93% (WAC) due 12/15/495,11		15,522,777		458,599
2015-NXS1, 1.10% (WAC) due 05/15/485,11		8,867,607		306,152
GS Mortgage Securities Trust
2020-GC45, 0.67% (WAC) due 02/13/535,11		153,917,174		7,404,386
2019-GC42, 0.81% (WAC) due 09/01/525,11		69,738,723		3,907,028
2017-GS6, 1.03% (WAC) due 05/10/505,11		42,356,185		2,345,342
2017-GS6, 3.87% due 05/10/50		521,000		564,605
2015-GC28, 0.99% (WAC) due 02/10/485,11		15,736,736		500,409
JPMDB Commercial Mortgage Securities Trust
2017-C7, 0.87% (WAC) due 10/15/505,11		133,189,249		5,781,279
2016-C4, 0.79% (WAC) due 12/15/495,11		84,914,191		3,114,712
2016-C4, 3.64% (WAC) due 12/15/495		2,650,000		2,775,447
2016-C2, 1.57% (WAC) due 06/15/495,11		28,024,140		1,560,704
2017-C5, 0.95% (WAC) due 03/15/505,11		8,265,318		363,966
COMM Mortgage Trust
2018-COR3, 0.44% (WAC) due 05/10/515,11		197,414,577		5,530,787
2015-CR26, 0.93% (WAC) due 10/10/485,11		83,496,225		2,862,902
2015-CR24, 0.76% (WAC) due 08/10/485,11		46,590,422		1,301,988
2015-CR23, 0.89% (WAC) due 05/10/485,11		40,665,779		1,133,128
2015-CR27, 0.92% (WAC) due 10/10/485,11		26,736,392		948,899
2015-CR23, 3.80% due 05/10/48		700,000		756,954
2013-CR13, 0.75% (WAC) due 11/10/465,11		36,189,740		629,633
2014-LC15, 1.09% (WAC) due 04/10/475,11		11,145,637		282,107

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
BENCHMARK Mortgage Trust
2019-B14, 0.79% (WAC) due 12/15/625,11		109,460,784	$	5,198,205
2018-B2, 0.42% (WAC) due 02/15/515,11		131,266,931		2,647,706
2018-B6, 0.44% (WAC) due 10/10/515,11		64,414,553		1,445,823
2018-B6, 4.62% (WAC) due 10/10/515		750,000		828,416
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.25% (WAC) due 02/10/375,6		5,350,000		5,229,505
2020-DUNE, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/365,6		3,750,000		3,654,449
2020-DUNE, 2.01% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/365,6		1,000,000		945,488
KKR Industrial Portfolio Trust
2021-KDIP, 1.66% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/375,6		8,750,000		8,728,168
DBGS Mortgage Trust
2018-C1, 4.64% (WAC) due 10/15/515		7,588,000		8,593,275
CSAIL Commercial Mortgage Trust
2019-C15, 1.05% (WAC) due 03/15/525,11		97,013,217		6,052,461
2015-C1, 0.83% (WAC) due 04/15/505,11		50,921,552		1,328,284
2016-C6, 1.92% (WAC) due 01/15/495,11		5,554,448		394,559
BANK
2020-BN25, 0.44% (WAC) due 01/15/635,11		140,000,000		4,926,614
2017-BNK6, 0.82% (WAC) due 07/15/605,11		42,542,811		1,607,795
2017-BNK4, 1.40% (WAC) due 05/15/505,11		12,855,535		768,866
BX Commercial Mortgage Trust
2019-XL, 2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/365,6		6,818,706		6,814,601
Benchmark Mortgage Trust
2020-IG3, 3.13% (WAC) due 09/15/485,6		5,232,000		5,022,059
UBS Commercial Mortgage Trust
2017-C2, 1.06% (WAC) due 08/15/505,11		50,439,294		2,531,069
2017-C5, 1.00% (WAC) due 11/15/505,11		53,332,145		2,425,418
CD Mortgage Trust
2016-CD1, 1.41% (WAC) due 08/10/495,11		31,814,157		1,888,326
2017-CD6, 0.92% (WAC) due 11/13/505,11		45,230,451		1,778,977

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2016-CD2, 0.65% (WAC) due 11/10/495,11		34,075,150	$	823,647
JP Morgan Chase Commercial Mortgage Securities Trust
2016-JP3, 1.42% (WAC) due 08/15/495,11		67,932,870		3,839,185
CD Commercial Mortgage Trust
2017-CD4, 1.29% (WAC) due 05/10/505,11		31,742,296		1,754,063
2017-CD3, 1.01% (WAC) due 02/10/505,11		34,211,689		1,570,491
JPMBB Commercial Mortgage Securities Trust
2015-C27, 1.21% (WAC) due 02/15/485,11		71,599,890		2,680,550
2013-C12, 0.47% (WAC) due 07/15/455,11		34,478,332		262,797
BBCMS Mortgage Trust
2018-C2, 0.77% (WAC) due 12/15/515,11		58,088,935		2,806,154
JPMCC Commercial Mortgage Securities Trust
2017-JP6, 1.13% (WAC) due 07/15/505,11		57,498,409		2,714,224
CGMS Commercial Mortgage Trust
2017-B1, 0.82% (WAC) due 08/15/505,11		65,225,069		2,495,746
Cam Commercial Mortgage Corp.
2002-CAM2, 6.16% due 12/14/216		2,197,355		2,244,580
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27, 0.88% (WAC) due 12/15/475,11		65,437,297		2,051,237
CFCRE Commercial Mortgage Trust
2016-C3, 0.99% (WAC) due 01/10/485,11		38,631,453		1,576,681
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.10% (WAC) due 02/15/505,11		23,806,940		1,142,102
DBJPM Mortgage Trust
2017-C6, 0.99% (WAC) due 06/10/505,11		23,179,113		1,002,562
Bancorp Commercial Mortgage Trust
2018-CR3, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/15/335,6		774,677		773,975
SG Commercial Mortgage Securities Trust
2016-C5, 1.95% (WAC) due 10/10/485,11		6,039,824		395,441
Morgan Stanley Capital I Trust
2016-UBS9, 4.61% (WAC) due 03/15/495		275,000		287,527

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
GS Mortgage Securities Corporation II
2013-GC10, 2.94% due 02/10/46			225,000	$	232,993
WFRBS Commercial Mortgage Trust
2013-C12, 1.18% (WAC) due 03/15/485,6,11			8,489,715		145,009
Total Commercial Mortgage Backed Securities					241,229,378
Total Collateralized Mortgage Obligations
(Cost $2,833,212,349)					2,829,492,301
SENIOR FLOATING RATE INTERESTS††,5 - 8.1%
Consumer, Non-cyclical - 1.6%
Valeo F1 Company Ltd.
due 08/27/27	GBP		34,400,000		47,273,503
Bombardier Recreational Products, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27			34,000,000		33,580,440
Packaging Coordinators Midco, Inc.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/30/27			32,358,332		32,317,884
Sunshine Investments BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/28/25	EUR		20,259,706		23,701,576
Nidda Healthcare Holding GmbH
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26	EUR		18,276,306		21,254,992
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27			19,504,148		19,552,908
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR		17,000,000		19,540,631
Triton Water Holdings, Inc.
due 03/16/285			18,750,000		18,662,062
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27			17,487,784		17,531,504
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28			15,340,058		15,236,513
Endo Luxembourg Finance Company I SARL
due 03/11/28			12,600,000		12,458,250

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Quirch Foods Holdings LLC
6.25% (6 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 10/27/27			11,700,000	$	11,765,871
AI Aqua Zip Bidco Pty Ltd.
due 12/13/23			10,830,341		10,834,890
Option Care Health, Inc.
due 08/06/26			10,224,116		10,179,437
Weber-Stephen Products LLC
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27			8,900,000		8,888,875
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/15/28			8,868,429		8,868,429
Energizer Holdings, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27			7,500,000		7,459,350
Avantor Funding, Inc.
3.25% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.25%) due 11/08/27			7,400,000		7,396,300
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/11/28†††			7,329,545		7,320,383
PPD, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 01/13/28			7,200,000		7,157,592
Elanco Animal Health, Inc.
1.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27			6,796,293		6,701,621
IQVIA, Inc.
2.00% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24	EUR		4,929,123		5,763,340
Arterra Wines Canada, Inc.
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/24/27			5,400,000		5,397,732
Elsan SAS
due 02/05/285	EUR		4,500,000		5,258,478
Spectrum Brands, Inc.
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28			4,000,000		3,987,520
Dole Food Company, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 04/05/24			3,837,179		3,833,457
Midwest Physician Administrative Services
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/12/28			3,000,000		2,979,390

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 08/15/24†††			498,715	$	499,483
B&G Foods, Inc.
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 10/12/26			3,300,000		3,293,400
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26			3,231,900		3,182,258
Callaway Golf Company
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26			2,518,122		2,527,565
Hayward Industries, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/05/24			1,720,511		1,717,294
Hostess Brands LLC
3.00% (1 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 08/04/25			827,904		822,846
Atkins Nutritionals, Inc.
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/07/24			175,138		175,357
Total Consumer, Non-cyclical					387,121,131
Consumer, Cyclical - 1.4%
MB2 Dental Solutions LLC
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††			45,032,384		44,157,246
6.19% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/29/27			1,704,096		1,670,979
CHG Healthcare Services, Inc.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23			44,305,181		44,131,061
Verisure Holding AB
due 01/14/285	EUR		30,010,000		35,026,681
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/20/26	EUR		6,890,000		8,048,971
Samsonite IP Holdings SARL
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25			37,795,393		38,031,614
BGIS (BIFM CA Buyer, Inc.)
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26			32,885,340		32,638,700
CNT Holdings I Corp.
4.50% (6 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27			24,250,000		24,181,857

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Flamingo
due 03/18/28	EUR		18,600,000	$	21,578,879
PetSmart LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/11/28			20,200,000		20,153,540
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28			20,026,469		19,784,549
Adevinta ASA
due 10/22/275			11,000,000		12,909,393
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 10/22/27	EUR		3,800,000		3,797,644
New Trojan Parent, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28			14,050,000		13,962,188
Truck Hero, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 01/31/28			9,000,000		8,971,290
BCPE Empire Holdings, Inc.
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/11/26			6,000,000		5,985,000
Power Solutions (Panther)
3.61% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 04/30/26			4,509,814		4,459,078
Wabash National Corporation
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/28/27			3,933,671		3,923,837
SP PF Buyer LLC
4.61% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25			3,391,349		3,266,988
Cast & Crew Payroll LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26			2,397,684		2,357,979
Whatabrands, LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/26			1,341,787		1,332,099
1011778 BC Unlimited Liability Co.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26			1,041,113		1,021,269
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28			500,000		502,085
Total Consumer, Cyclical					351,892,927
Industrial - 1.4%
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27			34,340,000		34,087,944

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27			30,500,000	$	32,373,005
Berry Global, Inc.
due 07/01/26			27,200,000		26,957,648
IFCO Management GmbH
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/29/26	EUR		19,870,000		23,242,867
Galileo Global Education Finance SARL
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 11/12/26	EUR		19,200,000		22,352,871
AI Convoy Luxembourg SARL
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27	EUR		18,618,000		21,760,224
TransDigm, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25			14,876,915		14,554,532
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25			5,827,709		5,703,287
Vertical (TK Elevator)
4.48% (6 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 07/30/27			12,785,830		12,805,009
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 07/29/27	EUR		3,000,000		3,527,814
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25			15,050,308		14,871,661
Alliance Laundry Systems LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27			13,665,750		13,632,952
Hillman Group, Inc.
due 02/24/285			12,468,354		12,395,664
Fugue Finance BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24	EUR		10,500,000		12,201,202
Filtration Group Corp.
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25	EUR		8,000,000		9,331,989
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25			1,661,120		1,635,788
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00% and 3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27			10,077,463		10,064,866

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Waterlogic Holdings Ltd.
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/14/25	EUR		5,999,999	$	7,000,468
CapStone Acquisition Holdings, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27			6,767,040		6,762,844
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/17/28			6,200,000		6,169,000
DXP Enterprises, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27			5,985,000		5,970,038
YAK MAT (YAK ACCESS LLC)
10.19% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26			7,240,000		5,867,441
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 06/03/24†††			5,775,631		5,757,583
American Residential Services LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/15/27			5,000,000		4,981,250
Berlin Packaging LLC
3.12% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25			4,569,977		4,482,645
Charter Nex US Holdings, Inc.
5.00% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 12/01/27			4,300,000		4,305,375
Pike Corp.
3.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/21/27			3,500,000		3,485,615
Anchor Packaging LLC
4.11% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26			1,968,246		1,968,246
FCG Acquisitions, Inc
due 03/16/28			1,680,000		1,669,500
CHI Overhead Doors, Inc.
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 07/31/25			1,446,375		1,446,375
DG Investment Intermediate Holdings 2, Inc.
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 02/03/25			808,099		805,068

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Fly Funding II SARL
2.50% (3 Month USD LIBOR + 1.75%, Rate Floor: 2.50%) due 08/11/25		658,803	$	643,156
CPG International LLC
3.25% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 05/06/24		508,112		507,477
Gates Global LLC
3.50% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.50%) due 03/31/27		451,328		449,825
VC GB Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24†††		181,614		180,479
BWAY Holding Co.
3.44% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		123,715		120,931
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,13		44,655		18,978
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,13		8,206		6,154
Total Industrial				334,097,771
Financial - 1.3%
Citadel Securities, LP
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		63,000,000		62,264,790
Jane Street Group LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		37,419,833		36,987,259
Nexus Buyer LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		26,054,609		25,908,182
USI, Inc.
3.45% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		18,954,467		18,754,687
3.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		6,489,176		6,411,566
Jefferies Finance LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/30/27†††		20,497,000		20,317,651
3.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/03/26		1,909,421		1,890,804
Alter Domus
4.50% (2 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		20,890,000		20,794,324

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Higginbotham
6.50% (1 Month USD LIBOR + 5.75%, Rate Floor: 6.50%) due 11/25/26†††			18,806,358	$	18,541,332
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26			15,200,000		15,209,576
HUB International Ltd.
3.22% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25			14,810,903		14,592,146
AmWINS Group, Inc.
3.00% (1 Month USD LIBOR + 2.25% and 1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/19/28			13,400,000		13,291,192
Orion Advisor Solutions, Inc.
due 09/24/275			12,200,000		12,184,750
Cross Financial Corp.
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 09/15/27			12,119,625		12,157,559
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27			10,274,185		10,272,542
Alliant Holdings Intermediate LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25			8,189,326		8,082,128
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/05/27			897,058		894,331
Jones Deslauriers Insurance Management, Inc.
due 03/12/28†††	CAD		6,974,000		5,564,568
due 03/12/29†††	CAD		3,171,000		2,530,147
GT Polaris, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 09/24/27			5,436,375		5,429,580
NFP Corp.
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27			5,458,430		5,371,423
PAI Holdco, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/22/27			5,150,000		5,162,875
Tegra118 Wealth Solutions, Inc.
4.19% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/18/27			1,200,000		1,197,996
AmeriLife Holdings LLC
4.11% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 03/18/27			562,109		560,940

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Virtu Financial, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/01/26			500,000	$	498,235
Total Financial					324,870,583
Technology - 1.1%
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24			54,501,125		54,467,334
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27			26,259,394		26,215,803
4.75% 3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27†††			3,690,606		3,705,978
Team.Blue Finco SARL
due 03/18/285	EUR		21,520,270		25,127,590
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27			23,250,000		23,240,235
RealPage, Inc.
3.75% due 02/18/28			19,135,000		19,036,646
Peraton Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28			12,264,907		12,254,727
RP Crown Parent LLC (Blue Yonder)
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/02/26			11,641,500		11,630,557
Sabre GLBL, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/10/27			9,625,875		9,716,166
ThoughtWorks, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/19/28			8,450,000		8,421,862
Cloudera, Inc.
3.25% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 12/22/27			8,000,000		7,980,000
Transact Holdings, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26			7,341,411		7,267,997
Imprivata, Inc.
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/01/27			7,100,000		7,078,913
E2open LLC
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 02/04/28			7,000,000		6,986,910
Provation Software Group, Inc.
5.50% (6 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/16/27			6,500,000		6,418,750
Sportradar Capital SARL
4.25% (3 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27	EUR		5,300,000		6,209,664

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

		Face Amount~		Value
Storable, Inc.
due 02/26/28			5,000,000	$	4,950,000
Navicure, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/22/26†††			4,688,250		4,697,064
Boxer Parent Co., Inc.
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25	EUR		4,000,000		4,682,833
Cologix Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 03/20/24			2,390,223		2,384,677
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/24			2,100,000		2,095,128
Project Boost Purchaser LLC
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26			3,366,977		3,318,055
Informatica LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27			1,915,924		1,899,638
Solera LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/03/23			878,727		873,077
Aston FinCo SARL
4.36% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26			642,508		637,290
Omnitracs LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/21/25			372,652		362,404
Aspect Software, Inc.
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 01/15/24			9,683		9,650
Total Technology					261,668,948
Communications - 0.5%
UPC Financing Partnership
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 01/31/29			45,150,000		45,005,068
Syndigo LLC
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††			24,900,000		24,900,000
Xplornet Communications, Inc.
4.86% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27			21,144,479		21,127,986
ProQuest, LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26			19,650,000		19,512,450
Alchemy Copyrights LLC
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 03/10/28†††			6,034,875		6,034,875

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Radiate Holdco, LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		2,244,375	$	2,242,086
Zayo Group Holdings, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,652,094		1,637,605
LCPR Loan Financing LLC
due 10/15/285		1,300,000		1,301,625
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,071,454		1,067,821
Titan US Finco LLC
4.20% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26		982,521		980,065
Internet Brands, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24		764,780		755,603
Telenet Financing USD LLC
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		620,000		611,630
Flight Bidco, Inc.
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		283,906		281,334
Total Communications				125,458,148
Basic Materials - 0.5%
INEOS Ltd.
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	31,100,000		36,164,326
Illuminate Buyer LLC
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		28,492,922		28,338,491
GrafTech Finance, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/12/25		21,935,840		21,908,420
Trinseo Materials Operating S.C.A.
due 03/17/28		11,100,000		10,975,125
PQ Corp.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/08/27		7,340,985		7,337,902
TricorBraun Holdings, Inc.
3.75% (6 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		6,209,832		6,145,125
Pregis TopCo Corp.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/31/26		2,935,500		2,909,198
Clearwater Paper Corp.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
3.22% (1 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/24/26		540,257	$	538,906
Total Basic Materials				114,317,493
Utilities - 0.2%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		53,529,766		53,686,073
RS Ivy Holdco, Inc.
6.50% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 12/23/27†††		5,985,000		5,985,000
Total Utilities				59,671,073
Energy - 0.1%
Venture Global Calcasieu Pass LLC
2.48% (1 Month USD LIBOR + 2.38% and 3 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		16,027,748		15,146,222
Lotus Midstream, LLC
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25		550,371		546,381
Total Energy				15,692,603
Total Senior Floating Rate Interests
(Cost $1,964,196,481)				1,974,790,677
U.S. GOVERNMENT SECURITIES†† - 7.4%
U.S. Treasury Notes
1.13% due 02/15/3114		799,908,000		755,163,146
0.25% due 05/31/2514		403,300,000		395,549,078
2.00% due 04/30/24		12,460,000		13,075,213
1.75% due 06/30/24		9,101,000		9,487,082
2.38% due 02/29/24		7,749,000		8,205,465
0.50% due 04/30/27		6,780,000		6,489,731
1.38% due 02/15/23		4,500,000		4,602,305
1.75% due 12/31/26		4,000,000		4,137,500
1.50% due 10/31/24		3,820,000		3,949,223
2.25% due 08/15/27		3,370,000		3,569,831
0.50% due 05/31/27		2,600,000		2,483,609
1.13% due 02/28/27		2,250,000		2,242,441
2.13% due 05/15/25		880,000		931,184
U.S. Treasury Strips
due 02/15/508,12,16		736,163,000		359,368,488
due 02/15/5112,16		310,000,000		147,944,329
due 08/15/5012,16		160,000,000		77,237,611
U.S. Treasury Bonds
8.00% due 11/15/21		5,600,000		5,876,063
8.13% due 08/15/21		3,900,000		4,017,914
2.88% due 08/15/45		2,630,000		2,864,851
2.38% due 11/15/49		2,300,000		2,278,438
1.38% due 08/15/50		2,450,000		1,904,109
2.75% due 11/15/42		700,000		748,617
Total U.S. Government Securities
(Cost $1,946,896,907)				1,812,126,228
FEDERAL AGENCY BONDS†† - 1.8%
Freddie Mac Principal Strips
due 07/15/3212,14,16		123,250,000		96,968,540
Fannie Mae Principal Strips
due 07/15/3712,14,16		89,850,000		60,010,815
due 11/15/3012,14,16		37,570,000		30,976,014
due 08/06/3812,16		5,850,000		3,773,619
Tennessee Valley Authority
4.25% due 09/15/65		36,250,000		46,763,551
5.38% due 04/01/56		8,960,000		13,543,148
due 03/15/3311,16		3,000,000		2,299,737
due 01/15/2811,16		2,011,000		1,812,609
due 03/15/3511,16		1,142,000		820,490
due 09/15/5311,16		1,612,000		576,527
due 09/15/5511,16		1,612,000		537,473
due 09/15/5611,16		1,612,000		518,796
due 03/15/5711,16		1,612,000		510,567
due 09/15/5711,16		1,612,000		502,470

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
due 09/15/5811,16		1,612,000	$	483,083
due 03/15/5911,16		1,612,000		475,374
due 09/15/5911,16		1,612,000		467,788
due 09/15/6011,16		1,612,000		452,977
due 09/15/5411,16		1,020,000		352,262
due 03/15/6111,16		1,020,000		282,049
due 09/15/6111,16		1,020,000		277,548
due 09/15/6211,16		1,020,000		267,667
due 03/15/6311,16		1,020,000		263,382
due 09/15/6311,16		1,020,000		259,167
due 09/15/6411,16		1,020,000		248,800
due 03/15/6511,16		1,020,000		244,794
due 09/15/6511,16		1,020,000		240,852
Tennessee Valley Authority Principal Strips
due 01/15/4812,16		38,400,000		16,829,069
due 12/15/4212,16		23,785,000		12,480,418
due 01/15/3812,16		15,800,000		9,999,883
due 09/15/3912,16		570,000		335,456
due 04/01/5612,16		540,000		176,949
Freddie Mac Coupon Strips
due 03/15/3011,16		12,050,000		10,113,565
due 07/15/3011,14,16		8,600,000		7,151,304
due 01/15/3111,16		7,750,000		6,356,124
due 09/15/3011,16		2,906,000		2,403,986
due 03/15/3111,16		2,500,000		2,043,452
due 07/15/3111,16		1,800,000		1,456,929
due 01/15/3011,16		1,050,000		884,913
Federal Farm Credit Bank
2.43% due 01/29/37		13,720,000		13,985,921
3.58% due 04/11/47		4,900,000		5,629,355
2.00% due 05/14/40		3,000,000		2,782,005
2.04% due 12/22/45		2,870,000		2,556,585
1.99% due 07/30/40		2,000,000		1,837,856
3.11% due 08/05/48		1,500,000		1,593,354
3.79% due 05/18/44		1,000,000		1,180,257
2.88% due 10/01/40		100,000		105,866
3.67% due 02/26/44		70,000		81,106
Freddie Mac
due 01/02/3416		18,000,000		13,487,778
due 09/15/3616		7,355,000		5,022,553
due 11/15/3816		6,000,000		3,830,220
2.05% due 08/19/50		2,010,000		1,744,680
2.02% due 10/05/45		720,000		636,782
U.S. International Development Finance Corp.
3.17% due 10/05/34		11,176,953		12,216,056
1.79% due 10/15/29		9,704,279		10,205,501
Fannie Mae
due 01/15/3216		9,413,000		7,516,921
due 07/15/3216		3,963,000		3,114,462
due 01/15/3516		2,250,000		1,633,489
due 02/06/3316		1,456,000		1,124,087
due 01/15/3316		1,450,000		1,120,882
Federal Home Loan Bank
3.63% due 06/22/43		4,850,000		5,601,871
3.25% due 06/10/39		4,500,000		5,037,529
2.69% due 09/26/34		1,350,000		1,382,848
Resolution Funding Corporation Principal Strips
due 01/15/3012,16		1,950,000		1,643,370
due 04/15/3012,16		725,000		605,877
Total Federal Agency Bonds
(Cost $405,913,095)				439,839,358
MUNICIPAL BONDS†† - 1.1%
California - 0.4%
State of California General Obligation Unlimited
7.55% due 04/01/39		11,900,000		19,223,846
7.35% due 11/01/39		10,135,000		15,559,960
San Mateo Foster City School District General Obligation Unlimited
3.06% due 08/01/44		6,125,000		6,146,708
2.63% due 08/01/36		2,355,000		2,374,648
2.73% due 08/01/37		2,100,000		2,121,986
2.79% due 08/01/38		1,155,000		1,167,195
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/4516		8,565,000		3,693,717
due 08/01/3916		4,000,000		2,256,622
due 08/01/4016		2,500,000		1,346,830
due 08/01/4116		2,000,000		1,027,537
due 08/01/4316		1,900,000		893,802
due 08/01/4616		800,000		330,752

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
California Public Finance Authority Revenue Bonds
3.07% due 10/15/40		8,000,000	$	8,000,999
Cypress School District General Obligation Unlimited
due 08/01/4816		14,450,000		5,598,963
California State University Revenue Bonds
2.98% due 11/01/51		5,000,000		4,901,041
Palomar Community College District General Obligation Unlimited
2.99% due 08/01/44		2,900,000		2,856,580
San Bernardino Community College District General Obligation Unlimited
due 08/01/4416		4,750,000		2,384,597
Upland Unified School District General Obligation Unlimited
due 08/01/5016		5,040,000		2,120,232
Hanford Joint Union High School District General Obligation Unlimited
due 08/01/4116		4,125,000		1,902,805
San Marcos Unified School District General Obligation Unlimited
due 08/01/4716		3,600,000		1,758,792
San Dieguito Union High School District General Obligation Unlimited
2.85% due 08/01/38		850,000		864,639
2.68% due 08/01/36		650,000		661,414
Hillsborough City School District General Obligation Unlimited
due 09/01/3716		1,000,000		597,212
due 09/01/3916		1,000,000		546,318
Oakland Redevelopment Agency Successor Agency Tax Allocation
4.00% due 09/01/39		1,100,000		1,137,136
Wiseburn School District General Obligation Unlimited
due 08/01/3416		900,000		667,564
Santa Ana Unified School District General Obligation Unlimited
due 08/01/3516		700,000		503,169
Total California				90,645,064
New York - 0.3%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		40,000,000		40,965,184
New York Power Authority Revenue Bonds
2.82% due 11/15/39		16,500,000		15,996,755
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/49		650,000		800,720
Total New York				57,762,659
Texas - 0.2%
Dallas Fort Worth International Airport Revenue Bonds
3.09% due 11/01/40		13,800,000		13,645,045

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
City of San Antonio Texas Electric & Gas Systems Revenue Bonds
2.91% due 02/01/48		10,500,000	$	10,318,335
Denton County Housing Finance Corp. Revenue Bonds
2.15% due 11/01/38		7,200,000		7,201,771
Wylie Independent School District General Obligation Unlimited
due 08/15/4616		8,885,000		3,503,648
due 08/15/4316		3,555,000		1,599,855
North Texas Tollway Authority Revenue Bonds
3.03% due 01/01/40		5,000,000		4,917,497
Central Texas Turnpike System Revenue Bonds
3.03% due 08/15/41		3,150,000		2,963,584
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.42% due 09/01/50		2,500,000		2,465,049
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/4516		2,850,000		1,011,470
due 11/15/4116		1,500,000		655,132
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds
3.34% due 11/15/37		1,500,000		1,472,444
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,300,000		1,235,337
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,000,000		1,007,036
Total Texas				51,996,203
Ohio - 0.1%
Northeast Ohio Regional Sewer District Revenue Bonds
3.30% due 11/15/49		10,750,000		11,162,414
Ohio Turnpike & Infrastructure Commission Revenue Bonds
3.20% due 02/15/48		5,200,000		5,205,518
Dayton-Montgomery County Port Authority Revenue Bonds
1.84% due 09/01/38		4,600,000		4,513,574
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		4,000,000		3,684,654
Total Ohio				24,566,160
Illinois - 0.1%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,850,000		6,924,799
6.63% due 02/01/35		1,820,000		2,251,725
City of Chicago Illinois General Obligation Unlimited
6.31% due 01/01/44		4,500,000		5,912,093
Total Illinois				15,088,617
Mississippi - 0.0%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		11,800,000		11,031,294

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50		6,500,000	$	5,960,106
2.53% due 06/01/40		4,100,000		3,834,137
Total Alabama				9,794,243
North Carolina - 0.0%
Inlivian Revenue Bonds
3.02% due 01/01/38		4,125,000		4,015,821
Total North Carolina				4,015,821
Washington - 0.0%
Central Washington University Revenue Bonds
6.95% due 05/01/40		1,750,000		2,387,540
Klickitat County Public Utility District No. 1 Revenue Bonds
5.25% due 12/01/21		15,000		15,347
Total Washington				2,402,887
Arizona - 0.0%
Northern Arizona University Revenue Bonds
3.09% due 08/01/39		2,350,000		2,227,232
Florida - 0.0%
County of Miami-Dade Florida Revenue Bonds
due 10/01/4116		4,100,000		2,137,203
Pennsylvania - 0.0%
Pennsylvania Economic Development Financing Authority Revenue Bonds
due 01/01/4116		995,000		595,773
due 01/01/3716		570,000		387,554
Total Pennsylvania				983,327
Oklahoma - 0.0%
Oklahoma Development Finance Authority Revenue Bonds
4.65% due 08/15/30		450,000		503,012
Idaho - 0.0%
Boise State University Revenue Bonds
3.06% due 04/01/40		250,000		237,552
Virginia - 0.0%
Montgomery County Economic Development Authority Revenue Bonds
4.66% due 06/01/21		25,000		25,174
Minnesota - 0.0%
Dakota & Washington Counties Housing & Redevelopment Auth/City of Bloomington Minnesota Revenue Bonds
8.38% due 09/01/21		5,000		5,109
Total Municipal Bonds
(Cost $270,038,079)				273,421,557
FOREIGN GOVERNMENT DEBT†† - 0.0%
Bermuda Government International Bond
3.38% due 08/20/506		8,400,000		8,124,480
Total Foreign Government Debt
(Cost $8,376,677)				8,124,480
SENIOR FIXED RATE INTERESTS††† - 0.0%
Industrial - 0.0%
CTL Logistics
due 10/10/425		4,756,586		4,413,273
Total Senior Fixed Rate Interests
(Cost $4,756,586)				4,413,273

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

	Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.4%
Call options on:
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		6,229,100,000	$	57,806,048
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		1,880,100,000		13,875,138
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		1,402,500,000		13,015,200
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		630,100,000		4,650,138
				89,346,524
Total OTC Options Purchased
(Cost $23,214,540)				89,346,524
Total Investments - 106.4%
(Cost $25,710,788,756)				25,994,742,877
Other Assets & Liabilities, net - (6.4)%				(1,573,564,465	)
Total Net Assets - 100.0%			$	24,421,178,412

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency	Maturity Date	Notional Amount
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.65%		Quarterly	08/13/30	$	463,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.99%		Quarterly	08/20/50		127,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.99%		Quarterly	08/25/50		100,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.53%		Quarterly	08/06/30		243,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.45%		Quarterly	07/13/27		300,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.27%		Annually	02/07/23		82,400,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.37%		Annually	12/04/21		175,200,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.34%		Annually	11/27/21		164,500,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.22%		Quarterly	07/13/23		500,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.59%		Annually	03/07/22		150,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.82%		Annually	04/01/26		600,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.47%		Annually	03/09/25		498,005,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.52%		Annually	10/02/30		132,900,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.56%		Annually	10/07/30		226,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.55%		Annually	10/16/30		350,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.68%		Annually	12/02/30		400,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.51%		Annually	09/02/30		400,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.76%		Annually	01/05/31		650,000,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Counterparty	Value			Upfront Premiums Paid		Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.	$	44,626,001		$	3,750	$	44,622,251
BofA Securities, Inc.		35,249,182			2,471		35,246,711
BofA Securities, Inc.		27,920,853			2,009		27,918,844
BofA Securities, Inc.		25,987,049			2,097		25,984,952
BofA Securities, Inc.		16,093,518			1,883		16,091,635
BofA Securities, Inc.		1,773,850			312		1,773,538
BofA Securities, Inc.		1,575,093			249		1,574,844
BofA Securities, Inc.		1,411,209			233		1,410,976
BofA Securities, Inc.		1,315,890			1,176		1,314,714
BofA Securities, Inc.		731,856			313		731,543
BofA Securities, Inc.		(1,268,172	)		2,998		(1,271,170	)
BofA Securities, Inc.		(2,333,044	)		1,884		(2,334,928	)
BofA Securities, Inc.		(12,427,883	)		1,295		(12,429,178	)
BofA Securities, Inc.		(20,331,254	)		2,006		(20,333,260	)
BofA Securities, Inc.		(32,112,284	)		2,957		(32,115,241	)
BofA Securities, Inc.		(32,759,559	)		3,384		(32,762,943	)
BofA Securities, Inc.		(36,244,552	)		3,298		(36,247,850	)
BofA Securities, Inc.		(49,272,053	)		5,369		(49,277,422	)
	$	(30,064,300	)	$	37,684	$	(30,101,984	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Total Return Swap Agreements
Counterparty	Reference Obligation	Financing Rate Receive	Payment Frequency	Maturity Date		Units		Notional Amount		Value and Unrealized Appreciation (Depreciation)
OTC Credit Index Swap Agreements††
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.39% (1 Month USD LIBOR - 0.50%)	Monthly		05/04/21		267,880	$	23,353,778	$	66,970
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.39% (1 Month USD LIBOR - 0.50%)	Monthly		05/04/21		286,000		24,933,480		60,060
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.39% (1 Month USD LIBOR - 0.50%)	Monthly		05/05/21		286,800		25,003,224		11,472
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.40% (1 Month USD LIBOR - 0.50%)	Monthly		05/07/21		286,300		24,959,634		(8,589	)
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.30% (1 Month USD LIBOR - 0.40%)	Monthly		05/05/21		95,210		8,300,408		(19,994	)
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.39% (1 Month USD LIBOR - 0.50%)	Monthly		04/30/21		1,100,000		95,898,000		(22,000	)
								$	202,448,524	$	87,919

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Citibank, N.A.		436,650,000		BRL		07/01/21	$	103,795,927	$	77,151,049	$	26,644,878
Bank of America, N.A.		17,346,669,000		JPY		08/02/21		171,181,418		156,852,744		14,328,674
Goldman Sachs International		149,210,000		BRL		07/01/21		34,956,073		26,363,696		8,592,377
JPMorgan Chase Bank, N.A.		10,005,000,000		JPY		07/01/21		97,867,554		90,434,905		7,432,649
Morgan Stanley Capital Services LLC		8,674,335,000		JPY		08/02/21		85,134,311		78,435,419		6,698,892
Citibank, N.A.		8,674,335,000		JPY		05/06/21		84,594,646		78,366,423		6,228,223
Barclays Bank plc		188,330,000		EUR		04/16/21		225,815,443		220,888,073		4,927,370
JPMorgan Chase Bank, N.A.		67,200,000		BRL		07/01/21		15,963,892		11,873,470		4,090,422
Goldman Sachs International		4,532,865,300		JPY		12/20/21		44,786,733		41,071,875		3,714,858
Barclays Bank plc		3,469,734,000		JPY		06/01/21		33,963,723		31,353,002		2,610,721
Bank of America, N.A.		49,060,000		EUR		06/30/21		57,939,958		57,635,559		304,399
Goldman Sachs International		5,262,000		GBP		04/16/21		7,358,565		7,254,111		104,454
Goldman Sachs International		28,886,625		ILS		11/30/22		8,761,487		8,756,943		4,544
Goldman Sachs International		2,265,300		JPY		06/21/21		22,155		20,474		1,681
Morgan Stanley Capital Services LLC		2,000,000		EUR		04/16/21		2,346,677		2,345,756		921
JPMorgan Chase Bank, N.A.		60,000		GBP		04/16/21		83,255		82,715		540
Goldman Sachs International		356,625		ILS		11/30/21		106,446		107,341		(895	)
Citibank, N.A.		260,000		CAD		04/16/21		205,775		206,943		(1,168	)
Goldman Sachs International		499,481		ILS		07/30/21		148,223		149,921		(1,698	)
Goldman Sachs International		67,282,219		ILS		08/01/22		20,296,296		20,352,888		(56,592	)
UBS AG		105,000,000		EUR		04/16/21		123,054,855		123,152,167		(97,312	)
Bank of America, N.A.		33,128,000		ILS		04/30/21		9,634,434		9,921,551		(287,117	)
Bank of America, N.A.		75,749,000		ILS		01/31/22		22,457,456		22,832,740		(375,284	)
Citibank, N.A.		75,123,800		ILS		04/30/21		21,943,566		22,498,931		(555,365	)
Goldman Sachs International		164,231,850		ILS		01/31/22		48,573,458		49,503,797		(930,339	)
Goldman Sachs International		108,769,700		EUR		07/30/21		126,349,602		127,869,057		(1,519,455	)
JPMorgan Chase Bank, N.A.		107,510,325		EUR		07/30/21		124,085,192		126,388,543		(2,303,351	)
Goldman Sachs International		427,522,900		ILS		04/30/21		125,180,154		128,039,428		(2,859,274	)
											$	76,697,753

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Counterparty	Contracts to Buy		Currency		Settlement Date	Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Goldman Sachs International		239,980,850		ILS	01/31/22	$	65,373,467	$	72,336,538	$	6,963,071
Goldman Sachs International		216,280,025		EUR	07/30/21		248,181,329		254,257,600		6,076,271
Goldman Sachs International		267,887,350		ILS	04/30/21		74,716,168		80,229,955		5,513,787
JPMorgan Chase Bank, N.A.		267,887,350		ILS	04/30/21		75,482,488		80,229,955		4,747,467
Goldman Sachs International		67,282,219		ILS	08/01/22		18,074,472		20,352,888		2,278,416
Goldman Sachs International		28,886,625		ILS	11/30/22		7,727,829		8,756,943		1,029,114
Goldman Sachs International		499,481		ILS	07/30/21		134,017		149,921		15,904
Goldman Sachs International		356,625		ILS	11/30/21		95,100		107,341		12,241
Barclays Bank plc		2,265,300		JPY	06/21/21		21,468		20,474		(994	)
JPMorgan Chase Bank, N.A.		3,469,734,000		JPY	06/01/21		32,564,373		31,353,002		(1,211,371	)
Barclays Bank plc		4,532,865,300		JPY	12/20/21		43,207,181		41,071,876		(2,135,305	)
Goldman Sachs International		8,674,335,000		JPY	05/06/21		81,311,727		78,366,423		(2,945,304	)
JPMorgan Chase Bank, N.A.		218,775,000		BRL	07/01/21		42,398,256		38,655,034		(3,743,222	)
Citibank, N.A.		434,285,000		BRL	07/01/21		83,284,770		76,733,181		(6,551,589	)
JPMorgan Chase Bank, N.A.		10,005,000,000		JPY	07/01/21		97,690,768		90,434,905		(7,255,863	)
JPMorgan Chase Bank, N.A.		26,021,004,000		JPY	08/02/21		246,341,039		235,288,163		(11,052,876	)
										$	(8,260,253	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	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.
2	Rate indicated is the 7-day yield as of March 31, 2021.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Perpetual maturity.
5	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
6	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 $10,312,640,878 (cost $10,275,737,927), or 42.2% of total net assets.
7	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 $318,110,863 (cost $320,287,950), or 1.3% of total net assets — See Note 10.
8	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
9	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
10	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
11	Security is an interest-only strip.
12	Security is a principal-only strip.
13	Payment-in-kind security.
14	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At March 31, 2021, the total market value of segregated or earmarked securities was $1,345,818,897 — See Note 6.
15	Security is in default of interest and/or principal obligations.
16	Zero coupon rate security.
	BofA — Bank of America
	BRL — Brazilian Real
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EURIBOR — European Interbank Offered Rate
	EUR — Euro
	GBP — British Pound
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

REMIC — Real Estate Mortgage Investment Conduit

REIT — Real Estate Investment Trust

SARL — Société à Responsabilité Limitée

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	281,424,473	$	—	$	252		$	281,424,725
Preferred Stocks		—		536,312,920		—	*		536,312,920
Warrants		8,375,909		—		—			8,375,909
Mutual Funds		68,280,141		—		—			68,280,141
Closed-End Funds		15,674,306		—		—			15,674,306
Money Market Fund		403,274,507		—		—			403,274,507
Corporate Bonds		—		11,360,394,209		508,196,287			11,868,590,496
Asset-Backed Securities		—		4,727,907,230		653,348,245			5,381,255,475
Collateralized Mortgage Obligations		—		2,710,608,756		118,883,545			2,829,492,301
Senior Floating Rate Interests		—		1,809,427,534		165,363,143			1,974,790,677
U.S. Government Securities		—		1,812,126,228		—			1,812,126,228
Federal Agency Bonds		—		439,839,358		—			439,839,358
Municipal Bonds		—		273,421,557		—			273,421,557
Foreign Government Debt		—		8,124,480		—			8,124,480
Senior Fixed Rate Interests		—		—		4,413,273			4,413,273
Options Purchased		—		89,346,524		—			89,346,524
Interest Rate Swap Agreements**		—		156,670,008		—			156,670,008
Credit Index Swap Agreements**		—		138,502		—			138,502
Forward Foreign Currency Exchange Contracts**		—		112,321,874		—			112,321,874
Total Assets	$	777,029,336	$	24,036,639,180	$	1,450,204,745		$	26,263,873,261

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swap Agreements**	$	—	$	186,771,992	$	—	$	186,771,992
Credit Index Swap Agreements**		—		50,583		—		50,583
Forward Foreign Currency Exchange Contracts**		—		43,884,374		—		43,884,374
Unfunded Loan Commitments (Note 9)		—		—		1,325,661		1,325,661
Total Liabilities	$	—	$	230,706,949	$	1,325,661	$	232,032,610

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $555,271,893 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
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 March 31, 2021		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	317,849,350	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Asset-Backed Securities		239,975,749	Model Price	Purchase Price	—		—
Asset-Backed Securities		95,523,146	Yield Analysis	Yield	2.2%-3%		2.4%
Collateralized Mortgage Obligations		114,064,710	Model Price	Purchase Price	—		—
Collateralized Mortgage Obligations		4,818,835	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Common Stocks		252	Enterprise Value	Valuation Multiple	2.9x-10.4x		4.7x
Corporate Bonds		342,992,130	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Corporate Bonds		91,541,300	Third Party Pricing	Vendor Price	—		—
Corporate Bonds		70,463,177	Third Party Pricing	Trade Price	—		—
Corporate Bonds		3,199,680	Model Price	Purchase Price	—		—
Senior Fixed Rate Interests		4,413,273	Yield Analysis	Yield	3.4%		—
Senior Floating Rate Interests		88,004,457	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		44,157,246	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Senior Floating Rate Interests		18,541,332	Yield Analysis	Yield	6.8%		—
Senior Floating Rate Interests		14,660,108	Third Party Pricing	Vendor Price	—		—
Total Assets	$	1,450,204,745
Liabilities:
Unfunded Loan Commitments	$	1,325,661	Model Price	Purchase Price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, market comparable yields, or valuation multiples would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had assets with a total value of $242,513,572 transfer into Level 3 from Level 2 due to a lack of observable inputs and had assets with a total value of $11,905,954 transfer out of Level 3 into Level 2 due to changes in the securities valuation methods based on the availability of observable market inputs.

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, 2021:

	Assets
	Asset- Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Common Stocks
Beginning Balance	$	466,869,292		$	167,618,207		$	244,694,520		$	424,325		$	3,870
Purchases/(Receipts)		321,550,000			114,123,088			282,127,892			127,944,807			—
(Sales, maturities and paydowns)/Fundings		(330,226,184	)		(161,432,397	)		(108,282	)		(327,267	)		—
Amortization of premiums/discounts		500			(9,166	)		(55,534	)		125,041			—
Total realized gains (losses) included in earnings		1,341			(2,264	)		—			63			—
Total change in unrealized appreciation (depreciation) included in earnings		748,021			(1,413,923	)		(18,396,385	)		927,907			(3,618	)
Transfers into Level 3		202,506,719			—			3,199,680			36,807,173			—
Transfers out Level 3		(8,101,444	)		—			(3,265,604	)		(538,906	)		—
Ending Balance	$	653,348,245		$	118,883,545		$	508,196,287		$	165,363,143		$	252
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	712,217		$	37,294		$	(18,090,791	)	$	927,865		$	(3,618	)

	Assets									Liabilities
	Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	4,598		$	—		$	879,614,812		$	(2,340,507	)
Purchases/(Receipts)		—			4,756,587			850,502,374			(471,736	)
(Sales, maturities and paydowns)/Fundings		—			—			(492,094,130	)		1,345,128
Amortization of premiums/discounts		—			—			60,841			3,176
Total realized gains (losses) included in earnings		—			—			(860	)		—
Total change in unrealized appreciation (depreciation) included in earnings		(4,598	)		(343,314	)		(18,485,910	)		138,278
Transfers into Level 3		—			—			242,513,572			—
Transfers out Level 3		—			—			(11,905,954	)		—
Ending Balance	$	—		$	4,413,273		$	1,450,204,745		$	(1,325,661	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	(4,598	)	$	(343,314	)	$	(16,764,944	)	$	140,115

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
TOTAL RETURN BOND FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date
CSMC Trust 2020-NQM1, 1.72% due 05/25/65		2.72	%		09/26/24
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC *	$	188	$	—	$	—	$	—
Mutual Funds
Guggenheim Strategy Fund II		26,762,744		243,484		—		—
Guggenheim Strategy Fund III		14,458,530		126,478		—		—
Guggenheim Ultra Short Duration Fund — Institutional Class		26,551,766		139,246		—		—
	$	67,773,228	$	509,208	$	—	$	—

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
TOTAL RETURN BOND FUND

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 03/31/21		Shares 03/31/21		Investment Income
Common Stocks
BP Holdco LLC *	$	—		$	188		532	$	—
Mutual Funds
Guggenheim Strategy Fund II		10,792			27,017,020		1,081,546		243,483
Guggenheim Strategy Fund III		40,479			14,625,487		581,762		126,477
Guggenheim Ultra Short Duration Fund — Institutional Class		(53,378	)		26,637,634		2,674,461		139,245
	$	(2,107	)	$	68,280,329			$	509,205

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

TOTAL RETURN BOND FUND

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $25,642,661,778)	$	25,926,462,548
Investments in affiliated issuers, at value (cost $68,126,978)		68,280,329
Foreign currency, at value (cost $359,598)		359,604
Cash		8,876,627
Unamortized upfront premiums paid on interest rate swap agreements		37,684
Unrealized appreciation on OTC swap agreements		138,502
Unrealized appreciation on forward foreign currency exchange contracts		112,321,874
Prepaid expenses		1,330,106
Receivables:
Securities sold		280,812,382
Interest		159,844,228
Fund shares sold		46,093,581
Variation margin on interest rate swap agreements		2,559,654
Dividends		141,405
Total assets		26,607,258,524
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $1,481,033)		1,325,661
Reverse repurchase agreements		555,271,893
Segregated cash due to broker		97,408,067
Unrealized depreciation on OTC swap agreements		50,583
Unrealized depreciation on forward foreign currency exchange contracts		43,884,374
Payable for:
Securities purchased		1,404,270,136
Fund shares redeemed		62,992,808
Distributions to shareholders		8,278,447
Management fees		5,892,104
Fund accounting/administration fees	$	1,387,849
Swap settlement		1,252,276
Distribution and service fees		646,661
Transfer agent/maintenance fees		344,281
Printing fees		239,815
Trustees’ fees*		8,365
Miscellaneous		2,826,792
Total liabilities		2,186,080,112
Net assets	$	24,421,178,412
Net assets consist of:
Paid in capital	$	24,011,672,669
Total distributable earnings (loss)		409,505,743
Net assets	$	24,421,178,412
A-Class:
Net assets	$	689,472,316
Capital shares outstanding		24,298,595
Net asset value per share	$	28.37
Maximum offering price per share (Net asset value divided by 96.00%)	$	29.55
C-Class:
Net assets	$	340,475,604
Capital shares outstanding		11,997,826
Net asset value per share	$	28.38
P-Class:
Net assets	$	947,294,177
Capital shares outstanding		33,393,180
Net asset value per share	$	28.37
Institutional Class:
Net assets	$	22,239,411,156
Capital shares outstanding		783,063,373
Net asset value per share	$	28.40
R6-Class:
Net assets	$	204,525,159
Capital shares outstanding		7,197,270
Net asset value per share	$	28.42

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

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

STATEMENT OF OPERATIONS (Unaudited)

TOTAL RETURN BOND FUND

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	21,087,342
Dividends from securities of affiliated issuers		509,205
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $4,933)		351,707,822
Total investment income		373,304,369
Expenses:
Management fees		45,846,236
Distribution and service fees:
A-Class		917,343
C-Class		1,748,031
P-Class		1,230,204
Transfer agent/maintenance fees:
A-Class		454,799
C-Class		169,083
P-Class		605,385
Institutional Class		8,809,920
R6-Class		9,395
Fund accounting/administration fees		7,941,221
Line of credit fees		1,086,186
Professional fees		609,267
Interest expense		287,648
Trustees’ fees*		213,876
Custodian fees		55,626
Miscellaneous		573,615
Recoupment of previously waived fees:
A-Class		8,804
C-Class		8,579
R6-Class		9,520
Total expenses		70,584,738
Less:
Expenses reimbursed by Adviser:
A-Class	$	(260,015	)
C-Class		(81,584	)
P-Class		(330,730	)
Institutional Class		(6,988,723	)
R6-Class		(2,665	)
Expenses waived by Adviser		(33,166	)
Earnings credits applied		(13,487	)
Total waived/reimbursed expenses		(7,710,370	)
Net expenses		62,874,368
Net investment income		310,430,001
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		165,166,634
Swap agreements		44,922,605
Futures contracts		94,051
Options purchased		38,488,836
Forward foreign currency exchange contracts		1,752,496
Foreign currency transactions		(4,116,346	)
Net realized gain		246,308,276
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(787,849,188	)
Investments in affiliated issuers		(2,107	)
Swap agreements		(87,106,317	)
Options purchased		47,733,960
Forward foreign currency exchange contracts		4,132,086
Foreign currency translations		4,381,293
Net change in unrealized appreciation (depreciation)		(818,710,273	)
Net realized and unrealized loss		(572,401,997	)
Net decrease in net assets resulting from operations	$	(261,971,996	)

* 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 | 89

STATEMENTS OF CHANGES IN NET ASSETS

TOTAL RETURN BOND FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	310,430,001		$	363,342,717
Net realized gain on investments		246,308,276			584,388,023
Net change in unrealized appreciation (depreciation) on investments		(818,710,273	)		795,295,708
Net increase (decrease) in net assets resulting from operations		(261,971,996	)		1,743,026,448
Distributions to shareholders:
A-Class		(26,706,188	)		(14,139,957	)
C-Class		(11,917,616	)		(4,404,558	)
P-Class		(37,295,254	)		(17,649,084	)
Institutional Class		(824,662,786	)		(363,935,819	)
R6-Class		(7,163,520	)		(3,433,470	)
Total distributions to shareholders		(907,745,364	)		(403,562,888	)
Capital share transactions:
Proceeds from sale of shares
A-Class		208,660,059			390,304,686
C-Class		50,047,003			96,598,040
P-Class		283,624,064			445,917,866
Institutional Class		6,842,171,701			10,467,112,876
R6-Class		66,151,423			149,980,117
Distributions reinvested
A-Class		22,613,839			12,577,240
C-Class		10,113,539			3,666,589
P-Class		37,203,539			17,508,562
Institutional Class		708,196,572			303,841,966
R6-Class		7,162,981			3,433,046
Cost of shares redeemed
A-Class		(314,446,331	)		(257,595,809	)
C-Class		(41,491,476	)		(71,903,157	)
P-Class		(252,273,462	)		(417,273,313	)
Institutional Class		(3,400,438,461	)		(4,949,016,576	)
R6-Class		(26,815,500	)		(53,331,923	)
Net increase from capital share transactions		4,200,479,490			6,141,820,210
Net increase in net assets		3,030,762,130			7,481,283,770
Net assets:
Beginning of period		21,390,416,282			13,909,132,512
End of period	$	24,421,178,412		$	21,390,416,282

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		7,092,898			13,593,542
C-Class		1,691,364			3,373,040
P-Class		9,600,745			15,597,287
Institutional Class		232,078,096			366,759,309
R6-Class		2,247,066			5,376,306
Shares issued from reinvestment of distributions
A-Class		767,638			441,156
C-Class		343,228			128,418
P-Class		1,263,621			615,214
Institutional Class		24,039,496			10,620,644
R6-Class		243,019			120,055
Shares redeemed
A-Class		(10,606,614	)		(9,218,165	)
C-Class		(1,416,635	)		(2,550,900	)
P-Class		(8,623,652	)		(14,959,306	)
Institutional Class		(116,155,302	)		(176,503,485	)
R6-Class		(910,760	)		(1,897,087	)
Net increase in shares		141,654,208			211,496,028

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91

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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.76		$	27.42		$	26.69		$	27.05		$	27.23		$	26.50
Income (loss) from investment operations:
Net investment income (loss)b		.35			.56			.64			.72			.83			.96
Net gain (loss) on investments (realized and unrealized)		(.63	)		2.41			.85			(.37	)		.05			.81
Total from investment operations		(.28	)		2.97			1.49			.35			.88			1.77
Less distributions from:
Net investment income		(.38	)		(.63	)		(.65	)		(.71	)		(.95	)		(1.04	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)		—
Total distributions		(1.11	)		(.63	)		(.76	)		(.71	)		(1.06	)		(1.04	)
Net asset value, end of period	$	28.37		$	29.76		$	27.42		$	26.69		$	27.05		$	27.23
Total Returnc		(0.99	%)		10.96	%		5.70	%		1.28	%		3.33	%		6.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	689,472		$	804,750		$	609,602		$	589,760		$	744,989		$	548,223
Ratios to average net assets:
Net investment income (loss)		2.38	%		1.99	%		2.37	%		2.66	%		3.08	%		3.63	%
Total expensesd		0.86	%		0.87	%		0.96	%		0.93	%		1.02	%		1.15	%
Net expensese,f,g		0.79	%		0.80	%		0.80	%		0.81	%		0.87	%		0.97	%
Portfolio turnover rate		25	%		116	%		68	%		48	%		72	%		86	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

C-Class	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.76		$	27.43		$	26.69		$	27.05		$	27.23		$	26.50
Income (loss) from investment operations:
Net investment income (loss)b		.24			.35			.43			.52			.65			.75
Net gain (loss) on investments (realized and unrealized)		(.62	)		2.40			.87			(.38	)		.03			.82
Total from investment operations		(.38	)		2.75			1.30			.14			.68			1.57
Less distributions from:
Net investment income		(.27	)		(.42	)		(.45	)		(.50	)		(.75	)		(.84	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)		—
Total distributions		(1.00	)		(.42	)		(.56	)		(.50	)		(.86	)		(.84	)
Net asset value, end of period	$	28.38		$	29.76		$	27.43		$	26.69		$	27.05		$	27.23
Total Returnc		(1.36	%)		10.10	%		4.95	%		0.53	%		2.58	%		6.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	340,476		$	338,656		$	286,050		$	265,486		$	251,177		$	216,255
Ratios to average net assets:
Net investment income (loss)		1.64	%		1.24	%		1.62	%		1.93	%		2.44	%		2.82	%
Total expensesd		1.58	%		1.59	%		1.60	%		1.62	%		1.74	%		1.83	%
Net expensese,f,g		1.54	%		1.55	%		1.55	%		1.55	%		1.60	%		1.69	%
Portfolio turnover rate		25	%		116	%		68	%		48	%		72	%		86	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93

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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.75		$	27.42		$	26.69		$	27.04		$	27.23		$	26.49
Income (loss) from investment operations:
Net investment income (loss)b		.35			.56			.63			.72			.85			.96
Net gain (loss) on investments (realized and unrealized)		(.62	)		2.40			.86			(.36	)		.03			.84
Total from investment operations		(.27	)		2.96			1.49			.36			.88			1.80
Less distributions from:
Net investment income		(.38	)		(.63	)		(.65	)		(.71	)		(.96	)		(1.06	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)		—
Total distributions		(1.11	)		(.63	)		(.76	)		(.71	)		(1.07	)		(1.06	)
Net asset value, end of period	$	28.37		$	29.75		$	27.42		$	26.69		$	27.04		$	27.23
Total Return		(0.99	%)		10.92	%		5.70	%		1.32	%		3.34	%		6.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	947,294		$	926,745		$	819,770		$	738,694		$	572,644		$	161,928
Ratios to average net assets:
Net investment income (loss)		2.39	%		1.98	%		2.37	%		2.69	%		3.14	%		3.58	%
Total expensesd		0.86	%		0.88	%		0.87	%		0.91	%		1.03	%		0.96	%
Net expensese,f,g		0.79	%		0.80	%		0.80	%		0.80	%		0.86	%		0.82	%
Portfolio turnover rate		25	%		116	%		68	%		48	%		72	%		86	%

94 | 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017			Year Ended Sept. 30, 2016
Per Share Data
Net asset value, beginning of period	$	29.78		$	27.45		$	26.71		$	27.07		$	27.26		$	26.53
Income (loss) from investment operations:
Net investment income (loss)b		.39			.65			.71			.80			.93			1.05
Net gain (loss) on investments (realized and unrealized)		(.61	)		2.39			.87			(.37	)		.04			.82
Total from investment operations		(.22	)		3.04			1.58			.43			.97			1.87
Less distributions from:
Net investment income		(.43	)		(.71	)		(.73	)		(.79	)		(1.05	)		(1.14	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)		—
Total distributions		(1.16	)		(.71	)		(.84	)		(.79	)		(1.16	)		(1.14	)
Net asset value, end of period	$	28.40		$	29.78		$	27.45		$	26.71		$	27.07		$	27.26
Total Return		(0.85	%)		11.23	%		6.03	%		1.59	%		3.68	%		7.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,239,411		$	19,152,857		$	12,138,270		$	8,957,902		$	6,418,897		$	3,024,918
Ratios to average net assets:
Net investment income (loss)		2.68	%		2.29	%		2.64	%		2.99	%		3.47	%		3.94	%
Total expensesd		0.56	%		0.57	%		0.58	%		0.58	%		0.68	%		0.79	%
Net expensese,f,g		0.50	%		0.51	%		0.51	%		0.50	%		0.52	%		0.59	%
Portfolio turnover rate		25	%		116	%		68	%		48	%		72	%		86	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95

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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Period Ended Sept. 30, 2017h
Per Share Data
Net asset value, beginning of period	$	29.80		$	27.46		$	26.73		$	27.09		$	27.15
Income (loss) from investment operations:
Net investment income (loss)b		.39			.65			.71			.81			.86
Net gain (loss) on investments (realized and unrealized)		(.61	)		2.40			.86			(.38	)		.18
Total from investment operations		(.22	)		3.05			1.57			.43			1.04
Less distributions from:
Net investment income		(.43	)		(.71	)		(.73	)		(.79	)		(.99	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.16	)		(.71	)		(.84	)		(.79	)		(1.10	)
Net asset value, end of period	$	28.42		$	29.80		$	27.46		$	26.73		$	27.09
Total Return		(0.85	%)		11.26	%		5.99	%		1.59	%		3.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	204,525		$	167,409		$	55,441		$	37,735		$	13,709
Ratios to average net assets:
Net investment income (loss)		2.68	%		2.28	%		2.64	%		3.00	%		3.35	%
Total expensesd		0.50	%		0.52	%		0.52	%		0.53	%		0.65	%
Net expensese,f,g		0.50	%		0.51	%		0.51	%		0.50	%		0.51	%
Portfolio turnover rate		25	%		116	%		68	%		48	%		72	%

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

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%*	0.00%*	—	0.00%*	0.01%
C-Class	0.00%*	0.00%*	—	0.00%*	0.01%
P-Class	—	0.00%*	0.00%*	0.00%*	0.01%
Institutional Class	—	0.00%*	—	0.00%*	—
R6-Class	0.01%	0.00%*	0.00%*	0.00%*	—

* Less than 0.01%

^g 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:

	03/31/21	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.78%	0.79%	0.79%	0.80%	0.84%	0.87%
C-Class	1.52%	1.54%	1.54%	1.55%	1.57%	1.60%
P-Class	0.78%	0.79%	0.79%	0.80%	0.83%	0.75%
Institutional Class	0.49%	0.50%	0.50%	0.49%	0.49%	0.49%
R6-Class	0.49%	0.50%	0.50%	0.49%	0.48%	—

^h Since commencement of operations: October 19, 2016. 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 | 97

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At March 31, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”) which operates under the name Guggenheim Investments, 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.

98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.

U.S. Government securities are valued by 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.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.

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

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close of the NYSE.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests 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 disclosed in the Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess

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fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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 takes 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, it may sell such securities before the settlement date.

(e) Options

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).

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(f) Futures Contracts

Upon entering into a futures contract, the 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 appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(g) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(h) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

(i) Currency Translations

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 may also subject

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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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.

(j) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(k) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(l) Distributions

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 U.S. federal income tax purposes.

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

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(o) Cash

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 0.06% at March 31, 2021.

(p) Indemnifications

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.

Note 2 – 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 amounts recognized on 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 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 utilized 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.

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

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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 monthly basis:

	Average Number of Contracts
Use	Call		Put
Hedge	$	14,818,283,333	$	—

Futures Contracts

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 Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Duration, Hedge, Income	$	—	$	3,273,396

Swap Agreements

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. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or

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bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index or custom basket of securities) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

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The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income, Index Exposure, Speculation	$	108,351,551	$	15,110,432

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, 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 monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	2,979,005,000	$	1,733,000,000

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities.

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The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally-cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Hedge, Index Exposure, Speculation	$	249,081,667	$	—

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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 foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	1,167,147,490	$	1,400,449,849

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, 2021:

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	Investments in unaffiliated issuers, at value Unamortized upfront premiums paid on interest rate swap agreements Variation margin on interest rate swap agreements
Credit contracts	Unrealized appreciation on OTC swap agreements	Unrealized depreciation on OTC swap agreements

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The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2020
$	156,670,008	$	138,502	$	89,346,524	$	112,321,874	$	358,476,908

Liability Derivative Investments Value
Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2020
$	186,771,992	$	50,583	$	—	$	43,884,374	$	230,706,949

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2021:

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

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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, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
Futures Interest Rate Risk		Swaps Interest Rate Risk		Swaps Credit Risk		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
$	94,051	$	7,235,478	$	37,687,127	$	38,488,836	$	1,752,496	$	85,257,988

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk			Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
$	—	$	(64,927,254	)	$	(22,179,063	)	$	47,733,960	$	4,132,086	$	(35,240,271	)

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

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.

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The Fund 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.

Note 3 – 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 its 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.

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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 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. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. 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 it believes 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:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Credit index swap agreements	$	138,502	$	—	$	138,502	$	(50,583	)	$	—		$	87,919
Forward foreign currency exchange contracts		112,321,874		—		112,321,874		(34,491,457	)		(63,540,391	)		14,290,026
Options purchased contracts		89,346,524		—		89,346,524		—			(26,890,338	)		62,456,186

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Credit index swap agreements	$	50,583	$	—	$	50,583	$	(50,583	)	$	—	$	—
Forward foreign currency exchange contracts		43,884,374		—		43,884,374		(34,491,457	)		—		9,392,917

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	5,401,000
BofA Securities, Inc.	Credit default swap agreements		—		1,431,354
BofA Securities, Inc.	Interest rate swap agreements		—		5,039,265
Citibank N.A.	Forward foreign currency exchange contracts		—		25,446,417
Goldman Sachs International	Futures contracts, Total return swap agreements, Options, Forward foreign currency exchange contracts		—		40,350,031
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—	$	19,740,000
Total		$	—	$	97,408,067

Note 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.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Board 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 contract 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 or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.79	%		11/20/17		02/01/22
C-Class		1.54	%		11/20/17		02/01/22
P-Class		0.79	%		11/20/17		02/01/22
Institutional Class		0.50	%		11/30/12		02/01/22
R6-Class		0.50	%		10/19/16		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2021		2022		2023		2024		Total
A-Class	$	690,174	$	970,954	$	440,686	$	260,015	$	2,361,829
C-Class		102,786		139,409		133,369		81,584		457,148
P-Class		567,755		529,763		636,580		330,730		2,064,828
Institutional Class		4,886,581		6,918,582		8,669,558		6,988,723		27,463,444
R6-Class		—		—		5,384		2,665		8,049

For the period ended March 31, 2021, GI recouped $26,903 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. 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, 2021, the Fund waived $33,166 related to investments in affiliated funds.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 6 – Reverse Repurchase Agreements

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

For the period ended March 31, 2021, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding	Balance at March 31, 2021		Average Balance Outstanding		Average Interest Rate
182	$	555,271,893	$	430,227,318		0.13	%

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse repurchase agreements	$	555,271,893	$	—	$	555,271,893	$	(555,271,893	)	$	—	$	—

As of March 31, 2021, the Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Interest Rate(s)			Maturity Date(s)		Face Value
BMO Capital Markets Corp.		(0.20	%)		04/01/21	$	123,087,146
Barclays Capital Inc.		(0.34%) - (0.35	%)		04/01/21		122,925,445
J.P. Morgan Securities LLC		0.14	%		06/04/21		100,985,425
Canadian Imperial Bank of Commerce		0.14	%		05/04/21		113,524,772
Total						$	555,271,893

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

Asset Type	Up to 30 days		31 – 90 days		Total
Corporate Bonds	$	—	$	24,830,317	$	24,830,317
Federal Agency Notes		—		76,155,107		76,155,107
Treasury Notes		340,761,696		113,524,773		454,286,469
Gross amount of recognized liabilities for reverse repurched agreements	$	340,761,696	$	214,510,197	$	555,271,893

Note 7 – 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 or federal excise tax is required.

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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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
$	25,710,801,790	$	936,279,032	$	(613,914,510	)	$	322,364,522

Note 8 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	8,140,111,843	$	5,752,491,580

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	1,020,351,884	$	16,668,112

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. The procedures have been designed to ensure that any purchase or sale of securities by the 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

120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

effected at the current market price to save costs, where permissible. For the period ended March 31, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain
$	98,129,198	$	46,422,554	$	2,455,183

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2021, were as follows:

Borrower	Maturity Date	Face Amount*		Value
AI Aqua Zip Bidco Pty Ltd.	12/13/23		11,119,659	$	13,885
Aspect Software, Inc.	07/15/23		2,046		16
CapStone Acquisition Holdings, Inc.	10/29/27		1,216,000		11,450
CTL Logistics	08/10/42		2,993,414		216,054
FCG Acquisitions, Inc	03/16/28		320,000		2,000
HAH Group Holding Co. LLC	10/29/27		2,223,216		31,261
Higginbotham	11/25/22		5,293,642		32,582
Hillman Group, Inc.	02/24/28		2,531,646		6,242
Jones Deslauriers Insurance Management, Inc.	03/12/28	CAD	1,905,000		—
MB2 Dental Solutions LLC	01/29/27		14,313,520		139,145
National Mentor Holdings, Inc.	02/18/28		1,609,942		7,921
Peraton Corp.	02/22/28		21,585,093		106,404
SCP Eye Care Services LLC	03/11/28		1,270,455		1,588
Service Logic Acquisition, Inc.	10/22/27		2,472,537		23,191
Southern Veterinary Partners LLC	10/05/27		2,696,970		25,102
Team.Blue Finco SARL	03/18/28	EUR	1,229,730		6,128
TricorBraun Holdings, Inc.	03/03/28		1,340,168		13,965
Venture Global Calcasieu Pass LLC	08/19/26		12,522,252		688,724
Zephyr Bidco Ltd.	04/08/22	GBP	23,950,000		3
				$	1,325,661

* The face amount is denominated in U.S. dollars unless otherwise indicated.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 10– Restricted Securities

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

Restricted Securities	Acquisition Date	Cost		Value
Airplanes Pass Through Trust
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/192	11/30/11	$	335,966	$	41
Atlas Mara Ltd.
8.00% due 03/20/21	10/01/15		6,587,865		3,199,680
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/681	11/02/18		14,774,409		15,425,992
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/691	06/25/19		11,319,687		11,574,305
Central Storage Safety Project Trust
4.82% due 02/01/38	02/02/18		21,182,804		21,805,814
Copper River CLO Ltd.
2007-1A, due 01/20/213	05/09/14		42,900		44,190
FKRT
2020-C2A, 3.25% due 12/30/23	12/03/20		113,992,874		114,064,710
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261	02/04/21		75,462,614		75,666,061
LSTAR Securities Investment Ltd.
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261	03/17/21		39,789,480		39,761,962
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27	12/17/12		1,787,046		1,604,154
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/381	06/01/16		1,321,213		1,408,407
Station Place Securitization Trust
2020-WL1, 2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 0.00%) due 06/25/511	07/15/20		3,000,000		3,000,000
Station Place Securitization Trust
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/221	05/13/20		20,000,000		20,000,000
Station Place Securitization Trust
2020-WL1, 2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 0.00%) due 06/25/511	07/15/20		10,000,000		10,000,000

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Restricted Securities	Acquisition Date	Cost		Value
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48	11/27/13	$	691,092	$	555,547
		$	320,287,950	$	318,110,863

1	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
2	Security is in default of interest and/or principal obligations.
3	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 12 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Fund’s investments and shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

124 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

126 | 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 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
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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

Name, Address* and Year of Birth	Position(s) Held with 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, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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

Name, Address* and Year of Birth	Position(s) Held with 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
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); Managing 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, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Ultra Short Duration Fund

GuggenheimInvestments.com USD-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
ULTRA SHORT DURATION FUND	10
NOTES TO FINANCIAL STATEMENTS	45
OTHER INFORMATION	66
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	67
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	74

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (the “Fund”) for the semi-annual period ended March 31, 2021.

The Investment Manager is responsible for the management of the Funds’ portfolio of investments. It is an affiliate 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 Partners, LLC and the Investment Manager.

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,

Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

Ultra Short Duration Fund may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations (CLOs) generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the yield on the two-year U.S. Treasury Note rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year U.S. Treasury Note climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year U.S. Treasury Note and 10-year U.S. Treasury Note widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which the Federal Reserve (the “Fed”) regards as a transitory, short-term phenomenon. Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(continued) March 31, 2021

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point – one basis point is equal to 0.01%.

*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.

Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.

ICE 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

6 | 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, 2020 and ending March 31, 2021.

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 | 7

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.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.58%	0.30%	$ 1,000.00	$ 1,003.00	$ 2.90
Institutional Class	0.33%	0.32%	1,000.00	1,003.20	1.65
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.58%	5.00%	$ 1,000.00	$ 1,022.04	$ 2.92
Institutional Class	0.33%	5.00%	1,000.00	1,023.29	1.66

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period September 30, 2020 to March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

ULTRA SHORT DURATION FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)”

Inception Dates:
A-Class	November 30, 2018
Institutional Class	March 11, 2014

Ten Largest Holdings (% of Total Net Assets)
iShares Core S&P 500 ETF	4.5%
iShares Core U.S. Aggregate Bond ETF	3.1%
State of Israel, 1.00%	2.7%
Kingdom of Spain, (0.51)%	2.3%
Province of Ontario, 0.09%	2.2%
Republic of France, (0.59)%	1.9%
Shackleton CLO Ltd., 1.14%	1.2%
Swedbank AB, 0.85%	1.1%
CenterPoint Energy Resources Corp., 0.68%	1.1%
JPMorgan Chase & Co., 0.70%	1.0%
Top Ten Total	21.1%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) March 31, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	30.0%
AA	10.6%
A	21.1%
BBB	18.6%
BB	2.2%
B	1.7%
NR2	3.2%
Other Instruments	12.6%
Total Investments	100.0%

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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Since Inception (03/11/14)
Institutional Class Shares	0.32%	3.13%	2.18%	1.78%
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index	0.04%	0.09%	1.12%	0.81%

	6 Month†	1 Year	Since Inception (11/30/18)
A-Class Shares	0.30%	2.86%	1.59%
Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index	0.04%	0.09%	1.27%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. Prior to November 30, 2018, performance for Institutional Class shares reflects the performance of the Guggenheim Strategy Fund I, which did not charge a management fee and was not publicly offered as a separate investment product.

†

6 month returns are not annualized.

12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
ULTRA SHORT DURATION FUND

	Shares		Value
EXCHANGE-TRADED FUNDS† - 7.6%
iShares Core S&P 500 ETF		100,000	$	39,782,000
iShares Core U.S. Aggregate Bond ETF1		243,050		27,666,382
Total Exchange-Traded Funds
(Cost $67,790,047)				67,448,382
MONEY MARKET FUND† - 5.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		46,240,865		46,240,865
Total Money Market Fund
(Cost $46,240,865)				46,240,865
	Face Amount~
CORPORATE BONDS†† - 30.9%
Financial - 8.6%
Swedbank AB
0.85% due 03/18/243		9,550,000		9,571,170
JPMorgan Chase & Co.
0.70% due 03/16/244		9,100,000		9,138,238
Charles Schwab Corp.
0.51% (U.S. Secured Overnight Financing Rate + 0.50%) due 03/18/245		8,850,000		8,903,808
Sumitomo Mitsui Trust Bank Ltd.
0.85% due 03/25/243		8,900,000		8,896,992
Sompo International Holdings Ltd.
4.70% due 10/15/22		5,120,000		5,424,135

Credit Suisse AG NY
0.42% (U.S. Secured Overnight Financing Rate + 0.39%) due 02/02/245	5,250,000	5,201,175
Barclays Bank plc
1.70% due 05/12/22	4,600,000	4,663,477
Citizens Bank North America/Providence RI
1.00% (3 Month USD LIBOR + 0.81%) due 05/26/225	4,215,000	4,246,188
Intercontinental Exchange, Inc.
0.83% (3 Month USD LIBOR + 0.65%) due 06/15/235	1,600,000	1,601,341
2.35% due 09/15/22	1,000,000	1,024,625
Svenska Handelsbanken AB
0.65% (3 Month USD LIBOR + 0.47%) due 05/24/215	2,250,000	2,251,649
American Express Co.
0.72% (3 Month USD LIBOR + 0.53%) due 05/17/215	2,150,000	2,150,421
Synchrony Bank
3.65% due 05/24/21	1,720,000	1,723,754
UBS Group AG
2.01% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 04/14/213,5	1,400,000	1,400,620
Standard Chartered plc
1.32% due 10/14/233,4	1,350,000	1,358,572
GA Global Funding Trust
1.63% due 01/15/263	1,300,000	1,297,758

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Mitsubishi UFJ Financial Group, Inc.
1.01% (3 Month USD LIBOR + 0.79%) due 07/25/225		950,000	$	957,060
1.24% (3 Month USD LIBOR + 1.06%) due 09/13/215		339,000		340,430
Aviation Capital Group LLC
2.88% due 01/20/223		1,200,000		1,217,371
Santander UK plc
0.81% (3 Month USD LIBOR + 0.62%) due 06/01/215		980,000		980,970
Wells Fargo & Co.
4.13% due 08/15/23		800,000		864,494
First American Financial Corp.
4.60% due 11/15/24		500,000		557,294
Nordea Bank Abp
1.13% (3 Month USD LIBOR + 0.94%) due 08/30/233,5		550,000		556,250
Markel Corp.
3.63% due 03/30/23		450,000		476,713
Apollo Management Holdings, LP
4.00% due 05/30/243		350,000		383,619
Australia & New Zealand Banking Group Ltd.
1.18% (3 Month USD LIBOR + 0.99%) due 06/01/213,5		300,000		300,465
Reliance Standard Life Global Funding II
3.85% due 09/19/233		200,000		214,895
Marsh & McLennan Cos., Inc.
4.80% due 07/15/21		200,000		200,087
Total Financial				75,903,571
Industrial - 6.2%
Boeing Co.
1.43% due 02/04/24		6,550,000		6,561,529
1.95% due 02/01/24		6,000,000		6,147,030
Siemens Financieringsmaatschappij N.V.
0.65% due 03/11/243		7,300,000		7,295,199
0.80% (3 Month USD LIBOR + 0.61%) due 03/16/223,5		1,870,000		1,880,936
Ryder System, Inc.
3.35% due 09/01/25		4,820,000		5,203,591
3.75% due 06/09/23		2,650,000		2,824,180
Graphic Packaging International LLC
0.82% due 04/15/243		6,700,000		6,680,178
Teledyne Technologies, Inc.
0.65% due 04/01/23		4,550,000		4,544,260
CNH Industrial Capital LLC
1.95% due 07/02/23		4,230,000		4,343,497
Silgan Holdings, Inc.
1.40% due 04/01/263		2,350,000		2,300,063
Penske Truck Leasing Company LP / PTL Finance Corp.
3.65% due 07/29/213		1,294,000		1,303,831
2.70% due 11/01/243		900,000		947,255
Berry Global, Inc.
0.95% due 02/15/243		2,150,000		2,139,873
Vontier Corp.
1.80% due 04/01/263		2,150,000		2,138,777
Tennant Co.
5.63% due 05/01/25		150,000		154,500
Total Industrial				54,464,699
Consumer, Non-cyclical - 4.9%
Illumina, Inc.
0.55% due 03/23/23		8,800,000		8,792,256
AmerisourceBergen Corp.
0.74% due 03/15/23		8,650,000		8,657,252

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
IHS Markit Ltd.
4.13% due 08/01/23		5,791,000	$	6,205,693
Sysco Corp.
5.65% due 04/01/25		3,350,000		3,894,047
Molina Healthcare, Inc.
5.38% due 11/15/22		2,700,000		2,831,058
General Mills, Inc.
0.76% (3 Month USD LIBOR + 0.54%) due 04/16/215		2,450,000		2,450,332
1.23% (3 Month USD LIBOR + 1.01%) due 10/17/235		200,000		202,897
CVS Health Corp.
4.00% due 12/05/23		1,600,000		1,728,773
Stryker Corp.
3.38% due 05/15/24		1,600,000		1,723,148
Bayer US Finance II LLC
0.83% (3 Month USD LIBOR + 0.63%) due 06/25/213,5		1,700,000		1,701,275
AbbVie, Inc.
0.53% (3 Month USD LIBOR + 0.35%) due 05/21/215		1,300,000		1,300,431
Altria Group, Inc.
4.75% due 05/05/21		1,154,000		1,158,203
Element Fleet Management Corp.
1.60% due 04/06/243		900,000		898,947
Bunge Limited Finance Corp.
3.00% due 09/25/22		800,000		824,710
Spectrum Brands, Inc.
5.75% due 07/15/25		700,000		721,875
Keurig Dr Pepper, Inc.
3.55% due 05/25/21		500,000		502,260
Total Consumer, Non-cyclical				43,593,157
Utilities - 3.8%
CenterPoint Energy Resources Corp.
0.68% (3 Month USD LIBOR + 0.50%) due 03/02/235		9,400,000		9,402,670
NextEra Energy Capital Holdings, Inc.
0.45% (3 Month USD LIBOR + 0.27%) due 02/22/235		8,600,000		8,601,327
0.55% (U.S. Secured Overnight Financing Rate + 0.54%) due 03/01/235		100,000		100,250
Atmos Energy Corp.
0.63% due 03/09/23		4,650,000		4,651,813
0.57% (3 Month USD LIBOR + 0.38%) due 03/09/235		1,000,000		1,000,109
ONE Gas, Inc.
1.10% due 03/11/24		4,550,000		4,548,354
Alexander Funding Trust
1.84% due 11/15/233		4,300,000		4,365,618
Puget Energy, Inc.
6.00% due 09/01/21		1,300,000		1,328,650
Total Utilities				33,998,791
Communications - 3.3%
NTT Finance Corp.
0.58% due 03/01/243		8,950,000		8,915,957
Verizon Communications, Inc.
0.75% due 03/22/24		4,400,000		4,404,486
Videotron Ltd.
5.00% due 07/15/22		3,500,000		3,640,000
Netflix, Inc.
5.50% due 02/15/22		2,700,000		2,808,000
ViacomCBS, Inc.
4.75% due 05/15/25		2,210,000		2,498,499
T-Mobile USA, Inc.
2.63% due 04/15/26		1,600,000		1,628,000
2.25% due 02/15/26		600,000		604,314
Sirius XM Radio, Inc.
5.38% due 07/15/263		1,543,000		1,593,147
3.88% due 08/01/223		600,000		602,250

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
3.36% due 09/20/213		1,315,000	$	1,324,863
Corning, Inc.
3.70% due 11/15/23		927,000		992,458
CSC Holdings LLC
5.50% due 05/15/263		200,000		206,200
Total Communications				29,218,174
Technology - 2.4%
Fidelity National Information Services, Inc.
0.60% due 03/01/24		8,200,000		8,155,178
HCL America, Inc.
1.38% due 03/10/263		7,300,000		7,165,277
Microchip Technology, Inc.
2.67% due 09/01/233		2,570,000		2,676,358
0.97% due 02/15/243		500,000		499,033
Infor, Inc.
1.45% due 07/15/233		2,600,000		2,632,165
Total Technology				21,128,011
Energy - 1.4%
Enbridge, Inc.
0.42% (U.S. Secured Overnight Financing Rate + 0.40%) due 02/17/235		4,900,000		4,907,450
Phillips 66
0.90% due 02/15/24		3,400,000		3,400,818
Valero Energy Corp.
1.20% due 03/15/24		3,000,000		3,008,187
Halliburton Co.
3.25% due 11/15/21		1,130,000		1,141,209
Total Energy				12,457,664
Basic Materials - 0.3%
Carpenter Technology Corp.
4.45% due 03/01/23		1,350,000		1,398,913
Reliance Steel & Aluminum Co.
4.50% due 04/15/23		1,300,000		1,386,382
Total Basic Materials				2,785,295
Total Corporate Bonds
(Cost $272,684,551)				273,549,362
ASSET-BACKED SECURITIES†† - 28.9%
Collateralized Loan Obligations - 21.2%
Shackleton CLO Ltd.
2017-8A, 1.14% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/273,5		10,696,753		10,695,745
2018-6RA, 1.24% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/283,5		5,050,281		5,048,138
Carlyle Global Market Strategies CLO Ltd.
2018-2A, 0.99% (3 Month USD LIBOR + 0.78%, Rate Floor: 0.00%) due 04/27/273,5		5,589,218		5,586,438
2018-4A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/313,5		4,927,378		4,919,332
BXMT Ltd.
2020-FL2, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/373,5		5,000,000		4,999,138

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
2020-FL2, 1.26% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 02/16/373,5		2,550,000	$	2,551,564
2020-FL3, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/373,5		2,500,000		2,513,779
Palmer Square Loan Funding Ltd.
2021-2A, due 05/20/293,5		4,500,000		4,499,100
2021-1A, 1.06% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/293,5		4,000,000		4,004,001
2018-4A, 1.09% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/263,5		899,949		900,180
2019-3A, 1.03% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/273,5		610,845		610,896
HERA Commercial Mortgage Ltd.
2021-FL1, 1.43% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/383,5		5,000,000		5,002,619
2021-FL1, 1.18% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/383,5		4,250,000		4,251,680
Diamond CLO Ltd.
2021-1A, 1.40% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/293,5		8,250,000		8,248,350
Dryden 33 Senior Loan Fund
2020-33A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/293,5		8,000,000		7,991,587
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.12% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/273,5		6,854,907		6,856,437
CHCP Ltd.
2021-FL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/15/383,5		6,500,000		6,501,938
CIFC Funding 2015-III Ltd.
2018-3A, 1.09% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/293,5		6,475,000		6,469,178
LCM XXIV Ltd.
2021-24A, 1.17% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/303,5		5,750,000		5,741,790
GPMT Ltd.
2019-FL2, 1.41% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/363,5		5,250,000		5,257,725

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
2018-FL1, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 11/21/353,5		164,534	$	164,438
Westcott Park CLO Ltd.
2019-1A, 1.43% (3 Month USD LIBOR + 1.21%, Rate Floor: 0.00%) due 07/20/283,5		5,000,000		5,000,516
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 0.63% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/333,5		3,000,000		2,982,759
2020-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/293,5		2,000,000		1,999,964
Madison Park Funding XLVIII Ltd.
2021-48A, 1.59% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/333,5		4,000,000		3,992,739
MidOcean Credit CLO VII
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/293,5		3,500,000		3,495,884
LoanCore Issuer Ltd.
2019-CRE2, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/363,5		1,300,000		1,298,702
2018-CRE1, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/283,5		1,000,000		999,026
2018-CRE1, 1.24% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/283,5		961,639		961,645
Marathon CLO V Ltd.
2017-5A, 1.05% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/273,5		3,129,945		3,126,913
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.79% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/323,5		3,000,000		3,000,000
Cerberus Loan Funding XXX, LP
2020-3A, 2.08% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/333,5		3,000,000		2,996,692
Crown Point CLO III Ltd.
2017-3A, 1.15% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 12/31/273,5		2,970,652		2,970,448
TICP CLO VII Ltd.
2020-7A, 0.79% (3 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 04/15/333,5		2,812,500		2,807,237

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Woodmont Trust
2020-7A, 2.05% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/323,5		2,750,000	$	2,746,838
MP CLO VIII Ltd.
2018-2A, 1.13% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/273,5		2,707,097		2,706,237
OZLM XII Ltd.
2018-12A, 1.26% (3 Month USD LIBOR + 1.05%, Rate Floor: 0.00%) due 04/30/273,5		2,544,185		2,544,340
Cerberus Loan Funding XXXI, LP
2021-1A, 1.69% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/323,5		2,500,000		2,500,000
Cerberus Loan Funding XXXII, LP
2021-2A, due 04/22/333,5		2,500,000		2,499,500
Venture XIV CLO Ltd.
2020-14A, 1.22% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/293,5		2,500,000		2,496,773
Avery Point VI CLO Ltd.
2021-6A, 1.06% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 08/05/273,5		2,357,588		2,355,537
Owl Rock CLO IV Ltd.
2020-4A, 2.80% (3 Month USD LIBOR + 2.62%, Rate Floor: 2.62%) due 05/20/293,5		2,000,000		2,005,659
Parliament Funding II Ltd.
2020-1A, 2.67% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/303,5		2,000,000		2,001,788
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.19% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/313,5		2,000,000		2,001,718
Wellfleet CLO Ltd.
2020-2A, 1.28% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/293,5		2,000,000		2,000,539
Greywolf CLO III Ltd.
2020-3RA, 0.72% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 04/15/333,5		1,944,444		1,938,732
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/313,5		1,800,000		1,783,248

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
California Street CLO IX, LP
2019-9A, 0.92% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/323,5		1,750,000	$	1,747,717
610 Funding CLO 3 Ltd.
2018-3A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/283,5		1,658,636		1,658,610
Allegro CLO IX Ltd.
2018-3A, 1.39% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/313,5		1,500,000		1,504,387
Hunt CRE Ltd.
2018-FL2, 1.19% (1 Month USD LIBOR + 1.08%, Rate Floor: 1.08%) due 08/15/283,5		1,500,000		1,496,066
Newfleet CLO Ltd.
2018-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/283,5		1,467,774		1,466,752
Wind River CLO Ltd.
2017-2A, 1.11% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/273,5		1,281,822		1,280,700
Neuberger Berman CLO XX Ltd.
2017-20A, 1.04% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.00%) due 01/15/283,5		1,190,554		1,188,108
BSPRT Issuer Ltd.
2018-FL4, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/353,5		901,839		901,839
2018-FL3, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 03/15/283,5		217,306		217,306
Mountain View CLO Ltd.
2018-1A, 1.04% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/263,5		1,071,615		1,070,625
Voya CLO Ltd.
2019-2A, 0.87% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/323,5		1,031,250		1,028,707
KVK CLO Ltd.
2017-1A, 1.13% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/283,5		1,027,632		1,026,652
KREF Ltd.
2018-FL1, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 06/15/363,5		994,470		994,603
BlueMountain CLO XXV Ltd.
2019-25A, 0.89% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/15/323,5		875,000		873,821

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/373,5		850,000	$	850,292
TICP CLO I Ltd.
2018-1A, 1.02% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.00%) due 07/20/273,5		639,029		639,000
Grand Avenue CRE Ltd.
2020-FL2, 2.56% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 03/15/353,5		422,799		425,509
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 1.74% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/293,5		382,000		381,028
NewStar Clarendon Fund CLO LLC
2019-1A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/273,5		373,633		373,370
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/303,5		350,000		349,375
Venture XVI CLO Ltd.
2018-16A, 1.09% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/15/283,5		283,100		283,115
Mountain Hawk II CLO Ltd.
2018-2A, 1.82% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/20/243,5		81,677		81,663
Total Collateralized Loan Obligations				187,866,732
Financial - 3.0%
Station Place Securitization Trust
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/22†††,5,6		8,100,000		8,100,000
2020-16, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,3,5		6,700,000		6,700,000
2021-3, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,3,5		4,000,000		4,000,000
2021-SP1, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,3,5		1,200,000		1,200,000
2020-12, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 06/09/21†††,3,5		1,000,000		1,000,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
2021-7, 1.02% (1 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 09/24/213,5		500,000	$	500,000
Madison Avenue Secured Funding Trust Series
2020-1, 1.73% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,3,5		5,250,000		5,250,000
Total Financial				26,750,000
Transport-Container - 1.5%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/463		7,250,000		7,071,673
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/463		3,250,000		3,173,855
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/463		2,085,918		2,023,837
2020-1A, 2.73% due 08/21/453		845,288		860,086
Total Transport-Container				13,129,451
Infrastructure - 1.2%
VB-S1 Issuer LLC
2020-1A, 3.03% due 06/15/503		6,050,000		6,331,313
SBA Tower Trust
2.33% due 01/15/283		4,000,000		4,062,720
Total Infrastructure				10,394,033
Net Lease - 1.0%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/503		6,710,762		6,736,083
CF Hippolyta LLC
2021-1A, 1.98% due 03/15/613		2,250,000		2,242,521
Total Net Lease				8,978,604
Whole Business - 0.7%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/493		4,676,500		4,802,298
Taco Bell Funding LLC
2018-1A, 4.32% due 11/25/483		782,000		785,847
DB Master Finance LLC
2019-1A, 3.79% due 05/20/493		280,725		286,449
Total Whole Business				5,874,594
Collateralized Debt Obligations - 0.2%
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/393		1,750,000		1,739,856
Transport-Aircraft - 0.1%
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/403		896,096		710,611
Raspro Trust
2005-1A, 1.15% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/243,5		373,311		370,385
Total Transport-Aircraft				1,080,996
Total Asset-Backed Securities
(Cost $255,382,600)				255,814,266

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 12.3%
Residential Mortgage Backed Securities - 10.9%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/603,5		8,015,830	$	7,996,086
2020-NQM1, 1.21% due 05/25/653,7		3,983,240		4,000,054
2020-RPL5, 3.02% (WAC) due 08/25/603,5		3,071,323		3,121,662
Verus Securitization Trust
2020-5, 1.22% due 05/25/653,7		4,690,987		4,700,650
2020-1, 2.42% due 01/25/603,7		2,152,122		2,175,087
2019-4, 2.64% due 11/25/593,7		1,332,527		1,356,164
2019-4, 2.85% due 11/25/593,7		1,188,131		1,207,970
SPS Servicer Advance Receivables Trust II
2020-T1, 1.28% due 11/15/523		7,000,000		7,026,542
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/533		4,150,000		4,158,407
2020-T3, 1.32% due 10/15/523		2,750,000		2,758,341
New Residential Advance Receivables Trust Advance Receivables Backed
2020-APT1, 1.04% due 12/16/52†††,3		4,000,000		3,998,845
2020-T1, 1.43% due 08/15/533		2,000,000		2,004,324
Ocwen Master Advance Receivables Trust
2020-T1, 1.28% due 08/15/523		5,150,000		5,162,290
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/265,6		2,634,747		2,641,851
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/265,6		1,450,000		1,448,997
CFMT LLC
2021-HB5, 0.80% (WAC) due 02/25/313,5		3,583,280		3,578,386
New Residential Mortgage Loan Trust
2019-1A, 3.50% (WAC) due 10/25/593,5		1,931,064		2,038,089
2018-2A, 3.50% (WAC) due 02/25/583,5		1,270,432		1,325,970
CSMC Series
2014-2R, 0.33% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/463,5		2,033,975		2,000,608
2014-7R, 0.28% (WAC) due 10/27/363,5		1,159,055		1,145,439
FKRT
2020-C2A, 3.25% due 12/30/23†††,6		3,066,689		3,070,369

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
BRAVO Residential Funding Trust
2021-HE1, 0.87% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/703,5		2,185,716	$	2,182,746
2019-NQM1, 2.67% (WAC) due 07/25/593,5		706,495		714,524
Towd Point Mortgage Trust
2018-2, 3.25% (WAC) due 03/25/583,5		1,010,184		1,053,235
2017-6, 2.75% (WAC) due 10/25/573,5		882,866		907,807
2017-5, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/573,5		438,871		438,871
Soundview Home Loan Trust
2006-OPT5, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/365		2,391,728		2,339,831
CIM Trust
2018-R4, 4.07% (WAC) due 12/26/573,5		2,312,087		2,321,295
Ellington Financial Mortgage Trust
2020-2, 1.49% (WAC) due 10/25/653,5		1,394,519		1,393,845
2020-2, 1.64% (WAC) due 10/25/653,5		803,295		801,225
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 0.68% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/355		2,069,815		2,060,651
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/243,5		1,996,799		2,020,247
Deephaven Residential Mortgage Trust
2019-3A, 2.96% (WAC) due 07/25/593,5		1,772,201		1,784,916
CIT Mortgage Loan Trust
2007-1, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/373,5		1,618,826		1,627,260
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/503,5		1,096,410		1,116,585
2019-1, 2.94% (WAC) due 06/25/493,5		435,679		438,240
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 0.84% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/355		1,498,312		1,496,424

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/593,5		873,614	$	884,257
2019-2, 2.70% (WAC) due 09/25/593,5		394,558		396,854
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/603,5		1,174,955		1,178,953
Citigroup Mortgage Loan Trust
2007-WFH2, 0.51% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/375		667,773		664,940
2019-IMC1, 2.72% (WAC) due 07/25/493,5		493,049		502,079
Banc of America Funding Trust
2015-R2, 0.37% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/373,5		1,151,289		1,123,320
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-R10, 0.75% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/365		1,005,686		1,003,376
Nationstar HECM Loan Trust
2019-2A, 2.27% (WAC) due 11/25/293,5		500,635		501,548
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/695,6		390,338		399,114
GE-WMC Asset-Backed Pass-Through Certificates Series
2005-2, 0.61% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/355		261,140		260,820
Total Residential Mortgage Backed Securities				96,529,094
Commercial Mortgage Backed Securities - 1.4%
Morgan Stanley Capital I Trust
2018-H3, 0.83% (WAC) due 07/15/515,8		46,288,488		2,116,819
2014-MP, 3.69% due 08/11/333		1,669,000		1,673,535
2014-CPT, 3.35% due 07/13/293		1,000,000		999,904
Life Mortgage Trust
2021-BMR, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/383,5		2,450,000		2,452,204
BENCHMARK Mortgage Trust
2019-B14, 0.79% (WAC) due 12/15/625,8		34,828,431		1,653,974

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Citigroup Commercial Mortgage Trust
2019-GC41, 1.06% (WAC) due 08/10/565,8		24,923,984	$	1,653,908
JPMDB Commercial Mortgage Securities Trust
2018-C8, 0.64% (WAC) due 06/15/515,8		29,452,071		937,848
KKR Industrial Portfolio Trust
2021-KDIP, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/373,5		650,000		649,221
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		391,506		391,372
Total Commercial Mortgage Backed Securities				12,528,785
Total Collateralized Mortgage Obligations
(Cost $108,568,722)				109,057,879
FOREIGN GOVERNMENT DEBT†† - 12.0%
State of Israel
1.00% due 04/30/21	ILS	81,180,000		24,319,498
Kingdom of Spain
(0.51)% due 07/09/2111	EUR	17,110,000		20,092,309
Province of Ontario
0.09% due 04/21/2111	CAD	25,000,000		19,896,014
Republic of France
(0.59)% due 04/08/2111	EUR	14,125,000		16,563,648
Province of Newfoundland
0.10% due 04/15/2111	CAD	11,400,000		9,072,855
Czech Republic
0.10% due 04/17/22	CZK	200,400,000		8,963,083
United Mexican States
4.04% due 05/06/2111	MXN	84,280,000		4,106,881
Abu Dhabi Government International Bond
0.75% due 09/02/23		2,200,000		2,207,348
Republic of Portugal
(0.53)% due 07/16/2111	EUR	1,410,000		1,656,025
Total Foreign Government Debt
(Cost $108,491,262)				106,877,661
SENIOR FLOATING RATE INTERESTS††,5 - 2.6%
Industrial - 1.0%
Berry Global, Inc.
due 07/01/26		4,400,000		4,360,796
Reynolds Group Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/06/23		2,200,000		2,189,352
Filtration Group Corp.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		846,130		833,227
Gates Global LLC
3.50% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.50%) due 03/31/27		696,181		693,862
VC GB Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24†††		454,035		451,197

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Beacon Roofing Supply, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/02/25		136,605	$	135,751
Total Industrial				8,664,185
Consumer, Cyclical - 0.5%
Power Solutions (Panther)
3.36% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		2,159,879		2,135,581
Samsonite IP Holdings SARL
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25		1,141,375		1,148,509
Go Daddy Operating Company LLC
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24		498,279		494,153
CHG Healthcare Services, Inc.
4.00% (3 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 06/07/23		448,834		447,070
Burlington Stores, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/18/24		400,000		396,332
Total Consumer, Cyclical				4,621,645
Consumer, Non-cyclical - 0.3%
Option Care Health, Inc.
due 08/06/26		2,244,318		2,234,510
Dole Food Company, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 04/05/24		397,279		396,894
Nomad Foods Lux S.A.R.L
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24		300,000		297,063
Total Consumer, Non-cyclical				2,928,467
Financial - 0.2%
Focus Financial Partners, LLC
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		847,565		837,776
USI, Inc.
3.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		795,876		786,357
HUB International Ltd.
3.22% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25		447,698		441,086
Total Financial				2,065,219

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Technology - 0.2%
Boxer Parent Co., Inc.
due 10/02/25		1,096,853	$	1,091,369
Sabre GLBL, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		598,454		590,105
MACOM Technology Solutions Holdings, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		344,716		341,918
Total Technology				2,023,392
Communications - 0.2%
ProQuest, LLC
due 10/23/26		1,300,000		1,290,900
Basic Materials - 0.2%
Invictus MD Strategies Corp.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		846,409		836,430
Univar USA, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/01/24		250,000		248,985
HB Fuller Co.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24		137,857		137,202
Total Basic Materials				1,222,617
Total Senior Floating Rate Interests
(Cost $22,832,218)				22,816,425
MUNICIPAL BONDS†† - 1.0%
New York - 0.5%
City of New York New York General Obligation Unlimited
0.07% (VRDN) due 04/01/4210		4,010,000		4,010,000
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds
0.07% (VRDN) due 08/01/4210		350,000		350,000
New York State Dormitory Authority Revenue Bonds
5.00% due 07/01/21		25,000		25,291
New York City Transitional Finance Authority Building Aid Revenue Bonds
5.00% due 07/15/22		5,000		5,259
Total New York				4,390,550
California - 0.4%
Metropolitan Water District of Southern California Revenue Bonds
0.05% (VRDN) due 07/01/4710		3,420,000		3,420,000

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Santa Barbara Unified School District General Obligation Unlimited
due 08/01/219		100,000	$	52,982
McKinleyville Union School District General Obligation Unlimited
due 08/01/219		210,000		19,569
City of Fairfield California Revenue Bonds
8.38% due 06/01/21		10,000		10,027
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Bonds
5.00% due 05/03/21		10,000		9,938
Brea Redevelopment Agency Tax Allocation
due 08/01/219		15,000		5,339
Total California				3,517,855
Texas - 0.1%
City of Dallas Texas Waterworks & Sewer System Revenue Bonds
5.00% due 10/01/21		150,000		153,595
West Travis County Public Utility Agency Revenue Bonds
5.00% due 08/15/21		50,000		50,886
Houston Higher Education Finance Corp. Revenue Bonds
5.00% due 09/01/22		25,000		26,680
North Texas Tollway Authority Revenue Bonds
5.00% due 09/01/21		25,000		25,492
City of Austin Texas Water & Wastewater System Revenue Bonds
5.00% due 11/15/21		15,000		15,286
Central Texas Turnpike System Revenue Bonds
due 08/15/219		10,000		9,895
State of Texas General Obligation Unlimited
5.00% due 08/01/21		5,000		5,026
Total Texas				286,860
Colorado - 0.0%
Dawson Ridge Metropolitan District No. 1
due 10/01/229		150,000		149,577
Nevada - 0.0%
Las Vegas Valley Water District General Obligation Limited
5.13% due 06/01/21		120,000		120,923
Virginia - 0.0%
Virginia College Building Authority Revenue Bonds
3.00% due 09/01/21		60,000		60,666
University of Virginia Revenue Bonds
2.00% due 08/01/21		15,000		14,937
Virginia Resources Authority Revenue Bonds
5.00% due 11/01/21		5,000		5,090
Montgomery County Economic Development Authority Revenue Bonds
4.71% due 06/01/21		5,000		4,985
Total Virginia				85,678

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Pennsylvania - 0.0%
Lancaster County Hospital Authority Revenue Bonds
4.00% due 01/01/22		25,000	$	25,693
4.13% due 01/01/22		20,000		20,381
Central Bucks School District General Obligation Limited
5.10% due 05/15/21		15,000		14,932
County of Montgomery Pennsylvania General Obligation Unlimited
5.20% due 04/01/21		15,000		14,850
City of Erie Pennsylvania General Obligation Unlimited
due 11/15/229		5,000		4,926
Total Pennsylvania				80,782
Connecticut - 0.0%
Connecticut State Health & Educational Facilities Authority Revenue Bonds
5.00% due 07/01/21		55,000		55,595
4.13% due 07/01/21		10,000		9,994
4.00% due 07/01/21		10,000		9,991
Total Connecticut				75,580
New Jersey - 0.0%
New Jersey Health Care Facilities Financing Authority Revenue Bonds
5.25% due 07/01/21		35,000		35,327
New Jersey Transportation Trust Fund Authority Revenue Bonds
5.00% due 06/15/21		20,000		19,989
New Jersey Economic Development Authority Revenue Bonds
due 07/01/219		10,000		9,892
Total New Jersey				65,208
North Carolina - 0.0%
County of New Hanover North Carolina Revenue Bonds
4.00% due 10/01/21		50,000		50,906
Inlivian Revenue Bonds
6.00% due 12/01/21		5,000		5,126
Total North Carolina				56,032
Kansas - 0.0%
City of Wichita Kansas Water & Sewer Utility Revenue Bonds
5.00% due 10/01/21		50,000		51,162
Washington - 0.0%
Seattle Housing Authority Revenue Bonds
2.88% due 12/01/21		50,000		50,892
Maryland - 0.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
4.00% due 07/01/22		30,000		31,425
County of Frederick Maryland General Obligation Unlimited
3.50% due 08/01/21		10,000		10,006
Total Maryland				41,431

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Arizona - 0.0%
Industrial Development Authority of the County of Pima Revenue Bonds
8.25% due 06/01/21		30,000	$	30,376
City of Mesa Arizona Excise Tax Revenue Bonds
5.00% due 07/01/22		5,000		5,249
Total Arizona				35,625
Ohio - 0.0%
Greater Cleveland Regional Transit Authority Revenue Bonds
5.00% due 12/01/21		20,000		20,423
Ohio Higher Educational Facility Commission Revenue Bonds
5.00% due 01/01/22		5,000		5,131
4.00% due 01/01/22		5,000		5,089
Total Ohio				30,643
Michigan - 0.0%
Michigan Finance Authority Revenue Bonds
5.00% due 12/01/21		25,000		25,554
Hudsonville Public Schools General Obligation Unlimited
5.00% due 05/01/21		5,000		4,968
Total Michigan				30,522
Illinois - 0.0%
City of Moline Illinois General Obligation Unlimited
5.20% due 06/01/21		10,000		9,978
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited
due 12/01/219		10,000		9,881
Illinois Finance Authority Revenue Bonds
4.00% due 05/15/22		5,000		5,152
Total Illinois				25,011
Massachusetts - 0.0%
Commonwealth of Massachusetts Transportation Fund Revenue Bonds
4.00% due 06/01/21		15,000		14,941
Massachusetts Development Finance Agency Revenue Bonds
5.25% due 04/01/21		10,000		9,900
Total Massachusetts				24,841
Oregon - 0.0%
Oregon State Lottery Revenue Bonds
5.25% due 04/01/21		15,000		14,850
Florida - 0.0%
Capital Trust Agency, Inc. Revenue Bonds
4.38% due 12/01/22		10,000		11,057
Puerto Rico - 0.0%
Puerto Rico Highway & Transportation Authority Revenue Bonds
5.25% due 07/01/22		10,000		10,517

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Missouri - 0.0%
Health & Educational Facilities Authority of the State of Missouri Revenue Bonds
5.00% due 11/15/21		5,000	$	5,100
South Carolina - 0.0%
South Carolina Jobs-Economic Development Authority Revenue Bonds
6.00% due 08/01/21		5,000		5,044
Utah - 0.0%
Intermountain Power Agency Revenue Bonds
5.00% due 07/01/21		5,000		4,997
Total Municipal Bonds
(Cost $9,180,921)				9,170,737
U.S. TREASURY BILLS†† - 0.0%
U.S. Treasury Bills
0.06% due 04/08/2111		100,000		100,000
Total U.S. Treasury Bills
(Cost $99,999)				100,000
COMMERCIAL PAPER†† - 1.4%
Mondelez International, Inc.
0.10% due 04/06/213,11		10,000,000		9,999,833
McCormick & Co., Inc.
0.10% due 04/01/213,11		2,000,000		2,000,000
Total Commercial Paper
(Cost $11,999,833)				11,999,833
Total Investments - 101.9%
(Cost $903,271,018)			$	903,075,410
Other Assets & Liabilities, net - (1.9)%				(16,675,656	)
Total Net Assets - 100.0%			$	886,399,754

Centrally Cleared Interest Rate Swap Agreements^††        

Counterparty

Exchange

Floating Rate Type

Floating Rate Index

Fixed Rate

Payment Frequency

Maturity Date

Notional Amount

Value

Upfront Premiums Paid

Unrealized Appreciation**

BofA Securities, Inc.

CME

Receive

3-Month USD LIBOR

1.66%

Quarterly

03/16/31

$

4,500,000

$

52,441

$

334

$

52,107

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

Total Return Swap Agreements

Counterparty

Reference Obligation

Financing Rate Receive

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation (Depreciation)

OTC Fixed Income Index Swap Agreements Sold Short††

BNP Paribas

iShares Core U.S. Aggregate Bond ETF

0.37% (1 Month USD LIBOR + 0.26%)

At Maturity

04/30/21

97,450

$

11,092,734

$

351,795

BNP Paribas

iShares Core U.S. Aggregate Bond ETF

0.39% (1 Month USD LIBOR + 0.28%)

At Maturity

04/19/21

83,100

9,459,273

284,202

BNP Paribas

iShares Core U.S. Aggregate Bond ETF

0.36% (1 Month USD LIBOR + 0.25%)

At Maturity

04/21/21

62,500

7,114,375

223,750

BNP Paribas

iShares Core S&P 500 ETF

0.29% (3 Month USD LIBOR + 0.09%)

At Maturity

05/12/21

100,000

39,782,000

(610,000

)

$

67,448,382

$

249,747

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
UBS AG		2,724,000,000		JPY		04/12/21	$	26,174,690	$	24,602,950	$	1,571,740
UBS AG		81,991,800		ILS		04/30/21		25,355,939		24,555,839		800,100
Goldman Sachs International		17,110,000		EUR		07/09/21		20,890,625		20,104,829		785,796
Goldman Sachs International		75,210,000		BRL		04/01/21		14,025,369		13,372,093		653,276
JPMorgan Chase Bank, N.A.		9,900,000		BRL		07/01/21		2,372,110		1,749,217		622,893
Morgan Stanley Capital Services LLC		55,390,000		BRL		04/01/21		10,422,234		9,848,162		574,072
Citibank, N.A.		8,240,000		BRL		07/01/21		1,997,144		1,455,913		541,231
Citibank, N.A.		14,125,000		EUR		04/08/21		17,003,166		16,564,126		439,040
Citibank, N.A.		464,232,000		JPY		07/01/21		4,571,103		4,196,180		374,923
Barclays Bank plc		429,214,500		JPY		07/01/21		4,219,983		3,879,657		340,326
JPMorgan Chase Bank, N.A.		217,500,000		JPY		04/19/21		2,100,509		1,964,594		135,915
Citibank, N.A.		1,410,000		EUR		07/16/21		1,713,315		1,657,061		56,254
Goldman Sachs International		860,000		BRL		07/01/21		201,476		151,952		49,524
UBS AG		137,000,000		MXN		04/08/21		6,747,389		6,701,218		46,171
Barclays Bank plc		200,600,400		CZK		04/19/22		9,076,214		9,072,557		3,657
Barclays Bank plc		8,523,623		ILS		08/01/22		2,581,743		2,578,398		3,345
Barclays Bank plc		179,895,000		HUF		04/21/21		583,509		582,852		657
Barclays Bank plc		200,400		CZK		04/19/21		9,076		9,014		62
Barclays Bank plc		63,277		ILS		08/02/21		18,856		18,994		(138	)
Bank of America, N.A.		643,550		ILS		01/31/22		190,795		193,983		(3,188	)
Bank of America, N.A.		3,949,100		ILS		04/30/21		1,169,117		1,182,721		(13,604	)
Citibank, N.A.		4,100,600		ILS		04/30/21		1,211,792		1,228,095		(16,303	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

Forward Foreign Currency Exchange Contracts†† (continued)
Counterparty	Contracts to Sell		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Goldman Sachs International		3,270,500		ILS		01/31/22	$	968,615	$	985,814	$	(17,199	)
Goldman Sachs International		4,191,500		ILS		04/30/21		1,227,224		1,255,319		(28,095	)
Goldman Sachs International		2,216,500		EUR		07/30/21		2,574,742		2,605,705		(30,963	)
JPMorgan Chase Bank, N.A.		2,407,925		EUR		07/30/21		2,779,155		2,830,743		(51,588	)
UBS AG		84,280,000		MXN		05/06/21		4,040,290		4,110,107		(69,817	)
JPMorgan Chase Bank, N.A.		11,400,000		CAD		04/15/21		8,980,961		9,073,621		(92,660	)
UBS AG		12,110,000		CAD		04/07/21		9,544,377		9,638,544		(94,167	)
Barclays Bank plc		25,000,000		CAD		04/21/21		19,600,463		19,898,582		(298,119	)
											$	6,283,141
Counterparty	Contracts to Buy		Currency		Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Barclays Bank plc		8,523,623		ILS		08/01/22	$	2,345,521	$	2,578,398	$	232,877
Goldman Sachs International		4,624,425		EUR		07/30/21		5,306,527		5,436,448		129,921
Goldman Sachs International		6,120,600		ILS		04/30/21		1,707,090		1,833,067		125,977
JPMorgan Chase Bank, N.A.		6,120,600		ILS		04/30/21		1,724,598		1,833,067		108,469
Goldman Sachs International		3,914,050		ILS		01/31/22		1,086,030		1,179,798		93,768
UBS AG		137,000,000		MXN		04/08/21		6,659,648		6,701,218		41,570
JPMorgan Chase Bank, N.A.		12,110,000		CAD		04/07/21		9,601,982		9,638,544		36,562
Barclays Bank plc		63,277		ILS		07/30/21		17,340		18,993		1,653
Citibank, N.A.		179,895,000		HUF		04/21/21		611,285		582,852		(28,433	)
UBS AG		217,500,000		JPY		04/19/21		1,994,150		1,964,594		(29,556	)
Citibank, N.A.		37,000,000		BRL		04/01/21		6,623,346		6,578,479		(44,867	)
JPMorgan Chase Bank, N.A.		41,600,000		BRL		04/01/21		7,463,223		7,396,345		(66,878	)
Morgan Stanley Capital Services LLC		52,000,000		BRL		04/01/21		9,331,204		9,245,431		(85,773	)
JPMorgan Chase Bank, N.A.		6,365,000		BRL		07/01/21		1,233,528		1,124,623		(108,905	)
Citibank, N.A.		12,635,000		BRL		07/01/21		2,423,071		2,232,460		(190,611	)
JPMorgan Chase Bank, N.A.		2,724,000,000		JPY		04/12/21		24,968,194		24,602,950		(365,244	)
JPMorgan Chase Bank, N.A.		893,446,500		JPY		07/01/21		8,723,786		8,075,837		(647,949	)
											$	(797,419	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	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	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
2	Rate indicated is the 7-day yield as of March 31, 2021.
3	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 $431,303,946 (cost $430,370,964), or 48.7% of total net assets.
4	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
6	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 $15,660,331 (cost $15,643,452), or 1.8% of total net assets — See Note 8.
7	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
8	Security is an interest-only strip.
9	Zero coupon rate security.
10	The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at March 31, 2021.
11	Rate indicated is the effective yield at the time of purchase.
	BofA — Bank of America
	BRL — Brazilian Real
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CZK — Czech Koruna
	EUR — Euro
	HUF — Hungarian Forint
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LIBOR — London Interbank Offered Rate
	MXN — Mexican Peso
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	VRDN — Variable Rate Demand Note
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Exchange-Traded Funds	$	67,448,382	$	—	$	—	$	67,448,382
Money Market Fund		46,240,865		—		—		46,240,865
Corporate Bonds		—		273,549,362		—		273,549,362
Asset-Backed Securities		—		229,564,266		26,250,000		255,814,266
Collateralized Mortgage Obligations		—		101,988,665		7,069,214		109,057,879
Foreign Government Debt		—		106,877,661		—		106,877,661
Senior Floating Rate Interests		—		22,365,228		451,197		22,816,425
Municipal Bonds		—		9,170,737		—		9,170,737
U.S. Treasury Bills		—		100,000		—		100,000
Commercial Paper		—		11,999,833		—		11,999,833
Interest Rate Swap Agreements**		—		52,107		—		52,107
Forward Foreign Currency Exchange Contracts**		—		7,769,779		—		7,769,779
Fixed Income Index Swap Agreements**		—		859,747		—		859,747
Total Assets	$	113,689,247	$	764,297,385	$	33,770,411	$	911,757,043

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	2,284,057	$	—	$	2,284,057
Fixed Income Index Swap Agreements**		—		610,000		—		610,000
Total Liabilities	$	—	$	2,894,057	$	—	$	2,894,057

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
ULTRA SHORT DURATION FUND

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

Category	Ending Balance at March 31, 2021		Valuation Technique	Unobservable Inputs	Input Range	Weighted Average
Assets:
Asset-Backed Securities	$	21,050,000	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—	—
Asset-Backed Securities		5,200,000	Model Price	Purchase Price	—	—
Collateralized Mortgage Obligations		3,998,845	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—	—
Collateralized Mortgage Obligations		3,070,369	Model Price	Purchase Price	—	—
Senior Floating Rate Interests		451,197	Third Party Pricing	Broker Quote	—	—
Total Assets	$	33,770,411

Significant changes in a quote would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $1,000,000 transfer into Level 3 from Level 2 due to lack of observable inputs.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
ULTRA SHORT 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, 2021:

	Assets
	Asset-Backed Securities			Collateralized Mortgage Obligations			Senior Floating Rate Interests			Total Assets
Beginning Balance	$	15,400,000		$	4,875,837		$	—		$	20,275,837
Purchases/(Receipts)		17,150,000			7,071,935			494,000			24,715,935
(Sales, maturities and paydowns)/Fundings		(7,300,000	)		(4,835,657	)		(45,965	)		(12,181,622	)
Amortization of premiums/discounts		—			(199	)		1,048			849
Total realized gains (losses) included in earnings		—			(3	)		—			(3	)
Total change in unrealized appreciation (depreciation) included in earnings		—			(42,699	)		2,114			(40,585	)
Transfers into Level 3		1,000,000			—			—			1,000,000
Transfers out of Level 3		—			—			—			—
Ending Balance	$	26,250,000		$	7,069,214		$	451,197		$	33,770,411
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	—		$	782		$	2,114		$	2,896

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date
CSMC Trust 2020-NQM1, 1.21% due 05/25/65		2.21	%		09/26/24
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24
Verus Securitization Trust 2020-5, 1.22% due 05/25/65		2.22	%		10/26/24
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23

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

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

ULTRA SHORT DURATION FUND

March 31, 2021

Assets:
Investments, at value (cost $903,271,018)	$	903,075,410
Segregated cash with broker		370,000
Unamortized upfront premiums paid on interest rate swap agreements		334
Unrealized appreciation on OTC swap agreements		859,747
Unrealized appreciation on forward foreign currency exchange contracts		7,769,779
Prepaid expenses		71,715
Receivables:
Fund shares sold		2,776,636
Interest		1,835,011
Securities sold		356,498
Variation margin on interest rate swap agreements		6,159
Foreign tax reclaims		2,154
Dividends		1,452
Total assets		917,124,895
Liabilities:
Overdraft due to custodian bank		103,103
Segregated cash due to broker		4,120,354
Unrealized depreciation on OTC swap agreements		610,000
Unrealized depreciation on forward foreign currency exchange contracts		2,284,057
Payable for:
Securities purchased	$	17,878,688
Fund shares redeemed		5,245,196
Management fees		181,233
Swap settlement		110,795
Distributions to shareholders		89,614
Fund accounting/administration fees		29,863
Distribution and service fees		21,936
Transfer agent/maintenance fees		7,235
Due to Investment Adviser		3,903
Trustees’ fees*		619
Miscellaneous		38,545
Total liabilities		30,725,141
Net assets	$	886,399,754
Net assets consist of:
Paid in capital	$	885,585,680
Total distributable earnings (loss)		814,074
Net assets	$	886,399,754
A-Class:
Net assets	$	106,928,239
Capital shares outstanding		10,729,291
Net asset value per share	$	9.97
Institutional Class:
Net assets	$	779,471,515
Capital shares outstanding		78,229,011
Net asset value per share	$	9.96

* 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 | 39

STATEMENT OF OPERATIONS (Unaudited)

ULTRA SHORT DURATION FUND

Six Months Ended March 31, 2021

Investment Income:
Dividends	$	628,406
Interest		3,875,252
Total investment income		4,503,658
Expenses:
Management fees		940,183
Distribution and service fees:
A-Class		108,661
Transfer agent/maintenance fees:
A-Class		16,998
Institutional Class		35,749
Fund accounting/administration fees		117,327
Professional fees		42,129
Line of credit fees		16,444
Trustees’ fees*		14,703
Custodian fees		13,824
Miscellaneous		42,588
Recoupment of previously waived fees:
A-Class		1,375
Institutional Class		36,256
Total expenses		1,386,237
Less:
Expenses reimbursed by Adviser:
A-Class		(9,919	)
Institutional Class		(6,238	)
Expenses waived by Adviser		(4,287	)
Earnings credits applied		(1,122	)
Total waived/reimbursed expenses		(21,566	)
Net expenses		1,364,671
Net investment income		3,138,987
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	2,484,048
Investments sold short		(3,726	)
Swap agreements		(691,117	)
Futures contracts		30,413
Forward foreign currency exchange contracts		(4,217,849	)
Foreign currency transactions		333,672
Net realized loss		(2,064,559	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,399,841	)
Swap agreements		(43,442	)
Futures contracts		1,125
Forward foreign currency exchange contracts		3,052,010
Foreign currency translations		(6,693	)
Net change in unrealized appreciation (depreciation)		1,603,159
Net realized and unrealized loss		(461,400	)
Net increase in net assets resulting from operations	$	2,677,587

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

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

STATEMENTS OF CHANGES IN NET ASSETS

ULTRA SHORT DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,138,987		$	7,149,226
Net realized loss on investments		(2,064,559	)		(109,299	)
Net change in unrealized appreciation (depreciation) on investments		1,603,159			3,824,596
Net increase in net assets resulting from operations		2,677,587			10,864,523
Distributions to shareholders:
A-Class		(341,019	)		(703,568	)
Institutional Class		(3,414,272	)		(7,411,376	)
Total distributions to shareholders		(3,755,291	)		(8,114,944	)
Capital share transactions:
Proceeds from sale of shares
A-Class		87,810,701			98,280,201
Institutional Class		700,399,676			611,120,446
Distributions reinvested
A-Class		337,776			698,604
Institutional Class		2,989,809			6,175,476
Cost of shares redeemed
A-Class		(44,032,388	)		(67,169,591	)
Institutional Class		(363,340,432	)		(603,110,371	)
Net increase from capital share transactions		384,165,142			45,994,765
Net increase in net assets		383,087,438			48,744,344
Net assets:
Beginning of period		503,312,316			454,567,972
End of period	$	886,399,754		$	503,312,316
Capital share activity:
Shares sold
A-Class		8,798,842			9,879,376
Institutional Class		70,205,000			61,791,120
Shares issued from reinvestment of distributions
A-Class		33,854			70,360
Institutional Class		299,786			622,640
Shares redeemed
A-Class		(4,411,780	)		(6,767,628	)
Institutional Class		(36,420,650	)		(60,780,621	)
Net increase in shares		38,505,052			4,815,247

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

FINANCIAL HIGHLIGHTS

ULTRA SHORT DURATION 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019b
Per Share Data
Net asset value, beginning of period	$	9.98		$	9.97		$	10.00
Income (loss) from investment operations:
Net investment income (loss)c		.03			.12			.17
Net gain (loss) on investments (realized and unrealized)		—			.03			.02	j
Total from investment operations		.03			.15			.19
Less distributions from:
Net investment income		(.04	)		(.14	)		(.21	)
Net realized gains		—			—			(.01	)
Total distributions		(.04	)		(.14	)		(.22	)
Net asset value, end of period	$	9.97		$	9.98		$	9.97
Total Return		0.30	%		1.52	%		1.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	106,928		$	62,956		$	31,154
Ratios to average net assets:
Net investment income (loss)		0.62	%		1.20	%		2.05	%
Total expensesf		0.61	%		0.65	%		0.61	%
Net expensesg,h,i		0.58	%		0.61	%		0.58	%
Portfolio turnover rate		46	%		129	%		55	%

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

FINANCIAL HIGHLIGHTS (continued)

ULTRA SHORT DURATION 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	Six Months Ended March 31, 2021a			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019e			Year Ended Sept. 30, 2018e			Year Ended Sept. 30, 2017e			Year Ended Sept. 30, 2016e
Per Share Data
Net asset value, beginning of period	$	9.98		$	9.96		$	10.01		$	10.04		$	9.99		$	9.95
Income (loss) from investment operations:
Net investment income (loss)c		.04			.15			.28			.24			.17			.14
Net gain (loss) on investments (realized and unrealized)		(.01	)		.04			(.04	)		—			.06			.04
Total from investment operations		.03			.19			.24			.24			.23			.18
Less distributions from:
Net investment income		(.05	)		(.17	)		(.28	)		(.27	)		(.18	)		(.14	)
Net realized gains		—			—			(.01	)		—	d		—			—
Total distributions		(.05	)		(.17	)		(.29	)		(.27	)		(.18	)		(.14	)
Net asset value, end of period	$	9.96		$	9.98		$	9.96		$	10.01		$	10.04		$	9.99
Total Return		0.32	%		1.88	%		2.37	%		2.48	%		2.24	%		1.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	779,472		$	440,356		$	423,414		$	356,128		$	426,592		$	407,371
Ratios to average net assets:
Net investment income (loss)		0.86	%		1.47	%		2.54	%		2.44	%		1.73	%		1.37	%
Total expensesf		0.34	%		0.38	%		0.30	%		0.07	%		0.08	%		0.07	%
Net expensesg,h,i		0.33	%		0.36	%		0.29	%		0.07	%		0.08	%		0.07	%
Portfolio turnover rate		46	%		129	%		55	%		74	%		65	%		66	%

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

FINANCIAL HIGHLIGHTS (concluded)

ULTRA SHORT DURATION FUND

a	Unaudited figures for the period ended March 31, 2021. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: November 30, 2018. 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	The per share data for the years ended September 30, 2016 through September 30, 2018 and the period October 1, 2018 to November 30, 2018 has been restated to reflect the reorganization of the Guggenheim Strategy Fund I with and into the Guggenheim Ultra Short Duration Fund effective November 30, 2018. In conjunction with the reorganization, Guggenheim Ultra Short Duration Fund issued 2.501601322 Institutional Class shares for every 1 share of Guggenheim Strategy Fund I.
f	Does not include expenses of the underlying funds in which the Fund invests.
g	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
h	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19
A-Class	0.00%*	0.00%*	—
Institutional Class	0.01%	0.00%*	0.00%*

* Less than 0.01%

ⁱ 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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.58%	0.58%	0.58%	N/A	N/A	N/A
Institutional Class	0.33%	0.33%	0.29%	0.07%	0.08%	0.07%

^j The amount shown for a share outstanding throughout the period does not agree with the aggregate net loss on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At March 31, 2021, only A-Class and Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, 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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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 and other assets 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.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“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 U.S. business at 4:00 p.m. 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

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.

U.S. Government securities are valued by 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.

Typically, loans are valued using information provided by an independent third party pricing service that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

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

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests 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 disclosed in the Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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 takes 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, it may sell such securities before the settlement date.

(e) Short Sales

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

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

(f) Futures Contracts

Upon entering into a futures contract, the 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 appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(g) Swap Agreements

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. 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 | 49

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(h) Currency Translations

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 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.

(i) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(j) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(k) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(l) Distributions

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 U.S. federal income tax purposes.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

(o) Cash

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 0.06% at March 31, 2021.

(p) Indemnifications

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.

Note 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 amounts recognized on 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.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Short Sales

A short sale is a transaction in which the 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 Fund utilized 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.

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

Futures Contracts

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 Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Duration, Income	$	—	$	10,539,604

Swap Agreements

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. When utilizing over-the-counter (“OTC”) swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income	$	516,119	$	55,749,704

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	—	$	750,000

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 foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	61,321,910	$	232,687,641

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, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest Rate contracts	Unrealized appreciation on OTC swap agreements	Unrealized depreciation on OTC swap agreements
	Unamortized upfront premiums paid on interest rate swap agreements
	Variation margin on interest rate swap agreements
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	911,854	$	7,769,779	$	8,681,633

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	610,000	$	2,284,057	$	2,894,057

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2021:

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

56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the period ended March 31, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk		Forward Foreign Currency Exchange Risk			Total
	$	30,413	$	(697,921	)	$	6,804	$	(4,217,849	)	$	(4,878,553	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk		Forward Foreign Currency Exchange Risk		Total
	$	1,125	$	(43,442	)	$	—	$	3,052,010	$	3,009,693

In conjunction with the use of short sales and derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

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 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 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Fund 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 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.

Note 3 – 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 its 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.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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 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. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. 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 it believes 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:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Fixed income index swap agreements	$	859,747	$	—	$	859,747	$	(610,000	)	$	(80,000	)	$	169,747
Forward foreign currency exchange contracts		7,769,779		—		7,769,779		(1,837,880	)		(3,474,624	)		2,457,275

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Fixed income index swap agreements	$	610,000	$	—	$	610,000	$	(610,000	)	$	—		$	—
Forward foreign currency exchange contracts		2,284,057		—		2,284,057		(1,837,880	)		(370,000	)		76,177

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	370,000
BNP Paribas	Total return swap agreements		—		80,000
BofA Securities, Inc.	Interest rate swap agreements		—		354
Citibank N.A.	Forward foreign currency exchange contracts		—		940,000
Goldman Sachs International	Forward foreign currency exchange contracts		—		2,060,000
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		370,000		—
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts		—		670,000
			370,000		4,120,354

Note 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.

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

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

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

Independent pricing services are used to value a majority of the Fund’s investments. When values are not available from a pricing service, they will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.25% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, 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 | 61

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The Board has adopted a Distribution Plan related to the offering of A-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plan provides for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class shares.

The investment advisory contract 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 or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.58	%		11/30/18		02/01/22
Institutional Class		0.33	%		11/30/18		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2021		2022		2023		2024		Total
A-Class	$	—	$	—	$	16,978	$	10,447	$	27,425
Institutional Class		—		—		42,338		9,997		52,335

For the period ended March 31, 2021, GI recouped $37,631 from the Fund.

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

At March 31, 2021, GI and its affiliates owned 39% of the outstanding shares of the Fund.

Note 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 or federal excise 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
$	903,271,018	$	10,896,963	$	(5,304,995	)	$	5,591,968

Note 7 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	454,915,661	$	191,588,320

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of government securities, were as follows:

Purchases		Sales
$	5,173,208	$	31,652,396

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	24,662,329	$	—	$	—

Note 8 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/691		06/25/19	$	390,270	$	399,114
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		3,068,435		3,070,369
LSTAR Securities Investment Ltd.
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		1,450,000		1,448,997
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		2,634,747		2,641,851
Station Place Securitization Trust
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/221		05/13/20		8,100,000		8,100,000
			$	15,643,452	$	15,660,331

¹ Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 9 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 10 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 11 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67

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

Name, Address* and Year of Birth	Position(s) Held with 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
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

68 | 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 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, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69

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

Name, Address* and Year of Birth	Position(s) Held with 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
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); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

72 | 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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3.31.2021

Guggenheim Funds Semi-Annual Report

Guggenheim Limited Duration Fund

GuggenheimInvestments.com LD-SEMI-0321x0921

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
LIMITED DURATION FUND	8
NOTES TO FINANCIAL STATEMENTS	39
OTHER INFORMATION	53
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	54
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	59

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1

March 31, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (the “Fund”) for the semi-annual period ended March 31, 2021.

The Investment Manager 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 Manager.

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,

Guggenheim Partners Investment Management, LLC

April 30, 2021

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.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

COVID-19. The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, the financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to investment risk, including the possible loss of the entire principal amount invested. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

March 31, 2021

Limited Duration Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) March 31, 2021

For the six-month period ended March 31, 2021, the yield on the two-year U.S. Treasury Note rose 3 basis points¹ to 0.16% from 0.13%, and the 10-year U.S. Treasury Note climbed 105 basis points to 1.74% from 0.69%. The spread between the two-year U.S. Treasury Note and 10-year U.S. Treasury Note widened from 56 basis points to 158 basis points as investors repositioned in response to fears of inflationary pressure, which the Federal Reserve (the “Fed”) regards as a transitory, short-term phenomenon. Easy financial conditions and low rates will likely support credit over the next few years. With market optimism pulling forward rate hike expectations and causing bond yields to rise, we view this as an opportunity to add incremental yield to portfolios.

Our 2021 U.S. economic growth forecast increased during the first quarter of 2021 from an annualized 5.5% to over 7%, factoring in more fiscal stimulus than previously anticipated. This forecast captures the effect of stimulus representing roughly 11% of 2020–2021 gross domestic product (“GDP”), versus the previous calculation of about 8%. We see strength in the consumer sector and in housing activity. In addition, U.S. vaccinations for COVID-19 continue to accelerate, nearing 3 million doses per day by the end of the first quarter. More than 213 million doses have been administered in the U.S. so far, and about 35% of the U.S. population has been fully vaccinated. The U.S. is seeing the best-case scenario unfold in its vaccine rollout, but other countries have not been as fortunate.

Europe’s vaccine rollout hit a major speedbump during the first quarter when questions surrounding the safety of the AstraZeneca vaccine led several major European countries to temporarily suspend distribution. Safety concerns, coupled with supply constraints, meant that less than 10% of the populations of Germany, France, and Italy had been vaccinated by the end of the first quarter, well under the pace needed to reach 70% inoculated by summer. Any delay in ending the pandemic on a global scale has implications for other countries too, including the U.S., where travel and hospitality workers represent a large share of the unemployed.

Despite vaccination delays in Europe and its implications abroad, we saw meaningful improvement in the domestic labor market during the first quarter as states moved forward with business re-openings. Seasonally adjusted initial jobless claims fell by 97,000 to 684,000 in the week ending March 20, 2021, the lowest level since the pandemic began, before seeing an uptick the following week to 719,000. We saw more positive news across the board in the March payroll report with 916,000 jobs added, and with 156,000 more from revisions. Standing in the way of additional labor market gains are local government restrictions on certain sectors, although easing of these restrictions is expected by summer.

Economic developments drove a sharp increase in U.S. Treasury yields. The market pulled forward expectations of the next Fed rate hike from December 2023 to December 2022, while repricing the long-run terminal Fed funds rate estimate to 2.25% from just 0.55% last August. We do not expect the Fed to raise interest rates as early as the market is anticipating, even though we expect strong GDP growth in coming years.

Year-over-year inflation measures will rise over the next several months due to base effects, which may be compounded by supply chain disruptions in the goods sector and potential capacity constraints for certain services. However, these factors could prove to be short-lived, with base effects set to dampen inflation starting in the summer months. Moreover, the Fed is focused on generating sustainably higher inflation. Even if core inflation rises above the Fed’s 2% target in 2021, the Fed’s focus is on a long-term average of 2%. With years of shortfalls to make up, and the Fed now targeting labor market disparities as part of an expanded definition of full employment, we expect policymakers to remain resolutely patient. Any tapering of asset purchases will likely be deferred until later in 2022, with the first rate hike likely to come sometime after that.

For the six-month period ended March 31, 2021, the Standard & Poor’s 500^® (“S&P 500^®”) Index* returned 19.07%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 20.08%. The return of the MSCI Emerging Markets Index* was 22.43%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -2.73% return for the six-month period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 7.36%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.06% for the six-month period.

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

¹ Basis point – one basis point is equal to 0.01%.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) March 31, 2021

*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.

Bloomberg Barclays U.S. Aggregate 1-3 Year Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years.

ICE 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^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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, 2020 and ending March 31, 2021.

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.

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value September 30, 2020	Ending Account Value March 31, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.74%	0.45%	$ 1,000.00	$ 1,004.50	$ 3.70
C-Class	1.49%	0.08%	1,000.00	1,000.80	7.43
P-Class	0.74%	0.45%	1,000.00	1,004.50	3.70
Institutional Class	0.49%	0.57%	1,000.00	1,005.70	2.45
R6-Class	0.49%	0.57%	1,000.00	1,005.70	2.45
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.74%	5.00%	$ 1,000.00	$ 1,021.24	$ 3.73
C-Class	1.49%	5.00%	1,000.00	1,017.50	7.49
P-Class	0.74%	5.00%	1,000.00	1,021.24	3.73
Institutional Class	0.49%	5.00%	1,000.00	1,022.49	2.47
R6-Class	0.49%	5.00%	1,000.00	1,022.49	2.47

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.74%, 1.48%, 0.74%, 0.49% and 0.49% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively.
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, 2020 to March 31, 2021.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2021

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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	24.3%
AA	9.6%
A	19.9%
BBB	23.1%
BB	6.4%
B	3.4%
CCC	0.5%
CC	0.1%
NR2	3.5%
Other Instruments	9.2%
Total Investments	100.0%

Inception Dates:
A-Class	December 16, 2013
C-Class	December 16, 2013
P-Class	May 1, 2015
Institutional Class	December 16, 2013
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
iShares Core U.S. Aggregate Bond ETF	3.5%
State of Israel, 1.00%	2.6%
Shackleton CLO Ltd., 1.14%	1.3%
Station Place Securitization Trust, 0.92%	1.1%
Boeing Co., 4.88%	1.1%
Czech Republic, 0.10%	1.0%
Diamond CLO Ltd., 1.40%	0.9%
CSMC Trust, 1.67%	0.9%
Kingdom of Spain, (0.51)%	0.8%
Oak Street Investment Grade Net Lease Fund Series, 1.85%	0.8%
Top Ten Total	14.0%
“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 Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) March 31, 2021

Average Annual Returns*

Periods Ended March 31, 2021

	6 Month†	1 Year	5 Year	Inception (12/16/13)
A-Class Shares	0.45%	6.38%	3.24%	2.73%
A-Class Shares with sales charge‡	(1.82%)	3.99%	2.77%	2.40%
C-Class Shares	0.08%	5.55%	2.47%	1.96%
C-Class Shares with CDSC§	(0.92%)	4.55%	2.47%	1.96%
Institutional Class Shares	0.57%	6.60%	3.50%	2.99%
Bloomberg Barclays U.S. Aggregate 1-3 Year Index	0.15%	1.19%	1.96%	1.68%

	6 Month†	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	0.45%	6.38%	3.24%	2.75%
Bloomberg Barclays U.S. Aggregate 1-3 Year Index	0.15%	1.19%	1.96%	1.83%

	6 Month†	1 Year	Since Inception (03/13/19)
R6-Class Shares	0.57%	6.65%	3.98%
Bloomberg Barclays U.S. Aggregate 1-3 Year Index	0.15%	1.19%	3.04%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate 1-3 Year Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	6 month returns are not annualized.
‡	Fund returns are calculated using the maximum sales charge of 2.25%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2021
LIMITED DURATION FUND

	Shares		Value
COMMON STOCKS† - 0.2%
Financial - 0.2%
KKR Acquisition Holdings I Corp.*		820,948	$	8,217,689
RXR Acquisition Corp.*		165,463		1,629,811
MSD Acquisition Corp.*		136,871		1,389,241
Soaring Eagle Acquisition Corp.*		98,317		994,968
Colicity, Inc.*		33,744		340,814
Total Financial				12,572,523
Total Common Stocks
(Cost $12,550,612)				12,572,523
PREFERRED STOCKS†† - 0.1%
Financial - 0.1%
American Financial Group, Inc., 4.50% due 09/15/60		113,600		3,011,536
First Republic Bank, 4.13%		69,600		1,740,000
Total Financial				4,751,536
Total Preferred Stocks
(Cost $4,580,000)				4,751,536
EXCHANGE-TRADED FUNDS† - 3.5%
iShares Core U.S. Aggregate Bond ETF		1,526,500		173,761,495
Total Exchange-Traded Funds
(Cost $180,013,520)				173,761,495
MUTUAL FUNDS† - 1.8%
Guggenheim Strategy Fund III1		1,186,951		29,839,957
Guggenheim Strategy Fund II1		1,187,278		29,658,216
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,919,361		29,076,836
Total Mutual Funds
(Cost $87,057,622)				88,575,009
MONEY MARKET FUND† - 3.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		190,564,399		190,564,399
Total Money Market Fund
(Cost $190,564,399)				190,564,399
	Face Amount~
CORPORATE BONDS†† - 36.8%
Financial - 13.5%
Wells Fargo & Co.
2.88% due 10/30/303		25,000,000		25,735,395
3.90%3,4		11,150,000		11,260,385
2.57% due 02/11/313		2,240,000		2,257,070
Santander UK plc
0.81% (3 Month USD LIBOR + 0.62%) due 06/01/215		30,740,000		30,770,429
American International Group, Inc.
2.50% due 06/30/25		26,630,000		27,930,055
Equitable Financial Life Global Funding
1.40% due 07/07/256		15,000,000		14,986,091
1.80% due 03/08/286		12,000,000		11,724,725
BNP Paribas S.A.
1.32% due 01/13/273,6		21,350,000		20,870,839
2.22% due 06/09/263,6		400,000		410,066
Citizens Bank North America/Providence RI
2.25% due 04/28/25		20,000,000		20,744,432
Bank of America Corp.
2.59% due 04/29/313		19,650,000		19,584,822
Reliance Standard Life Global Funding II
2.75% due 05/07/256		17,890,000		18,774,842
Barclays Bank plc
1.70% due 05/12/22		18,450,000		18,704,597
Credit Agricole S.A.
1.25% due 01/26/273,6		17,950,000		17,548,098
1.91% due 06/16/263,6		400,000		405,389
Intercontinental Exchange, Inc.
0.83% (3 Month USD LIBOR + 0.65%) due 06/15/235		17,100,000		17,114,330
Credit Suisse Group AG
1.31% due 02/02/273,6		15,000,000		14,523,574
4.28% due 01/09/286		2,000,000		2,197,726
2.59% due 09/11/253,6		250,000		259,222
Mitsubishi UFJ Financial Group, Inc.
0.87% (3 Month USD LIBOR + 0.65%) due 07/26/215		11,450,000		11,471,585
1.24% (3 Month USD LIBOR + 1.06%) due 09/13/215		5,068,000		5,089,372
Citibank North America
0.79% (3 Month USD LIBOR + 0.57%) due 07/23/215		16,390,000		16,410,117
Cooperatieve Rabobank UA
1.34% due 06/24/263,6		15,000,000		14,868,399
Svenska Handelsbanken AB
0.65% (3 Month USD LIBOR + 0.47%) due 05/24/215		13,500,000		13,509,892
3.35% due 05/24/21		1,179,000		1,184,044
Regions Financial Corp.
2.25% due 05/18/25		14,000,000		14,521,688
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/256		11,450,000		13,083,228
Citigroup, Inc.
2.57% due 06/03/313		12,850,000		12,830,663
American Tower Corp.
1.60% due 04/15/26		12,500,000		12,522,762
Deloitte LLP
4.35% due 11/17/23†††		7,300,000		7,729,502
3.46% due 05/07/27†††		4,500,000		4,611,710
Lincoln National Corp.
3.40% due 01/15/31		11,590,000		12,334,366
BlackRock, Inc.
1.90% due 01/28/31		12,600,000		12,177,394
Iron Mountain, Inc.
4.88% due 09/15/276		7,360,000		7,530,200
5.00% due 07/15/286		4,175,000		4,268,937

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Standard Chartered plc
1.32% due 10/14/233,6		10,150,000	$	10,214,452
4.25% due 01/20/233,6		500,000		513,987
Societe Generale S.A.
1.49% due 12/14/263,6		10,500,000		10,314,561
3.88% due 03/28/246		350,000		377,463
Apollo Management Holdings, LP
4.40% due 05/27/266		7,115,000		8,031,723
4.00% due 05/30/246		1,846,000		2,023,314
Essex Portfolio, LP
1.70% due 03/01/28		10,450,000		10,053,167
ING Groep N.V.
1.73% due 04/01/273		9,800,000		9,785,949
Charles Schwab Corp.
5.38%3,4		8,650,000		9,588,525
Ares Finance Company LLC
4.00% due 10/08/246		8,967,000		9,555,070
BPCE S.A.
1.65% due 10/06/263,6		9,500,000		9,473,847
First American Financial Corp.
4.00% due 05/15/30		7,860,000		8,491,009
Aviation Capital Group LLC
2.88% due 01/20/226		8,000,000		8,115,806
Markel Corp.
6.00%3,4		7,210,000		7,840,875
KKR Group Finance Company VI LLC
3.75% due 07/01/296		7,040,000		7,775,983
Morgan Stanley
2.19% due 04/28/263		7,000,000		7,229,907
3.77% due 01/24/293		361,000		394,628
Goldman Sachs Group, Inc.
3.50% due 04/01/25		6,900,000		7,472,894
GA Global Funding Trust
1.63% due 01/15/266		7,300,000		7,287,410
Prudential plc
3.13% due 04/14/30		6,640,000		6,999,065
SBA Communications Corp.
3.13% due 02/01/296		6,500,000		6,247,475
3.88% due 02/15/27		700,000		715,540
Belrose Funding Trust
2.33% due 08/15/306		7,100,000		6,833,147
LPL Holdings, Inc.
4.00% due 03/15/296		4,450,000		4,483,375
4.63% due 11/15/276		2,000,000		2,075,000
UBS Group AG
2.01% (3 Month USD LIBOR + 1.78%, Rate Floor: 0.00%) due 04/14/215,6		5,700,000		5,702,524
Fidelity National Financial, Inc.
2.45% due 03/15/31		5,500,000		5,314,569
Fifth Third Bancorp
2.55% due 05/05/27		5,060,000		5,261,236
Manulife Financial Corp.
2.48% due 05/19/27		5,030,000		5,213,540
Westpac Banking Corp.
1.08% (3 Month USD LIBOR + 0.85%) due 01/11/225		5,000,000		5,032,208
MetLife, Inc.
3.85%3,4		4,620,000		4,770,150
Alexandria Real Estate Equities, Inc.
4.90% due 12/15/30		3,500,000		4,131,599
United Wholesale Mortgage LLC
5.50% due 11/15/256		3,880,000		4,044,900
Quicken Loans LLC / Quicken Loans Company-Issuer, Inc.
3.88% due 03/01/316		4,100,000		3,956,500
Bank of New York Mellon Corp.
4.70%3,4		3,010,000		3,261,184
Hunt Companies, Inc.
5.25% due 04/15/296		3,250,000		3,250,000
CNA Financial Corp.
4.50% due 03/01/26		2,298,000		2,595,476
NFP Corp.
7.00% due 05/15/256		2,200,000		2,359,500
Crown Castle International Corp.
3.30% due 07/01/30		2,188,000		2,284,374
Loews Corp.
3.20% due 05/15/30		2,140,000		2,261,865
Ameriprise Financial, Inc.
3.00% due 04/02/25		2,060,000		2,190,952
Equitable Holdings, Inc.
4.35% due 04/20/28		1,700,000		1,902,507
Brookfield Finance, Inc.
3.90% due 01/25/28		1,400,000		1,537,479
CIT Group, Inc.
3.93% due 06/19/243		1,450,000		1,533,375
Mizuho Financial Group, Inc.
1.32% (3 Month USD LIBOR + 1.14%) due 09/13/215		1,500,000		1,507,071
Weyerhaeuser Co.
4.00% due 04/15/30		912,000		1,007,442
Trinity Acquisition plc
4.40% due 03/15/26		881,000		991,263
Old Republic International Corp.
3.88% due 08/26/26		700,000		777,929
Sumitomo Mitsui Financial Group, Inc.
1.36% (3 Month USD LIBOR + 1.14%) due 10/19/215		702,000		706,051
RenaissanceRe Finance, Inc.
3.70% due 04/01/25		400,000		432,152
BBVA USA
3.88% due 04/10/25		150,000		163,831
Greystar Real Estate Partners LLC
5.75% due 12/01/256		150,000		154,125
OneMain Finance Corp.
7.13% due 03/15/26		50,000		57,668
Total Financial				674,241,588
Consumer, Non-cyclical - 5.2%
Anthem, Inc.
1.50% due 03/15/26		29,000,000		29,018,115
Sysco Corp.
5.65% due 04/01/25		20,550,000		23,887,364

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
General Mills, Inc.
0.76% (3 Month USD LIBOR + 0.54%) due 04/16/215		20,750,000	$	20,752,810
CoStar Group, Inc.
2.80% due 07/15/306		15,280,000		14,928,443
Lamb Weston Holdings, Inc.
4.63% due 11/01/246		8,818,000		9,150,615
4.88% due 11/01/266		3,750,000		3,881,250
BAT International Finance plc
1.67% due 03/25/26		13,000,000		12,862,548
Molina Healthcare, Inc.
5.38% due 11/15/22		9,500,000		9,961,130
4.38% due 06/15/286		1,725,000		1,774,956
DaVita, Inc.
4.63% due 06/01/306		10,250,000		10,425,787
3.75% due 02/15/316		800,000		766,560
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/276		11,200,000		10,864,000
Constellation Brands, Inc.
2.88% due 05/01/30		10,500,000		10,721,200
Centene Corp.
2.50% due 03/01/31		5,050,000		4,810,125
5.38% due 06/01/266		3,000,000		3,137,100
3.00% due 10/15/30		2,500,000		2,495,850
Altria Group, Inc.
2.35% due 05/06/25		8,000,000		8,290,031
Anheuser-Busch InBev Worldwide, Inc.
3.50% due 06/01/30		6,550,000		7,077,560
Spectrum Brands, Inc.
5.75% due 07/15/25		6,780,000		6,991,875
McCormick & Company, Inc.
2.50% due 04/15/30		7,000,000		6,977,138
BAT Capital Corp.
4.70% due 04/02/27		4,220,000		4,747,864
3.56% due 08/15/27		2,000,000		2,125,322
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/256		6,400,000		6,656,000
Kraft Heinz Foods Co.
4.25% due 03/01/31		5,700,000		6,277,332
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		5,350,000		5,715,872
3.05% due 01/15/26		400,000		427,079
Alcon Finance Corp.
2.60% due 05/27/306		5,910,000		5,922,142
US Foods, Inc.
6.25% due 04/15/256		3,750,000		4,020,000
4.75% due 02/15/296		1,700,000		1,700,000
Element Fleet Management Corp.
1.60% due 04/06/246		5,050,000		5,044,092
Royalty Pharma plc
1.75% due 09/02/276		5,150,000		4,998,206
Thermo Fisher Scientific, Inc.
4.13% due 03/25/25		4,200,000		4,662,240
ADT Security Corp.
3.50% due 07/15/22		3,096,000		3,142,440
Bunge Limited Finance Corp.
1.63% due 08/17/25		1,900,000		1,900,064
Hologic, Inc.
3.25% due 02/15/296		1,550,000		1,530,625
Avantor Funding, Inc.
4.63% due 07/15/286		1,050,000		1,096,578
Service Corporation International
3.38% due 08/15/30		750,000		732,037
Nielsen Finance LLC / Nielsen Finance Co.
5.00% due 04/15/226		149,000		149,031
Carriage Services, Inc.
6.63% due 06/01/266		100,000		105,000
Tenet Healthcare Corp.
7.50% due 04/01/256		75,000		80,975
Total Consumer, Non-cyclical				259,807,356
Industrial - 4.9%
Boeing Co.
4.88% due 05/01/25		50,000,000		55,652,710
2.20% due 02/04/26		10,450,000		10,413,213
Siemens Financieringsmaatschappij N.V.
0.80% (3 Month USD LIBOR + 0.61%) due 03/16/225,6		20,410,000		20,529,360
Berry Global, Inc.
1.57% due 01/15/266		11,750,000		11,568,345
4.88% due 07/15/266		5,165,000		5,465,371
FedEx Corp.
3.80% due 05/15/25		9,100,000		9,998,283
4.25% due 05/15/30		4,350,000		4,936,118
CNH Industrial Capital LLC
1.95% due 07/02/23		9,600,000		9,857,582
1.88% due 01/15/26		4,960,000		5,018,789
Ryder System, Inc.
3.35% due 09/01/25		10,600,000		11,443,581
3.75% due 06/09/23		1,350,000		1,438,733
Graphic Packaging International LLC
1.51% due 04/15/266		6,500,000		6,451,882
0.82% due 04/15/246		6,250,000		6,231,509
Silgan Holdings, Inc.
1.40% due 04/01/266		12,600,000		12,332,250
Teledyne Technologies, Inc.
2.25% due 04/01/28		12,000,000		11,933,076
Vontier Corp.
1.80% due 04/01/266		7,050,000		7,013,199
2.40% due 04/01/286		3,900,000		3,831,711
Standard Industries, Inc.
5.00% due 02/15/276		7,010,000		7,307,925
4.75% due 01/15/286		2,671,000		2,768,759
BAE Systems plc
3.40% due 04/15/306		6,950,000		7,372,147
Owens Corning
3.88% due 06/01/30		5,910,000		6,440,094
GATX Corp.
3.85% due 03/30/27		2,900,000		3,193,231
4.00% due 06/30/30		2,550,000		2,806,410
3.50% due 03/15/28		200,000		215,959

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
IDEX Corp.
3.00% due 05/01/30		4,100,000	$	4,223,131
Penske Truck Leasing Company LP / PTL Finance Corp.
4.45% due 01/29/266		2,475,000		2,771,156
4.20% due 04/01/276		500,000		559,298
Textron, Inc.
2.45% due 03/15/31		3,250,000		3,144,884
Hardwood Funding LLC
2.37% due 06/07/28†††		3,000,000		2,928,945
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/296		2,500,000		2,493,750
Howmet Aerospace, Inc.
6.88% due 05/01/25		1,900,000		2,201,625
Xylem, Inc.
1.95% due 01/30/28		2,050,000		2,045,056
National Basketball Association
2.51% due 12/16/24†††		1,900,000		1,943,652
PGT Innovations, Inc.
6.75% due 08/01/266		200,000		212,500
EnerSys
5.00% due 04/30/236		175,000		183,313
Amsted Industries, Inc.
4.63% due 05/15/306		100,000		101,250
Total Industrial				247,028,797
Communications - 3.6%
ViacomCBS, Inc.
4.95% due 01/15/31		13,560,000		16,028,629
4.75% due 05/15/25		6,860,000		7,755,522
4.20% due 05/19/32		4,100,000		4,595,741
Verizon Communications, Inc.
2.10% due 03/22/28		22,600,000		22,717,266
3.00% due 03/22/27		2,100,000		2,244,867
NTT Finance Corp.
1.59% due 04/03/286		24,000,000		23,413,073
Level 3 Financing, Inc.
3.63% due 01/15/296		5,400,000		5,231,250
5.25% due 03/15/26		3,991,000		4,110,730
4.25% due 07/01/286		2,775,000		2,806,385
3.75% due 07/15/296		2,150,000		2,104,097
Walt Disney Co.
2.65% due 01/13/317		12,720,000		12,932,382
T-Mobile USA, Inc.
3.50% due 04/15/256		5,000,000		5,397,050
2.63% due 04/15/26		3,200,000		3,256,000
2.25% due 02/15/26		3,150,000		3,172,649
3.88% due 04/15/306		540,000		588,454
Sirius XM Radio, Inc.
4.63% due 07/15/246		6,620,000		6,819,262
3.88% due 08/01/226		3,527,000		3,540,226
5.38% due 07/15/266		1,900,000		1,961,750
5.50% due 07/01/296		75,000		81,094
Ziggo BV
4.88% due 01/15/306		10,800,000		11,039,058
AT&T, Inc.
2.30% due 06/01/27		9,000,000		9,193,119
Netflix, Inc.
5.50% due 02/15/22		8,400,000		8,736,000
Altice France S.A.
7.38% due 05/01/266		5,385,000		5,600,400
Videotron Ltd.
5.00% due 07/15/22		5,350,000		5,564,000
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		3,250,000		3,213,254
Booking Holdings, Inc.
4.50% due 04/13/27		2,500,000		2,899,360
Fox Corp.
3.05% due 04/07/25		1,360,000		1,446,000
3.50% due 04/08/30		1,080,000		1,148,236
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/286		1,850,000		1,884,465
Thomson Reuters Corp.
3.35% due 05/15/26		1,550,000		1,674,293
CSC Holdings LLC
5.50% due 05/15/266		550,000		567,050
AMC Networks, Inc.
4.75% due 08/01/25		500,000		512,912
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC
3.36% due 09/20/216		203,750		205,278
CCO Holdings LLC / CCO Holdings Capital Corp.
5.75% due 02/15/266		85,000		87,699
Match Group Holdings II LLC
4.63% due 06/01/286		75,000		76,632
Total Communications				182,604,183
Technology - 3.0%
HCL America, Inc.
1.38% due 03/10/266		38,700,000		37,985,783
Microchip Technology, Inc.
2.67% due 09/01/236		17,800,000		18,536,644
NetApp, Inc.
2.38% due 06/22/27		17,800,000		18,172,952
Infor, Inc.
1.75% due 07/15/256		13,800,000		13,918,232
1.45% due 07/15/236		1,100,000		1,113,608
Oracle Corp.
2.30% due 03/25/28		12,400,000		12,537,741
Fidelity National Information Services, Inc.
1.65% due 03/01/28		11,000,000		10,736,118
CDK Global, Inc.
5.88% due 06/15/26		7,635,000		7,883,137
Citrix Systems, Inc.
1.25% due 03/01/26		7,250,000		7,124,050
MSCI, Inc.
3.88% due 02/15/316		6,796,000		6,944,153
Broadcom, Inc.
4.15% due 11/15/30		5,790,000		6,256,117

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
NCR Corp.
5.13% due 04/15/296		2,850,000	$	2,882,291
Qorvo, Inc.
4.38% due 10/15/29		1,380,000		1,473,164
3.38% due 04/01/316		1,200,000		1,175,868
Twilio, Inc.
3.63% due 03/15/29		2,600,000		2,632,058
Leidos, Inc.
3.63% due 05/15/256		1,950,000		2,115,746
CDW LLC / CDW Finance Corp.
3.25% due 02/15/29		810,000		799,875
Entegris, Inc.
4.38% due 04/15/286		100,000		103,115
Total Technology				152,390,652
Consumer, Cyclical - 3.0%
Marriott International, Inc.
4.63% due 06/15/30		7,320,000		8,183,442
5.75% due 05/01/25		6,610,000		7,582,277
2.13% due 10/03/22		2,345,000		2,379,315
Walgreens Boots Alliance, Inc.
3.20% due 04/15/30		13,950,000		14,476,572
Delta Air Lines, Inc.
7.00% due 05/01/256		12,550,000		14,452,039
Starbucks Corp.
2.55% due 11/15/30		13,300,000		13,316,535
Hanesbrands, Inc.
5.38% due 05/15/256		11,633,000		12,309,168
VF Corp.
2.80% due 04/23/27		11,650,000		12,257,984
Hyatt Hotels Corp.
5.38% due 04/23/25		5,180,000		5,806,510
5.75% due 04/23/30		4,320,000		5,042,660
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/256		10,000,000		10,648,567
Choice Hotels International, Inc.
3.70% due 01/15/31		7,350,000		7,728,084
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/326		5,000,000		4,853,000
5.38% due 05/01/256		1,450,000		1,528,300
Lowe’s Companies, Inc.
4.50% due 04/15/30		5,400,000		6,224,780
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		3,026,430		3,054,846
3.00% due 10/15/28		1,849,177		1,863,243
BorgWarner, Inc.
2.65% due 07/01/27		4,610,000		4,784,153
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/276		3,350,000		3,668,250
Aramark Services, Inc.
6.38% due 05/01/256		1,900,000		2,014,000
5.00% due 02/01/286		275,000		285,381
Dollar General Corp.
3.50% due 04/03/30		2,050,000		2,206,170
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		1,800,000		1,872,000
5.75% due 03/01/25		200,000		203,250
5.50% due 06/01/24		75,000		76,151
WMG Acquisition Corp.
3.63% due 10/15/26†††	EUR	1,000,000		1,207,352
3.88% due 07/15/306		500,000		504,823
1011778 BC ULC / New Red Finance, Inc.
5.75% due 04/15/256		700,000		743,750
Performance Food Group, Inc.
6.88% due 05/01/256		375,000		400,313
5.50% due 06/01/246		75,000		75,281
Total Consumer, Cyclical				149,748,196
Basic Materials - 1.7%
Anglo American Capital plc
2.25% due 03/17/286		14,000,000		13,814,316
2.63% due 09/10/306		9,370,000		9,177,636
4.00% due 09/11/276		750,000		826,141
5.38% due 04/01/256		600,000		683,339
Newcrest Finance Pty Ltd.
3.25% due 05/13/306		14,960,000		15,643,027
Valvoline, Inc.
3.63% due 06/15/316		10,761,000		10,411,268
4.25% due 02/15/306		125,000		127,500
Carpenter Technology Corp.
4.45% due 03/01/23		8,405,000		8,709,525
6.38% due 07/15/28		1,295,000		1,391,710
Kaiser Aluminum Corp.
4.63% due 03/01/286		9,643,000		9,870,093
Arconic Corp.
6.00% due 05/15/256		7,811,000		8,418,579
Nucor Corp.
2.00% due 06/01/25		5,000,000		5,127,553
Steel Dynamics, Inc.
2.40% due 06/15/25		1,050,000		1,093,948
Minerals Technologies, Inc.
5.00% due 07/01/286		150,000		154,687
Novelis Corp.
5.88% due 09/30/266		50,000		52,340
Total Basic Materials				85,501,662
Energy - 1.1%
Galaxy Pipeline Assets Bidco Ltd.
2.16% due 03/31/346		20,000,000		19,374,971
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		8,330,000		9,341,808
5.63% due 03/01/25		500,000		571,525
BP Capital Markets plc
4.88%3,4		7,500,000		8,034,375
Valero Energy Corp.
2.15% due 09/15/27		3,100,000		3,035,723
2.85% due 04/15/25		1,750,000		1,828,552
2.70% due 04/15/23		500,000		519,190

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Occidental Petroleum Corp.
5.50% due 12/01/25		5,000,000	$	5,277,450
Equinor ASA
1.75% due 01/22/267		3,500,000		3,580,452
Magellan Midstream Partners, LP
3.25% due 06/01/30		2,120,000		2,217,907
NuStar Logistics, LP
4.75% due 02/01/22		1,186,000		1,202,307
Cheniere Corpus Christi Holdings LLC
7.00% due 06/30/24		550,000		633,019
Parkland Corp.
5.88% due 07/15/276		500,000		533,125
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
6.25% due 04/01/23		100,000		100,020
Total Energy				56,250,424
Utilities - 0.8%
Alexander Funding Trust
1.84% due 11/15/236		19,050,000		19,340,701
Entergy Corp.
1.90% due 06/15/28		9,100,000		8,880,559
Southern Co.
1.75% due 03/15/28		5,000,000		4,854,372
AES Corp.
3.30% due 07/15/256		4,250,000		4,508,655
Clearway Energy Operating LLC
4.75% due 03/15/286		225,000		234,088
Total Utilities				37,818,375
Total Corporate Bonds
(Cost $1,812,473,773)				1,845,391,233
ASSET-BACKED SECURITIES†† - 31.5%
Collateralized Loan Obligations - 19.0%
Shackleton CLO Ltd.
2017-8A, 1.14% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/275,6		65,071,915		65,065,779
2018-6RA, 1.24% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/285,6		36,313,927		36,298,516
Diamond CLO Ltd.
2021-1A, 1.40% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/295,6		43,750,000		43,741,250
2018-1A, 1.72% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/305,6		6,000,000		5,987,754
BXMT Ltd.
2020-FL2, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/375,6		25,122,000		25,117,671
2020-FL2, 1.26% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 02/16/375,6		14,310,000		14,318,778
2020-FL3, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/375,6		4,500,000		4,524,802
2020-FL3, 2.26% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 03/15/375,6		2,000,000		2,015,611
2020-FL2, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 02/16/375,6		2,000,000		1,998,693
Palmer Square Loan Funding Ltd.
2021-1A, 1.06% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/295,6		21,000,000		21,021,006
2018-4A, 1.09% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/265,6		14,939,149		14,942,987
2019-3A, 1.03% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/275,6		4,123,202		4,123,548
2021-2A, due 05/20/295,6		4,000,000		3,999,200
2018-4A, 1.64% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/265,6		3,500,000		3,503,061
CHCP Ltd.
2021-FL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/15/385,6		34,750,000		34,760,362
LCM XXIV Ltd.
2021-24A, 1.17% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/305,6		31,250,000		31,205,381
Carlyle Global Market Strategies CLO Ltd.
2018-2A, 0.99% (3 Month USD LIBOR + 0.78%, Rate Floor: 0.00%) due 04/27/275,6		25,776,914		25,764,093
2018-4A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/315,6		4,681,009		4,673,365
Golub Capital Partners CLO Ltd.
2018-36A, 1.50% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/315,6		27,500,000		27,330,526
LoanCore Issuer Ltd.
2019-CRE2, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/365,6		8,550,000		8,541,465
2021-CRE4, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 07/15/355,6		7,500,000		7,486,409
2018-CRE1, 1.24% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/285,6		6,416,534		6,416,575
2018-CRE1, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/285,6		3,500,000		3,496,592

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
MP CLO VIII Ltd.
2018-2A, 1.13% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 10/28/275,6		23,775,378	$	23,767,820
Cerberus Loan Funding XXXI, LP
2021-1A, 1.69% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/325,6		13,500,000		13,500,000
2021-1A, 2.09% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/325,6		9,500,000		9,500,000
HERA Commercial Mortgage Ltd.
2021-FL1, 1.18% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/385,6		22,750,000		22,758,991
Madison Park Funding XLVIII Ltd.
2021-48A, 1.59% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/335,6		22,000,000		21,960,066
MidOcean Credit CLO VII
2020-7A, 1.28% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/295,6		20,500,000		20,475,892
GoldenTree Loan Management US CLO 1 Ltd.
2020-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 04/20/295,6		12,000,000		11,999,783
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/335,6		7,000,000		6,973,339
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/335,6		1,000,000		995,998
Dryden 33 Senior Loan Fund
2020-33A, 1.24% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/295,6		10,750,000		10,738,695
2020-33A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/295,6		8,250,000		8,209,144
Marathon CLO V Ltd.
2017-5A, 1.05% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/275,6		18,813,612		18,795,391
Cerberus Loan Funding XXXII, LP
2021-2A, due 04/22/335,6		18,250,000		18,246,350
Cerberus Loan Funding XXX, LP
2020-3A, 2.08% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/335,6		18,000,000		17,980,151
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.79% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/325,6		15,250,000		15,250,000
2021-1A, 2.34% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/325,6		2,250,000		2,250,000
2021-1A, 2.09% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/325,6		300,000		300,000
Woodmont Trust
2020-7A, 2.05% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/325,6		16,250,000		16,231,314
GPMT Ltd.
2019-FL2, 1.41% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/365,6		16,100,000		16,123,691
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.19% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/315,6		15,000,000		15,012,888
Venture XIV CLO Ltd.
2020-14A, 1.22% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/295,6		15,000,000		14,980,635
610 Funding CLO 3 Ltd.
2018-3A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/285,6		14,946,683		14,946,447
Owl Rock CLO IV Ltd.
2020-4A, 2.80% (3 Month USD LIBOR + 2.62%, Rate Floor: 2.62%) due 05/20/295,6		14,250,000		14,290,319
AMMC CLO XI Ltd.
2020-11A, 1.83% due 04/30/316		14,300,000		14,276,742
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/315,6		13,450,000		13,324,826
Parliament Funding II Ltd.
2020-1A, 2.67% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/305,6		12,500,000		12,511,173
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.12% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/275,6		10,223,872		10,226,153
2012-1A, 3.19% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 08/15/235,6		30,210		30,238
Neuberger Berman CLO XVI-S Ltd.
2021-16SA, 1.60% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/345,6		10,200,000		10,197,960
Allegro CLO IX Ltd.
2018-3A, 1.39% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/315,6		10,000,000		10,029,249

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Recette CLO Ltd.
2021-1A, 1.51% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/345,6		10,000,000	$	10,000,000
KREF Funding V LLC
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,5		10,000,000		9,924,432
0.15% due 06/25/26†††,11		27,272,727		13,364
BSPRT Issuer Ltd.
2021-FL6, 2.15% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/365,6		5,000,000		4,992,860
2018-FL4, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/355,6		2,930,978		2,930,977
2018-FL3, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 03/15/285,6		1,158,965		1,158,965
Westcott Park CLO Ltd.
2019-1A, 1.43% (3 Month USD LIBOR + 1.21%, Rate Floor: 0.00%) due 07/20/285,6		8,750,000		8,750,903
NXT Capital CLO LLC
2017-1A, 1.92% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 04/20/295,6		7,700,000		7,712,442
KREF Ltd.
2018-FL1, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 06/15/365,6		7,458,525		7,459,523
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.49% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/305,6		6,529,571		6,463,636
Wind River CLO Ltd.
2017-2A, 1.11% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/275,6		6,211,905		6,206,470
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.59% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/335,6		6,000,000		5,977,318
CIFC Funding Ltd.
2021-4A, 1.36% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/345,6		5,000,000		5,001,028
Owl Rock CLO II Ltd.
2021-2A, due 04/20/335,6		5,000,000		4,998,750
Mountain View CLO Ltd.
2018-1A, 1.04% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/265,6		4,643,666		4,639,376
PFP Ltd.
2021-7, 1.50% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/385,6		4,600,000		4,593,536
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.21% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/375,6		4,500,000		4,501,545
VOYA CLO
2021-2A, due 06/07/305,6		4,500,000		4,499,100
FDF II Ltd.
2016-2A, 4.29% due 05/12/316		4,000,000		4,033,858
Magnetite XXIX Ltd.
2021-29A, 1.50% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/345,6		4,000,000		4,000,000
Avery Point VI CLO Ltd.
2021-6A, 1.51% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/275,6		4,000,000		3,995,764
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 1.59% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/325,6		4,000,000		3,986,243
Flagship CLO VIII Ltd.
2018-8A, 1.07% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.00%) due 01/16/265,6		3,774,150		3,773,846
Telos CLO Ltd.
2017-6A, 1.49% (3 Month USD LIBOR + 1.27%, Rate Floor: 0.00%) due 01/17/275,6		3,763,681		3,763,797
NewStar Clarendon Fund CLO LLC
2019-1A, 1.52% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 01/25/275,6		3,321,184		3,318,846
AMMC CLO XIV Ltd.
2021-14A, 1.62% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/295,6		3,250,000		3,246,024
STWD Ltd.
2019-FL1, 2.06% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 07/15/385,6		3,200,000		3,203,303
Marathon CLO VII Ltd.
2017-7A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/255,6		3,000,000		2,998,553
Newstar Commercial Loan Funding LLC
2017-1A, 2.69% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/275,6		3,000,000		2,997,522
Grand Avenue CRE Ltd.
2020-FL2, 2.56% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 03/15/355,6		2,959,591		2,978,565
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 1.74% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/295,6		2,982,000		2,974,409

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
TCP Waterman CLO Ltd.
2016-1A, 2.23% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/285,6		2,892,840	$	2,894,851
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.87% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/305,6		2,500,000		2,495,537
Crown Point CLO III Ltd.
2017-3A, 1.15% (3 Month USD LIBOR + 0.91%, Rate Floor: 0.00%) due 12/31/275,6		2,429,769		2,429,602
TRTX Issuer Ltd.
2019-FL3, 1.26% (1 Month USD LIBOR + 1.15%, Rate Floor: 1.15%) due 10/15/345,6		2,243,000		2,243,495
Newfleet CLO Ltd.
2018-1A, 1.17% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/285,6		2,201,661		2,200,128
KVK CLO Ltd.
2017-1A, 1.13% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/285,6		1,484,357		1,482,942
2018-1A, 0.88% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 05/20/295,6		336,193		335,955
Seneca Park CLO Ltd.
2017-1A, 1.72% (3 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 07/17/265,6		1,532,538		1,532,406
Northwoods Capital XII-B Ltd.
2018-12BA, 0.93% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/315,6		1,531,250		1,527,825
Oaktree CLO Ltd.
2017-1A, 1.09% (3 Month USD LIBOR + 0.87%) due 10/20/275,6		1,296,622		1,296,749
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/316,8		1,500,000		1,283,379
Avery Point V CLO Ltd.
2017-5A, 1.20% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.00%) due 07/17/265,6		1,161,091		1,161,145
Treman Park CLO Ltd.
2015-1A, due 10/20/286,8		1,000,000		791,441
LCM XXII Ltd.
2018-22A, 0.82% (3 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 10/20/285,6		270,833		270,489
Hull Street CLO Ltd.
2017-1A, 1.45% (3 Month USD LIBOR + 1.22%, Rate Floor: 0.00%) due 10/18/265,6		82,315		82,316
Monroe Capital CLO Ltd.
2017-1A, 1.57% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/22/265,6		42,151		42,144
Copper River CLO Ltd.
2007-1A, due 01/20/218,9		500,000		14,730
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/256,8		301,370		350
Total Collateralized Loan Obligations				949,397,118
Financial - 3.7%
Station Place Securitization Trust
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/22†††,5,9		57,600,000		57,600,000
2020-16, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,5,6		30,000,000		30,000,000
2021-7, 1.02% (1 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 09/24/215,6		26,650,000		26,650,000
2021-3, 1.01% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,5,6		10,300,000		10,300,000
2020-12, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 0.00%) due 06/09/21†††,5,6		10,000,000		10,000,000
2021-SP1, 1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,5,6		3,000,000		3,000,000
2021-WL1, 0.96% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/545,6		1,650,000		1,649,474
2021-WL1, 1.16% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/545,6		1,250,000		1,249,603
HV Eight LLC
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/255	EUR	21,000,000		24,624,766
Madison Avenue Secured Funding Trust Series
2020-1, 1.73% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,5,6		8,000,000		8,000,000
Aesf Vi Verdi, LP
2.15% due 11/25/24†††	EUR	4,998,730		5,859,956
Ceamer Finance LLC
3.69% due 03/22/31		4,500,000		4,410,000
Strategic Partners Fund VIII LP
3.11% due 03/10/25†††		4,000,000		4,075,202
Total Financial				187,419,001
Transport-Container - 2.4%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/466		40,500,000		39,503,829

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/456		17,939,167	$	17,940,072
2020-1A, 2.08% due 09/18/456		1,880,000		1,873,765
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/466		18,750,000		18,310,699
TIF Funding II LLC
2021-1A, 1.65% due 02/20/466		18,063,625		17,392,587
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/466		11,224,223		10,890,170
2020-1A, 2.73% due 08/21/456		5,447,409		5,542,778
Textainer Marine Containers VIII Ltd.
2020-2A, 2.10% due 09/20/456		4,766,060		4,775,213
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/456		3,590,625		3,595,845
Total Transport-Container				119,824,958
Transport-Aircraft - 1.7%
AASET US Ltd.
2018-2A, 4.45% due 11/18/386		16,944,670		17,081,364
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/436		8,479,382		8,496,446
2017-1, 3.97% due 07/15/42		3,331,033		3,333,168
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/406		10,926,166		10,870,812
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/426		9,422,015		9,116,911
MAPS Ltd.
2018-1A, 4.21% due 05/15/436		8,143,800		8,220,353
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/466		7,249,089		7,360,727
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/406		7,325,252		7,267,374
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/396		2,915,266		2,938,214
2017-1, 4.58% due 02/15/426		1,627,304		1,643,093
AASET Trust
2017-1A, 3.97% due 05/16/426		3,669,359		3,676,403
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/406		4,614,895		3,659,645
Raspro Trust
2005-1A, 1.15% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/245,6		2,743,838		2,722,329
Total Transport-Aircraft				86,386,839
Net Lease - 1.6%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/506		40,513,120		40,665,984
Capital Automotive LLC
2017-1A, 3.87% due 04/15/476		15,497,675		15,523,094
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/456		10,383,462		10,771,219
CF Hippolyta LLC
2021-1A, 1.98% due 03/15/616		6,100,000		6,079,724
CARS-DB4, LP
2020-1A, 3.19% due 02/15/506		3,995,833		4,099,551
2020-1A, 3.25% due 02/15/506		923,995		939,602
Capital Automotive REIT
2020-1A, 3.48% due 02/15/506		1,997,917		2,042,739
2014-1A, 3.66% due 10/15/446		919,388		920,645
Total Net Lease				81,042,558
Infrastructure - 1.3%
VB-S1 Issuer LLC
2020-1A, 3.03% due 06/15/506		31,500,000		32,964,687
SBA Tower Trust
2.33% due 01/15/286		24,000,000		24,376,323
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/486		7,126,311		7,285,516
Total Infrastructure				64,626,526
Whole Business - 1.1%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/496		25,517,770		26,204,198
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/516		9,250,000		9,446,748
Arbys Funding LLC
2020-1A, 3.24% due 07/30/506		7,213,750		7,355,067
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/516		6,000,000		5,945,436
Domino’s Pizza Master Issuer LLC
2017-1A, 1.47% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/25/475,6		5,092,500		5,092,194
Wendy’s Funding LLC
2018-1A, 3.57% due 03/15/486		1,629,270		1,674,743
Total Whole Business				55,718,386
Collateralized Debt Obligations - 0.7%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/396		24,650,000		24,465,788
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/396		9,750,000		9,693,486
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/385,9		116,958		116,398
Total Collateralized Debt Obligations				34,275,672
Insurance - 0.0%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/346		297,000		304,602
Transport-Rail - 0.0%
TRIP Rail Master Funding LLC
2017-1A, 2.71% due 08/15/476		118,378		118,454
Total Asset-Backed Securities
(Cost $1,577,880,538)				1,579,114,114

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 14.9%
Residential Mortgage Backed Securities - 12.3%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/605,6		43,479,804	$	43,372,709
2020-RPL5, 3.02% (WAC) due 08/25/605,6		18,664,192		18,970,100
2018-RPL9, 3.85% (WAC) due 09/25/575,6		10,194,234		10,809,290
2020-NQM1, 1.41% due 05/25/656,10		7,469,319		7,476,704
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/536		28,950,000		29,008,644
2020-T3, 1.32% due 10/15/526		20,750,000		20,812,937
CIM Trust
2018-R4, 4.07% (WAC) due 12/26/575,6		20,551,885		20,633,731
2018-R2, 3.69% (WAC) due 08/25/575,6		19,365,633		19,399,002
Towd Point Mortgage Trust
2017-6, 2.75% (WAC) due 10/25/575,6		17,487,816		17,981,859
2018-2, 3.25% (WAC) due 03/25/585,6		8,990,634		9,373,786
2017-5, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/575,6		7,714,154		7,714,153
2018-1, 3.00% (WAC) due 01/25/585,6		1,330,183		1,369,814
Ocwen Master Advance Receivables Trust
2020-T1, 1.28% due 08/15/526		33,150,000		33,229,109
Verus Securitization Trust
2020-5, 1.58% due 05/25/656,10		14,190,022		14,219,639
2019-4, 2.64% due 11/25/596,10		9,194,435		9,357,529
2020-1, 2.42% due 01/25/606,10		5,226,582		5,282,353
New Residential Advance Receivables Trust Advance Receivables Backed
2020-T1, 1.43% due 08/15/536		15,750,000		15,784,050
2020-APT1, 1.04% due 12/16/52†††,6		10,900,000		10,896,851
Soundview Home Loan Trust
2006-OPT5, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/365		16,383,335		16,027,843
2005-OPT3, 0.81% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/355		3,901,777		3,892,480
2006-1, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 02/25/365		3,456,119		3,438,494
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/265,9		13,612,861		13,649,561
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/265,9		8,500,000		8,494,122
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/585,6		10,994,119		11,474,741
2018-1A, 4.00% (WAC) due 12/25/575,6		3,104,488		3,313,847
2019-6A, 3.50% (WAC) due 09/25/595,6		2,309,329		2,433,874
2017-5A, 1.61% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/575,6		1,099,749		1,117,767
FKRT
2020-C2A, 3.25% due 12/30/23†††,9		17,610,986		17,632,119
BRAVO Residential Funding Trust
2019-NQM1, 2.67% (WAC) due 07/25/595,6		5,788,702		5,854,486
2021-HE1, 0.97% (30 Day Average U.S. Secured Overnight Financing Rate + 0.95%, Rate Floor: 0.00%) due 01/25/705,6		4,865,891		4,862,218
2021-HE1, 0.87% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/705,6		3,653,546		3,648,582
2019-NQM2, 2.75% (WAC) due 11/25/595,6		1,725,415		1,779,334
Home Equity Loan Trust
2007-FRE1, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/375		16,194,456		15,260,156
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/685,9		10,215,105		10,638,615
2019-RM3, 2.80% (WAC) due 06/25/695,9		3,122,703		3,192,912
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.74% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/375		10,725,280		10,558,082
2006-BC4, 0.28% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 12/25/365		1,182,836		1,161,375
2007-BC1, 0.24% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/375		186,247		182,264
NovaStar Mortgage Funding Trust Series
2007-2, 0.31% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/375		11,279,183		11,057,534
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/505,6		6,578,460		6,699,510
2019-1, 2.94% (WAC) due 06/25/495,6		3,833,972		3,856,516
Banc of America Funding Trust
2015-R2, 0.37% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/375,6		9,641,629		9,407,400
2015-R4, 0.29% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/27/355,6		521,661		519,529
Alternative Loan Trust
2007-OA7, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 05/25/475		6,617,914		6,290,747
2007-OH3, 0.40% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/475		2,823,059		2,690,101
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-R10, 0.75% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/365		8,380,718		8,361,469

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
CIT Mortgage Loan Trust
2007-1, 1.46% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/375,6		7,623,043	$	7,662,759
2007-1, 1.56% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 10/25/375,6		378,777		380,759
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/605,6		7,590,212		7,616,037
American Home Mortgage Investment Trust
2006-3, 0.47% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/465		7,465,291		7,208,107
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 0.84% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/355		7,008,233		6,999,399
CFMT LLC
2021-HB5, 1.37% (WAC) due 02/25/315,6		6,950,000		6,918,131
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WHQ3, 1.05% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/355		6,355,834		6,395,364
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/595,6		3,541,677		3,584,824
2019-2, 2.70% (WAC) due 09/25/595,6		2,682,996		2,698,605
Bear Stearns Asset Backed Securities I Trust
2006-HE9, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/25/365		6,438,018		6,245,520
Morgan Stanley ABS Capital I Incorporated Trust
2007-HE3, 0.36% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/365		2,787,007		1,808,842
2007-HE3, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/365		1,996,612		1,283,463
2006-NC1, 0.68% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/355		1,217,538		1,212,148
2007-HE5, 0.29% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/375		1,901,999		1,043,629
Morgan Stanley Home Equity Loan Trust
2006-2, 0.67% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/365		5,051,520		5,009,029
HarborView Mortgage Loan Trust
2006-14, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/475		2,795,810		2,622,367
2006-12, 0.30% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/385		2,414,629		2,309,311
First NLC Trust
2005-4, 0.89% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/365		4,560,506		4,504,557
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/245,6		4,356,652		4,407,812
Countrywide Asset-Backed Certificates
2006-6, 0.45% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/365		3,243,094		3,223,255
2006-5, 0.69% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/365		977,653		969,057
Citigroup Mortgage Loan Trust
2019-IMC1, 2.72% (WAC) due 07/25/495,6		2,465,243		2,510,393
2007-WFH2, 0.51% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/375		1,669,432		1,662,351
Structured Asset Investment Loan Trust
2006-3, 0.26% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/365		3,349,179		3,286,848
2005-2, 0.84% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/355		325,156		324,126
2005-1, 0.83% (1 Month USD LIBOR + 0.72%, Rate Floor: 0.72%) due 02/25/355,6		94,794		94,911
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/556		3,750,000		3,678,107
Nationstar Home Equity Loan Trust
2007-B, 0.33% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/375		3,652,742		3,618,996
Ellington Financial Mortgage Trust
2020-2, 1.64% (WAC) due 10/25/655,6		3,614,826		3,605,514
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/365		3,350,000		3,285,837
FBR Securitization Trust
2005-2, 0.86% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/355		3,235,801		3,232,938
Nationstar HECM Loan Trust
2019-2A, 2.27% (WAC) due 11/25/295,6		3,078,906		3,084,522
Finance of America HECM Buyout
2021-HB1, 1.59% (WAC) due 02/25/315,6		2,850,000		2,839,018
MFRA Trust
2021-INV1, 1.26% (WAC) due 01/25/565,6		2,802,911		2,794,114
JP Morgan Mortgage Acquisition Trust
2006-HE2, 0.25% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/365		2,719,843		2,700,857
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 0.49% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/365		2,598,270		2,535,567

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
CSMC Series
2015-12R, 0.63% (WAC) due 11/30/375,6		2,043,918	$	2,038,955
2014-2R, 0.33% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/465,6		144,562		142,190
GSAA Home Equity Trust
2006-3, 0.71% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/365		2,969,914		2,012,428
ACE Securities Corporation Home Equity Loan Trust Series
2005-HE2, 1.13% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/355		1,992,230		1,989,691
Deephaven Residential Mortgage Trust
2019-3A, 2.96% (WAC) due 07/25/595,6		1,876,448		1,889,912
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 0.69% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/365		1,194,172		1,174,338
First Franklin Mortgage Loan Trust
2004-FF10, 1.38% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/345		814,515		817,701
Nomura Resecuritization Trust
2015-4R, 1.81% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/365,6		783,469		779,714
GE-WMC Asset-Backed Pass-Through Certificates Series
2005-2, 0.61% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/355		425,286		424,765
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		203,529		207,509
Encore Credit Receivables Trust
2005-4, 0.77% (1 Month USD LIBOR + 0.66%, Rate Floor: 0.66%) due 01/25/365		111,673		111,517
Morgan Stanley Re-REMIC Trust
2010-R5, 1.55% due 06/26/366		74,311		68,313
GSAMP Trust
2005-HE6, 0.77% (1 Month USD LIBOR + 0.66%, Rate Floor: 0.66%) due 11/25/355		25,688		25,683
Total Residential Mortgage Backed Securities				618,227,728
Commercial Mortgage Backed Securities - 1.5%
Morgan Stanley Capital I Trust
2014-MP, 3.47% due 08/11/336		18,800,000		18,851,864
2014-CPT, 3.45% (WAC) due 07/13/295,6		5,000,000		4,999,429
2014-MP, 3.69% (WAC) due 08/11/335,6		2,365,000		2,371,426
Life Mortgage Trust
2021-BMR, 1.51% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/385,6		7,000,000		7,011,198
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.02% (WAC) due 07/15/505,11		24,681,010		1,197,777
2016-C37, 0.93% (WAC) due 12/15/495,11		35,896,422		1,060,510
2017-C42, 0.88% (WAC) due 12/15/505,11		14,758,738		714,444
2015-LC22, 0.77% (WAC) due 09/15/585,11		21,070,137		591,761
2017-RB1, 1.24% (WAC) due 03/15/505,11		9,671,009		571,836
2016-NXS5, 1.44% (WAC) due 01/15/595,11		5,352,149		295,983
KKR Industrial Portfolio Trust
2021-KDIP, 1.11% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/375,6		3,550,000		3,545,746
JPMDB Commercial Mortgage Securities Trust
2016-C4, 0.79% (WAC) due 12/15/495,11		38,597,359		1,415,778
2018-C8, 0.64% (WAC) due 06/15/515,11		42,293,174		1,346,750
2016-C2, 1.57% (WAC) due 06/15/495,11		7,566,095		421,366
2017-C5, 0.95% (WAC) due 03/15/505,11		3,394,862		149,494
COMM Mortgage Trust
2015-CR24, 0.76% (WAC) due 08/10/485,11		61,944,084		1,731,052
2018-COR3, 0.44% (WAC) due 05/10/515,11		35,445,860		993,055
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.10% (WAC) due 02/15/505,11		32,807,124		1,573,873
2016-UB10, 1.87% (WAC) due 07/15/495,11		16,963,348		1,109,213
JP Morgan Chase Commercial Mortgage Securities Trust
2016-JP2, 1.79% (WAC) due 08/15/495,11		35,656,915		2,680,626
DBJPM Mortgage Trust
2017-C6, 0.99% (WAC) due 06/10/505,11		58,270,997		2,520,384
BENCHMARK Mortgage Trust
2018-B2, 0.42% (WAC) due 02/15/515,11		122,496,092		2,470,795
UBS Commercial Mortgage Trust
2017-C2, 1.06% (WAC) due 08/15/505,11		28,723,577		1,441,363
2017-C5, 1.00% (WAC) due 11/15/505,11		13,734,854		624,628
GB Trust
2020-FLIX, 1.71% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/15/375,6		2,000,000		2,005,078
Morgan Stanley Bank of America Merrill Lynch Trust
2017-C34, 0.79% (WAC) due 11/15/525,11		24,053,430		987,877
2015-C27, 0.88% (WAC) due 12/15/475,11		31,317,800		981,707
CSAIL Commercial Mortgage Trust
2019-C15, 1.05% (WAC) due 03/15/525,11		19,900,147		1,241,530
2016-C6, 1.92% (WAC) due 01/15/495,11		6,943,060		493,198
BBCMS Mortgage Trust
2018-C2, 0.77% (WAC) due 12/15/515,11		29,789,197		1,439,054
BAMLL Commercial Mortgage Securities Trust
2012-PARK, 2.96% due 12/10/306		1,300,000		1,348,262
CD Commercial Mortgage Trust
2017-CD4, 1.29% (WAC) due 05/10/505,11		16,793,325		927,991
CD Mortgage Trust
2017-CD6, 0.92% (WAC) due 11/13/505,11		14,134,516		555,930
2016-CD1, 1.41% (WAC) due 08/10/495,11		6,257,078		371,388
CGMS Commercial Mortgage Trust
2017-B1, 0.82% (WAC) due 08/15/505,11		21,936,682		839,376
Citigroup Commercial Mortgage Trust
2016-C2, 1.74% (WAC) due 08/10/495,11		6,526,163		468,089
2016-GC37, 1.70% (WAC) due 04/10/495,11		3,377,132		231,747
GS Mortgage Securities Trust
2017-GS6, 1.03% (WAC) due 05/10/505,11		11,439,622		633,434

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
BANK
2017-BNK6, 0.82% (WAC) due 07/15/605,11		14,947,474	$	564,901
JPMBB Commercial Mortgage Securities Trust
2013-C17, 0.74% (WAC) due 01/15/475,11		22,314,359		380,766
Bancorp Commercial Mortgage Trust
2018-CR3, 1.36% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/15/335,6		240,889		240,671
Total Commercial Mortgage Backed Securities				73,401,350
Government Agency - 1.1%
Freddie Mac Multifamily Structured Pass-Through Certificates
2018-K074, 3.60% due 02/25/28		14,000,000		15,672,955
2021-KJ33, 1.57% due 07/25/32		9,100,000		9,134,174
2018-K078, 3.92% due 06/25/28		3,350,000		3,827,356
2013-K035, 0.35% (WAC) due 08/25/235,11		101,084,241		747,053
Fannie Mae
3.59% due 02/01/29		10,200,000		11,233,390
3.21% due 08/01/27		2,104,573		2,293,621
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-3, 2.00% due 05/25/60		4,651,789		4,650,143
2020-2, 2.00% due 11/25/59		2,689,944		2,690,821
Fannie Mae-Aces
2020-M23, 1.74% due 03/25/35		3,840,000		3,595,977
2020-M23, 1.50% (WAC) due 03/25/355,11		8,910,436		1,152,450
Total Government Agency				54,997,940
Total Collateralized Mortgage Obligations
(Cost $740,573,270)				746,627,018
FOREIGN GOVERNMENT DEBT†† - 5.6%
State of Israel
1.00% due 04/30/21	ILS	431,800,000		129,356,481
Czech Republic
0.10% due 04/17/22	CZK	1,094,000,000		48,930,203
Kingdom of Spain
(0.51)% due 07/09/2112	EUR	36,475,000		42,832,670
United Mexican States
4.04% due 05/06/2112	MXN	481,400,000		23,458,149
Government of Japan
(0.10)% due 04/05/2112	JPY	2,284,000,000		20,627,532
Newfoundland T-Bill
0.10% due 04/15/2112	CAD	18,600,000		14,803,079
Total Foreign Government Debt
(Cost $285,481,729)				280,008,114
SENIOR FLOATING RATE INTERESTS††,5 - 5.1%
Industrial - 1.1%
Berry Global, Inc.
due 07/01/26		24,200,000		23,984,378
Filtration Group Corp.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		5,146,244		5,067,764
due 03/31/25	EUR	2,384,577		2,781,606
TransDigm, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24		4,053,776		3,974,647
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		1,227,166		1,200,574
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		639,871		626,209
Reynolds Group Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/06/23		4,409,108		4,387,768
Harsco Corp.
2.75% (1 Week USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28		4,000,000		3,965,000
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		2,600,000		2,759,666
Ravago Holdings America, Inc.
2.61% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/04/28		2,000,000		1,990,000
TAMKO Building Products, Inc.
due 05/29/26		1,800,000		1,789,884
Pike Corp.
3.13% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 12/21/27		1,000,000		995,890
Cushman & Wakefield US Borrower LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		898,744		879,457
Pro Mach Group, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/07/25		548,087		537,070
Park River Holdings, Inc.
4.00% (2 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		500,000		496,565
JetBlue Airways Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/17/24		217,215		222,103
VC GB Holdings, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/28/24†††		181,614		180,479
Berlin Packaging LLC
3.21% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 11/07/25		98,987		97,096
BWAY Holding Co.
3.44% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		49,486		48,372
Total Industrial				55,984,528
Consumer, Cyclical - 0.9%
Verisure Holding AB
due 01/14/28	EUR	7,970,000		9,302,321
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/20/26	EUR	1,030,000		1,203,257
Playtika Holding Corp.
due 03/13/28		10,000,000		9,937,500

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Samsonite IP Holdings SARL
5.50% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/25/25		7,046,750	$	7,090,792
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25		300,000		294,876
Truck Hero, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 01/31/28		5,000,000		4,984,050
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		4,000,000		3,951,680
New Trojan Parent, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28		2,750,000		2,732,812
BGIS (BIFM CA Buyer, Inc.)
3.61% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		2,429,315		2,411,095
Intrawest Resorts Holdings, Inc.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/24		1,141,408		1,120,726
Murphy Oil USA, Inc.
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28†††		700,000		702,625
GVC Holdings PLC
3.00% (6 Month USD LIBOR + 2.00%, Rate Floor: 3.00%) due 03/29/24		198,974		198,787
Cast & Crew Payroll LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26		128,762		126,630
Total Consumer, Cyclical				44,057,151
Consumer, Non-cyclical - 0.9%
Option Care Health, Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		12,418,561		12,364,292
Spectrum Brands, Inc.
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28		5,000,000		4,984,400
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/15/28		4,730,000		4,730,000
Valeo F1 Company Ltd.
due 08/27/27	GBP	3,200,000		4,397,535
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	3,700,000		4,252,961
Bombardier Recreational Products, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		3,199,496		3,160,014
Diamond (BC) BV
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 09/06/24		2,647,865		2,632,693
Hearthside Group Holdings LLC
due 05/23/25		2,094,643		2,083,520
PAREXEL International Corp.
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 09/27/24		1,040,581		1,027,740
Aramark Services, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25		700,000		691,691
Catalent Pharma Solutions, Inc.
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28		600,000		599,748
EyeCare Partners LLC
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		498,750		493,209
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		498,750		491,089
Froneri US, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		446,625		440,171
Pearl Intermediate Parent LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25		400,000		393,064
US Foods, Inc.
1.86% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23		397,911		392,273
Valeant Pharmaceuticals International, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25		300,000		298,863
Total Consumer, Non-cyclical				43,433,263
Financial - 0.8%
Citadel Securities, LP
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		11,500,000		11,365,795
AlixPartners LLP
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		10,000,000		9,956,900
Delos Finance SARL (International Lease Finance)
1.95% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23		6,076,000		6,058,623
USI, Inc.
3.20% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		4,831,775		4,773,987
HUB International Ltd.
3.22% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/25/25		3,532,607		3,480,430
Jane Street Group LLC
2.86% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		3,375,000		3,335,985
Focus Financial Partners LLC
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		1,196,923		1,183,098
Total Financial				40,154,818

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Basic Materials - 0.6%
Trinseo Materials Operating S.C.A.
due 03/17/28		11,100,000	$	10,975,125
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24		500,000		491,770
INEOS Ltd.
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	8,100,000		9,419,004
Invictus MD Strategies Corp.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		6,443,434		6,367,466
W.R. Grace & Co.-Conn
due 03/30/28		3,500,000		3,473,750
GrafTech Finance, Inc.
4.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 02/12/25		1,364,442		1,362,737
Total Basic Materials				32,089,852
Technology - 0.6%
RealPage, Inc.
due 02/18/28		11,800,000		11,739,348
Boxer Parent Co., Inc.
due 10/02/25		6,108,125		6,077,584
Sabre GLBL, Inc.
2.11% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		3,042,139		2,999,701
Peraton Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		2,373,269		2,371,299
MACOM Technology Solutions Holdings, Inc.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		2,181,556		2,163,842
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		1,940,250		1,939,047
TIBCO Software, Inc.
3.86% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26		350,000		345,079
Total Technology				27,635,900
Communications - 0.2%
ProQuest, LLC
due 10/23/26		7,269,218		7,218,333
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,500,000		1,494,915
Zayo Group Holdings, Inc.
3.11% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,500,000		1,486,845
Altice US Finance I Corp.
2.36% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26		465,500		458,518
Ziggo Financing Partnership
2.61% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		400,000		395,636
Total Communications				11,054,247
Energy - 0.0%
Venture Global Calcasieu Pass LLC
2.48% (1 Month USD LIBOR + 2.38% and 3 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		1,122,784		1,061,031
Total Senior Floating Rate Interests
(Cost $256,657,354)				255,470,790
MUNICIPAL BONDS†† - 0.1%
California - 0.1%
California Public Finance Authority Revenue Bonds
1.55% due 10/15/26		3,145,000		3,155,127
San Dieguito Union High School District General Obligation Unlimited
2.68% due 08/01/36		2,500,000		2,543,898
Total California				5,699,025
Total Municipal Bonds
(Cost $5,645,000)				5,699,025
U.S. GOVERNMENT SECURITIES†† - 0.0%
U.S. Treasury Notes
1.13% due 02/15/31		820,000		774,131
Total U.S. Government Securities
(Cost $787,044)				774,131

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

	Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.1%
Call options on:
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	$	509,700,000	$	4,730,016
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		177,800,000		1,312,164
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		30,000,000		278,400
Total OTC Options Purchased
(Cost $1,483,829)			$	6,320,580
Total Investments - 103.5%
(Cost $5,155,748,690)			$	5,189,629,967
Other Assets & Liabilities, net - (3.5)%				(176,963,797	)
Total Net Assets - 100.0%			$	5,012,666,170

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value		Upfront Premiums Paid		Unrealized Appreciation**
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.65%		Quarterly	03/17/31		$	140,000,000	$	1,961,806	$	1,414	$	1,960,392
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.37%		Annually	12/04/21			177,800,000		1,598,468		251		1,598,217
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.31%		Annually	11/25/21			98,600,000		811,919		177		811,742
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.62%		Annually	03/04/22			110,305,000		564,694		—		564,694
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.40%		Annually	12/13/21			54,950,000		520,460		153		520,307
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.36%		Annually	12/09/21			46,500,000		422,108		143		421,965
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.37%		Annually	09/30/21			43,200,000		284,931		101		284,830
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.23%		Annually	08/22/21			44,400,000		206,940		80		206,860
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.46%		Annually	09/17/21			29,600,000		193,982		27		193,955
											$	6,565,308	$	2,346	$	6,562,962

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

Total Return Swap Agreements
Counterparty	Reference Obligation		Financing Rate Receive	Payment Frequency	Maturity Date		Units		Notional Amount		Value and Unrealized Appreciation (Depreciation)
OTC Credit Index Swap Agreements††
Bank of America, N.A.	iShares iBoxx $ High Yield Corporate Bond ETF	0.30% (1 Month USD LIBOR - 0.40%)		Monthly		05/05/21		120,650	$	10,518,267	$	(25,336	)
OTC Fixed Income Index Swap Agreements Sold Short††
BNP Paribas	iShares Core U.S. Aggregate Bond ETF	0.36% (1 Month USD LIBOR + 0.25%)		At Maturity		04/21/21		876,500	$	99,771,995	$	3,137,870
BNP Paribas	iShares Core U.S. Aggregate Bond ETF	0.39% (1 Month USD LIBOR + 0.28%)		At Maturity		04/19/21		650,000		73,989,500		2,223,000
									$	173,761,495	$	5,360,870

Forward Foreign Currency Exchange Contracts††
Counterparty	Contracts to Sell	Currency	Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Citibank, N.A.	121,120,000	BRL		07/01/21	$	28,823,147	$	21,400,515	$	7,422,632
Goldman Sachs International	468,610,000	BRL		04/01/21		87,406,031		83,317,332		4,088,699
UBS AG	312,483,900	ILS		04/30/21		96,822,016		93,586,238		3,235,778
Morgan Stanley Capital Services LLC	274,900,000	BRL		04/01/21		51,725,436		48,876,325		2,849,111
UBS AG	4,449,000,000	JPY		04/12/21		42,750,072		40,183,012		2,567,060
Goldman Sachs International	40,300,000	BRL		07/01/21		9,441,256		7,120,548		2,320,708
Goldman Sachs International	36,475,000	EUR		07/09/21		44,534,516		42,859,360		1,675,156
JPMorgan Chase Bank, N.A.	2,294,500,000	JPY		04/19/21		22,159,169		20,725,342		1,433,827
Goldman Sachs International	2,284,000,000	JPY		04/05/21		22,018,321		20,627,309		1,391,012
JPMorgan Chase Bank, N.A.	18,300,000	BRL		07/01/21		4,347,309		3,233,400		1,113,909
Citibank, N.A.	912,456,000	JPY		07/01/21		8,984,580		8,247,663		736,917
Barclays Bank plc	843,421,500	JPY		07/01/21		8,292,415		7,623,663		668,752
UBS AG	741,000,000	MXN		04/08/21		36,495,002		36,245,272		249,730
Barclays Bank plc	5,797,000	EUR		04/16/21		6,935,659		6,799,172		136,487
Bank of America, N.A.	4,988,000	EUR		06/30/21		5,890,838		5,859,889		30,949
Barclays Bank plc	1,095,094,000	CZK		04/19/22		49,547,796		49,527,830		19,966
Barclays Bank plc	1,094,000	CZK		04/19/21		49,545		49,207		338
UBS AG	21,000,000	EUR		04/16/21		24,610,971		24,630,433		(19,462	)
Bank of America, N.A.	5,454,000	ILS		04/30/21		1,586,157		1,633,426		(47,269	)
Bank of America, N.A.	13,124,200	ILS		01/31/22		3,890,958		3,955,979		(65,021	)
Citibank, N.A.	12,524,000	ILS		04/30/21		3,658,244		3,750,830		(92,586	)
JPMorgan Chase Bank, N.A.	18,600,000	CAD		04/15/21		14,653,146		14,804,328		(151,182	)
Goldman Sachs International	11,989,250	EUR		07/30/21		13,927,013		14,094,496		(167,483	)
Goldman Sachs International	42,231,650	ILS		01/31/22		12,500,228		12,729,730		(229,502	)
UBS AG	481,400,000	MXN		05/06/21		23,077,783		23,476,572		(398,789	)
JPMorgan Chase Bank, N.A.	21,006,375	EUR		07/30/21		24,244,928		24,694,978		(450,050	)
UBS AG	110,490,000	CAD		04/07/21		87,081,596		87,940,768		(859,172	)
Goldman Sachs International	196,647,000	ILS		04/30/21		57,843,530		58,894,085		(1,050,555	)
									$	26,409,960

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

Forward Foreign Currency Exchange Contracts†† (continued)
Counterparty	Contracts to Buy	Currency	Settlement Date		Settlement Value		Value at March 31, 2021		Unrealized Appreciation (Depreciation)
Barclays Bank plc	32,995,625	EUR		07/30/21	$	35,907,159	$	38,789,474	$	2,882,315
Goldman Sachs International	55,355,850	ILS		01/31/22		15,359,559		16,685,709		1,326,150
Goldman Sachs International	45,495,450	ILS		04/30/21		12,689,087		13,625,496		936,409
JPMorgan Chase Bank, N.A.	45,495,450	ILS		04/30/21		12,819,231		13,625,496		806,265
JPMorgan Chase Bank, N.A.	110,490,000	CAD		04/07/21		87,607,180		87,940,768		333,588
UBS AG	741,000,000	MXN		04/08/21		36,020,428		36,245,272		224,844
Citibank, N.A.	223,000,000	BRL		04/01/21		39,919,088		39,648,674		(270,414	)
UBS AG	2,294,500,000	JPY		04/19/21		21,037,142		20,725,342		(311,800	)
JPMorgan Chase Bank, N.A.	234,610,000	BRL		04/01/21		42,090,061		41,712,894		(377,167	)
JPMorgan Chase Bank, N.A.	1,755,877,500	JPY		07/01/21		16,249,098		15,871,326		(377,772	)
Morgan Stanley Capital Services LLC	285,900,000	BRL		04/01/21		51,303,677		50,832,089		(471,588	)
JPMorgan Chase Bank, N.A.	4,449,000,000	JPY		04/12/21		40,779,550		40,183,012		(596,538	)
JPMorgan Chase Bank, N.A.	60,205,000	BRL		07/01/21		11,667,635		10,637,533		(1,030,102	)
Citibank, N.A.	119,515,000	BRL		07/01/21		22,919,925		21,116,931		(1,802,994	)
									$	1,271,196

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of March 31, 2021.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Perpetual maturity.
5	Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
6	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 $2,672,219,010 (cost $2,667,469,136), or 53.3% of total net assets.
7	All or a portion of this security is pledged as interest rate swap collateral at March 31, 2021.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9	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 $111,338,457 (cost $110,768,585), or 2.2% of total net assets — See Note 9.
10	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at March 31, 2021. See table below for additional step information for each security.
11	Security is an interest-only strip.
12	Rate indicated is the effective yield at the time of purchase.
	BofA — Bank of America
	BRL — Brazilian Real
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CZK — Czech Koruna
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LIBOR — London Interbank Offered Rate
	MXN — Mexican Peso
	plc — Public Limited Company

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION FUND

REMIC — Real Estate Mortgage Investment Conduit

REIT — Real Estate Investment Trust

SARL — Société à Responsabilité Limitée

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at March 31, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	12,572,523	$	—	$	—	$	12,572,523
Preferred Stocks		—		4,751,536		—		4,751,536
Exchange-Traded Funds		173,761,495		—		—		173,761,495
Mutual Funds		88,575,009		—		—		88,575,009
Money Market Fund		190,564,399		—		—		190,564,399
Corporate Bonds		—		1,826,970,072		18,421,161		1,845,391,233
Asset-Backed Securities		—		1,440,341,160		138,772,954		1,579,114,114
Collateralized Mortgage Obligations		—		718,098,048		28,528,970		746,627,018
Foreign Government Debt		—		280,008,114		—		280,008,114
Senior Floating Rate Interests		—		253,526,655		1,944,135		255,470,790
Municipal Bonds		—		5,699,025		—		5,699,025
U.S. Government Securities		—		774,131		—		774,131
Options Purchased		—		6,320,580		—		6,320,580
Interest Rate Swap Agreements**		—		6,562,962		—		6,562,962
Forward Foreign Currency Exchange Contracts**		—		36,450,602		—		36,450,602
Fixed Income Index Swap Agreements**		—		5,360,870		—		5,360,870
Total Assets	$	465,473,426	$	4,584,863,755	$	187,667,220	$	5,238,004,401

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	8,769,446	$	—	$	8,769,446
Credit Index Swap Agreements**		—		25,336		—		25,336
Unfunded Loan Commitments (Note 8)		—		—		68,837		68,837
Total Liabilities	$	—	$	8,794,782	$	68,837	$	8,863,619

** This derivative is reported as unrealized appreciation/depreciation at period end.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	March 31, 2021
LIMITED DURATION 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 March 31, 2021		Valuation Technique	Unobservable Inputs	Input Range			Weighted Average
Assets:
Asset-Backed Securities	$	115,537,796	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—			—
Asset-Backed Securities		17,375,202	Model Price	Purchase Price		—			—
Asset-Backed Securities		5,859,956	Yield Analysis	Yield		2.2	%		—
Collateralized Mortgage Obligations		17,632,119	Model Price	Purchase Price		—			—
Collateralized Mortgage Obligations		10,896,851	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—			—
Corporate Bonds		17,213,809	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—			—
Corporate Bonds		1,207,352	Third Party Pricing	Vendor Price		—			—
Senior Floating Rate Interests		1,944,135	Third Party Pricing	Broker Quote		—			—
Total Assets	$	187,667,220
Liabilities:
Unfunded Loan Commitments	$	68,837	Model Price	Purchase Price		—			—

Significant changes in a quote or yield would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended March 31, 2021, the Fund had securities with a total value of $23,999,634 transfer from Level 2 to Level 3 due to lack of observable inputs.

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, 2021:

	Assets															Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	98,361,270		$	28,023,753		$	4,682,550		$	—		$	131,067,573		$	(163,932	)
Purchases/(Receipts)		51,300,000			28,541,245			13,956,262			1,926,905			95,724,412			(20,884	)
(Sales, maturities and paydowns)/Fundings		(34,901,538	)		(27,792,937	)		—			(18,387	)		(62,712,862	)		92,630
Amortization of premiums/discounts		—			(1,126	)		(52,871	)		4,667			(49,330	)		—
Total realized gains (losses) included in earnings		161			(19	)		—			—			142			—
Total change in unrealized appreciation (depreciation) included in earnings		13,427			(241,946	)		(164,780	)		30,950			(362,349	)		23,349
Transfers into Level 3		23,999,634			—			—			—			23,999,634			—
Ending Balance	$	138,772,954		$	28,528,970		$	18,421,161		$	1,944,135		$	187,667,220		$	(68,837	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at March 31, 2021	$	13,427		$	7,967		$	(164,780	)	$	30,950		$	(112,436	)	$	23,349

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	March 31, 2021
LIMITED DURATION FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date	Next Rate Reset Date
CSMC Trust 2020-NQM1 1.41% due 05/25/65	2.41%	09/26/24
Verus Securitization Trust 2019-4 2.64% due 11/25/59	3.64%	10/26/23
Verus Securitization Trust 2020-1 2.42% due 01/25/60	3.42%	01/26/24
Verus Securitization Trust 2020-5 1.58% due 05/25/65	2.58%	10/26/24

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm.

Transactions during the period ended March 31, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 03/31/21		Shares 03/31/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,379,083	$	267,287	$	—	$	—	$	11,846		$	29,658,216		1,187,278	$	267,291
Guggenheim Strategy Fund III		29,499,318		258,049		—		—		82,590			29,839,957		1,186,951		258,046
Guggenheim Ultra Short Duration Fund — Institutional Class		28,983,105		151,997		—		—		(58,266	)		29,076,836		2,919,361		151,996
	$	87,861,506	$	677,333	$	—	$	—	$	36,170		$	88,575,009			$	677,333

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

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

March 31, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $5,068,691,068)	$	5,101,054,958
Investments in affiliated issuers, at value (cost $87,057,622)		88,575,009
Foreign currency, at value (cost $32,994)		32,995
Segregated cash with broker		580,000
Unamortized upfront premiums paid on interest rate swap agreements		2,346
Unrealized appreciation on OTC swap agreements		5,360,870
Unrealized appreciation on forward foreign currency exchange contracts		36,450,602
Prepaid expenses		247,720
Receivables:
Interest		20,076,509
Fund shares sold		11,614,229
Securities sold		4,408,692
Variation margin on interest rate swap agreements		2,665,394
Swap settlement		215,878
Dividends		107,586
Foreign tax reclaims		11,761
Other assets		6,665
Total assets		5,271,411,214
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $93,254)		68,837
Overdraft due to custodian bank		605,528
Segregated cash due to broker		37,697,391
Unrealized depreciation on OTC swap agreements		25,336
Unrealized depreciation on forward foreign currency exchange contracts		8,769,446
Payable for:
Securities purchased		200,228,937
Fund shares redeemed		7,647,779
Distributions to shareholders		1,514,792
Management fees		1,282,148
Distribution and service fees		285,533
Fund accounting/administration fees		282,661
Transfer agent/maintenance fees		106,430
Trustees’ fees*		31,678
Due to Investment Adviser		444
Miscellaneous		198,104
Total liabilities		258,745,044
Net assets	$	5,012,666,170
Net assets consist of:
Paid in capital	$	4,957,397,834
Total distributable earnings (loss)		55,268,336
Net assets	$	5,012,666,170
A-Class:
Net assets	$	807,099,900
Capital shares outstanding		31,816,845
Net asset value per share	$	25.37
Maximum offering price per share (Net asset value divided by 97.75%)	$	25.95
C-Class:
Net assets	$	92,482,104
Capital shares outstanding		3,648,164
Net asset value per share	$	25.35
P-Class:
Net assets	$	164,072,593
Capital shares outstanding		6,467,752
Net asset value per share	$	25.37
Institutional Class:
Net assets	$	3,911,448,448
Capital shares outstanding		154,226,493
Net asset value per share	$	25.36
R6-Class:
Net assets	$	37,563,125
Capital shares outstanding		1,481,871
Net asset value per share	$	25.35

* 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.

LIMITED DURATION FUND

STATEMENT OF OPERATIONS (Unaudited)

Six Months Ended March 31, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	2,764,255
Dividends from securities of affiliated issuers		677,333
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $2,928)		41,711,241
Total investment income		45,152,829
Expenses:
Management fees		8,513,049
Distribution and service fees:
A-Class		916,126
C-Class		450,175
P-Class		199,243
Transfer agent/maintenance fees:
A-Class		119,694
C-Class		41,815
P-Class		63,245
Institutional Class		1,256,846
R6-Class		442
Fund accounting/administration fees		1,477,607
Professional fees		170,363
Line of credit fees		121,795
Trustees’ fees*		50,097
Custodian fees		29,575
Interest expense		16,868
Miscellaneous		197,654
Recoupment of previously waived fees:
R6-Class		1,348
Total expenses		13,625,942
Less:
Expenses reimbursed by Adviser:
A-Class		(84,437	)
C-Class		(38,511	)
P-Class		(56,298	)
Institutional Class		(1,098,704	)
R6-Class		(234	)
Expenses waived by Adviser		(50,545	)
Earnings credits applied		(4,745	)
Total waived/reimbursed expenses		(1,333,474	)
Net expenses		12,292,468
Net investment income		32,860,361
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		10,166,684
Swap agreements		2,079,085
Options purchased		2,749,258
Forward foreign currency exchange contracts		(16,527,521	)
Foreign currency transactions		1,445,530
Net realized loss		(86,964	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(30,347,372	)
Investments in affiliated issuers		36,170
Swap agreements		1,473,268
Options purchased		3,346,761
Forward foreign currency exchange contracts		9,585,001
Foreign currency translations		755,094
Net change in unrealized appreciation (depreciation)		(15,151,078	)
Net realized and unrealized loss		(15,238,042	)
Net increase in net assets resulting from operations	$	17,622,319

* 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 | 33

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	32,860,361		$	57,288,219
Net realized gain (loss) on investments		(86,964	)		40,958,989
Net change in unrealized appreciation (depreciation) on investments		(15,151,078	)		69,800,768
Net increase in net assets resulting from operations		17,622,319			168,047,976
Distributions to shareholders:
A-Class		(8,919,679	)		(9,531,615	)
C-Class		(776,033	)		(897,123	)
P-Class		(1,979,598	)		(1,705,392	)
Institutional Class		(45,084,411	)		(48,269,529	)
R6-Class		(477,718	)		(3,918,302	)
Total distributions to shareholders		(57,237,439	)		(64,321,961	)
Capital share transactions:
Proceeds from sale of shares
A-Class		326,322,570			359,178,012
C-Class		19,260,472			27,892,729
P-Class		42,739,195			91,629,526
Institutional Class		1,638,724,342			1,908,540,024
R6-Class		11,447,266			60,206,782
Distributions reinvested
A-Class		7,207,134			7,676,372
C-Class		622,611			718,998
P-Class		1,975,772			1,700,377
Institutional Class		35,578,930			38,678,924
R6-Class		477,691			3,918,300
Cost of shares redeemed
A-Class		(145,115,318	)		(329,100,339	)
C-Class		(12,806,469	)		(30,485,763	)
P-Class		(29,960,621	)		(54,176,385	)
Institutional Class		(643,595,862	)		(1,538,644,390	)
R6-Class		(5,372,482	)		(346,906,193	)
Net increase from capital share transactions		1,247,505,231			200,826,974
Net increase in net assets		1,207,890,111			304,552,989
Net assets:
Beginning of period		3,804,776,059			3,500,223,070
End of period	$	5,012,666,170		$	3,804,776,059

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

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Six Months Ended March 31, 2021 (Unaudited)			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		12,760,658			14,310,934
C-Class		753,882			1,119,438
P-Class		1,672,277			3,610,524
Institutional Class		64,129,967			76,326,464
R6-Class		447,748			2,435,956
Shares issued from reinvestment of distributions
A-Class		282,120			307,849
C-Class		24,386			28,862
P-Class		77,339			68,147
Institutional Class		1,393,359			1,550,215
R6-Class		18,714			158,809
Shares redeemed
A-Class		(5,684,699	)		(13,271,088	)
C-Class		(501,302	)		(1,227,834	)
P-Class		(1,172,558	)		(2,192,351	)
Institutional Class		(25,181,606	)		(62,129,659	)
R6-Class		(210,226	)		(14,134,431	)
Net increase in shares		48,810,059			6,961,835

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

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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	25.57		$	24.68		$	24.70		$	24.86		$	24.71		$	24.65
Income (loss) from investment operations:
Net investment income (loss)b		.17			.40			.54			.51			.53			.67
Net gain (loss) on investments (realized and unrealized)		(.05	)		.94			.01			(.09	)		.20			.08
Total from investment operations		.12			1.34			.55			.42			.73			.75
Less distributions from:
Net investment income		(.20	)		(.45	)		(.57	)		(.57	)		(.58	)		(.69	)
Net realized gains		(.12	)		—			—	c		(.01	)		—	c		—
Total distributions		(.32	)		(.45	)		(.57	)		(.58	)		(.58	)		(.69	)
Net asset value, end of period	$	25.37		$	25.57		$	24.68		$	24.70		$	24.86		$	24.71
Total Returnd		0.45	%		5.51	%		2.27	%		1.69	%		2.95	%		3.16	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	807,100		$	625,386		$	570,353		$	627,570		$	509,410		$	215,856
Ratios to average net assets:
Net investment income (loss)		1.33	%		1.60	%		2.18	%		2.07	%		2.14	%		2.73	%
Total expensese		0.77	%		0.84	%		0.83	%		0.81	%		0.86	%		0.93	%
Net expensesf,g,h		0.74	%		0.77	%		0.75	%		0.75	%		0.81	%		0.84	%
Portfolio turnover rate		27	%		123	%		72	%		45	%		55	%		39	%

C-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	25.55		$	24.66		$	24.68		$	24.84		$	24.70		$	24.63
Income (loss) from investment operations:
Net investment income (loss)b		.07			.21			.35			.33			.35			.48
Net gain (loss) on investments (realized and unrealized)		(.05	)		.95			.02			(.10	)		.18			.10
Total from investment operations		.02			1.16			.37			.23			.53			.58
Less distributions from:
Net investment income		(.10	)		(.27	)		(.39	)		(.38	)		(.39	)		(.51	)
Net realized gains		(.12	)		—			—	c		(.01	)		—	c		—
Total distributions		(.22	)		(.27	)		(.39	)		(.39	)		(.39	)		(.51	)
Net asset value, end of period	$	25.35		$	25.55		$	24.66		$	24.68		$	24.84		$	24.70
Total Returnd		0.08	%		4.72	%		1.51	%		0.94	%		2.18	%		2.39	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	92,482		$	86,143		$	85,100		$	70,981		$	50,743		$	26,802
Ratios to average net assets:
Net investment income (loss)		0.58	%		0.85	%		1.42	%		1.34	%		1.41	%		1.98	%
Total expensese		1.58	%		1.61	%		1.60	%		1.59	%		1.65	%		1.73	%
Net expensesf,g,h		1.49	%		1.52	%		1.50	%		1.51	%		1.56	%		1.58	%
Portfolio turnover rate		27	%		123	%		72	%		45	%		55	%		39	%

36 | 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	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	25.57		$	24.68		$	24.70		$	24.86		$	24.72		$	24.65
Income (loss) from investment operations:
Net investment income (loss)b		.17			.40			.54			.52			.47			.68
Net gain (loss) on investments (realized and unrealized)		(.05	)		.94			.01			(.10	)		.24			.08
Total from investment operations		.12			1.34			.55			.42			.71			.76
Less distributions from:
Net investment income		(.20	)		(.45	)		(.57	)		(.57	)		(.57	)		(.69	)
Net realized gains		(.12	)		—			—	c		(.01	)		—	c		—
Total distributions		(.32	)		(.45	)		(.57	)		(.58	)		(.57	)		(.69	)
Net asset value, end of period	$	25.37		$	25.57		$	24.68		$	24.70		$	24.86		$	24.72
Total Return		0.45	%		5.50	%		2.27	%		1.69	%		2.93	%		3.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	164,073		$	150,623		$	108,691		$	189,965		$	92,503		$	1,646
Ratios to average net assets:
Net investment income (loss)		1.33	%		1.60	%		2.18	%		2.12	%		1.89	%		2.76	%
Total expensese		0.81	%		0.90	%		0.88	%		0.87	%		0.92	%		0.94	%
Net expensesf,g,h		0.74	%		0.77	%		0.75	%		0.75	%		0.81	%		0.84	%
Portfolio turnover rate		27	%		123	%		72	%		45	%		55	%		39	%

Institutional Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017			Year Ended September 30, 2016
Per Share Data
Net asset value, beginning of period	$	25.56		$	24.67		$	24.69		$	24.85		$	24.71		$	24.64
Income (loss) from investment operations:
Net investment income (loss)b		.20			.46			.60			.58			.59			.73
Net gain (loss) on investments (realized and unrealized)		(.05	)		.95			.01			(.11	)		.19			.09
Total from investment operations		.15			1.41			.61			.47			.78			.82
Less distributions from:
Net investment income		(.23	)		(.52	)		(.63	)		(.62	)		(.64	)		(.75	)
Net realized gains		(.12	)		—			—	c		(.01	)		—	c		—
Total distributions		(.35	)		(.52	)		(.63	)		(.63	)		(.64	)		(.75	)
Net asset value, end of period	$	25.36		$	25.56		$	24.67		$	24.69		$	24.85		$	24.71
Total Return		0.57	%		5.77	%		2.52	%		1.95	%		3.21	%		3.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,911,448		$	2,911,309		$	2,421,315		$	2,629,316		$	1,637,509		$	476,591
Ratios to average net assets:
Net investment income (loss)		1.58	%		1.85	%		2.43	%		2.35	%		2.36	%		2.97	%
Total expensese		0.56	%		0.59	%		0.57	%		0.56	%		0.61	%		0.67	%
Net expensesf,g,h		0.49	%		0.52	%		0.50	%		0.50	%		0.56	%		0.58	%
Portfolio turnover rate		27	%		123	%		72	%		45	%		55	%		39	%

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

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.

R6-Class	Six Months Ended March 31, 2021a			Year Ended September 30, 2020			Period Ended September 30, 2019i
Per Share Data
Net asset value, beginning of period	$	25.55		$	24.66		$	24.58
Income (loss) from investment operations:
Net investment income (loss)b		.20			.48			.31
Net gain (loss) on investments (realized and unrealized)		(.05	)		.93			.14
Total from investment operations		.15			1.41			.45
Less distributions from:
Net investment income		(.23	)		(.52	)		(.37	)
Net realized gains		(.12	)	��	—			—
Total distributions		(.35	)		(.52	)		(.37	)
Net asset value, end of period	$	25.35		$	25.55		$	24.66
Total Return		0.57	%		5.78	%		1.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,563		$	31,315		$	314,764
Ratios to average net assets:
Net investment income (loss)		1.58	%		1.96	%		2.24	%
Total expensese		0.50	%		0.53	%		0.51	%
Net expensesf,g,h		0.49	%		0.52	%		0.50	%
Portfolio turnover rate		27	%		123	%		72	%

a	Unaudited figures for the period ended March 31, 2021. 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 realized gains are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented was as follows:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	—	—
C-Class	—	0.00%*	—	—	0.00%*
P-Class	—	0.00%*	0.00%*	—	0.00%*
Institutional Class	—	0.00%*	0.00%*	—	—
R6-Class	0.01%	0.00%*	0.00%*	—	—

* Less than 0.01%.

^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:

	03/31/21a	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	0.74%	0.75%	0.75%	0.75%	0.79%	0.80%
C-Class	1.48%	1.50%	1.50%	1.50%	1.54%	1.55%
P-Class	0.74%	0.75%	0.75%	0.75%	0.79%	0.80%
Institutional Class	0.49%	0.50%	0.50%	0.50%	0.54%	0.55%
R6-Class	0.49%	0.50%	0.50%	N/A	N/A	N/A

ⁱ Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 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 may issue an unlimited number of authorized 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. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. 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. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At March 31, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At March 31, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, 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.

(a) Valuation of Investments

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 and other assets 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.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39

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 New York Stock Exchange (“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 U.S. business at 4:00 p.m. 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, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.

U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.

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

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 that uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for a particular loan, or such valuation is deemed unreliable, such investment is valued based on a quote from a broker-dealer or is fair valued by the Valuation Committee.

Exchange-traded options are valued at the mean of the bid and ask prices on the principal exchange on which they are traded. Over-the-counter (“OTC”) options are valued using a price provided by a pricing service.

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency.

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 U.S. Treasury securities, 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) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests 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)

40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 disclosed in the Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. In recent market conditions, many new or reissued obligations have not featured traditional covenants, which are intended to protect lenders and investors by (i) imposing certain restrictions or other limitations on a borrower’s operations or assets or (ii) providing certain rights to lenders. The Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

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 takes 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, it may sell such securities before the settlement date.

(e) Options

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

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. 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.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(g) Currency Translations

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 may also subject the Fund to foreign

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.

(h) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange 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.

(i) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of March 31, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(j) Security Transactions

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 a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. 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 Real Estate Investment Trusts (“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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(k) Distributions

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 U.S. federal income tax purposes.

(l) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation 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 based on the respective net assets of each Fund included in the Trust.

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

(m) Earnings Credits

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. Earnings credits for the period ended March 31, 2021, are disclosed in the Statement of Operations.

(n) Cash

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 0.06% at March 31, 2021.

(o) Indemnifications

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.

Note 2 – 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 amounts recognized on 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 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 utilized 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.

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

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

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

Options Purchased

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 GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Number Amount
Use	Call		Put
Hedge	$	1,047,766,667	$	—

Swap Agreements

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. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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 an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, Income, Speculation	$	6,268,814	$	215,516,159

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, 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 monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	605,355,000	$	23,333,333

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from

44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Purchased		Protection Sold
Index exposure, Speculation	$	—	$	5,300,000

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 foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	302,194,262	$	832,067,502

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, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest contracts	Unamortized upfront premiums paid on interest rate swap agreements Unrealized appreciation on OTC swap agreements Variation margin on interest rate swaps agreements Investments in unaffiliated issuers, at value
Credit contracts		Variation margin on credit default swap agreements Unrealized depreciation on OTC swap agreements
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 31, 2021:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	11,923,832	$	—	$	6,320,580	$	36,450,602	$	54,695,014

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total Value at March 31, 2021
	$	—	$	25,336	$	—	$	8,769,446	$	8,794,782

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended March 31, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest rate/Credit contracts	Net realized gain (loss) on swap agreements Net change in unrealized appreciation (depreciation) on swap agreements
Interest rate contracts	Net realized gain (loss) on options purchased Net change in unrealized appreciation (depreciation) on options purchased
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, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk		Swaps Credit Risk		Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk			Total
	$	1,592,040	$	487,045	$	2,749,258	$	(16,527,521	)	$	(11,699,178	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Swaps Interest Rate Risk		Swaps Credit Risk			Options Purchased Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
	$	1,493,792	$	(20,524	)	$	3,346,761	$	9,585,001	$	14,405,030

46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

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.

The Fund 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.

Note 3 – 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 its 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. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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 it believes 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:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Fixed income index swap agreements	$	5,360,870	$	—	$	5,360,870	$	—		$	(5,080,000	)	$	280,870
Forward foreign currency exchange contracts		36,450,602		—		36,450,602		(8,688,105	)		(21,387,541	)		6,374,956
Options purchased contracts		6,320,580		—		6,320,580		(106,677	)		(6,042,180	)		171,723

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
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
Credit index swap agreements	$	25,336	$	—	$	25,336	$	(25,336	)	$	—	$	—
Forward foreign currency exchange contracts		8,769,446		—		8,769,446		(8,769,446	)		—		—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of March 31, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	4,090,000
BNP Paribas	Total return swap agreements		—		5,080,000
BofA Securities, Inc.	Interest rate swap agreements		—		2,321,607
BofA Securities, Inc.	Credit default swap agreements		—		74,218
Citibank, N.A.	Forward foreign currency exchange contracts		—		5,011,566
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		18,600,000
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		580,000		—
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts		—		2,520,000
		$	580,000	$	37,697,391

48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 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 will 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 U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report. Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be 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 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 a quote would generally result in significant changes in the fair value of the security. Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board 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 | 49

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The investment advisory contract 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 or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.75	%		12/01/13		02/01/22
C-Class		1.50	%		12/01/13		02/01/22
P-Class		0.75	%		05/01/15		02/01/22
Institutional Class		0.50	%		12/01/13		02/01/22
R6-Class		0.50	%		03/13/19		02/01/22

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. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At March 31, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2021		2022		2023		2024		Fund Total
A-Class	$	266,850	$	451,627	$	360,600	$	86,786	$	1,165,863
C-Class		45,748		78,366		70,291		38,818		233,223
P-Class		160,386		194,676		124,505		56,839		536,406
Institutional Class		846,276		1,856,165		1,680,554		1,109,723		5,492,718
R6-Class		—		8,114		21,838		358		30,310

For the period ended March 31, 2020, GI recouped $1,348 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. 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, 2021, the Fund waived $36,205 related to investments in affiliated funds.

For the period ended March 31, 2021, GFD retained sales charges of $192,037 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are 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.

Note 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 or federal excise tax is required.

50 | 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 U.S. 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 U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At March 31, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
$	5,155,748,788	$	109,797,435	$	(36,336,604	)	$	73,460,831

Note 7 – Securities Transactions

For the period ended March 31, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	2,015,628,582	$	951,708,676

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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	132,452,498	$	—	$	—

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of March 31, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of March 31, 2021, were as follows:

Borrower	Maturity Date		Face Amount		Value
Peraton Corp.		02/22/28	$	4,176,731	$	20,590
Venture Global Calcasieu Pass LLC		08/19/26		877,216		48,247
WMG Acquisition Corp.		01/20/28		10,000,000		—
			$	15,053,947	$	68,837

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded)

Note 9 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/691		06/25/19	$	3,122,162	$	3,192,912
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/681		11/02/18		10,189,248		10,638,615
Copper River CLO Ltd.
2007-1A, due 01/20/212		05/09/14		14,300		14,730
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		17,621,015		17,632,119
LSTAR Securities Investment Ltd.
2021-2, 1.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		8,500,000		8,494,122
LSTAR Securities Investment Ltd.
2021-1, 1.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		13,612,861		13,649,561
Putnam Structured Product Funding Ltd.
2003-1A, 1.18% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 10/15/381		06/01/16		108,999		116,398
Station Place Securitization Trust
2020-5, 0.92% (1 Month USD LIBOR + 1.00%, Rate Floor: 0.00%) due 05/24/221		05/13/20		57,600,000		57,600,000
			$	110,768,585	$	111,338,457

1

Variable rate security. Rate indicated is the rate effective at March 31, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

2

Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 2, 2020, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit, with limits subject to applicable regulatory requirements around leverage, 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 plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the period ended March 31, 2021.

Note 11 – COVID-19

The global ongoing crisis caused by the outbreak of COVID-19 and the current recovery underway is causing disruption to consumer demand and economic output and supply chains. There are still travel restrictions and quarantines, and adverse impacts on local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and public health conditions around the world, the Fund’s investments and a shareholder’s investment in the Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Fund, the Fund, its service providers, the markets in which it invests and market intermediaries are also impacted by quarantines and similar measures intended to respond to and contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational and other risks.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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 Fund’s portfolio 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 Fund’s 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. The 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. 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 | 53

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with 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 and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	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).	157	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	156	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	156	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	157	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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 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
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	156	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); 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).	156	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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 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
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	156	None.

*	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 or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s 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 Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
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).
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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) 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); Managing 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, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	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.

58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

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

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61

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 Managers of Closed-end Management Investment Companies

Not applicable.

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

Not applicable.

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

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

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

Item 11. Controls and Procedures.

(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, 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 within the time periods specified in the Securities and Exchange Commission’s rules and forms..

(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 period 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not required at this time.

(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.

(a)(3) Not applicable to registrant.

(a)(4) Not applicable to registrant.

(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/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	June 7, 2021

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/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	June 7, 2021
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	June 7, 2021

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