Guggenheim Alpha Opportunity Fund Class C (SAOCX) N-CSR Certified 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: (301) 296-5100

Date of fiscal year end: September 30

Date of reporting period: October 1, 2022 - September 30, 2023

Item 1. Reports to Stockholders.

The registrant’s 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:

9.30.2023

Guggenheim Funds 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-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	5
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
ALPHA OPPORTUNITY FUND	10
LARGE CAP VALUE FUND	30
MARKET NEUTRAL REAL ESTATE FUND	41
RISK MANAGED REAL ESTATE FUND	52
SMALL CAP VALUE FUND	66
STYLEPLUS—LARGE CORE FUND	77
STYLEPLUS—MID GROWTH FUND	87
WORLD EQUITY INCOME FUND	98
NOTES TO FINANCIAL STATEMENTS	109
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	124
OTHER INFORMATION	125
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	134
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	140
LIQUIDITY RISK MANAGEMENT PROGRAM	143

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (“Funds”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

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, and then the Managers’ Commentary for each fund.

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,

October 31, 2023

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.

Alpha Opportunity Fund is subject to a number of risks and is 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. The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. 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. ● 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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2023

Large Cap Value Fund is subject to a number of risks and is not 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. ● 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.

Market Neutral Real Estate Fund is subject to a number of risks and is not 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. ● 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 is subject to a number of risks and is not 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 is subject to a number of risks and is not 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. ● 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—Large Core Fund is subject to a number of risks and is not 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 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 is subject to a number of risks and is not 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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

September 30, 2023

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 is subject to a number of risks and is not 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. ● 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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting 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 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 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

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 US 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 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 of 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 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^® Index 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 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 March 31, 2023 and ending September 30, 2023.

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 ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2023	Ending Account Value September 30, 2023	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Alpha Opportunity Fund
A-Class	1.74%	5.33%	$ 1,000.00	$ 1,053.30	$ 8.96
C-Class	2.50%	4.91%	1,000.00	1,049.10	12.84
P-Class	1.74%	5.34%	1,000.00	1,053.40	8.96
Institutional Class	1.49%	5.43%	1,000.00	1,054.30	7.67
Large Cap Value Fund
A-Class	1.12%	1.06%	1,000.00	1,010.60	5.65
C-Class	1.87%	0.67%	1,000.00	1,006.70	9.41
P-Class	1.12%	1.04%	1,000.00	1,010.40	5.64
Institutional Class	0.87%	1.17%	1,000.00	1,011.70	4.39
Market Neutral Real Estate Fund
A-Class	1.57%	0.04%	1,000.00	1,000.40	7.87
C-Class	2.32%	(0.35%)	1,000.00	996.50	11.61
P-Class	1.57%	0.00%	1,000.00	1,000.00	7.87
Institutional Class	1.32%	0.17%	1,000.00	1,001.70	6.62
Risk Managed Real Estate Fund
A-Class	1.45%	(5.39%)	1,000.00	946.10	7.07
C-Class	2.18%	(5.71%)	1,000.00	942.90	10.62
P-Class	1.52%	(5.39%)	1,000.00	946.10	7.42
Institutional Class	1.16%	(5.21%)	1,000.00	947.90	5.66
Small Cap Value Fund
A-Class	1.26%	(0.46%)	1,000.00	995.40	6.30
C-Class	2.01%	(0.80%)	1,000.00	992.00	10.04
P-Class	1.26%	(0.52%)	1,000.00	994.80	6.30
Institutional Class	1.01%	(0.37%)	1,000.00	996.30	5.05
StylePlus—Large Core Fund
A-Class	1.57%	4.77%	1,000.00	1,047.70	8.06
C-Class	2.46%	4.33%	1,000.00	1,043.30	12.60
P-Class	1.72%	4.70%	1,000.00	1,047.00	8.83
Institutional Class	1.33%	4.90%	1,000.00	1,049.00	6.83
StylePlus—Mid Growth Fund
A-Class	1.27%	1.43%	1,000.00	1,014.30	6.41
C-Class	2.12%	1.02%	1,000.00	1,010.20	10.68
P-Class	1.58%	1.25%	1,000.00	1,012.50	7.97
Institutional Class	1.02%	1.53%	1,000.00	1,015.30	5.15
World Equity Income Fund
A-Class	1.18%	1.90%	1,000.00	1,019.00	5.97
C-Class	1.93%	1.57%	1,000.00	1,015.70	9.75
P-Class	1.19%	1.91%	1,000.00	1,019.10	6.02
Institutional Class	0.93%	2.09%	1,000.00	1,020.90	4.71

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2023	Ending Account Value September 30, 2023	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Alpha Opportunity Fund
A-Class	1.74%	5.00%	$ 1,000.00	$ 1,016.34	$ 8.80
C-Class	2.50%	5.00%	1,000.00	1,012.53	12.61
P-Class	1.74%	5.00%	1,000.00	1,016.34	8.80
Institutional Class	1.49%	5.00%	1,000.00	1,017.60	7.54
Large Cap Value Fund
A-Class	1.12%	5.00%	1,000.00	1,019.45	5.67
C-Class	1.87%	5.00%	1,000.00	1,015.69	9.45
P-Class	1.12%	5.00%	1,000.00	1,019.45	5.67
Institutional Class	0.87%	5.00%	1,000.00	1,020.71	4.41
Market Neutral Real Estate Fund
A-Class	1.57%	5.00%	1,000.00	1,017.20	7.94
C-Class	2.32%	5.00%	1,000.00	1,013.44	11.71
P-Class	1.57%	5.00%	1,000.00	1,017.20	7.94
Institutional Class	1.32%	5.00%	1,000.00	1,018.45	6.68
Risk Managed Real Estate Fund
A-Class	1.45%	5.00%	1,000.00	1,017.80	7.33
C-Class	2.18%	5.00%	1,000.00	1,014.14	11.01
P-Class	1.52%	5.00%	1,000.00	1,017.45	7.69
Institutional Class	1.16%	5.00%	1,000.00	1,019.25	5.87
Small Cap Value Fund
A-Class	1.26%	5.00%	1,000.00	1,018.75	6.38
C-Class	2.01%	5.00%	1,000.00	1,014.99	10.15
P-Class	1.26%	5.00%	1,000.00	1,018.75	6.38
Institutional Class	1.01%	5.00%	1,000.00	1,020.00	5.11
StylePlus—Large Core Fund
A-Class	1.57%	5.00%	1,000.00	1,017.20	7.94
C-Class	2.46%	5.00%	1,000.00	1,012.73	12.41
P-Class	1.72%	5.00%	1,000.00	1,016.44	8.69
Institutional Class	1.33%	5.00%	1,000.00	1,018.40	6.73
StylePlus—Mid Growth Fund
A-Class	1.27%	5.00%	1,000.00	1,018.70	6.43
C-Class	2.12%	5.00%	1,000.00	1,014.44	10.71
P-Class	1.58%	5.00%	1,000.00	1,017.15	7.99
Institutional Class	1.02%	5.00%	1,000.00	1,019.95	5.16
World Equity Income Fund
A-Class	1.18%	5.00%	1,000.00	1,019.15	5.97
C-Class	1.93%	5.00%	1,000.00	1,015.39	9.75
P-Class	1.19%	5.00%	1,000.00	1,019.10	6.02
Institutional Class	0.93%	5.00%	1,000.00	1,020.41	4.71

1	This ratio represents annualized net expenses, which may include short dividend and interest expense. Excluding these expenses, the operating expense ratio for the Risk Managed Real Estate Fund would be 1.27%, 1.91%, 1.27% and 0.90% 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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Alpha Opportunity Fund (“Fund”).The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of 16.62%¹, outperforming the ICE BofA 3-Month U.S. Treasury Bill Index, the Fund’s benchmark, which returned 4.50% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

This Reporting Period, the broad market recovered from its October 2022 lows on the back of stable economic strength. While inflation moderated from its post-Covid highs, the U.S. Federal Reserve (“Fed”) continued aggressively hiking interest rates with its stated goal of getting price gains back down to 2% (which has yet to be achieved). The labor market remained strong, giving the Fed plenty of cover to raise its benchmark rates faster than any time since the 1980s. During the Reporting Period, the steady march of rates higher no longer caused all stocks to fall like the prior year. The market switched gears and began to anticipate a recession in the face of the monetary tightening. This impacted small caps and economically sensitive names more, as well as exposing low profitability or money-losing names. Mega-cap growth names had strong rebounds as their structural growth and balance sheet quality are prized during harder economic times. The market cap weighted S&P 500 gained 21.62% for the Reporting Period - driven mainly by a handful of the largest companies. Meanwhile, the Russell 2000 Value Index, composed of small caps with more economic beta, returned only 7.84%.

In this environment, the Fund ended the Reporting Period with a 16.62% return. The Fund’s realized beta (sensitivity of daily returns to broad stock benchmark moves) was about +0.21 for the period – positive, but lower than most long/short managers. That positive beta during a rising market contributed about +1.5% of return attribution. A bias towards small caps hurt the Fund by about 1.0%. Within sectors, lower valuation names performed much better than their expensive or money-losing counterparts. Our Value-style positioning paid off by about 12.8% of attribution for the period, while a higher profitability-style bias helped by an additional 4.4%.

The Fund’s industry tilts contributed about 2.1% for the Reporting Period. The overweight in Capital Goods and net short position in Real Estate both were key parts of that contribution. Security selection (the impact of returns within style and industry groups) was a drag this past year of about -1.3%.

How did the Fund use derivatives during the Reporting Period?

The Fund uses total return swaps to gain exposure to short positions and to attain some leverage on the long side when surpassing 100% long weights. In total, the derivatives have a net negative market exposure, creating a partial market hedge against assets that are invested in long stocks. The net performance impact of these derivatives was slightly positive this Reporting Period as the returns of the long positions on swaps was greater than the losses on the short positions on swaps.

How was the Fund positioned at the end of the Reporting Period?

At period end, the Fund held about 138% of assets in long securities, and 101% short, for a net-dollar exposure of 37%. Because the long side exposure holds higher-quality and more-defensive sectors, while the short side focuses on higher-risk names, the actual expected net ‘beta’ of the Fund is in the 0.10 to 0.16 range, on the low end of positioning for the Fund during the last few years.

The Fund maintains its style bias towards cheaper valuation names. It also maintains a bias towards higher quality—as defined by higher profitability within each sector, lower stock-volatility, and lower leverage. The Fund has a net short bias in the Growth style, where we are generally short stocks with the most growth bias within sectors where valuations remain stretched. The Fund remains slightly small- cap biased–a shift that first began about two years ago. While small caps are generally riskier than large caps, the additional risk appears to be compensated with a much wider expected return based on fundamentals and valuations.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

From an industry perspective, the Fund’s largest net long sectors are Healthcare, Information Technology, and Consumer Discretionary. The largest net short exposures are the Real Estate and Financials sectors. During this Reporting Period, the Fund moved to a net short position in Staples and Utilities. Historically we had been long these defensive sectors, but changes in their fundamentals and valuations led to the dynamic rebalancing to other areas.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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
Amgen, Inc.	1.0%
H&R Block, Inc.	1.0%
Humana, Inc.	1.0%
Exxon Mobil Corp.	1.0%
Gilead Sciences, Inc.	1.0%
United Therapeutics Corp.	1.0%
MSC Industrial Direct Company, Inc. — Class A	1.0%
OGE Energy Corp.	1.0%
National Fuel Gas Co.	1.0%
UFP Industries, Inc.	1.0%
Top Ten Total	10.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	16.62%	1.20%	3.01%
A-Class Shares with sales charge†	11.08%	0.23%	2.51%
C-Class Shares	15.70%	0.40%	2.22%
C-Class Shares with CDSC‡	14.70%	0.40%	2.22%
Institutional Class Shares	16.89%	1.50%	3.37%
Morningstar Long/Short Equity Category Average	8.57%	2.23%	3.15%
S&P 500 Index	21.62%	9.92%	11.91%
S&P 500 Index Blended**	4.47%	1.72%	5.38%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.72%	1.12%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	16.60%	1.20%	1.60%
Morningstar Long/Short Equity Category Average	8.57%	2.23%	4.16%
S&P 500 Index	21.62%	9.92%	10.71%
S&P 500 Index Blended**	4.47%	1.72%	8.56%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.72%	4.56%

*	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 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 returns. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
**	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 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 09/30/13 to 03/12/17, and the ICE BofA 3-Month U.S. Treasury Bill index from 03/13/17 to 09/30/23.
†	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 ANNUAL REPORT | 13

SCHEDULE OF INVESTMENTS	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 90.8%
Industrial - 19.6%
UFP Industries, Inc.		3,297	$	337,613
Schneider National, Inc. — Class B		12,090		334,772
ITT, Inc.		3,374		330,348
Apogee Enterprises, Inc.1		6,889		324,334
Watts Water Technologies, Inc. — Class A		1,852		320,063
Donaldson Company, Inc.1		5,339		318,418
Boise Cascade Co.1		3,042		313,448
Snap-on, Inc.1		1,196		305,052
Hub Group, Inc. — Class A*,1		3,827		300,573
Acuity Brands, Inc.1		1,586		270,111
Mueller Industries, Inc.		3,557		267,344
Sturm Ruger & Company, Inc.		4,962		258,619
TE Connectivity Ltd.		2,081		257,066
Simpson Manufacturing Company, Inc.		1,697		254,228
Illinois Tool Works, Inc.		1,096		252,420
Masco Corp.1		4,504		240,739
Valmont Industries, Inc.		867		208,262
Argan, Inc.1		3,851		175,297
CH Robinson Worldwide, Inc.		1,801		155,120
Encore Wire Corp.		771		140,677
Teekay Corp.*		22,349		137,893
Expeditors International of Washington, Inc.1		1,093		125,291
Insteel Industries, Inc.		3,717		120,654
Ardmore Shipping Corp.		8,810		114,618
Owens Corning		832		113,493
Keysight Technologies, Inc.*		855		113,125
Scorpio Tankers, Inc.		2,006		108,565
Northrop Grumman Corp.		240		105,646
International Seaways, Inc.		2,346		105,570
Sanmina Corp.*		1,736		94,230
Landstar System, Inc.		529		93,601
Builders FirstSource, Inc.*		676		84,155
Teekay Tankers Ltd. — Class A		1,741		72,478
Fortune Brands Innovations, Inc.		1,146		71,235
Lindsay Corp.		552		64,959
Total Industrial				6,890,017
Consumer, Non-cyclical - 18.1%
Amgen, Inc.1		1,363		366,320
H&R Block, Inc.1		8,309		357,785
Humana, Inc.1		729		354,673
Gilead Sciences, Inc.1		4,631		347,047
United Therapeutics Corp.*		1,522		343,774
Exelixis, Inc.*		15,332		335,004
Merck & Company, Inc.1		3,222		331,705
Bristol-Myers Squibb Co.1		5,681		329,725
Pfizer, Inc.		9,825		325,895
Hologic, Inc.*,1		4,600		319,240
Royalty Pharma plc — Class A		11,580		314,281
Innoviva, Inc.*,1		23,751		308,526
Incyte Corp.*,1		5,113		295,378
Perdoceo Education Corp.		14,163		242,187
Altria Group, Inc.1		5,189		218,197
Molina Healthcare, Inc.*		659		216,079
Dynavax Technologies Corp.*,1		12,411		183,311
Elevance Health, Inc.		304		132,368
Philip Morris International, Inc.		1,208		111,837
PayPal Holdings, Inc.*		1,797		105,053
Heidrick & Struggles International, Inc.1		4,064		101,681
Procter & Gamble Co.		683		99,622
Hackett Group, Inc.		4,018		94,785
Envista Holdings Corp.*		3,194		89,049
John B Sanfilippo & Son, Inc.		888		87,734
Organon & Co.		4,890		84,891
Neurocrine Biosciences, Inc.*		640		72,000
Alarm.com Holdings, Inc.*		1,171		71,595
Voyager Therapeutics, Inc.*		8,607		66,704
Alkermes plc*		2,342		65,600
Total Consumer, Non-cyclical				6,372,046
Consumer, Cyclical - 12.6%
MSC Industrial Direct Company, Inc. — Class A1		3,477		341,267
Polaris, Inc.		3,106		323,459
Home Depot, Inc.1		1,038		313,642
Allison Transmission Holdings, Inc.1		4,924		290,811
Lennar Corp. — Class A		2,353		264,077
Boyd Gaming Corp.1		4,221		256,764
Tri Pointe Homes, Inc.*		8,417		230,205
KB Home		4,923		227,837
M/I Homes, Inc.*		2,211		185,812
Ulta Beauty, Inc.*		447		178,554
PulteGroup, Inc.1		2,318		171,648
Brunswick Corp.1		1,965		155,235
Monarch Casino & Resort, Inc.		2,487		154,443
BorgWarner, Inc.		3,743		151,105
Murphy USA, Inc.		438		149,678
Steven Madden Ltd.		4,659		148,016
Taylor Morrison Home Corp. — Class A*		3,304		140,783
Ethan Allen Interiors, Inc.		4,518		135,088
Meritage Homes Corp.		1,016		124,348
Malibu Boats, Inc. — Class A*		2,497		122,403
MasterCraft Boat Holdings, Inc.*		4,043		89,835
Williams-Sonoma, Inc.		477		74,126
Everi Holdings, Inc.*		5,131		67,832
Cavco Industries, Inc.*		248		65,884
DR Horton, Inc.		595		63,945
Total Consumer, Cyclical				4,426,797
Financial - 9.0%
Equity Commonwealth REIT1		17,880		328,456
MGIC Investment Corp.1		19,659		328,142
Essent Group Ltd.		6,846		323,747
Preferred Bank/Los Angeles CA		4,131		257,155
Mr Cooper Group, Inc.*		4,303		230,469
Western Union Co.		16,717		220,330
Fulton Financial Corp.		13,729		166,258
Enact Holdings, Inc.		4,787		130,350
SouthState Corp.		1,772		119,362
M&T Bank Corp.		901		113,931

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Value
NMI Holdings, Inc. — Class A*		4,173	$	113,047
Globe Life, Inc.		1,018		110,687
S&T Bancorp, Inc.		4,033		109,214
Citizens Financial Group, Inc.		3,896		104,413
Enova International, Inc.*,1		1,883		95,788
International Bancshares Corp.		2,159		93,571
Capital One Financial Corp.		907		88,024
FB Financial Corp.		2,965		84,087
Independent Bank Corp.		1,505		73,881
East West Bancorp, Inc.		1,341		70,684
Total Financial				3,161,596
Communications - 8.9%
Verizon Communications, Inc.1		9,957		322,706
VeriSign, Inc.*,1		1,489		301,567
F5, Inc.*		1,802		290,374
Yelp, Inc. — Class A*		6,608		274,827
AT&T, Inc.1		15,540		233,411
Juniper Networks, Inc.		8,073		224,349
A10 Networks, Inc.1		12,876		193,526
Booking Holdings, Inc.*		61		188,121
InterDigital, Inc.		2,340		187,762
Cisco Systems, Inc.1		3,202		172,139
IDT Corp. — Class B*		7,432		163,876
Ziff Davis, Inc.*		2,329		148,334
eBay, Inc.		2,436		107,403
Gogo, Inc.*		7,366		87,876
GoDaddy, Inc. — Class A*		1,029		76,640
Ooma, Inc.*		5,885		76,564
New York Times Co. — Class A		1,687		69,505
Total Communications				3,118,980
Energy - 8.4%
Exxon Mobil Corp.1		2,984		350,859
Chord Energy Corp.		2,069		335,323
Chesapeake Energy Corp.		3,841		331,209
Occidental Petroleum Corp.1		3,930		254,978
Valero Energy Corp.		1,614		228,720
CNX Resources Corp.*		9,132		206,201
Magnolia Oil & Gas Corp. — Class A		7,577		173,589
Cheniere Energy, Inc.		989		164,135
Southwestern Energy Co.*		24,133		155,658
Par Pacific Holdings, Inc.*		4,083		146,743
Coterra Energy, Inc. — Class A		5,202		140,714
Marathon Petroleum Corp.1		923		139,687
SandRidge Energy, Inc.		6,574		102,949
PBF Energy, Inc. — Class A		1,849		98,977
Range Resources Corp.		2,232		72,339
Equities Corp.		1,742		70,690
Total Energy				2,972,771
Technology - 7.3%
International Business Machines Corp.		1,990		279,197
Hewlett Packard Enterprise Co.1		15,358		266,768
Dropbox, Inc. — Class A*		8,768		238,753
Kulicke & Soffa Industries, Inc.		4,905		238,530
Progress Software Corp.		3,807		200,172
NetApp, Inc.		2,045		155,175
NextGen Healthcare, Inc.*		6,246		148,218
QUALCOMM, Inc.		1,261		140,047
Veradigm, Inc.*,1		9,159		120,349
Photronics, Inc.*		5,809		117,400
Synaptics, Inc.*		1,228		109,832
Zoom Video Communications, Inc. — Class A*		1,558		108,966
Intuit, Inc.		206		105,254
Immersion Corp.		11,269		74,488
Box, Inc. — Class A*		2,878		69,676
Akamai Technologies, Inc.*		651		69,358
Diodes, Inc.*,1		861		67,881
Autodesk, Inc.*		309		63,935
Total Technology				2,573,999
Utilities - 4.8%
OGE Energy Corp.		10,237		341,199
National Fuel Gas Co.		6,567		340,893
Public Service Enterprise Group, Inc.		5,776		328,712
Atmos Energy Corp.1		3,035		321,497
Chesapeake Utilities Corp.1		1,449		141,640
ONE Gas, Inc.		1,628		111,160
Clearway Energy, Inc. — Class C1		4,459		94,353
Total Utilities				1,679,454
Basic Materials - 2.1%
NewMarket Corp.		733		333,544
Olin Corp.		6,418		320,772
CF Industries Holdings, Inc.1		1,172		100,487
Total Basic Materials				754,803
Total Common Stocks
(Cost $32,186,841)				31,950,463
MONEY MARKET FUND† - 3.1%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 5.22%2		1,101,952		1,101,952
Total Money Market Fund
(Cost $1,101,952)				1,101,952
Total Investments - 93.9%
(Cost $33,288,793)			$	33,052,415
Other Assets & Liabilities, net - 6.1%				2,158,619
Total Net Assets - 100.0%			$	35,211,034

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Type	Financing Rate		Payment Frequency		Maturity Date	Notional Amount		Value and Unrealized Appreciation
OTC Custom Basket Swap Agreements††
Goldman Sachs International	GS Equity Custom Basket	Pay	5.78% (Federal Funds Rate + 0.45%)	At Maturity		05/06/24		$	8,231,038	$	25,518
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Pay	5.73% (Federal Funds Rate + 0.40%)	At Maturity		02/01/24			8,231,037		24,145
								$	16,462,075	$	49,663
OTC Custom Basket Swap Agreements Sold Short††
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Receive	5.03% (Federal Funds Rate - 0.30%)	At Maturity		02/01/24		$	17,749,024	$	1,074,296
Goldman Sachs International	GS Equity Custom Basket	Receive	5.13% (Federal Funds Rate - 0.20%)	At Maturity		05/06/24			17,602,652		1,056,830
								$	35,351,676	$	2,131,126

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Communications
Cisco Systems, Inc.		825		0.54	%	$	6,075
Booking Holdings, Inc.		16		0.60	%		3,288
A10 Networks, Inc.		3,316		0.61	%		416
eBay, Inc.		628		0.34	%		186
GoDaddy, Inc. — Class A		265		0.24	%		(283	)
F5, Inc.		464		0.91	%		(527	)
AT&T, Inc.		4,003		0.73	%		(1,240	)
New York Times Co. — Class A		434		0.22	%		(1,416	)
Ziff Davis, Inc.		600		0.46	%		(1,473	)
Juniper Networks, Inc.		2,079		0.70	%		(2,487	)
Ooma, Inc.		1,516		0.24	%		(2,635	)
IDT Corp. — Class B		1,914		0.51	%		(2,814	)
InterDigital, Inc.		603		0.59	%		(2,958	)
Yelp, Inc. — Class A		1,702		0.86	%		(4,060	)
VeriSign, Inc.		384		0.94	%		(7,256	)
Gogo, Inc.		1,897		0.27	%		(8,963	)
Verizon Communications, Inc.		2,565		1.01	%		(9,513	)
Total Communications							(35,660	)
Industrial
Boise Cascade Co.		784		0.98	%		19,589
UFP Industries, Inc.		849		1.06	%		12,685
Simpson Manufacturing Company, Inc.		437		0.80	%		11,911
Snap-on, Inc.		308		0.95	%		11,703
ITT, Inc.		869		1.03	%		9,727
Mueller Industries, Inc.		916		0.84	%		8,117
International Seaways, Inc.		604		0.33	%		5,330
Argan, Inc.		992		0.55	%		5,034
Scorpio Tankers, Inc.		517		0.34	%		4,029
Encore Wire Corp.		199		0.44	%		3,319
Builders FirstSource, Inc.		174		0.26	%		2,326
Ardmore Shipping Corp.		2,269		0.36	%		1,753
Teekay Tankers Ltd. — Class A		448		0.23	%		1,136
Northrop Grumman Corp.		62		0.33	%		924
Sanmina Corp.		447		0.29	%		82
Expeditors International of Washington, Inc.		282		0.39	%		(27	)
Landstar System, Inc.		136		0.29	%		(139	)
Donaldson Company, Inc.		1,375		1.00	%		(194	)
CH Robinson Worldwide, Inc.		464		0.49	%		(712	)
Teekay Corp.		5,757		0.43	%		(737	)
Acuity Brands, Inc.		409		0.85	%		(927	)
Owens Corning		214		0.35	%		(1,177	)
Schneider National, Inc. — Class B		3,114		1.05	%		(1,243	)
Insteel Industries, Inc.		957		0.38	%		(1,416	)
Apogee Enterprises, Inc.		1,774		1.01	%		(1,804	)
Fortune Brands Innovations, Inc.		295		0.22	%		(2,231	)
Masco Corp.		1,160		0.75	%		(2,545	)
Valmont Industries, Inc.		223		0.65	%		(2,764	)
TE Connectivity Ltd.		536		0.80	%		(3,467	)
Illinois Tool Works, Inc.		282		0.79	%		(3,689	)
Lindsay Corp.		142		0.20	%		(4,468	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Watts Water Technologies, Inc. — Class A		477		1.00	%	$	(5,159	)
Hub Group, Inc. — Class A		986		0.94	%		(5,746	)
Keysight Technologies, Inc.		220		0.35	%		(5,963	)
Sturm Ruger & Company, Inc.		1,278		0.81	%		(6,540	)
Total Industrial							46,717
Technology
NextGen Healthcare, Inc.		1,609		0.46	%		11,518
NetApp, Inc.		527		0.49	%		7,358
Akamai Technologies, Inc.		168		0.22	%		2,712
Diodes, Inc.		222		0.21	%		2,369
Veradigm, Inc.		2,359		0.38	%		1,005
Synaptics, Inc.		316		0.34	%		379
Autodesk, Inc.		80		0.20	%		274
Dropbox, Inc. — Class A		2,258		0.75	%		(642	)
QUALCOMM, Inc.		325		0.44	%		(1,016	)
Immersion Corp.		2,903		0.23	%		(1,187	)
Hewlett Packard Enterprise Co.		3,956		0.83	%		(1,321	)
Zoom Video Communications, Inc. — Class A		401		0.34	%		(1,436	)
Intuit, Inc.		53		0.33	%		(1,980	)
International Business Machines Corp.		513		0.87	%		(2,286	)
Photronics, Inc.		1,496		0.37	%		(2,332	)
Kulicke & Soffa Industries, Inc.		1,263		0.75	%		(3,490	)
Progress Software Corp.		980		0.63	%		(4,560	)
Box, Inc. — Class A		741		0.22	%		(4,579	)
Total Technology							786
Consumer, Non-cyclical
H&R Block, Inc.		2,140		1.12	%		25,244
Perdoceo Education Corp.		3,648		0.76	%		23,642
Exelixis, Inc.		3,949		1.05	%		13,970
Amgen, Inc.		351		1.15	%		11,920
Dynavax Technologies Corp.		3,197		0.57	%		9,462
Hackett Group, Inc.		1,035		0.30	%		4,551
Humana, Inc.		188		1.11	%		3,632
Innoviva, Inc.		6,118		0.97	%		3,383
Molina Healthcare, Inc.		170		0.68	%		2,700
United Therapeutics Corp.		392		1.08	%		952
Alarm.com Holdings, Inc.		302		0.22	%		841
Neurocrine Biosciences, Inc.		165		0.23	%		377
Alkermes plc		603		0.21	%		203
Philip Morris International, Inc.		311		0.35	%		(322	)
Procter & Gamble Co.		176		0.31	%		(1,094	)
PayPal Holdings, Inc.		463		0.33	%		(1,220	)
Elevance Health, Inc.		78		0.41	%		(1,224	)
John B Sanfilippo & Son, Inc.		229		0.27	%		(1,231	)
Altria Group, Inc.		1,337		0.68	%		(2,169	)
Heidrick & Struggles International, Inc.		1,047		0.32	%		(2,431	)
Envista Holdings Corp.		823		0.28	%		(2,946	)
Organon & Co.		1,259		0.27	%		(3,359	)
Voyager Therapeutics, Inc.		2,217		0.21	%		(3,627	)
Pfizer, Inc.		2,531		1.02	%		(4,651	)
Gilead Sciences, Inc.		1,193		1.09	%		(5,042	)
Bristol-Myers Squibb Co.		1,463		1.03	%		(7,753	)
Merck & Company, Inc.		830		1.04	%		(7,872	)
Hologic, Inc.		1,185		1.00	%		(9,485	)
Incyte Corp.		1,317		0.92	%		(17,453	)
Royalty Pharma plc — Class A		2,983		0.98	%		(28,511	)
Total Consumer, Non-cyclical							487
Consumer, Cyclical
Allison Transmission Holdings, Inc.		1,268		0.91	%		21,324
MSC Industrial Direct Company, Inc. — Class A		896		1.07	%		9,330
Murphy USA, Inc.		113		0.47	%		4,372
Brunswick Corp.		506		0.49	%		3,256
Taylor Morrison Home Corp. — Class A		851		0.44	%		2,925
Williams-Sonoma, Inc.		123		0.23	%		1,778
Boyd Gaming Corp.		1,087		0.80	%		1,197
Ethan Allen Interiors, Inc.		1,164		0.42	%		850
Cavco Industries, Inc.		64		0.21	%		(137	)
BorgWarner, Inc.		964		0.47	%		(147	)
Ulta Beauty, Inc.		115		0.56	%		(1,151	)
DR Horton, Inc.		153		0.20	%		(1,213	)
Everi Holdings, Inc.		1,322		0.21	%		(1,801	)
Steven Madden Ltd.		1,200		0.46	%		(2,315	)
Meritage Homes Corp.		262		0.39	%		(2,886	)
PulteGroup, Inc.		597		0.54	%		(2,987	)
Monarch Casino & Resort, Inc.		641		0.48	%		(3,665	)
Lennar Corp. — Class A		606		0.83	%		(3,745	)
KB Home		1,268		0.71	%		(3,902	)
Malibu Boats, Inc. — Class A		643		0.38	%		(4,048	)
Tri Pointe Homes, Inc.		2,168		0.72	%		(4,550	)
MasterCraft Boat Holdings, Inc.		1,041		0.28	%		(4,901	)
M/I Homes, Inc.		570		0.58	%		(5,815	)
Home Depot, Inc.		267		0.98	%		(6,575	)
Polaris, Inc.		800		1.01	%		(12,459	)
Total Consumer, Cyclical							(17,265	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Utilities
ONE Gas, Inc.		419		0.35	%	$	(1,996	)
Public Service Enterprise Group, Inc.		1,488		1.03	%		(3,354	)
Clearway Energy, Inc. — Class C		1,148		0.30	%		(4,164	)
National Fuel Gas Co.		1,692		1.07	%		(6,589	)
Atmos Energy Corp.		782		1.01	%		(6,898	)
Chesapeake Utilities Corp.		373		0.44	%		(7,178	)
OGE Energy Corp.		2,637		1.07	%		(13,409	)
Total Utilities							(43,588	)
Basic Materials
NewMarket Corp.		189		1.04	%		17,992
CF Industries Holdings, Inc.		302		0.31	%		4,967
Olin Corp.		1,653		1.00	%		(10,278	)
Total Basic Materials							12,681
Energy
Exxon Mobil Corp.		769		1.10	%		14,686
Marathon Petroleum Corp.		238		0.44	%		12,748
Valero Energy Corp.		416		0.72	%		11,686
PBF Energy, Inc. — Class A		476		0.31	%		8,095
Cheniere Energy, Inc.		255		0.51	%		5,639
CNX Resources Corp.		2,352		0.65	%		705
Par Pacific Holdings, Inc.		1,052		0.46	%		428
Occidental Petroleum Corp.		1,012		0.80	%		287
Range Resources Corp.		575		0.23	%		241
Magnolia Oil & Gas Corp. — Class A		1,952		0.54	%		(362	)
Equities Corp.		449		0.22	%		(769	)
Chesapeake Energy Corp.		989		1.04	%		(781	)
Chord Energy Corp.		533		1.05	%		(925	)
SandRidge Energy, Inc.		1,693		0.32	%		(1,001	)
Southwestern Energy Co.		6,216		0.49	%		(1,006	)
Coterra Energy, Inc. — Class A		1,340		0.44	%		(1,223	)
Total Energy							48,448
Financial
MGIC Investment Corp.		5,063		1.03	%		11,428
Preferred Bank/Los Angeles CA		1,064		0.80	%		10,248
NMI Holdings, Inc. — Class A		1,075		0.35	%		7,628
Essent Group Ltd.		1,763		1.01	%		6,445
Mr Cooper Group, Inc.		1,108		0.72	%		4,488
Western Union Co.		4,306		0.69	%		4,124
M&T Bank Corp.		232		0.36	%		1,032
SouthState Corp.		457		0.37	%		935
East West Bancorp, Inc.		345		0.22	%		(306	)
International Bancshares Corp.		556		0.29	%		(563	)
Capital One Financial Corp.		234		0.28	%		(824	)
Enova International, Inc.		485		0.30	%		(895	)
Citizens Financial Group, Inc.		1,004		0.33	%		(945	)
Enact Holdings, Inc.		1,233		0.41	%		(967	)
Globe Life, Inc.		262		0.35	%		(1,481	)
S&T Bancorp, Inc.		1,039		0.34	%		(1,619	)
Independent Bank Corp.		388		0.23	%		(3,977	)
FB Financial Corp.		764		0.26	%		(5,856	)
Fulton Financial Corp.		3,536		0.52	%		(7,705	)
Equity Commonwealth		4,605		1.03	%		(9,651	)
Total Financial							11,539
Total MS Equity Long Custom Basket						$	24,145
MS EQUITY SHORT CUSTOM BASKET
Consumer, Non-cyclical
Chefs’ Warehouse, Inc.		4,128		(0.51	)%	$	33,519
Utz Brands, Inc.		9,476		(0.72	)%		26,081
Cooper Companies, Inc.		630		(1.13	)%		25,510
TreeHouse Foods, Inc.		5,053		(1.24	)%		19,141
Equifax, Inc.		852		(0.88	)%		18,331
ICU Medical, Inc.		653		(0.44	)%		13,841
Bright Horizons Family Solutions, Inc.		1,152		(0.53	)%		13,115
Pilgrim’s Pride Corp.		7,095		(0.91	)%		8,982
ABM Industries, Inc.		1,501		(0.34	)%		8,106
Automatic Data Processing, Inc.		684		(0.93	)%		6,883
Cintas Corp.		400		(1.08	)%		6,144
Tyson Foods, Inc. — Class A		3,059		(0.87	)%		3,020
CBIZ, Inc.		1,628		(0.48	)%		2,707
Booz Allen Hamilton Holding Corp.		1,682		(1.04	)%		(1,116	)
TransUnion		2,105		(0.85	)%		(1,847	)
Neogen Corp.		4,217		(0.44	)%		(4,506	)
RB Global, Inc.		4,011		(1.41	)%		(6,832	)
ICF International, Inc.		1,237		(0.84	)%		(20,422	)
Total Consumer, Non-cyclical							150,657
Financial
Sun Communities, Inc.		2,151		(1.43	)%		89,705
American Tower Corp. — Class A		1,447		(1.34	)%		70,022
Outfront Media, Inc.		11,666		(0.66	)%		68,592
Rexford Industrial Realty, Inc.		3,712		(1.03	)%		44,059
Kennedy-Wilson Holdings, Inc.		15,938		(1.32	)%		40,890
Healthcare Realty Trust, Inc.		6,537		(0.56	)%		36,986
Raymond James Financial, Inc.		2,447		(1.38	)%		30,206

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Americold Realty Trust, Inc.		6,772		(1.16	)%	$	25,477
UMH Properties, Inc.		16,631		(1.31	)%		22,570
TFS Financial Corp.		17,710		(1.18	)%		21,663
Equinix, Inc.		329		(1.35	)%		19,324
Jones Lang LaSalle, Inc.		1,291		(1.03	)%		18,854
Alexander & Baldwin, Inc.		8,681		(0.82	)%		16,986
SLM Corp.		6,541		(0.50	)%		13,882
Rayonier, Inc.		2,482		(0.40	)%		13,194
New York Mortgage Trust, Inc.		15,717		(0.75	)%		11,763
Pathward Financial, Inc.		2,393		(0.62	)%		11,604
Northern Trust Corp.		1,735		(0.68	)%		9,590
NU Holdings Limited/Cayman Islands — Class A		18,031		(0.74	)%		9,122
Stellar Bancorp, Inc.		4,181		(0.50	)%		8,183
Starwood Property Trust, Inc.		8,394		(0.92	)%		8,037
Popular, Inc.		3,327		(1.18	)%		7,783
Crown Castle, Inc.		797		(0.41	)%		5,449
BOK Financial Corp.		1,878		(0.85	)%		4,120
Annaly Capital Management, Inc.		5,299		(0.56	)%		3,919
Hanover Insurance Group, Inc.		1,437		(0.90	)%		2,790
PotlatchDeltic Corp.		3,656		(0.93	)%		2,375
Equity LifeStyle Properties, Inc.		1,226		(0.44	)%		2,092
Assured Guaranty Ltd.		1,768		(0.60	)%		1,883
AGNC Investment Corp.		14,302		(0.76	)%		1,532
Ventas, Inc.		5,288		(1.26	)%		351
Progressive Corp.		582		(0.46	)%		(409	)
Apollo Global Management, Inc.		1,127		(0.57	)%		(2,929	)
Carlyle Group, Inc.		5,874		(1.00	)%		(3,642	)
Allstate Corp.		1,931		(1.21	)%		(6,749	)
PennyMac Financial Services, Inc.		2,851		(1.07	)%		(10,149	)
Brighthouse Financial, Inc.		4,930		(1.36	)%		(13,494	)
Welltower, Inc.		2,715		(1.25	)%		(13,588	)
Digital Realty Trust, Inc.		882		(0.60	)%		(22,002	)
KKR & Company, Inc. — Class A		4,195		(1.46	)%		(22,488	)
Iron Mountain, Inc.		4,055		(1.36	)%		(23,778	)
Total Financial							503,775
Utilities
AES Corp.		14,892		(1.28	)%		79,286
Avista Corp.		6,822		(1.24	)%		64,396
Portland General Electric Co.		5,997		(1.37	)%		37,013
PG&E Corp.		15,753		(1.43	)%		18,095
Edison International		3,811		(1.36	)%		16,918
Exelon Corp.		3,672		(0.78	)%		7,128
Spire, Inc.		3,067		(0.98	)%		5,143
FirstEnergy Corp.		5,150		(0.99	)%		4,146
Duke Energy Corp.		2,942		(1.46	)%		(3,775	)
Total Utilities							228,350
Basic Materials
Hecla Mining Co.		32,657		(0.72	)%		50,865
Piedmont Lithium, Inc.		2,661		(0.60	)%		41,234
Alcoa Corp.		5,885		(0.96	)%		24,019
Royal Gold, Inc.		1,058		(0.63	)%		17,326
Avient Corp.		2,596		(0.52	)%		11,164
Novagold Resources, Inc.		37,575		(0.81	)%		9,760
Ecolab, Inc.		787		(0.75	)%		9,583
Kaiser Aluminum Corp.		2,314		(0.98	)%		4,101
Century Aluminum Co.		10,919		(0.44	)%		2,826
Mercer International, Inc.		12,729		(0.62	)%		(861	)
Carpenter Technology Corp.		2,899		(1.10	)%		(70,327	)
Total Basic Materials							99,690
Energy
Baker Hughes Co.		3,412		(0.68	)%		1,876
Archrock, Inc.		9,084		(0.64	)%		(717	)
Halliburton Co.		5,085		(1.16	)%		(1,509	)
Expro Group Holdings N.V.		4,383		(0.57	)%		(1,861	)
NOV, Inc.		9,760		(1.15	)%		(3,873	)
Noble Corporation plc		1,729		(0.49	)%		(7,378	)
TechnipFMC plc		8,024		(0.92	)%		(9,360	)
Helix Energy Solutions Group, Inc.		8,282		(0.52	)%		(13,269	)
Valaris Ltd.		1,358		(0.57	)%		(21,961	)
Hess Corp.		1,630		(1.41	)%		(29,912	)
Total Energy							(87,964	)
Consumer, Cyclical
Walgreens Boots Alliance, Inc.		9,089		(1.14	)%		42,955
UniFirst Corp.		1,024		(0.94	)%		36,314
Topgolf Callaway Brands Corp.		8,886		(0.69	)%		27,014
Shake Shack, Inc. — Class A		1,645		(0.54	)%		16,624
Floor & Decor Holdings, Inc. — Class A		1,559		(0.79	)%		9,136
Life Time Group Holdings, Inc.		5,291		(0.45	)%		8,911
VF Corp.		9,027		(0.90	)%		3,215
OPENLANE, Inc.		8,330		(0.70	)%		1,701
Newell Brands, Inc.		8,576		(0.44	)%		(2,085	)
Tesla, Inc.		209		(0.29	)%		(5,880	)
Total Consumer, Cyclical							137,905
Industrial
MasTec, Inc.		1,136		(0.46	)%		24,611
3M Co.		1,615		(0.85	)%		20,212

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GATX Corp.		1,255		(0.77	)%	$	6,521
Tetra Tech, Inc.		672		(0.58	)%		4,042
Republic Services, Inc. — Class A		358		(0.29	)%		2,527
Stericycle, Inc.		2,358		(0.59	)%		587
Jacobs Solutions, Inc.		388		(0.30	)%		(1,694	)
Trinity Industries, Inc.		5,314		(0.73	)%		(2,667	)
Casella Waste Systems, Inc. — Class A		1,921		(0.83	)%		(15,434	)
MSA Safety, Inc.		1,019		(0.91	)%		(19,171	)
Total Industrial							19,534
Technology
Science Applications International Corp.		2,188		(1.30	)%		19,523
Evolent Health, Inc. — Class A		3,558		(0.55	)%		18,599
KBR, Inc.		3,514		(1.17	)%		8,189
Privia Health Group, Inc.		6,364		(0.82	)%		7,756
Take-Two Interactive Software, Inc.		912		(0.72	)%		(176	)
Paycor HCM, Inc.		8,328		(1.07	)%		(996	)
Ceridian HCM Holding, Inc.		2,441		(0.93	)%		(18,201	)
Total Technology							34,694
Communications
DoorDash, Inc. — Class A		1,277		(0.57	)%		(12,345	)
Total MS Equity Short Custom Basket						$	1,074,296
GS EQUITY LONG CUSTOM BASKET
Communications
Cisco Systems, Inc.		825		0.54	%	$	6,121
Booking Holdings, Inc.		16		0.60	%		3,349
A10 Networks, Inc.		3,316		0.61	%		359
eBay, Inc.		628		0.34	%		161
GoDaddy, Inc. — Class A		265		0.24	%		(273	)
F5, Inc.		464		0.91	%		(451	)
AT&T, Inc.		4,003		0.73	%		(1,292	)
New York Times Co. — Class A		434		0.22	%		(1,380	)
Ziff Davis, Inc.		600		0.46	%		(1,446	)
Juniper Networks, Inc.		2,079		0.70	%		(2,587	)
Ooma, Inc.		1,516		0.24	%		(2,690	)
IDT Corp. — Class B		1,914		0.51	%		(2,856	)
InterDigital, Inc.		603		0.59	%		(2,902	)
Yelp, Inc. — Class A		1,702		0.86	%		(4,200	)
VeriSign, Inc.		384		0.94	%		(7,251	)
Gogo, Inc.		1,897		0.27	%		(8,999	)
Verizon Communications, Inc.		2,565		1.01	%		(9,688	)
Total Communications							(36,025	)
Industrial
Boise Cascade Co.		784		0.98	%		19,626
UFP Industries, Inc.		849		1.06	%		12,674
Simpson Manufacturing Company, Inc.		437		0.80	%		11,953
Snap-on, Inc.		308		0.95	%		11,674
ITT, Inc.		869		1.03	%		10,031
Mueller Industries, Inc.		916		0.84	%		8,188
International Seaways, Inc.		604		0.33	%		5,307
Argan, Inc.		992		0.55	%		5,147
Scorpio Tankers, Inc.		517		0.34	%		4,033
Encore Wire Corp.		199		0.44	%		3,303
Builders FirstSource, Inc.		174		0.26	%		2,437
Ardmore Shipping Corp.		2,269		0.36	%		1,684
Teekay Tankers Ltd. — Class A		448		0.23	%		1,102
Northrop Grumman Corp.		62		0.33	%		919
Sanmina Corp.		447		0.29	%		109
Expeditors International of Washington, Inc.		282		0.39	%		(30	)
Donaldson Company, Inc.		1,375		1.00	%		(99	)
Landstar System, Inc.		136		0.29	%		(167	)
CH Robinson Worldwide, Inc.		464		0.49	%		(699	)
Acuity Brands, Inc.		409		0.85	%		(794	)
Teekay Corp.		5,757		0.43	%		(914	)
Owens Corning		214		0.35	%		(1,065	)
Schneider National, Inc. — Class B		3,114		1.05	%		(1,165	)
Insteel Industries, Inc.		957		0.38	%		(1,482	)
Apogee Enterprises, Inc.		1,774		1.01	%		(1,854	)
Fortune Brands Innovations, Inc.		295		0.22	%		(2,272	)
Masco Corp.		1,160		0.75	%		(2,708	)
Valmont Industries, Inc.		223		0.65	%		(2,838	)
TE Connectivity Ltd.		536		0.80	%		(3,511	)
Illinois Tool Works, Inc.		282		0.79	%		(3,555	)
Lindsay Corp.		142		0.20	%		(4,444	)
Watts Water Technologies, Inc. — Class A		477		1.00	%		(5,123	)
Hub Group, Inc. — Class A		986		0.94	%		(5,768	)
Keysight Technologies, Inc.		220		0.35	%		(5,974	)
Sturm Ruger & Company, Inc.		1,278		0.81	%		(6,615	)
Total Industrial							47,110
Technology
NextGen Healthcare, Inc.		1,609		0.46	%		11,520
NetApp, Inc.		527		0.49	%		7,365
Akamai Technologies, Inc.		168		0.22	%		2,708
Diodes, Inc.		222		0.21	%		2,367
Veradigm, Inc.		2,359		0.38	%		966
Synaptics, Inc.		316		0.34	%		417
Autodesk, Inc.		80		0.20	%		255

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Dropbox, Inc. — Class A		2,258		0.75	%	$	(685	)
QUALCOMM, Inc.		325		0.44	%		(1,026	)
Hewlett Packard Enterprise Co.		3,956		0.83	%		(1,157	)
Immersion Corp.		2,903		0.23	%		(1,192	)
Zoom Video Communications, Inc. — Class A		401		0.34	%		(1,448	)
Intuit, Inc.		53		0.33	%		(2,023	)
Photronics, Inc.		1,496		0.37	%		(2,270	)
International Business Machines Corp.		513		0.87	%		(2,346	)
Kulicke & Soffa Industries, Inc.		1,263		0.75	%		(3,458	)
Box, Inc. — Class A		741		0.22	%		(4,554	)
Progress Software Corp.		980		0.63	%		(4,601	)
Total Technology							838
Consumer, Non-cyclical
H&R Block, Inc.		2,140		1.12	%		25,052
Perdoceo Education Corp.		3,648		0.76	%		23,611
Exelixis, Inc.		3,949		1.05	%		14,051
Amgen, Inc.		351		1.15	%		12,131
Dynavax Technologies Corp.		3,197		0.57	%		9,497
Hackett Group, Inc.		1,035		0.30	%		4,539
Innoviva, Inc.		6,118		0.97	%		3,423
Humana, Inc.		188		1.11	%		3,153
Molina Healthcare, Inc.		170		0.68	%		2,543
United Therapeutics Corp.		392		1.08	%		1,103
Alarm.com Holdings, Inc.		302		0.22	%		848
Neurocrine Biosciences, Inc.		165		0.23	%		429
Alkermes plc		603		0.21	%		193
Philip Morris International, Inc.		311		0.35	%		(272	)
Procter & Gamble Co.		176		0.31	%		(1,085	)
John B Sanfilippo & Son, Inc.		229		0.27	%		(1,123	)
PayPal Holdings, Inc.		463		0.33	%		(1,226	)
Elevance Health, Inc.		78		0.41	%		(1,318	)
Altria Group, Inc.		1,337		0.68	%		(2,121	)
Heidrick & Struggles International, Inc.		1,047		0.32	%		(2,372	)
Envista Holdings Corp.		823		0.28	%		(2,979	)
Organon & Co.		1,259		0.27	%		(3,499	)
Voyager Therapeutics, Inc.		2,217		0.21	%		(3,625	)
Pfizer, Inc.		2,531		1.02	%		(4,661	)
Gilead Sciences, Inc.		1,193		1.09	%		(4,731	)
Bristol-Myers Squibb Co.		1,463		1.03	%		(7,684	)
Merck & Company, Inc.		830		1.04	%		(7,839	)
Hologic, Inc.		1,185		1.00	%		(9,603	)
Incyte Corp.		1,317		0.92	%		(17,190	)
Royalty Pharma plc — Class A		2,983		0.98	%		(28,362	)
Total Consumer, Non-cyclical							883
Consumer, Cyclical
Allison Transmission Holdings, Inc.		1,268		0.91	%		21,292
MSC Industrial Direct Company, Inc. — Class A		896		1.07	%		9,291
Murphy USA, Inc.		113		0.47	%		4,333
Brunswick Corp.		506		0.49	%		3,290
Taylor Morrison Home Corp. — Class A		851		0.44	%		2,978
Williams-Sonoma, Inc.		123		0.23	%		1,703
Boyd Gaming Corp.		1,087		0.80	%		1,290
Ethan Allen Interiors, Inc.		1,164		0.42	%		789
Cavco Industries, Inc.		64		0.21	%		(142	)
BorgWarner, Inc.		964		0.47	%		(224	)
Ulta Beauty, Inc.		115		0.56	%		(1,157	)
DR Horton, Inc.		153		0.20	%		(1,199	)
Everi Holdings, Inc.		1,322		0.21	%		(1,805	)
Steven Madden Ltd.		1,200		0.46	%		(2,286	)
Meritage Homes Corp.		262		0.39	%		(2,761	)
PulteGroup, Inc.		597		0.54	%		(2,872	)
Lennar Corp. — Class A		606		0.83	%		(3,608	)
Monarch Casino & Resort, Inc.		641		0.48	%		(3,710	)
KB Home		1,268		0.71	%		(4,129	)
Malibu Boats, Inc. — Class A		643		0.38	%		(4,185	)
Tri Pointe Homes, Inc.		2,168		0.72	%		(4,286	)
MasterCraft Boat Holdings, Inc.		1,041		0.28	%		(4,910	)
M/I Homes, Inc.		570		0.58	%		(5,727	)
Home Depot, Inc.		267		0.98	%		(6,609	)
Polaris, Inc.		800		1.01	%		(12,514	)
Total Consumer, Cyclical							(17,158	)
Utilities
ONE Gas, Inc.		419		0.35	%		(1,913	)
Public Service Enterprise Group, Inc.		1,488		1.03	%		(3,227	)
Clearway Energy, Inc. — Class C		1,148		0.30	%		(4,184	)
National Fuel Gas Co.		1,692		1.07	%		(6,584	)
Atmos Energy Corp.		782		1.01	%		(6,803	)
Chesapeake Utilities Corp.		373		0.44	%		(7,199	)
OGE Energy Corp.		2,637		1.07	%		(13,233	)
Total Utilities							(43,143	)
Basic Materials
NewMarket Corp.		189		1.04	%		18,033

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
CF Industries Holdings, Inc.		302		0.31	%	$	5,053
Olin Corp.		1,653		1.00	%		(10,226	)
Total Basic Materials							12,860
Energy
Exxon Mobil Corp.		769		1.10	%		14,921
Marathon Petroleum Corp.		238		0.44	%		12,773
Valero Energy Corp.		416		0.72	%		11,681
PBF Energy, Inc. — Class A		476		0.31	%		8,019
Cheniere Energy, Inc.		255		0.51	%		5,559
Par Pacific Holdings, Inc.		1,052		0.46	%		479
CNX Resources Corp.		2,352		0.65	%		464
Occidental Petroleum Corp.		1,012		0.80	%		342
Range Resources Corp.		575		0.23	%		205
Magnolia Oil & Gas Corp. — Class A		1,952		0.54	%		(388	)
Chesapeake Energy Corp.		989		1.04	%		(871	)
Equities Corp.		449		0.22	%		(872	)
SandRidge Energy, Inc.		1,693		0.32	%		(980	)
Chord Energy Corp.		533		1.05	%		(1,039	)
Coterra Energy, Inc. — Class A		1,340		0.44	%		(1,210	)
Southwestern Energy Co.		6,216		0.49	%		(1,229	)
Total Energy							47,854
Financial
MGIC Investment Corp.		5,063		1.03	%		11,440
Preferred Bank/Los Angeles CA		1,064		0.80	%		10,326
NMI Holdings, Inc. — Class A		1,075		0.35	%		7,666
Essent Group Ltd.		1,763		1.01	%		6,511
Mr Cooper Group, Inc.		1,108		0.72	%		4,599
Western Union Co.		4,306		0.69	%		4,278
SouthState Corp.		457		0.37	%		1,201
M&T Bank Corp.		232		0.36	%		1,037
East West Bancorp, Inc.		345		0.22	%		(293	)
International Bancshares Corp.		556		0.29	%		(558	)
Capital One Financial Corp.		234		0.28	%		(797	)
Citizens Financial Group, Inc.		1,004		0.33	%		(906	)
Enova International, Inc.		485		0.30	%		(957	)
Enact Holdings, Inc.		1,233		0.41	%		(965	)
Globe Life, Inc.		262		0.35	%		(1,420	)
S&T Bancorp, Inc.		1,039		0.34	%		(1,614	)
Independent Bank Corp.		388		0.23	%		(3,998	)
FB Financial Corp.		764		0.26	%		(5,846	)
Fulton Financial Corp.		3,536		0.52	%		(7,698	)
Equity Commonwealth		4,605		1.03	%		(9,707	)
Total Financial							12,299
Total GS Equity Long Custom Basket						$	25,518
GS EQUITY SHORT CUSTOM BASKET
Consumer, Non-cyclical
Chefs’ Warehouse, Inc.		4,128		(0.48	)%	$	33,950
Utz Brands, Inc.		9,476		(0.72	)%		26,226
Cooper Companies, Inc.		630		(1.14	)%		26,007
Equifax, Inc.		852		(0.89	)%		19,051
TreeHouse Foods, Inc.		5,053		(1.25	)%		18,563
ICU Medical, Inc.		653		(0.44	)%		12,760
Bright Horizons Family Solutions, Inc.		1,152		(0.53	)%		12,137
Pilgrim’s Pride Corp.		7,095		(0.92	)%		8,848
ABM Industries, Inc.		1,501		(0.34	)%		8,029
Automatic Data Processing, Inc.		684		(0.93	)%		7,065
Cintas Corp.		400		(1.09	)%		6,338
Tyson Foods, Inc. — Class A		3,059		(0.88	)%		3,398
CBIZ, Inc.		1,628		(0.48	)%		2,573
Booz Allen Hamilton Holding Corp.		1,682		(1.04	)%		(1,200	)
TransUnion		2,105		(0.86	)%		(1,901	)
Neogen Corp.		4,217		(0.44	)%		(4,556	)
RB Global, Inc.		4,011		(1.42	)%		(7,278	)
ICF International, Inc.		1,237		(0.85	)%		(20,418	)
Total Consumer, Non-cyclical							149,592
Financial
Sun Communities, Inc.		2,151		(1.43	)%		89,401
American Tower Corp. — Class A		1,447		(1.35	)%		70,164
Outfront Media, Inc.		11,666		(0.67	)%		68,874
Rexford Industrial Realty, Inc.		3,712		(1.04	)%		43,682
Kennedy-Wilson Holdings, Inc.		15,938		(1.33	)%		40,585
Healthcare Realty Trust, Inc.		6,537		(0.57	)%		37,106
Raymond James Financial, Inc.		2,447		(1.40	)%		29,859
Americold Realty Trust, Inc.		6,772		(1.17	)%		25,131
UMH Properties, Inc.		16,631		(1.32	)%		22,739
TFS Financial Corp.		17,710		(1.19	)%		21,532
Equinix, Inc.		329		(1.36	)%		19,160
Jones Lang LaSalle, Inc.		1,291		(1.04	)%		18,656
Alexander & Baldwin, Inc.		8,681		(0.83	)%		16,864
SLM Corp.		6,541		(0.51	)%		13,745
Rayonier, Inc.		2,482		(0.40	)%		13,303
New York Mortgage Trust, Inc.		15,717		(0.76	)%		11,648
Pathward Financial, Inc.		2,393		(0.63	)%		11,592
Northern Trust Corp.		1,735		(0.68	)%		9,482
NU Holdings Limited/Cayman Islands — Class A		18,031		(0.74	)%		9,302

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Stellar Bancorp, Inc.		4,181		(0.51	)%	$	8,240
Starwood Property Trust, Inc.		8,394		(0.92	)%		7,820
Popular, Inc.		3,327		(1.19	)%		7,426
Crown Castle, Inc.		797		(0.42	)%		5,435
BOK Financial Corp.		1,878		(0.85	)%		4,213
Annaly Capital Management, Inc.		5,299		(0.57	)%		3,937
Hanover Insurance Group, Inc.		1,437		(0.91	)%		2,736
PotlatchDeltic Corp.		3,656		(0.94	)%		2,353
Equity LifeStyle Properties, Inc.		1,226		(0.44	)%		2,098
Assured Guaranty Ltd.		1,768		(0.61	)%		1,885
AGNC Investment Corp.		14,302		(0.77	)%		957
Progressive Corp.		582		(0.46	)%		(376	)
Ventas, Inc.		5,288		(1.27	)%		(935	)
Apollo Global Management, Inc.		1,127		(0.57	)%		(2,830	)
Carlyle Group, Inc.		5,874		(1.01	)%		(4,428	)
Allstate Corp.		1,931		(1.22	)%		(7,017	)
PennyMac Financial Services, Inc.		2,851		(1.08	)%		(10,298	)
Brighthouse Financial, Inc.		4,930		(1.37	)%		(13,743	)
Welltower, Inc.		2,715		(1.26	)%		(13,766	)
Digital Realty Trust, Inc.		882		(0.61	)%		(22,485	)
KKR & Company, Inc. — Class A		4,195		(1.47	)%		(22,512	)
Iron Mountain, Inc.		4,055		(1.37	)%		(23,690	)
Total Financial							497,845
Utilities
AES Corp.		14,892		(1.29	)%		80,809
Avista Corp.		6,822		(1.25	)%		64,287
Portland General Electric Co.		5,997		(1.38	)%		37,019
PG&E Corp.		15,753		(1.44	)%		18,299
Edison International		3,811		(1.37	)%		16,621
Exelon Corp.		3,672		(0.79	)%		7,021
Spire, Inc.		3,067		(0.99	)%		5,054
FirstEnergy Corp.		5,150		(1.00	)%		3,987
Duke Energy Corp.		2,942		(1.48	)%		(4,560	)
Total Utilities							228,537
Basic Materials
Hecla Mining Co.		32,657		(0.71	)%		50,810
Piedmont Lithium, Inc.		2,661		(0.60	)%		40,853
Alcoa Corp.		5,885		(0.97	)%		23,655
Royal Gold, Inc.		1,058		(0.64	)%		17,286
Avient Corp.		2,596		(0.52	)%		11,416
Novagold Resources, Inc.		37,575		(0.82	)%		9,668
Ecolab, Inc.		787		(0.76	)%		9,594
Kaiser Aluminum Corp.		2,314		(0.99	)%		4,140
Century Aluminum Co.		10,919		(0.45	)%		2,356
Mercer International, Inc.		12,729		(0.62	)%		(741	)
Carpenter Technology Corp.		2,899		(1.11	)%		(70,285	)
Total Basic Materials							98,752
Energy
Baker Hughes Co.		3,412		(0.68	)%		2,319
Halliburton Co.		5,085		(1.17	)%		(1,024	)
Archrock, Inc.		9,084		(0.65	)%		(1,076	)
Expro Group Holdings N.V.		4,383		(0.58	)%		(1,868	)
NOV, Inc.		9,760		(1.16	)%		(3,561	)
Noble Corporation plc		1,729		(0.50	)%		(7,602	)
TechnipFMC plc		8,024		(0.93	)%		(9,147	)
Helix Energy Solutions Group, Inc.		8,282		(0.53	)%		(13,125	)
Valaris Ltd.		1,358		(0.58	)%		(22,096	)
Hess Corp.		1,630		(1.42	)%		(29,712	)
Total Energy							(86,892	)
Consumer, Cyclical
Walgreens Boots Alliance, Inc.		9,089		(1.15	)%		43,065
UniFirst Corp.		1,024		(0.95	)%		36,452
Topgolf Callaway Brands Corp.		8,886		(0.70	)%		26,576
Shake Shack, Inc. — Class A		1,645		(0.54	)%		16,196
Floor & Decor Holdings, Inc. — Class A		1,559		(0.80	)%		8,936
Life Time Group Holdings, Inc.		5,291		(0.46	)%		8,653
VF Corp.		9,027		(0.91	)%		3,229
OPENLANE, Inc.		8,330		(0.71	)%		1,708
Newell Brands, Inc.		8,576		(0.44	)%		(1,734	)
Tesla, Inc.		209		(0.30	)%		(5,953	)
Total Consumer, Cyclical							137,128
Industrial
MasTec, Inc.		1,136		(0.46	)%		24,779
3M Co.		1,615		(0.86	)%		19,858
GATX Corp.		1,255		(0.78	)%		6,312
Tetra Tech, Inc.		672		(0.58	)%		3,905
Republic Services, Inc. — Class A		358		(0.29	)%		2,517
Stericycle, Inc.		2,358		(0.60	)%		246
Jacobs Solutions, Inc.		388		(0.30	)%		(1,692	)
Trinity Industries, Inc.		5,314		(0.74	)%		(2,655	)
Casella Waste Systems, Inc. — Class A		1,921		(0.83	)%		(15,416	)
MSA Safety, Inc.		1,019		(0.91	)%		(19,139	)
Total Industrial							18,715

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Technology
Science Applications International Corp.		2,188		(1.31	)%	$	19,600
Evolent Health, Inc. — Class A		3,558		(0.55	)%		17,993
KBR, Inc.		3,514		(1.18	)%		8,324
Take-Two Interactive Software, Inc.		912		(0.73	)%		(235	)
Paycor HCM, Inc.		8,328		(1.08	)%		(1,260	)
Ceridian HCM Holding, Inc.		2,441		(0.94	)%		(18,796	)
Total Technology							25,626
Communications
DoorDash, Inc. — Class A		1,277		(0.58	)%		(12,473	)
Total GS Equity Short Custom Basket						$	1,056,830

*	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 custom basket swap collateral at September 30, 2023.
2	Rate indicated is the 7-day yield as of September 30, 2023.
	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.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	31,950,463	$	—	$	—	$	31,950,463
Money Market Fund		1,101,952		—		—		1,101,952
Equity Custom Basket Swap Agreements**		—		2,180,789		—		2,180,789
Total Assets	$	33,052,415	$	2,180,789	$	—	$	35,233,204

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

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $33,288,793)	$	33,052,415
Unrealized appreciation on OTC swap agreements		2,180,789
Prepaid expenses		31,571
Receivables:
Dividends		30,136
Interest		4,033
Total assets		35,298,944
Liabilities:
Overdraft due to custodian bank		3,814
Payable for:
Professional fees		37,363
Management fees		24,174
Swap settlement		8,172
Fund accounting and administration fees		4,695
Transfer agent fees		2,704
Distribution and service fees		1,112
Due to Investment Adviser		1,106
Trustees’ fees*		673
Fund shares redeemed		46
Miscellaneous		4,051
Total liabilities		87,910
Net assets	$	35,211,034
Net assets consist of:
Paid in capital	$	60,038,036
Total distributable earnings (loss)		(24,827,002	)
Net assets	$	35,211,034
A-Class:
Net assets	$	2,841,652
Capital shares outstanding		146,727
Net asset value per share	$	19.37
Maximum offering price per share (Net asset value divided by 95.25%)	$	20.34
C-Class:
Net assets	$	193,690
Capital shares outstanding		11,473
Net asset value per share	$	16.88
P-Class:
Net assets	$	1,880,180
Capital shares outstanding		96,297
Net asset value per share	$	19.52
Institutional Class:
Net assets	$	30,295,512
Capital shares outstanding		1,060,837
Net asset value per share	$	28.56

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends	$	653,416
Interest		51,773
Total investment income		705,189
Expenses:
Management fees		297,618
Distribution and service fees:
A-Class		6,927
C-Class		2,067
P-Class		4,407
Transfer agent fees:
A-Class		6,326
C-Class		636
P-Class		2,771
Institutional Class		19,246
Registration fees		68,229
Professional fees		46,983
Fund accounting and administration fees		22,722
Custodian fees		19,885
Trustees’ fees*		10,054
Line of credit fees		1,095
Miscellaneous		11,213
Recoupment of previously waived fees:
A-Class		418
C-Class		36
P-Class		366
Institutional Class		12,371
Total expenses		533,370
Less:
Expenses reimbursed by Adviser
A-Class		(4,349	)
C-Class		(482	)
P-Class		(1,607	)
Institutional Class		(8,022	)
Expenses waived by Adviser		(13,402	)
Total waived/reimbursed expenses		(27,862	)
Net expenses		505,508
Net investment income		199,681
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,201,020
Swap agreements		1,169,204
Net realized gain		2,370,224
Net change in unrealized appreciation (depreciation) on:
Investments		3,569,365
Swap agreements		(1,078,261	)
Net change in unrealized appreciation (depreciation)		2,491,104
Net realized and unrealized gain		4,861,328
Net increase in net assets resulting from operations	$	5,061,009

* 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 ANNUAL REPORT | 25

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	199,681		$	205,930
Net realized gain (loss) on investments		2,370,224			(1,341,421	)
Net change in unrealized appreciation (depreciation) on investments		2,491,104			(830,642	)
Net increase (decrease) in net assets resulting from operations		5,061,009			(1,966,133	)
Distributions to shareholders:
A-Class		(19,964	)		(25,810	)
C-Class		—			(554	)
P-Class		(12,413	)		(17,637	)
Institutional Class		(173,553	)		(238,313	)
Total distributions to shareholders		(205,930	)		(282,314	)
Capital share transactions:
Proceeds from sale of shares
A-Class		143,300			166,738
C-Class		2,880			980
P-Class		51,362			150,241
Institutional Class		779,910			458,517
Distributions reinvested
A-Class		17,789			22,964
C-Class		—			525
P-Class		12,413			17,637
Institutional Class		173,553			234,219
Cost of shares redeemed
A-Class		(329,547	)		(413,839	)
C-Class		(34,599	)		(70,209	)
P-Class		(89,028	)		(245,270	)
Institutional Class		(459,238	)		(2,939,045	)
Net increase (decrease) from capital share transactions		268,795			(2,616,542	)
Net increase (decrease) in net assets		5,123,874			(4,864,989	)
Net assets:
Beginning of year		30,087,160			34,952,149
End of year	$	35,211,034		$	30,087,160
Capital share activity:
Shares sold
A-Class		7,772			8,794
C-Class		179			61
P-Class		2,642			8,039
Institutional Class		28,646			16,552
Shares issued from reinvestment of distributions
A-Class		1,004			1,171
C-Class		—			31
P-Class		695			892
Institutional Class		6,660			8,141
Shares redeemed
A-Class		(18,034	)		(22,446	)
C-Class		(2,086	)		(4,318	)
P-Class		(4,858	)		(12,977	)
Institutional Class		(16,727	)		(108,537	)
Net increase (decrease) in shares		5,893			(104,597	)

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	16.73		$	18.05		$	16.89		$	17.42		$	19.15
Income (loss) from investment operations:
Net investment income (loss)a		.07			.07			.10			.11			.12
Net gain (loss) on investments (realized and unrealized)		2.70			(1.23	)		1.27			(.48	)		(1.64	)
Total from investment operations		2.77			(1.16	)		1.37			(.37	)		(1.52	)
Less distributions from:
Net investment income		(.13	)		(.16	)		(.21	)		(.16	)		(.21	)
Total distributions		(.13	)		(.16	)		(.21	)		(.16	)		(.21	)
Net asset value, end of period	$	19.37		$	16.73		$	18.05		$	16.89		$	17.42
Total Returnb		16.62	%		(6.55	%)		8.17	%		(2.15	%)		(7.97	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,842		$	2,610		$	3,042		$	3,429		$	7,326
Ratios to average net assets:
Net investment income (loss)		0.39	%		0.39	%		0.56	%		0.65	%		0.64	%
Total expensesc		1.94	%		1.91	%		1.94	%		1.73	%		1.65	%
Net expensesd,e,f		1.74	%		1.76	%		1.76	%		1.69	%		1.64	%
Portfolio turnover rate		309	%		283	%		169	%		209	%		126	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	14.59		$	15.76		$	14.71		$	15.16		$	16.61
Income (loss) from investment operations:
Net investment income (loss)a		(.06	)		(.06	)		(.03	)		(.02	)		(.03	)
Net gain (loss) on investments (realized and unrealized)		2.35			(1.08	)		1.11			(.43	)		(1.42	)
Total from investment operations		2.29			(1.14	)		1.08			(.45	)		(1.45	)
Less distributions from:
Net investment income		—			(.03	)		(.03	)		—			—
Total distributions		—			(.03	)		(.03	)		—			—
Net asset value, end of period	$	16.88		$	14.59		$	15.76		$	14.71		$	15.16
Total Returnb		15.70	%		(7.25	%)		7.37	%		(2.97	%)		(8.73	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	194		$	195		$	277		$	354		$	702
Ratios to average net assets:
Net investment income (loss)		(0.36	%)		(0.37	%)		(0.19	%)		(0.15	%)		(0.20	%)
Total expensesc		2.77	%		2.75	%		2.75	%		2.72	%		2.55	%
Net expensesd,e,f		2.50	%		2.51	%		2.51	%		2.51	%		2.48	%
Portfolio turnover rate		309	%		283	%		169	%		209	%		126	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	16.87		$	18.21		$	17.06		$	17.56		$	19.23
Income (loss) from investment operations:
Net investment income (loss)a		.07			.07			.10			.12			.11
Net gain (loss) on investments (realized and unrealized)		2.71			(1.24	)		1.28			(.49	)		(1.64	)
Total from investment operations		2.78			(1.17	)		1.38			(.37	)		(1.53	)
Less distributions from:
Net investment income		(.13	)		(.17	)		(.23	)		(.13	)		(.14	)
Total distributions		(.13	)		(.17	)		(.23	)		(.13	)		(.14	)
Net asset value, end of period	$	19.52		$	16.87		$	18.21		$	17.06		$	17.56
Total Return		16.60	%		(6.54	%)		8.17	%		(2.11	%)		(7.99	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,880		$	1,650		$	1,855		$	1,161		$	1,905
Ratios to average net assets:
Net investment income (loss)		0.39	%		0.39	%		0.54	%		0.70	%		0.59	%
Total expensesc		1.87	%		1.82	%		1.96	%		1.67	%		1.67	%
Net expensesd,e,f		1.74	%		1.76	%		1.76	%		1.64	%		1.66	%
Portfolio turnover rate		309	%		283	%		169	%		209	%		126	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	24.59		$	26.44		$	24.65		$	25.37		$	27.77
Income (loss) from investment operations:
Net investment income (loss)a		.17			.17			.22			.25			.28
Net gain (loss) on investments (realized and unrealized)		3.97			(1.81	)		1.85			(.72	)		(2.37	)
Total from investment operations		4.14			(1.64	)		2.07			(.47	)		(2.09	)
Less distributions from:
Net investment income		(.17	)		(.21	)		(.28	)		(.25	)		(.31	)
Total distributions		(.17	)		(.21	)		(.28	)		(.25	)		(.31	)
Net asset value, end of period	$	28.56		$	24.59		$	26.44		$	24.65		$	25.37
Total Return		16.89	%		(6.31	%)		8.46	%		(1.87	%)		(7.57	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	30,296		$	25,632		$	29,778		$	32,260		$	79,318
Ratios to average net assets:
Net investment income (loss)		0.64	%		0.64	%		0.82	%		1.00	%		1.05	%
Total expensesc		1.56	%		1.54	%		1.58	%		1.36	%		1.22	%
Net expensesd,e,f		1.49	%		1.51	%		1.50	%		1.36	%		1.21	%
Portfolio turnover rate		309	%		283	%		169	%		209	%		126	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.02%	0.02%	0.01%	0.02%	0.09%
C-Class	0.02%	0.03%	0.01%	0.01%	0.04%
P-Class	0.02%	0.03%	0.01%	0.01%	0.03%
Institutional Class	0.04%	0.06%	0.02%	0.00%*	0.00%*

^* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.74%	1.76%	1.76%	1.69%	1.64%
C-Class	2.49%	2.51%	2.51%	2.51%	2.48%
P-Class	1.74%	1.76%	1.76%	1.64%	1.66%
Institutional Class	1.48%	1.50%	1.50%	1.36%	1.21%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Large Cap Value Fund (“Fund”).The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Chris Phalen, Managing Director and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 14.19%¹, slightly underperforming the Russell 1000 Value Index, the Fund’s benchmark (“Benchmark”), which returned 14.44% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The market began the Reporting Period with steady strength, as a buoyant economy helped build expectations that a highly anticipated recession would be pushed further out and that perhaps the U.S. Federal Reserve (“Fed’) could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area and growth stocks once again caught the market’s interest. As the Reporting Period progressed, the continued strong jobs market accompanied by increasing fiscal deficits and treasury issuance caused a significant rise in interest rates. These events have begun to dampen stock performance, as equity returns for the broad market were lower in the third quarter. A flight to safety from growing geopolitical risks has yet to dampen the trend toward rising interest rates in the government debt market.

The Fund’s performance for the Reporting Period was mostly in-line with the Benchmark. During the period, the Fund produced a positive contribution from its security selection and experienced negative contribution from sector allocation.

The Fund’s holding of Comcast Corp., a global media and communications company, was one of the best performers, up over 50% during the period. The company experienced better subscriber additions in its broadband and wireless businesses and controlled costs to expand margins.

Another significant contributor, up over 50% for the year, was semiconductor capital equipment company KLA Corp. The company is expected to benefit from the increase in spending on producing AI chips as well as the construction of semiconductor manufacturing facilities in the U.S. resulting from the government’s CHIPS Act.

Two companies in the steel sector, Reliance Steel & Aluminum Co. and Nucor Corp., performed well for the Fund, as the steel sector remained resilient amid healthy macroeconomic activity. Although revenues and earnings fell, the drop wasn’t as much as investors feared, and these companies continued to produce free cash flow and returned it to shareholders.

Encompass Health Corp., which operates inpatient rehab facilities, gained almost 50%. Favorable Medicare rate reimbursement in the Spring, coupled with solid earnings results that were driven by favorable volumes as well as expense benefits, led to several good earnings reports over the Reporting Period. A looser labor market coming off COVID allowed the company to save from lower usage of contract labor.

While the market was being impacted by stress in the banking sector, the Fund’s significant weight in JP Morgan Chase & Co. aided performance. JP Morgan, with its management team, asset size, and diversified business, provided a relatively sound investment during this tumultuous period.

Finally, the Fund’s 5% underweight to the pharmaceutical sector provided positive contribution to performance as this sector recorded a -0.9% return during the year. Government pricing controls embedded in the Inflation Reduction Act and the interest-rate-sensitive nature of these dividend-paying stocks caused the sector to underperform.

The Fund’s largest detractor from performance was not owning Meta Platforms, Inc. This company, which historically has only been in the Russell Growth Index, was added to the Russell Value Index at the beginning of the Reporting Period after the company’s stock price fell 75%. The Fund did not invest in Meta and the stock performed extremely well and subsequently was removed from the Russell Value Index at mid-year 2023.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

The largest sector allocation detractor was an overweight in the Utilities sector. Utilities, an interest rate sensitive sector, underperformed because interest rates continually moved higher during the Reporting Period and investors moved out of this defensive sector as views on the state of the economy improved. Another detractor from performance was the Fund’s positioning within the Energy sector. The Fund was overweight the sector but was more concentrated in exploration & production companies. Although these companies performed well and outperformed the Fund’s Benchmark, they did not perform as well as the oil service companies and oil refining companies within the Energy sector.

Finally, there were two stocks that hurt the Fund’s performance the most during the Reporting Period, Tyson Foods, Inc. and Charles Schwab Corp. Tyson Foods produces and distributes beef, chicken, and pork products, and they struggled as their operating margins fell significantly as commodity input costs spiked higher. Schwab, a wealth management and brokerage company, experienced declining profitability as their customers moved their cash deposits to higher yielding alternatives.

How was the Fund positioned at the end of the Reporting Period?

In many ways, the environment is similar to last year. The geopolitical environment seems to have become less favorable and the Fed, while still hawkish, is much later in the game of fighting inflation. However, it remains very unclear how long “higher for longer” will really be. Reversing several decades of shifting production from low-cost Asian countries to higher-cost locations closer to end markets could provide many years of stubbornly high inflation that may serve to restrain equity appreciation. The murkiness of the economic outlook has not improved, yet equity prices are higher. The extreme overvaluation in a handful of large cap growth stocks suggests that value stocks could really excel once investors become more comfortable with the economy and market.

At the end of the Reporting Period, the Fund’s largest sector overweight was in Energy. Favorable Saudi and Russian production discipline is controlling supply, and demand is slowly returning in China while demand in India and U.S. has been resilient. Additionally, the Fund continued to hold an overweight in the Utilities sector and a similar-size underweight in the REITs sector. Both sectors are interest-rate sensitive, but we favor Utilities because of their valuations, profitability, and regulatory nature of their businesses. We were also overweight in Materials. This sector should benefit from U.S. onshoring and infrastructure spending, and trades at attractive valuations. Plus, it has ample free cash flow to re-invest in businesses and return capital to shareholders.

The Fund was underweight in Health Care and Consumer Discretionary. Within Health Care, the Fund was primarily underweight in pharmaceuticals, a subsector with dividend-paying companies that is more interest-rate sensitive. Earnings and cash flow in companies in the subsector may disappoint post-pandemic, plus they are continually pressured to make acquisitions to fill their drug pipeline. Finally, given the significant increase in interest costs for the consumer, and inflationary pressures, we are leery of consumers continuing their consumption habits, and believe Consumer Discretionary companies may find it difficult to maintain their margins.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 31

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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
iShares Russell 1000 Value ETF	3.4%
Chevron Corp.	3.0%
ConocoPhillips	2.7%
Berkshire Hathaway, Inc. — Class B	2.5%
JPMorgan Chase & Co.	2.4%
Verizon Communications, Inc.	2.3%
Curtiss-Wright Corp.	2.1%
Bank of America Corp.	2.1%
Walmart, Inc.	2.0%
Johnson & Johnson	1.8%
Top Ten Total	24.3%
“Ten Largest Holdings” excludes any temporary cash investments.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*
Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	14.19%	6.46%	8.24%
A-Class Shares with sales charge†	8.77%	5.43%	7.71%
C-Class Shares	13.33%	5.67%	7.42%
C-Class Shares with CDSC‡	12.33%	5.67%	7.42%
Institutional Class Shares	14.48%	6.73%	8.50%
Russell 1000 Value Index	14.44%	6.23%	8.45%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	14.19%	6.46%	7.59%
Russell 1000 Value Index	14.44%	6.23%	7.12%

*	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 Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
†	Fund returns are calculated using the maximum charge of 4.75%.
‡	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS	September 30, 2023
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 93.6%
Financial - 18.3%
Berkshire Hathaway, Inc. — Class B*		2,471	$	865,591
JPMorgan Chase & Co.		5,828		845,177
Bank of America Corp.		26,532		726,446
Mastercard, Inc. — Class A		1,295		512,704
Jefferies Financial Group, Inc.		12,178		446,080
Charles Schwab Corp.		6,546		359,375
Unum Group		7,213		354,807
Ventas, Inc. REIT		8,144		343,107
Goldman Sachs Group, Inc.		1,059		342,661
First Horizon Corp.		30,507		336,187
American Tower Corp. — Class A REIT		1,929		317,224
Wells Fargo & Co.		7,241		295,867
Synovus Financial Corp.		9,411		261,626
STAG Industrial, Inc. REIT		6,837		235,945
Markel Group, Inc.*		144		212,039
Total Financial				6,454,836
Consumer, Non-cyclical - 17.8%
Johnson & Johnson		4,170		649,477
Humana, Inc.		1,306		635,395
Tyson Foods, Inc. — Class A		11,064		558,621
Ingredion, Inc.		5,537		544,841
Medtronic plc		6,416		502,758
Archer-Daniels-Midland Co.		6,265		472,506
PayPal Holdings, Inc.*		7,205		421,204
Encompass Health Corp.		5,404		362,933
Merck & Company, Inc.		3,339		343,750
Bunge Ltd.		3,038		328,864
HCA Healthcare, Inc.		1,156		284,353
Quest Diagnostics, Inc.		2,163		263,583
Kenvue, Inc.		10,128		203,370
Euronet Worldwide, Inc.*		2,372		188,290
Moderna, Inc.*		1,739		179,621
Henry Schein, Inc.*		2,357		175,007
Pfizer, Inc.		4,745		157,392
Total Consumer, Non-cyclical				6,271,965
Energy - 13.2%
Chevron Corp.		6,300		1,062,306
ConocoPhillips		7,974		955,285
Diamondback Energy, Inc.		4,180		647,399
Coterra Energy, Inc. — Class A		15,804		427,498
Pioneer Natural Resources Co.		1,695		389,087
Equities Corp.		9,397		381,331
Marathon Oil Corp.		12,079		323,113
Kinder Morgan, Inc.		16,847		279,323
Range Resources Corp.		5,505		178,417
Total Energy				4,643,759
Industrial - 9.0%
Curtiss-Wright Corp.		3,722		728,135
Knight-Swift Transportation Holdings, Inc.		9,555		479,183
Johnson Controls International plc		8,932		475,272
Advanced Energy Industries, Inc.		4,251		438,363
Eagle Materials, Inc.		2,503		416,799
L3Harris Technologies, Inc.		2,153		374,880
Teledyne Technologies, Inc.*		642		262,309
Total Industrial				3,174,941
Communications - 8.2%
Verizon Communications, Inc.		24,434		791,906
Alphabet, Inc. — Class A*		4,480		586,253
Comcast Corp. — Class A		12,165		539,396
Walt Disney Co.*		4,030		326,632
Fox Corp. — Class B		8,951		258,505
T-Mobile US, Inc.		1,466		205,313
Cisco Systems, Inc.		3,338		179,451
Total Communications				2,887,456
Consumer, Cyclical - 8.0%
Walmart, Inc.		4,332		692,817
Ferguson plc		3,521		579,099
Delta Air Lines, Inc.		11,162		412,994
Lear Corp.		2,877		386,093
Whirlpool Corp.		2,259		302,028
Southwest Airlines Co.		9,056		245,146
MSC Industrial Direct Company, Inc. — Class A		1,913		187,761
Total Consumer, Cyclical				2,805,938
Utilities - 7.0%
OGE Energy Corp.		18,873		629,037
Edison International		7,613		481,827
Pinnacle West Capital Corp.		6,179		455,269
Exelon Corp.		11,169		422,077
Duke Energy Corp.		3,475		306,703
NiSource, Inc.		6,835		168,688
Total Utilities				2,463,601
Basic Materials - 6.1%
Huntsman Corp.		19,666		479,851
Nucor Corp.		2,541		397,285
Westlake Corp.		2,839		353,938
Freeport-McMoRan, Inc.		9,272		345,753
DuPont de Nemours, Inc.		4,043		301,567
Reliance Steel & Aluminum Co.		1,014		265,901
Total Basic Materials				2,144,295
Technology - 6.0%
Microsoft Corp.		1,371		432,893
Teradyne, Inc.		4,240		425,950
Leidos Holdings, Inc.		4,014		369,930
Fiserv, Inc.*		2,949		333,119
KLA Corp.		684		313,724
Amdocs Ltd.		2,549		215,365
Total Technology				2,090,981
Total Common Stocks
(Cost $29,385,201)				32,937,772

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
LARGE CAP VALUE FUND

	Shares		Value
EXCHANGE-TRADED FUNDS† - 3.4%
iShares Russell 1000 Value ETF		7,953	$	1,207,424
Total Exchange-Traded Funds
(Cost $1,121,233)				1,207,424
MONEY MARKET FUND† - 3.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%1		1,349,700		1,349,700
Total Money Market Fund
(Cost $1,349,700)				1,349,700
Total Investments - 100.8%
(Cost $31,856,134)			$	35,494,896
Other Assets & Liabilities, net - (0.8)%				(295,618	)
Total Net Assets - 100.0%			$	35,199,278

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2023.
	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 September 30, 2023 (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	$	32,937,772	$	—	$	—	$	32,937,772
Exchange-Traded Funds		1,207,424		—		—		1,207,424
Money Market Fund		1,349,700		—		—		1,349,700
Total Assets	$	35,494,896	$	—	$	—	$	35,494,896

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $31,856,134)	$	35,494,896
Prepaid expenses		31,473
Receivables:
Dividends		51,121
Interest		5,193
Fund shares sold		2
Total assets		35,582,685
Liabilities:
Overdraft due to custodian bank		4,418
Payable for:
Securities purchased		180,326
Fund shares redeemed		152,109
Professional fees		26,338
Distribution and service fees		7,931
Fund accounting/administration fees		4,595
Transfer agent/maintenance fees		3,034
Management fees		1,776
Trustees’ fees*		775
Miscellaneous		2,105
Total liabilities		383,407
Net assets	$	35,199,278
Net assets consist of:
Paid in capital	$	27,633,383
Total distributable earnings (loss)		7,565,895
Net assets	$	35,199,278
A-Class:
Net assets	$	31,862,255
Capital shares outstanding		697,852
Net asset value per share	$	45.66
Maximum offering price per share (Net asset value divided by 95.25%)	$	47.94
C-Class:
Net assets	$	1,225,146
Capital shares outstanding		30,115
Net asset value per share	$	40.68
P-Class:
Net assets	$	83,641
Capital shares outstanding		1,837
Net asset value per share	$	45.53
Institutional Class:
Net assets	$	2,028,236
Capital shares outstanding		45,170
Net asset value per share	$	44.90

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends	$	916,158
Interest		37,123
Total investment income		953,281
Expenses:
Management fees		253,631
Distribution and service fees:
A-Class		84,150
C-Class		15,606
P-Class		238
Transfer agent/maintenance fees:
A-Class		48,847
C-Class		3,361
P-Class		362
Institutional Class		6,206
Registration fees		70,994
Professional fees		39,787
Fund accounting/administration fees		25,039
Trustees’ fees*		8,800
Custodian fees		2,831
Line of credit fees		1,371
Miscellaneous		14,639
Total expenses		575,862
Less:
Expenses reimbursed by Adviser:
A-Class		(48,313	)
C-Class		(3,330	)
P-Class		(361	)
Institutional Class		(6,096	)
Expenses waived by Adviser		(77,871	)
Earning credits applied		(9	)
Total waived/reimbursed expenses		(135,980	)
Net expenses		439,882
Net investment income		513,399
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,048,731
Net realized gain		4,048,731
Net change in unrealized appreciation (depreciation) on:
Investments		863,434
Net change in unrealized appreciation (depreciation)		863,434
Net realized and unrealized gain		4,912,165
Net increase in net assets resulting from operations	$	5,425,564

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

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

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	513,399		$	450,747
Net realized gain on investments		4,048,731			3,580,356
Net change in unrealized appreciation (depreciation) on investments		863,434			(6,500,785	)
Net increase (decrease) in net assets resulting from operations		5,425,564			(2,469,682	)
Distributions to shareholders:
A-Class		(2,952,899	)		(2,507,851	)
C-Class		(151,235	)		(71,394	)
P-Class		(8,525	)		(14,229	)
Institutional Class		(518,877	)		(104,499	)
Total distributions to shareholders		(3,631,536	)		(2,697,973	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,050,924			1,652,023
C-Class		236,441			1,012,743
P-Class		5,872			97,002
Institutional Class		1,317,443			5,240,686
Distributions reinvested
A-Class		2,884,298			2,467,309
C-Class		137,939			71,394
P-Class		8,525			13,975
Institutional Class		518,877			104,499
Cost of shares redeemed
A-Class		(4,238,196	)		(5,675,420	)
C-Class		(876,269	)		(398,244	)
P-Class		(33,478	)		(195,391	)
Institutional Class		(5,335,058	)		(922,034	)
Net increase (decrease) from capital share transactions		(4,322,682	)		3,468,542
Net decrease in net assets		(2,528,654	)		(1,699,113	)
Net assets:
Beginning of year		37,727,932			39,427,045
End of year	$	35,199,278		$	37,727,932
Capital share activity:
Shares sold
A-Class		22,456			33,081
C-Class		5,650			22,757
P-Class		129			1,910
Institutional Class		29,033			111,528
Shares issued from reinvestment of distributions
A-Class		63,832			50,292
C-Class		3,405			1,605
P-Class		189			286
Institutional Class		11,697			2,166
Shares redeemed
A-Class		(90,872	)		(113,292	)
C-Class		(20,843	)		(8,672	)
P-Class		(706	)		(3,856	)
Institutional Class		(117,251	)		(19,629	)
Net increase (decrease) in shares		(93,281	)		78,176

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	43.75		$	50.08		$	38.17		$	43.56		$	48.08
Income (loss) from investment operations:
Net investment income (loss)a		.61			.56			.41			.97			.62
Net gain (loss) on investments (realized and unrealized)		5.55			(3.40	)		14.51			(2.97	)		(2.66	)
Total from investment operations		6.16			(2.84	)		14.92			(2.00	)		(2.04	)
Less distributions from:
Net investment income		(.52	)		(.43	)		(1.30	)		(.70	)		(.36	)
Net realized gains		(3.73	)		(3.06	)		(1.71	)		(2.69	)		(2.12	)
Total distributions		(4.25	)		(3.49	)		(3.01	)		(3.39	)		(2.48	)
Net asset value, end of period	$	45.66		$	43.75		$	50.08		$	38.17		$	43.56
Total Returnb		14.19	%		(6.43	%)		40.59	%		(5.58	%)		(3.59	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	31,862		$	30,733		$	36,678		$	28,548		$	53,248
Ratios to average net assets:
Net investment income (loss)		1.32	%		1.11	%		0.88	%		2.40	%		1.42	%
Total expensesc		1.47	%		1.41	%		1.47	%		1.46	%		1.31	%
Net expensesd,e,f		1.12	%		1.13	%		1.15	%		1.15	%		1.15	%
Portfolio turnover rate		19	%		33	%		19	%		25	%		37	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	39.44		$	45.43		$	34.79		$	39.77		$	44.03
Income (loss) from investment operations:
Net investment income (loss)a		.24			.18			.05			.62			.26
Net gain (loss) on investments (realized and unrealized)		5.00			(3.07	)		13.23			(2.74	)		(2.40	)
Total from investment operations		5.24			(2.89	)		13.28			(2.12	)		(2.14	)
Less distributions from:
Net investment income		(.27	)		(.04	)		(.93	)		(.17	)		—
Net realized gains		(3.73	)		(3.06	)		(1.71	)		(2.69	)		(2.12	)
Total distributions		(4.00	)		(3.10	)		(2.64	)		(2.86	)		(2.12	)
Net asset value, end of period	$	40.68		$	39.44		$	45.43		$	34.79		$	39.77
Total Returnb		13.33	%		(7.13	%)		39.55	%		(6.30	%)		(4.28	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,225		$	1,653		$	1,191		$	911		$	1,533
Ratios to average net assets:
Net investment income (loss)		0.57	%		0.39	%		0.12	%		1.69	%		0.66	%
Total expensesc		2.28	%		2.29	%		2.36	%		2.43	%		2.18	%
Net expensesd,e,f		1.87	%		1.88	%		1.89	%		1.90	%		1.90	%
Portfolio turnover rate		19	%		33	%		19	%		25	%		37	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	43.59		$	49.91		$	38.06		$	43.46		$	48.00
Income (loss) from investment operations:
Net investment income (loss)a		.62			.53			.41			.83			.61
Net gain (loss) on investments (realized and unrealized)		5.52			(3.34	)		14.46			(2.82	)		(2.64	)
Total from investment operations		6.14			(2.81	)		14.87			(1.99	)		(2.03	)
Less distributions from:
Net investment income		(.47	)		(.45	)		(1.31	)		(.72	)		(.39	)
Net realized gains		(3.73	)		(3.06	)		(1.71	)		(2.69	)		(2.12	)
Total distributions		(4.20	)		(3.51	)		(3.02	)		(3.41	)		(2.51	)
Net asset value, end of period	$	45.53		$	43.59		$	49.91		$	38.06		$	43.46
Total Return		14.19	%		(6.44	%)		40.60	%		(5.58	%)		(3.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	84		$	97		$	194		$	170		$	155
Ratios to average net assets:
Net investment income (loss)		1.33	%		1.05	%		0.87	%		2.12	%		1.41	%
Total expensesc		1.70	%		1.67	%		1.71	%		1.72	%		1.60	%
Net expensesd,e,f		1.12	%		1.14	%		1.15	%		1.15	%		1.15	%
Portfolio turnover rate		19	%		33	%		19	%		25	%		37	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	43.11		$	49.39		$	37.71		$	43.08		$	47.60
Income (loss) from investment operations:
Net investment income (loss)a		.74			.71			.52			.98			.71
Net gain (loss) on investments (realized and unrealized)		5.43			(3.38	)		14.31			(2.84	)		(2.63	)
Total from investment operations		6.17			(2.67	)		14.83			(1.86	)		(1.92	)
Less distributions from:
Net investment income		(.65	)		(.55	)		(1.44	)		(.82	)		(.48	)
Net realized gains		(3.73	)		(3.06	)		(1.71	)		(2.69	)		(2.12	)
Total distributions		(4.38	)		(3.61	)		(3.15	)		(3.51	)		(2.60	)
Net asset value, end of period	$	44.90		$	43.11		$	49.39		$	37.71		$	43.08
Total Return		14.48	%		(6.20	%)		40.93	%		(5.35	%)		(3.33	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,028		$	5,246		$	1,364		$	477		$	798
Ratios to average net assets:
Net investment income (loss)		1.61	%		1.46	%		1.10	%		2.50	%		1.65	%
Total expensesc		1.21	%		1.15	%		1.24	%		1.35	%		1.14	%
Net expensesd,e,f		0.87	%		0.88	%		0.89	%		0.90	%		0.90	%
Portfolio turnover rate		19	%		33	%		19	%		25	%		37	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	—	—	0.00%*	0.00%*	0.00%*
C-Class	—	—	0.00%*	—	0.00%*
P-Class	—	—	—	—	—
Institutional Class	—	—	—	—	—

^* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.12%	1.13%	1.14%	1.15%	1.15%
C-Class	1.87%	1.88%	1.89%	1.90%	1.90%
P-Class	1.12%	1.13%	1.14%	1.15%	1.15%
Institutional Class	0.87%	0.88%	0.89%	0.90%	0.90%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Market Neutral Real Estate Fund (“Fund”). The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Managing Director and Portfolio Manager, and Samir Sanghani, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 0.96%¹, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index, the Fund’s benchmark (“Benchmark”), which returned 4.50% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Reporting Period continued to be impacted by challenging macroeconomics, highlighted by inflation not seen in generations and the U.S. Federal Reserve’s (“Fed”) efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Government shutdown concerns as well as the ongoing war in Ukraine added to the outstanding risks.

The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. The Fund pursues a generally beta-neutral approach to portfolio construction such that alpha is primarily driven by company and sector views.

During the Reporting Period, the biggest positive contributor to Fund performance was the Office sector, which benefitted from a sector underweight positioning amid dislocation in that property type. Data Centers also contributed, helped by our positioning in Digital Realty Trust, Inc (not held at 9/30/23). Within the Lodging sector, our long position in Ryman Hospitality Properties, Inc. drove gains.

The biggest negative contributor to Fund performance was the Industrial sector, principally hurt by Rexford Industrial Realty, Inc. amid concerns of slowdown in its market. Healthcare was also a negative contributor, led by our positioning on Welltower, Inc (not held at 9/30/23). Lastly, the Tower sector was weak during the period as the rate environment and concerns around carrier spending took the sector lower.

How did the Fund use derivatives during the Reporting Period?

The derivatives in which the Fund invests include, among other derivatives, swap agreements (some of these instruments may be traded in the over-the-counter market). These investments are used to obtain the Fund’s short exposure and may also be used to hedge the Fund’s portfolio, to maintain long exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.

During the Reporting Period, swaps were utilized to hedge the long sleeve of the portfolio. The usage of these swaps contributed positively to Fund performance. However, given the hedged nature of the portfolio, the swap contribution is more muted to overall total return.

How was the Fund positioned at the end of the Reporting Period?

Management expects the Fund will continue to add potential high-alpha pairs (a trade involving both a long and short holding with the objective of realizing a strong positive return) to seek to generate returns consistent with the Fund’s strategy. Given the current macroeconomic environment, the Fund is more conservative in its asset allocation than is typical. However, the Fund is capable of adding exposure as conditions warrant.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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
Rexford Industrial Realty, Inc.	4.1%
Ryman Hospitality Properties, Inc.	4.1%
CareTrust REIT, Inc.	4.1%
Gaming and Leisure Properties, Inc.	3.3%
AvalonBay Communities, Inc.	3.0%
Brixmor Property Group, Inc.	2.8%
InvenTrust Properties Corp.	2.7%
Equity Residential	2.7%
Agree Realty Corp.	2.5%
Ventas, Inc.	2.5%
Top Ten Total	31.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (02/26/16)
A-Class Shares	0.96%	2.68%	2.56%
A-Class Shares with sales charge†	(3.84%)	1.69%	1.90%
C-Class Shares	0.19%	1.88%	1.77%
C-Class Shares with CDSC‡	(0.81%)	1.88%	1.77%
P-Class Shares	0.96%	2.60%	2.50%
Institutional Class Shares	1.21%	2.90%	2.78%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.72%	1.46%

*	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 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. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS	September 30, 2023
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 50.2%
REITs - 50.2%
REITs-Health Care - 8.3%
CareTrust REIT, Inc.		97,230	$	1,993,215
Ventas, Inc.		28,525		1,201,758
Healthpeak Properties, Inc.		45,313		831,947
Total REITs-Health Care				4,026,920
REITs-Apartments - 8.0%
AvalonBay Communities, Inc.		8,546		1,467,690
Equity Residential		22,606		1,327,198
Invitation Homes, Inc.		36,188		1,146,798
Total REITs-Apartments				3,941,686
REITs-Shopping Centers - 6.3%
Brixmor Property Group, Inc.		66,795		1,388,000
Kite Realty Group Trust		54,444		1,166,190
NETSTREIT Corp.		33,994		529,627
Total REITs-Shopping Centers				3,083,817
REITs-Diversified - 6.0%
Gaming and Leisure Properties, Inc.		35,796		1,630,508
InvenTrust Properties Corp.		55,880		1,330,503
Total REITs-Diversified				2,961,011
REITs-Hotels - 5.1%
Ryman Hospitality Properties, Inc.		23,972		1,996,388
Apple Hospitality REIT, Inc.		31,878		489,008
Total REITs-Hotels				2,485,396
REITs-Single Tenant - 4.8%
Agree Realty Corp.		21,868		1,207,988
Four Corners Property Trust, Inc.		50,746		1,126,054
Total REITs-Single Tenant				2,334,042
REITs-Warehouse/Industries - 4.1%
Rexford Industrial Realty, Inc.		40,999		2,023,301
REITs-Office Property - 3.8%
Alexandria Real Estate Equities, Inc.		10,462		1,047,246
Boston Properties, Inc.		8,342		496,182
Piedmont Office Realty Trust, Inc. — Class A		63,224		355,319
Total REITs-Office Property				1,898,747
REITs-Regional Malls - 1.9%
Simon Property Group, Inc.		8,770		947,423
REITs-Storage - 1.9%
Extra Space Storage, Inc.		7,701		936,288
Total REITs				24,638,631
Total Common Stocks
(Cost $26,912,325)				24,638,631
MONEY MARKET FUND† - 47.6%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 5.22%1		23,297,029		23,297,029
Total Money Market Fund
(Cost $23,297,029)				23,297,029
Total Investments - 97.8%
(Cost $50,209,354)			$	47,935,660
Other Assets & Liabilities, net - 2.2%				1,054,744
Total Net Assets - 100.0%			$	48,990,404

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Type	Financing Rate	Payment Frequency			Maturity Date	Notional Amount		Value and Unrealized Appreciation
OTC Custom Basket Swap Agreements Sold Short††
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Receive	5.03% (Federal Funds Rate - 0.30%)		At Maturity	11/22/24		$	12,624,776	$	1,950,709
Goldman Sachs International	GS Equity Custom Basket	Receive	5.13% (Federal Funds Rate - 0.20%)		At Maturity	05/06/24			12,624,783		1,949,478
								$	25,249,559	$	3,900,187

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		64,557		(6.51	)%	$	568,448
Realty Income Corp.		19,642		(7.77	)%		320,843
Broadstone Net Lease, Inc.		20,926		(2.37	)%		270,572
Essex Property Trust, Inc.		3,769		(6.33	)%		185,413
Camden Property Trust		3,468		(2.60	)%		149,549
Apartment Income REIT Corp.		10,926		(2.66	)%		139,118
JBG SMITH Properties		46,690		(5.35	)%		138,173
Global Net Lease, Inc.		57,302		(4.36	)%		100,245
Mid-America Apartment Communities, Inc.		4,467		(4.55	)%		84,422
Federal Realty Investment Trust		8,242		(5.92	)%		82,960
Service Properties Trust		58,137		(3.54	)%		68,254
Sunstone Hotel Investors, Inc.		67,248		(4.98	)%		25,522
Pebblebrook Hotel Trust		32,044		(3.45	)%		22,332
LTC Properties, Inc.		7,094		(1.81	)%		14,361
National Health Investors, Inc.		4,503		(1.83	)%		10,014
Macerich Co.		43,175		(3.73	)%		(19	)
Phillips Edison & Company, Inc.		38,421		(10.21	)%		(65,495	)
STAG Industrial, Inc.		34,600		(9.46	)%		(77,902	)
Omega Healthcare Investors, Inc.		15,592		(4.10	)%		(82,780	)
Welltower, Inc.		9,141		(5.93	)%		(168,197	)
Total Financial							1,785,831
Exchange Traded Funds
Vanguard Real Estate ETF		4,236		(2.54	)%		164,878
Total MS Equity Short Custom Basket						$	1,950,709

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GS EQUITY SHORT CUSTOM BASKET
Financial			��
Douglas Emmett, Inc.		64,557		(6.51	)%	$	570,160
Realty Income Corp.		19,642		(7.77	)%		319,965
Broadstone Net Lease, Inc.		20,926		(2.37	)%		263,421
Essex Property Trust, Inc.		3,769		(6.33	)%		182,179
Camden Property Trust		3,468		(2.60	)%		149,492
Apartment Income REIT Corp.		10,926		(2.66	)%		138,752
JBG SMITH Properties		46,690		(5.35	)%		136,148
Global Net Lease, Inc.		57,302		(4.36	)%		100,596
Mid-America Apartment Communities, Inc.		4,467		(4.55	)%		84,642
Federal Realty Investment Trust		8,242		(5.92	)%		81,596
Service Properties Trust		58,137		(3.54	)%		70,861
Sunstone Hotel Investors, Inc.		67,248		(4.98	)%		27,240
Pebblebrook Hotel Trust		32,044		(3.45	)%		23,740
Macerich Co.		43,175		(3.73	)%		16,468
LTC Properties, Inc.		7,094		(1.81	)%		13,413
National Health Investors, Inc.		4,503		(1.83	)%		9,002
Phillips Edison & Company, Inc.		38,421		(10.21	)%		(72,170	)
STAG Industrial, Inc.		34,600		(9.46	)%		(78,554	)
Omega Healthcare Investors, Inc.		15,592		(4.10	)%		(83,323	)
Welltower, Inc.		9,141		(5.93	)%		(169,078	)
Total Financial							1,784,549
Exchange Traded Funds
Vanguard Real Estate ETF		4,236		(2.54	)%		164,929
Total GS Equity Short Custom Basket						$	1,949,478

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
MARKET NEUTRAL REAL ESTATE FUND

†	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 September 30, 2023.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	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 September 30, 2023 (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	$	24,638,631	$	—	$	—	$	24,638,631
Money Market Fund		23,297,029		—		—		23,297,029
Equity Custom Basket Swap Agreements**		—		3,900,187		—		3,900,187
Total Assets	$	47,935,660	$	3,900,187	$	—	$	51,835,847

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

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $50,209,354)	$	47,935,660
Unrealized appreciation on OTC swap agreements		3,900,187
Prepaid expenses		40,798
Receivables:
Dividends		166,998
Interest		89,859
Fund shares sold		12,075
Total assets		52,145,577
Liabilities:
Overdraft due to custodian bank		4,504
Segregated cash due to broker		2,640,000
Payable for:
Swap settlement		406,942
Management fees		36,055
Transfer agent/maintenance fees		11,376
Fund shares redeemed		8,272
Fund accounting/administration fees		4,714
Trustees’ fees*		703
Distribution and service fees		488
Miscellaneous		42,119
Total liabilities		3,155,173
Net assets	$	48,990,404
Net assets consist of:
Paid in capital	$	49,886,130
Total distributable earnings (loss)		(895,726	)
Net assets	$	48,990,404
A-Class:
Net assets	$	439,308
Capital shares outstanding		16,118
Net asset value per share	$	27.26
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.62
C-Class:
Net assets	$	212,139
Capital shares outstanding		8,249
Net asset value per share	$	25.72
P-Class:
Net assets	$	1,082,186
Capital shares outstanding		41,119
Net asset value per share	$	26.32
Institutional Class:
Net assets	$	47,256,771
Capital shares outstanding		1,748,143
Net asset value per share	$	27.03

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends	$	874,466
Interest		921,486
Total investment income		1,795,952
Expenses:
Management fees		528,509
Distribution and service fees:
A-Class		1,109
C-Class		2,148
P-Class		3,588
Transfer agent fees:
A-Class		2,108
C-Class		392
P-Class		3,012
Institutional Class		66,995
Registration fees		62,204
Professional fees		51,045
Fund accounting/administration fees		28,713
Trustees’ fees*		14,122
Custodian fees		3,424
Interest expense		2,138
Line of credit fees		1,588
Miscellaneous		14,732
Recoupment of previously waived fees:
A-Class		9
C-Class		2
P-Class		18
Institutional Class		435
Total expenses		786,291
Less:
Expenses reimbursed by Adviser:
A-Class		(2,108	)
C-Class		(392	)
P-Class		(3,012	)
Institutional Class		(66,995	)
Expenses waived by Adviser		(44,302	)
Earnings credits applied		(739	)
Total waived/reimbursed expenses		(117,548	)
Net expenses		668,743
Net investment income		1,127,209
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,519,572	)
Swap agreements		1,791,735
Net realized gain		272,163
Net change in unrealized appreciation (depreciation) on:
Investments		(24,157	)
Swap agreements		(812,638	)
Net change in unrealized appreciation (depreciation)		(836,795	)
Net realized and unrealized loss		(564,632	)
Net increase in net assets resulting from operations	$	562,577

* 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 ANNUAL REPORT | 47

MARKET NEUTRAL REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,127,209		$	99,279
Net realized gain (loss) on investments		272,163			(2,097,736	)
Net change in unrealized appreciation (depreciation) on investments		(836,795	)		679,359
Net increase (decrease) in net assets resulting from operations		562,577			(1,319,098	)
Distributions to shareholders:
Institutional Class		(111,384	)		(161,651	)
Total distributions to shareholders		(111,384	)		(161,651	)
Capital share transactions:
Proceeds from sale of shares
A-Class		9,606			120,328
C-Class		360			50,203
P-Class		9,676			298,054
Institutional Class		14,559,299			11,581,110
Distributions reinvested
Institutional Class		111,379			161,357
Cost of shares redeemed
A-Class		(15,667	)		(1,539,819	)
C-Class		(19,120	)		(53,438	)
P-Class		(636,059	)		(1,266,443	)
Institutional Class		(11,897,103	)		(19,898,533	)
Net increase (decrease) from capital share transactions		2,122,371			(10,547,181	)
Net increase (decrease) in net assets		2,573,564			(12,027,930	)
Net assets:
Beginning of year		46,416,840			58,444,770
End of year	$	48,990,404		$	46,416,840
Capital share activity:
Shares sold
A-Class		359			4,326
C-Class		14			1,906
P-Class		368			11,128
Institutional Class		543,333			424,223
Shares issued from reinvestment of distributions
Institutional Class		4,185			5,876
Shares redeemed
A-Class		(579	)		(55,191	)
C-Class		(753	)		(2,020	)
P-Class		(24,402	)		(47,625	)
Institutional Class		(444,521	)		(729,644	)
Net increase (decrease) in shares		78,004			(387,021	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	27.00		$	27.78		$	28.18		$	26.95		$	25.16
Income (loss) from investment operations:
Net investment income (loss)a		.57			(.07	)		(.08	)		(.02	)		.25
Net gain (loss) on investments (realized and unrealized)		(.31	)		(.71	)		(.24	)		2.30			1.78
Total from investment operations		.26			(.78	)		(.32	)		2.28			2.03
Less distributions from:
Net investment income		—			—			(.02	)		(.25	)		(.01	)
Net realized gains		—			—			(.06	)		(.80	)		(.23	)
Total distributions		—			—			(.08	)		(1.05	)		(.24	)
Net asset value, end of period	$	27.26		$	27.00		$	27.78		$	28.18		$	26.95
Total Returnb		0.96	%		(2.81	%)		(1.14	%)		8.81	%		8.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	439		$	441		$	1,867		$	11,723		$	2,766
Ratios to average net assets:
Net investment income (loss)		2.11	%		(0.25	%)		(0.29	%)		(0.06	%)		0.96	%
Total expensesc		2.20	%		2.42	%		2.08	%		2.38	%		3.99	%
Net expensesd,e,f		1.63	%		1.64	%		1.64	%		1.65	%		1.62	%
Portfolio turnover rate		55	%		49	%		264	%		355	%		180	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	25.67		$	26.61		$	27.20		$	26.07		$	24.67
Income (loss) from investment operations:
Net investment income (loss)a		.34			(.19	)		(.22	)		(.15	)		.05
Net gain (loss) on investments (realized and unrealized)		(.29	)		(.75	)		(.29	)		2.16			1.70
Total from investment operations		.05			(.94	)		(.51	)		2.01			1.75
Less distributions from:
Net investment income		—			—			(.02	)		(.08	)		(.12	)
Net realized gains		—			—			(.06	)		(.80	)		(.23	)
Total distributions		—			—			(.08	)		(.88	)		(.35	)
Net asset value, end of period	$	25.72		$	25.67		$	26.61		$	27.20		$	26.07
Total Returnb		0.19	%		(3.53	%)		(1.88	%)		7.99	%		7.15	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	212		$	231		$	242		$	333		$	135
Ratios to average net assets:
Net investment income (loss)		1.33	%		(0.72	%)		(0.83	%)		(0.56	%)		0.18	%
Total expensesc		2.66	%		2.72	%		2.71	%		3.17	%		4.66	%
Net expensesd,e,f		2.38	%		2.39	%		2.39	%		2.40	%		2.40	%
Portfolio turnover rate		55	%		49	%		264	%		355	%		180	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	26.07		$	26.83		$	27.23		$	26.10		$	25.14
Income (loss) from investment operations:
Net investment income (loss)a		.52			(.03	)		(.04	)		—			.20
Net gain (loss) on investments (realized and unrealized)		(.27	)		(.73	)		(.28	)		2.20			1.71
Total from investment operations		.25			(.76	)		(.32	)		2.20			1.91
Less distributions from:
Net investment income		—			—			(.02	)		(.27	)		(.72	)
Net realized gains		—			—			(.06	)		(.80	)		(.23	)
Total distributions		—			—			(.08	)		(1.07	)		(.95	)
Net asset value, end of period	$	26.32		$	26.07		$	26.83		$	27.23		$	26.10
Total Return		0.96	%		(2.83	%)		(1.17	%)		8.79	%		7.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,082		$	1,699		$	2,727		$	8,360		$	332
Ratios to average net assets:
Net investment income (loss)		1.99	%		(0.11	%)		(0.16	%)		0.00	%		0.77	%
Total expensesc		1.94	%		1.95	%		1.91	%		2.00	%		4.05	%
Net expensesd,e,f		1.63	%		1.64	%		1.64	%		1.65	%		1.65	%
Portfolio turnover rate		55	%		49	%		264	%		355	%		180	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	26.77		$	27.57		$	27.92		$	26.74		$	25.32
Income (loss) from investment operations:
Net investment income (loss)a		.63			.06			.07			.09			.31
Net gain (loss) on investments (realized and unrealized)		(.31	)		(.78	)		(.31	)		2.23			1.73
Total from investment operations		.32			(.72	)		(.24	)		2.32			2.04
Less distributions from:
Net investment income		(.06	)		(.08	)		(.05	)		(.34	)		(.39	)
Net realized gains		—			—			(.06	)		(.80	)		(.23	)
Total distributions		(.06	)		(.08	)		(.11	)		(1.14	)		(.62	)
Net asset value, end of period	$	27.03		$	26.77		$	27.57		$	27.92		$	26.74
Total Return		1.21	%		(2.57	%)		(0.87	%)		9.06	%		8.19	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	47,257		$	44,047		$	53,609		$	37,399		$	5,479
Ratios to average net assets:
Net investment income (loss)		2.36	%		0.21	%		0.27	%		0.32	%		1.18	%
Total expensesc		1.62	%		1.64	%		1.58	%		1.85	%		3.57	%
Net expensesd,e,f		1.38	%		1.39	%		1.39	%		1.40	%		1.40	%
Portfolio turnover rate		55	%		49	%		264	%		355	%		180	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.00%*	—	—	0.00%*	0.00%*
C-Class	0.00%*	0.00%*	—	0.00%*	0.02%
P-Class	0.00%*	0.01%	—	0.00%*	0.01%
Institutional Class	0.00%*	0.01%	—	0.00%*	0.03%

^* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.62%	1.63%	1.63%	1.65%	1.62%
C-Class	2.37%	2.38%	2.38%	2.40%	2.40%
P-Class	1.62%	1.63%	1.63%	1.64%	1.65%
Institutional Class	1.37%	1.38%	1.39%	1.40%	1.40%

^g Less than $0.01 per share.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Risk Managed Real Estate Fund (“Fund”).The Fund is managed by a team of seasoned professionals led by Michael Chong, CFA, Managing Director and Portfolio Manager, and Samir Sanghani, CFA, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 0.58%¹, underperforming the FTSE NAREIT Equity REITs Index, the Fund’s benchmark (“Benchmark”), which returned 2.99% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Reporting Period continued to be impacted by challenging macroeconomics, highlighted by inflation not seen in generations and the U.S. Federal Reserve’s (“Fed”) efforts to reign in the economy through a series of ongoing interest rate hikes. Given the rapid ascent in interest rates, market participants worried that the Fed’s actions would tip the economy into a recession. Government shutdown concerns as well as the ongoing war in Ukraine added to the outstanding risks.

The Fund continues to be driven by a fundamental approach to stock-picking, integrating macro and sector outlooks as appropriate. In addition, the Fund may dynamically adjust its level of long and short exposure to the real estate markets by adjusting allocations monthly between its long-only REIT strategy sleeve and market-neutral long/short strategy sleeve over time based on macroeconomic, industry-specific, and other factors. However, Guggenheim expects the Fund’s net exposure over time will be long biased.

During the Reporting Period, the biggest positive contributor to Fund performance was the Residential sector, which continued to see strong fundamentals. Strip retail also contributed positively, driven by positioning in lower multiple names. Office REITs were buoyed by our underweight sector position in a struggling sector.

The biggest negative contributor to Fund performance was the Industrial sector, principally hurt by being overweight an underperforming sector amid concerns of slowdown. The Tower sector was weak during the period as the rate environment and concerns around carrier spending took the sector lower. Lastly, Healthcare also hurt during the period, given our positioning on Welltower, Inc.

How did the Fund use derivatives during the Reporting Period?

The Fund may obtain exposure to long and short positions by entering into swap agreements (including, but not limited to, total return swap agreements). Short positions may be used either to hedge long positions or to seek positive returns where Guggenheim believes the security will depreciate.

The Fund may reinvest the proceeds of its short sales by taking additional long positions, or it may use leverage to maintain long positions in excess of 100% of net assets. To enhance the Fund’s exposure to real estate markets and to seek to increase the Fund’s returns, at the discretion of Guggenheim, the Fund’s long and short positions in equities may be combined with investments in derivatives, which may include, among other derivatives: swap agreements (including, among other types of swaps, total return swaps); options on securities, futures contracts, and stock indices; and stock index futures contracts (some of these instruments may be traded in the over-the-counter market). These investments may be used to hedge the Fund’s portfolio, to maintain exposure to the equity markets, to increase returns, to generate income, or to seek to manage volatility of the portfolio.

During the Reporting Period, swaps were utilized to both gain exposure and to hedge the long side of the portfolio within the long-short sleeve. The usage of these swaps contributed negatively to Fund performance. However, when considered in the context of total fund performance, the impact of swap contribution was minimal.

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

How was the Fund positioned at the end of the Reporting Period?

Guggenheim expects the Fund will continue to both manage Benchmark exposure as well as add potential high-alpha pairs (a trade involving both a long and short holding with the objective of realizing a strong positive return) to seek to generate returns consistent with the Fund’s strategy. Currently, balancing the underperformance of the REIT market against future prospects for this market, the Fund is running at a beta allocation consistent with historical norms. However, the Fund is capable of adding beta exposure as conditions warrant.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 53

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

RISK MANAGED REAL ESTATE 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.

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.	10.9%
Equinix, Inc.	6.7%
Public Storage	4.4%
Invitation Homes, Inc.	4.0%
Digital Realty Trust, Inc.	4.0%
VICI Properties, Inc.	3.7%
Simon Property Group, Inc.	3.7%
AvalonBay Communities, Inc.	3.5%
Equity Residential	3.2%
Extra Space Storage, Inc.	3.1%
Top Ten Total	47.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (03/28/14)
A-Class Shares	0.58%	4.92%	7.21%
A-Class Shares with sales charge†	(4.20%)	3.91%	6.67%
C-Class Shares	(0.10%)	4.13%	6.40%
C-Class Shares with CDSC‡	(1.04%)	4.13%	6.40%
Institutional Class Shares	0.91%	5.23%	7.53%
FTSE NAREIT Equity REITs Total Return Index	2.99%	2.77%	5.39%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	0.55%	4.87%	5.35%
FTSE NAREIT Equity REITs Total Return Index	2.99%	2.77%	3.94%

*	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. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS	September 30, 2023
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 97.4%
REITs - 97.4%
REITs-Diversified - 19.4%
Equinix, Inc.		32,686	$	23,738,534
Digital Realty Trust, Inc.		115,304		13,954,090
VICI Properties, Inc.		454,409		13,223,302
Gaming and Leisure Properties, Inc.		182,371		8,306,999
InvenTrust Properties Corp.		188,680		4,492,471
WP Carey, Inc.		66,346		3,587,992
EPR Properties		23,237		965,265
Total REITs-Diversified				68,268,653
REITs-Warehouse/Industries - 15.3%
Prologis, Inc.1		343,994		38,599,567
Rexford Industrial Realty, Inc.		157,747		7,784,814
Americold Realty Trust, Inc.1		144,195		4,384,970
First Industrial Realty Trust, Inc.		41,908		1,994,402
Terreno Realty Corp.		24,591		1,396,769
Total REITs-Warehouse/Industries				54,160,522
REITs-Apartments - 15.4%
Invitation Homes, Inc.		447,509		14,181,560
AvalonBay Communities, Inc.		71,642		12,303,797
Equity Residential1		193,287		11,347,880
American Homes 4 Rent — Class A		160,334		5,401,652
Essex Property Trust, Inc.		17,322		3,673,823
UDR, Inc.		83,509		2,978,766
Mid-America Apartment Communities, Inc.		20,648		2,656,365
Camden Property Trust		14,347		1,356,939
Total REITs-Apartments				53,900,782
REITs-Health Care - 11.5%
Welltower, Inc.		128,195		10,501,734
Ventas, Inc.		229,305		9,660,620
Healthpeak Properties, Inc.		405,566		7,446,192
CareTrust REIT, Inc.		285,879		5,860,519
Sabra Health Care REIT, Inc.		296,339		4,130,966
Healthcare Realty Trust, Inc.		129,946		1,984,275
Medical Properties Trust, Inc.		201,566		1,098,535
Total REITs-Health Care				40,682,841
REITs-Storage - 9.4%
Public Storage		59,568		15,697,359
Extra Space Storage, Inc.		89,639		10,898,310
Iron Mountain, Inc.		96,367		5,729,018
National Storage Affiliates Trust		29,766		944,773
Total REITs-Storage				33,269,460
REITs-Shopping Centers - 6.7%
Brixmor Property Group, Inc.		290,610		6,038,876
Kimco Realty Corp.		295,960		5,205,936
Kite Realty Group Trust		230,488		4,937,053
Regency Centers Corp.		57,752		3,432,779
NETSTREIT Corp.		136,951		2,133,697
Federal Realty Investment Trust		10,353		938,292
Retail Opportunity Investments Corp.		42,800		529,864
Acadia Realty Trust		31,753		455,656
Total REITs-Shopping Centers				23,672,153
REITs-Office Property - 5.2%
Alexandria Real Estate Equities, Inc.		86,464		8,655,046
Boston Properties, Inc.		80,288		4,775,530
Piedmont Office Realty Trust, Inc. — Class A		234,554		1,318,193
Kilroy Realty Corp.		40,073		1,266,708
Cousins Properties, Inc.		56,018		1,141,087
Highwoods Properties, Inc.1		35,405		729,697
Empire State Realty Trust, Inc. — Class A1		48,439		389,450
Hudson Pacific Properties, Inc.		51,166		340,254
Total REITs-Office Property				18,615,965
REITs-Single Tenant - 5.2%
Realty Income Corp.		150,518		7,516,869
Agree Realty Corp.		89,539		4,946,134
Four Corners Property Trust, Inc.		184,099		4,085,157
NNN REIT, Inc.		45,814		1,619,067
Total REITs-Single Tenant				18,167,227
REITs-Regional Malls - 3.7%
Simon Property Group, Inc.		121,517		13,127,482
REITs-Hotels - 3.1%
Ryman Hospitality Properties, Inc.		67,232		5,599,081
Host Hotels & Resorts, Inc.		191,128		3,071,427
Apple Hospitality REIT, Inc.		101,637		1,559,112
Pebblebrook Hotel Trust		43,770		594,834
Total REITs-Hotels				10,824,454
REITs-Manufactured Homes - 2.5%
Sun Communities, Inc.		43,042		5,093,590
Equity LifeStyle Properties, Inc.		59,039		3,761,375
Total REITs-Manufactured Homes				8,854,965
Total REITS				343,544,504
Total Common Stocks
(Cost $386,547,739)				343,544,504
MONEY MARKET FUND† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%2		700,952		700,952
Total Money Market Fund
(Cost $700,952)				700,952
Total Investments - 97.6%
(Cost $387,248,691)			$	344,245,456

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS SOLD SHORT† - (7.8)%
REITs - (7.8)%
REITs-Diversified - (0.6)%
Global Net Lease, Inc.		126,820	$	(1,218,739	)
Broadstone Net Lease, Inc.		46,314		(662,290	)
Total REITs-Diversified				(1,881,029	)
REITs-Regional Malls - (0.3)%
Macerich Co.		95,555		(1,042,505	)
REITs-Single Tenant - (0.6)%
Realty Income Corp.		43,472		(2,170,992	)
REITs-Warehouse/Industries - (0.8)%
STAG Industrial, Inc.		76,577		(2,642,672	)
REITs-Office Property - (0.9)%
JBG SMITH Properties		103,335		(1,494,224	)
Douglas Emmett, Inc.		142,878		(1,823,123	)
Total REITs-Office Property				(3,317,347	)
REITs-Hotels - (1.0)%
Pebblebrook Hotel Trust		70,920		(963,803	)
Service Properties Trust		128,669		(989,465	)
Sunstone Hotel Investors, Inc.		148,834		(1,391,598	)
Total REITs-Hotels				(3,344,866	)
REITs-Health Care - (1.0)%
LTC Properties, Inc.		15,701		(504,473	)
National Health Investors, Inc.		9,966		(511,854	)
Omega Healthcare Investors, Inc.		34,508		(1,144,285	)
Welltower, Inc.		20,231		(1,657,324	)
Total REITs-Health Care				(3,817,936	)
REITs-Shopping Centers - (1.3)%
Federal Realty Investment Trust		18,241		(1,653,182	)
Phillips Edison & Company, Inc.		85,034		(2,852,040	)
Total REITs-Shopping Centers				(4,505,222	)
REITs-Apartments - (1.3)%
Camden Property Trust		7,675		(725,902	)
Apartment Income REIT Corp.		24,182		(742,387	)
Mid-America Apartment Communities, Inc.		9,886		(1,271,834	)
Essex Property Trust, Inc.		8,342		(1,769,255	)
Total REITs-Apartments				(4,509,378	)
Total REITs				(27,231,947	)
Total Common Stocks Sold Short
(Proceeds $31,856,851)				(27,231,947	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.2)%
Vanguard Real Estate ETF		9,375		(709,312	)
Total Exchange-Traded Funds Sold Short
(Proceeds $810,607)				(709,312	)
Total Securities Sold Short - (8.0)%
(Proceeds $32,667,458)			$	(27,941,259	)
Other Assets & Liabilities, net - 10.4%				36,602,163
Total Net Assets - 100.0%			$	352,906,360

Custom Basket Swap Agreements

Counterparty

Reference Obligation

Type

Financing Rate

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

Pay

5.73% (Federal Funds Rate + 0.40%)

At Maturity

11/12/24

$

22,113,679

$

(1,659,983

)

Goldman Sachs International

GS Equity Custom Basket

Pay

5.78% (Federal Funds Rate + 0.45%)

At Maturity

05/06/24

22,113,687

(1,673,703

)

$

44,227,366

$

(3,333,686

)

OTC Custom Basket Swap Agreements Sold Short††

Goldman Sachs International

GS Equity Custom Basket

Receive

5.13% (Federal Funds Rate - 0.20%)

At Maturity

05/06/24

$

22,704,157

$

5,211,587

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Receive

5.03% (Federal Funds Rate - 0.30%)

At Maturity

11/12/24

22,704,149

5,201,926

$

45,408,306

$

10,413,513

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Financial
Gaming and Leisure Properties, Inc.		32,148		6.63	%	$	205,218
CareTrust REIT, Inc.		87,322		8.09	%		197,166
Ryman Hospitality Properties, Inc.		21,529		8.11	%		120,469
InvenTrust Properties Corp.		50,186		5.40	%		31,756
Kite Realty Group Trust		48,857		4.73	%		20,519
AvalonBay Communities, Inc.		7,675		5.96	%		12,781
Apple Hospitality REIT, Inc.		28,416		1.97	%		11,529
Simon Property Group, Inc.		7,876		3.85	%		(19,939	)
Brixmor Property Group, Inc.		59,929		5.63	%		(20,898	)
Extra Space Storage, Inc.		6,844		3.76	%		(34,557	)
Ventas, Inc.		25,618		4.88	%		(36,369	)
Equity Residential		20,302		5.39	%		(58,137	)
Invitation Homes, Inc.		32,500		4.66	%		(78,624	)
NETSTREIT Corp.		30,530		2.15	%		(107,721	)
Healthpeak Properties, Inc.		40,695		3.38	%		(123,358	)
Boston Properties, Inc.		7,492		2.02	%		(157,757	)
Four Corners Property Trust, Inc.		45,575		4.57	%		(234,106	)
Agree Realty Corp.		19,640		4.91	%		(234,241	)
Rexford Industrial Realty, Inc.		36,821		8.22	%		(311,186	)
Piedmont Office Realty Trust, Inc. — Class A		56,781		1.44	%		(337,110	)
Alexandria Real Estate Equities, Inc.		9,396		4.25	%		(505,418	)
Total Financial							(1,659,983	)
Total MS Equity Long Custom Basket						$	(1,659,983	)
MS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		115,957		(6.51	)%	$	1,468,779
Realty Income Corp.		35,280		(7.76	)%		715,359
Broadstone Net Lease, Inc.		37,587		(2.37	)%		500,753
Mid-America Apartment Communities, Inc.		8,023		(4.55	)%		418,169
Essex Property Trust, Inc.		6,770		(6.32	)%		413,518
Apartment Income REIT Corp.		19,625		(2.65	)%		388,885
Camden Property Trust		6,230		(2.60	)%		340,149
Global Net Lease, Inc.		106,539		(4.51	)%		292,704
JBG SMITH Properties		83,865		(5.34	)%		266,400
Federal Realty Investment Trust		14,805		(5.91	)%		171,302
Service Properties Trust		104,425		(3.54	)%		129,007
STAG Industrial, Inc.		62,148		(9.45	)%		124,247
Pebblebrook Hotel Trust		57,558		(3.45	)%		43,210
Sunstone Hotel Investors, Inc.		119,890		(4.94	)%		38,597
LTC Properties, Inc.		12,742		(1.80	)%		25,791
National Health Investors, Inc.		8,089		(1.83	)%		17,988
Macerich Co.		77,550		(3.73	)%		(597	)
Phillips Edison & Company, Inc.		69,011		(10.19	)%		(16,866	)
Omega Healthcare Investors, Inc.		28,006		(4.09	)%		(150,387	)
Welltower, Inc.		16,419		(5.92	)%		(293,678	)
Total Financial							4,893,330
Exchange Traded Funds
Vanguard Real Estate ETF		7,625		(2.54	)%		308,596
Total MS Equity Short Custom Basket						$	5,201,926
GS EQUITY LONG CUSTOM BASKET
Financial
Gaming and Leisure Properties, Inc.		32,148		6.63	%	$	205,815
CareTrust REIT, Inc.		87,322		8.09	%		196,634
Ryman Hospitality Properties, Inc.		21,529		8.11	%		121,198
InvenTrust Properties Corp.		50,186		5.40	%		36,492
Kite Realty Group Trust		48,857		4.73	%		25,290
AvalonBay Communities, Inc.		7,675		5.96	%		12,432
Apple Hospitality REIT, Inc.		28,416		1.97	%		11,856
Brixmor Property Group, Inc.		59,929		5.63	%		(20,619	)
Simon Property Group, Inc.		7,876		3.85	%		(33,400	)
Extra Space Storage, Inc.		6,844		3.76	%		(33,603	)
Ventas, Inc.		25,618		4.88	%		(36,304	)
Equity Residential		20,302		5.39	%		(61,608	)
Invitation Homes, Inc.		32,500		4.66	%		(83,595	)
NETSTREIT Corp.		30,530		2.15	%		(108,043	)
Healthpeak Properties, Inc.		40,695		3.38	%		(119,269	)
Boston Properties, Inc.		7,492		2.02	%		(158,779	)
Four Corners Property Trust, Inc.		45,575		4.57	%		(236,932	)
Agree Realty Corp.		19,640		4.91	%		(240,866	)
Rexford Industrial Realty, Inc.		36,821		8.22	%		(309,421	)
Piedmont Office Realty Trust, Inc. — Class A		56,781		1.44	%		(336,202	)
Alexandria Real Estate Equities, Inc.		9,396		4.25	%		(504,779	)
Total Financial							(1,673,703	)
Total GS Equity Long Custom Basket						$	(1,673,703	)

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GS EQUITY SHORT CUSTOM BASKET
Financial
Douglas Emmett, Inc.		115,957		(6.51	)%	$	1,472,403
Realty Income Corp.		35,280		(7.76	)%		715,654
Broadstone Net Lease, Inc.		37,587		(2.37	)%		494,176
Mid-America Apartment Communities, Inc.		8,023		(4.55	)%		419,298
Essex Property Trust, Inc.		6,770		(6.32	)%		404,498
Apartment Income REIT Corp.		19,625		(2.65	)%		388,673
Camden Property Trust		6,230		(2.60	)%		340,353
Global Net Lease, Inc.		106,539		(4.51	)%		294,925
JBG SMITH Properties		83,865		(5.34	)%		262,209
Federal Realty Investment Trust		14,805		(5.91	)%		168,903
Service Properties Trust		104,425		(3.54	)%		135,418
STAG Industrial, Inc.		62,148		(9.45	)%		122,372
Pebblebrook Hotel Trust		57,558		(3.45	)%		45,038
Sunstone Hotel Investors, Inc.		119,890		(4.94	)%		42,214
Macerich Co.		77,550		(3.73	)%		29,431
LTC Properties, Inc.		12,742		(1.80	)%		24,093
National Health Investors, Inc.		8,089		(1.83	)%		16,172
Phillips Edison & Company, Inc.		69,011		(10.19	)%		(25,526	)
Omega Healthcare Investors, Inc.		28,006		(4.09	)%		(151,408	)
Welltower, Inc.		16,419		(5.92	)%		(295,911	)
Total Financial							4,902,985
Exchange Traded Funds
Vanguard Real Estate ETF		7,625		(2.54	)%		308,602
Total GS Equity Short Custom Basket						$	5,211,587

†	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 September 30, 2023.
2	Rate indicated is the 7-day yield as of September 30, 2023.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	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 September 30, 2023 (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	$	343,544,504	$	—	$	—	$	343,544,504
Money Market Fund		700,952		—		—		700,952
Equity Custom Basket Swap Agreements**		—		10,413,513		—		10,413,513
Total Assets	$	344,245,456	$	10,413,513	$	—	$	354,658,969

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks Sold Short	$	27,231,947	$	—	$	—	$	27,231,947
Exchange-Traded Funds Sold Short		709,312		—		—		709,312
Equity Custom Basket Swap Agreements**		—		3,333,686		—		3,333,686
Total Liabilities	$	27,941,259	$	3,333,686	$	—	$	31,274,945

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $387,248,691)	$	344,245,456
Cash		33,055,514
Segregated cash with broker		730,000
Unrealized appreciation on OTC swap agreements		10,413,513
Prepaid expenses		43,156
Receivables:
Dividends		1,442,144
Fund shares sold		177,402
Securities sold		70,816
Interest		24,324
Foreign tax reclaims		19,888
Other assets		100,000
Total assets		390,322,213
Liabilities:
Securities sold short, at value (proceeds $32,667,458)		27,941,259
Segregated cash due to broker		3,533,030
Unrealized depreciation on OTC swap agreements		3,333,686
Payable for:
Fund shares redeemed		938,234
Securities purchased		562,471
Swap settlement		392,317
Distributions to shareholders		329,192
Management fees		231,128
Transfer agent fees		22,730
Fund accounting and administration fees		7,096
Distribution and service fees		6,830
Trustees’ fees*		1,588
Due to Investment Adviser		156
Miscellaneous		116,136
Total liabilities		37,415,853
Net assets	$	352,906,360
Net assets consist of:
Paid in capital	$	398,296,411
Total distributable earnings (loss)		(45,390,051	)
Net assets	$	352,906,360
A-Class:
Net assets	$	4,279,574
Capital shares outstanding		155,026
Net asset value per share	$	27.61
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.99
C-Class:
Net assets	$	4,666,752
Capital shares outstanding		170,435
Net asset value per share	$	27.38
P-Class:
Net assets	$	8,742,799
Capital shares outstanding		314,801
Net asset value per share	$	27.77
Institutional Class:
Net assets	$	335,217,235
Capital shares outstanding		11,966,596
Net asset value per share	$	28.01

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends (net of foreign withholding tax of $19,888)	$	13,099,348
Interest		2,404,147
Total investment income		15,503,495
Expenses:
Management fees		3,131,145
Distribution and service fees:
A-Class		14,866
C-Class		52,629
P-Class		27,039
Transfer agent fees:
A-Class		11,452
C-Class		5,205
P-Class		24,479
Institutional Class		295,538
Short sale dividend expense		1,284,790
Interest expense		338,709
Fund accounting and administration fees		179,764
Professional fees		92,438
Custodian fees		21,942
Trustees’ fees*		18,521
Line of credit fees		14,979
Miscellaneous		131,980
Recoupment of previously waived fees:
A-Class		1,564
C-Class		724
P-Class		733
Institutional Class		66,878
Total expenses		5,715,375
Less:
Expenses reimbursed by Adviser:
A-Class		(1,395	)
C-Class		(581	)
P-Class		(4,114	)
Expenses waived by Adviser		(195,224	)
Earnings credits applied		(2,019	)
Total waived/reimbursed expenses		(203,333	)
Net expenses		5,512,042
Net investment income		9,991,453
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	(1,306,368	)
Investments sold short		3,232,111
Swap agreements		(248,222	)
Net realized gain		1,677,521
Net change in unrealized appreciation (depreciation) on:
Investments		(514,956	)
Investments sold short		(2,140,004	)
Swap agreements		(1,512,665	)
Net change in unrealized appreciation (depreciation)		(4,167,625	)
Net realized and unrealized loss		(2,490,104	)
Net increase in net assets resulting from operations	$	7,501,349

* 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 ANNUAL REPORT | 61

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	9,991,453		$	4,716,299
Net realized gain on investments		1,677,521			20,235,456
Net change in unrealized appreciation (depreciation) on investments		(4,167,625	)		(108,444,583	)
Net increase (decrease) in net assets resulting from operations		7,501,349			(83,492,828	)
Distributions to shareholders:
A-Class		(347,557	)		(666,926	)
C-Class		(302,170	)		(281,353	)
P-Class		(683,918	)		(925,053	)
Institutional Class		(26,554,622	)		(31,535,699	)
Return of Capital
A-Class		(34,317	)		—
C-Class		(34,101	)		—
P-Class		(67,335	)		—
Institutional Class		(2,503,050	)		—
Total distributions to shareholders		(30,527,070	)		(33,409,031	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,251,126			4,919,886
C-Class		693,027			2,965,796
P-Class		1,230,119			15,465,403
Institutional Class		89,132,585			187,411,653
Distributions reinvested
A-Class		353,469			503,570
C-Class		322,373			266,910
P-Class		751,253			925,053
Institutional Class		25,711,484			28,721,651
Cost of shares redeemed
A-Class		(6,232,246	)		(4,115,443	)
C-Class		(1,422,158	)		(1,492,977	)
P-Class		(5,440,837	)		(14,526,672	)
Institutional Class		(167,277,680	)		(162,507,077	)
Net increase (decrease) from capital share transactions		(60,927,485	)		58,537,753
Net decrease in net assets		(83,953,206	)		(58,364,106	)
Net assets:
Beginning of year		436,859,566			495,223,672
End of year	$	352,906,360		$	436,859,566
Capital share activity:
Shares sold
A-Class		42,057			132,091
C-Class		23,748			79,841
P-Class		40,388			395,522
Institutional Class		2,917,549			4,970,480
Shares issued from reinvestment of distributions
A-Class		12,164			13,022
C-Class		11,190			6,928
P-Class		25,698			23,778
Institutional Class		872,328			734,856
Shares redeemed
A-Class		(205,886	)		(112,310	)
C-Class		(48,660	)		(40,193	)
P-Class		(180,387	)		(390,592	)
Institutional Class		(5,535,082	)		(4,452,685	)
Net increase (decrease) in shares		(2,024,893	)		1,360,738

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	29.48		$	36.87		$	29.97		$	34.11		$	28.93
Income (loss) from investment operations:
Net investment income (loss)a		.56			.23			.32			.31			.34
Net gain (loss) on investments (realized and unrealized)		(.31	)		(5.35	)		8.86			(2.53	)		5.65
Total from investment operations		.25			(5.12	)		9.18			(2.22	)		5.99
Less distributions from:
Net investment income		(.63	)		(.55	)		(.54	)		(.63	)		(.55	)
Return of capital		(.20	)		—			—			—			—
Net realized gains		(1.29	)		(1.72	)		(1.74	)		(1.29	)		(.26	)
Total distributions		(2.12	)		(2.27	)		(2.28	)		(1.92	)		(.81	)
Net asset value, end of period	$	27.61		$	29.48		$	36.87		$	29.97		$	34.11
Total Returnb		0.58	%		(15.31	%)		32.13	%		(6.73	%)		21.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,280		$	9,043		$	10,098		$	15,857		$	16,682
Ratios to average net assets:
Net investment income (loss)		1.86	%		0.62	%		0.95	%		0.99	%		1.09	%
Total expensesc		1.72	%		1.62	%		1.39	%		1.71	%		1.89	%
Net expensesd,e,f		1.66	%		1.58	%		1.38	%		1.70	%		1.88	%
Portfolio turnover rate		21	%		47	%		80	%		180	%		122	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	29.23		$	36.55		$	29.76		$	33.88		$	28.75
Income (loss) from investment operations:
Net investment income (loss)a		.42			(.01	)		.05			.08			.11
Net gain (loss) on investments (realized and unrealized)		(.38	)		(5.30	)		8.76			(2.53	)		5.60
Total from investment operations		.04			(5.31	)		8.81			(2.45	)		5.71
Less distributions from:
Net investment income		(.40	)		(.29	)		(.28	)		(.38	)		(.32	)
Return of capital		(.20	)		—			—			—			—
Net realized gains		(1.29	)		(1.72	)		(1.74	)		(1.29	)		(.26	)
Total distributions		(1.89	)		(2.01	)		(2.02	)		(1.67	)		(.58	)
Net asset value, end of period	$	27.38		$	29.23		$	36.55		$	29.76		$	33.88
Total Returnb		(0.10	%)		(15.93	%)		31.05	%		(7.48	%)		20.23	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,667		$	5,382		$	5,029		$	2,446		$	1,721
Ratios to average net assets:
Net investment income (loss)		1.40	%		(0.03	%)		0.16	%		0.26	%		0.35	%
Total expensesc		2.36	%		2.34	%		2.21	%		2.54	%		2.73	%
Net expensesd,e,f		2.32	%		2.31	%		2.20	%		2.51	%		2.65	%
Portfolio turnover rate		21	%		47	%		80	%		180	%		122	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	29.63		$	37.04		$	30.12		$	34.30		$	29.09
Income (loss) from investment operations:
Net investment income (loss)a		.60			.18			.29			.22			.60
Net gain (loss) on investments (realized and unrealized)		(.36	)		(5.35	)		8.91			(2.48	)		5.42
Total from investment operations		.24			(5.17	)		9.20			(2.26	)		6.02
Less distributions from:
Net investment income		(.61	)		(.52	)		(.54	)		(.63	)		(.55	)
Return of capital		(.20	)		—			—			—			—
Net realized gains		(1.29	)		(1.72	)		(1.74	)		(1.29	)		(.26	)
Total distributions		(2.10	)		(2.24	)		(2.28	)		(1.92	)		(.81	)
Net asset value, end of period	$	27.77		$	29.63		$	37.04		$	30.12		$	34.30
Total Return		0.55	%		(15.35	%)		32.03	%		(6.81	%)		21.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,743		$	12,716		$	14,830		$	12,152		$	33,894
Ratios to average net assets:
Net investment income (loss)		1.99	%		0.48	%		0.86	%		0.70	%		1.87	%
Total expensesc		1.73	%		1.69	%		1.47	%		1.84	%		1.93	%
Net expensesd,e,f		1.66	%		1.64	%		1.45	%		1.78	%		1.89	%
Portfolio turnover rate		21	%		47	%		80	%		180	%		122	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	29.88		$	37.34		$	30.34		$	34.51		$	29.27
Income (loss) from investment operations:
Net investment income (loss)a		.74			.34			.41			.41			.43
Net gain (loss) on investments (realized and unrealized)		(.39	)		(5.42	)		8.98			(2.58	)		5.71
Total from investment operations		.35			(5.08	)		9.39			(2.17	)		6.14
Less distributions from:
Net investment income		(.73	)		(.66	)		(.65	)		(.71	)		(.64	)
Return of capital		(.20	)		—			—			—			—
Net realized gains		(1.29	)		(1.72	)		(1.74	)		(1.29	)		(.26	)
Total distributions		(2.22	)		(2.38	)		(2.39	)		(2.00	)		(.90	)
Net asset value, end of period	$	28.01		$	29.88		$	37.34		$	30.34		$	34.51
Total Return		0.91	%		(15.05	%)		32.52	%		(6.48	%)		21.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	335,217		$	409,719		$	465,267		$	290,551		$	200,301
Ratios to average net assets:
Net investment income (loss)		2.43	%		0.92	%		1.18	%		1.31	%		1.38	%
Total expensesc		1.34	%		1.30	%		1.10	%		1.43	%		1.61	%
Net expensesd,e,f		1.29	%		1.28	%		1.10	%		1.43	%		1.60	%
Portfolio turnover rate		21	%		47	%		80	%		180	%		122	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.03%	0.02%	0.01%	0.02%	0.03%
C-Class	0.01%	0.03%	0.06%	0.04%	0.01%
P-Class	0.01%	0.05%	0.06%	0.02%	0.02%
Institutional Class	0.02%	0.01%	0.00%*	0.01%	0.01%

* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.27%	1.22%	1.21%	1.23%	1.27%
C-Class	1.93%	1.95%	2.04%	2.05%	2.05%
P-Class	1.27%	1.28%	1.29%	1.30%	1.30%
Institutional Class	0.90%	0.92%	0.94%	0.96%	1.00%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Small Cap Value Fund (“Fund”).The Fund is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Chris Phalen, Managing Director and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 12.38%¹, outperforming the Russell 2000 Value Index, the Fund’s benchmark (“Benchmark”), which returned 7.84% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The market began the Reporting Period with steady strength, as a buoyant economy helped build expectations that a highly anticipated recession would be pushed further out and that perhaps the U.S. Federal Reserve (“Fed”) could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and treasury issuance caused a significant rise in interest rates. These events have begun to dampen stock performance, as equity returns for the broad market were lower in the third quarter. A flight to safety from growing geopolitical risks has yet to dampen the trend toward rising interest rates in the government debt market.

The Fund outperformed the Benchmark by over 4.5%. During the Reporting Period, the Fund had a significant positive contribution from its sector allocation and a positive contribution from security selection. The Fund’s most significant positive contribution for the year was its 6% underweight in the Health Care sector, along with stock selection within the sector. Health Care was the worst-performing sector in the Benchmark, as it returned -19%, while the Fund’s health care holdings returned 15%. Health Care suffered because higher interest rates posed funding issues for many small cap biotech and pharmaceutical companies, and investors lost their appetite for smaller companies with no earnings or revenues. One notable outperformer for the Fund was Encompass Health Corp., which operates inpatient rehab facilities, and gained almost 50%. Favorable Medicare rate reimbursement in the spring, coupled with solid earnings results that were driven by favorable volumes as well as expense benefits, led to several good earnings reports over the Reporting Period. A looser labor market coming off COVID allowed the company to save from lower usage of contract labor.

The second most significant positive contributor to the strategy was its overweight in Industrials, where the Fund had an average weighting of 23% versus 13% for the Benchmark. This sector managed to gain more than 30% during the year. Infrastructure companies geared towards the reindustrialization of America provided some of the best gains, as Terex Corp. (+95%), EnerSys (+64%), Altra Industrial Motion Corp. (not held at 9/30/23) (+83% on a takeover by Regal Rexnord Corp.) and H&E Equipment Services, Inc. (+56%) all provided significant contributions.

Another positive contributor was the Fund’s 3% overweight in Technology, as the Fund’s technology holdings were up 30% while the Benchmark’s were up 17%. Belden, Inc., Infinera Corp. (not held at 9/30/23), Sanmina Corp. (not held at 9/30/23), MACOM Technology Solutions Holdings, Inc., and Amkor Technology, Inc. all benefited from the continued capital spending for internet networking and data center builds, as well as expectations for future capital spending from the implementation of the U.S. Government’s CHIPs Act.

The Fund’s underweight in the Financials sector was also a contributor. Given the stress in the banking sector during the spring, avoiding this sector was beneficial.

Homebuilder Meritage Homes Corp. (not held at 9/30/23) was up over 100% during the year. Even though mortgage rates continued to climb throughout the year, new home sales remained resilient as the supply of existing homes for sale declined.

The largest headwind for performance during the Reporting Period was a significant underweight in the Consumer Discretionary sector. This sector gained 26%, and the Fund had an average weighting of 4% versus 10% for the Benchmark. We have been concerned about the impact higher rates would have on spending, and diminishing stimulus funds would have on aggregate demand. Most companies in the sector continue to have high margins, which should contract in the quarters ahead; we moved our weight lower as the year progressed.

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

The second most significant detractor to performance was in Energy stock selection. The Fund’s holdings in this sector gained 28% versus 44% for the Benchmark. Essentially, the Fund lacked exposure to the higher-beta energy services and drilling industries that performed best. Additionally, a large weight in Pioneer Natural Resources Co. detracted from return, as this position only gained 14% while smaller, more operationally levered exploration and production companies performed better.

Finally, there were two stocks that hurt the Fund’s performance the most during the year, Hawaiian Holdings, Inc. and Gray Television. Inc. Hawaiian Holdings is the parent company operating Hawaiian Airlines. The company experienced difficulties with post-pandemic travel and experienced disruptions with the Maui wildfires. Gray Television is the nation’s largest independent operator of TV stations, including all four major network affiliations. Gray’s retransmission fee revenue is slowing as consumers are “cutting the cord” with their cable TV providers.

How was the Fund positioned at the end of the Reporting Period?

In many ways, the environment is similar to last year. The geopolitical environment seems to have become less favorable, and the Fed, while still hawkish, is much later in the game of fighting inflation. However, it remains unclear how long “higher for longer” will really be. Reversing several decades of shifting production from low-cost Asian countries to higher-cost locations closer to end markets could provide many years of stubbornly high inflation that may serve to restrain equity appreciation. The murkiness of the economic outlook has not improved, yet equity prices are higher. The extreme overvaluation in a handful of large cap growth stocks suggests that smaller-cap value stocks could really excel once investors become more comfortable with the economy and market. Amazingly, the top 5 names in the S&P 500 now have an aggregate market capitalization that is 3.3 times larger than the market cap of the entire Russell 2000.

At the beginning of the Reporting Period, our three largest active weights were in Industrials (+1,000 basis points), Technology (+450 basis points), and Materials (+450 basis points). At the end of the Reporting Period, they were in Industrials (+900 basis points), Materials (+200 basis points), and Technology (+175 basis points). One basis point is equal to 0.01%.

At the beginning of the Reporting Period, our largest underweights were in Health Care (-1000 basis points), Consumer Discretionary (-500 basis points), Real Estate (-465 basis points), and Financials (-300 basis points). At the end of the Reporting Period, they were in Consumer Discretionary (-700 basis points), Real Estate (-500 basis points), Financials (-400 basis points), and Health Care (-200 basis points). Our weights have remained consistent except for our Technology and Health Care positioning. In the Technology sector, the Fund has reduced its weight as valuations have become stretched and fundamentals have deteriorated. For Health Care, the Benchmark weight has declined from 12% to 8% and the Fund has increased its holdings by around 4%, as the poor performance for the sector has provided some investment opportunities.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 67

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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.	3.7%
SPDR S&P Biotech ETF	2.3%
Rush Enterprises, Inc. — Class A	2.1%
iShares Russell 2000 Value ETF	2.0%
MSC Industrial Direct Company, Inc. — Class A	1.9%
Liberty Energy, Inc. — Class A	1.9%
Murphy Oil Corp.	1.9%
Encompass Health Corp.	1.8%
OGE Energy Corp.	1.8%
Kirby Corp.	1.7%
Top Ten Total	21.1%
“Ten Largest Holdings” excludes any temporary cash investments.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	12.38%	3.83%	5.09%
A-Class Shares with sales charge†	7.05%	2.82%	4.58%
C-Class Shares	11.57%	3.05%	4.30%
C-Class Shares with CDSC‡	10.57%	3.05%	4.30%
Institutional Class Shares	12.63%	4.08%	5.34%
Russell 2000 Value Index	7.84%	2.59%	6.19%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	12.32%	3.84%	5.19%
Russell 2000 Value Index	7.84%	2.59%	5.73%

*	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 Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class Shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 69

SCHEDULE OF INVESTMENTS	September 30, 2023
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 92.0%
Financial - 25.2%
Texas Capital Bancshares, Inc.*		1,314	$	77,395
Stifel Financial Corp.		1,227		75,387
Old National Bancorp		5,143		74,779
STAG Industrial, Inc. REIT		2,120		73,161
Cathay General Bancorp		2,063		71,710
First Merchants Corp.		2,557		71,136
Banc of California, Inc.		5,736		71,012
Unum Group		1,349		66,357
MGIC Investment Corp.		3,715		62,004
Physicians Realty Trust REIT		5,046		61,511
LXP Industrial Trust REIT		6,239		55,527
Hanmi Financial Corp.		3,405		55,263
First Horizon Corp.		4,805		52,951
First American Financial Corp.		917		51,801
Stewart Information Services Corp.		1,109		48,574
Prosperity Bancshares, Inc.		844		46,066
Hancock Whitney Corp.		1,166		43,130
Apple Hospitality REIT, Inc.		2,759		42,323
Simmons First National Corp. — Class A		2,266		38,431
Old Republic International Corp.		1,359		36,612
UMB Financial Corp.		550		34,127
Sunstone Hotel Investors, Inc. REIT		3,160		29,546
Synovus Financial Corp.		1,019		28,328
Independent Bank Group, Inc.		684		27,052
United Community Banks, Inc.		853		21,675
First Hawaiian, Inc.		1,177		21,245
United Bankshares, Inc.		764		21,079
RMR Group, Inc. — Class A		808		19,812
Piedmont Office Realty Trust, Inc. — Class A REIT		2,333		13,111
Total Financial				1,391,105
Industrial - 21.0%
Kirby Corp.*		1,124		93,067
Arcosa, Inc.		1,106		79,521
Advanced Energy Industries, Inc.		648		66,822
Knight-Swift Transportation Holdings, Inc.		1,312		65,797
Summit Materials, Inc. — Class A*		2,055		63,993
Mercury Systems, Inc.*		1,725		63,980
Moog, Inc. — Class A		558		63,032
PGT Innovations, Inc.*		2,064		57,276
Curtiss-Wright Corp.		277		54,189
Sonoco Products Co.		988		53,698
Belden, Inc.		522		50,399
Terex Corp.		871		50,187
MDU Resources Group, Inc.		2,521		49,361
Esab Corp.		620		43,536
Daseke, Inc.*		8,319		42,677
Park Aerospace Corp.		2,678		41,589
Graphic Packaging Holding Co.		1,832		40,817
EnerSys		431		40,803
Littelfuse, Inc.		149		36,851
AZEK Company, Inc.*		1,151		34,231
Plexus Corp.*		322		29,939
Stoneridge, Inc.*		1,244		24,967
NVE Corp.		176		14,457
Total Industrial				1,161,189
Energy - 11.5%
Pioneer Natural Resources Co.		893		204,988
Liberty Energy, Inc. — Class A		5,706		105,675
Murphy Oil Corp.		2,262		102,582
CNX Resources Corp.*		3,690		83,320
Baytex Energy Corp.		11,369		50,137
Diamondback Energy, Inc.		217		33,609
Patterson-UTI Energy, Inc.		2,075		28,718
Range Resources Corp.		851		27,581
Total Energy				636,610
Consumer, Non-cyclical - 10.9%
Encompass Health Corp.		1,489		100,001
Euronet Worldwide, Inc.*		1,158		91,922
Central Garden & Pet Co. — Class A*		1,442		57,810
LivaNova plc*		974		51,505
Enovis Corp.*		886		46,719
Ingredion, Inc.		472		46,445
Certara, Inc.*		2,892		42,050
ICF International, Inc.		307		37,088
Perdoceo Education Corp.		1,878		32,114
Addus HomeCare Corp.*		339		28,880
Azenta, Inc.*		510		25,597
Integer Holdings Corp.*		291		22,823
Ironwood Pharmaceuticals, Inc. — Class A*		1,869		17,998
Total Consumer, Non-cyclical				600,952
Consumer, Cyclical - 9.0%
Rush Enterprises, Inc. — Class A		2,809		114,691
MSC Industrial Direct Company, Inc. — Class A		1,090		106,984
H&E Equipment Services, Inc.		1,608		69,450
Alaska Air Group, Inc.*		1,144		42,420
MarineMax, Inc.*		953		31,277
Lakeland Industries, Inc.		1,913		28,829
Whirlpool Corp.		196		26,205
Methode Electronics, Inc.		1,061		24,244
Newell Brands, Inc.		2,523		22,783
Hawaiian Holdings, Inc.*		3,050		19,306
Macy’s, Inc.		1,143		13,270
Total Consumer, Cyclical				499,459
Technology - 4.5%
Science Applications International Corp.		733		77,361
Amkor Technology, Inc.		2,348		53,065
Conduent, Inc.*		8,619		29,994
MACOM Technology Solutions Holdings, Inc.*		348		28,390
LivePerson, Inc.*		6,509		25,320
Silicon Laboratories, Inc.*		180		20,860
Wolfspeed, Inc.*		300		11,430
Total Technology				246,420

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
SMALL CAP VALUE FUND

	Shares		Value
Utilities - 4.2%
OGE Energy Corp.		2,915	$	97,157
Spire, Inc.		671		37,965
Black Hills Corp.		708		35,818
Avista Corp.		949		30,719
ALLETE, Inc.		528		27,878
Total Utilities				229,537
Basic Materials - 3.9%
Huntsman Corp.		2,611		63,708
Avient Corp.		1,669		58,949
Ashland, Inc.		607		49,580
Commercial Metals Co.		865		42,740
Total Basic Materials				214,977
Communications - 1.8%
Ciena Corp.*		799		37,761
TEGNA, Inc.		1,821		26,532
Gray Television, Inc.		2,934		20,303
Luna Innovations, Inc.*		2,251		13,191
Total Communications				97,787
Total Common Stocks
(Cost $5,190,426)				5,078,036
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,1		6,250		—
Total Convertible Preferred Stocks
(Cost $5,968)				—
RIGHTS† - 0.2%
Basic Materials - 0.2%
Pan American Silver Corp.*		17,705		9,472
Total Rights
(Cost $—)				9,472
EXCHANGE-TRADED FUNDS† - 4.3%
SPDR S&P Biotech ETF		1,778		129,830
iShares Russell 2000 Value ETF		795		107,762
Total Exchange-Traded Funds
(Cost $265,771)				237,592
MONEY MARKET FUND† - 3.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%2		183,895		183,895
Total Money Market Fund
(Cost $183,895)				183,895
Total Investments - 99.8%
(Cost $5,646,060)			$	5,508,995
Other Assets & Liabilities, net - 0.2%				8,713
Total Net Assets - 100.0%			$	5,517,708

*	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 September 30, 2023.
	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 September 30, 2023 (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	$	5,078,036	$	—	$	—		$	5,078,036
Convertible Preferred Stocks		—		—		—	*		—
Rights		9,472		—		—			9,472
Exchange-Traded Funds		237,592		—		—			237,592
Money Market Fund		183,895		—		—			183,895
Total Assets	$	5,508,995	$	—	$	—		$	5,508,995

* Security has a market value of $0.

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $5,646,060)	$	5,508,995
Cash		57
Prepaid expenses		48,530
Receivables:
Investment Adviser		20,056
Dividends		8,548
Interest		722
Total assets		5,586,908
Liabilities:
Payable for:
Securities purchased		27,876
Professional fees		25,871
Insurance		5,055
Fund accounting/administration fees		4,334
Transfer agent fees		2,317
Trustees’ fees*		1,220
Distribution and service fees		1,193
Fund shares redeemed		199
Miscellaneous		1,135
Total liabilities		69,200
Net assets	$	5,517,708
Net assets consist of:
Paid in capital	$	5,277,136
Total distributable earnings (loss)		240,572
Net assets	$	5,517,708
A-Class:
Net assets	$	3,982,183
Capital shares outstanding		264,474
Net asset value per share	$	15.06
Maximum offering price per share (Net asset value divided by 95.25%)	$	15.81
C-Class:
Net assets	$	404,875
Capital shares outstanding		29,734
Net asset value per share	$	13.62
P-Class:
Net assets	$	54,481
Capital shares outstanding		3,574
Net asset value per share	$	15.24
Institutional Class:
Net assets	$	1,076,169
Capital shares outstanding		79,745
Net asset value per share	$	13.50

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends (net of foreign withholding tax of $28)	$	155,084
Interest		8,674
Total investment income		163,758
Expenses:
Management fees		52,214
Distribution and service fees:
A-Class		10,776
C-Class		4,542
P-Class		300
Transfer agent/maintenance fees:
A-Class		20,394
C-Class		2,490
P-Class		805
Institutional Class		9,655
Registration fees		59,752
Professional fees		37,608
Trustees’ fees*		14,096
Fund accounting/administration fees		11,830
Custodian fees		6,220
Line of credit fees		237
Miscellaneous		6,491
Total expenses		237,410
Less:
Expenses reimbursed by Adviser:
A-Class		(52,174	)
C-Class		(5,889	)
P-Class		(1,751	)
Institutional Class		(25,065	)
Expenses waived by Adviser		(66,165	)
Total waived/reimbursed expenses		(151,044	)
Net expenses		86,366
Net investment income		77,392
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		613,023
Net realized gain		613,023
Net change in unrealized appreciation (depreciation) on:
Investments		16,529
Net change in unrealized appreciation (depreciation)		16,529
Net realized and unrealized gain		629,552
Net increase in net assets resulting from operations	$	706,944

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

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	77,392		$	59,972
Net realized gain on investments		613,023			418,401
Net change in unrealized appreciation (depreciation) on investments		16,529			(1,359,821	)
Net increase (decrease) in net assets resulting from operations		706,944			(881,448	)
Distributions to shareholders:
A-Class		(204,624	)		(18,984	)
C-Class		(21,650	)		(3,436	)
P-Class		(7,239	)		(229	)
Institutional Class		(95,567	)		(8,467	)
Total distributions to shareholders		(329,080	)		(31,116	)
Capital share transactions:
Proceeds from sale of shares
A-Class		329,795			407,538
C-Class		12,037			41,313
P-Class		48,131			110,889
Institutional Class		3,266,307			1,337,253
Distributions reinvested
A-Class		199,088			18,496
C-Class		21,650			3,410
P-Class		7,117			217
Institutional Class		95,567			8,466
Cost of shares redeemed
A-Class		(706,211	)		(555,575	)
C-Class		(138,572	)		(273,299	)
P-Class		(144,193	)		(4,885	)
Institutional Class		(4,379,888	)		(505,781	)
Net increase (decrease) from capital share transactions		(1,389,172	)		588,042
Net decrease in net assets		(1,011,308	)		(324,522	)
Net assets:
Beginning of year		6,529,016			6,853,538
End of year	$	5,517,708		$	6,529,016
Capital share activity:
Shares sold
A-Class		20,904			25,122
C-Class		855			2,809
P-Class		3,028			6,839
Institutional Class		231,463			90,568
Shares issued from reinvestment of distributions
A-Class		13,229			1,152
C-Class		1,581			233
P-Class		467			13
Institutional Class		7,100			586
Shares redeemed
A-Class		(45,344	)		(34,430	)
C-Class		(9,606	)		(18,423	)
P-Class		(9,549	)		(297	)
Institutional Class		(320,156	)		(35,975	)
Net increase (decrease) in shares		(106,028	)		38,197

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	14.06		$	15.93		$	10.61		$	12.86		$	15.56
Income (loss) from investment operations:
Net investment income (loss)a		.16			.13			.07			.06			.10
Net gain (loss) on investments (realized and unrealized)		1.58			(1.93	)		5.37			(1.87	)		(1.28	)
Total from investment operations		1.74			(1.80	)		5.44			(1.81	)		(1.18	)
Less distributions from:
Net investment income		(.17	)		—			(.12	)		(.18	)		(.19	)
Net realized gains		(.57	)		(.07	)		—			(.26	)		(1.33	)
Total distributions		(.74	)		(.07	)		(.12	)		(.44	)		(1.52	)
Net asset value, end of period	$	15.06		$	14.06		$	15.93		$	10.61		$	12.86
Total Returnb		12.38	%		(11.36	%)		51.48	%		(14.79	%)		(6.14	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,982		$	3,876		$	4,521		$	3,390		$	9,751
Ratios to average net assets:
Net investment income (loss)		1.06	%		0.80	%		0.47	%		0.54	%		0.75	%
Total expensesc		3.43	%		3.50	%		4.07	%		3.23	%		2.27	%
Net expensesd,e,f		1.27	%		1.30	%		1.30	%		1.30	%		1.30	%
Portfolio turnover rate		72	%		37	%		28	%		40	%		78	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	12.76		$	14.57		$	9.69		$	11.75		$	14.30
Income (loss) from investment operations:
Net investment income (loss)a		.04			—	g		(.03	)		(.02	)		—	g
Net gain (loss) on investments (realized and unrealized)		1.44			(1.74	)		4.91			(1.73	)		(1.18	)
Total from investment operations		1.48			(1.74	)		4.88			(1.75	)		(1.18	)
Less distributions from:
Net investment income		(.05	)		—			—			(.05	)		(.04	)
Net realized gains		(.57	)		(.07	)		—			(.26	)		(1.33	)
Total distributions		(.62	)		(.07	)		—			(.31	)		(1.37	)
Net asset value, end of period	$	13.62		$	12.76		$	14.57		$	9.69		$	11.75
Total Returnb		11.57	%		(12.02	%)		50.36	%		(15.43	%)		(6.89	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	405		$	471		$	762		$	765		$	1,593
Ratios to average net assets:
Net investment income (loss)		0.30	%		(0.02	%)		(0.25	%)		(0.14	%)		0.01	%
Total expensesc		4.26	%		4.41	%		5.04	%		4.33	%		3.09	%
Net expensesd,e,f		2.02	%		2.05	%		2.05	%		2.06	%		2.05	%
Portfolio turnover rate		72	%		37	%		28	%		40	%		78	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	14.17		$	16.05		$	10.75		$	13.01		$	15.73
Income (loss) from investment operations:
Net investment income (loss)a		.18			.16			.07			.05			.09
Net gain (loss) on investments (realized and unrealized)		1.57			(1.97	)		5.42			(1.86	)		(1.29	)
Total from investment operations		1.75			(1.81	)		5.49			(1.81	)		(1.20	)
Less distributions from:
Net investment income		(.11	)		—			(.19	)		(.19	)		(.19	)
Net realized gains		(.57	)		(.07	)		—			(.26	)		(1.33	)
Total distributions		(.68	)		(.07	)		(.19	)		(.45	)		(1.52	)
Net asset value, end of period	$	15.24		$	14.17		$	16.05		$	10.75		$	13.01
Total Return		12.32	%		(11.34	%)		51.46	%		(14.66	%)		(6.18	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54		$	136		$	49		$	26		$	47
Ratios to average net assets:
Net investment income (loss)		1.15	%		1.00	%		0.48	%		0.46	%		0.72	%
Total expensesc		3.68	%		3.82	%		4.39	%		4.07	%		2.73	%
Net expensesd,e,f		1.27	%		1.29	%		1.30	%		1.30	%		1.28	%
Portfolio turnover rate		72	%		37	%		28	%		40	%		78	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	12.68		$	14.33		$	9.54		$	11.60		$	14.24
Income (loss) from investment operations:
Net investment income (loss)a		.19			.16			.10			.09			.12
Net gain (loss) on investments (realized and unrealized)		1.42			(1.74	)		4.81			(1.68	)		(1.20	)
Total from investment operations		1.61			(1.58	)		4.91			(1.59	)		(1.08	)
Less distributions from:
Net investment income		(.22	)		—			(.12	)		(.21	)		(.23	)
Net realized gains		(.57	)		(.07	)		—			(.26	)		(1.33	)
Total distributions		(.79	)		(.07	)		(.12	)		(.47	)		(1.56	)
Net asset value, end of period	$	13.50		$	12.68		$	14.33		$	9.54		$	11.60
Total Return		12.63	%		(11.10	%)		51.78	%		(14.54	%)		(5.96	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,076		$	2,046		$	1,522		$	892		$	3,143
Ratios to average net assets:
Net investment income (loss)		1.40	%		1.13	%		0.75	%		0.82	%		0.99	%
Total expensesc		3.17	%		3.24	%		3.80	%		2.86	%		2.09	%
Net expensesd,e,f		1.02	%		1.04	%		1.05	%		1.05	%		1.05	%
Portfolio turnover rate		72	%		37	%		28	%		40	%		78	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	—	0.01%	—	—	—
C-Class	—	0.01%	—	—	—
P-Class	—	0.02%	—	—	—
Institutional Class	—	0.02%	—	—	—

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.26%	1.29%	1.30%	1.30%	1.30%
C-Class	2.01%	2.04%	2.05%	2.05%	2.05%
P-Class	1.26%	1.29%	1.30%	1.30%	1.28%
Institutional Class	1.01%	1.04%	1.05%	1.05%	1.05%

^g Less than $0.01 per share.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlus^TM —Large Core Fund (“Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 21.81%¹, outperforming the S&P 500 Index, the Fund’s benchmark, which returned 21.62%.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

Over the Reporting Period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.

The Fund outperformed the S&P 500 Index for the Reporting Period by 0.19% net of fees. The Fund performed better than the benchmark due to contributions from the active equity and active fixed income sleeves, offset by cost of derivatives and Fund fees and expenses.

How did the Fund use derivatives during the Reporting Period?

The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%-5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 77

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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 III	34.7%
Guggenheim Strategy Fund II	28.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	15.0%
Apple, Inc.	1.5%
Microsoft Corp.	1.4%
Alphabet, Inc. — Class C	0.7%
Amazon.com, Inc.	0.6%
NVIDIA Corp.	0.5%
Exxon Mobil Corp.	0.5%
Home Depot, Inc.	0.4%
Top Ten Total	83.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

78 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	21.81%	8.25%	11.15%
A-Class Shares with sales charge†	16.02%	7.20%	10.61%
C-Class Shares	20.81%	7.28%	10.14%
C-Class Shares with CDSC‡	20.14%	7.28%	10.14%
Institutional Class Shares	22.06%	8.48%	11.42%
S&P 500 Index	21.62%	9.92%	11.91%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	21.62%	8.11%	9.55%
S&P 500 Index	21.62%	9.92%	10.86%

*	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 S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 79

SCHEDULE OF INVESTMENTS	September 30, 2023
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 20.8%
Technology - 6.4%
Apple, Inc.		18,589	$	3,182,502
Microsoft Corp.		9,268		2,926,371
NVIDIA Corp.		2,439		1,060,941
QUALCOMM, Inc.		5,225		580,288
International Business Machines Corp.		4,129		579,299
Texas Instruments, Inc.		3,217		511,535
Applied Materials, Inc.		3,573		494,682
NXP Semiconductor N.V.		2,465		492,803
Microchip Technology, Inc.		6,153		480,242
NetApp, Inc.		5,937		450,500
Broadcom, Inc.		529		439,377
KLA Corp.		940		431,140
Hewlett Packard Enterprise Co.		24,439		424,505
Skyworks Solutions, Inc.		3,984		392,782
Cognizant Technology Solutions Corp. — Class A		3,406		230,722
Lam Research Corp.		230		144,157
Akamai Technologies, Inc.*		1,297		138,182
Cadence Design Systems, Inc.*		550		128,865
Autodesk, Inc.*		617		127,664
Intuit, Inc.		246		125,691
Adobe, Inc.*		242		123,396
Total Technology				13,465,644
Consumer, Non-cyclical - 4.3%
Merck & Company, Inc.		7,422		764,095
UnitedHealth Group, Inc.		1,344		677,631
Amgen, Inc.		2,468		663,300
Pfizer, Inc.		19,970		662,405
Philip Morris International, Inc.		6,712		621,397
Bristol-Myers Squibb Co.		10,141		588,584
Gilead Sciences, Inc.		7,709		577,712
Humana, Inc.		1,117		543,443
HCA Healthcare, Inc.		1,892		465,394
Altria Group, Inc.		10,437		438,876
Incyte Corp.*		7,377		426,169
Molina Healthcare, Inc.*		1,231		403,633
AbbVie, Inc.		2,076		309,448
Vertex Pharmaceuticals, Inc.*		827		287,581
Elevance Health, Inc.		634		276,056
United Rentals, Inc.		582		258,740
Regeneron Pharmaceuticals, Inc.*		173		142,372
Johnson & Johnson		859		133,789
PepsiCo, Inc.		779		131,994
Eli Lilly & Co.		244		131,060
Quest Diagnostics, Inc.		1,075		131,000
Viatris, Inc.		13,139		129,550
PayPal Holdings, Inc.*		2,148		125,572
Organon & Co.		6,745		117,093
Total Consumer, Non-cyclical				9,006,894
Communications - 2.9%
Alphabet, Inc. — Class C*		11,677		1,539,613
Amazon.com, Inc.*		9,195		1,168,868
Cisco Systems, Inc.		12,812		688,773
Meta Platforms, Inc. — Class A*		1,911		573,701
VeriSign, Inc.*		2,293		464,401
Booking Holdings, Inc.*		138		425,585
F5, Inc.*		2,558		412,196
Juniper Networks, Inc.		14,377		399,537
eBay, Inc.		8,899		392,357
Total Communications				6,065,031
Industrial - 2.8%
Caterpillar, Inc.		2,205		601,965
Lockheed Martin Corp.		1,323		541,054
Deere & Co.		1,412		532,861
Northrop Grumman Corp.		1,147		504,898
Illinois Tool Works, Inc.		2,184		502,997
Keysight Technologies, Inc.*		3,591		475,125
Expeditors International of Washington, Inc.		4,094		469,295
Snap-on, Inc.		1,768		450,946
Masco Corp.		8,089		432,357
TE Connectivity Ltd.		3,401		420,125
Otis Worldwide Corp.		4,237		340,273
Textron, Inc.		4,241		331,392
Allegion plc		1,973		205,587
Total Industrial				5,808,875
Consumer, Cyclical - 2.2%
Home Depot, Inc.		2,604		786,825
PACCAR, Inc.		6,096		518,282
Cummins, Inc.		2,075		474,055
BorgWarner, Inc.		11,272		455,051
Lennar Corp. — Class A		3,439		385,959
Tesla, Inc.*		1,532		383,337
Ulta Beauty, Inc.*		936		373,885
PulteGroup, Inc.		4,866		360,327
DR Horton, Inc.		3,140		337,456
NVR, Inc.*		54		322,018
Yum! Brands, Inc.		1,059		132,311
Total Consumer, Cyclical				4,529,506
Energy - 1.2%
Exxon Mobil Corp.		8,695		1,022,358
Valero Energy Corp.		3,789		536,939
Marathon Petroleum Corp.		3,401		514,708
EOG Resources, Inc.		2,758		349,604
Total Energy				2,423,609
Financial - 0.9%
Goldman Sachs Group, Inc.		1,805		584,044
Berkshire Hathaway, Inc. — Class B*		1,258		440,678
Visa, Inc. — Class A		1,104		253,931
Capital One Financial Corp.		2,179		211,472
JPMorgan Chase & Co.		1,402		203,318
Synchrony Financial		4,976		152,116
Total Financial				1,845,559

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
STYLEPLUS—LARGE CORE FUND

	Shares		Value
Basic Materials - 0.1%
CF Industries Holdings, Inc.		3,805	$	326,241
Total Common Stocks
(Cost $41,141,941)				43,471,359
MUTUAL FUNDS† - 78.3%
Guggenheim Strategy Fund III1		2,983,504		72,469,308
Guggenheim Strategy Fund II1		2,457,791		59,650,586
Guggenheim Ultra Short Duration Fund — Institutional Class1		3,222,619		31,420,533
Total Mutual Funds
(Cost $166,247,094)				163,540,427
MONEY MARKET FUND† - 1.1%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%2		2,246,158		2,246,158
Total Money Market Fund
(Cost $2,246,158)				2,246,158
Total Investments - 100.2%
(Cost $209,635,193)			$	209,257,944
Other Assets & Liabilities, net - (0.2)%				(509,377	)
Total Net Assets - 100.0%			$	208,748,567

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		6		Dec 2023	$	1,297,875	$	(56,341	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

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

Pay

5.64% (Federal Funds Rate + 0.31%)

At Maturity

01/29/24

17,723

$

163,876,074

$

21,088,775

*	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 September 30, 2023.
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
STYLEPLUS—LARGE CORE FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	43,471,359	$	—	$	—	$	43,471,359
Mutual Funds		163,540,427		—		—		163,540,427
Money Market Fund		2,246,158		—		—		2,246,158
Equity Index Swap Agreements**		—		21,088,775		—		21,088,775
Total Assets	$	209,257,944	$	21,088,775	$	—	$	230,346,719

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	56,341	$	—	$	—	$	56,341

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

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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value 09/30/23		Shares 09/30/23		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	57,201,913	$	22,365,719	$	(20,648,235	)	$	(652,333	)	$	1,383,522	$	59,650,586		2,457,791	$	2,870,310
Guggenheim Strategy Fund III		67,311,123		6,074,186		(1,659,994	)		(63,265	)		807,258		72,469,308		2,983,504		3,648,680
Guggenheim Ultra Short Duration Fund — Institutional Class		33,794,274		1,687,181		(4,636,000	)		(99,750	)		674,828		31,420,533		3,222,619		1,687,338
	$	158,307,310	$	30,127,086	$	(26,944,229	)	$	(815,348	)	$	2,865,608	$	163,540,427			$	8,206,328

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $43,388,099)	$	45,717,517
Investments in affiliated issuers, at value (cost $166,247,094)		163,540,427
Segregated cash with broker		200,000
Unrealized appreciation on OTC swap agreements		21,088,775
Prepaid expenses		56,917
Receivables:
Dividends		806,913
Interest		19,816
Fund shares sold		9,493
Total assets		231,439,858
Liabilities:
Overdraft due to custodian bank		13,245
Segregated cash due to broker		15,890,000
Payable for:
Swap settlement		5,686,748
Securities purchased		794,879
Management fees		125,968
Distribution and service fees		43,595
Fund accounting and administration fees		11,023
Transfer agent fees		6,846
Variation margin on futures contracts		3,375
Trustees’ fees*		1,411
Fund shares redeemed		1,117
Miscellaneous		113,084
Total liabilities		22,691,291
Net assets	$	208,748,567
Net assets consist of:
Paid in capital	$	223,467,334
Total distributable earnings (loss)		(14,718,767	)
Net assets	$	208,748,567
A-Class:
Net assets	$	201,587,406
Capital shares outstanding		10,932,145
Net asset value per share	$	18.44
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.36
C-Class:
Net assets	$	797,258
Capital shares outstanding		87,037
Net asset value per share	$	9.16
P-Class:
Net assets	$	206,115
Capital shares outstanding		11,432
Net asset value per share	$	18.03
Institutional Class:
Net assets	$	6,157,788
Capital shares outstanding		338,644
Net asset value per share	$	18.18

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1,473)	$	758,374
Dividends from securities of affiliated issuers		8,206,328
Interest		315,376
Total investment income		9,280,078
Expenses:
Management fees		1,565,264
Distribution and service fees:
A-Class		504,956
C-Class		8,976
P-Class		567
Transfer agent fees:
A-Class		195,736
C-Class		1,613
P-Class		538
Institutional Class		5,378
Interest expense		529,210
Fund accounting and administration fees		94,206
Professional fees		56,238
Custodian fees		17,404
Line of credit fees		11,717
Trustees’ fees*		11,560
Miscellaneous		91,141
Total expenses		3,094,504
Less:
Expenses waived by Adviser		(87,068	)
Earnings credits applied		(3,877	)
Total waived expenses		(90,945	)
Net expenses		3,003,559
Net investment income		6,276,519
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,358,525
Investments in affiliated issuers		(815,348	)
Swap agreements		(37,756,615	)
Futures contracts		231,814
Net realized loss		(36,981,624	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		6,142,834
Investments in affiliated issuers		2,865,608
Swap agreements		61,878,961
Futures contracts		183,408
Net change in unrealized appreciation (depreciation)		71,070,811
Net realized and unrealized gain		34,089,187
Net increase in net assets resulting from operations	$	40,365,706

* 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 ANNUAL REPORT | 83

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	6,276,519		$	1,667,535
Net realized gain (loss) on investments		(36,981,624	)		60,035,690
Net change in unrealized appreciation (depreciation) on investments		71,070,811			(107,444,090	)
Net increase (decrease) in net assets resulting from operations		40,365,706			(45,740,865	)
Distributions to shareholders:
A-Class		(57,362,413	)		(11,885,985	)
C-Class		(480,274	)		(54,594	)
P-Class		(80,505	)		(14,927	)
Institutional Class		(1,403,582	)		(322,926	)
Total distributions to shareholders		(59,326,774	)		(12,278,432	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,166,582			4,911,344
C-Class		125,050			523,465
P-Class		7,830			123,406
Institutional Class		1,924,452			6,528,320
Distributions reinvested
A-Class		54,015,082			11,200,028
C-Class		480,152			54,594
P-Class		80,505			14,927
Institutional Class		1,391,827			301,038
Cost of shares redeemed
A-Class		(23,234,130	)		(20,545,489	)
C-Class		(520,369	)		(181,556	)
P-Class		(102,107	)		(154,507	)
Institutional Class		(1,714,715	)		(6,385,546	)
Net increase (decrease) from capital share transactions		34,620,159			(3,609,976	)
Net increase (decrease) in net assets		15,659,091			(61,629,273	)
Net assets:
Beginning of year		193,089,476			254,718,749
End of year	$	208,748,567		$	193,089,476
Capital share activity:
Shares sold
A-Class		118,847			184,289
C-Class		13,926			32,562
P-Class		451			4,730
Institutional Class		110,833			245,318
Shares issued from reinvestment of distributions
A-Class		3,255,882			394,367
C-Class		57,850			2,980
P-Class		4,957			534
Institutional Class		85,231			10,717
Shares redeemed
A-Class		(1,271,366	)		(788,816	)
C-Class		(58,377	)		(10,107	)
P-Class		(6,243	)		(5,888	)
Institutional Class		(89,973	)		(254,438	)
Net increase (decrease) in shares		2,222,018			(183,752	)

84 | THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	21.18		$	27.35		$	23.01		$	20.48		$	24.78
Income (loss) from investment operations:
Net investment income (loss)a		.56			.18			.06			.17			.30
Net gain (loss) on investments (realized and unrealized)		3.32			(5.02	)		6.46			2.70			(.72	)
Total from investment operations		3.88			(4.84	)		6.52			2.87			(.42	)
Less distributions from:
Net investment income		(.22	)		(.08	)		(.19	)		(.31	)		(.30	)
Net realized gains		(6.40	)		(1.25	)		(1.99	)		(.03	)		(3.58	)
Total distributions		(6.62	)		(1.33	)		(2.18	)		(.34	)		(3.88	)
Net asset value, end of period	$	18.44		$	21.18		$	27.35		$	23.01		$	20.48
Total Returnb		21.81	%		(18.94	%)		29.91	%		14.18	%		1.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	201,587		$	186,957		$	247,243		$	204,428		$	196,563
Ratios to average net assets:
Net investment income (loss)		3.01	%		0.68	%		0.23	%		0.79	%		1.48	%
Total expensesc		1.48	%		1.20	%		1.23	%		1.32	%		1.31	%
Net expensesd		1.44	%		1.15	%		1.17	%		1.28	%		1.28	%
Portfolio turnover rate		56	%		62	%		25	%		69	%		51	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	13.57		$	18.03		$	15.87		$	14.22		$	18.41
Income (loss) from investment operations:
Net investment income (loss)a		.21			(.02	)		(.11	)		(.02	)		.08
Net gain (loss) on investments (realized and unrealized)		1.93			(3.20	)		4.34			1.87			(.69	)
Total from investment operations		2.14			(3.22	)		4.23			1.85			(.61	)
Less distributions from:
Net investment income		(.15	)		—			(.08	)		(.17	)		—
Net realized gains		(6.40	)		(1.24	)		(1.99	)		(.03	)		(3.58	)
Total distributions		(6.55	)		(1.24	)		(2.07	)		(.20	)		(3.58	)
Net asset value, end of period	$	9.16		$	13.57		$	18.03		$	15.87		$	14.22
Total Returnb		20.81	%		(19.69	%)		28.69	%		13.11	%		0.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	797		$	999		$	869		$	1,019		$	973
Ratios to average net assets:
Net investment income (loss)		2.14	%		(0.10	%)		(0.67	%)		(0.15	%)		0.58	%
Total expensesc		2.32	%		2.10	%		2.15	%		2.24	%		2.23	%
Net expensesd		2.28	%		2.04	%		2.09	%		2.20	%		2.19	%
Portfolio turnover rate		56	%		62	%		25	%		69	%		51	%

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

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.

P-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	20.83		$	26.93		$	22.69		$	20.21		$	24.49
Income (loss) from investment operations:
Net investment income (loss)a		.53			.13			.02			.14			.29
Net gain (loss) on investments (realized and unrealized)		3.25			(4.94	)		6.38			2.67			(.73	)
Total from investment operations		3.78			(4.81	)		6.40			2.81			(.44	)
Less distributions from:
Net investment income		(.18	)		(.05	)		(.17	)		(.30	)		(.26	)
Net realized gains		(6.40	)		(1.24	)		(1.99	)		(.03	)		(3.58	)
Total distributions		(6.58	)		(1.29	)		(2.16	)		(.33	)		(3.84	)
Net asset value, end of period	$	18.03		$	20.83		$	26.93		$	22.69		$	20.21
Total Return		21.62	%		(19.09	%)		29.79	%		13.98	%		1.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	206		$	255		$	347		$	224		$	236
Ratios to average net assets:
Net investment income (loss)		2.83	%		0.53	%		0.09	%		0.67	%		1.45	%
Total expensesc		1.64	%		1.36	%		1.36	%		1.46	%		1.36	%
Net expensesd		1.59	%		1.31	%		1.30	%		1.42	%		1.33	%
Portfolio turnover rate		56	%		62	%		25	%		69	%		51	%

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	20.98		$	27.10		$	22.83		$	20.31		$	24.65
Income (loss) from investment operations:
Net investment income (loss)a		.60			.23			.10			.21			.35
Net gain (loss) on investments (realized and unrealized)		3.27			(4.97	)		6.40			2.70			(.75	)
Total from investment operations		3.87			(4.74	)		6.50			2.91			(.40	)
Less distributions from:
Net investment income		(.27	)		(.14	)		(.24	)		(.36	)		(.36	)
Net realized gains		(6.40	)		(1.24	)		(1.99	)		(.03	)		(3.58	)
Total distributions		(6.67	)		(1.38	)		(2.23	)		(.39	)		(3.94	)
Net asset value, end of period	$	18.18		$	20.98		$	27.10		$	22.83		$	20.31
Total Return		22.06	%		(18.78	%)		30.12	%		14.44	%		1.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,158		$	4,878		$	6,260		$	3,344		$	3,747
Ratios to average net assets:
Net investment income (loss)		3.23	%		0.88	%		0.38	%		1.01	%		1.73	%
Total expensesc		1.27	%		1.00	%		1.06	%		1.08	%		1.09	%
Net expensesd		1.23	%		0.95	%		0.99	%		1.04	%		1.06	%
Portfolio turnover rate		56	%		62	%		25	%		69	%		51	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim StylePlus^TM—Mid Growth Fund (“Fund”).The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 19.84%¹, outperforming the Russell Midcap Growth Index, the Fund’s benchmark, which returned 17.47%.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

Over the Reporting Period, 15%-25% of the total equity position was allocated to actively managed equity and 75%-85% to passive equity. Remaining Fund assets were invested in the Guggenheim Strategy Funds, short-term fixed-income investment companies advised by Guggenheim Investments, and the Guggenheim Ultra Short Duration Fund, whose objective is to seek a high level of income consistent with the preservation of capital.

For the Reporting Period, the Fund outperformed the Russell Mid Growth Index by 2.37% net of fees. The Fund performed better than the benchmark due to contributions from the active equity and active fixed income sleeves, offset by cost of derivatives and Fund fees and expenses.

How did the Fund use derivatives during the Reporting Period?

The passive equity component, which accounted for 75%-85% of the Fund’s exposure to the broad equity market, consisted of equity index swaps and equity index futures. On average, the equity index futures accounted for 0%-5% of the overall exposure, with the remainder from equity index swaps. Both the swaps and futures benefited performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 87

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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 III	36.5%
Guggenheim Strategy Fund II	34.2%
Guggenheim Ultra Short Duration Fund — Institutional Class	3.3%
United Therapeutics Corp.	0.5%
Builders FirstSource, Inc.	0.5%
H&R Block, Inc.	0.4%
Dropbox, Inc. — Class A	0.4%
Exelixis, Inc.	0.4%
UFP Industries, Inc.	0.4%
Olin Corp.	0.4%
Top Ten Total	77.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

88 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	19.84%	5.71%	9.14%
A-Class Shares with sales charge†	14.14%	4.69%	8.61%
C-Class Shares	18.85%	4.78%	8.19%
C-Class Shares with CDSC‡	18.28%	4.78%	8.19%
Institutional Class Shares	20.02%	5.85%	9.25%
Russell Midcap Growth Index	17.47%	6.97%	9.94%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	19.40%	5.50%	7.40%
Russell Midcap Growth Index	17.47%	6.97%	8.68%

*	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. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 89

SCHEDULE OF INVESTMENTS	September 30, 2023
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 23.9%
Industrial - 7.3%
Builders FirstSource, Inc.*		2,411	$	300,146
UFP Industries, Inc.		2,386		244,327
Carlisle Companies, Inc.		873		226,334
Simpson Manufacturing Company, Inc.		1,500		224,715
Owens Corning		1,647		224,667
Donaldson Company, Inc.		3,544		211,364
Landstar System, Inc.		1,181		208,966
ITT, Inc.		2,096		205,220
Belden, Inc.		2,106		203,334
Lincoln Electric Holdings, Inc.		1,053		191,425
Watts Water Technologies, Inc. — Class A		1,064		183,880
Acuity Brands, Inc.		1,078		183,594
Valmont Industries, Inc.		709		170,309
Mueller Industries, Inc.		2,125		159,715
Boise Cascade Co.		1,508		155,384
AGCO Corp.		1,299		153,646
Illinois Tool Works, Inc.		652		150,162
Masco Corp.		2,756		147,308
Hubbell, Inc.		450		141,035
Snap-on, Inc.		523		133,396
nVent Electric plc		2,367		125,427
Keysight Technologies, Inc.*		826		109,288
Timken Co.		1,457		107,075
Universal Display Corp.		594		93,252
Advanced Drainage Systems, Inc.		695		79,112
Toro Co.		928		77,117
Expeditors International of Washington, Inc.		640		73,363
Curtiss-Wright Corp.		360		70,427
Graco, Inc.		962		70,111
Advanced Energy Industries, Inc.		645		66,512
Total Industrial				4,690,611
Consumer, Non-cyclical - 4.3%
United Therapeutics Corp.*		1,344		303,360
H&R Block, Inc.		6,194		266,714
Exelixis, Inc.*		11,584		253,110
Neurocrine Biosciences, Inc.*		1,809		203,513
Humana, Inc.		342		166,390
Jazz Pharmaceuticals plc*		1,259		162,965
Grand Canyon Education, Inc.*		1,291		150,892
Incyte Corp.*		2,522		145,696
Molina Healthcare, Inc.*		424		139,025
Hologic, Inc.*		1,993		138,314
HCA Healthcare, Inc.		521		128,156
WEX, Inc.*		600		112,854
Lantheus Holdings, Inc.*		1,583		109,987
Shockwave Medical, Inc.*		470		93,577
Encompass Health Corp.		1,384		92,949
Quest Diagnostics, Inc.		665		81,037
Darling Ingredients, Inc.*		1,472		76,838
Halozyme Therapeutics, Inc.*		1,879		71,778
Globus Medical, Inc. — Class A*		1,077		53,473
Celsius Holdings, Inc.*		309		53,024
Total Consumer, Non-cyclical				2,803,652
Consumer, Cyclical - 4.0%
Deckers Outdoor Corp.*		435		223,629
Murphy USA, Inc.		587		200,595
MSC Industrial Direct Company, Inc. — Class A		1,959		192,276
Gentex Corp.		5,855		190,522
Brunswick Corp.		2,369		187,151
Boyd Gaming Corp.		3,054		185,775
Polaris, Inc.		1,691		176,101
Williams-Sonoma, Inc.		1,037		161,150
Yum! Brands, Inc.		939		117,319
Ulta Beauty, Inc.*		266		106,254
Tempur Sealy International, Inc.		2,364		102,456
DR Horton, Inc.		948		101,882
Watsco, Inc.		231		87,253
Dolby Laboratories, Inc. — Class A		1,099		87,106
Crocs, Inc.*		963		84,966
Visteon Corp.*		609		84,084
Cummins, Inc.		314		71,736
AutoNation, Inc.*		424		64,194
Harley-Davidson, Inc.		1,887		62,384
Choice Hotels International, Inc.		472		57,825
Dick’s Sporting Goods, Inc.		525		57,004
Total Consumer, Cyclical				2,601,662
Technology - 3.1%
Dropbox, Inc. — Class A*		9,476		258,032
Cirrus Logic, Inc.*		2,181		161,307
Lattice Semiconductor Corp.*		1,657		142,386
Super Micro Computer, Inc.*		513		140,675
NXP Semiconductor N.V.		686		137,145
Microchip Technology, Inc.		1,582		123,475
Teradata Corp.*		2,301		103,591
Qualys, Inc.*		676		103,123
KLA Corp.		221		101,364
Manhattan Associates, Inc.*		503		99,423
CommVault Systems, Inc.*		1,440		97,358
Dynatrace, Inc.*		1,848		86,357
Cadence Design Systems, Inc.*		318		74,507
Silicon Laboratories, Inc.*		619		71,736
Amkor Technology, Inc.		3,031		68,501
Allegro MicroSystems, Inc.*		2,070		66,116
MACOM Technology Solutions Holdings, Inc.*		716		58,411
Teradyne, Inc.		466		46,814
Autodesk, Inc.*		217		44,900
Total Technology				1,985,221
Energy - 2.2%
Chord Energy Corp.		1,385		224,467
Southwestern Energy Co.*		34,484		222,422
CNX Resources Corp.*		9,402		212,297

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
STYLEPLUS—MID GROWTH FUND

	Shares		Value
Range Resources Corp.		5,447	$	176,537
PBF Energy, Inc. — Class A		2,784		149,027
Ovintiv, Inc.		2,512		119,496
Marathon Petroleum Corp.		747		113,051
Occidental Petroleum Corp.		1,237		80,257
Coterra Energy, Inc. — Class A		2,181		58,996
Matador Resources Co.		823		48,952
Total Energy				1,405,502
Financial - 1.5%
Cathay General Bancorp		4,378		152,179
International Bancshares Corp.		3,422		148,310
SouthState Corp.		2,159		145,430
East West Bancorp, Inc.		2,199		115,909
Kinsale Capital Group, Inc.		255		105,603
Affiliated Managers Group, Inc.		709		92,411
Interactive Brokers Group, Inc. — Class A		1,048		90,715
RenaissanceRe Holdings Ltd.		373		73,825
Federated Hermes, Inc. — Class B		1,590		53,853
Total Financial				978,235
Basic Materials - 1.0%
Olin Corp.		4,867		243,253
NewMarket Corp.		399		181,561
Cabot Corp.		1,325		91,783
Reliance Steel & Aluminum Co.		238		62,411
RPM International, Inc.		487		46,172
Total Basic Materials				625,180
Communications - 0.5%
VeriSign, Inc.*		693		140,354
Motorola Solutions, Inc.		392		106,718
Calix, Inc.*		1,155		52,945
Gen Digital, Inc.		2,359		41,707
Total Communications				341,724
Total Common Stocks
(Cost $14,736,411)				15,431,787
MUTUAL FUNDS† - 74.0%
Guggenheim Strategy Fund III1		972,777		23,628,764
Guggenheim Strategy Fund II1		913,348		22,166,962
Guggenheim Ultra Short Duration Fund — Institutional Class1		218,083		2,126,306
Total Mutual Funds
(Cost $48,352,340)				47,922,032
MONEY MARKET FUND† - 2.1%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%2		1,380,565		1,380,565
Total Money Market Fund
(Cost $1,380,565)				1,380,565
Total Investments - 100.0%
(Cost $64,469,316)			$	64,734,384
Other Assets & Liabilities, net - 0.0%				13,874
Total Net Assets - 100.0%			$	64,748,258

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P MidCap 400 Index Mini Futures Contracts		4		Dec 2023	$	1,008,000	$	(33,850	)
S&P 500 Index Mini Futures Contracts		4		Dec 2023		865,250		(37,561	)
NASDAQ-100 Index Mini Futures Contracts		3		Dec 2023		892,035		(38,000	)
					$	2,765,285	$	(109,411	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo Bank, N.A.

Russell MidCap Growth Index Total Return

Pay

5.61% (Federal Funds Rate + 0.28%)

At Maturity

01/29/24

10,714

$

48,204,536

$

5,149,352

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
STYLEPLUS—MID GROWTH 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 September 30, 2023.
	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 September 30, 2023 (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	$	15,431,787	$	—	$	—	$	15,431,787
Mutual Funds		47,922,032		—		—		47,922,032
Money Market Fund		1,380,565		—		—		1,380,565
Equity Index Swap Agreements**		—		5,149,352		—		5,149,352
Total Assets	$	64,734,384	$	5,149,352	$	—	$	69,883,736

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	109,411	$	—	$	—	$	109,411

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

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value 09/30/23		Shares 09/30/23		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	22,990,350	$	12,577,433	$	(13,675,218	)	$	(460,982	)	$	735,379	$	22,166,962		913,348	$	1,152,979
Guggenheim Strategy Fund III		24,117,173		4,899,600		(5,623,812	)		(206,384	)		442,187		23,628,764		972,777		1,214,997
Guggenheim Ultra Short Duration Fund — Institutional Class		1,992,867		99,806		—			—			33,633		2,126,306		218,083		99,791
	$	49,100,390	$	17,576,839	$	(19,299,030	)	$	(667,366	)	$	1,211,199	$	47,922,032			$	2,467,767

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $16,116,976)	$	16,812,352
Investments in affiliated issuers, at value (cost $48,352,340)		47,922,032
Segregated cash with broker		216,898
Unrealized appreciation on OTC swap agreements		5,149,352
Prepaid expenses		33,455
Receivables:
Dividends		235,676
Fund shares sold		8,801
Interest		6,796
Total assets		70,385,362
Liabilities:
Overdraft due to custodian bank		4,545
Segregated cash due to broker		3,570,000
Payable for:
Swap settlement		1,704,842
Securities purchased		235,798
Management fees		40,635
Distribution and service fees		13,841
Fund accounting and administration fees		6,541
Variation margin on futures contracts		6,360
Transfer agentfees		3,912
Trustees’ fees*		465
Fund shares redeemed		196
Miscellaneous		49,969
Total liabilities		5,637,104
Net assets	$	64,748,258
Net assets consist of:
Paid in capital	$	85,102,686
Total distributable earnings (loss)		(20,354,428	)
Net assets	$	64,748,258
A-Class:
Net assets	$	63,225,247
Capital shares outstanding		2,170,593
Net asset value per share	$	29.13
Maximum offering price per share (Net asset value divided by 95.25%)	$	30.58
C-Class:
Net assets	$	556,155
Capital shares outstanding		51,078
Net asset value per share	$	10.89
P-Class:
Net assets	$	49,832
Capital shares outstanding		1,756
Net asset value per share	$	28.38
Institutional Class:
Net assets	$	917,024
Capital shares outstanding		31,479
Net asset value per share	$	29.13

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $325)	$	192,560
Dividends from securities of affiliated issuers		2,467,767
Interest		93,700
Total investment income		2,754,027
Expenses:
Management fees		494,887
Distribution and service fees:
A-Class		160,785
C-Class		6,094
P-Class		177
Transfer agent fees:
A-Class		77,327
C-Class		1,297
P-Class		349
Institutional Class		1,881
Interest expense		165,583
Registration fees		65,158
Professional fees		44,834
Fund accounting and administration fees		36,029
Custodian fees		16,225
Trustees’ fees*		13,944
Line of credit fees		2,187
Miscellaneous		12,836
Total expenses		1,099,593
Less:
Expenses waived by Adviser		(5,144	)
Earnings credits applied		(1,281	)
Total waived expenses		(6,425	)
Net expenses		1,093,168
Net investment income		1,660,859
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(116,923	)
Investments in affiliated issuers		(667,366	)
Swap agreements		(22,219,474	)
Futures contracts		25,500
Net realized loss		(22,978,263	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		3,913,611
Investments in affiliated issuers		1,211,199
Swap agreements		27,974,037
Futures contracts		17,820
Net change in unrealized appreciation (depreciation)		33,116,667
Net realized and unrealized gain		10,138,404
Net increase in net assets resulting from operations	$	11,799,263

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

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,660,859		$	324,608
Net realized gain (loss) on investments		(22,978,263	)		17,885,118
Net change in unrealized appreciation (depreciation) on investments		33,116,667			(50,489,951	)
Net increase (decrease) in net assets resulting from operations		11,799,263			(32,280,225	)
Distributions to shareholders:
A-Class		(18,424,696	)		(6,756,571	)
C-Class		(356,411	)		(132,465	)
P-Class		(34,001	)		(15,261	)
Institutional Class		(258,969	)		(94,156	)
Total distributions to shareholders		(19,074,077	)		(6,998,453	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,044,582			1,567,712
C-Class		26,052			27,151
P-Class		5,957			30,227
Institutional Class		374,605			430,972
Distributions reinvested
A-Class		17,671,252			6,449,689
C-Class		298,799			107,727
P-Class		34,001			15,261
Institutional Class		250,941			89,198
Cost of shares redeemed
A-Class		(15,576,440	)		(10,782,195	)
C-Class		(213,354	)		(289,331	)
P-Class		(80,078	)		(102,638	)
Institutional Class		(508,296	)		(507,524	)
Net increase (decrease) from capital share transactions		3,328,021			(2,963,751	)
Net decrease in net assets		(3,946,793	)		(42,242,429	)
Net assets:
Beginning of year		68,695,051			110,937,480
End of year	$	64,748,258		$	68,695,051
Capital share activity:
Shares sold
A-Class		34,720			35,090
C-Class		2,227			1,116
P-Class		203			800
Institutional Class		13,235			10,243
Shares issued from reinvestment of distributions
A-Class		659,621			131,225
C-Class		29,643			3,936
P-Class		1,299			315
Institutional Class		9,384			1,814
Shares redeemed
A-Class		(481,994	)		(256,009	)
C-Class		(17,169	)		(11,608	)
P-Class		(2,987	)		(2,436	)
Institutional Class		(16,939	)		(12,632	)
Net increase (decrease) in shares		231,243			(98,146	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	34.22		$	52.73		$	45.98		$	39.64		$	49.70
Income (loss) from investment operations:
Net investment income (loss)a		.76			.16			(.02	)		.19			.45
Net gain (loss) on investments (realized and unrealized)		5.07			(15.32	)		13.67			7.06			(1.58	)
Total from investment operations		5.83			(15.16	)		13.65			7.25			(1.13	)
Less distributions from:
Net investment income		(.19	)		—			(.20	)		(.45	)		(.41	)
Net realized gains		(10.73	)		(3.35	)		(6.70	)		(.46	)		(8.52	)
Total distributions		(10.92	)		(3.35	)		(6.90	)		(.91	)		(8.93	)
Net asset value, end of period	$	29.13		$	34.22		$	52.73		$	45.98		$	39.64
Total Returnb		19.84	%		(30.68	%)		31.07	%		18.57	%		2.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	63,225		$	67,014		$	107,983		$	89,469		$	83,027
Ratios to average net assets:
Net investment income (loss)		2.52	%		0.36	%		(0.04	%)		0.46	%		1.13	%
Total expensesc		1.66	%		1.32	%		1.34	%		1.45	%		1.44	%
Net expensesd		1.65	%		1.30	%		1.28	%		1.40	%		1.41	%
Portfolio turnover rate		82	%		72	%		44	%		82	%		73	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	18.92		$	30.92		$	29.40		$	25.66		$	35.78
Income (loss) from investment operations:
Net investment income (loss)a		.20			(.15	)		(.29	)		(.10	)		.08
Net gain (loss) on investments (realized and unrealized)		2.50			(8.50	)		8.51			4.53			(1.68	)
Total from investment operations		2.70			(8.65	)		8.22			4.43			(1.60	)
Less distributions from:
Net investment income		—			—			—			(.23	)		—
Net realized gains		(10.73	)		(3.35	)		(6.70	)		(.46	)		(8.52	)
Total distributions		(10.73	)		(3.35	)		(6.70	)		(.69	)		(8.52	)
Net asset value, end of period	$	10.89		$	18.92		$	30.92		$	29.40		$	25.66
Total Returnb		18.85	%		(31.33	%)		29.88	%		17.53	%		1.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	556		$	688		$	1,327		$	1,510		$	1,683
Ratios to average net assets:
Net investment income (loss)		1.66	%		(0.59	%)		(0.94	%)		(0.39	%)		0.30	%
Total expensesc		2.49	%		2.25	%		2.26	%		2.32	%		2.27	%
Net expensesd		2.48	%		2.23	%		2.20	%		2.28	%		2.24	%
Portfolio turnover rate		82	%		72	%		44	%		82	%		73	%

96 | THE GUGGENHEIM FUNDS 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.

P-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	33.58		$	51.96		$	45.45		$	39.17		$	49.12
Income (loss) from investment operations:
Net investment income (loss)a		.64			—			(.07	)		.15			.41
Net gain (loss) on investments (realized and unrealized)		4.96			(15.03	)		13.51			6.99			(1.58	)
Total from investment operations		5.60			(15.03	)		13.44			7.14			(1.17	)
Less distributions from:
Net investment income		(.07	)		—			(.23	)		(.40	)		(.26	)
Net realized gains		(10.73	)		(3.35	)		(6.70	)		(.46	)		(8.52	)
Total distributions		(10.80	)		(3.35	)		(6.93	)		(.86	)		(8.78	)
Net asset value, end of period	$	28.38		$	33.58		$	51.96		$	45.45		$	39.17
Total Return		19.40	%		(30.90	%)		30.92	%		18.48	%		2.22	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	50		$	109		$	237		$	116		$	93
Ratios to average net assets:
Net investment income (loss)		2.09	%		0.01	%		(0.14	%)		0.36	%		1.04	%
Total expensesc		1.97	%		1.56	%		1.43	%		1.54	%		1.55	%
Net expensesd		1.96	%		1.54	%		1.37	%		1.50	%		1.51	%
Portfolio turnover rate		82	%		72	%		44	%		82	%		73	%

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	34.25		$	52.71		$	45.98		$	39.64		$	49.80
Income (loss) from investment operations:
Net investment income (loss)a		.82			.22			.07			.24			.51
Net gain (loss) on investments (realized and unrealized)		5.05			(15.33	)		13.65			7.09			(1.63	)
Total from investment operations		5.87			(15.11	)		13.72			7.33			(1.12	)
Less distributions from:
Net investment income		(.26	)		—			(.29	)		(.53	)		(.52	)
Net realized gains		(10.73	)		(3.35	)		(6.70	)		(.46	)		(8.52	)
Total distributions		(10.99	)		(3.35	)		(6.99	)		(.99	)		(9.04	)
Net asset value, end of period	$	29.13		$	34.25		$	52.71		$	45.98		$	39.64
Total Return		20.02	%		(30.60	%)		31.26	%		18.79	%		2.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	917		$	884		$	1,390		$	1,311		$	972
Ratios to average net assets:
Net investment income (loss)		2.72	%		0.50	%		0.14	%		0.58	%		1.28	%
Total expensesc		1.49	%		1.20	%		1.17	%		1.26	%		1.31	%
Net expensesd		1.49	%		1.18	%		1.11	%		1.22	%		1.28	%
Portfolio turnover rate		82	%		72	%		44	%		82	%		73	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim World Equity Income Fund (“Fund”).The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Evan Einstein, Managing Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 15.69%¹, underperforming the MSCI World Index (Net), the Fund’s benchmark (“Benchmark”), which returned 21.95% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

Global stocks over the past year initially benefited from more modest inflation readings, dovishness in the European Central Bank, and continued solid economic data from the U.S. But higher U.S. Treasury Bill yields, and the return of a more hawkish U.S. Federal Reserve eventually took their toll. The Fund’s positioning in lower-risk and higher-yielding stocks, compared with the Benchmark, contributed to its relative underperformance for the Reporting Period. The Fund’s strategy tends to create a bias toward value-oriented investments, which can be a drag on performance in up markets.

The leading detractor from return was security selection, with Information Technology, Communication Services, and Utilities sectors responsible for most of the relative underperformance. The Fund was also most underweight relative to the Benchmark in the Information Tech sector, which exacerbated the underperformance. An underweight in the Health Care sector and good selection in Materials were the largest positive contributors to the Fund’s return.

From a country perspective, the U.S. was the single largest relative detractor from return. Its impact is magnified as it is also the largest country represented in the Fund and the Benchmark. Canada, Israel, and the UK were the other leading detractors from return on a relative basis. Japan, the country with the second-largest weighting in the Fund, provided the largest positive relative contribution to return. This was due in part to the weakened currency, which translates to a boost to companies operating there. Although Europe as a whole was a detractor from return, Italy and Spain provided the large positive contributions.

The top individual contributors to the Fund were overweights in Sumitomo Corp. and tech companies Dell Technologies, Inc., Intel Corp., and Broadcom, Inc. The biggest detractors were an underweight in Technology company Nvidia Corp., and communication company Meta Platforms, Inc., and an overweight in SolarEdge Technologies, Inc (not held at 9/30/23).

How did the Fund use derivatives during the Reporting Period?

The Fund uses currency contract futures to hedge non-U.S. dollar equity positions, which helps to reduce volatility. Their contribution to performance in aggregate was positive, as the currency futures were active for much of the Reporting Period and the dollar strengthened against other currencies for much of the Reporting Period as well.

How was the Fund positioned at the end of the Reporting Period?

The continuing rise in interest rates and a historically wide valuation gap between growth and value sectors were among the factors that saw growth stocks solidly outperform value stocks over the Reporting Period. Compared with the Benchmark, the Fund is positioned more cautiously, as we anticipate continuing market volatility that defined much of the Reporting Period. We are also positioned for higher yield than the Benchmark as we aim to generate income.

The Fund was most overweight in the Industrials and Utilities sectors at the end of the Reporting Period, and most underweight in the Health Care, Communication Services, and Information Technology sectors. The currency hedge ended the Reporting Period with several active positions including the Japanese Yen and Euro as the U.S. dollar continued to strengthen.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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.

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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		66.1	%
Japan		8.1	%
Australia		5.0	%
Canada		4.4	%
United Kingdom		2.9	%
Italy		1.9	%
Spain		1.9	%
Other		9.7	%
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
Microsoft Corp.	3.0%
Apple, Inc.	2.7%
Alphabet, Inc. — Class C	1.9%
NVIDIA Corp.	1.6%
UnitedHealth Group, Inc.	1.6%
Berkshire Hathaway, Inc. — Class B	1.5%
Amazon.com, Inc.	1.4%
Home Depot, Inc.	1.1%
Amgen, Inc.	1.1%
Walmart, Inc.	1.0%
Top Ten Total	16.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	15.69%	5.10%	6.13%
A-Class Shares with sales charge†	10.19%	4.08%	5.61%
C-Class Shares	14.87%	4.31%	5.34%
C-Class Shares with CDSC‡	13.87%	4.31%	5.34%
Institutional Class Shares	15.97%	5.38%	6.40%
MSCI World Index (Net)	21.95%	7.26%	8.26%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	15.65%	5.09%	5.86%
MSCI World Index (Net)	21.95%	7.26%	7.62%

*	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 (Net) is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
†	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.

100 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2023
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 97.0%
Financial - 17.4%
Berkshire Hathaway, Inc. — Class B*		1,890	$	662,067
National Australia Bank Ltd.††		21,450		398,188
ANZ Group Holdings Ltd.††		22,520		369,349
Goldman Sachs Group, Inc.		1,100		355,927
Banco Bilbao Vizcaya Argentaria S.A.††		43,570		352,665
Credit Agricole S.A.††		28,060		345,047
Citigroup, Inc.		8,370		344,258
Intesa Sanpaolo SpA††		131,700		337,366
Westpac Banking Corp.††		24,660		333,328
Banco Santander S.A.††		87,380		332,802
Public Storage REIT		1,200		316,224
Mediobanca Banca di Credito Finanziario SpA††		23,070		304,206
Capital One Financial Corp.		3,100		300,855
Simon Property Group, Inc. REIT		2,690		290,601
Swiss Life Holding AG††		450		280,017
T. Rowe Price Group, Inc.		2,600		272,662
AvalonBay Communities, Inc. REIT		1,571		269,804
AXA S.A.††		7,000		207,715
Amundi S.A.††,1		3,490		196,053
Legal & General Group plc††		69,760		188,143
ASX Ltd.††		4,000		146,306
Mizrahi Tefahot Bank Ltd.		4,000		144,968
Gaming and Leisure Properties, Inc. REIT		3,030		138,016
Chubb Ltd.		661		137,607
Healthcare Realty Trust, Inc. REIT		9,000		137,430
Assicurazioni Generali SpA††		6,000		122,494
Allianz AG††		500		119,007
Bank Hapoalim BM		12,000		106,726
Loews Corp.		1,600		101,296
Zurich Insurance Group AG††		200		91,523
Boston Properties, Inc. REIT		1,300		77,324
Total Financial				7,779,974
Technology - 16.6%
Microsoft Corp.		4,306		1,359,619
Apple, Inc.		7,174		1,228,261
NVIDIA Corp.		1,630		709,034
Texas Instruments, Inc.		2,889		459,380
Dell Technologies, Inc. — Class C		6,200		427,180
CGI, Inc.*		3,500		345,092
Check Point Software Technologies Ltd.*		2,390		318,539
Intel Corp.		8,598		305,659
Broadcom, Inc.		352		292,364
Workday, Inc. — Class A*		1,300		279,305
QUALCOMM, Inc.		2,300		255,438
Lam Research Corp.		400		250,708
Ricoh Company Ltd.††		27,920		240,894
Skyworks Solutions, Inc.		2,400		236,616
WiseTech Global Ltd.††		5,000		207,543
Cognizant Technology Solutions Corp. — Class A		2,800		189,672
HubSpot, Inc.*		300		147,750
Seiko Epson Corp.††		6,190		97,212
KLA Corp.		200		91,732
Total Technology				7,441,998
Consumer, Non-cyclical - 15.9%
UnitedHealth Group, Inc.		1,377		694,270
Amgen, Inc.		1,798		483,231
PepsiCo, Inc.		2,610		442,238
Johnson & Johnson		2,592		403,704
Unilever plc††		8,070		399,131
Japan Tobacco, Inc.††		15,900		365,830
McKesson Corp.		830		360,925
HCA Healthcare, Inc.		1,400		344,372
Colgate-Palmolive Co.		4,803		341,541
Sysco Corp.		4,860		321,003
Imperial Brands plc††		15,140		307,031
CK Hutchison Holdings Ltd.††		47,468		252,032
Laboratory Corporation of America Holdings		1,200		241,260
Archer-Daniels-Midland Co.		3,100		233,802
Tyson Foods, Inc. — Class A		4,300		217,107
Seagen, Inc.*		1,020		216,393
Cencora, Inc. — Class A		1,175		211,465
Thermo Fisher Scientific, Inc.		400		202,468
Cintas Corp.		390		187,594
Pfizer, Inc.		5,000		165,850
Bristol-Myers Squibb Co.		2,600		150,904
Viatris, Inc.		13,900		137,054
Elevance Health, Inc.		300		130,626
CSL Ltd.††		700		112,767
Bunge Ltd.		900		97,425
Kimberly-Clark Corp.		600		72,510
Total Consumer, Non-cyclical				7,092,533
Consumer, Cyclical - 13.7%
Home Depot, Inc.		1,609		486,176
Walmart, Inc.		2,900		463,797
Sumitomo Corp.††		19,900		397,166
Lowe’s Companies, Inc.		1,860		386,582
Honda Motor Co., Ltd.††		32,700		367,868
WW Grainger, Inc.		480		332,083
General Motors Co.		10,000		329,700
Ford Motor Co.		24,900		309,258
Tesla, Inc.*		1,200		300,264
Aisin Corp.††		7,500		283,390
Bayerische Motoren Werke AG††		2,670		271,227
Ferguson plc		1,600		263,152
Sekisui House Ltd.††		12,930		257,327
Target Corp.		2,200		243,254
Toromont Industries Ltd.		2,900		236,256
Isuzu Motors Ltd.††		16,100		202,404
Fastenal Co.		3,700		202,168
Canadian Tire Corporation Ltd. — Class A		1,529		164,460
InterContinental Hotels Group plc††		2,200		162,639
Lear Corp.		1,140		152,988

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
WORLD EQUITY INCOME FUND

	Shares		Value
Cummins, Inc.		500	$	114,230
Costco Wholesale Corp.		200		112,992
Aristocrat Leisure Ltd.††		4,000		104,501
Total Consumer, Cyclical				6,143,882
Industrial - 12.5%
AP Moller - Maersk A/S — Class B††		220		395,766
United Parcel Service, Inc. — Class B		2,390		372,529
Illinois Tool Works, Inc.		1,538		354,217
Waste Connections, Inc.		2,500		335,750
Canadian National Railway Co.		3,010		326,063
Lockheed Martin Corp.		789		322,670
FedEx Corp.		1,200		317,904
Builders FirstSource, Inc.*		2,500		311,225
Snap-on, Inc.		1,090		278,015
Mitsui OSK Lines Ltd.††		9,720		267,098
Nippon Yusen K.K.††		9,890		256,794
Arrow Electronics, Inc.*		1,680		210,403
J.B. Hunt Transport Services, Inc.		1,100		207,372
CCL Industries, Inc. — Class B		4,790		201,112
Kawasaki Kisen Kaisha Ltd.††		5,600		191,106
Expeditors International of Washington, Inc.		1,500		171,945
Amphenol Corp. — Class A		1,980		166,300
Garmin Ltd.		1,400		147,280
ACS Actividades de Construccion y Servicios S.A.††		4,000		143,822
Obayashi Corp.††		14,000		123,199
Mettler-Toledo International, Inc.*		100		110,807
Packaging Corporation of America		624		95,815
Owens Corning		700		95,487
Poste Italiane SpA††,1		9,000		94,527
CH Robinson Worldwide, Inc.		800		68,904
Total Industrial				5,566,110
Energy - 6.6%
Phillips 66		3,840		461,376
Marathon Petroleum Corp.		2,720		411,645
Valero Energy Corp.		2,640		374,114
Woodside Energy Group Ltd.††		14,040		326,431
HF Sinclair Corp.		4,560		259,601
Ampol Ltd.††		9,800		211,574
Chevron Corp.		1,090		183,796
Cheniere Energy, Inc.		1,100		182,556
ENEOS Holdings, Inc.††		40,000		157,446
Galp Energia SGPS S.A. — Class B††		9,000		133,330
Exxon Mobil Corp.		1,000		117,580
Imperial Oil Ltd.		1,400		116,793
Total Energy				2,936,242
Communications - 5.7%
Alphabet, Inc. — Class C*		6,435		848,455
Amazon.com, Inc.*		4,838		615,006
Zillow Group, Inc. — Class C*		4,830		222,953
HKT Trust & HKT Ltd.††		201,950		210,604
Meta Platforms, Inc. — Class A*		600		180,126
Motorola Solutions, Inc.		544		148,098
Nice Ltd.*		670		113,428
Verizon Communications, Inc.		3,381		109,578
WPP plc††		12,240		109,016
Total Communications				2,557,264
Utilities - 4.8%
Duke Energy Corp.		4,175		368,486
DTE Energy Co.		2,980		295,854
Consolidated Edison, Inc.		3,400		290,802
Centrica plc††		130,400		245,181
Power Assets Holdings Ltd.††		46,000		222,175
Southern Co.		2,975		192,542
Sempra		2,400		163,272
Emera, Inc.		3,480		121,532
Public Service Enterprise Group, Inc.		1,500		85,365
Dominion Energy, Inc.		1,800		80,406
Exelon Corp.		2,010		75,958
Total Utilities				2,141,573
Basic Materials - 3.6%
Nippon Steel Corp.††		15,350		359,624
LyondellBasell Industries N.V. — Class A		3,788		358,724
Nucor Corp.		2,100		328,335
International Paper Co.		6,193		219,666
Steel Dynamics, Inc.		2,000		214,440
Reliance Steel & Aluminum Co.		500		131,115
Total Basic Materials				1,611,904
Total Common Stocks
(Cost $42,704,413)				43,271,480
EXCHANGE-TRADED FUNDS† - 1.7%
iShares MSCI EAFE ETF		5,623		387,538
SPDR S&P 500 ETF Trust		894		382,167
Total Exchange-Traded Funds
(Cost $790,541)				769,705
MONEY MARKET FUND† - 0.5%
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 5.22%2		233,728		233,728
Total Money Market Fund
(Cost $233,728)				233,728
Total Investments - 99.0%
(Cost $43,728,682)			$	44,274,913
Other Assets & Liabilities, net - 1.0%				449,450
Total Net Assets - 100.0%			$	44,724,363

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
WORLD EQUITY INCOME FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation**
Currency Futures Contracts Sold Short†
Japanese Yen Futures Contracts		45		Dec 2023	$	3,811,219	$	89,824
Euro FX Futures Contracts		22		Dec 2023		2,917,062		53,750
British Pound Futures Contracts		19		Dec 2023		1,449,225		39,851
					$	8,177,506	$	183,425

*	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	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 $290,580 (cost $321,146), or 0.6% of total net assets.
2	Rate indicated is the 7-day yield as of September 30, 2023.
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	31,670,616	$	11,600,864	$	—	$	43,271,480
Exchange-Traded Funds		769,705		—		—		769,705
Money Market Fund		233,728		—		—		233,728
Currency Futures Contracts**		183,425		—		—		183,425
Total Assets	$	32,857,474	$	11,600,864	$	—	$	44,458,338

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 103

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $43,728,682)	$	44,274,913
Foreign currency, at value (cost $18,055)		18,700
Segregated cash with broker		251,000
Prepaid expenses		41,152
Receivables:
Securities sold		789,153
Foreign tax reclaims		75,348
Dividends		64,065
Interest		803
Fund shares sold		530
Variation margin on futures contracts		500
Total assets		45,516,164
Liabilities:
Overdraft due to custodian bank		2,086
Payable for:
Securities purchased		626,790
Fund shares redeemed		88,408
Distribution and service fees		10,483
Management fees		8,352
Transfer agent fees		5,417
Fund accounting and administration fees		5,327
Distributions to shareholders		4,765
Trustees’ fees*		1,163
Miscellaneous		39,010
Total liabilities		791,801
Net assets	$	44,724,363
Net assets consist of:
Paid in capital	$	44,333,242
Total distributable earnings (loss)		391,121
Net assets	$	44,724,363
A-Class:
Net assets	$	39,183,675
Capital shares outstanding		2,761,009
Net asset value per share	$	14.19
Maximum offering price per share (Net asset value divided by 95.25%)	$	14.90
C-Class:
Net assets	$	2,644,621
Capital shares outstanding		228,255
Net asset value per share	$	11.59
P-Class:
Net assets	$	94,435
Capital shares outstanding		6,590
Net asset value per share	$	14.33
Institutional Class:
Net assets	$	2,801,632
Capital shares outstanding		199,037
Net asset value per share	$	14.08

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends (net of foreign withholding tax of $120,286)	$	1,373,153
Interest		9,232
Total investment income		1,382,385
Expenses:
Management fees		320,156
Distribution and service fees:
A-Class		99,384
C-Class		27,204
P-Class		195
Transfer agent fees:
A-Class		62,339
C-Class		4,396
P-Class		314
Institutional Class		4,945
Registration fees		61,500
Professional fees		45,259
Fund accounting and administration fees		27,875
Custodian fees		16,370
Trustees’ fees*		12,731
Line of credit fees		1,574
Miscellaneous		13,641
Total expenses		697,883
Less:
Expenses reimbursed by Adviser:
A-Class		(62,164	)
C-Class		(4,381	)
P-Class		(313	)
Institutional Class		(4,929	)
Expenses waived by Adviser		(71,170	)
Total waived/reimbursed expenses		(142,957	)
Net expenses		554,926
Net investment income		827,459
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(126,502	)
Futures contracts		356,540
Foreign currency transactions		(33,285	)
Net realized gain		196,753
Net change in unrealized appreciation (depreciation) on:
Investments		5,652,331
Futures contracts		(101,241	)
Foreign currency translations		6,933
Net change in unrealized appreciation (depreciation)		5,558,023
Net realized and unrealized gain		5,754,776
Net increase in net assets resulting from operations	$	6,582,235

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

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	827,459		$	949,839
Net realized gain (loss) on investments		196,753			(159,738	)
Net change in unrealized appreciation (depreciation) on investments		5,558,023			(7,578,951	)
Net increase (decrease) in net assets resulting from operations		6,582,235			(6,788,850	)
Distributions to shareholders:
A-Class		(722,703	)		(10,744,755	)
C-Class		(29,606	)		(873,734	)
P-Class		(1,387	)		(28,439	)
Institutional Class		(62,449	)		(968,069	)
Total distributions to shareholders		(816,145	)		(12,614,997	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,839,546			1,877,448
C-Class		303,253			269,648
P-Class		23,194			3,577
Institutional Class		359,897			5,857,937
Distributions reinvested
A-Class		695,071			10,254,795
C-Class		29,606			870,099
P-Class		1,233			28,438
Institutional Class		62,113			962,451
Cost of shares redeemed
A-Class		(4,132,861	)		(4,367,556	)
C-Class		(536,800	)		(560,409	)
P-Class		(275	)		(48,299	)
Institutional Class		(3,906,719	)		(2,193,005	)
Net increase (decrease) from capital share transactions		(5,262,742	)		12,955,124
Net increase (decrease) in net assets		503,348			(6,448,723	)
Net assets:
Beginning of year		44,221,015			50,669,738
End of year	$	44,724,363		$	44,221,015
Capital share activity:
Shares sold
A-Class		130,111			126,711
C-Class		26,132			21,381
P-Class		1,612			242
Institutional Class		25,667			390,214
Shares issued from reinvestment of distributions
A-Class		48,930			659,255
C-Class		2,549			68,252
P-Class		86			1,802
Institutional Class		4,415			62,780
Shares redeemed
A-Class		(292,035	)		(278,966	)
C-Class		(47,251	)		(44,338	)
P-Class		(18	)		(3,361	)
Institutional Class		(293,795	)		(150,633	)
Net increase (decrease) in shares		(393,597	)		853,339

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	12.49		$	18.73		$	15.03		$	15.26		$	15.77
Income (loss) from investment operations:
Net investment income (loss)a		.26			.29			.28			.20			.35
Net gain (loss) on investments (realized and unrealized)		1.70			(1.97	)		3.79			(.12	)g		(.36	)
Total from investment operations		1.96			(1.68	)		4.07			.08			(.01	)
Less distributions from:
Net investment income		(.25	)		(.34	)		(.34	)		(.27	)		(.37	)
Net realized gains		(.01	)		(4.22	)		(.03	)		(.04	)		(.13	)
Total distributions		(.26	)		(4.56	)		(.37	)		(.31	)		(.50	)
Net asset value, end of period	$	14.19		$	12.49		$	18.73		$	15.03		$	15.26
Total Returnb		15.69	%		(13.44	%)		27.13	%		0.60	%		0.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	39,183		$	35,905		$	44,337		$	37,911		$	60,639
Ratios to average net assets:
Net investment income (loss)		1.84	%		1.87	%		1.55	%		1.36	%		2.39	%
Total expensesc		1.50	%		1.39	%		1.45	%		1.48	%		1.37	%
Net expensesd,e,f		1.19	%		1.20	%		1.21	%		1.22	%		1.22	%
Portfolio turnover rate		156	%		162	%		191	%		192	%		127	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	10.20		$	16.03		$	12.87		$	13.06		$	13.53
Income (loss) from investment operations:
Net investment income (loss)a		.13			.14			.13			.08			.21
Net gain (loss) on investments (realized and unrealized)		1.39			(1.56	)		3.24			(.10	)g		(.33	)
Total from investment operations		1.52			(1.42	)		3.37			(.02	)		(.12	)
Less distributions from:
Net investment income		(.12	)		(.19	)		(.18	)		(.13	)		(.22	)
Net realized gains		(.01	)		(4.22	)		(.03	)		(.04	)		(.13	)
Total distributions		(.13	)		(4.41	)		(.21	)		(.17	)		(.35	)
Net asset value, end of period	$	11.59		$	10.20		$	16.03		$	12.87		$	13.06
Total Returnb		14.87	%		(14.11	%)		26.22	%		(0.13	%)		(0.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,645		$	2,518		$	3,230		$	2,893		$	3,366
Ratios to average net assets:
Net investment income (loss)		1.10	%		1.12	%		0.81	%		0.67	%		1.64	%
Total expensesc		2.25	%		2.20	%		2.28	%		2.40	%		2.28	%
Net expensesd,e,f		1.94	%		1.95	%		1.96	%		1.97	%		1.97	%
Portfolio turnover rate		156	%		162	%		191	%		192	%		127	%

106 | THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	12.60		$	18.91		$	15.17		$	15.38		$	15.92
Income (loss) from investment operations:
Net investment income (loss)a		.26			.29			.30			.20			.36
Net gain (loss) on investments (realized and unrealized)		1.71			(1.99	)		3.80			(.11	)g		(.39	)
Total from investment operations		1.97			(1.70	)		4.10			.09			(.03	)
Less distributions from:
Net investment income		(.23	)		(.39	)		(.33	)		(.26	)		(.38	)
Net realized gains		(.01	)		(4.22	)		(.03	)		(.04	)		(.13	)
Total distributions		(.24	)		(4.61	)		(.36	)		(.30	)		(.51	)
Net asset value, end of period	$	14.33		$	12.60		$	18.91		$	15.17		$	15.38
Total Return		15.65	%		(13.44	%)		27.10	%		0.66	%		0.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	94		$	62		$	118		$	94		$	129
Ratios to average net assets:
Net investment income (loss)		1.80	%		1.82	%		1.61	%		1.36	%		2.38	%
Total expensesc		1.74	%		1.62	%		1.53	%		1.56	%		1.44	%
Net expensesd,e,f		1.19	%		1.20	%		1.21	%		1.22	%		1.22	%
Portfolio turnover rate		156	%		162	%		191	%		192	%		127	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	12.40		$	18.61		$	14.94		$	15.16		$	15.71
Income (loss) from investment operations:
Net investment income (loss)a		.28			.36			.33			.25			.39
Net gain (loss) on investments (realized and unrealized)		1.70			(1.98	)		3.75			(.13	)g		(.37	)
Total from investment operations		1.98			(1.62	)		4.08			.12			.02
Less distributions from:
Net investment income		(.29	)		(.37	)		(.38	)		(.30	)		(.44	)
Net realized gains		(.01	)		(4.22	)		(.03	)		(.04	)		(.13	)
Total distributions		(.30	)		(4.59	)		(.41	)		(.34	)		(.57	)
Net asset value, end of period	$	14.08		$	12.40		$	18.61		$	14.94		$	15.16
Total Return		15.97	%		(13.18	%)		27.38	%		0.92	%		0.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,802		$	5,736		$	2,985		$	2,513		$	3,458
Ratios to average net assets:
Net investment income (loss)		1.99	%		2.36	%		1.82	%		1.66	%		2.67	%
Total expensesc		1.24	%		1.13	%		1.21	%		1.50	%		1.17	%
Net expensesd,e,f		0.94	%		0.95	%		0.96	%		0.97	%		0.97	%
Portfolio turnover rate		156	%		162	%		191	%		192	%		127	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	—	0.01%	—	—	0.00%*
C-Class	—	0.00%*	—	—	—
P-Class	—	0.00%*	—	—	—
Institutional Class	—	0.01%	0.02%	—	—

^* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.18%	1.20%	1.21%	1.22%	1.22%
C-Class	1.93%	1.95%	1.96%	1.97%	1.97%
P-Class	1.18%	1.20%	1.21%	1.22%	1.22%
Institutional Class	0.93%	0.95%	0.96%	0.97%	0.97%

^g 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 the fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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”or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, the Trust consisted of nineteen funds.

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

Fund	Investment Company Type
Alpha Opportunity Fund	Diversified
Large Cap Value Fund	Diversified
Market Neutral Real Estate Fund	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 September 30, 2023, 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” or the “Adviser”), which operate under the name Guggenheim Investments (“GI”), provide advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration,

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NOTES TO FINANCIAL STATEMENTS (continued)

legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.

Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts. (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

Futures contracts are valued on the basis of the last sale price 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 swap agreements entered into by a Fund are generally valued using an evaluated price provided by a pricing service provider.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. 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 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.

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

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NOTES TO FINANCIAL STATEMENTS (continued)

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.

(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, geopolitical 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 September 30, 2023, 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 share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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 (continued)

(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 Funds’ Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Funds’ 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 5.33% at September 30, 2023.

(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 strategies, 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 Funds’ 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.

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

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

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

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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NOTES TO FINANCIAL STATEMENTS (continued)

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 Funds’ Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ 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	$	3,477,681	$	—
StylePlus—Mid Growth Fund	Index exposure		2,094,825		—
World Equity Income Fund	Hedge		—		2,620,951

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	$	166,465,138	$	—
StylePlus—Mid Growth Fund	Index exposure		49,729,715		—

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	$	16,876,397	$	33,610,031
Market Neutral Real Estate Fund	Hedge		—		24,885,511
Risk Managed Real Estate Fund	Hedge, Leverage		52,667,631		49,148,092

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 September 30, 2023:

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2023:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2023
Alpha Opportunity Fund	$	—	$	2,180,789	$	—	$	2,180,789
Market Neutral Real Estate Fund		—		3,900,187		—		3,900,187
Risk Managed Real Estate Fund		—		10,413,513		—		10,413,513
StylePlus—Large Core Fund		—		21,088,775		—		21,088,775
StylePlus—Mid Growth Fund		—		5,149,352		—		5,149,352
World Equity Income Fund		—		—		183,425		183,425

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2023
Risk Managed Real Estate Fund	$	—	$	3,333,686	$	—	$	3,333,686
StylePlus—Large Core Fund		56,341		—		—		56,341
StylePlus—Mid Growth Fund		109,411		—		—		109,411

* 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 Funds’ Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2023:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency/Equity futures contracts	Net realized gain (loss) on futures contracts Net change in unrealized appreciation (depreciation) on futures contracts
Equity swap 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 Funds’ Statements of Operations categorized by primary risk exposure for the year ended September 30, 2023:

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	$	—	$	1,169,204		$	—	$	1,169,204
Market Neutral Real Estate Fund		—		1,791,735			—		1,791,735
Risk Managed Real Estate Fund		—		(248,222	)		—		(248,222	)
StylePlus—Large Core Fund		231,814		(37,756,615	)		—		(37,524,801	)
StylePlus—Mid Growth Fund		25,500		(22,219,474	)		—		(22,193,974	)
World Equity Income Fund		—		—			356,540		356,540

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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	$	—	$	(1,078,261	)	$	—		$	(1,078,261	)
Market Neutral Real Estate Fund		—		(812,638	)		—			(812,638	)
Risk Managed Real Estate Fund		—		(1,512,665	)		—			(1,512,665	)
StylePlus—Large Core Fund		183,408		61,878,961			—			62,062,369
StylePlus—Mid Growth Fund		17,820		27,974,037			—			27,991,857
World Equity Income Fund		—		—			(101,241	)		(101,241	)

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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

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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NOTES TO FINANCIAL STATEMENTS (continued)

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 Funds’ 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 Funds’ 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	$	2,180,789	$	—		2,180,789		—			—		$	2,180,789
Market Neutral Real Estate Fund	Custom basket swap agreements		3,900,187		—		3,900,187		—			(2,640,000	)		1,260,187
Risk Managed Real Estate Fund	Custom basket swap agreements		10,413,513		—		10,413,513		(3,333,686	)		(3,533,030	)		3,546,797
StylePlus—Large Core Fund	Swap equity contacts		21,088,775		—		21,088,775		—			(15,890,000	)		5,198,775
StylePlus—Mid Growth Fund	Swap equity contracts		5,149,352		—		5,149,352		—			(3,570,000	)		1,576,352

116 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

								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 Amounts of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Risk Managed Real Estate Fund	Custom basket swap agreements	$	3,333,686	$	–	$	3,333,686	$	(3,333,686	)	$	–	$	–

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 September 30, 2023.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Market Neutral Real Estate Fund	Goldman Sachs International	Custom basket swap agreements	$	—	$	770,000
	Morgan Stanley Capital Services LLC	Custom basket swap agreements		—		1,870,000
Market Neutral Real Estate Fund Total						2,640,000
Risk Managed Real Estate Fund	Goldman Sachs International	Custom basket swap agreements		730,000		—
	Morgan Stanley Capital Services LLC	Custom basket swap agreements		—		3,533,030
Risk Managed Real Estate Fund Total				730,000		3,533,030
StylePlus—Large Core Fund	Morgan Stanley Capital Services LLC	Futures contracts		200,000		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		15,890,000
StylePlus—Large Core Fund Total				200,000		15,890,000
StylePlus—Mid Growth Fund	Morgan Stanley Capital Services LLC	Futures contracts		216,898		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		3,570,000
StylePlus—Mid Growth Fund Total				216,898		3,570,000
World Equity Income Fund	BofA Securities, Inc.	Futures contracts		251,000		—

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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		02/01/25
Alpha Opportunity Fund – C-Class		2.51	%		05/31/17		02/01/25
Alpha Opportunity Fund – P-Class		1.76	%		05/31/17		02/01/25
Alpha Opportunity Fund – Institutional Class		1.51	%		05/31/17		02/01/25
Large Cap Value Fund – A-Class		1.15	%		11/30/12		02/01/25
Large Cap Value Fund – C-Class		1.90	%		11/30/12		02/01/25
Large Cap Value Fund – P-Class		1.15	%		05/01/15		02/01/25
Large Cap Value Fund – Institutional Class		0.90	%		06/05/13		02/01/25
Market Neutral Real Estate Fund – A-Class		1.65	%		02/26/16		02/01/25
Market Neutral Real Estate Fund – C-Class		2.40	%		02/26/16		02/01/25
Market Neutral Real Estate Fund – P-Class		1.65	%		02/26/16		02/01/25
Market Neutral Real Estate Fund – Institutional Class		1.40	%		02/26/16		02/01/25

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

	Limit			Effective Date		Contract End Date
Risk Managed Real Estate Fund – A-Class		1.30	%		03/26/14		02/01/25
Risk Managed Real Estate Fund – C-Class		2.05	%		03/26/14		02/01/25
Risk Managed Real Estate Fund – P-Class		1.30	%		05/01/15		02/01/25
Risk Managed Real Estate Fund – Institutional Class		1.10	%		03/26/14		02/01/25
Small Cap Value Fund – A-Class		1.30	%		11/30/12		02/01/25
Small Cap Value Fund – C-Class		2.05	%		11/30/12		02/01/25
Small Cap Value Fund – P-Class		1.30	%		05/01/15		02/01/25
Small Cap Value Fund – Institutional Class		1.05	%		11/30/12		02/01/25
World Equity Income Fund – A-Class		1.22	%		08/15/13		02/01/25
World Equity Income Fund – C-Class		1.97	%		08/15/13		02/01/25
World Equity Income Fund – P-Class		1.22	%		05/01/15		02/01/25
World Equity Income Fund – Institutional Class		0.97	%		08/15/13		02/01/25

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 September 30, 2023, 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	2024		2025		2026		Total
Alpha Opportunity Fund
A-Class	$	5,716	$	4,189	$	4,612	$	14,517
C-Class		739		584		502		1,825
P-Class		2,910		971		1,774		5,655
Institutional Class		—		—		8,730		8,730
Large Cap Value Fund
A-Class		115,360		99,071		106,239		320,670
C-Class		5,446		5,729		5,870		17,045
P-Class		961		796		522		2,279
Institutional Class		3,072		6,589		11,209		20,870
Market Neutral Real Estate Fund
A-Class		20,606		7,180		2,380		30,166
C-Class		888		689		524		2,101
P-Class		15,753		6,928		3,895		26,576
Institutional Class		103,050		121,875		95,116		320,041
Risk Managed Real Estate Fund
A-Class		—		—		1,314		1,314
C-Class		—		334		581		915
P-Class		834		6,841		4,114		11,789
Institutional Class		—		—		—		—
Small Cap Value Fund
A-Class		126,091		98,289		91,810		316,190
C-Class		24,783		14,817		10,065		49,665
P-Class		1,282		2,097		2,852		6,231
Institutional Class		38,236		44,992		44,148		127,376
World Equity Income Fund
A-Class		103,050		78,363		111,813		293,226
C-Class		10,532		7,540		7,790		25,862
P-Class		336		408		411		1,155
Institutional Class		7,366		7,859		8,688		23,913

THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2023, GI recouped amounts from the Funds as follows:

Alpha Opportunity Fund	$	13,191
Market Neutral Real Estate Fund		464
Risk Managed Real Estate Fund		69,899

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 year ended September 30, 2023, the investing Fund’s adviser waived fees related to investments in affiliated funds for the following Funds:

Fund	Amount Waived
StylePlus—Large Core Fund	$	87,068
StylePlus—Mid Growth Fund		5,144

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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 September 30, 2023, 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		77%

Note 6 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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.

120 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
Alpha Opportunity Fund	$	205,930	$	—	$	—	$	205,930
Large Cap Value Fund		537,701		3,093,835		—		3,631,536
Market Neutral Real Estate Fund		111,384		—		—		111,384
Risk Managed Real Estate Fund		9,734,314		18,153,953		2,638,803		30,527,070
Small Cap Value Fund		78,299		250,781		—		329,080
StylePlus—Large Core Fund		1,947,148		57,379,626		—		59,326,774
StylePlus—Mid Growth Fund		326,968		18,747,109		—		19,074,077
World Equity Income Fund		792,315		23,830		—		816,145

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Alpha Opportunity Fund	$	282,314	$	—	$	282,314
Large Cap Value Fund		570,132		2,127,841		2,697,973
Market Neutral Real Estate Fund		161,651		—		161,651
Risk Managed Real Estate Fund		26,745,499		6,663,532		33,409,031
Small Cap Value Fund		—		31,116		31,116
StylePlus—Large Core Fund		8,865,934		3,412,498		12,278,432
StylePlus—Mid Growth Fund		5,134,467		1,863,986		6,998,453
World Equity Income Fund		10,456,355		2,158,642		12,614,997

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
Alpha Opportunity Fund	$	199,681	$	—	$	1,845,175		$	(26,871,858	)	$	—		$	(24,827,002	)
Large Cap Value Fund		674,731		3,299,408		3,591,756			—			—			7,565,895
Market Neutral Real Estate Fund		1,115,104		—		1,449,889			(3,460,719	)		—			(895,726	)
Risk Managed Real Estate Fund		—		—		(40,222,768	)		(2,038,164	)		(3,129,119	)		(45,390,051	)
Small Cap Value Fund		82,744		336,090		(178,262	)		—			—			240,572
StylePlus—Large Core Fund		5,630,586		—		19,967,423			(40,316,776	)		—			(14,718,767	)
StylePlus—Mid Growth Fund		1,661,785		—		4,838,558			(26,854,771	)		—			(20,354,428	)
World Equity Income Fund		104,682		—		419,842			(133,403	)		—			391,121

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Funds were as follows:

Fund	Unlimited						Total Capital Loss Carryforward
		Short-Term			Long-Term
Alpha Opportunity Fund	$	(21,038,059	)	$	(5,833,799	)	$	(26,871,858	)
Market Neutral Real Estate Fund		(2,482,907	)		(977,812	)		(3,460,719	)
Risk Managed Real Estate Fund		(681,926	)		—			(681,926	)
StylePlus—Large Core Fund		(3,525,878	)		(36,790,898	)		(40,316,776	)
StylePlus—Mid Growth Fund		(8,287,378	)		(18,567,393	)		(26,854,771	)
World Equity Income Fund		(133,403	)		—			(133,403	)

THE GUGGENHEIM FUNDS ANNUAL REPORT | 121

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2023, the following capital loss carryforward amounts were utilized:

Fund	Utilized
Alpha Opportunity Fund	$	2,170,035
Market Neutral Real Estate Fund		292,217

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of securities sold short, dividends payable, distribution reclasses, and the “mark-to-market” of certain derivatives. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences:

Fund	Paid In Capital		Total Distributable Earnings/(Loss)
Large Cap Value Fund	$	586,812	$	(586,812	)
Risk Managed Real Estate Fund		343,965		(343,965	)
Small Cap Value Fund		276,854		(276,854	)
StylePlus—Large Core Fund		1,510		(1,510	)

At September 30, 2023, 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)
Alpha Opportunity Fund	$	33,388,029	$	3,477,912	$	(1,632,737	)	$	1,845,175
Large Cap Value Fund		31,903,140		5,641,753		(2,049,997	)		3,591,756
Market Neutral Real Estate Fund		50,385,958		4,292,020		(2,842,131	)		1,449,889
Risk Managed Real Estate Fund		363,606,792		21,043,523		(61,266,291	)		(40,222,768	)
Small Cap Value Fund		5,687,257		542,648		(720,910	)		(178,262	)
StylePlus—Large Core Fund		210,379,296		24,459,080		(4,491,657	)		19,967,423
StylePlus—Mid Growth Fund		65,045,178		6,267,654		(1,429,096	)		4,838,558
World Equity Income Fund		43,850,215		2,775,449		(2,350,751	)		424,698

Note 7 – Securities Transactions

For the year ended September 30, 2023, 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	$	95,587,706	$	94,307,655
Large Cap Value Fund		7,237,153		14,560,951
Market Neutral Real Estate Fund		19,393,835		13,393,114
Risk Managed Real Estate Fund		87,875,632		126,514,132
Small Cap Value Fund		4,811,286		6,469,445
StylePlus—Large Core Fund		115,085,324		111,237,903
StylePlus—Mid Growth Fund		52,051,581		60,527,262
World Equity Income Fund		70,849,087		75,533,420

122 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 8 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR 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 Funds’ Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 9 – Large Shareholder Risk

As of September 30, 2023, 77.3% 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 – Market Risks

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country, geographic region or industry could adversely affect the value, yield and return of the investments held by the Funds in a different country, geographic region, economy or industry and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

Note 11 – Subsequent Events

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

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of 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 and Guggenheim World Equity Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of 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 and Guggenheim World Equity Income Fund (collectively referred to as the “Funds”) (eight of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eight of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

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Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Alpha Opportunity Fund		100.00	%		100.00	%		1.80	%		0.00	%
Large Cap Value Fund		100.00	%		100.00	%		2.59	%		100.00	%
Market Neutral Real Estate Fund		9.52	%		9.52	%		13.41	%		0.00	%
Risk Managed Real Estate Fund		0.66	%		0.66	%		6.18	%		0.00	%
Small Cap Value Fund		100.00	%		100.00	%		1.81	%		0.00	%
StylePlus—Large Core Fund		25.78	%		23.07	%		24.58	%		0.00	%
StylePlus—Mid Growth Fund		12.02	%		8.42	%		0.32	%		0.00	%
World Equity Income Fund		100.00	%		62.10	%		1.34	%		0.00	%

With respect to the taxable year ended September 30, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Large Cap Value Fund	$	3,093,835	$	584,434
Risk Managed Real Estate Fund		18,153,953		—
Small Cap Value Fund		250,781		276,663
StylePlus—Large Core Fund		57,379,626		—
StylePlus—Mid Growth Fund		18,747,109		—
World Equity Income Fund		23,830		—

Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentages of Market Neutral Real Estate Fund’s and Risk Manage Real Estate Fund’s ordinary income and short-term capital gain distributions, if any, for the purpose of the Section 199A deduction was 39.28% and 80.09%, respectively.

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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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

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.

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Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	●	Guggenheim Core Bond Fund (“Core Bond Fund”)*
●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
●	Guggenheim High Yield Fund (“High Yield Fund”)*	●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)** 1
●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

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With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

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OTHER INFORMATION (Unaudited)(continued)

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

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OTHER INFORMATION (Unaudited)(concluded)

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 133

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 Funds’ 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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm)(1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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 - continued
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. . (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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***
INTERESTED TRUSTEE - concluded
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing 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); Senior Managing Director, 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).

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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
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).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 141

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.

142 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Diversified Income Fund

Guggenheim High Yield Fund

Guggenheim Core Bond Fund

Guggenheim Municipal Income Fund

GuggenheimInvestments.com SBINC-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
DIVERSIFIED INCOME FUND	9
HIGH YIELD FUND	19
CORE BOND FUND	39
MUNICIPAL INCOME FUND	67
NOTES TO FINANCIAL STATEMENTS	80
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	100
OTHER INFORMATION	101
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	111
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	117
LIQUIDITY RISK MANAGEMENT PROGRAM	120

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

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 “Fund” or “Funds”) for the annual fiscal period ended September 30, 2023 (the “Reporting Period”).

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, and then the Managers’ Commentary for each Fund.

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,

October 31, 2023

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.

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 risks). ● 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

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2023

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. ● 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.

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 risks). ● 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 risks). ● 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. ● To the extent the Fund invests a substantial portion of its assets in municipal securities issued by issuers in a particular state, municipality or project, the Fund will be particularly sensitive to developments and events adversely affecting such state or municipality or with respect to a particular project. Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting Period.

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

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

*Index Definitions

Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Bloomberg 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 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 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.

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

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

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

S&P 500^® Index is a 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 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 March 31, 2023 and ending September 30, 2023.

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 ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund
A-Class		0.72	%		1.84	%	$	1,000.00	$	1,018.40	$	3.64
C-Class		1.46	%		1.44	%		1,000.00		1,014.40		7.37
P-Class		0.70	%		1.85	%		1,000.00		1,018.50		3.54
Institutional Class		0.47	%		1.93	%		1,000.00		1,019.30		2.38
High Yield Fund
A-Class		1.15	%		2.46	%		1,000.00		1,024.60		5.84
C-Class		1.92	%		2.07	%		1,000.00		1,020.70		9.73
P-Class		1.16	%		2.56	%		1,000.00		1,025.60		5.89
Institutional Class		0.91	%		2.57	%		1,000.00		1,025.70		4.62
R6-Class		0.80	%		2.64	%		1,000.00		1,026.40		4.06
Core Bond Fund
A-Class		0.92	%		(3.56	%)		1,000.00		964.40		4.53
C-Class		1.63	%		(3.94	%)		1,000.00		960.60		8.01
P-Class		0.87	%		(3.56	%)		1,000.00		964.40		4.28
Institutional Class		0.58	%		(3.43	%)		1,000.00		965.70		2.86
Municipal Income Fund
A-Class		0.78	%		(5.28	%)		1,000.00		947.20		3.81
C-Class		1.54	%		(5.65	%)		1,000.00		943.50		7.50
P-Class		0.78	%		(5.28	%)		1,000.00		947.20		3.81
Institutional Class		0.53	%		(5.16	%)		1,000.00		948.40		2.59

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund
A-Class		0.72	%		5.00	%	$	1,000.00	$	1,021.46	$	3.65
C-Class		1.46	%		5.00	%		1,000.00		1,017.75		7.38
P-Class		0.70	%		5.00	%		1,000.00		1,021.56		3.55
Institutional Class		0.47	%		5.00	%		1,000.00		1,022.71		2.38
High Yield Fund
A-Class		1.15	%		5.00	%		1,000.00		1,019.30		5.82
C-Class		1.92	%		5.00	%		1,000.00		1,015.44		9.70
P-Class		1.16	%		5.00	%		1,000.00		1,019.25		5.87
Institutional Class		0.91	%		5.00	%		1,000.00		1,020.51		4.61
R6-Class		0.80	%		5.00	%		1,000.00		1,021.06		4.05
Core Bond Fund
A-Class		0.92	%		5.00	%		1,000.00		1,020.46		4.66
C-Class		1.63	%		5.00	%		1,000.00		1,016.90		8.24
P-Class		0.87	%		5.00	%		1,000.00		1,020.71		4.41
Institutional Class		0.58	%		5.00	%		1,000.00		1,022.16		2.94
Municipal Income Fund
A-Class		0.78	%		5.00	%		1,000.00		1,021.16		3.95
C-Class		1.54	%		5.00	%		1,000.00		1,017.35		7.79
P-Class		0.78	%		5.00	%		1,000.00		1,021.16		3.95
Institutional Class		0.53	%		5.00	%		1,000.00		1,022.41		2.69

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	R6-Class
Diversified Income Fund	0.71%	1.45%	0.70%	0.46%	N/A
High Yield Fund	1.12%	1.89%	1.14%	0.88%	0.77%
Core Bond Fund	0.76%	1.52%	0.77%	0.47%	N/A
Municipal Income Fund	0.77%	1.53%	0.77%	0.52%	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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Diversified Income Fund (“Fund”). The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director, Portfolio Manager and Assistant Chief Investment Officer, Equities; and Qi Yan, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund returned 10.35%¹ , outperforming the Bloomberg U.S.Aggregate Bond Index, the Fund’s primary benchmark (“Benchmark”), which returned 0.64% for the same period. The 70% Bloomberg U.S.Aggregate Bond Index / 30% MSCI World Index, the Fund’s secondary benchmark, returned 6.85%.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Fund outperformed its primary benchmark by almost 10 percentage points during the Reporting Period. On average, the Fund allocated 50% to fixed income, 40% to equity, 9% to closed-end funds, with the remainder in cash. The fixed-income component outperformed its benchmark by 8.17% and the equity component underperformed its benchmark by 7.25%. However, the Fund’s decision to overweight equity relative to the secondary benchmark was the main detractor in asset allocation. Overall, allocation effect and selection effect contributed 2.96% and 1.56%, respectively, before fees.

How was the Fund positioned at the end of the Reporting Period?

At the end of the Reporting Period, the Fund maintained the same equity/fixed income allocation that it had during the Reporting Period, and some of the funds within each asset class. This is due to the Fund’s long-term approach to allocation decisions, in which few changes are made within a single Reporting Period.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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	25.4%
Guggenheim RBP Large-Cap Market Fund — Institutional Class	19.3%
Guggenheim Floating Rate Strategies Fund — R6-Class	10.6%
Guggenheim Core Bond Fund — Institutional Class	9.6%
Guggenheim RBP Dividend Fund — Institutional Class	9.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	5.2%
Guggenheim World Equity Income Fund — Institutional Class	5.1%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	4.8%
ClearBridge MLP & Midstream Total Return Fund, Inc.	0.3%
KKR Income Opportunities Fund	0.3%
Top Ten Total	90.2%
“Ten Largest Holdings” excludes any temporary cash investments.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (01/29/16)
A-Class Shares	10.35%	2.39%	4.00%
A-Class Shares with sales charge†	5.95%	1.56%	3.45%
C-Class Shares	9.51%	1.63%	3.23%
C-Class Shares with CDSC‡	8.51%	1.63%	3.23%
P-Class Shares	10.34%	2.38%	3.99%
Institutional Class Shares	10.63%	2.64%	4.25%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	0.47%
70% Bloomberg U.S. Aggregate Bond Index/30% MSCI World Index	6.85%	2.59%	3.58%

*	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 U.S. Aggregate Bond Index and MSCI World Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
†	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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	September 30, 2023
DIVERSIFIED INCOME FUND

	Shares		Value
MUTUAL FUNDS† - 89.6%
Guggenheim High Yield Fund — R6-Class1		202,859	$	1,908,905
Guggenheim RBP Large-Cap Market Fund — Institutional Class1		135,585		1,449,403
Guggenheim Floating Rate Strategies Fund — R6-Class1		32,515		798,232
Guggenheim Core Bond Fund — Institutional Class1		46,447		721,321
Guggenheim RBP Dividend Fund — Institutional Class1		60,265		719,569
Guggenheim Ultra Short Duration Fund — Institutional Class1		39,734		387,411
Guggenheim World Equity Income Fund — Institutional Class1		27,300		384,380
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		12,950		362,587
Total Mutual Funds
(Cost $7,262,607)				6,731,808
CLOSED-END FUNDS† - 9.1%
ClearBridge MLP & Midstream Total Return Fund, Inc.		750		24,052
KKR Income Opportunities Fund		1,850		22,126
Apollo Senior Floating Rate Fund, Inc.		1,550		20,832
PIMCO Corporate & Income Strategy Fund		1,700		20,689
BlackRock Floating Rate Income Strategies Fund, Inc.		1,600		20,192
PIMCO Dynamic Income Fund		1,145		19,786
First Trust Energy Income and Growth Fund		1,500		19,725
Western Asset Global Corporate Defined Opportunity Fund, Inc.		1,650		19,553
BlackRock Floating Rate Income Trust		1,600		19,296
BlackRock Limited Duration Income Trust		1,400		18,032
abrdn Income Credit Strategies Fund		2,584		17,573
Neuberger Berman High Yield Strategies Fund, Inc.		2,317		17,447
Voya Infrastructure Industrials and Materials Fund		1,850		17,445
Blackstone Strategic Credit Fund		1,550		17,034
Western Asset High Income Fund II, Inc.		3,798		16,939
Eaton Vance Tax-Advantaged Dividend Income Fund		797		16,880
Calamos Convertible Opportunities and Income Fund		1,594		16,753
Voya Global Equity Dividend and Premium Opportunity Fund		3,400		16,660
DoubleLine Income Solutions Fund		1,400		16,408
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		1,370		16,399
BlackRock Enhanced Equity Dividend Trust		2,100		15,981
Pioneer High Income Fund, Inc.		2,350		15,769
Eaton Vance Tax-Managed Buy-Write Income Fund		1,250		15,763
Western Asset Premier Bond Fund		1,550		15,639
Eaton Vance Enhanced Equity Income Fund II		908		15,599
PIMCO High Income Fund		3,500		15,470
Royce Value Trust, Inc.		1,195		15,380
PGIM High Yield Bond Fund, Inc.		1,300		15,314
John Hancock Preferred Income Fund		1,050		15,298
Invesco High Income Trust II		1,525		15,158
Eaton Vance Limited Duration Income Fund		1,650		14,916
John Hancock Income Securities Trust		1,450		14,877
Virtus Diversified Income & Convertible Fund		779		14,536
BlackRock Credit Allocation Income Trust		1,500		14,520
John Hancock Investors Trust		1,178		14,313
Cohen & Steers REIT and Preferred and Income Fund, Inc.		815		13,985
John Hancock Premium Dividend Fund		1,450		13,949
Western Asset Emerging Markets Debt Fund, Inc.		1,650		13,695
PIMCO Dynamic Income Opportunities Fund		1,150		13,662
Reaves Utility Income Fund		550		13,558
Western Asset Mortgage Opportunity Fund, Inc.		1,250		13,388
Total Closed-End Funds
(Cost $776,541)				684,591
MONEY MARKET FUND† - 1.3%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 5.22%2		99,375		99,375
Total Money Market Fund
(Cost $99,375)				99,375
Total Investments - 100.0%
(Cost $8,138,523)			$	7,515,774
Other Assets & Liabilities, net - 0.0%				3,473
Total Net Assets - 100.0%			$	7,519,247

†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2023.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
DIVERSIFIED INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	6,731,808	$	—	$	—	$	6,731,808
Closed-End Funds		684,591		—		—		684,591
Money Market Fund		99,375		—		—		99,375
Total Assets	$	7,515,774	$	—	$	—	$	7,515,774

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 year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 09/30/23		Shares 09/30/23		Investment Income		Capital Gain Distributions
Mutual Funds
Guggenheim Core Bond Fund — Institutional Class	$	704,685	$	66,893	$	(32,991	)	$	(6,706	)	$	(10,560	)	$	721,321		46,447	$	31,945	$	—
Guggenheim Floating Rate Strategies Fund — R6-Class		747,554		63,082		(49,997	)		(2,284	)		39,877			798,232		32,515		63,149		—
Guggenheim High Yield Fund — R6-Class		1,837,726		122,675		(109,991	)		(15,973	)		74,468			1,908,905		202,859		122,934		—
Guggenheim RBP Dividend Fund — Institutional Class		685,303		22,783		(100,145	)		(16,045	)		127,673			719,569		60,265		10,793		—
Guggenheim RBP Large-Cap Market Fund — Institutional Class		1,383,590		82,845		(192,978	)		(63,804	)		239,750			1,449,403		135,585		5,578		40,807
Guggenheim Risk Managed Real Estate Fund — Institutional Class		337,666		49,212		—			—			(24,291	)		362,587		12,950		11,759		15,483
Guggenheim Ultra Short Duration Fund — Institutional Class		367,906		18,298		(4,992	)		(128	)		6,327			387,411		39,734		18,296		—
Guggenheim World Equity Income Fund — Institutional Class		344,667		8,186		(14,998	)		(5,053	)		51,578			384,380		27,300		7,974		212
	$	6,409,097	$	433,974	$	(506,092	)	$	(109,993	)	$	504,822		$	6,731,808			$	272,428	$	56,502

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

DIVERSIFIED INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $875,916)	$	783,966
Investments in affiliated issuers, at value (cost $7,262,607)		6,731,808
Prepaid expenses		35,550
Receivables:
Dividends		29,728
Investment Adviser		7,193
Interest		272
Total assets		7,588,517
Liabilities:
Overdraft due to custodian bank		2
Payable for:
Securities purchased		28,758
Professional fees		23,559
Insurance		5,071
Fund accounting fees		4,414
Transfer agent and maintenance fees		2,137
Trustees’ fees*		1,733
Distribution and service fees		296
Fund shares redeemed		120
Miscellaneous		3,180
Total liabilities		69,270
Net assets	$	7,519,247
Net assets consist of:
Paid in capital	$	8,288,286
Total distributable earnings (loss)		(769,039	)
Net assets	$	7,519,247
A-Class:
Net assets	$	316,555
Capital shares outstanding		13,290
Net asset value per share	$	23.82
Maximum offering price per share (Net asset value divided by 96.00%)	$	24.81
C-Class:
Net assets	$	231,812
Capital shares outstanding		9,782
Net asset value per share	$	23.70
P-Class:
Net assets	$	166,403
Capital shares outstanding		7,008
Net asset value per share	$	23.74
Institutional Class:
Net assets	$	6,804,477
Capital shares outstanding		285,625
Net asset value per share	$	23.82

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	53,336
Dividends from securities of affiliated issuers		272,428
Interest		4,124
Total investment income		329,888
Expenses:
Management fees		57,736
Distribution and service fees:
A-Class		773
C-Class		2,392
P-Class		895
Transfer agent fees:
A-Class		1,471
C-Class		1,191
P-Class		1,845
Institutional Class		21,982
Registration fees		61,533
Professional fees		38,404
Trustees’ fees*		13,495
Fund accounting and administration fees		12,233
Custodian fees		7,321
Line of credit fees		266
Miscellaneous		8,650
Recoupment of previously waived fees:
A-Class		25
C-Class		24
P-Class		88
Institutional Class		527
Total expenses		230,851
Less:
Expenses reimbursed by Adviser:
A-Class		(4,132	)
C-Class		(3,266	)
P-Class		(4,916	)
Institutional Class		(80,303	)
Expenses waived by Adviser		(97,718	)
Total waived/reimbursed expenses		(190,335	)
Net expenses		40,516
Net investment income		289,372
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		12,914
Investments in affiliated issuers		(109,993	)
Distributions received from affiliated investment companies		56,502
Net realized loss		(40,577	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		7,622
Investments in affiliated issuers		504,822
Net change in unrealized appreciation (depreciation)		512,444
Net realized and unrealized gain		471,867
Net increase in net assets resulting from operations	$	761,239

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

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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	289,372		$	206,098
Net realized gain (loss) on investments		(40,577	)		506,371
Net change in unrealized appreciation (depreciation) on investments		512,444			(1,949,416	)
Net increase (decrease) in net assets resulting from operations		761,239			(1,236,947	)
Distributions to shareholders:
A-Class		(26,440	)		(13,926	)
C-Class		(19,007	)		(22,111	)
P-Class		(38,784	)		(9,123	)
Institutional Class		(601,669	)		(277,436	)
Total distributions to shareholders		(685,900	)		(322,596	)
Capital share transactions:
Proceeds from sale of shares
A-Class		11,427			120,099
C-Class		1,000			628,708
P-Class		196,785			389,539
Institutional Class		38,754			583,577
Distributions reinvested
A-Class		26,440			13,926
C-Class		19,007			22,111
P-Class		38,784			9,123
Institutional Class		601,669			277,436
Cost of shares redeemed
A-Class		(8,379	)		(126,698	)
C-Class		(15,175	)		(551,222	)
P-Class		(484,767	)		(72,266	)
Institutional Class		(205,042	)		(206,918	)
Net increase from capital share transactions		220,503			1,087,415
Net increase (decrease) in net assets		295,842			(472,128	)
Net assets:
Beginning of year		7,223,405			7,695,533
End of year	$	7,519,247		$	7,223,405
Capital share activity:
Shares sold
A-Class		470			4,278
C-Class		42			22,058
P-Class		8,066			14,554
Institutional Class		1,591			20,354
Shares issued from reinvestment of distributions
A-Class		1,118			503
C-Class		810			791
P-Class		1,647			339
Institutional Class		25,437			10,120
Shares redeemed
A-Class		(343	)		(4,685	)
C-Class		(622	)		(22,244	)
P-Class		(20,305	)		(2,623	)
Institutional Class		(8,451	)		(7,812	)
Net increase in shares		9,460			35,633

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.59		$	28.45		$	25.27		$	26.99		$	26.70
Income (loss) from investment operations:
Net investment income (loss)a		.86			.71			.73			.81			.86
Net gain (loss) on investments (realized and unrealized)		1.50			(4.55	)		3.30			(1.63	)		.50
Total from investment operations		2.36			(3.84	)		4.03			(.82	)		1.36
Less distributions from:
Net investment income		(.89	)		(.93	)		(.85	)		(.81	)		(.77	)
Net realized gains		(1.24	)		(.09	)		—			(.09	)		(.30	)
Total distributions		(2.13	)		(1.02	)		(.85	)		(.90	)		(1.07	)
Net asset value, end of period	$	23.82		$	23.59		$	28.45		$	25.27		$	26.99
Total Returnb		10.35	%		(13.94	%)		16.10	%		(3.06	%)		5.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	317		$	284		$	340		$	267		$	278
Ratios to average net assets:
Net investment income (loss)		3.56	%		2.59	%		2.64	%		3.14	%		3.26	%
Total expensesc		3.33	%		3.42	%		3.92	%		4.24	%		4.03	%
Net expensesd,e,f		0.72	%		0.74	%		0.78	%		0.83	%		0.85	%
Portfolio turnover rate		6	%		12	%		50	%		66	%		58	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.48		$	28.36		$	25.19		$	27.00		$	26.69
Income (loss) from investment operations:
Net investment income (loss)a		.68			.47			.52			.60			.69
Net gain (loss) on investments (realized and unrealized)		1.50			(4.49	)		3.29			(1.62	)		.46
Total from investment operations		2.18			(4.02	)		3.81			(1.02	)		1.15
Less distributions from:
Net investment income		(.72	)		(.77	)		(.64	)		(.70	)		(.54	)
Net realized gains		(1.24	)		(.09	)		—			(.09	)		(.30	)
Total distributions		(1.96	)		(.86	)		(.64	)		(.79	)		(.84	)
Net asset value, end of period	$	23.70		$	23.48		$	28.36		$	25.19		$	27.00
Total Returnb		9.51	%		(14.57	%)		15.24	%		(3.77	%)		4.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	232		$	224		$	254		$	197		$	816
Ratios to average net assets:
Net investment income (loss)		2.82	%		1.70	%		1.89	%		2.26	%		2.59	%
Total expensesc		4.10	%		4.04	%		4.68	%		4.86	%		4.74	%
Net expensesd,e,f		1.46	%		1.49	%		1.52	%		1.58	%		1.59	%
Portfolio turnover rate		6	%		12	%		50	%		66	%		58	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.59		$	28.43		$	25.25		$	26.97		$	26.70
Income (loss) from investment operations:
Net investment income (loss)a		.86			.58			.73			.81			.85
Net gain (loss) on investments (realized and unrealized)		1.51			(4.43	)		3.30			(1.63	)		.51
Total from investment operations		2.37			(3.85	)		4.03			(.82	)		1.36
Less distributions from:
Net investment income		(.98	)		(.90	)		(.85	)		(.81	)		(.79	)
Net realized gains		(1.24	)		(.09	)		—			(.09	)		(.30	)
Total distributions		(2.22	)		(.99	)		(.85	)		(.90	)		(1.09	)
Net asset value, end of period	$	23.74		$	23.59		$	28.43		$	25.25		$	26.97
Total Return		10.34	%		(13.95	%)		16.12	%		(3.03	%)		5.23	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	166		$	415		$	152		$	128		$	131
Ratios to average net assets:
Net investment income (loss)		3.56	%		2.16	%		2.64	%		3.14	%		3.22	%
Total expensesc		3.41	%		3.49	%		3.92	%		4.19	%		3.97	%
Net expensesd,e,f		0.73	%		0.74	%		0.78	%		0.83	%		0.85	%
Portfolio turnover rate		6	%		12	%		50	%		66	%		58	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021				Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.59		$	28.44		$	25.26			$	26.98		$	26.72
Income (loss) from investment operations:
Net investment income (loss)a		.92			.69			.80				.87			.92
Net gain (loss) on investments (realized and unrealized)		1.51			(4.46	)		3.30				(1.63	)		.49
Total from investment operations		2.43			(3.77	)		4.10				(.76	)		1.41
Less distributions from:
Net investment income		(.96	)		(.99	)		(.92	)			(.87	)		(.85	)
Net realized gains		(1.24	)		(.09	)		—				(.09	)		(.30	)
Total distributions		(2.20	)		(1.08	)		(.92	)			(.96	)		(1.15	)
Net asset value, end of period	$	23.82		$	23.59		$	28.44			$	25.26		$	26.98
Total Return		10.63	%		(13.74	%)		16.40	%			(2.82	%)		5.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,804		$	6,300		$	6,950		��	$	5,965		$	6,165
Ratios to average net assets:
Net investment income (loss)		3.81	%		2.54	%		2.89	%			3.39	%		3.47	%
Total expensesc		2.92	%		3.05	%		3.55	%			3.78	%		3.58	%
Net expensesd,e,f		0.47	%		0.49	%		0.53	%			0.58	%		0.60	%
Portfolio turnover rate		6	%		12	%		50	%			66	%		58	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.01%	—	—	—	—
C-Class	0.01%	—	—	0.00%*	—
P-Class	0.02%	—	—	0.00%*	—
Institutional Class	0.01%	—	—	0.00%*	—

* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.72%	0.73%	0.77%	0.82%	0.85%
C-Class	1.46%	1.48%	1.51%	1.57%	1.59%
P-Class	0.72%	0.73%	0.77%	0.82%	0.85%
Institutional Class	0.47%	0.48%	0.52%	0.57%	0.60%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim High Yield Fund (“Fund”). The Fund is managed by a team of seasoned professionals at SI, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and John Walsh, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (the “Reporting Period”).

For the Reporting Period, the Fund returned 9.60%¹, underperforming the Bloomberg U.S. Corporate High Yield Index, the Fund’s benchmark (“Benchmark”), which returned 10.28% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The Reporting Period benefitted from a strong snap-back following a difficult operating environment in the prior Reporting Period. Almost all sectors and rating categories generated positive returns over the Reporting Period, even as interest rates continued to climb.

Bottom-up fundamental credit analysis continues to be the main driver of the Fund’s performance. The largest contributing sectors to performance were Technology and Consumer Non-Cyclicals, in which the Fund benefited from strong security selection relative to the benchmark. The Fund’s allocation to bank loans was a meaningful contributor to performance as well, driven by higher base rates and price appreciation. This was offset by the Fund’s large underweight to the leisure subsector, predominantly cruise lines, which was one of the top-performing subsectors.

How did the Fund use derivatives during the Reporting Period?

The Fund invests in non-U.S. dollar denominated assets when the risk-return profile is favorable. The Fund entered forward foreign currency exchange contracts to hedge exchange rate risk for non-U.S. dollar denominated positions which had a negative impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.

How was the Fund positioned at the end of the Reporting Period?

The Fund’s largest exposure is to high yield bonds, followed by a meaningful exposure to bank loans at about 15%. We continue to evaluate the relative value between high yield bonds and bank loans, potentially looking to shift the allocation as the relationship changes. The Fund remains positioned up-in-quality versus the benchmark, driven by an underweight to CCCs and distressed issuers. Overall, we remain nimble to take advantage of discounted levels in the secondary market and add selectively using our bottom-up credit approach.

The Benchmark’s yield ended the Reporting Period at 8.88%, amid higher U.S. Treasury yields. Yields in high yield are currently in the mid-60th percentile dating back to 1994. Notably, since 2000, yields are in the mid-80th percentile and since 2010 yields are in the mid-90th percentile. Even with heightened credit risk and rising risk of recession, we think current yields offer opportunities to find credits that are trading at favorable prices relative to their fundamentals and the risk of default/loss.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 19

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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
BBB	4.1%
BB	46.1%
B	37.9%
CCC	6.0%
NR2	2.0%
Other Instruments	3.9%
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
CPI CG, Inc., 8.63%	1.3%
Terraform Global Operating, LP, 6.13%	1.2%
Jefferies Finance LLC / JFIN Company-Issuer Corp., 5.00%	1.1%
Upbound Group, Inc., 6.38%	1.1%
Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%	1.0%
GrafTech Finance, Inc., 4.63%	1.0%
Cheplapharm Arzneimittel GmbH, 5.50%	0.9%
VZ Secured Financing BV, 5.00%	0.9%
Artera Services LLC, 9.03%	0.9%
JB Poindexter & Company, Inc., 7.13%	0.9%
Top Ten Total	10.3%
“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.

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	9.60%	2.52%	4.05%
A-Class Shares with sales charge†	5.23%	1.68%	3.54%
C-Class Shares	8.75%	1.70%	3.25%
C-Class Shares with CDSC‡	7.75%	1.70%	3.25%
Institutional Class Shares	9.78%	2.73%	4.30%
Bloomberg U.S. Corporate High Yield Index	10.28%	2.96%	4.24%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	9.71%	2.48%	3.51%
Bloomberg U.S. Corporate High Yield Index	10.28%	2.96%	3.86%

	1 Year	5 Year	Since Inception (05/15/17)
R6-Class Shares	10.00%	2.85%	2.99%
Bloomberg U.S. Corporate High Yield Index	10.28%	2.96%	3.22%

*	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 Bloomberg 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. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class and R6-Class shares will vary due to differences in fee structures
†	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 2, 2015.
‡	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS	September 30, 2023
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 0.4%
Utilities - 0.4%
TexGen Power LLC*,††		26,665	$	706,623
Industrial - 0.0%
BP Holdco LLC*,†††,1		23,711		30,456
Vector Phoenix Holdings, LP*,†††		23,711		1,458
Targus, Inc.*,†††		12,825		378
Targus, Inc.*,†††		12,825		378
Targus, Inc.*,†††		12,825		308
Targus , Inc.*,†††		12,825		140
YAK BLOCKER 2 LLC*,†††		6,243		63
YAK BLOCKER 2 LLC*,†††		5,770		58
Targus, Inc.*,†††		12,825		—
Total Industrial				33,239
Energy - 0.0%
Legacy Reserves, Inc.*,†††		3,452		27,616
Permian Production Partners LLC*,†††		57,028		2,268
Bruin E&P Partnership Units*,†††		44,023		986
Total Energy				30,870
Consumer, Non-cyclical - 0.0%
Cengage Learning Holdings II, Inc.*,††		2,107		20,280
Save-A-Lot*,††		17,185		3,299
Total Consumer, Non-cyclical				23,579
Financial - 0.0%
Tensor Ltd.*,†††		158,811		16
Total Common Stocks
(Cost $423,255)				794,327
PREFERRED STOCKS†† - 2.1%
Financial - 2.1%
American Equity Investment Life Holding Co.
5.95%2		54,000		1,216,620
Charles Schwab Corp.
4.00%*		1,325,000		934,881
Citigroup, Inc.
7.63%2		775,000		756,092
Assurant, Inc.
5.25% due 01/15/61		30,000		585,000
Goldman Sachs Group, Inc.
7.50%2		475,000		469,470
Total Financial				3,962,063
Industrial - 0.0%
YAK BLOCKER 2 LLC *,†††		342,958		85,796
U.S. Shipping Corp.*,†††		14,718		2
Total Industrial				85,798
Total Preferred Stocks
(Cost $5,973,255)				4,047,861
WARRANTS† - 0.0%
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/263		12,947		778
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26		4		—
Total Warrants
(Cost $10,696)				778
MONEY MARKET FUND† - 1.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%4		2,517,574		2,517,574
Total Money Market Fund
(Cost $2,517,574)				2,517,574

	Face Amount~
CORPORATE BONDS†† - 81.6%
Consumer, Non-cyclical - 15.1%
CPI CG, Inc.
8.63% due 03/15/265		2,572,000	2,533,909
Upbound Group, Inc.
6.38% due 02/15/295,6		2,281,000	2,024,387
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/285		1,953,000	1,772,015
Tenet Healthcare Corp.
6.75% due 05/15/315		675,000	651,017
4.38% due 01/15/30		625,000	537,578
6.13% due 06/15/30		275,000	257,826
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		1,525,000	1,336,049
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/265		1,250,000	1,225,000
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/275		961,000	828,862
5.00% due 12/31/265		350,000	318,891
Post Holdings, Inc.
4.63% due 04/15/305		600,000	513,768
5.50% due 12/15/295		500,000	453,240
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/295		1,200,000	963,000
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/265		956,000	954,955
DaVita, Inc.
3.75% due 02/15/315		1,225,000	930,705
Carriage Services, Inc.
4.25% due 05/15/295		1,075,000	919,537
ADT Security Corp.
4.13% due 08/01/295		1,050,000	887,785
Par Pharmaceutical, Inc.
due 04/01/275,7		1,210,000	859,100
GTCR W-2 Merger Sub LLC
7.50% due 01/15/315		850,000	851,190

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

		Face Amount~		Value
Medline Borrower, LP
5.25% due 10/01/295			850,000	$	734,652
Williams Scotsman, Inc.
7.38% due 10/01/315			725,000		721,045
US Foods, Inc.
7.25% due 01/15/325			700,000		699,293
Bausch Health Companies, Inc.
4.88% due 06/01/285			1,200,000		682,424
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
7.13% due 04/01/295,7			950,000		672,125
IQVIA, Inc.
6.50% due 05/15/305			675,000		660,669
BCP V Modular Services Finance II plc
4.75% due 10/30/285	EUR		736,000		650,804
TriNet Group, Inc.
7.00% due 08/15/315			650,000		643,500
Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC
5.88% due 02/15/285			475,000		457,177
6.50% due 02/15/285			175,000		172,966
Central Garden & Pet Co.
4.13% due 10/15/30			711,000		592,771
Grifols S.A.
4.75% due 10/15/285			600,000		511,566
WW International, Inc.
4.50% due 04/15/295			690,000		484,725
Fortrea Holdings, Inc.
7.50% due 07/01/305			450,000		437,857
Lamb Weston Holdings, Inc.
4.13% due 01/31/305			425,000		363,438
Sabre GLBL, Inc.
7.38% due 09/01/255			320,000		310,982
9.25% due 04/15/255			31,000		30,380
Garden Spinco Corp.
8.63% due 07/20/305			300,000		313,157
Service Corporation International
3.38% due 08/15/30			325,000		261,950
Nathan’s Famous, Inc.
6.63% due 11/01/255			189,000		188,055
Ingles Markets, Inc.
4.00% due 06/15/315			75,000		61,594
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
due 07/31/275,7			171,000		11,970
Total Consumer, Non-cyclical					28,481,914
Industrial - 13.8%
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265			2,076,000		1,974,712
GrafTech Finance, Inc.
4.63% due 12/15/285			2,500,000		1,933,238
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/285			1,225,000		1,209,688
5.25% due 07/15/285			675,000		605,657
Artera Services LLC
9.03% due 12/04/255			1,807,842		1,667,734
Trinity Industries, Inc.
7.75% due 07/15/285			1,075,000		1,081,719
4.55% due 10/01/24			550,000		535,592
TransDigm, Inc.
6.88% due 12/15/305			575,000		563,813
6.25% due 03/15/265			500,000		491,290
6.75% due 08/15/285			425,000		418,408
Mauser Packaging Solutions Holding Co.
7.88% due 08/15/265			1,025,000		988,854
9.25% due 04/15/275			500,000		437,042
Standard Industries, Inc.
5.00% due 02/15/275			900,000		834,256
4.38% due 07/15/305			550,000		455,509
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/295			1,525,000		1,250,801
Enviri Corp.
5.75% due 07/31/275			1,375,000		1,209,354
Clearwater Paper Corp.
4.75% due 08/15/285			1,375,000		1,175,268
Ball Corp.
6.88% due 03/15/28			600,000		603,628
6.00% due 06/15/29			425,000		412,598
Masonite International Corp.
5.38% due 02/01/285			850,000		790,602
Builders FirstSource, Inc.
6.38% due 06/15/325			750,000		705,981
4.25% due 02/01/325			100,000		82,007
Amsted Industries, Inc.
4.63% due 05/15/305			900,000		762,066
Emerald Debt Merger Sub LLC
6.63% due 12/15/305			700,000		673,872
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC
4.00% due 10/15/275			700,000		621,250
Arcosa, Inc.
4.38% due 04/15/295			700,000		610,892
Advanced Drainage Systems, Inc.
6.38% due 06/15/305			575,000		552,259
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
6.00% due 06/15/275			500,000		480,484
Sealed Air Corporation/Sealed Air Corp US
6.13% due 02/01/285			475,000		460,047
Howmet Aerospace, Inc.
5.95% due 02/01/37			475,000		445,994
Calderys Financing LLC
11.25% due 06/01/285			425,000		435,330
Summit Materials LLC / Summit Materials Finance Corp.
6.50% due 03/15/275			425,000		414,943
Stericycle, Inc.
5.38% due 07/15/245			375,000		370,160

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

		Face Amount~		Value
GXO Logistics, Inc.
2.65% due 07/15/31			250,000	$	189,680
1.65% due 07/15/26			175,000		153,769
AmeriTex HoldCo Intermediate LLC
10.25% due 10/15/285			300,000		296,625
Clean Harbors, Inc.
6.38% due 02/01/315			225,000		218,783
Total Industrial					26,113,905
Consumer, Cyclical - 12.7%
JB Poindexter & Company, Inc.
7.13% due 04/15/265			1,650,000		1,605,160
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/265			1,500,000		1,349,786
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
5.38% due 04/01/265			1,225,000		1,148,186
CD&R Smokey Buyer, Inc.
6.75% due 07/15/255			1,075,000		1,035,870
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/285			1,150,000		1,006,754
Ritchie Bros Holdings, Inc.
6.75% due 03/15/285			550,000		548,735
7.75% due 03/15/315			450,000		456,750
Penn Entertainment, Inc.
4.13% due 07/01/295			1,204,000		983,891
Hanesbrands, Inc.
4.88% due 05/15/265			1,050,000		962,599
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/305			1,100,000		948,750
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/295			1,100,000		932,250
Crocs, Inc.
4.25% due 03/15/295			1,094,000		905,145
Wolverine World Wide, Inc.
4.00% due 08/15/295			1,200,000		889,500
United Airlines, Inc.
4.63% due 04/15/295			1,025,000		881,019
Wabash National Corp.
4.50% due 10/15/285			1,025,000		863,420
Allwyn Entertainment Financing UK plc
7.88% due 04/30/295			825,000		833,250
Air Canada
3.88% due 08/15/265			900,000		816,802
Scotts Miracle-Gro Co.
4.38% due 02/01/32			1,050,000		788,229
Tempur Sealy International, Inc.
3.88% due 10/15/315			875,000		675,025
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/315			800,000		667,784
Newell Brands, Inc.
6.38% due 09/15/27			500,000		476,991
4.70% due 04/01/26			200,000		188,479
Ontario Gaming GTA, LP
8.00% due 08/01/305			625,000		625,000
Park River Holdings, Inc.
5.63% due 02/01/295			675,000		514,669
Michaels Companies, Inc.
5.25% due 05/01/285			600,000		478,860
Clarios Global, LP / Clarios US Finance Co.
8.50% due 05/15/275			475,000		473,637
Asbury Automotive Group, Inc.
5.00% due 02/15/325			550,000		455,696
Evergreen Acqco 1 Limited Partnership / TVI, Inc.
9.75% due 04/26/285			427,000		439,639
Clarios Global, LP
6.75% due 05/15/255			430,000		426,763
Superior Plus, LP
4.25% due 05/18/285	CAD		550,000		357,587
Clarios Global Limited Partnership / Clarios US Finance Co.
6.75% due 05/15/285			350,000		341,688
Caesars Entertainment, Inc.
6.25% due 07/01/255			275,000		271,236
Papa John’s International, Inc.
3.88% due 09/15/295			275,000		226,996
Six Flags Theme Parks, Inc.
7.00% due 07/01/255			215,000		214,455
Allison Transmission, Inc.
4.75% due 10/01/275			200,000		184,570
Total Consumer, Cyclical					23,975,171
Communications - 11.9%
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/32			1,850,000		1,451,969
4.25% due 01/15/345			975,000		717,871
4.25% due 02/01/315			400,000		318,415
6.38% due 09/01/295			275,000		256,428
Altice France S.A.
5.13% due 07/15/295			1,450,000		1,030,813
5.50% due 10/15/295			1,250,000		898,894
8.13% due 02/01/275			900,000		798,117
McGraw-Hill Education, Inc.
5.75% due 08/01/285			1,675,000		1,445,106
8.00% due 08/01/295			775,000		672,313
CSC Holdings LLC
3.38% due 02/15/315			1,025,000		698,473
4.13% due 12/01/305			975,000		690,021
4.63% due 12/01/305			950,000		505,071
Level 3 Financing, Inc.
3.63% due 01/15/295			1,825,000		1,022,000
4.25% due 07/01/285			1,325,000		825,519
VZ Secured Financing BV
5.00% due 01/15/325			2,175,000		1,708,581

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

	Face Amount~		Value
Vmed O2 UK Financing I plc
4.25% due 01/31/315		1,125,000	$	895,843
4.75% due 07/15/315		850,000		686,692
LCPR Senior Secured Financing DAC
6.75% due 10/15/275		1,417,000		1,301,514
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		1,400,000		1,260,000
UPC Broadband Finco BV
4.88% due 07/15/315		1,200,000		973,776
Sirius XM Radio, Inc.
4.13% due 07/01/305		800,000		640,488
5.50% due 07/01/295		325,000		287,456
3.88% due 09/01/315		50,000		37,873
AMC Networks, Inc.
4.25% due 02/15/29		1,550,000		951,073
Cogent Communications Group, Inc.
7.00% due 06/15/275		975,000		931,125
Match Group Holdings II LLC
4.63% due 06/01/285		600,000		537,909
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.25% due 01/15/295		550,000		436,436
Zayo Group Holdings, Inc.
4.00% due 03/01/275		300,000		222,566
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/295		200,000		168,271
Cengage Learning, Inc.
9.50% due 06/15/245		101,000		101,084
Total Communications				22,471,697
Financial - 8.4%
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		2,500,000		2,105,015
United Wholesale Mortgage LLC
5.50% due 04/15/295		1,475,000		1,246,375
5.75% due 06/15/275		675,000		610,943
NFP Corp.
6.88% due 08/15/285		1,425,000		1,220,766
8.50% due 10/01/315		600,000		600,911
OneMain Finance Corp.
3.88% due 09/15/28		1,225,000		983,237
4.00% due 09/15/30		750,000		562,766
Hunt Companies, Inc.
5.25% due 04/15/295		1,225,000		962,120
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/315		875,000		697,699
4.00% due 10/15/335		350,000		264,314
Jones Deslauriers Insurance Management, Inc.
10.50% due 12/15/305		725,000		737,640
8.50% due 03/15/305		200,000		201,468
HUB International Ltd.
7.00% due 05/01/265		575,000		573,736
5.63% due 12/01/295		375,000		326,534
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/325		1,000,000		821,933
SLM Corp.
3.13% due 11/02/26		900,000		780,654
USI, Inc.
6.88% due 05/01/255		775,000		769,031
Jane Street Group / JSG Finance, Inc.
4.50% due 11/15/295		700,000		601,482
Starwood Property Trust, Inc.
4.38% due 01/15/275		550,000		479,738
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/275		475,000		425,286
6.75% due 04/15/285		50,000		48,253
Kennedy-Wilson, Inc.
4.75% due 02/01/30		450,000		335,752
4.75% due 03/01/29		150,000		115,126
Liberty Mutual Group, Inc.
4.30% due 02/01/615		750,000		442,795
Total Financial				15,913,574
Energy - 7.4%
Parkland Corp.
4.50% due 10/01/295		1,275,000		1,091,814
4.63% due 05/01/305		1,100,000		937,727
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/27		1,200,000		1,169,390
6.88% due 01/15/29		900,000		837,603
CVR Energy, Inc.
5.75% due 02/15/285		1,725,000		1,561,122
5.25% due 02/15/255		250,000		243,882
ITT Holdings LLC
6.50% due 08/01/295		1,875,000		1,589,295
NuStar Logistics, LP
5.63% due 04/28/27		1,585,000		1,510,077
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.63% due 05/01/275		1,250,000		1,198,046
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
6.38% due 04/15/275		1,050,000		1,030,869
EnLink Midstream LLC
5.38% due 06/01/29		925,000		855,626
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		1,000,000		853,750
Venture Global Calcasieu Pass LLC
6.25% due 01/15/305		500,000		476,935
Southwestern Energy Co.
5.38% due 02/01/29		425,000		391,420
Kinetik Holdings, LP
5.88% due 06/15/305		350,000		328,125

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

	Face Amount~		Value
Basic Energy Services, Inc.
due 10/15/237		1,175,000	$	5,875
Total Energy				14,081,556
Basic Materials - 7.2%
Carpenter Technology Corp.
6.38% due 07/15/28		1,425,000		1,374,362
7.63% due 03/15/30		650,000		650,813
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/265		1,650,000		1,507,636
Minerals Technologies, Inc.
5.00% due 07/01/285		1,547,000		1,418,908
Kaiser Aluminum Corp.
4.63% due 03/01/285		790,000		689,820
4.50% due 06/01/315		725,000		574,293
SK Invictus Intermediate II SARL
5.00% due 10/30/295		1,350,000		1,081,930
INEOS Finance plc
6.75% due 05/15/285		1,100,000		1,029,002
Ingevity Corp.
3.88% due 11/01/285		1,150,000		948,198
Novelis Corp.
4.75% due 01/30/305		1,025,000		887,086
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.00% due 07/01/285		900,000		850,004
Compass Minerals International, Inc.
6.75% due 12/01/275		875,000		828,993
Valvoline, Inc.
3.63% due 06/15/315		600,000		464,852
4.25% due 02/15/305		250,000		245,504
Arsenal AIC Parent LLC
8.00% due 10/01/305		675,000		671,638
WR Grace Holdings LLC
4.88% due 06/15/275		450,000		412,847
Mirabela Nickel Ltd.
due 06/24/19†††,7,8		278,115		13,211
Total Basic Materials				13,649,097
Technology - 3.3%
NCR Corp.
5.13% due 04/15/295		1,250,000		1,101,323
Boxer Parent Company, Inc.
7.13% due 10/02/255		1,025,000		1,019,876
Capstone Borrower, Inc.
8.00% due 06/15/305		950,000		927,438
Central Parent Incorporated / CDK Global, Inc.
7.25% due 06/15/295		875,000		848,323
Dun & Bradstreet Corp.
5.00% due 12/15/295		925,000		797,477
Qorvo, Inc.
3.38% due 04/01/315		600,000		475,240
Playtika Holding Corp.
4.25% due 03/15/295		500,000		417,500
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		300,000		247,092
Cloud Software Group, Inc.
6.50% due 03/31/295		250,000		221,083
Central Parent LLC / CDK Global II LLC / CDK Financing Company, Inc.
8.00% due 06/15/295		200,000		199,260
Total Technology				6,254,612
Utilities - 1.8%
Terraform Global Operating, LP
6.13% due 03/01/265		2,280,000		2,237,250
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.50% due 05/20/25		625,000		605,952
Atlantica Sustainable Infrastructure plc
4.13% due 06/15/285		400,000		345,127
Clearway Energy Operating LLC
4.75% due 03/15/285		175,000		156,513
Total Utilities				3,344,842
Total Corporate Bonds
(Cost $174,097,670)				154,286,368
SENIOR FLOATING RATE INTERESTS††,◊ - 14.6%
Consumer, Non-cyclical - 3.1%
Quirch Foods Holdings LLC
10.45% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27		948,188		942,859
Blue Ribbon LLC
11.44% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28		1,039,557		873,228
Gibson Brands, Inc.
10.57% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28		854,775		709,463
Moran Foods LLC
12.74% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 06/30/26†††		472,753		430,371
16.99% (6 Month Term SOFR + 11.50%, Rate Floor: 9.50%) due 12/31/26†††		276,200		181,481
Women’s Care Holdings, Inc.
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28		654,976		579,654
Confluent Health LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/30/28		493,013		467,539
Balrog Acquisition, Inc.
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/05/28†††		349,125		346,507
PlayCore
9.38% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/29/27		300,000		299,064
Kronos Acquisition Holdings, Inc.
11.57% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26		294,750		294,567
TGP Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28		235,454		214,499

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

		Face Amount~		Value
Medline Borrower LP
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/23/28			199,494	$	198,835
CHG PPC Parent LLC
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 12/08/28			200,000		198,250
Florida Food Products LLC
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28			221,625		188,935
Total Consumer, Non-cyclical					5,925,252
Consumer, Cyclical - 2.9%
First Brands Group LLC
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27			1,268,467		1,249,597
Alexander Mann
11.37% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27			958,848		934,877
American Tire Distributors, Inc.
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28			913,936		796,075
Holding SOCOTEC
9.56% (3 Month SOFR + 4.00%, Rate Floor: 4.00%) due 06/02/28			597,800		591,822
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
9.82% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/03/25			742,618		545,082
Accuride Corp.
12.19% (1 Month Term SOFR + 5.25%, Rate Floor: 10.57%) (in-kind rate was 1.62%) due 07/07/269			490,444		427,912
WW International, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28			491,625		369,540
Sweetwater Sound
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/07/28†††			348,034		336,723
Flutter Financing B.V.
8.90% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/24/28			297,000		297,149
Total Consumer, Cyclical					5,548,777
Industrial - 2.6%
Dispatch Terra Acquisition LLC
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28			1,173,612		1,079,723
Aegion Corp.
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28			686,203		680,782
Pelican Products, Inc.
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28			647,603		611,985
Barnes Group, Inc.
8.42% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/03/30			600,000		600,300
PECF USS Intermediate Holding III Corp.
9.88% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28			540,869		431,970
ProAmpac PG Borrower LLC
due 09/26/28			325,000		322,888
Osmose Utility Services, Inc.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/23/28			316,957		314,184
Charter Next Generation, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/01/27			200,000		198,000
Sundyne (Star US Bidco)
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/17/27			196,938		196,260
Anchor Packaging LLC
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/18/26			148,962		147,332
EMRLD Borrower LP
8.32% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 05/31/30			139,172		138,911
Brown Group Holding LLC
8.17% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 06/07/28			134,632		133,257
Total Industrial					4,855,592
Technology - 2.2%
Datix Bidco Ltd.
8.68% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25†††	GBP		1,300,000		1,556,403
11.93% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26†††	GBP		650,000		776,774
Park Place Technologies, LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27			564,958		555,308
Atlas CC Acquisition Corp.
9.93% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28			562,063		522,718
Cloud Software Group, Inc.
9.99% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/29/28			497,196		476,617
24-7 Intouch, Inc.
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25			265,803		263,034
Total Technology					4,150,854
Financial - 1.7%
Franchise Group, Inc.
10.31% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26			938,947		857,963
Teneo Holdings LLC
10.67% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25			470,426		469,721
Osaic Holdings, Inc.
9.82% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/28			450,000		449,298

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
HIGH YIELD FUND

	Face Amount~		Value
Eisner Advisory Group
10.68% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28		441,005	$	439,902
Cobham Ultra SeniorCo SARL
9.36% (6 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 08/06/29		398,003		395,348
HarbourVest Partners, LP
8.39% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 04/20/30		310,000		309,482
Avison Young (Canada), Inc.
12.15% (3 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 01/31/26		523,875		195,143
Total Financial				3,116,857
Basic Materials - 1.0%
LTI Holdings, Inc.
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26		739,485		721,611
NIC Acquisition Corp.
9.40% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/29/27		653,766		538,186
Nouryon USA LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28		268,598		264,792
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28		74,813		73,815
DCG Acquisition Corp.
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/30/26		246,212		243,519
Total Basic Materials				1,841,923
Communications - 0.5%
Cengage Learning Acquisitions, Inc.
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26		1,010,470		1,004,407
Energy - 0.3%
BANGL LLC
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29		543,000		537,912
Permian Production Partners LLC
13.43% (3 Month Term SOFR + 6.00%, Rate Floor: 11.43%) (in-kind rate was 2.00%) due 11/24/25†††,9		116,927		116,342
Total Energy				654,254
Utilities - 0.3%
Calpine Construction Finance Company, LP
7.57% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/31/30		250,000		248,482
TerraForm Power Operating LLC
7.99% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/21/29		226,875		224,820
Total Utilities				473,302
Total Senior Floating Rate Interests
(Cost $29,327,981)				27,571,218
ASSET-BACKED SECURITIES†† - 0.6%
Collateralized Loan Obligations - 0.4%
WhiteHorse X Ltd.
2015-10A E, 10.87% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%) due 04/17/27◊,5		756,443		738,453
Infrastructure - 0.2%
Hotwire Funding LLC
2021-1, 4.46% due 11/20/515		400,000		332,753
Total Asset-Backed Securities
(Cost $1,087,767)				1,071,206
Total Investments - 100.6%
(Cost $213,438,198)			$	190,289,332
Other Assets & Liabilities, net - (0.6)%				(1,190,208	)
Total Net Assets - 100.0%			$	189,099,124

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Morgan Stanley Capital Services LLC

GBP

Sell

1,998,000

2,495,564 USD

10/16/23

$

57,700

Barclays Bank plc

EUR

Sell

642,000

690,399 USD

10/16/23

11,160

Bank of America, N.A.

CAD

Sell

497,000

366,772 USD

10/16/23

679

$

69,539

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
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	Special Purpose Acquisition Company (SPAC).
4	Rate indicated is the 7-day yield as of September 30, 2023.
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 $134,956,741 (cost $150,971,353), or 71.4% 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, 2023, the total market value of segregated or earmarked securities was $2,024,387— See Note 6.
7	Security is in default of interest and/or principal obligations.
8	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 $13,211 (cost $252,369), or 0.0% of total net assets — See Note 10.
9	Payment-in-kind security.
	CAD — Canadian Dollar
	EUR — Euro
	GBP — British Pound
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	—	$	730,202	$	64,125	$	794,327
Preferred Stocks		—		3,962,063		85,798		4,047,861
Warrants		778		—		—		778
Money Market Fund		2,517,574		—		—		2,517,574
Corporate Bonds		—		154,273,157		13,211		154,286,368
Senior Floating Rate Interests		—		23,826,617		3,744,601		27,571,218
Asset-Backed Securities		—		1,071,206		—		1,071,206
Forward Foreign Currency Exchange Contracts**		—		69,539		—		69,539
Total Assets	$	2,518,352	$	183,932,784	$	3,907,735	$	190,358,871

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

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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 $1,479,698 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 September 30, 2023		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Assets:
Common Stocks	$	61,918	Enterprise Valuation	Valuation Multiple		2.7x-8.1x		3.7x
Common Stocks		2,191	Model Price	Liquidation Value		—		—
Common Stocks		16	Third Party Pricing	Trade Price		—		—
Corporate Bonds		13,211	Third Party Pricing	Broker Quote		—		—
Preferred Stocks		85,796	Enterprise Valuation	Valuation Multiple		4.9x		—
Preferred Stocks		2	Model Price	Purchase Price		—		—
Senior Floating Rate Interests		2,945,029	Yield Analysis	Yield		11.2%-39.1%		14.8	%
Senior Floating Rate Interests		799,572	Third Party Pricing	Broker Quote		—		—
Total Assets	$	3,907,735

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

Significant changes in a quote, yield, 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 year ended September 30, 2023, the Fund had securities with a total value of $338,177 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $4,872,665 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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 year ended September 30, 2023:

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
HIGH YIELD FUND

	Assets															Liabilities
	Corporate Bonds			Senior Floating Rate Interests			Common Stocks			Preferred Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	378,860		$	12,689,191		$	130,253		$	—		$	13,198,304		$	(12,748	)
Purchases/(Receipts)		—			719,019			1,673			—			720,692			—
(Sales, maturities and paydowns)/Fundings		—			(5,761,285	)		(35,013	)		—			(5,796,298	)		1,803
Amortization of premiums/discounts		—			50,517			—			—			50,517			(321	)
Mergers		—			(924,625	)		1,370			923,255			—			—
Total realized gains (losses) including in earnings		—			(163,598	)		30,657			—			(132,941	)		3,268
Total change in unrealized appreciation (depreciation) included in earnings		(15,398	)		1,319,619			(64,815	)		(837,457	)		401,949			7,998
Transfers into Level 3		13,211			324,966			—			—			338,177			—
Transfers out of Level 3		(363,462	)		(4,509,203	)		—			—			(4,872,665	)		—
Ending Balance	$	13,211		$	3,744,601		$	64,125		$	85,798		$	3,907,735		$	—
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	—		$	225,294		$	(36,916	)	$	(837,457	)	$	(649,079	)	$	—

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.

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/23		Shares 09/30/23
Common Stocks
BP Holdco LLC *	$	14,378	$	—	$	—		$	—	$	16,078		$	30,456		23,711
Targus Group International Equity, Inc. *		32,255		—		(34,485	)		30,129		(27,899	)		—		—
	$	46,633	$	—	$	(34,485	)	$	30,129	$	(11,821	)	$	30,456

* Non-income producing security.

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $213,429,825)	$	190,258,876
Investments in affiliated issuers, at value (cost $8,373)		30,456
Foreign currency, at value (cost 875)		865
Cash		65,746
Unrealized appreciation on forward foreign currency exchange contracts		69,539
Prepaid expenses		36,616
Receivables:
Interest		2,925,390
Securities sold		348,564
Fund shares sold		197,162
Dividends		9,844
Foreign tax reclaims		4,934
Total assets		193,947,992
Liabilities:
Unfunded loan commitments, at value (Note 9)(commitment fees received $—)		—
Reverse repurchase agreements (Note 6)		1,479,698
Payable for:
Securities purchased		2,438,223
Fund shares redeemed		545,096
Distributions to shareholders		116,292
Management fees		91,058
Transfer agent/maintenance fees		48,770
Distribution and service fees		18,250
Fund accounting/administration fees		5,802
Trustees’ fees*		3,359
Due to Investment Adviser		1,178
Miscellaneous		101,142
Total liabilities		4,848,868
Net assets	$	189,099,124
Net assets consist of:
Paid in capital	$	244,197,765
Total distributable earnings (loss)		(55,098,641	)
Net assets	$	189,099,124
A-Class:
Net assets	$	44,845,663
Capital shares outstanding		4,754,576
Net asset value per share	$	9.43
Maximum offering price per share (Net asset value divided by 96.00%)	$	9.82
C-Class:
Net assets	$	9,417,005
Capital shares outstanding		990,002
Net asset value per share	$	9.51
P-Class:
Net assets	$	5,205,235
Capital shares outstanding		551,651
Net asset value per share	$	9.44
Institutional Class:
Net assets	$	127,649,434
Capital shares outstanding		16,612,921
Net asset value per share	$	7.68
R6-Class:
Net assets	$	1,981,787
Capital shares outstanding		210,514
Net asset value per share	$	9.41

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

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

HIGH YIELD FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	153,147
Interest from securities of unaffiliated issuers		13,176,479
Total investment income		13,329,626
Expenses:
Management fees		1,106,317
Distribution and service fees:
A-Class		111,343
C-Class		101,122
P-Class		12,564
Transfer agent/maintenance fees:
A-Class		53,245
C-Class		13,039
P-Class		7,611
Institutional Class		138,989
R6-Class		589
Registration fees		99,511
Fund accounting/administration fees		84,432
Professional fees		78,105
Interest expense		40,352
Trustees’ fees*		19,307
Custodian fees		15,547
Line of credit fees		10,970
Miscellaneous		39,011
Recoupment of previously waived fees:
A-Class		18,544
C-Class		3,546
P-Class		577
Institutional Class		36,305
Total expenses		1,991,026
Less:
Expenses reimbursed by Adviser:
A-Class		(14,511	)
C-Class		(2,464	)
P-Class		(1,432	)
Institutional Class		(11,083	)
R6-Class		(143	)
Expenses waived by Adviser		(57,160	)
Earning credits		(4,050	)
Total waived/reimbursed expenses		(90,843	)
Net expenses		1,900,183
Net investment income		11,429,443
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,220,224	)
Investments in affiliated issuers		30,129
Forward foreign currency exchange contracts		(252,159	)
Foreign currency transactions		(3,166	)
Net realized loss		(4,445,420	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		9,988,852
Investments in affiliated issuers		(11,821	)
Forward foreign currency exchange contracts		(70,079	)
Foreign currency translations		1,197
Net change in unrealized appreciation (depreciation)		9,908,149
Net realized and unrealized gain		5,462,729
Net increase in net assets resulting from operations	$	16,892,172

* 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 ANNUAL REPORT | 33

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	11,429,443		$	14,291,090
Net realized loss on investments		(4,445,420	)		(3,627,492	)
Net change in unrealized appreciation (depreciation) on investments		9,908,149			(41,448,065	)
Net increase (decrease) in net assets resulting from operations		16,892,172			(30,784,467	)
Distributions to shareholders:
A-Class		(2,681,360	)		(2,597,694	)
C-Class		(531,795	)		(553,044	)
P-Class		(302,555	)		(247,398	)
Institutional Class		(7,690,867	)		(7,588,631	)
R6-Class		(126,227	)		(2,498,200	)
Return of capital
A-Class		(27,032	)		(89,963	)
C-Class		(5,361	)		(19,153	)
P-Class		(3,050	)		(8,568	)
Institutional Class		(77,534	)		(262,809	)
R6 Class		(1,273	)		(86,517	)
Total distributions to shareholders		(11,447,054	)		(13,951,977	)
Capital share transactions:
Proceeds from sale of shares
A-Class		4,413,398			5,952,402
C-Class		1,181,267			657,102
P-Class		1,437,731			1,402,958
Institutional Class		39,343,841			43,343,283
R6-Class		2,663			2,433,069
Redemption fees collected
A-Class		133			751
C-Class		29			195
P-Class		15			73
Institutional Class		387			2,141
R6-Class		6			796
Distributions reinvested
A-Class		2,472,792			2,442,802
C-Class		524,910			555,783
P-Class		305,110			255,966
Institutional Class		6,336,875			6,418,053
R6-Class		127,232			2,584,717
Cost of shares redeemed
A-Class		(7,261,678	)		(11,072,154	)
C-Class		(2,518,867	)		(5,286,119	)
P-Class		(1,100,898	)		(2,043,886	)
Institutional Class		(35,208,501	)		(78,495,447	)
R6-Class		(113,880	)		(122,325,066	)
Net increase (decrease) from capital share transactions		9,942,565			(153,172,581	)
Net increase (decrease) in net assets		15,387,683			(197,909,025	)
Net assets:
Beginning of year		173,711,441			371,620,466
End of year	$	189,099,124		$	173,711,441

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		466,658			579,055
C-Class		123,430			62,888
P-Class		152,312			143,033
Institutional Class		5,099,917			5,262,893
R6-Class		283			225,179
Shares issued from reinvestment of distributions
A-Class		261,165			242,943
C-Class		54,963			54,648
P-Class		32,203			25,590
Institutional Class		821,359			780,797
R6-Class		13,463			242,535
Shares redeemed
A-Class		(767,705	)		(1,087,791	)
C-Class		(264,048	)		(509,028	)
P-Class		(116,881	)		(199,930	)
Institutional Class		(4,570,555	)		(9,508,654	)
R6-Class		(12,038	)		(11,811,894	)
Net increase (decrease) in shares		1,294,526			(15,497,736	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	9.14		$	10.98		$	10.37		$	10.90		$	11.04
Income (loss) from investment operations:
Net investment income (loss)a		.57			.56			.49			.57			.64
Net gain (loss) on investments (realized and unrealized)		.30			(1.86	)		.63			(.50	)		(.12	)
Total from investment operations		.87			(1.30	)		1.12			.07			.52
Less distributions from:
Net investment income		(.57	)		(.52	)		(.48	)		(.60	)		(.66	)
Return of capital		(.01	)		(.02	)		(.03	)		—			—
Total distributions		(.58	)		(.54	)		(.51	)		(.60	)		(.66	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.43		$	9.14		$	10.98		$	10.37		$	10.90
Total Returnc		9.60	%		(12.10	%)		11.02	%		0.84	%		4.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,846		$	43,822		$	55,550		$	53,997		$	67,916
Ratios to average net assets:
Net investment income (loss)		6.07	%		5.46	%		4.51	%		5.44	%		5.94	%
Total expensesd		1.22	%		1.14	%		1.07	%		1.21	%		1.27	%
Net expensese,f,g		1.16	%		1.10	%		1.05	%		1.20	%		1.26	%
Portfolio turnover rate		31	%		42	%		86	%		81	%		61	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	9.22		$	11.07		$	10.46		$	10.99		$	11.14
Income (loss) from investment operations:
Net investment income (loss)a		.51			.47			.40			.49			.56
Net gain (loss) on investments (realized and unrealized)		.29			(1.85	)		.64			(.49	)		(.12	)
Total from investment operations		.80			(1.38	)		1.04			—			.44
Less distributions from:
Net investment income		(.50	)		(.45	)		(.40	)		(.53	)		(.59	)
Return of capital		(.01	)		(.02	)		(.03	)		—			—
Total distributions		(.51	)		(.47	)		(.43	)		(.53	)		(.59	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.51		$	9.22		$	11.07		$	10.46		$	10.99
Total Returnc		8.75	%		(12.76	%)		10.04	%		0.09	%		4.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,417		$	9,915		$	16,242		$	16,437		$	21,935
Ratios to average net assets:
Net investment income (loss)		5.30	%		4.55	%		3.67	%		4.68	%		5.17	%
Total expensesd		1.97	%		1.94	%		1.91	%		2.00	%		2.03	%
Net expensese,f,g		1.92	%		1.90	%		1.89	%		1.99	%		2.02	%
Portfolio turnover rate		31	%		42	%		86	%		81	%		61	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	9.14		$	10.98		$	10.38		$	10.91		$	11.05
Income (loss) from investment operations:
Net investment income (loss)a		.57			.55			.48			.57			.64
Net gain (loss) on investments (realized and unrealized)		.30			(1.85	)		.62			(.50	)		(.12	)
Total from investment operations		.87			(1.30	)		1.10			.07			.52
Less distributions from:
Net investment income		(.56	)		(.52	)		(.47	)		(.60	)		(.66	)
Return of capital		(.01	)		(.02	)		(.03	)		—			—
Total distributions		(.57	)		(.54	)		(.50	)		(.60	)		(.66	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.44		$	9.14		$	10.98		$	10.38		$	10.91
Total Return		9.71	%		(12.13	%)		10.80	%		0.80	%		4.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,205		$	4,426		$	5,660		$	5,837		$	8,170
Ratios to average net assets:
Net investment income (loss)		6.07	%		5.37	%		4.40	%		5.42	%		5.93	%
Total expensesd		1.22	%		1.28	%		1.20	%		1.26	%		1.30	%
Net expensese,f,g		1.16	%		1.15	%		1.16	%		1.25	%		1.28	%
Portfolio turnover rate		31	%		42	%		86	%		81	%		61	%

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	7.45		$	8.94		$	8.45		$	8.88		$	9.01
Income (loss) from investment operations:
Net investment income (loss)a		.49			.47			.41			.48			.54
Net gain (loss) on investments (realized and unrealized)		.23			(1.50	)		.51			(.39	)		(.10	)
Total from investment operations		.72			(1.03	)		.92			.09			.44
Less distributions from:
Net investment income		(.48	)		(.44	)		(.40	)		(.52	)		(.57	)
Return of capital		(.01	)		(.02	)		(.03	)		—			—
Total distributions		(.49	)		(.46	)		(.43	)		(.52	)		(.57	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	7.68		$	7.45		$	8.94		$	8.45		$	8.88
Total Return		9.78	%		(11.80	%)		11.14	%		1.14	%		5.15	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	127,649		$	113,644		$	167,486		$	171,641		$	180,442
Ratios to average net assets:
Net investment income (loss)		6.32	%		5.63	%		4.71	%		5.67	%		6.17	%
Total expensesd		0.95	%		0.95	%		0.88	%		0.98	%		0.99	%
Net expensese,f,g		0.91	%		0.88	%		0.85	%		0.96	%		0.97	%
Portfolio turnover rate		31	%		42	%		86	%		81	%		61	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	9.12		$	10.97		$	10.36		$	10.89		$	11.03
Income (loss) from investment operations:
Net investment income (loss)a		.61			.50			.52			.60			.68
Net gain (loss) on investments (realized and unrealized)		.29			(1.77	)		.63			(.49	)		(.12	)
Total from investment operations		.90			(1.27	)		1.15			.11			.56
Less distributions from:
Net investment income		(.60	)		(.56	)		(.51	)		(.64	)		(.70	)
Return of capital		(.01	)		(.02	)		(.03	)		—			—
Total distributions		(.61	)		(.58	)		(.54	)		(.64	)		(.70	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.41		$	9.12		$	10.97		$	10.36		$	10.89
Total Return		10.00	%		(11.91	%)		11.35	%		1.19	%		5.39	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,982		$	1,905		$	126,683		$	127,037		$	151,558
Ratios to average net assets:
Net investment income (loss)		6.43	%		4.70	%		4.80	%		5.79	%		6.31	%
Total expensesd		0.84	%		0.75	%		0.77	%		0.85	%		0.89	%
Net expensese,f,g		0.80	%		0.75	%		0.76	%		0.85	%		0.88	%
Portfolio turnover rate		31	%		42	%		86	%		81	%		61	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Redemption fees collected are less than $0.01 per share.
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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.04%	0.01%	0.00%*	0.05%	0.05%
C-Class	0.04%	0.00%*	0.01%	0.04%	0.05%
P-Class	0.01%	0.04%	0.04%	0.02%	0.01%
Institutional Class	0.03%	0.02%	0.01%	0.02%	0.02%
R6-Class	—	—	—	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 years presented would be:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.13%	1.09%	1.03%	1.12%	1.15%
C-Class	1.89%	1.89%	1.87%	1.90%	1.91%
P-Class	1.13%	1.14%	1.14%	1.16%	1.16%
Institutional Class	0.88%	0.87%	0.83%	0.87%	0.88%
R6-Class	0.77%	0.75%	0.74%	0.77%	0.77%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Core Bond Fund (“Fund”). The Fund is managed by a team of seasoned professionals at SI, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (the “Reporting Period”).

For the Reporting Period, the Fund returned 1.46% ¹, outperforming the Bloomberg U.S.Aggregate Bond Index, the Fund’s benchmark (“Benchmark”), which returned 0.64% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

For the Reporting Period, the Fund outperformed the Benchmark by 82 basis points. Carry, or earned income, remained a consistent source of relative performance for the Fund. Spreads also added to performance relative to the Benchmark. Credit selection within corporates, the Fund’s allocation to securitized credit, and an underweight to Agency residential mortgage-backed securities (“RMBS”) drove most of the active performance versus the Benchmark. Duration detracted from performance as the Fund was positioned modestly overweight duration while the curve bear steepened. Bear steepening refers to yield-curve widening due to long-term rates increasing more than short-term rates, amid a period of falling bond prices and rising yields.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the reporting period, performance from interest rate swaps, caps, and swaptions detracted from performance, and performance from SOFR futures was positive (SOFR is Secured Overnight Financing Rate, which measures the cost of borrowing cash overnight collateralized by Treasury Securities). Options on equities, which functioned as hedges to the Fund’s credit positioning, detracted from performance and performance from credit default swaps and credit default swap index (CDX) positions was negative. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a negative impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

Over the past several quarters the Fund has increasingly prioritized diversification, quality, and liquidity as recession concerns continued to persist. To that end, the Fund has steadily moved up-in-quality and positioned more defensively, uniquely, without having to sacrifice yield due to the flatness of the yield curve and the lack of any material decompression witnessed in credit spreads with respect to quality. While spreads for many credit sectors have reverted to long-term-average levels, certain segments remain dislocated and offer attractive relative value. Structured credit spreads are especially cheap, particularly when analyzed in the context of broader fixed income spread levels. Specifically, the basis between structured credit spreads and investment-grade corporate spreads currently sits north of the 90th percentile of historically observed data.

Structured credit is the Fund’s largest allocation. Spreads continued their rebound, but broadly remain wide, both compared to similarly rated investment-grade corporate credit and in an absolute sense. Furthermore, the lower dollar prices of these assets following the rise in interest rates sets up the potential for higher total return opportunities than typically exists in the asset class. With much of its active buying base largely coming from income-focused accounts, structured credit spreads should continue to compress from the resetting higher of yields and the resulting increased interest that comes with it. Within securitized credit, we continue to focus on opportunities senior in the capital structure with sufficient credit enhancement and often unique structural features that limit cash flow variability or extension concerns. We believe the focus on superior structures will be paramount in helping mitigate mark-to-market risks that could emerge should volatility rise.

The corporate credit allocation, represents roughly 22% of the Fund’s holdings. Investment-grade-rated credit makes up 19% of that allocation while 3% is below-investment-grade rated. While in our view, overall corporate credit spreads are trading around fair value levels, there remain both idiosyncratic opportunities and risks across certain issuers and industries given tighter credit conditions across capital markets. Primary market offerings have priced at especially attractive levels, as many investors have pulled back from lending activities. The Fund has employed modestly sized credit hedges to protect the portfolio from potential spread widening.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

At the end of the Reporting Period, the Fund had a duration of 6.5 years, unchanged versus the end of the previous Reporting Period. During the period, however, we shifted more total duration during the selloff, we did continue to shift more of the Fund’s duration concentration toward the front end and belly of the curve. While we feel that much of the move in the long end of the Treasury curve has been driven by technical factors and current yields are above levels justified by fundamentals (e.g. inflation expectations, growth expectations, term premium, etc.), the path to those technical factors dissipating in the near term is unclear. Our conviction on the future path of rates is higher at the front end of the curve at this point in the cycle. On a related note, interest rate volatility has remained elevated, which has presented the Fund with opportunities to tactically add to positions in Agency RMBS, locking in spreads, both static and option adjusted, that are near 15-year wides.

Despite another volatile quarter for fixed income returns, our broader macroeconomic views from a fundamental perspective remain consistent. We continue to expect inflation to moderate with time and view the market’s increasingly optimistic expectations of a soft landing as misguided. To that end, we continue to emphasize a defensive tilt to our positioning. From a valuation perspective, the recent move higher in interest rates does potentially present an interesting opportunity to extend duration further, but as we noted, the technical backdrop (particularly at the long end of the curve) is fairly precarious at the moment. Our conviction on the future path of rates is higher on the front end of the curve at this point in the cycle, which informed our shift in curve positioning. However, with the yield curve having steepened out, investors can now “lock-in” roughly similar yields to what they are able to earn in overnight rates, which may be a catalyst for some of the nearly $2 trillion growth in money market funds to move back into fixed income. Looking further out into the economic future, we believe the Fed’s restrictive monetary policy could ultimately shepherd in a recession in the next 6-18 months, which we believe will likely be met with lower rates. Ultimately, the current path of weakening growth, high prices, and high interest rates appears unsustainable, and we are already starting to see signs of pressure on consumers and levered corporate borrowers, which could call into question any soft-landing narrative.

Performance displayed represents past performance which is no guarantee of future results..

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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.

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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	51.6%
AA	7.1%
A	17.3%
BBB	19.1%
BB	1.6%
B	0.4%
CC	0.1%
C	0.1%
NR2	0.8%
Other Instruments	1.9%
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, 4.63%	7.8%
U.S. Treasury Notes, 3.88%	5.8%
U.S. Treasury Notes, 4.13%	4.7%
U.S. Treasury Notes, 3.50%	3.8%
U.S. Treasury Bonds, due 05/15/53	2.8%
Fannie Mae, 5.50% due 05/01/53	2.8%
U.S. Treasury Notes, 3.63%	1.4%
Fannie Mae, 5.00% due 06/01/53	1.2%
Fannie Mae, 5.00% due 05/01/53	1.0%
U.S. Treasury Notes, 4.38%	0.9%
Top Ten Total	32.2%
“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 ANNUAL REPORT | 41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	1.46%	0.05%	2.18%
A-Class Shares with sales charge†	(2.60%)	(0.76%)	1.68%
C-Class Shares	0.68%	(0.69%)	1.43%
C-Class Shares with CDSC‡	(0.29%)	(0.69%)	1.43%
Institutional Class Shares	1.80%	0.34%	2.46%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	1.13%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	1.50%	0.05%	1.34%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	0.55%

*	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 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. The graph is based on A-Class shares only: performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
†	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 calculated performance for the 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.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2023
CORE BOND FUND

	Shares		Value
COMMON STOCKS† - 0.0%
Communications - 0.0%
Vacasa, Inc. — Class A*		31,926	$	14,721
Financial - 0.0%
Pershing Square Tontine Holdings, Ltd. — Class A*,†††		622,890		62
Industrial - 0.0%
Constar International Holdings LLC*,†††		68		—
Total Common Stocks
(Cost $318,263)				14,783
PREFERRED STOCKS†† - 1.6%
Financial - 1.6%
Charles Schwab Corp.
4.00%		8,500,000		5,997,354
MetLife, Inc.
3.85%		3,520,000		3,256,307
Bank of New York Mellon Corp.
3.75%		3,900,000		3,163,264
Wells Fargo & Co.
3.90%		3,250,000		2,838,382
JPMorgan Chase & Co.
3.65%2		2,350,000		2,051,169
Bank of America Corp.
6.13%		1,650,000		1,580,903
Markel Group, Inc.
6.00%		1,360,000		1,312,837
Kuvare US Holdings, Inc.
7.00%3		1,000,000		1,052,805
CNO Financial Group, Inc.
5.13% due 11/25/60		48,000		745,440
Assurant, Inc.
5.25% due 01/15/61		38,000		741,000
Depository Trust & Clearing Corp.
3.38%2,3		1,000,000		740,437
Lincoln National Corp.
9.25%2		644,000		663,315
First Republic Bank
4.25%		77,975		8
Total Financial				24,143,221
Industrial - 0.0%
Constar International Holdings LLC*,†††		7		—
Total Preferred Stocks
(Cost $31,237,477)				24,143,221
WARRANTS† - 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 09/16/26		6,510		1,465
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/261		8,300		498
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25*,†††		69,210		7
Total Warrants
(Cost $21,927)				1,970
MONEY MARKET FUNDS† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%4		2,271,130		2,271,130
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%4		1,586,284		1,586,284
Total Money Market Fund
(Cost $3,857,414)				3,857,414
	Face Amount~
U.S. GOVERNMENT SECURITIES†† - 32.1%
U.S. Treasury Notes
3.88% due 08/15/33		95,300,000		90,043,609
4.13% due 07/31/2816		73,650,000		72,061,922
3.50% due 01/31/2812		61,817,000		58,994,185
3.63% due 05/15/26		22,000,000		21,325,391
4.38% due 08/31/28		14,500,000		14,356,133
2.75% due 02/15/28		8,370,000		7,740,942
3.75% due 06/30/30		5,340,000		5,068,411
3.38% due 05/15/3316		4,130,000		3,745,394
4.13% due 06/15/26		260,000		255,186
U.S. Treasury Notes
4.63% due 09/30/28		121,000,000		121,217,422
U.S. Treasury Bonds
due 05/15/538,9		164,480,000		43,551,995
3.00% due 08/15/52		16,000,000		11,658,750
due 02/15/528,9		29,980,000		8,166,154
due 02/15/468,9		22,605,000		7,574,924
2.88% due 05/15/52		10,000,000		7,090,234
due 05/15/448,9		19,265,000		7,016,364
4.00% due 11/15/52		5,300,000		4,697,539
1.88% due 11/15/51		8,000,000		4,459,062
due 11/15/448,9,12		4,520,000		1,604,392
United States Treasury Inflation Indexed Bonds
1.25% due 04/15/2814		3,974,412		3,779,844
1.38% due 07/15/3314		1,942,487		1,796,004
Total U.S. Government Securities
(Cost $533,351,500)				496,203,857
ASSET-BACKED SECURITIES†† - 24.5%
Collateralized Loan Obligations - 14.8%
LoanCore Issuer Ltd.
2021-CRE5 C, 7.80% (1 Month Term SOFR + 2.35%, Rate Floor: 2.35%) due 07/15/36◊,3		7,500,000		7,010,106
2021-CRE4 D, 7.93% (30 Day Average SOFR + 2.61%, Rate Floor: 2.61%) due 07/15/35◊,3		4,426,000		4,125,496

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
2021-CRE6 C, 7.75% (1 Month Term SOFR + 2.41%, Rate Floor: 2.30%) due 11/15/38◊,3		4,000,000	$	3,811,546
2021-CRE4 C, 7.13% (30 Day Average SOFR + 1.81%, Rate Floor: 1.81%) due 07/15/35◊,3		1,000,000		971,776
Octagon Investment Partners 49 Ltd.
2021-5A B, 7.12% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 01/15/33◊,3		8,500,000		8,395,450
2021-5A C, 7.62% (3 Month Term SOFR + 2.31%, Rate Floor: 2.05%) due 01/15/33◊,3		7,450,000		7,244,404
Woodmont Trust
2020-7A A1A, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 01/15/32◊,3		12,000,000		11,966,848
2020-7A B, 8.17% (3 Month Term SOFR + 2.86%, Rate Floor: 2.60%) due 01/15/32◊,3		3,750,000		3,668,723
Cerberus Loan Funding XXX, LP
2020-3A A, 7.42% (3 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3		13,500,000		13,453,212
2020-3A B, 8.07% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,3		2,000,000		1,967,421
LCCM Trust
2021-FL3 A, 6.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 11/15/38◊,3		6,000,000		5,863,291
2021-FL3 AS, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/15/38◊,3		3,950,000		3,745,892
2021-FL2 C, 7.60% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 12/13/38◊,3		3,100,000		2,829,631
Dryden 36 Senior Loan Fund
2020-36A CR3, 7.62% (3 Month Term SOFR + 2.31%, Rate Floor: 2.05%) due 04/15/29◊,3		8,000,000		7,931,896
Madison Park Funding XLVIII Ltd.
2021-48A B, 7.03% (3 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 04/19/33◊,3		4,000,000		3,964,800
2021-48A C, 7.58% (3 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 04/19/33◊,3		4,000,000		3,955,188
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 D, 8.00% (1 Month Term SOFR + 2.66%, Rate Floor: 2.55%) due 07/16/36◊,3		4,000,000		3,807,214
2021-FL6 C, 7.30% (1 Month Term SOFR + 1.96%, Rate Floor: 1.85%) due 07/16/36◊,3		3,400,000		3,211,757
Palmer Square Loan Funding Ltd.
2021-1A A2, 6.84% (3 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 04/20/29◊,3		2,000,000		1,984,311
2021-1A B, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 2.06%) due 04/20/29◊,3		2,000,000		1,979,243
2021-3A C, 8.09% (3 Month Term SOFR + 2.76%, Rate Floor: 2.76%) due 07/20/29◊,3		2,000,000		1,965,066
2021-2A C, 8.04% (3 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 05/20/29◊,3		1,000,000		986,154
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 7.51% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33◊,3		6,500,000		6,242,286
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 7.22% (3 Month Term SOFR + 1.87%, Rate Floor: 1.61%) due 07/25/33◊,3		4,000,000		3,975,144
2021-16A A2R2, 7.41% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 07/25/33◊,3		2,000,000		1,940,101
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 7.19% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 04/20/32◊,3		5,500,000		5,439,950
Cerberus Loan Funding XXXII, LP
2021-2A A, 7.19% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,3		4,250,000		4,197,749
2021-2A C, 8.42% (3 Month Term SOFR + 3.11%, Rate Floor: 3.11%) due 04/22/33◊,3		1,250,000		1,204,505
AMMC CLO XIV Ltd.
2021-14A A2R2, 7.01% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 07/25/29◊,3		5,332,385		5,330,252
Cerberus Loan Funding XLII LLC
2023-3A A1, 7.91% (3 Month Term SOFR + 2.48%, Rate Floor: 2.48%) due 09/13/35◊,3		3,750,000		3,749,737
2023-3A B, 8.78% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 09/13/35◊,3		1,250,000		1,249,893
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,3		4,250,000		4,191,981
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 7.37% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 10/15/33◊,3		3,250,000		3,164,925
2021-9A A1TR, 7.12% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 10/15/33◊,3		1,000,000		981,243

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 7.29% (3 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 07/20/33◊,3		3,750,000	$	3,717,811
BSPDF Issuer Ltd.
2021-FL1 C, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 10/15/36◊,3		4,000,000		3,709,869
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 6.93% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 02/05/31◊,3		3,722,023		3,699,691
Owl Rock CLO IV Ltd.
2021-4A A1R, 7.24% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,3		3,750,000		3,693,708
PFP Ltd.
2021-7 D, 7.85% (1 Month Term SOFR + 2.51%, Rate Floor: 2.40%) due 04/14/38◊,3		3,749,813		3,501,277
Cerberus Loan Funding XL LLC
2023-1A A, 7.71% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 03/22/35◊,3		3,500,000		3,499,799
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/20/31◊,3		3,207,310		3,167,868
Cerberus Loan Funding XXXIII, LP
2021-3A B, 7.42% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 07/23/33◊,3		2,000,000		1,930,635
2021-3A A, 7.13% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33◊,3		1,250,000		1,231,138
Cerberus Loan Funding XXXI, LP
2021-1A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/15/32◊,3		3,025,262		3,012,407
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A C, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 01/20/33◊,3		3,000,000		2,933,833
KREF Funding V LLC
7.19% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 06/25/26◊,†††		2,840,938		2,817,778
0.15% due 06/25/26†††,5		21,818,182		15,055
BXMT Ltd.
2020-FL2 A, 6.35% (1 Month Term SOFR + 1.01%, Rate Floor: 1.01%) due 02/15/38◊,3		2,896,986		2,753,049
VOYA CLO
2021-2A A2AR, 7.22% (3 Month Term SOFR + 1.91%, Rate Floor: 1.65%) due 06/07/30◊,3		2,550,000		2,532,915
Palmer Square CLO 2023-4 Ltd.
2023-4A C, due 10/20/33◊,3		2,250,000		2,250,000
Apres Static CLO Ltd.
2020-1A A2R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 0.00%) due 10/15/28◊,3		2,000,000		1,991,621
MidOcean Credit CLO VII
2020-7A BR, 7.17% (3 Month Term SOFR + 1.86%, Rate Floor: 0.00%) due 07/15/29◊,3		2,000,000		1,964,200
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A C, 7.32% (3 Month Term SOFR + 2.01%, Rate Floor: 1.75%) due 04/16/33◊,3		2,000,000		1,956,779
ACRES Commercial Realty Ltd.
2021-FL2 AS, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 01/15/37◊,3		2,000,000		1,951,724
Magnetite XXIX Ltd.
2021-29A C, 7.22% (3 Month Term SOFR + 1.91%, Rate Floor: 1.65%) due 01/15/34◊,3		2,000,000		1,946,532
ABPCI Direct Lending Fund IX LLC
2021-9A A2R, 7.42% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 11/18/31◊,3		2,000,000		1,943,225
ACRES Commercial Realty Ltd.
2021-FL1 AS, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 06/15/36◊,3		2,000,000		1,926,802
FS Rialto
2021-FL3 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.05%) due 11/16/36◊,3		2,000,000		1,882,224
Canyon Capital CLO Ltd.
2018-1A A2R, 7.13% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 01/30/31◊,3		1,900,000		1,868,150
BRSP Ltd.
2021-FL1 C, 7.59% (1 Month Term SOFR + 2.26%, Rate Floor: 2.15%) due 08/19/38◊,3		2,000,000		1,835,700
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 6.87% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 04/15/31◊,3		1,819,878		1,809,448
OCP CLO Ltd.
2020-4A A2RR, 7.06% (3 Month Term SOFR + 1.71%, Rate Floor: 1.45%) due 04/24/29◊,3		1,500,000		1,490,550

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

		Face Amount~		Value
Golub Capital Partners CLO 54M L.P
2021-54A B, 7.48% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 08/05/33◊,3			1,500,000	$	1,423,599
STWD Ltd.
2019-FL1 D, 7.80% (1 Month Term SOFR + 2.46%, Rate Floor: 2.46%) due 07/15/38◊,3			1,459,000		1,329,331
Palmer Square Loan Funding Ltd.
2023-1A B, due 07/20/31◊,3			1,250,000		1,256,621
Palmer Square Loan Funding Ltd.
2023-4A B, 8.10% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/24/31◊,3			1,000,000		1,006,817
Owl Rock CLO XIII LLC
2023-13A B, 8.77% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 09/20/35◊,3			1,000,000		999,821
Cerberus Loan Funding XXXVIII, LP
2022-2A A1, 8.06% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 10/15/34◊,3			1,000,000		999,102
Cerberus Loan Funding XXXV, LP
2021-5A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33◊,3			1,000,000		991,011
Owl Rock CLO II Ltd.
2021-2A ALR, 7.14% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 04/20/33◊,3			1,000,000		983,346
Owl Rock CLO I Ltd.
2019-1A A, 7.44% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 05/20/31◊,3			986,802		983,164
Northwoods Capital XII-B Ltd.
2018-12BA B, 7.52% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 06/15/31◊,3			1,000,000		971,600
BSPRT Issuer Ltd.
2021-FL7 C, 7.75% (1 Month Term SOFR + 2.41%, Rate Floor: 2.41%) due 12/15/38◊,3			1,000,000		955,308
KREF
2021-FL2 C, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 02/15/39◊,3			1,000,000		937,028
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 6.86% (3 Month Term SOFR + 1.53%, Rate Floor: 1.27%) due 04/20/30◊,3			922,122		913,811
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/313,6			1,000,000		732,245
ACRE Commercial Mortgage Ltd.
2021-FL4 D, 8.05% (1 Month Term SOFR + 2.71%, Rate Floor: 2.60%) due 12/18/37◊,3			773,000		711,125
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 7.26% (3 Month Term SOFR + 1.91%, Rate Floor: 0.00%) due 10/25/30◊,3			604,218		601,643
Cerberus Loan Funding XXXVI, LP
2021-6A A, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/22/33◊,3			161,421		160,942
Marathon CLO V Ltd.
2017-5A A2R, 7.09% (3 Month Term SOFR + 1.71%, Rate Floor: 0.00%) due 11/21/27◊,3			117,522		117,383
Babson CLO Ltd.
2014-IA SUB, due 07/20/253,6			633,344		14,757
Treman Park CLO Ltd.
2015-1A COM, due 10/20/283,6			162,950		1,636
Copper River CLO Ltd.
2007-1A INC, due 01/20/216,7			700,000		70
Total Collateralized Loan Obligations					229,631,339
Financial - 2.3%
Project Onyx I
due 01/26/27†††15			5,700,000		5,700,248
HV Eight LLC
7.10% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊,†††	EUR		4,400,000		4,653,622
Strategic Partners Fund VIII LP
7.93% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††			4,583,099		4,560,941
KKR Core Holding Company LLC
4.00% due 08/12/31†††			5,122,847		4,429,135
Madison Avenue Secured Funding Trust
2023-1, 7.32% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 03/04/24◊,†††,3			3,050,000		3,050,000
HarbourVest Structured Solutions IV Holdings, LP
7.61% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††			1,736,198		1,736,495
6.05% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††	EUR		1,000,000		1,057,740
Project Onyx II
due 01/26/27†††15			1,900,000		1,899,931
Ceamer Finance LLC
6.92% due 11/15/37†††			1,987,290		1,894,690
Lightning A
5.50% due 03/01/37†††			1,736,222		1,576,302
Thunderbird A
5.50% due 03/01/37†††			1,711,333		1,553,553
Madison Avenue Secured Funding Trust
2024-1, due 10/15/2415			1,175,000		1,175,000
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††			756,775		716,740
Nassau LLC
2019-1, 3.98% due 08/15/343			654,696		618,915
Station Place Securitization Trust
2024-1, due 10/15/2415			575,000		575,000

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

		Face Amount~		Value
Aesf Vi Verdi, LP
6.00% (3 Month EURIBOR + 2.40%, Rate Floor: 2.40%) due 11/25/24◊,†††	EUR		103,023	$	110,598
Total Financial					35,308,910
Whole Business - 2.2%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/503			6,547,500		5,798,950
Domino’s Pizza Master Issuer LLC
2017-1A, 4.12% due 07/25/473			5,103,000		4,721,020
2021-1A, 3.15% due 04/25/513			1,124,125		905,642
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/463			3,515,625		3,388,261
2021-1A, 2.29% due 08/25/513			1,404,975		1,147,637
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/513			4,154,375		3,429,275
2019-1A, 3.88% due 10/25/493			962,500		878,813
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/513			3,801,840		3,210,346
Five Guys Funding LLC
2017-1A, 4.60% due 07/25/473			3,102,750		3,046,475
Sonic Capital LLC
2021-1A, 2.19% due 08/20/513			1,734,600		1,393,177
2020-1A, 4.34% due 01/20/503			969,167		837,088
2020-1A, 3.85% due 01/20/503			751,104		679,649
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/05/493			1,732,500		1,610,528
DB Master Finance LLC
2021-1A, 2.79% due 11/20/513			1,965,000		1,514,915
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/493			1,321,260		1,223,952
Wingstop Funding LLC
2022-1A, 3.73% due 03/05/523			347,375		303,783
Total Whole Business					34,089,511
Transport-Aircraft - 1.6%
AASET Trust
2021-1A, 2.95% due 11/16/413			3,555,584		3,128,985
2021-2A, 2.80% due 01/15/473			2,476,849		2,117,177
2020-1A, 3.35% due 01/16/403			901,859		784,617
2017-1A, 3.97% due 05/16/423			42,488		37,389
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/463			3,052,083		2,648,445
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/463			2,771,088		2,556,273
Lunar Structured Aircraft Portfolio Notes
2021-1, 2.64% due 10/15/463			2,066,031		1,771,105
AASET US Ltd.
2018-2A, 4.45% due 11/18/383			2,035,210		1,769,572
MACH 1 Cayman Ltd.
2019-1, 3.47% due 10/15/393			1,920,801		1,617,737
Sprite Ltd.
2021-1, 3.75% due 11/15/463			1,749,440		1,568,167
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/403			1,605,912		1,358,907
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/393			1,025,140		927,783
2017-1, 4.58% due 02/15/423			157,722		147,433
Raspro Trust
2005-1A, 6.18% (3 Month Term SOFR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3			984,943		978,598
MAPS Ltd.
2018-1A, 4.21% due 05/15/433			985,632		883,491
Slam 2021-1 Ltd.
2021-1A, 2.43% due 06/15/463			859,400		731,023
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/403			769,353		641,325
WAVE LLC
2019-1, 3.60% due 09/15/443			719,910		593,112
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/433			526,869		479,021
Total Transport-Aircraft					24,740,160
Net Lease - 1.4%
CF Hippolyta Issuer LLC
2022-1A, 6.11% due 08/15/623			2,687,109		2,592,812
2020-1, 2.28% due 07/15/603			674,589		592,306
SVC ABS LLC
2023-1A, 5.15% due 02/20/533			3,240,521		3,018,883
CARS-DB4, LP
2020-1A, 3.81% due 02/15/503			2,224,219		1,777,621
2020-1A, 4.95% due 02/15/503			1,500,000		1,203,424
CMFT Net Lease Master Issuer LLC
2021-1, 3.44% due 07/20/513			3,570,000		2,626,388
STORE Master Funding I-VII
2016-1A, 3.96% due 10/20/463			2,501,232		2,303,465
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/503			2,500,000		2,213,759
CF Hippolyta LLC
2020-1, 2.60% due 07/15/603			2,479,789		1,943,240
Capital Automotive REIT
2020-1A, 3.48% due 02/15/503			1,235,677		1,084,082
2021-1A, 2.76% due 08/15/513			996,458		716,880
AFN ABSPROP001 LLC
2021-1A, 2.21% due 05/20/513			1,629,658		1,318,953
Total Net Lease					21,391,813
Single Family Residence - 0.6%
FirstKey Homes Trust
2020-SFR2, 2.67% due 10/19/373			2,250,000		2,047,943
2020-SFR2, 4.00% due 10/19/373			1,400,000		1,290,230
2020-SFR2, 4.50% due 10/19/373			1,350,000		1,250,921
2020-SFR2, 3.37% due 10/19/373			900,000		822,587
Tricon Residential 2023-SFR1 Trust
2023-SFR1, 5.10% due 07/17/403			2,722,000		2,538,943
Home Partners of America Trust
2021-3, 2.80% due 01/17/413			920,614		773,150
Home Partners of America Trust
2021-2, 2.40% due 12/17/263			481,325		420,918
Total Single Family Residence					9,144,692

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
Infrastructure - 0.5%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/523		2,500,000	$	2,177,496
Stack Infrastructure Issuer LLC
2023-1A, 5.90% due 03/25/483		1,000,000		951,979
2020-1A, 1.89% due 08/25/453		1,000,000		907,740
Hotwire Funding LLC
2021-1, 2.31% due 11/20/513		2,000,000		1,756,420
Vantage Data Centers Issuer LLC
2019-1A, 3.19% due 07/15/443		1,127,021		1,094,560
Aligned Data Centers Issuer LLC
2021-1A, 1.94% due 08/15/463		1,150,000		1,005,949
Total Infrastructure				7,894,144
Transport-Container - 0.5%
MC Ltd.
2021-1, 2.63% due 11/05/353		3,300,822		2,867,079
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/453		3,061,294		2,780,626
CLI Funding VI LLC
2020-1A, 2.08% due 09/18/453		1,176,400		1,016,041
TIF Funding II LLC
2021-1A, 1.65% due 02/20/463		750,503		621,214
Total Transport-Container				7,284,960
Collateralized Debt Obligations - 0.4%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/393		7,250,000		6,261,988
Automotive - 0.1%
Avis Budget Rental Car Funding AESOP LLC
2023-8A, 6.66% due 02/20/30†††,3		1,600,000		1,587,096
Insurance - 0.1%
CHEST
7.13% due 03/15/43†††		1,000,000		972,691
Total Asset-Backed Securities
(Cost $397,040,825)				378,307,304
CORPORATE BONDS†† - 21.8%
Financial - 11.4%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		6,200,000		4,494,053
3.25% due 11/15/30		4,000,000		3,024,656
Nippon Life Insurance Co.
2.75% due 01/21/512,3		8,150,000		6,411,014
BPCE S.A.
2.28% due 01/20/322,3		8,200,000		6,134,366
Reliance Standard Life Global Funding II
2.75% due 05/07/253		5,989,000		5,630,924
Wilton RE Ltd.
6.00% 2,3,10		6,237,000		5,479,017
Blue Owl Capital GP LLC
7.21% due 08/22/43†††		5,000,000		4,920,044
GA Global Funding Trust
1.63% due 01/15/263		5,450,000		4,864,654
Liberty Mutual Group, Inc.
4.13% due 12/15/512,3		5,800,000		4,768,383
American Equity Investment Life Holding Co.
5.00% due 06/15/27		5,036,000		4,730,307
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		4,650,000		3,871,203
5.30% due 01/15/29		900,000		834,318
JPMorgan Chase & Co.
2.52% due 04/22/312		2,210,000		1,791,380
4.49% due 03/24/312		1,600,000		1,464,994
2.96% due 05/13/312		1,093,000		898,036
Iron Mountain, Inc.
4.50% due 02/15/313		1,917,000		1,576,662
5.25% due 07/15/303		1,283,000		1,120,887
5.63% due 07/15/323		1,000,000		863,302
Allianz SE
3.20% 2,3,10		5,000,000		3,550,527
PartnerRe Finance B LLC
4.50% due 10/01/502		4,040,000		3,426,473
FS KKR Capital Corp.
2.63% due 01/15/27		2,150,000		1,841,139
3.25% due 07/15/27		1,800,000		1,549,892
Safehold GL Holdings LLC
2.85% due 01/15/32		2,428,000		1,783,521
2.80% due 06/15/31		1,931,000		1,443,137
Macquarie Group Ltd.
2.87% due 01/14/332,3		2,150,000		1,624,965
2.69% due 06/23/322,3		2,000,000		1,532,337
Jefferies Financial Group, Inc.
2.75% due 10/15/32		2,720,000		2,030,217
2.63% due 10/15/31		1,400,000		1,063,880
Fairfax Financial Holdings Ltd.
3.38% due 03/03/31		2,500,000		2,032,097
5.63% due 08/16/32		1,000,000		934,010
Ares Finance Company II LLC
3.25% due 06/15/303		3,660,000		2,962,990
Maple Grove Funding Trust I
4.16% due 08/15/513		4,750,000		2,954,130
Macquarie Bank Ltd.
3.62% due 06/03/303		3,570,000		2,903,873
Host Hotels & Resorts, LP
3.50% due 09/15/30		3,385,000		2,806,568
Assurant, Inc.
2.65% due 01/15/32		2,300,000		1,681,642
4.90% due 03/27/28		1,100,000		1,051,143
First American Financial Corp.
4.00% due 05/15/30		3,180,000		2,693,111
Fidelity National Financial, Inc.
3.40% due 06/15/30		3,085,000		2,621,544
2.45% due 03/15/31		70,000		53,973
Nationwide Mutual Insurance Co.
4.35% due 04/30/503		3,687,000		2,634,223
Reinsurance Group of America, Inc.
3.15% due 06/15/30		3,070,000		2,541,590

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/313		3,150,000	$	2,511,715
Accident Fund Insurance Company of America
8.50% due 08/01/323		2,450,000		2,387,715
Corebridge Financial, Inc.
3.90% due 04/05/32		1,600,000		1,346,394
6.88% due 12/15/522		1,000,000		957,990
OneAmerica Financial Partners, Inc.
4.25% due 10/15/503		3,620,000		2,295,383
UBS Group AG
2.10% due 02/11/322,3		2,950,000		2,182,853
Equitable Holdings, Inc.
7.00% due 04/01/28		2,050,000		2,131,133
Sumitomo Life Insurance Co.
3.38% due 04/15/812,3		2,500,000		2,077,712
Belrose Funding Trust
2.33% due 08/15/303		2,780,000		2,071,662
Mizuho Financial Group, Inc.
5.67% due 05/27/292		2,100,000		2,064,835
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/283		2,450,000		2,062,915
Standard Chartered plc
4.64% due 04/01/312,3		2,250,000		2,024,178
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/503		2,164,746		1,773,099
QBE Insurance Group Ltd.
5.88% 2,3,10		1,750,000		1,663,455
Stewart Information Services Corp.
3.60% due 11/15/31		2,250,000		1,653,417
Manulife Financial Corp.
2.48% due 05/19/27		1,800,000		1,625,408
Westpac Banking Corp.
3.02% due 11/18/362		1,200,000		887,842
2.96% due 11/16/40		805,000		489,586
2.67% due 11/15/352		295,000		221,008
Americo Life, Inc.
3.45% due 04/15/313		2,060,000		1,486,380
KKR Group Finance Company VIII LLC
3.50% due 08/25/503		2,360,000		1,472,167
Bank of America Corp.
2.59% due 04/29/312		1,800,000		1,446,464
Trustage Financial Group, Inc.
4.63% due 04/15/323		1,750,000		1,444,138
HS Wildcat LLC
3.83% due 12/31/50†††		1,992,848		1,413,757
Dyal Capital Partners III
4.40% due 06/15/40†††		1,750,000		1,406,583
Australia & New Zealand Banking Group Ltd.
2.57% due 11/25/352,3		1,800,000		1,332,569
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
5.88% due 05/23/422,3		1,350,000		1,300,072
Brookfield Finance, Inc.
3.50% due 03/30/51		1,250,000		777,475
4.70% due 09/20/47		650,000		506,262
AmFam Holdings, Inc.
2.81% due 03/11/313		1,750,000		1,266,932
ABN AMRO Bank N.V.
2.47% due 12/13/292,3		1,400,000		1,156,105
National Australia Bank Ltd.
2.33% due 08/21/303		1,500,000		1,134,153
Global Atlantic Finance Co.
3.13% due 06/15/313		1,582,000		1,127,580
Lincoln National Corp.
4.38% due 06/15/50		1,580,000		1,082,453
Brookfield Capital Finance LLC
6.09% due 06/14/33		1,100,000		1,068,901
Mitsubishi UFJ Financial Group, Inc.
5.44% due 02/22/342		1,100,000		1,049,108
Societe Generale S.A.
2.89% due 06/09/322,3		1,300,000		983,609
Horace Mann Educators Corp.
7.25% due 09/15/28		950,000		949,199
Prudential Financial, Inc.
3.70% due 10/01/502		1,160,000		943,411
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		1,050,000		796,596
Fort Moore Family Communities LLC
6.09% due 01/15/513		874,640		764,545
Apollo Management Holdings, LP
2.65% due 06/05/303		930,000		748,179
Central Storage Safety Project Trust
4.82% due 02/01/387		852,800		711,207
CNO Financial Group, Inc.
5.25% due 05/30/29		700,000		659,290
Protective Life Corp.
3.40% due 01/15/303		740,000		623,962
Brown & Brown, Inc.
2.38% due 03/15/31		800,000		618,138
Penn Mutual Life Insurance Co.
3.80% due 04/29/613		950,000		567,448
Western & Southern Life Insurance Co.
3.75% due 04/28/613		850,000		513,867
Kemper Corp.
2.40% due 09/30/30		675,000		498,810
Assured Guaranty US Holdings, Inc.
3.60% due 09/15/51		800,000		490,210
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/253		400,000		390,503
Cooperatieve Rabobank UA
4.66% due 08/22/282,3		400,000		379,804
Hanover Insurance Group, Inc.
2.50% due 09/01/30		480,000		367,909

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
Brookfield Finance LLC / Brookfield Finance, Inc.
3.45% due 04/15/50		470,000	$	285,498
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/283		296,000		273,090
Nasdaq, Inc.
5.95% due 08/15/53		200,000		186,816
KKR Group Finance Company III LLC
5.13% due 06/01/443		100,000		82,781
Total Financial				175,329,453
Consumer, Cyclical - 2.6%
Hyatt Hotels Corp.
5.38% due 04/23/25		3,950,000		3,906,038
5.75% due 04/23/30		3,010,000		2,918,042
Choice Hotels International, Inc.
3.70% due 01/15/31		7,340,000		6,112,634
Whirlpool Corp.
4.60% due 05/15/5016		6,145,000		4,789,526
Delta Air Lines, Inc.
7.00% due 05/01/253		3,014,000		3,046,720
Alt-2 Structured Trust
2.95% due 05/14/31†††		3,199,620		2,794,194
Smithsonian Institution
2.70% due 09/01/44		4,000,000		2,479,599
British Airways Class A Pass Through Trust
4.25% due 11/15/323		1,980,278		1,774,831
2.90% due 03/15/353		798,906		661,433
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/253		2,360,000		2,292,264
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/273		1,912,500		1,894,908
Warnermedia Holdings, Inc.
5.14% due 03/15/52		1,650,000		1,226,017
6.41% due 03/15/26		600,000		599,899
Ferguson Finance plc
3.25% due 06/02/303		1,204,000		1,020,507
4.65% due 04/20/323		600,000		538,735
United Airlines Class A Pass Through Trust
5.80% due 01/15/36		1,450,000		1,409,531
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		1,541,000		958,390
American Airlines Class AA Pass Through Trust
3.20% due 06/15/28		697,000		626,917
Steelcase, Inc.
5.13% due 01/18/29		637,000		565,309
JB Poindexter & Company, Inc.
7.13% due 04/15/263		200,000		194,565
Total Consumer, Cyclical				39,810,059
Consumer, Non-cyclical - 2.1%
Altria Group, Inc.
3.40% due 05/06/30		2,510,000		2,145,714
3.70% due 02/04/51		2,350,000		1,461,172
4.45% due 05/06/50		390,000		276,260
Smithfield Foods, Inc.
2.63% due 09/13/313		2,400,000		1,720,820
5.20% due 04/01/293		1,200,000		1,096,046
3.00% due 10/15/303		970,000		741,477
CoStar Group, Inc.
2.80% due 07/15/303		4,130,000		3,327,720
Global Payments, Inc.
2.90% due 05/15/30		1,620,000		1,328,119
2.90% due 11/15/31		1,650,000		1,294,378
JBS USA LUX S.A. / JBS USA Food Company / JBS Luxembourg SARL
6.75% due 03/15/343		2,200,000		2,140,578
BAT Capital Corp.
3.98% due 09/25/50		2,800,000		1,757,286
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.00% due 05/15/32		1,750,000		1,320,168
4.38% due 02/02/52		600,000		398,747
Royalty Pharma plc
3.55% due 09/02/50		2,690,000		1,644,126
Triton Container International Ltd.
3.15% due 06/15/313		2,100,000		1,583,098
California Institute of Technology
3.65% due 09/01/19		2,000,000		1,224,424
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/313		1,500,000		1,223,464
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		2,250,000		1,206,893
Quanta Services, Inc.
2.90% due 10/01/30		1,464,000		1,194,097
Universal Health Services, Inc.
2.65% due 10/15/30		1,320,000		1,028,832
Transurban Finance Company Pty Ltd.
2.45% due 03/16/313		1,300,000		1,027,198
Kraft Heinz Foods Co.
7.13% due 08/01/393		650,000		689,650
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		1,000,000		685,726
OhioHealth Corp.
3.04% due 11/15/50		1,000,000		650,069
Children’s Hospital Corp.
2.59% due 02/01/50		1,000,000		573,532
Children’s Health System of Texas
2.51% due 08/15/50		1,000,000		556,559
Catalent Pharma Solutions, Inc.
3.13% due 02/15/293		250,000		205,049
Triton Container International Limited / TAL International Container Corp.
3.25% due 03/15/32		200,000		149,563
Total Consumer, Non-cyclical				32,650,765
Industrial - 1.7%
Howmet Aerospace, Inc.
3.00% due 01/15/29		3,800,000		3,216,546
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		4,109,105		3,086,442

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
TD SYNNEX Corp.
2.65% due 08/09/31		2,142,000	$	1,592,653
2.38% due 08/09/28		1,600,000		1,314,812
Vontier Corp.
2.95% due 04/01/31		3,450,000		2,660,906
Flowserve Corp.
3.50% due 10/01/30		1,810,000		1,509,049
2.80% due 01/15/32		1,150,000		879,917
Owens Corning
3.88% due 06/01/30		2,380,000		2,102,382
Fortune Brands Innovations, Inc.
4.00% due 03/25/32		2,050,000		1,747,576
Cliffwater Corporate Lending Fund
6.77% due 08/04/28†††		1,550,000		1,507,777
Stadco LA, LLC
3.75% due 05/15/56†††		2,000,000		1,267,001
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		1,230,000		992,971
IP Lending V Ltd.
5.13% due 04/02/26†††, 3		1,050,000		976,500
Ingersoll Rand, Inc.
5.70% due 08/14/33		1,000,000		965,115
Cellnex Finance Company S.A.
3.88% due 07/07/413		1,372,000		950,577
HEICO Corp.
5.35% due 08/01/33		1,000,000		947,106
Boeing Co.
5.81% due 05/01/50		700,000		633,862
Norfolk Southern Corp.
4.10% due 05/15/21		600,000		389,803
Total Industrial				26,740,995
Energy - 1.2%
BP Capital Markets plc
4.88% 2,10		7,310,000		6,530,925
ONEOK, Inc.
6.05% due 09/01/33		3,800,000		3,733,237
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/403		2,986,000		2,172,632
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
6.88% due 01/15/29		2,158,000		2,160,068
Magellan Midstream Partners, LP
3.95% due 03/01/50		2,000,000		1,338,647
Midwest Connector Capital Company LLC
4.63% due 04/01/293		1,050,000		959,678
NuStar Logistics, LP
6.38% due 10/01/30		534,000		505,837
6.00% due 06/01/26		200,000		194,043
TransCanada PipeLines Ltd.
6.20% due 03/09/26		700,000		698,850
Greensaif Pipelines Bidco SARL
6.51% due 02/23/423		400,000		392,173
Greensaif Pipelines Bidco SARL
6.13% due 02/23/383		350,000		341,530
Total Energy				19,027,620
Technology - 1.2%
Broadcom, Inc.
4.93% due 05/15/373		2,306,000		1,987,603
4.15% due 11/15/30		1,702,000		1,507,517
3.19% due 11/15/363		217,000		155,803
Entegris Escrow Corp.
4.75% due 04/15/293		3,700,000		3,326,331
Oracle Corp.
3.95% due 03/25/51		2,128,000		1,458,840
5.55% due 02/06/53		1,510,000		1,323,007
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		2,600,000		2,141,464
Leidos, Inc.
2.30% due 02/15/31		1,750,000		1,345,799
5.75% due 03/15/33		500,000		479,180
4.38% due 05/15/30		200,000		179,043
MSCI, Inc.
3.63% due 11/01/313		1,300,000		1,063,500
CGI, Inc.
2.30% due 09/14/31		1,300,000		975,753
Fiserv, Inc.
5.63% due 08/21/33		1,000,000		968,944
Booz Allen Hamilton, Inc.
5.95% due 08/04/33		700,000		682,920
Fidelity National Information Services, Inc.
5.63% due 07/15/52		750,000		680,930
Foundry JV Holdco LLC
5.88% due 01/25/343		400,000		382,101
Total Technology				18,658,735
Communications - 0.9%
British Telecommunications plc
4.88% due 11/23/812,3		2,900,000		2,326,448
4.25% due 11/23/812,3		500,000		438,260
9.63% due 12/15/30		150,000		176,675
Paramount Global
4.95% due 05/19/50		2,490,000		1,686,599
2.90% due 01/15/27		450,000		398,900
Charter Communications Operating LLC / Charter Communications Operating Capital
3.90% due 06/01/52		3,350,000		2,002,894
Vodafone Group plc
4.13% due 06/04/812		2,550,000		1,968,931
Virgin Media Secured Finance plc
4.50% due 08/15/303		2,350,000		1,941,334
Rogers Communications, Inc.
4.55% due 03/15/52		2,000,000		1,458,841
Level 3 Financing, Inc.
4.25% due 07/01/283		2,175,000		1,355,097
CSC Holdings LLC
4.13% due 12/01/303		600,000		424,629

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		200,000	$	180,000
Altice France S.A.
5.13% due 01/15/293		250,000		177,757
Total Communications				14,536,365
Utilities - 0.4%
AES Corp.
3.95% due 07/15/303		1,760,000		1,516,979
NRG Energy, Inc.
2.45% due 12/02/273		1,750,000		1,483,417
Alexander Funding Trust
1.84% due 11/15/233		950,000		943,720
Brooklyn Union Gas Co.
6.39% due 09/15/333		800,000		784,726
Enel Finance International N.V.
5.00% due 06/15/323		850,000		768,976
Alexander Funding Trust II
7.47% due 07/31/283		450,000		450,590
Total Utilities				5,948,408
Basic Materials - 0.3%
Anglo American Capital plc
5.63% due 04/01/303		1,800,000		1,738,394
3.95% due 09/10/503		970,000		659,290
2.63% due 09/10/303		250,000		199,710
Newcrest Finance Pty Ltd.
3.25% due 05/13/303		1,653,000		1,405,434
Yamana Gold, Inc.
2.63% due 08/15/31		1,200,000		920,783
Total Basic Materials				4,923,611
Total Corporate Bonds
(Cost $418,991,509)				337,626,011
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 19.9%
Government Agency - 14.3%
Fannie Mae
5.50% due 05/01/53		45,330,852		43,824,311
5.00% due 06/01/53		21,742,548		20,521,845
5.00% due 05/01/53		17,702,978		16,708,766
5.00% due 04/01/53		13,169,246		12,429,371
4.00% due 06/01/52		7,113,176		6,370,092
5.00% due 08/01/53		5,875,944		5,545,814
2.81% due 05/01/51		8,250,000		5,434,978
4.00% due 07/01/52		5,900,403		5,270,353
2.00% due 03/01/52		4,680,274		3,576,951
2.50% due 10/01/51		3,906,391		3,118,302
2.36% due 08/01/50		4,451,644		2,822,257
3.00% due 03/01/52		3,181,680		2,638,947
5.00% due 09/01/52		2,162,178		2,042,284
2.78% due 05/01/51		2,653,229		1,859,971
2.59% due 06/01/51		2,400,024		1,672,863
2.32% due 02/01/51		2,008,909		1,344,613
2.00% due 09/01/50		2,031,298		1,314,198
2.40% due 03/01/40		2,000,000		1,280,619
2.11% due 10/01/50		1,795,566		1,182,425
2.27% due 02/01/51		1,672,983		1,112,792
2.39% due 02/01/51		1,392,878		943,172
4.24% due 08/01/48		998,910		828,433
3.83% due 05/01/49		1,000,000		800,189
2.58% due 10/01/51		1,164,405		798,778
3.46% due 08/01/49		932,237		739,024
2.99% due 01/01/40		1,000,000		700,388
2.68% due 04/01/50		933,248		671,971
4.07% due 05/01/49		749,994		637,026
4.37% due 10/01/48		699,952		616,080
2.27% due 10/01/41		1,000,000		611,942
1.76% due 08/01/40		1,000,000		605,410
4.25% due 05/01/48		615,372		530,620
due 12/25/439		713,373		515,019
Freddie Mac
5.50% due 06/01/53		12,946,444		12,523,613
5.00% due 04/01/53		12,963,466		12,235,917
5.00% due 06/01/53		11,232,614		10,602,977
due 08/01/53◊		8,337,495		7,970,850
4.00% due 02/01/53		7,920,146		7,114,360
5.00% due 09/01/52		5,660,084		5,345,790
5.00% due 03/01/53		4,418,072		4,171,903
4.00% due 10/01/52		3,121,027		2,787,603
4.00% due 04/01/52		2,004,273		1,798,925
1.98% due 05/01/50		1,337,086		850,359
4.00% due 01/15/46		637		635
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 05/25/60		3,227,905		2,452,423
2.00% due 11/25/59		1,237,216		938,335
Fannie Mae-Aces
1.59% (WAC) due 03/25/35◊,5		17,538,255		1,730,550
Ginnie Mae
6.00% due 06/20/47†††		1,150,000		1,150,806
FARM Mortgage Trust
2.18% (WAC) due 01/25/51◊,3		853,698		675,094
Total Government Agency				221,419,944
Residential Mortgage-Backed Securities - 2.4%
RCKT Mortgage Trust 2023-CES2
2023-CES2, 6.81% (WAC) due 09/25/43◊,3		4,000,000		3,994,391
Mill City Mortgage Loan Trust
2021-NMR1, 2.50% (WAC) due 11/25/60◊,3		4,800,000		3,646,384
GCAT Trust
2022-NQM3, 4.35% (WAC) due 04/25/67◊,3		3,183,444		2,847,419
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊		2,778,865		2,486,858
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,3		4,000,000		2,188,944
GCAT Trust
2023-NQM3, 6.89% (WAC) due 08/25/68◊,†††,3		2,000,000		1,992,235

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Face Amount~		Value
GCAT 2023-NQM3 Trust
2023-NQM3, 7.34% (WAC) due 08/25/68◊,†††,3		2,000,000	$	1,992,174
PRPM LLC
2021-RPL2, 2.93% (WAC) due 10/25/51◊,3		2,472,000		1,866,656
BRAVO Residential Funding Trust 2023-NQM2
2023-NQM2, 4.50% due 05/25/623,11		1,873,702		1,694,714
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,3		888,474		779,728
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3		888,474		769,457
OBX Trust
2022-NQM8, 6.10% due 09/25/623,11		879,845		865,220
2022-NQM9, 6.45% due 09/25/623,11		595,038		591,482
Angel Oak Mortgage Trust 2023-1
2023-1, 4.75% due 09/26/673,11		1,526,091		1,420,744
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/50◊,3		714,234		658,962
2020-1, 2.56% (WAC) due 02/25/50◊,3		714,234		658,650
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/553		1,250,000		1,126,073
BRAVO Residential Funding Trust
2021-HE1, 6.82% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,3		1,000,000		978,605
Towd Point Mortgage Trust 2023-CES1
2023-CES1, 6.75% (WAC) due 07/25/63◊,3		958,421		954,169
CSMC Trust
2018-RPL9, 3.85% (WAC) due 09/25/57◊,3		773,362		735,324
2020-NQM1, 1.72% due 05/25/653,11		222,909		197,242
PRPM 2023-RCF1 LLC
2023-RCF1, 4.00% due 06/25/533,11		947,890		892,549
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/475		6,017,564		841,773
Securitized Asset-Backed Receivables LLC Trust
2006-HE2, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 07/25/36◊		1,406,043		550,324
Verus Securitization Trust
2019-4, 2.85% due 11/25/593,11		520,817		496,461
MFRA Trust
2021-INV1, 2.29% (WAC) due 01/25/56◊,3		700,000		495,477
New Residential Mortgage Loan Trust
2019-6A, 3.50% (WAC) due 09/25/59◊,3		445,516		398,540
Angel Oak Mortgage Trust
2020-1, 2.77% (WAC) due 12/25/59◊,3		315,186		289,446
RALI Series Trust
2006-QO2, 5.87% (1 Month Term SOFR + 0.55%, Rate Floor: 0.44%) due 02/25/46◊		1,487,218		286,955
MASTR Adjustable Rate Mortgages Trust
2003-5, 2.49% (WAC) due 11/25/33◊		221,291		189,893
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 5.47% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		234,802		186,855
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.79% (WAC) due 09/27/60◊,3		191,372		168,671
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 01/26/60◊,3		129,469		121,330
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		21,628		21,370
Total Residential Mortgage-Backed Securities				37,385,075
Commercial Mortgage-Backed Securities - 2.4%
GS Mortgage Securities Trust
2020-GSA2, 2.34% due 12/12/53		8,000,000		5,652,049
2020-GC45, 0.78% (WAC) due 02/13/53◊,5		18,757,813		542,478
2019-GC42, 0.93% (WAC) due 09/10/52◊,5		14,831,119		502,627
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 7.29% (1 Month Term SOFR + 1.95%, Rate Floor: 1.84%) due 06/15/38◊,3		4,000,000		3,448,058
2016-JP3, 3.55% (WAC) due 08/15/49◊		4,000,000		2,908,677
DBGS Mortgage Trust
2018-C1, 4.80% (WAC) due 10/15/51◊		7,000,000		5,930,435
CD Mortgage Trust
2017-CD4, 3.95% (WAC) due 05/10/50◊		4,750,000		3,864,623
2016-CD1, 1.50% (WAC) due 08/10/49◊,5		2,088,214		56,870
BX Commercial Mortgage Trust
2021-VOLT, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 09/15/36◊,3		3,450,000		3,289,551
SMRT
2022-MINI, 7.28% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3		2,000,000		1,915,951
Life Mortgage Trust
2021-BMR, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 03/15/38◊,3		1,965,940		1,901,725
GS Mortgage Securities Corporation Trust
2020-DUNE, 6.81% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 12/15/36◊,3		1,000,000		977,243
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3		1,000,000		879,122
Extended Stay America Trust
2021-ESH, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 07/15/38◊,3		1,045,536		1,028,472
BENCHMARK Mortgage Trust
2019-B14, 0.90% (WAC) due 12/15/62◊,5		19,662,951		545,788
2018-B6, 0.56% (WAC) due 10/10/51◊,5		28,930,608		365,547

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

		Face Amount~		Value
Citigroup Commercial Mortgage Trust
2019-GC43, 0.74% (WAC) due 11/10/52◊,5			19,821,486	$	558,022
2016-GC37, 1.82% (WAC) due 04/10/49◊,5			2,812,757		85,250
2016-C2, 1.81% (WAC) due 08/10/49◊,5			2,192,743		75,492
2016-P5, 1.52% (WAC) due 10/10/49◊,5			1,559,959		47,966
COMM Mortgage Trust
2015-CR24, 0.83% (WAC) due 08/10/48◊,5			36,945,247		357,253
2015-CR26, 1.04% (WAC) due 10/10/48◊,5			8,188,771		106,622
CSAIL Commercial Mortgage Trust
2019-C15, 1.19% (WAC) due 03/15/52◊,5			12,053,454		453,128
SG Commercial Mortgage Securities Trust
2016-C5, 2.02% (WAC) due 10/10/48◊,5			7,794,546		269,111
UBS Commercial Mortgage Trust
2017-C2, 1.22% (WAC) due 08/15/50◊,5			7,949,822		253,004
Morgan Stanley Capital I Trust
2016-UB11, 1.58% (WAC) due 08/15/49◊,5			5,766,880		184,772
JPMDB Commercial Mortgage Securities Trust
2016-C2, 1.63% (WAC) due 06/15/49◊,5			6,238,287		175,595
Wells Fargo Commercial Mortgage Trust
2016-NXS5, 1.57% (WAC) due 01/15/59◊,5			3,251,045		84,220
2016-C37, 0.95% (WAC) due 12/15/49◊,5			2,642,311		47,077
CFCRE Commercial Mortgage Trust
2016-C3, 1.14% (WAC) due 01/10/48◊,5			5,288,890		93,661
Total Commercial Mortgage-Backed Securities					36,600,389
Military Housing - 0.8%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 4.66% (WAC) due 11/25/55◊,3			6,846,420		5,252,520
2015-R1, 4.44% (WAC) due 11/25/52◊,3			2,766,395		2,249,206
2015-R1, 0.70% (WAC) due 11/25/55◊,3,5			10,020,257		640,764
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/51†††,3			2,238,364		1,925,077
2007-ROBS, 6.06% due 10/10/52†††,3			451,218		387,390
2007-AETC, 5.75% due 02/10/52†††,3			265,462		222,232
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,3			1,418,618		1,311,445
Total Military Housing					11,988,634
Total Collateralized Mortgage Obligations
(Cost $350,883,671)					307,394,042
SENIOR FLOATING RATE INTERESTS††,◊ - 1.3%
Industrial - 0.5%
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27			6,337,500		6,575,854
SkyMiles IP Ltd.
9.08% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/20/27			1,445,000		1,495,040
Air Canada
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28			444,761		444,668
Total Industrial					8,515,562
Technology - 0.3%
Datix Bidco Ltd.
8.68% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25†††	GBP		2,900,000		3,471,975
RLDatix
9.53% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††			1,252,544		1,229,122
Total Technology					4,701,097
Consumer, Cyclical - 0.3%
Amaya Holdings BV
6.36% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26	EUR		4,000,000		4,227,937
Consumer, Non-cyclical - 0.1%
Southern Veterinary Partners LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27			1,057,214		1,049,612
HAH Group Holding Co. LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27			261,388		257,684
Total Consumer, Non-cyclical					1,307,296
Financial - 0.1%
Citadel Securities, LP
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 07/29/30			947,625		944,668
Energy - 0.0%
Venture Global Calcasieu Pass LLC
8.04% (1 Month Term SOFR + 2.63%, Rate Floor: 2.63%) due 08/19/26			444,419		440,344
Communications - 0.0%
Radiate Holdco LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/25/26			161,506		131,721
Total Senior Floating Rate Interests
(Cost $21,193,661)					20,268,625
FEDERAL AGENCY BONDS†† - 1.0%
Tennessee Valley Authority Principal Strips
due 06/15/388,9			9,400,000		4,215,646
due 01/15/488,9			9,700,000		2,489,534
due 01/15/388			4,000,000		1,840,236
due 06/15/358,9			1,583,000		855,995
due 12/15/428,9			1,600,000		546,899
Federal Farm Credit Bank
3.51% due 06/11/40			3,300,000		2,603,099
Tennessee Valley Authority
4.25% due 09/15/65			2,450,000		1,953,892
5.38% due 04/01/56			600,000		594,158
U.S. International Development Finance Corp.
due 01/17/268			800,000		806,136
Total Federal Agency Bonds
(Cost $24,641,407)					15,905,595

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

		Face Amount~		Value
MUNICIPAL BONDS†† - 0.8%
Texas - 0.3%
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.29% due 09/01/40			2,100,000	$	1,477,389
2.78% due 09/01/34			700,000		521,611
2.69% due 09/01/33			500,000		379,082
2.57% due 09/01/32			475,000		366,201
2.41% due 09/01/31			450,000		352,712
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49			1,500,000		1,011,588
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50			1,000,000		673,356
Total Texas					4,781,939
California - 0.2%
California Statewide Communities Development Authority Revenue Bonds
7.14% due 08/15/47			1,200,000		1,257,684
2.68% due 02/01/39			1,200,000		816,454
Total California					2,074,138
New York - 0.1%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50			2,700,000		1,787,557
Virginia - 0.1%
City of Manassas Virginia General Obligation Unlimited
2.00% due 01/01/40			1,700,000		1,100,595
Idaho - 0.1%
Boise State University Revenue Bonds
3.06% due 04/01/40			1,150,000		835,037
Mississippi - 0.0%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41			1,000,000		682,956
Ohio - 0.0%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50			1,000,000		604,169
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50			1,000,000		593,426
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38			444,444		426,966
Total Municipal Bonds
(Cost $17,738,366)					12,886,783
FOREIGN GOVERNMENT DEBT†† - 0.2%
Panama Government International Bond
4.50% due 01/19/63			2,600,000	$	1,677,627
4.50% due 04/16/50			1,450,000		984,992
Total Foreign Government Debt
(Cost $4,205,162)					2,662,619
SENIOR FIXED RATE INTERESTS††† - 0.2%
Industrial - 0.2%
CTL Logistics
2.65% due 10/10/42			3,526,004		2,572,239
Total Senior Fixed Rate Interests
(Cost $3,526,004)					2,572,239
		Contracts/ Notional Value
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD		34,200,000		68,477
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD		33,900,000		67,877
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD		17,150,000		34,339
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD		13,950,000		27,932
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD		34,250,000		21,461
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10	USD		34,200,000		21,430
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD		16,800,000		10,527
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD		13,950,000		8,741
Total OTC Options Purchased
(Cost $846,473)					260,784
Total Investments - 103.6%
(Cost $1,807,853,659)					1,602,105,247

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

	Contracts/ Notional Value		Value
OTC INTEREST RATE SWAPTIONS WRITTEN††13 - (0.0)%
Put Swaptions on:
Interest Rate Swaptions
Barclays Bank plc 5-Year Interest Rate Swap Expiring October 2023 with exercise rate of 3.93%		24,400,000	$	(487,166	)
Total OTC Interest Rate Swaptions Written
(Premiums received $168,360)				(487,166	)
Other Assets & Liabilities, net - (3.6)%				(54,859,783	)
Total Net Assets - 100.0%			$	1,546,758,298

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate	Payment Frequency		Maturity Date		Notional Amount~		Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
BofA Securities, Inc.	ICE	CDX.NA.HY.40.V1	5.00%		Quarterly		06/20/28		12,700,000	$	(199,058	)	$	53,104		$	(252,162	)
BofA Securities, Inc.	ICE	ITRAXX.EUR.38.V1	1.00%		Quarterly		12/20/27	EUR	14,500,000		(202,134	)		(112,978	)		(89,156	)
										$	(401,192	)	$	(59,874	)	$	(341,318	)

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 Depreciation**
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	4.35%		Annually	10/3/2028		$	80,000,000	$	660		$	660	$	—
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.40%		Annually	04/04/28			32,100,000		(1,318,963	)		323		(1,319,286	)
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/18/27			77,800,000		(4,613,040	)		409		(4,613,449	)
											$	(5,931,343	)	$	1,392	$	(5,932,735	)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Barclays Bank plc

EUR

Sell

9,504,000

10,220,487 USD

10/16/23

$

165,205

Morgan Stanley Capital Services LLC

GBP

Sell

2,962,000

3,699,630 USD

10/16/23

85,539

$

250,744

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

OTC Interest Rate Swaptions Written

Counterparty/ Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Barclays Bank plc 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.93

%

10/16/23

3.93

%

$

24,400,000

$

(487,166

)

~	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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Special Purpose Acquisition Company (SPAC).
2	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
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 $555,686,984 (cost $619,722,761), or 35.9% of total net assets.
4	Rate indicated is the 7-day yield as of September 30, 2023.
5	Security is an interest-only strip.
6	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
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 $711,277 (cost $871,193), or 0.0% of total net assets — See Note 10.
8	Zero coupon rate security.
9	Security is a principal-only strip.
10	Perpetual maturity.
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 September 30, 2023. See table below for additional step information for each security.
12	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2023.
13	Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.
14	Face amount of security is adjusted for inflation.
15	Security is unsettled at period end and does not have a stated effective rate.
16	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2023, the total market value of segregated or earmarked securities was $80,596,842— See Note 6.
	BofA — Bank of America
	CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ICE — Intercontinental Exchange
	ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CORE BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	14,721	$	—	$	62		$	14,783
Preferred Stocks		—		24,143,221		—	*		24,143,221
Warrants		1,963		—		7			1,970
Money Market Funds		3,857,414		—		—			3,857,414
U.S. Government Securities		—		496,203,857		—			496,203,857
Asset-Backed Securities		—		339,974,689		38,332,615			378,307,304
Corporate Bonds		—		320,253,713		17,372,298			337,626,011
Collateralized Mortgage Obligations		—		298,412,683		8,981,359			307,394,042
Senior Floating Rate Interests		—		15,567,528		4,701,097			20,268,625
Federal Agency Bonds		—		15,905,595		—			15,905,595
Municipal Bonds		—		12,886,783		—			12,886,783
Foreign Government Debt		—		2,662,619		—			2,662,619
Senior Fixed Rate Interests		—		—		2,572,239			2,572,239
Options Purchased		—		260,784		—			260,784
Forward Foreign Currency Exchange Contracts**		—		250,744		—			250,744
Total Assets	$	3,874,098	$	1,526,522,216	$	71,959,677		$	1,602,355,991

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swaptions Written	$	—	$	487,166	$	—	$	487,166
Credit Default Swap Agreements**		—		341,318		—		341,318
Interest Rate Swap Agreements**		—		5,932,735		—		5,932,735
Total Liabilities	$	—	$	6,761,219	$	—	$	6,761,219

*	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 $59,394,748 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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 September 30, 2023			Valuation Technique		Unobservable Inputs	Input Range			Weighted Average*
Assets:
Asset-Backed Securities	$	24,432,043	Option adjusted spread off prior month end broker quote		Broker Quote			—			—
Asset-Backed Securities		9,248,421	Yield Analysis		Yield			6.6%-7.8%			7.0	%
Asset-Backed Securities		3,065,055	Third Party Pricing		Broker Quote			—			—
Asset-Backed Securities		1,587,096	Model Price		Purchase Price			—			—
Collateralized Mortgage Obligations		5,135,215	Model Price		Purchase Price			—			—
Collateralized Mortgage Obligations		3,846,144	Option adjusted spread off prior month end broker quote		Broker Quote			—			—
Common Stocks		62	Model Price		Liquidation Value			—			—
Corporate Bonds		8,681,560	Option adjusted spread off prior month end broker quote		Broker Quote			—			—
Corporate Bonds		4,920,043	Model Price		Purchase Price			—			—
Corporate Bonds		2,794,195	Yield Analysis		Yield			6.7	%		—
Corporate Bonds		976,500	Third Party Pricing		Broker Quote			—			—
Senior Fixed Rate Interests		2,572,239	Option adjusted spread off prior month end broker quote		Broker Quote			—			—
Senior Floating Rate Interests		4,701,097	Yield Analysis		Yield			11.2	%		—
Warrants		7	Model Price		Liquidation Value			—			—
Total Assets	$	71,959,677

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

Significant changes in a quote, yield or liquidation value 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 year ended September 30, 2023, the Fund did not have any securities transfer into Level 3 from Level 2 and had securities with a total value of $440,414 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
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 year ended September 30, 2023:

	Assets																						Liabilities
	Asset- Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Warrants		Common Stocks		Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	26,064,883		$	4,110,384		$	22,901,392		$	5,218,034		$	7	$	62	$	2,788,277		$	61,083,039		$	(84,249	)
Purchases/(Receipts)		20,157,536			5,147,084			6,550,000			12,525			—		—		—			31,867,145			—
(Sales, maturities and paydowns)/Fundings		(7,585,650	)		(54,335	)		(12,187,048	)		(397,377	)		—		—		(113,465	)		(20,337,875	)		110
Amortization of premiums/discounts		72,880			(14,785	)		3,785			63,624			—		—		—			125,504			—
Total realized gains (losses) included in earnings		(36,737	)		—			(1,525,822	)		—			—		—		—			(1,562,559	)		—
Total change in unrealized appreciation (depreciation) included in earnings		(340,227	)		(206,989	)		1,629,991			244,635			—		—		(102,573	)		1,224,837			84,139
Transfers into Level 3		—			—			—			—			—		—		—			—			—
Transfers out of Level 3		(70	)		—			—			(440,344	)		—		—		—			(440,414	)		—
Ending Balance	$	38,332,615		$	8,981,359		$	17,372,298		$	4,701,097		$	7	$	62	$	2,572,239		$	71,959,677		$	—
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(340,003	)	$	(206,989	)	$	(327,610	)	$	272,542		$	—	$	—	$	(102,573	)	$	(704,633	)	$	—

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
Angel Oak Mortgage Trust 2023-1 4.75% due 09/26/67		5.75	%		01/01/27
BRAVO Residential Funding Trust 2023-NQM2, 4.50% due 05/25/62		5.50	%		02/01/27
CSMC Trust 2020-NQM1, 1.72% due 05/25/65		2.72	%		09/26/24
OBX Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26
OBX Trust 2022-NQM9, 6.45% due 09/25/62		7.45	%		11/01/26
PRPM 2023-RCF1 LLC, 4.00% due 06/25/53		5.00	%		06/25/27
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23

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

CORE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $1,807,853,659)	$	1,602,105,247
Cash		2,415,823
Foreign currency, at value (cost 126,660)		126,476
Segregated cash with broker		913,043
Unamortized upfront premiums paid on credit default swap agreements		53,104
Unamortized upfront premiums paid on interest rate swap agreements		1,392
Unrealized appreciation on forward foreign currency exchange contracts		250,744
Prepaid expenses		86,167
Receivables:
Securities sold		123,627,532
Interest		13,431,911
Fund shares sold		4,735,236
Dividends		12,469
Foreign tax reclaims		2,236
Total assets		1,747,761,380
Liabilities:
Unfunded loan commitments at value ( Note 9) (commitments fees received $—)		—
Reverse repurchase agreements (Note 6)		59,394,748
Options written, at value (premiums received $168,360)		487,166
Segregated cash due to broker		200,652
Unamortized upfront premiums received on credit default swap agreements		112,978
Payable for:
Securities purchased		134,340,809
Fund shares redeemed		4,598,729
Variation margin on interest rate swap agreements		660,695
Management fees		451,147
Transfer agent/maintenance fees		366,706
Distribution and service fees		48,883
Distributions to shareholders		44,332
Protection fees on credit default swap agreements		24,088
Fund accounting/administration fees		15,809
Trustees’ fees*		2,077
Variation margin on credit default swap agreements		42
Miscellaneous		254,221
Total liabilities		201,003,082
Net assets	$	1,546,758,298
Net assets consist of:
Paid in capital	$	1,875,792,584
Total distributable earnings (loss)		(329,034,286	)
Net assets	$	1,546,758,298
A-Class:
Net assets	$	117,099,801
Capital shares outstanding		7,527,213
Net asset value per share	$	15.56
Maximum offering price per share (Net asset value divided by 96.00%)	$	16.21
C-Class:
Net assets	$	22,026,807
Capital shares outstanding		1,422,112
Net asset value per share	$	15.49
P-Class:
Net assets	$	28,884,719
Capital shares outstanding		1,855,147
Net asset value per share	$	15.57
Institutional Class:
Net assets	$	1,378,746,971
Capital shares outstanding		88,747,852
Net asset value per share	$	15.54

* 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 ANNUAL REPORT | 61

CORE BOND FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends	$	827,998
Interest (net of foreign withholding tax of $18,108)		65,161,242
Total investment income		65,989,240
Expenses:
Management fees		5,175,537
Distribution and service fees:
A-Class		289,602
C-Class		213,296
P-Class		94,265
Transfer agent/maintenance fees:
A-Class		143,945
C-Class		23,030
P-Class		84,494
Institutional Class		1,141,735
Interest expense		885,433
Fund accounting/administration fees		550,331
Professional fees		151,955
Line of credit fees		86,444
Custodian fees		58,517
Trustees’ fees*		30,122
Miscellaneous		270,998
Recoupment of previously waived fees:
A-Class		10,796
C-Class		1,752
P-Class		1,061
Institutional Class		24,518
Total expenses		9,237,831
Less:
Expense reimbursed by adviser:
A-Class		(65,894	)
C-Class		(7,886	)
P-Class		(56,381	)
Institutional Class		(768,096	)
Expenses waived by Adviser		(418,250	)
Earnings credits applied		(23,053	)
Total waived/reimbursed expenses		(1,339,560	)
Net expenses		7,898,271
Net investment income		58,090,969
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(77,549,432	)
Swap agreements		(3,378,716	)
Futures contracts		441,718
Options purchased		(2,469,939	)
Options written		260,104
Forward foreign currency exchange contracts		(633,512	)
Foreign currency transactions		(66,875	)
Net realized loss		(83,396,652	)
Net change in unrealized appreciation (depreciation) on:
Investments		37,871,237
Swap agreements		(562,113	)
Options purchased		(3,923,380	)
Options written		765,696
Forward foreign currency exchange contracts		41,478
Foreign currency translations		(678	)
Net change in unrealized appreciation (depreciation)		34,192,240
Net realized and unrealized loss		(49,204,412	)
Net increase in net assets resulting from operations	$	8,886,557

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

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

CORE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	58,090,969		$	41,195,372
Net realized loss on investments		(83,396,652	)		(32,706,882	)
Net change in unrealized appreciation (depreciation) on investments		34,192,240			(281,501,636	)
Net increase (decrease) in net assets resulting from operations		8,886,557			(273,013,146	)
Distributions to shareholders:
A-Class		(4,628,669	)		(5,310,242	)
C-Class		(690,054	)		(886,223	)
P-Class		(1,494,786	)		(3,202,815	)
Institutional Class		(49,253,737	)		(53,683,559	)
Total distributions to shareholders		(56,067,246	)		(63,082,839	)
Capital share transactions:
Proceeds from sale of shares
A-Class		27,585,227			25,104,560
C-Class		9,484,399			3,987,535
P-Class		6,643,720			23,865,120
Institutional Class		875,193,068			846,789,895
Distributions reinvested
A-Class		4,189,176			4,975,780
C-Class		610,361			789,061
P-Class		1,488,895			3,202,815
Institutional Class		46,738,789			50,481,098
Cost of shares redeemed
A-Class		(23,834,759	)		(39,064,313	)
C-Class		(8,402,408	)		(11,198,757	)
P-Class		(32,056,257	)		(45,775,520	)
Institutional Class		(582,763,645	)		(914,366,168	)
Net increase (decrease) from capital share transactions		324,876,566			(51,208,894	)
Net increase (decrease) in net assets		277,695,877			(387,304,879	)
Net assets:
Beginning of year		1,269,062,421			1,656,367,300
End of year	$	1,546,758,298		$	1,269,062,421
Capital share activity:
Shares sold
A-Class		1,708,895			1,393,708
C-Class		586,868			219,121
P-Class		410,906			1,227,313
Institutional Class		54,190,672			47,258,448
Shares issued from reinvestment of distributions
A-Class		259,787			268,662
C-Class		38,033			42,495
P-Class		92,259			172,067
Institutional Class		2,904,961			2,738,168
Shares redeemed
A-Class		(1,470,307	)		(2,163,532	)
C-Class		(523,605	)		(613,680	)
P-Class		(1,981,473	)		(2,510,695	)
Institutional Class		(36,342,037	)		(51,037,587	)
Net increase (decrease) in shares		19,874,959			(3,005,512	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	15.95		$	20.06		$	20.53		$	18.94		$	18.33
Income (loss) from investment operations:
Net investment income (loss)a		.67			.46			.44			.37			.41
Net gain (loss) on investments (realized and unrealized)		(.41	)		(3.84	)		(.01	)		1.63			.63
Total from investment operations		.26			(3.38	)		.43			2.00			1.04
Less distributions from:
Net investment income		(.65	)		(.47	)		(.47	)		(.41	)		(.43	)
Net realized gains		—			(.26	)		(.43	)		—			—
Total distributions		(.65	)		(.73	)		(.90	)		(.41	)		(.43	)
Net asset value, end of period	$	15.56		$	15.95		$	20.06		$	20.53		$	18.94
Total Returnb		1.46	%		(17.30	%)		2.09	%		10.68	%		5.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	117,100		$	112,084		$	151,026		$	218,856		$	149,442
Ratios to average net assets:
Net investment income (loss)		4.12	%		2.53	%		2.20	%		1.87	%		2.23	%
Total expensesc		0.92	%		0.82	%		0.85	%		0.85	%		0.89	%
Net expensesd,e,f		0.83	%		0.78	%		0.79	%		0.79	%		0.80	%
Portfolio turnover rate		88	%		49	%		103	%		126	%		77	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	15.88		$	19.97		$	20.45		$	18.86		$	18.25
Income (loss) from investment operations:
Net investment income (loss)a		.55			.33			.29			.22			.28
Net gain (loss) on investments (realized and unrealized)		(.42	)		(3.83	)		(.03	)		1.64			.62
Total from investment operations		.13			(3.50	)		.26			1.86			.90
Less distributions from:
Net investment income		(.52	)		(.33	)		(.31	)		(.27	)		(.29	)
Net realized gains		—			(.26	)		(.43	)		—			—
Total distributions		(.52	)		(.59	)		(.74	)		(.27	)		(.29	)
Net asset value, end of period	$	15.49		$	15.88		$	19.97		$	20.45		$	18.86
Total Returnb		0.68	%		(17.90	%)		1.34	%		9.86	%		4.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22,027		$	20,970		$	33,407		$	33,163		$	22,531
Ratios to average net assets:
Net investment income (loss)		3.39	%		1.78	%		1.46	%		1.13	%		1.50	%
Total expensesc		1.66	%		1.61	%		1.61	%		1.62	%		1.67	%
Net expensesd,e,f		1.59	%		1.53	%		1.54	%		1.54	%		1.55	%
Portfolio turnover rate		88	%		49	%		103	%		126	%		77	%

64 | THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	15.96		$	20.07		$	20.55		$	18.96		$	18.34
Income (loss) from investment operations:
Net investment income (loss)a		.66			.46			.44			.36			.41
Net gain (loss) on investments (realized and unrealized)		(.41	)		(3.84	)		(.02	)		1.64			.63
Total from investment operations		.25			(3.38	)		.42			2.00			1.04
Less distributions from:
Net investment income		(.64	)		(.47	)		(.47	)		(.41	)		(.42	)
Net realized gains		—			(.26	)		(.43	)		—			—
Total distributions		(.64	)		(.73	)		(.90	)		(.41	)		(.42	)
Net asset value, end of period	$	15.57		$	15.96		$	20.07		$	20.55		$	18.96
Total Return		1.50	%		(17.30	%)		2.04	%		10.67	%		5.77	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,885		$	53,203		$	89,223		$	60,534		$	50,258
Ratios to average net assets:
Net investment income (loss)		4.10	%		2.49	%		2.17	%		1.86	%		2.24	%
Total expensesc		1.01	%		0.94	%		0.90	%		0.91	%		0.93	%
Net expensesd,e,f		0.82	%		0.78	%		0.79	%		0.79	%		0.80	%
Portfolio turnover rate		88	%		49	%		103	%		126	%		77	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	15.92		$	20.03		$	20.51		$	18.91		$	18.30
Income (loss) from investment operations:
Net investment income (loss)a		.71			.52			.50			.42			.47
Net gain (loss) on investments (realized and unrealized)		(.40	)		(3.85	)		(.03	)		1.65			.62
Total from investment operations		.31			(3.33	)		.47			2.07			1.09
Less distributions from:
Net investment income		(.69	)		(.52	)		(.52	)		(.47	)		(.48	)
Net realized gains		—			(.26	)		(.43	)		—			—
Total distributions		(.69	)		(.78	)		(.95	)		(.47	)		(.48	)
Net asset value, end of period	$	15.54		$	15.92		$	20.03		$	20.51		$	18.91
Total Return		1.80	%		(17.09	%)		2.34	%		11.07	%		6.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,378,747		$	1,082,805		$	1,382,711		$	1,139,109		$	613,571
Ratios to average net assets:
Net investment income (loss)		4.43	%		2.84	%		2.49	%		2.17	%		2.52	%
Total expensesc		0.65	%		0.60	%		0.60	%		0.58	%		0.62	%
Net expensesd,e,f		0.55	%		0.49	%		0.50	%		0.50	%		0.51	%
Portfolio turnover rate		88	%		49	%		103	%		126	%		77	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.01%	0.01%	0.01%	0.00%*	—
C-Class	0.01%	0.00%*	—	0.00%*	—
P-Class	0.00%*	—	—	0.00%*	0.00%*
Institutional Class	0.00%*	—	—	0.00%*	—

* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.76%	0.77%	0.78%	0.78%	0.79%
C-Class	1.52%	1.52%	1.53%	1.53%	1.54%
P-Class	0.76%	0.77%	0.78%	0.78%	0.79%
Institutional Class	0.47%	0.48%	0.49%	0.49%	0.50%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Municipal Income Fund (“Fund”). Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the Fund’s sub-adviser (“Sub-Adviser”). The Fund is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner of GPIM; Allen Li, CFA, Managing Director and Portfolio Manager of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager of GPIM; Adam J. Bloch, Managing Director and Portfolio Manager of GPIM; and Evan L. Serdensky, Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (the “Reporting Period”).

For the Reporting Period, the Fund returned 1.67%¹, underperforming the Bloomberg Municipal Bond Index, the Fund’s benchmark (“Benchmark”), which returned 2.66% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

Negative absolute returns during most of calendar 2022 drove a bout of tax-related selling near the end of that year. After the tax-related selling subsided, buyers heavily reinvested into tax exempts at the start of 2023, tempted by the higher all-in yields on offer. Lower-quality bonds that had underperformed subsequently snapped back, outperforming higher quality credits. For the Reporting Period, bonds rated Baa returned 3.63% whereas bonds rated Aaa and Aa—where the Fund has greater weighting—returned 1.83% and 2.49%, respectively.

At the sector level, high quality assets such as tax-exempt agency commercial mortgage-backed securities contributed to the underperformance. Tax-exempt closed-end funds, with their levered duration profile and exposure to short-term funding costs, also came under pressure and lagged cash bonds.

How did the Fund use derivatives during the Reporting Period?

During the reporting period, the Fund used interest rate swaps to help manage duration positioning. Over the period, interest rate swaps contributed to performance.

How was the Fund positioned at the end of the Reporting Period?

We continue to emphasize security selection of high-quality municipal issuers in the current environment. While most municipalities entered 2023 with high fund reserves and prudent budget planning, a slowing economic environment should favor the high quality, long duration securities that are overweight in the Fund. We remain focused on structural creditworthiness that can endure macroeconomic volatility while generating tax-exempt income that is competitive with high quality taxable bond markets.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 67

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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	38.2%
AA	43.5%
A	12.3%
BBB	2.4%
BB	0.8%
NR2	0.1%
Other Instruments	2.7%
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	4.8%
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49%	4.1%
Denton County Housing Finance Corp. Revenue Bonds, 2.15%	3.5%
Freddie Mac Multifamily, 1.90%	3.4%
Stockton Unified School District General Obligation Unlimited	3.2%
Ysleta Independent School District General Obligation Unlimited, 4.00%	3.0%
Dayton-Montgomery County Port Authority Revenue Bonds, 1.83%	2.7%
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds, 3.15%	2.5%
New York City Municipal Water Finance Authority Revenue Bonds, 5.00%	2.5%
Bexar County Hospital District General Obligation Limited, 5.00%	2.5%
Top Ten Total	32.2%
“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.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares~	1.67%	(0.47%)	1.69%
A-Class Shares with sales charge†	(2.40%)	(1.28%)	1.19%
C-Class Shares	0.91%	(1.21%)	0.92%
C-Class Shares with CDSC‡	(0.07%)	(1.21%)	0.92%
Institutional Class Shares	1.93%	(0.22%)	1.93%
Bloomberg Municipal Bond Index	2.66%	1.05%	2.29%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	1.58%	(0.49%)	0.44%
Bloomberg Municipal Bond Index	2.66%	1.05%	1.59%

*	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 Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional shares will vary due to differences in fee structures.
†	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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

SCHEDULE OF INVESTMENTS	September 30, 2023
MUNICIPAL INCOME FUND

	Shares		Value
MONEY MARKET FUND† - 2.6%
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 3.96%1		1,075,834	$	1,075,619
Total Money Market Fund
(Cost $1,075,619)				1,075,619
	Face Amount
MUNICIPAL BONDS†† - 92.6%
California - 28.5%
El Camino Healthcare District General Obligation Unlimited
due 08/01/292	$	2,500,000		1,959,602
Stockton Unified School District General Obligation Unlimited
due 08/01/332		2,000,000		1,299,744
due 08/01/372		810,000		417,946
due 08/01/422		250,000		94,478
Freddie Mac Multifamily ML Certificates Revenue Bonds
2.49% due 07/25/35		2,128,341		1,663,721
San Diego Unified School District General Obligation Unlimited
due 07/01/392		1,000,000		453,818
due 07/01/462		1,360,000		426,698
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
due 08/01/423,5		1,000,000		699,575
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/392		1,300,000		617,542
Sonoma Valley Unified School District General Obligation Unlimited
4.00% due 08/01/44		600,000		555,380
California Statewide Communities Development Authority Revenue Bonds
5.25% due 08/15/52		500,000		520,575
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited
due 08/01/312		705,000		513,560
Compton Unified School District General Obligation Unlimited
due 06/01/402		1,000,000		407,260
Delhi Unified School District General Obligation Unlimited
5.00% due 08/01/44		250,000		254,892
Alameda Corridor Transportation Authority Revenue Bonds
due 10/01/512		500,000		240,917
Upland Unified School District General Obligation Unlimited
due 08/01/382		400,000		195,218
M-S-R Energy Authority Revenue Bonds
6.13% due 11/01/29		175,000		182,505
El Monte Union High School District General Obligation Unlimited
due 06/01/432		500,000		177,692
Westside Elementary School District General Obligation Unlimited
5.00% due 08/01/48		155,000		158,324
Rio Hondo Community College District General Obligation Unlimited
due 08/01/292		200,000		158,117
Freddie Mac Multifamily VRD Certificates Revenue Bonds
2.40% due 10/15/29		150,000		131,205
Coast Community College District General Obligation Unlimited
due 08/01/402		250,000		106,287
City of Los Angeles Department of Airports Revenue Bonds
5.00% due 05/15/44		100,000		103,394
Buena Park School District General Obligation Unlimited
5.00% due 08/01/47		100,000		102,306
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds
3.45% due 12/01/39		110,000		91,551
Roseville Joint Union High School District General Obligation Unlimited
due 08/01/302		100,000		75,938
Total California				11,608,245
Texas - 20.1%
Denton County Housing Finance Corp. Revenue Bonds
2.15% due 11/01/38		2,000,000		1,407,762
Central Texas Regional Mobility Authority Revenue Bonds
5.00% due 01/01/45		1,250,000		1,256,797
Ysleta Independent School District General Obligation Unlimited
4.00% due 08/15/52		1,400,000		1,212,194
Bexar County Hospital District General Obligation Limited
5.00% due 02/15/47		1,000,000		1,005,879
Cleveland Independent School District General Obligation Unlimited
4.00% due 02/15/52		1,000,000		859,983
North Texas Tollway Authority Revenue Bonds
due 01/01/362		1,000,000		569,268
Southwest Independent School District General Obligation Unlimited
due 02/01/422		500,000		203,934
United Independent School District General Obligation Unlimited
5.00% due 08/15/49		200,000		203,038

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MUNICIPAL INCOME FUND

	Face Amount		Value
Lindale Independent School District General Obligation Unlimited
5.00% due 02/15/49	$	200,000	$	203,017
Clifton Higher Education Finance Corp. Revenue Bonds
4.00% due 08/15/33		200,000		196,774
Arlington Higher Education Finance Corp. Revenue Bonds
5.00% due 12/01/46		200,000		179,064
Grand Parkway Transportation Corp. Revenue Bonds
5.00% due 10/01/43		175,000		178,094
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/532		1,000,000		174,256
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds
6.25% due 12/15/26		115,000		117,406
Mansfield Independent School District General Obligation Unlimited
5.00% due 02/15/44		100,000		101,826
Hutto Independent School District General Obligation Unlimited
5.00% due 08/01/49		100,000		101,380
University of North Texas System Revenue Bonds
5.00% due 04/15/44		100,000		101,316
City of Arlington Texas Special Tax Revenue Special Tax
5.00% due 02/15/48		100,000		100,150
Tarrant County Health Facilities Development Corp. Revenue Bonds
6.00% due 09/01/24		5,000		5,040
Leander Independent School District General Obligation Unlimited
due 08/15/242		5,000		2,848
Total Texas				8,180,026
New York - 3.7%
New York City Municipal Water Finance Authority Revenue Bonds
5.00% due 06/15/49		1,000,000		1,015,462
New York State Dormitory Authority Revenue Bonds
4.00% due 08/01/43		250,000		221,028
New York Transportation Development Corp. Revenue Bonds
5.00% due 07/01/34		200,000		198,063
New York Power Authority Revenue Bonds
4.00% due 11/15/45		100,000		91,195
Total New York				1,525,748
Ohio - 3.7%
Dayton-Montgomery County Port Authority Revenue Bonds
1.83% due 09/01/38		1,600,000		1,116,010
County of Miami Ohio Revenue Bonds
5.00% due 08/01/33		200,000		206,901
American Municipal Power, Inc. Revenue Bonds
5.00% due 02/15/41		200,000		200,240
Total Ohio				1,523,151
Tennessee - 3.4%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.25% due 07/01/45		1,500,000		898,543
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds
2.21% due 06/01/38		498,820		346,758
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.48% due 12/01/37		200,000		146,045
Total Tennessee				1,391,346
Arizona - 3.4%
Arizona Industrial Development Authority Revenue Bonds
2.12% due 07/01/37		1,143,357		801,061
Maricopa County Industrial Development Authority Revenue Bonds
5.00% due 01/01/41		250,000		251,069
Salt Verde Financial Corp. Revenue Bonds
5.00% due 12/01/32		200,000		201,579
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited
5.00% due 07/01/37		100,000		103,948
Total Arizona				1,357,657
Oregon - 3.2%
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited
due 06/15/482		2,000,000		508,382
due 06/15/502		400,000		90,556
due 06/15/492		350,000		83,844
Salem-Keizer School District No. 24J General Obligation Unlimited
due 06/15/402		1,250,000		512,368
University of Oregon Revenue Bonds
5.00% due 04/01/48		100,000		101,032
Total Oregon				1,296,182
Colorado - 3.1%
E-470 Public Highway Authority Revenue Bonds
5.00% due 09/01/36		650,000		689,435

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MUNICIPAL INCOME FUND

	Face Amount		Value
City & County of Denver Colorado Airport System Revenue Bonds
5.00% due 12/01/28	$	200,000	$	206,352
City & County of Denver Colorado Pledged Excise Tax Revenue Bonds
due 08/01/302		200,000		145,090
Colorado Educational & Cultural Facilities Authority Revenue Bonds
5.00% due 03/01/47		110,000		111,361
Colorado School of Mines Revenue Bonds
5.00% due 12/01/47		100,000		101,435
Total Colorado				1,253,673
Virginia - 2.9%
Freddie Mac Multifamily Variable Rate Certificate Revenue Bonds
3.15% due 10/15/36		1,285,000		1,028,747
Loudoun County Economic Development Authority Revenue Bonds
due 07/01/492		500,000		134,084
Total Virginia				1,162,831
North Carolina - 2.3%
Inlivian Revenue Bonds
2.02% due 04/01/42		1,000,000		625,113
North Carolina Central University Revenue Bonds
5.00% due 04/01/44		300,000		305,443
Total North Carolina				930,556
West Virginia - 2.3%
West Virginia University Revenue Bonds
5.00% due 10/01/41		600,000		621,060
West Virginia Hospital Finance Authority Revenue Bonds
5.00% due 06/01/42		300,000		298,890
Total West Virginia				919,950
Illinois - 2.2%
City of Chicago Illinois Wastewater Transmission Revenue Bonds
5.25% due 01/01/42		400,000		407,323
Illinois Finance Authority Revenue Bonds
5.00% due 10/01/38		250,000		272,014
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		200,323
Total Illinois				879,660
Washington - 1.9%
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited
5.00% due 12/01/42		200,000		205,281
County of King Washington Sewer Revenue Bonds
5.00% due 07/01/42		200,000		203,838
Central Puget Sound Regional Transit Authority Revenue Bonds
5.00% due 11/01/41		200,000		202,688
Washington State Convention Center Public Facilities District Revenue Bonds
4.00% due 07/01/48		210,000		172,775
Total Washington				784,582
New Jersey - 1.4%
New Jersey Turnpike Authority Revenue Bonds
5.00% due 01/01/31		300,000		314,570
New Jersey Economic Development Authority Revenue Bonds
5.00% due 06/01/28		250,000		257,197
Total New Jersey				571,767
Oklahoma - 1.3%
Oklahoma Development Finance Authority Revenue Bonds
5.00% due 08/15/28		350,000		335,518
Oklahoma City Airport Trust Revenue Bonds
5.00% due 07/01/30		200,000		204,334
Total Oklahoma				539,852
North Dakota - 1.3%
City of Grand Forks North Dakota Revenue Bonds
5.00% due 12/01/33		500,000		529,001
Michigan - 1.1%
Michigan State Hospital Finance Authority Revenue Bonds
5.00% due 11/15/47		200,000		197,385
Michigan State Housing Development Authority Revenue Bonds
3.35% due 12/01/34		200,000		178,714
Flint Hospital Building Authority Revenue Bonds
5.00% due 07/01/25		100,000		99,027
Total Michigan				475,126
Missouri - 0.8%
Industrial Development Authority of the City of State Louis Missouri Revenue Bonds
2.22% due 12/01/38		487,166		337,547
Arkansas - 0.8%
County of Baxter Arkansas Revenue Bonds
5.00% due 09/01/26		330,000		332,001
Louisiana - 0.6%
City of Shreveport Louisiana Water & Sewer Revenue Bonds
5.00% due 12/01/35		250,000		257,408

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MUNICIPAL INCOME FUND

	Face Amount		Value
Louisiana Public Facilities Authority Revenue Bonds
5.00% due 05/15/26	$	5,000	$	5,087
Total Louisiana				262,495
Alaska - 0.6%
University of Alaska Revenue Bonds
5.00% due 10/01/40		260,000		256,407
South Carolina - 0.5%
Charleston County Airport District Revenue Bonds
5.00% due 07/01/43		200,000		201,771
Nebraska - 0.5%
Central Plains Energy Project Revenue Bonds
5.00% due 09/01/29		200,000		201,587
Vermont - 0.5%
Vermont Educational & Health Buildings Financing Agency Revenue Bonds
5.00% due 12/01/46		200,000		190,006
Connecticut - 0.4%
New Haven Housing Authority Revenue Bonds
2.26% due 05/01/38		243,833		171,133
Massachusetts - 0.4%
Massachusetts Development Finance Agency Revenue Bonds
5.00% due 10/01/34		150,000		153,594
Pennsylvania - 0.3%
Allegheny County Hospital Development Authority Revenue Bonds
5.00% due 07/15/32		100,000		104,931
Rhode Island - 0.3%
Rhode Island Health and Educational Building Corp. Revenue Bonds
5.00% due 05/15/42		100,000		104,058
Florida - 0.3%
Greater Orlando Aviation Authority Revenue Bonds
5.00% due 10/01/32		100,000		102,915
Montana - 0.3%
Montana State Board of Regents Revenue Bonds
5.00% due 11/15/43		100,000		101,532
Kansas - 0.2%
University of Kansas Hospital Authority Revenue Bonds
5.00% due 09/01/48		100,000		100,460
Iowa - 0.2%
PEFA, Inc. Revenue Bonds
5.00% due 09/01/264		100,000		99,759
New Mexico - 0.0%
City of Albuquerque New Mexico Gross Receipts Tax Revenue Bonds
5.00% due 07/01/25		20,000		19,984
Total New Mexico				19,984
Maryland - 0.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
5.00% due 07/01/27		5,000		5,067
Total Municipal Bonds
(Cost $46,738,772)				37,674,600
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 3.4%
Government Agency - 3.4%
Freddie Mac Multifamily
1.90% due 11/25/37		1,932,178		1,376,893
Total Collateralized Mortgage Obligations
(Cost $1,979,574)				1,376,893
Total Investments - 98.6%
(Cost $49,793,965)			$	40,127,112
Other Assets & Liabilities, net - 1.4%				568,699
Total Net Assets - 100.0%			$	40,695,811

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
MUNICIPAL INCOME FUND

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	U.S. Secured Overnight Financing Rate + 0.26%	1.67%		Quarterly	09/27/51		$	2,550,000	$	1,115,738	$	(752	)	$	1,116,490
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	3.26%		Annually	05/24/53			1,150,000		149,000		317			148,683
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	3.14%		Annually	04/12/33			1,000,000		87,577		293			87,284
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	3.45%		Annually	06/06/33			800,000		51,689		296			51,393
											$	1,404,004	$	154		$	1,403,850

**	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 September 30, 2023.
2	Zero coupon rate security.
3	Security is a step up/down bond with a 6.85% coupon rate until 08/01/2032.
4	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.
5	Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date.
	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 September 30, 2023 (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
Money Market Fund	$	1,075,619	$	—	$	—	$	1,075,619
Municipal Bonds		—		37,674,600		—		37,674,600
Collateralized Mortgage Obligations		—		1,376,893		—		1,376,893
Interest Rate Swap Agreements**		—		1,403,850		—		1,403,850
Total Assets	$	1,075,619	$	40,455,343	$	—	$	41,530,962

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

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $49,793,965)	$	40,127,112
Segregated cash with broker		387,498
Unamortized upfront premiums paid on interest rate swap agreements		906
Prepaid expenses		41,774
Receivables:
Interest		250,008
Variation margin on interest rate swap agreements		22,169
Fund shares sold		5,006
Total assets		40,834,473
Liabilities:
Overdraft due to custodian bank		6,840
Unamortized upfront premiums received on interest rate swap agreements		752
Payable for:
Fund shares redeemed		54,947
Professional fees		30,048
Transfer agent/maintenance fees		12,358
Distribution and service fees		6,842
Fund accounting/administration fees		4,713
Distributions to shareholders		3,201
Trustees’ fees*		1,586
Management fees		1,251
Miscellaneous		16,124
Total liabilities		138,662
Net assets	$	40,695,811
Net assets consist of:
Paid in capital	$	49,865,292
Total distributable earnings (loss)		(9,169,481	)
Net assets	$	40,695,811
A-Class:
Net assets	$	28,908,722
Capital shares outstanding		2,683,907
Net asset value per share	$	10.77
Maximum offering price per share (Net asset value divided by 96.00%)	$	11.22
C-Class:
Net assets	$	847,110
Capital shares outstanding		78,713
Net asset value per share	$	10.76
P-Class:
Net assets	$	114,418
Capital shares outstanding		10,630
Net asset value per share	$	10.76
Institutional Class:
Net assets	$	10,825,561
Capital shares outstanding		1,004,926
Net asset value per share	$	10.77

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends	$	116,351
Interest		1,352,764
Total investment income		1,469,115
Expenses:
Management fees		258,691
Distribution and service fees:
A-Class		102,858
C-Class		10,649
P-Class		366
Transfer agent/maintenance fees:
A-Class		36,994
C-Class		1,503
P-Class		596
Institutional Class		9,988
Registration fees		58,107
Professional fees		49,075
Fund accounting/administration fees		30,229
Trustees’ fees*		14,700
Custodian fees		3,785
Line of credit fees		3,410
Interest expense		215
Miscellaneous		23,462
Recoupment of previously waived fees:
A-Class		1,462
C-Class		80
P-Class		4
Institutional Class		219
Total expenses		606,393
Less:
Expenses reimbursed by Adviser:
A-Class		(37,157	)
C-Class		(1,502	)
P-Class		(593	)
Institutional Class		(9,965	)
Expenses waived by Adviser		(168,527	)
Total waived/reimbursed expenses		(217,744	)
Net expenses		388,649
Net investment income		1,080,466
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,990,408	)
Swap agreements		1,202,369
Net realized loss		(788,039	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,319,419
Swap agreements		(514,901	)
Net change in unrealized appreciation (depreciation)		804,518
Net realized and unrealized gain		16,479
Net increase in net assets resulting from operations	$	1,096,945

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

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,080,466		$	1,185,769
Net realized gain (loss) on investments		(788,039	)		798,322
Net change in unrealized appreciation (depreciation) on investments		804,518			(13,026,308	)
Net increase (decrease) in net assets resulting from operations		1,096,945			(11,042,217	)
Distributions to shareholders:
A-Class		(1,453,969	)		(1,171,658	)
C-Class		(31,189	)		(24,004	)
P-Class		(4,574	)		(3,881	)
Institutional Class		(364,176	)		(235,117	)
Total distributions to shareholders		(1,853,908	)		(1,434,660	)
Capital share transactions:
Proceeds from sale of shares
A-Class		3,606,381			4,529,943
C-Class		346,333			540,692
P-Class		846,126			8,594
Institutional Class		12,725,440			4,638,825
Distributions reinvested
A-Class		1,328,775			1,073,119
C-Class		30,159			22,692
P-Class		4,569			3,881
Institutional Class		359,627			231,198
Cost of shares redeemed
A-Class		(19,006,404	)		(15,257,098	)
C-Class		(581,224	)		(929,727	)
P-Class		(867,839	)		(70,519	)
Institutional Class		(6,514,995	)		(11,258,625	)
Net decrease from capital share transactions		(7,723,052	)		(16,467,025	)
Net decrease in net assets		(8,480,015	)		(28,943,902	)
Net assets:
Beginning of year		49,175,826			78,119,728
End of year	$	40,695,811		$	49,175,826
Capital share activity:
Shares sold
A-Class		316,903			341,411
C-Class		30,364			41,372
P-Class		75,140			690
Institutional Class		1,120,796			366,434
Shares issued from reinvestment of distributions
A-Class		117,206			86,038
C-Class		2,659			1,798
P-Class		404			310
Institutional Class		31,729			18,207
Shares redeemed
A-Class		(1,700,924	)		(1,183,904	)
C-Class		(51,290	)		(77,700	)
P-Class		(76,692	)		(5,573	)
Institutional Class		(569,408	)		(911,726	)
Net decrease in shares		(703,113	)		(1,322,643	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	10.97		$	13.46		$	13.23		$	13.12		$	12.46
Income (loss) from investment operations:
Net investment income (loss)a		.23			.23			.25			.26			.30
Net gain (loss) on investments (realized and unrealized)		(.04	)		(2.44	)		.23			.11			.70
Total from investment operations		.19			(2.21	)		.48			.37			1.00
Less distributions from:
Net investment income		(.25	)		(.22	)		(.23	)		(.26	)		(.30	)
Net realized gains		(.14	)		(.06	)		(.02	)		—			(.04	)
Total distributions		(.39	)		(.28	)		(.25	)		(.26	)		(.34	)
Net asset value, end of period	$	10.77		$	10.97		$	13.46		$	13.23		$	13.12
Total Returnb		1.67	%		(16.67	%)		3.67	%		2.85	%		8.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,909		$	43,354		$	63,359		$	62,583		$	42,512
Ratios to average net assets:
Net investment income (loss)		2.06	%		1.84	%		1.82	%		1.95	%		2.31	%
Total expensesc		1.20	%		1.18	%		1.17	%		1.21	%		1.34	%
Net expensesd,e,f		0.78	%		0.79	%		0.80	%		0.81	%		0.81	%
Portfolio turnover rate		11	%		14	%		22	%		58	%		30	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	10.96		$	13.45		$	13.22		$	13.11		$	12.45
Income (loss) from investment operations:
Net investment income (loss)a		.15			.14			.15			.16			.21
Net gain (loss) on investments (realized and unrealized)		(.04	)		(2.45	)		.23			.11			.69
Total from investment operations		.11			(2.31	)		.38			.27			.90
Less distributions from:
Net investment income		(.17	)		(.12	)		(.13	)		(.16	)		(.20	)
Net realized gains		(.14	)		(.06	)		(.02	)		—			(.04	)
Total distributions		(.31	)		(.18	)		(.15	)		(.16	)		(.24	)
Net asset value, end of period	$	10.76		$	10.96		$	13.45		$	13.22		$	13.11
Total Returnb		0.91	%		(17.23	%)		2.91	%		2.09	%		7.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	847		$	1,063		$	1,769		$	2,177		$	1,981
Ratios to average net assets:
Net investment income (loss)		1.30	%		1.08	%		1.08	%		1.23	%		1.63	%
Total expensesc		2.00	%		1.97	%		1.97	%		1.97	%		2.12	%
Net expensesd,e,f		1.54	%		1.54	%		1.55	%		1.56	%		1.56	%
Portfolio turnover rate		11	%		14	%		22	%		58	%		30	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	10.97		$	13.45		$	13.22		$	13.13		$	12.46
Income (loss) from investment operations:
Net investment income (loss)a		.23			.23			.25			.26			.29
Net gain (loss) on investments (realized and unrealized)		(.05	)		(2.43	)		.23			.09			.72
Total from investment operations		.18			(2.20	)		.48			.35			1.01
Less distributions from:
Net investment income		(.25	)		(.22	)		(.23	)		(.26	)		(.30	)
Net realized gains		(.14	)		(.06	)		(.02	)		—			(.04	)
Total distributions		(.39	)		(.28	)		(.25	)		(.26	)		(.34	)
Net asset value, end of period	$	10.76		$	10.97		$	13.45		$	13.22		$	13.13
Total Return		1.58	%		(16.61	%)		3.67	%		2.69	%		8.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	114		$	129		$	220		$	202		$	207
Ratios to average net assets:
Net investment income (loss)		2.04	%		1.81	%		1.83	%		1.96	%		2.25	%
Total expensesc		1.51	%		1.47	%		1.38	%		1.40	%		1.55	%
Net expensesd,e,f		0.78	%		0.79	%		0.80	%		0.81	%		0.81	%
Portfolio turnover rate		11	%		14	%		22	%		58	%		30	%

78 | THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	10.97		$	13.46		$	13.23		$	13.13		$	12.46
Income (loss) from investment operations:
Net investment income (loss)a		.26			.26			.28			.29			.33
Net gain (loss) on investments (realized and unrealized)		(.03	)		(2.44	)		.24			.10			.71
Total from investment operations		.23			(2.18	)		.52			.39			1.04
Less distributions from:
Net investment income		(.29	)		(.25	)		(.27	)		(.29	)		(.33	)
Net realized gains		(.14	)		(.06	)		(.02	)		—			(.04	)
Total distributions		(.43	)		(.31	)		(.29	)		(.29	)		(.37	)
Net asset value, end of period	$	10.77		$	10.97		$	13.46		$	13.23		$	13.13
Total Return		1.93	%		(16.46	%)		3.93	%		3.03	%		8.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,826		$	4,629		$	12,772		$	13,406		$	13,970
Ratios to average net assets:
Net investment income (loss)		2.30	%		2.04	%		2.08	%		2.23	%		2.59	%
Total expensesc		0.96	%		0.98	%		0.96	%		1.00	%		1.08	%
Net expensesd,e,f		0.53	%		0.54	%		0.55	%		0.56	%		0.56	%
Portfolio turnover rate		11	%		14	%		22	%		58	%		30	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.00%*	0.02%	—	0.00%*	0.00%*
C-Class	0.01%	0.01%	—	0.00%*	—
P-Class	0.00%*	0.01%	—	0.00%*	—
Institutional Class	0.00%*	0.01%	—	0.00%*	—

* Less than 0.01%

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.77%	0.78%	0.79%	0.80%	0.80%
C-Class	1.53%	1.53%	1.54%	1.55%	1.55%
P-Class	0.77%	0.78%	0.79%	0.80%	0.80%
Institutional Class	0.52%	0.53%	0.54%	0.55%	0.55%

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, 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	Diversified
Municipal Income Fund	Diversified

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provide advisory services. Security Investors, LLC (or the “Adviser”) provides advisory services to High Yield Fund, Core Bond Fund and Municipal Income Fund and GPIM (or the “Adviser”) provides advisory services to Diversified Income Fund. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Funds’ shares. 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.

Pursuant to an investment Sub-Advisory Agreement between Security Investors, LLC (“SI”) and Guggenheim Partners Advisors, LLC (“GPA”), that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment subadvisory services to High Yield Fund, Core Bond Fund, and Municipal Income Fund. GPA operated as an investment sub-advisor to these Funds from April 29, 2022 to December 22, 2022.

GPA, under the oversight of the Board and SI, assisted SI in the supervision and direction of the investment strategies of High Yield Fund, Core Bond Fund, and Municipal Income Fund in accordance with their investment policies. As compensation for its services, SI paid GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of High Yield Fund, Core Bond Fund, and Municipal Income Fund.

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

80 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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 share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Funds with respect to all Fund investments and other assets. As the Funds’ valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Funds’ securities and other assets.

Valuations of the Funds’ securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

U.S. Government securities are valued by pricing service providers, the last traded fill price, or at the reported bid price at the close of business.

CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using a pricing service provider.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Typically, loans are valued using information provided by a pricing service provider which uses broker quotes, among other inputs. If the pricing service cannot or does not provide a valuation for

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NOTES TO FINANCIAL STATEMENTS (continued)

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 Adviser.

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 and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

Futures contracts are valued on the basis of the last sale price 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.

Interest rate swap agreements entered into by a fund are valued on the basis of the last sale price on the primary exchange on which the swap is traded.

Other swap agreements entered into by a fund are generally valued using an evaluated price provided by a pricing service provider.

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 the Adviser. 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 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.

Inflation-Indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Fund’s Statements of Operations, even though principal is not received until 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, (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. Recently, 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

82 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

“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) 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.

(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).

The Fund may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(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) 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, geopolitical 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

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NOTES TO FINANCIAL STATEMENTS (continued)

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 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.

(j) 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 September 30, 2023, if any, are disclosed in the Funds’ Statements 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 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, 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 Funds’ Statements of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Funds’ Statements of Operations at the end of the commitment period.

(l) Distributions

The Funds declare dividends from investment income daily, except for the Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional 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 share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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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(n) 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 Funds’ Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Funds’ Statements of Operations.

(o) 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 5.33% at September 30, 2023.

(p) 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.

(q) Special Purpose Acquisition Companies

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of their investment strategies, 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 Funds’ 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.

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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.

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.

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	Duration, Hedge, Income	$	165,333,333	$	13,392,165

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 Funds’ use and volume of call/put options written on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Income, Hedge	$	2,282	$	28,657,500

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 Funds’ Consolidated Statements of Assets and Liabilities; securities held as collateral are noted on the Funds’ Consolidated Schedule of Investments.

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

		Average Notional Amount
Fund	Use	Long		Short
Core Bond Fund	Duration, Hedge	$	18,219,750	$	—

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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.

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.

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
Core Bond Fund	Duration, Hedge, Income	$	116,800,000	$	—
Municipal Income Fund	Duration, Hedge		1,600,000		6,315,833

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
Core Bond Fund	Index exposure, Hedge	$	—	$	18,283,333

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NOTES TO FINANCIAL STATEMENTS (continued)

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of 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.

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	$	49,868	$	4,243,632
Core Bond Fund	Hedge		139,218		13,304,545

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	—
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements Variation margin on interest rate swap agreements	Variation margin on interest rate swap agreements
Credit default swap contracts	Unamortized upfront premiums paid on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements Variation margin on credit default swap agreements
Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2023:

Asset Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
High Yield Fund	$	—	$	—		69,539	$	—	$	—	$	69,539
Core Bond Fund		—		—		250,744		260,784		—		511,528
Municipal Income Fund		1,403,850		—		—		—		—		1,403,850

Liability Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
Core Bond Fund	$	5,932,735	$	341,318		—	$	—	$	487,166	$	6,761,219

* Includes cumulative appreciation (depreciation) of OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For centrally-cleared derivatives, variation margin is reported within the Funds’ Statements of Assets and Liabilities.

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The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2023:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest rate futures contracts	Net realized gain (loss) on futures contracts
Currency forward 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 option contracts	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options written
Credit /Interest rate swap 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 Funds’ Statements of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
High Yield Fund	$	—	$	—		$	—		$	—	$	—		$	(252,159	)	$	—		$	—		$	(252,159	)
Core Bond Fund		441,718		(2,949,536	)		(429,180	)		1,330,928		(2,469,939	)		(633,512	)		—			(1,070,824	)		(5,780,345	)
Municipal Income Fund		—		1,202,369			—			—		—			—			—			—			1,202,369
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
High Yield Fund	$	—	$	—		$	—		$	—	$	—		$	(70,079	)	$	—		$	—		$	(70,079	)
Core Bond Fund		—		(220,795	)		(341,318	)		625,047		(3,337,691	)		41,478			(585,689	)		140,649			(3,678,319	)
Municipal Income Fund		—		(514,901	)		—			—		—			—			—			—			(514,901	)

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 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

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NOTES TO FINANCIAL STATEMENTS (continued)

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 Funds.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

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 Funds’ 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 Funds’ Statements of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (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	$	69,539	$	—	$	69,539	$	—		$	—		$	69,539
Core Bond Fund	Options purchased		260,784		—		260,784		(89,338	)		(51,786	)		119,660
Core Bond Fund	Forward foreign currency exchange contracts		250,744		—		250,744		(165,205	)		(85,539	)		—

									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 Amounts of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Core Bond Fund	Options written		$	487,166	$	—	$	487,166	$	(254,543	)	$	—	$	232,623

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 September 30, 2023.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Core Bond Fund	BofA Securities, Inc.	Credit default swap agreements	$	442,673	$	—
	BofA Securities, Inc.	Interest rate swap agreements		470,370		—
	Goldman Sachs International	Options		—		100,000
	Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		100,652
				913,043		200,652
Municipal Income Fund	BofA Securities, Inc.	Interest rate swap agreements		387,498		—

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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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.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.

Pricing service providers are used to value a majority of the Funds’ investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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.

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.

92 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (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 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		02/01/25
Diversified Income Fund - C-Class		2.05	%		01/29/16		02/01/25
Diversified Income Fund - P-Class		1.30	%		01/29/16		02/01/25
Diversified Income Fund - Institutional Class		1.05	%		01/29/16		02/01/25
High Yield Fund - A-Class		1.16	%		11/30/12		02/01/25
High Yield Fund - C-Class		1.91	%		11/30/12		02/01/25
High Yield Fund - P-Class		1.16	%		05/01/15		02/01/25
High Yield Fund - Institutional Class		0.91	%		11/30/12		02/01/25
High Yield Fund - R6-Class		0.91	%		05/15/17		02/01/25
Core Bond Fund - A-Class		0.79	%		11/30/12		02/01/25
Core Bond Fund - C-Class		1.54	%		11/30/12		02/01/25
Core Bond Fund - P-Class		0.79	%		05/01/15		02/01/25
Core Bond Fund - Institutional Class		0.50	%		11/30/12		02/01/25
Municipal Income Fund - A-Class		0.80	%		11/30/12		02/01/25
Municipal Income Fund - C-Class		1.55	%		11/30/12		02/01/25
Municipal Income Fund - P-Class		0.80	%		05/01/15		02/01/25
Municipal Income Fund - Institutional Class		0.55	%		11/30/12		02/01/25

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 September 30, 2023, 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	2024		2025		2026		Fund Total
Diversified Income Fund
A-Class	$	8,022	$	7,429	$	6,440	$	21,891
C-Class		5,885		13,460		5,060		24,405
P-Class		3,708		5,940		7,594		17,242
Institutional Class		164,958		140,525		130,966		436,449
High Yield Fund
A-Class		—		—		7,986		7,986
C-Class		—		1,069		2,464		3,533
P-Class		1,534		5,764		1,432		8,730
Institutional Class		—		38,336		11,083		49,419
R6-Class		—		151		143		294
Core Bond Fund
A-Class		98,028		35,811		66,528		200,367
C-Class		23,013		19,268		7,997		50,278
P-Class		82,001		114,700		56,610		253,311
Institutional Class		1,336,675		1,278,995		773,981		3,389,651
Municipal Income Fund
A-Class		233,041		204,036		158,775		595,852
C-Class		7,997		6,810		4,657		19,464
P-Class		1,251		1,160		1,024		3,435
Institutional Class		57,993		39,988		37,249		135,230

THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2023, GI recouped amounts from the Funds as follows:

Diversified Income Fund	$	664
High Yield Fund		58,972
Core Bond Fund		38,127
Municipal Income Fund		1,765

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 year ended September 30, 2023, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
Diversified Income Fund	$	43,079

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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 September 30, 2023, 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	91%

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.

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2023, the Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at September 30, 2023			Average Balance Outstanding		Average Interest Rate
High Yield Fund		365	$	1,479,698		$	1,445,178		2.79	%
Core Bond Fund		199		59,394,748			40,269,175		4.03	%
Municipal Income Fund		2		—	*		1,087,500		3.60	%

* As of September 30, 2023, the Municipal Income Fund had no open reverse repurchase agreements.

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Funds’ 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 Amounts of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
High Yield Fund	Reverse Repurchase Agreements	$	1,479,698	$	—	$	1,479,698	($	1,479,698	)	$	—	$	—
Core Bond Fund	Reverse Repurchase Agreements		59,394,748		—		59,394,748		(59,394,748	)		—		—

As of September 30, 2023, the High Yield Fund and Core Bond Fund had $1,479,698 and $59,394,748, respectively, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreement by counterparty is as follows:

Fund	Counterparty	Interest Rate(s)		Maturity Date	Face Value
High Yield Fund	Goldman Sachs & Co. LLC	3.25%*	Open Maturity		$	1,479,698
Core Bond Fund	Bank of Montreal	5.37%*	Open Maturity		$	39,182,846
Core Bond Fund	J.P. Morgan Securities LLC	5.37%*	Open Maturity			16,997,605
Core Bond Fund	RBC Capital Markets LLC	(0.50%)*	Open Maturity			3,214,297
					$	59,394,748

* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2023.

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

Fund	Asset Type	Overnight and Continuous		Total
High Yield Fund	Corporate Bonds	$	1,479,698	$	1,479,698
Gross amount of recognized liabilities for reverse repurchase agreements		$	1,479,698	$	1,479,698
Core Bond Fund	U.S. Treasury Notes	$	56,180,451	$	56,180,451
	Corporate Bonds	$	3,214,297	$	3,214,297
Gross amount of recognized liabilities for reverse repurchase agreements		$	59,394,748	$	59,394,748

THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

NOTES TO FINANCIAL STATEMENTS (continued)

Note 7 - Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Return of Capital		Total Distributions
Diversified Income Fund	$	667,521	$	18,379	$	—	$	—	$	685,900
High Yield Fund		11,332,804		—		—		114,250		11,447,054
Core Bond Fund		56,067,246		—		—		—		56,067,246
Municipal Income Fund		832,530		—		1,021,378		—		1,853,908

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Return of Capital		Total Distributions
Diversified Income Fund	$	291,747	$	30,849	$	—	$	—	$	322,596
High Yield Fund		13,484,967		—		—		467,010		13,951,977
Core Bond Fund		49,456,388		13,626,451		—		—		63,082,839
Municipal Income Fund		—		316,286		1,118,374		—		1,434,660

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Fund	Undistributed Ordinary Income			Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
Diversified Income Fund	$	5,466		$	—	$	(712,499	)	$	(38,729	)	$	(23,277	)	$	(769,039	)
High Yield Fund		—			—		(23,387,520	)		(30,675,979	)		(1,035,142	)		(55,098,641	)
Core Bond Fund		3,887,176			—		(213,539,742	)		(113,575,802	)		(5,805,918	)		(329,034,286	)
Municipal Income Fund		75,057	*		—		(8,263,004	)		(892,965	)		(88,569	)		(9,169,481	)

* For Municipal Income Fund, the amount shown includes Undistributed Tax-Exempt Income of $75,057.

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Funds were as follows:

	Unlimited						Total Capital Loss
Fund	Short-Term			Long-Term			Carryforward
Diversified Income Fund	$	—		$	(38,729	)	$	(38,729	)
High Yield Fund		(2,024,650	)		(28,633,270	)		(30,657,920	)
Core Bond Fund		(51,378,194	)		(62,197,608	)		(113,575,802	)
Municipal Income Fund		—			(892,965	)		(892,965	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, partnerships, real estate investment trusts, and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, the deferral of qualified late-year losses, reclassification of distributions paid or dividends received, dividends payable, and the disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, paydown reclasses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences:

Fund	Paid In Capital		Total Distributable Earnings/(Loss)
Core Bond Fund	$	230,503	$	(230,503	)

At September 30, 2023, 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	$	8,228,273	$	163,628	$	(876,127	)	$	(712,499	)
High Yield Fund		213,672,827		507,762		(23,891,257	)		(23,383,495	)
Core Bond Fund		1,808,877,919		—		(213,533,891	)		(213,533,891	)
Municipal Income Fund		49,793,966		1,541,737		(9,804,741	)		(8,263,004	)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2023, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2023:

Fund	Ordinary			Capital
High Yield Fund	$	(18,059	)	$	—

THE GUGGENHEIM FUNDS ANNUAL REPORT | 97

NOTES TO FINANCIAL STATEMENTS (continued)

Note 8 – Securities Transactions

For the year ended September 30, 2023, 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	$	478,419	$	507,991
High Yield Fund		56,095,691		54,050,834
Core Bond Fund		1,355,065,244		1,102,025,109
Municipal Income Fund		5,263,930		13,096,118

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Core Bond Fund	$	717,570,361	$	444,878,832

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 year ended September 30, 2023, the Funds did not engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2023. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

Fund	Borrower		Maturity Date		Face Amount		Value
High Yield Fund		Wellsky		11/ 24/23	$	421,000	$	—
Core Bond Fund		Lightning A		03/01/37		1,663,778		—
		Thunderbird A		03/01/37		1,688,667		—
							$	—

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
	Mirabela Nickel Ltd.
	9.50% due 06/24/192		12/31/13	$	252,369	$	13,211
Core Bond Fund
	Central Storage Safety Project Trust
	4.82% due 02/01/38		03/20/18	$	871,193	$	711,207
	Copper River CLO Ltd.
	2007-1A INC, due 01/20/211		05/09/14		—		70
				$	871,193	$	711,277

1	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
2	Security is in default of interest and/or principal obligations.

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR 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 Funds’ Statements of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Funds are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Funds in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

Note 13 – Subsequent Events

Following the period covered by this report, the Board of Trustees of Guggenheim Diversified Income Fund approved the liquidation of the Fund, effective on or about January 23, 2024. In connection with the liquidation, the Fund will close to new shareholders effective on or about December 22, 2023, and it will be closed to additional investments by existing shareholders on or about January 16, 2024. The Fund will deviate from its investment objective prior to the liquidation.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund and Guggenheim Municipal Income Fund (collectively referred to as the “Funds”), (four of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2023, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

100 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Funds’ investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Municipal Income Fund designates $1,021,378 as tax-exempt interest income according to IRC Section 852(b)(5)(A).

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Diversified Income Fund		7.56	%		1.98	%		46.50	%		100.00	%
High Yield Fund		0.98	%		0.72	%		92.90	%		0.00	%
Core Bond Fund		1.50	%		1.29	%		83.61	%		0.00	%
Municipal Income Fund		0.00	%		0.00	%		14.85	%		100.00	%

With respect to the taxable year ended September 30, 2023, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Diversified Income Fund	$	18,379	$	—

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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be

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available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

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.

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Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	● Guggenheim Core Bond Fund (“Core Bond Fund”)*
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
● Guggenheim High Yield Fund (“High Yield Fund”)*	● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**1
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	● Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	● Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

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With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

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Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

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OTHER INFORMATION (Unaudited)(continued)

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

110 | THE GUGGENHEIM FUNDS 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 Funds’ 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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 111

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
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

112 | THE GUGGENHEIM FUNDS 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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 113

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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser.

114 | THE GUGGENHEIM FUNDS 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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing 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); Senior Managing Director, 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 ANNUAL REPORT | 115

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).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 117

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.

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim SMid Cap Value Fund

GuggenheimInvestments.com SBMCV-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
SMID CAP VALUE FUND	8
NOTES TO FINANCIAL STATEMENTS	26
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	36
OTHER INFORMATION	38
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	52
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	62
LIQUIDITY RISK MANAGEMENT PROGRAM	66

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Security Investors, LLC (“Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (“Fund”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Security Investors, LLC

October 31, 2023

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.

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. ● 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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting 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 ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

*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 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 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 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^® Index 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 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 March 31, 2023 and ending September 30, 2023.

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 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 ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2023	Ending Account Value September 30, 2023	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.16%	(1.08%)	$1,000.00	$989.20	$5.78
C-Class	2.02%	(1.49%)	1,000.00	985.10	10.05
P-Class	1.25%	(1.12%)	1,000.00	988.80	6.23
Institutional Class	0.90%	(0.98%)	1,000.00	990.20	4.49
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.16%	5.00%	$1,000.00	$1,019.25	$5.87
C-Class	2.02%	5.00%	1,000.00	1,014.94	10.20
P-Class	1.25%	5.00%	1,000.00	1,018.80	6.33
Institutional Class	0.90%	5.00%	1,000.00	1,020.56	4.56

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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim SMid Cap Value Fund (“Fund”) is managed by a team of seasoned professionals led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Chris Phalen, Managing Director and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 12.65%¹, outperforming the Russell 2500 Value Index, the Fund’s benchmark (“Benchmark”), which returned 11.34% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

The market began the Reporting Period with steady strength, as a buoyant economy helped build expectations that a highly anticipated recession would be pushed further out and that perhaps the Fed could do the unthinkable and engineer a soft landing. Once the banking crisis hit in March, leadership in equities shifted away from the value area and growth stocks once again caught the market’s interest. As the year progressed, the continued strong jobs market accompanied by increasing fiscal deficits and treasury issuance caused a significant rise in interest rates. These events have begun to dampen stock performance, as equity returns for the broad market were lower in Q3. A flight to safety from growing geopolitical risks has yet to dampen the trend toward rising interest rates in the government debt market.

The Fund had a solid year as it outperformed its Benchmark by 131 basis points. The most significant positive contributor to the strategy was its overweighting in Industrials, where the Fund had an average weighing of 23% versus 18.6% for the Benchmark. This sector managed to gain more than 30% during the year. Infrastructure companies geared towards the reindustrialization of America provided some of the best gains, as Terex Corp. (+95%), EnerSys (+64%), Altra Industrial Motion Corp. (+83% on a takeover by Regal Rexnord Corp.) and H&E Equipment Services, Inc (+56%) all provided significant contributions.

Stock selection in Health Care was much better than the Benchmark (+2.8% versus a negative 5%). This provided the second-most meaningful boost for relative performance. Encompass Health Corp., which operates inpatient rehab facilities at hospitals, gained almost 50%. Favorable Medicare rate reimbursement in the Spring, coupled with solid earnings results that were driven by favorable volumes as well as expense benefits, led to several good earnings reports over the Reporting Period. A looser labor market coming off COVID allowed the company to save from

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2023

lower usage of contract labor. Integer Holdings Corp., a large contract manufacturer for medical device componentry, gained 26%. Earnings during the year were largely favorable, as supply chain issues began to subside, aiding margins and boosting sales. Relative to other subindustries in Health Care, these two names represent situations that avoid the funding issues that higher interest rates pose for many small cap biotech and pharmaceutical companies, and they also sidestep the fear among companies in the space that diet drugs could potentially reduce demand.

Stock selection in Consumer Staples was the third-most significant relative performance contributor, as the +25% return in the sector easily outpaced the 12% gain in the Benchmark. Bunge Ltd. gained 34%. The company’s business benefitted from high demand for biodiesel/ethanol that helped margins and volume of processed soybeans throughout the year. The market also reacted favorably to the company’s merger with Viterra.

On the negative side, stock selection in Financials was the largest drawback, as the Fund lost 134 basis points from its position in SVB Financial. For the Financials sector as a whole, performance was a negative 6.3% versus a positive 0.5% in the Benchmark. The unprecedented collapse of SVB Financial Group was unique in the speed with which it occurred and the fact that its failure did not produce many credit-related issues. The other bank holdings in the strategy outperformed the Benchmark, alleviating the damage that selection posed to the strategy from the banking industry.

The second-largest headwind for performance during the Reporting Period was a significant underweight in the Consumer Discretionary sector. This sector gained 21.8%, and the Fund had an average weighting of 3.8% versus 11.5% for the Benchmark. We have been concerned about the impact higher rates would have on spending, and the headwinds diminishing stimulus funds would create for aggregate demand. Most companies in the sector continue to have high margins, which should contract in the quarters ahead; we moved our weighting lower as the year progressed.

The third most significant detractor to performance was in Energy stock selection. The Fund’s holdings in this sector gained 18% versus 26.3% for the Benchmark. Essentially, the Fund lacked exposure to the higher-beta energy service and drilling industries that performed the best. Additionally, a large weighting in Pioneer Natural Resources Co. detracted from return, as this position only gained 14%, while smaller, more operationally levered exploration and production companies performed better. An above-average weighting to this sector, however, served to completely offset the selection headwind; overall, Energy was neutral to relative performance.

How was the Fund positioned at the end of the Reporting Period?

In many ways, the environment is similar to last year. The geopolitical outlook seems to have become less favorable, and the Fed, while still hawkish, is much later in the game of fighting inflation. However, it remains unclear how long “higher for longer” will really be. Reversing several decades of shifting production from low-cost Asian countries to higher-cost locations closer to

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

end markets could provide many years of stubbornly high inflation that may serve to restrain equity appreciation. The murkiness of the economic outlook has not improved, yet equity prices are higher.

At the beginning of the Reporting Period, our three largest active weights were in Industrials (+561 basis points), Materials (+422 basis points) and Consumer Staples (+303 basis points). At the end of the Reporting Period, they were in Materials (+419 basis points), Energy (+349 basis points) and Industrials (+280 basis points).

At the beginning of the Reporting Period, our largest underweights were in Consumer Discretionary (-533 basis points), Financials (-381 basis points) and Real Estate (-374 basis points). At the end of the Reporting Period, they were in Consumer Discretionary (-957 basis points), Real Estate (-528 basis points) and Financials (-246 basis points). So, while there is not much change in leadership, we have boosted exposure to the sectors that we like and lessened exposure to those we don’t. Cash at the end of the Reporting Period was less than 1%.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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.	3.7%
Unum Group	2.8%
Ingredion, Inc.	2.4%
Bunge Ltd.	2.3%
Kirby Corp.	2.1%
MSC Industrial Direct Company, Inc. — Class A	2.0%
Curtiss-Wright Corp.	2.0%
Markel Group, Inc.	2.0%
Encompass Health Corp.	1.8%
Diamondback Energy, Inc.	1.7%
Top Ten Total	22.8%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	12.65%	5.56%	7.05%
A-Class Shares with sales charge†	7.32%	4.53%	6.53%
C-Class Shares	11.67%	4.68%	6.20%
C-Class Shares with CDSC‡	10.67%	4.68%	6.20%
Institutional Class Shares1	12.91%	5.87%	7.38%
Russell 2500 Value Index	11.34%	3.99%	6.95%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	12.57%	5.48%	7.35%
Russell 2500 Value Index	11.34%	3.99%	6.09%

*	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. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to difference in fee structures.
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. The SMid Cap Value Institutional Fund commenced operations on July 11, 2008.
†	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.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2023
SMID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.1%
Industrial - 24.7%
Kirby Corp.*		90,242	$	7,472,038
Curtiss-Wright Corp.		37,616		7,358,818
Graphic Packaging Holding Co.		279,720		6,232,162
Knight-Swift Transportation Holdings, Inc.		99,408		4,985,311
Teledyne Technologies, Inc.*		11,570		4,727,271
PGT Innovations, Inc.*		161,297		4,475,992
Advanced Energy Industries, Inc.		42,919		4,425,807
Summit Materials, Inc. — Class A*		141,380		4,402,573
Johnson Controls International plc		76,754		4,084,080
Arcosa, Inc.		55,422		3,984,842
Mercury Systems, Inc.*		96,209		3,568,392
Coherent Corp.*		106,220		3,467,021
Terex Corp.		56,576		3,259,909
MDU Resources Group, Inc.		160,895		3,150,324
Daseke, Inc.*		576,933		2,959,666
Esab Corp.		41,571		2,919,116
Park Aerospace Corp.		174,887		2,715,995
EnerSys		26,876		2,544,351
Littelfuse, Inc.		9,911		2,451,188
AZEK Company, Inc.*		73,980		2,200,165
Plexus Corp.*		22,485		2,090,655
Sonoco Products Co.		34,129		1,854,911
GATX Corp.		16,707		1,818,223
Stoneridge, Inc.*		82,637		1,658,525
NVE Corp.		11,642		956,274
Total Industrial				89,763,609
Financial - 20.7%
Unum Group		205,355		10,101,412
Markel Group, Inc.*		4,955		7,296,188
Prosperity Bancshares, Inc.		108,788		5,937,649
Stifel Financial Corp.		82,644		5,077,647
Texas Capital Bancshares, Inc.*		83,797		4,935,643
Old Republic International Corp.		178,191		4,800,466
First Merchants Corp.		169,562		4,717,215
Jefferies Financial Group, Inc.		122,785		4,497,615
Physicians Realty Trust REIT		269,332		3,283,157
First American Financial Corp.		57,283		3,235,917
Apple Hospitality REIT, Inc.		191,498		2,937,579
Sun Communities, Inc. REIT		24,554		2,905,720
Alexandria Real Estate Equities, Inc. REIT		27,079		2,710,608
Ventas, Inc. REIT		61,227		2,579,494
Stewart Information Services Corp.		49,893		2,185,313
UMB Financial Corp.		34,410		2,135,140
Gaming and Leisure Properties, Inc. REIT		46,248		2,106,597
Synovus Financial Corp.		61,975		1,722,905
United Bankshares, Inc.		49,223		1,358,063
Jones Lang LaSalle, Inc.*		6,026		850,751
Total Financial				75,375,079
Consumer, Non-cyclical - 15.1%
Ingredion, Inc.		87,551		8,615,018
Bunge Ltd.		77,683		8,409,185
Encompass Health Corp.		96,089		6,453,337
Euronet Worldwide, Inc.*		66,598		5,286,549

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
SMID CAP VALUE FUND

	Shares		Value
Integer Holdings Corp.*		53,596	$	4,203,534
Central Garden & Pet Co. — Class A*		100,456		4,027,281
Enovis Corp.*		63,654		3,356,476
Henry Schein, Inc.*		37,516		2,785,563
ICF International, Inc.		19,374		2,340,573
LivaNova plc*		39,390		2,082,943
Quest Diagnostics, Inc.		15,093		1,839,233
Azenta, Inc.*		33,889		1,700,889
Certara, Inc.*		109,254		1,588,553
Jazz Pharmaceuticals plc*		7,906		1,023,353
Ironwood Pharmaceuticals, Inc. — Class A*		101,303		975,548
Total Consumer, Non-cyclical				54,688,035
Energy - 9.7%
Pioneer Natural Resources Co.		58,145		13,347,185
Diamondback Energy, Inc.		40,485		6,270,317
Murphy Oil Corp.		98,302		4,457,996
Liberty Energy, Inc. — Class A		165,250		3,060,430
Equities Corp.		73,308		2,974,838
Kinder Morgan, Inc.		112,598		1,866,875
Range Resources Corp.		56,484		1,830,646
Patterson-UTI Energy, Inc.		116,563		1,613,231
HydroGen Corp.*,†††,1		1,265,700		2
Total Energy				35,421,520
Technology - 8.1%
Teradyne, Inc.		59,776		6,005,097
Evolent Health, Inc. — Class A*		213,537		5,814,613
Science Applications International Corp.		54,403		5,741,693
Leidos Holdings, Inc.		45,214		4,166,922
MACOM Technology Solutions Holdings, Inc.*		50,130		4,089,605
LivePerson, Inc.*		433,833		1,687,610
Silicon Laboratories, Inc.*		11,320		1,311,875
Wolfspeed, Inc.*		19,914		758,723
Total Technology				29,576,138
Basic Materials - 7.3%
Reliance Steel & Aluminum Co.		22,854		5,993,004
Huntsman Corp.		189,411		4,621,628
Westlake Corp.		36,815		4,589,726
Nucor Corp.		24,912		3,894,991
Avient Corp.		109,330		3,861,536
Ashland, Inc.		41,548		3,393,641
Total Basic Materials				26,354,526
Consumer, Cyclical - 6.0%
MSC Industrial Direct Company, Inc. — Class A		75,691		7,429,072
H&E Equipment Services, Inc.		105,031		4,536,289
Whirlpool Corp.		28,650		3,830,505
Lear Corp.		14,734		1,977,303
Methode Electronics, Inc.		68,189		1,558,118
Newell Brands, Inc.		141,095		1,274,088
Lakeland Industries, Inc.		82,219		1,239,040
Total Consumer, Cyclical				21,844,415
Utilities - 5.6%
Pinnacle West Capital Corp.		84,650		6,237,012
OGE Energy Corp.		186,889		6,229,011
Evergy, Inc.		100,936		5,117,455
Black Hills Corp.		52,292		2,645,452
Total Utilities				20,228,930

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
SMID CAP VALUE FUND

	Shares		Value
Communications - 1.9%
Fox Corp. — Class B		126,041	$	3,640,064
Ciena Corp.*		47,396		2,239,935
Luna Innovations, Inc.*		148,908		872,601
Total Communications				6,752,600
Total Common Stocks
(Cost $317,740,239)				360,004,852
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,2		1,652,084		5
Total Convertible Preferred Stocks
(Cost $1,577,635)				5
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.		516,551		276,355
Total Rights
(Cost $—)				276,355
MONEY MARKET FUND† - 0.9%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%3		3,277,134		3,277,134
Total Money Market Fund
(Cost $3,277,134)				3,277,134
Total Investments - 100.1%
(Cost $322,595,008)			$	363,558,346
Other Assets & Liabilities, net - (0.1)%				(194,708	)
Total Net Assets - 100.0%			$	363,363,638

*	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	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 September 30, 2023.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
SMID CAP VALUE FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	360,004,850	$	—	$	2	$	360,004,852
Rights		276,355		—		—		276,355
Money Market Fund		3,277,134		—		—		3,277,134
Convertible Preferred Stocks		—		—		5		5
Total Assets	$	363,558,339	$	—	$	7	$	363,558,346

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 year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/23		Shares 09/30/23
Common Stocks
HydroGen Corp.*	$	2	$	—	$	—	$	—	$	—	$	2		1,265,700

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

SMID CAP VALUE FUND

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $322,592,477)	$	363,558,344
Investments in affiliated issuers, at value (cost $2,531)		2
Cash		8,943
Prepaid expenses		26,482
Receivables:
Securities sold		3,576,772
Dividends		471,071
Fund shares sold		28,689
Interest		16,550
Foreign tax reclaims		302
Total assets		367,687,155
Liabilities:
Payable for:
Securities purchased		3,439,960
Fund shares redeemed		532,857
Management fees		210,673
Distribution and service fees		62,502
Transfer agent fees		24,383
Fund accounting and administration fees		6,750
Trustees’ fees*		1,202
Due to Investment Adviser		103
Miscellaneous		45,087
Total liabilities		4,323,517
Net assets	$	363,363,638
Net assets consist of:
Paid in capital		310,948,816
Total distributable earnings (loss)		52,414,822
Net assets	$	363,363,638
A-Class:
Net assets	$	273,173,335
Capital shares outstanding		7,853,728
Net asset value per share	$	34.78
Maximum offering price per share (Net asset value divided by 95.25%)	$	36.51
C-Class:
Net assets	$	4,205,261
Capital shares outstanding		199,312
Net asset value per share	$	21.10
P-Class:
Net assets	$	5,306,066
Capital shares outstanding		153,977
Net asset value per share	$	34.46
Institutional Class:
Net assets	$	80,678,976
Capital shares outstanding		9,961,332
Net asset value per share	$	8.10

* 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 ANNUAL REPORT | 17

STATEMENT OF OPERATIONS

SMID CAP VALUE FUND

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	8,249,663
Interest from securities of unaffiliated issuers		302,690
Total investment income		8,552,353
Expenses:
Management fees		2,917,656
Distribution and service fees:
A-Class		726,214
C-Class		49,840
P-Class		14,795
Transfer agent fees:
A-Class		292,070
C-Class		10,280
P-Class		9,684
Institutional Class		75,490
Fund accounting and administration fees		167,998
Professional fees		66,853
Trustees’ fees*		17,861
Line of credit fees		12,977
Custodian fees		8,328
Miscellaneous		114,551
Recoupment of previously waived fees:
A-Class		11,105
C-Class		2,027
P-Class		302
Institutional Class		35,535
Total expenses		4,533,566
Less:
Expenses reimbursed by Adviser:
A-Class		(59,194	)
C-Class		(2,172	)
P-Class		(104	)
Institutional Class		(1,842	)
Expenses waived by Adviser		(121,236	)
Earnings credits applied		(572	)
Total waived/reimbursed expenses		(185,120	)
Net expenses		4,348,446
Net investment income		4,203,907
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		12,000,716
Net realized gain		12,000,716
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		29,280,726
Net change in unrealized appreciation (depreciation)		29,280,726
Net realized and unrealized gain		41,281,442
Net increase in net assets resulting from operations	$	45,485,349

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

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

STATEMENTS OF CHANGES IN NET ASSETS

SMID CAP VALUE FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	4,203,907		$	4,089,634
Net realized gain on investments		12,000,716			35,337,758
Net change in unrealized appreciation (depreciation) on investments		29,280,726			(69,238,366	)
Net increase (decrease) in net assets resulting from operations		45,485,349			(29,810,974	)
Distributions to shareholders:
A-Class		(15,287,730	)		(21,330,395	)
C-Class		(400,511	)		(847,652	)
P-Class		(319,757	)		(452,599	)
Institutional Class		(17,898,014	)		(20,988,300	)
Total distributions to shareholders		(33,906,012	)		(43,618,946	)
Capital share transactions:
Proceeds from sale of shares
A-Class		9,197,883			11,484,211
C-Class		485,848			480,284
P-Class		151,281			1,019,491
Institutional Class		21,824,839			19,826,586
Distributions reinvested
A-Class		14,853,499			20,707,053
C-Class		379,175			813,998
P-Class		319,757			452,599
Institutional Class		13,919,483			16,362,390
Cost of shares redeemed
A-Class		(32,127,530	)		(41,110,959	)
C-Class		(2,161,822	)		(4,830,625	)
P-Class		(1,145,194	)		(1,852,112	)
Institutional Class		(29,487,889	)		(23,566,323	)
Net decrease from capital share transactions		(3,790,670	)		(213,407	)
Net increase (decrease) in net assets		7,788,667			(73,643,327	)
Net assets:
Beginning of year		355,574,971			429,218,298
End of year	$	363,363,638		$	355,574,971

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

SMID CAP VALUE FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		253,740			307,454
C-Class		22,243			19,865
P-Class		4,170			27,573
Institutional Class		2,544,475			1,899,357
Shares issued from reinvestment of distributions
A-Class		428,425			569,188
C-Class		17,903			35,484
P-Class		9,303			12,544
Institutional Class		1,726,983			1,634,604
Shares redeemed
A-Class		(898,347	)		(1,104,633	)
C-Class		(98,361	)		(200,888	)
P-Class		(32,403	)		(50,585	)
Institutional Class		(3,417,401	)		(2,235,401	)
Net increase in shares		560,730			914,562

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	32.58		$	38.00		$	26.27		$	30.52		$	36.20
Income (loss) from investment operations:
Net investment income (loss)a		.37			.36			.19			.46			.22
Net gain (loss) on investments (realized and unrealized)		3.75			(3.16	)		11.54			(3.37	)		(1.89	)
Total from investment operations		4.12			(2.80	)		11.73			(2.91	)		(1.67	)
Less distributions from:
Net investment income		(.22	)		(.10	)		—			(.26	)		(.03	)
Net realized gains		(1.70	)		(2.52	)		—			(1.04	)		(3.98	)
Return of capital		—			—			—			(.04	)		—
Total distributions		(1.92	)		(2.62	)		—			(1.34	)		(4.01	)
Net asset value, end of period	$	34.78		$	32.58		$	38.00		$	26.27		$	30.52
Total Returnb		12.65	%		(8.08	%)		44.65	%		(10.25	%)		(2.51	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	273,173		$	262,943		$	315,323		$	243,072		$	335,806
Ratios to average net assets:
Net investment income (loss)		1.05	%		0.96	%		0.53	%		1.64	%		0.72	%
Total expensesc		1.20	%		1.19	%		1.20	%		1.25	%		1.23	%
Net expensesd,e,f		1.15	%		1.18	%		1.19	%		1.24	%		1.23	%
Portfolio turnover rate		28	%		39	%		34	%		41	%		45	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	20.41		$	24.85		$	17.32		$	20.48		$	26.05
Income (loss) from investment operations:
Net investment income (loss)a		.04			.01			(.06	)		.16			(.02	)
Net gain (loss) on investments (realized and unrealized)		2.35			(1.93	)		7.59			(2.22	)		(1.57	)
Total from investment operations		2.39			(1.92	)		7.53			(2.06	)		(1.59	)
Less distributions from:
Net investment income		—			—			—			(.03	)		—
Net realized gains		(1.70	)		(2.52	)		—			(1.04	)		(3.98	)
Return of capital		—			—			—			(.03	)		—
Total distributions		(1.70	)		(2.52	)		—			(1.10	)		(3.98	)
Net asset value, end of period	$	21.10		$	20.41		$	24.85		$	17.32		$	20.48
Total Returnb		11.67	%		(8.85	%)		43.48	%		(10.95	%)		(3.35	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,205		$	5,256		$	10,015		$	14,276		$	31,221
Ratios to average net assets:
Net investment income (loss)		0.18	%		0.04	%		(0.27	%)		0.86	%		(0.11	%)
Total expensesc		2.10	%		2.09	%		2.05	%		2.14	%		2.07	%
Net expensesd,e,f		2.02	%		2.02	%		2.02	%		2.07	%		2.06	%
Portfolio turnover rate		28	%		39	%		34	%		41	%		45	%

22 | THE GUGGENHEIM FUNDS 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.

P-Class	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	32.30		$	37.67		$	26.06		$	30.25		$	35.94
Income (loss) from investment operations:
Net investment income (loss)a		.34			.33			.15			.46			.19
Net gain (loss) on investments (realized and unrealized)		3.71			(3.12	)		11.46			(3.37	)		(1.88	)
Total from investment operations		4.05			(2.79	)		11.61			(2.91	)		(1.69	)
Less distributions from:
Net investment income		(.19	)		(.06	)		—			(.20	)		(.02	)
Net realized gains		(1.70	)		(2.52	)		—			(1.04	)		(3.98	)
Return of capital		—			—			—			(.04	)		—
Total distributions		(1.89	)		(2.58	)		—			(1.28	)		(4.00	)
Net asset value, end of period	$	34.46		$	32.30		$	37.67		$	26.06		$	30.25
Total Return		12.57	%		(8.16	%)		44.55	%		(10.30	%)		(2.61	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,306		$	5,584		$	6,907		$	7,662		$	14,165
Ratios to average net assets:
Net investment income (loss)		0.96	%		0.90	%		0.43	%		1.64	%		0.63	%
Total expensesc		1.27	%		1.30	%		1.32	%		1.33	%		1.35	%
Net expensesd,e,f		1.24	%		1.26	%		1.28	%		1.31	%		1.32	%
Portfolio turnover rate		28	%		39	%		34	%		41	%		45	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Period Ended Sept. 30, 2020g
Per Share Data
Net asset value, beginning of period	$	8.98		$	12.42		$	8.57		$	10.20
Income (loss) from investment operations:
Net investment income (loss)a		.11			.12			.08			.11
Net gain (loss) on investments (realized and unrealized)		1.04			(.82	)		3.77			(1.74	)
Total from investment operations		1.15			(.70	)		3.85			(1.63	)
Less distributions from:
Net investment income		(.33	)		(.22	)		—			—
Net realized gains		(1.70	)		(2.52	)		—			—
Total distributions		(2.03	)		(2.74	)		—			—
Net asset value, end of period	$	8.10		$	8.98		$	12.42		$	8.57
Total Return		12.91	%		(7.93	%)		44.92	%		(15.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	80,679		$	81,792		$	96,973		$	60,783
Ratios to average net assets:
Net investment income (loss)		1.26	%		1.14	%		0.70	%		1.87	%
Total expensesc		0.98	%		1.03	%		1.06	%		1.09	%
Net expensesd,e,f		0.94	%		1.01	%		1.02	%		1.03	%
Portfolio turnover rate		28	%		39	%		34	%		41	%

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

FINANCIAL HIGHLIGHTS (concluded)

SMID CAP VALUE FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests, if any.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.00%*	0.01%	0.00%	0.00%*	0.00%*
C-Class	0.04%	0.00%*	0.00%*	0.00%*	0.01%
P-Class	0.01%	0.02%	0.07%	0.01%	0.04%
Institutional Class	0.04%	0.00%*	0.00%	0.00%*,g	N/A

	*	Less than 0.01%
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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.15%	1.18%	1.19%	1.24%	1.23%
C-Class	2.02%	2.02%	2.01%	2.07%	2.06%
P-Class	1.23%	1.25%	1.28%	1.30%	1.32%
Institutional Class	0.94%	1.01%	1.02%	1.03%g	N/A

^g Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the SMid Cap Value Fund (the “Fund”), a diversified investment company. At September 30, 2023, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Fund.

Security Investors, LLC which operates under the name Guggenheim Investments (“GI” or the “Adviser”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Fund’s shares. 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.

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (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 share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will generally be valued on the basis of the last sale price on the primary U.S. exchange or market

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

NOTES TO FINANCIAL STATEMENTS (continued)

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.

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 generally 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 the Adviser. 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 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 September 30, 2023, 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.

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

(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.

(e) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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 year ended September 30, 2023, are disclosed in the Fund’s 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 5.33% at September 30, 2023.

(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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

NOTES TO FINANCIAL STATEMENTS (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.

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	1.30%1	01/03/20	02/01/25
C-Class	2.05%1	01/03/20	02/01/25
P-Class	1.30%1	01/03/20	02/01/25
Institutional Class	1.05%	01/03/20	02/01/25

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 September 30, 2023, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	2024		2025		2026		Fund Total
A-Class	$	—	$	380	$	59,194	$	59,574
C-Class		4,260		4,648		2,172		11,080
P-Class		2,971		2,276		104		5,351
Institutional Class		17,378		17,866		1,842		37,086

During the year ended September 30, 2023, GI recouped $48,969 from the Fund.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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 of 1986, as amended (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	5,582,517	$	28,323,495	$	33,906,012

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	14,921,805	$	28,697,141	$	43,618,946

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

NOTES TO FINANCIAL STATEMENTS (continued)

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Total
$	2,717,162	$	8,857,857	$	40,839,803	$	—	$	52,414,822

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, reclassification of distributions, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	2,911,897	$	(2,911,897	)

At September 30, 2023, 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)
$	322,718,543	$	67,489,581	$	(26,649,778	)	$	40,839,803

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (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 between market participants at the measurement date. 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 — unadjusted 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.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements.

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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:

Purchases		Sales
$	107,867,915	$	132,206,442

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

NOTES TO FINANCIAL STATEMENTS (continued)

Note 6 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The 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”, SOFR 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 Fund’s Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 7 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 8 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim SMid Cap Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim SMid Cap Value Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian and brokers;

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See the qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	100.00	%		100.00	%		1.58	%		100.00	%

With respect to the taxable year ended September 30, 2023, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	28,323,495	$	2,911,871

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.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

OTHER INFORMATION (Unaudited)(continued)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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.

Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)**   ● Guggenheim High Yield Fund
(“High Yield Fund”)*   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)**   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)** ● Guggenheim Core Bond Fund
(“Core Bond Fund”)*   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**¹   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)*

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)** ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

OTHER INFORMATION (Unaudited)(continued)

by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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OTHER INFORMATION (Unaudited)(continued)

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s

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defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

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OTHER INFORMATION (Unaudited)(continued)

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the

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OTHER INFORMATION (Unaudited)(continued)

Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The

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OTHER INFORMATION (Unaudited)(continued)

total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

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OTHER INFORMATION (Unaudited)(concluded)

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).

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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 - continued
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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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 - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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 - continued
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

56 | THE GUGGENHEIM FUNDS 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

58 | THE GUGGENHEIM FUNDS 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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing Director, Guggenheim Investments (2012-present).

THE GUGGENHEIM FUNDS 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
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); Senior Managing Director, 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).

60 | THE GUGGENHEIM FUNDS 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
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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 ANNUAL REPORT | 61

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 ANNUAL REPORT | 63

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the ���Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Capital Stewardship Fund

GuggenheimInvestments.com CSF-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
CAPITAL STEWARDSHIP FUND	6
NOTES TO FINANCIAL STATEMENTS	14
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	19
OTHER INFORMATION	20
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	26
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	32
LIQUIDITY RISK MANAGEMENT PROGRAM	35

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“Investment Adviser”), is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (“Fund”). The report covers the annual fiscal period ended September 30, 2023 (“Reporting Period”).

Concinnity Advisors, LP, serves as the Fund’s sub-adviser (“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 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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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.

Capital Stewardship 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 stocks in which the Fund invests may underperform the equity markets as a whole ● Please read the prospectus for more detailed information regarding these and other risks.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting 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 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 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 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

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

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

S&P 500^® Index is a 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 ANNUAL REPORT | 3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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 March 31, 2023 and ending September 30, 2023.

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
		1.00	%		1.64	%	$	1,000.00	$	1,016.40	$	5.05
Table 2. Based on hypothetical 5% return (before expenses)
		1.00	%		5.00	%	$	1,000.00	$	1,020.05	$	5.06

1	Annualized and excludes expenses of the underlying funds in which the Fund invest.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

MANAGERS’ COMMENTARY (Unaudited) September 30, 2022

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Capital Stewardship Fund (“Fund”). Concinnity Advisors, LP serves as the Fund’s unaffiliated sub-adviser. The Fund is managed by a team of seasoned professionals led by Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Peter Derby, Portfolio Manager at Concinnity. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Guggenheim Capital Stewardship Fund Institutional Class returned 14.62%, underperforming the S&P 500 Index, the Fund’s benchmark (“Benchmark”), which returned 21.62% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

During the Reporting Period, the Fund underperformed its Benchmark by 7 percentage points. The contribution from sector allocation effect and security selection effect were 0.06% and -5.92%, respectively.

Across the 11 S&P sectors, relatively speaking, the Industrials sector detracted 2.09%. The Real Estate sector contributed 0.65%.

The top individual contributors to return were Microsoft Corp., Apple, Inc., and Alphabet, Inc. - Class A. The top individual detractors were Dollar General Corp., Lockheed Martin Corp., and Pfizer, Inc.

How was the Fund positioned at the end of the Reporting Period?

As of end of the Reporting Period, the Fund was fully invested, with less than 1% in cash or cash equivalents. Relative to its Benchmark, the Fund was overweight in the Information Technology sector and Industrials sector by 7.0% and 4.4%, respectively. The Fund was underweight in the Consumer Staples and the Communication Services sectors by 4.6% and 4.4%, respectively.

Performance displayed represents past performance which is no guarantee of future results.

The opinions and forecast 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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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.

Cumulative Fund Performance*

Inception Date: September 26, 2014

Ten Largest Holdings	% of Total Net Assets
Apple, Inc.	5.8%
Microsoft Corp.	5.6%
Amazon.com, Inc.	2.8%
Alphabet, Inc. — Class A	2.8%
Home Depot, Inc.	2.6%
UnitedHealth Group, Inc.	2.1%
Valero Energy Corp.	2.0%
Illinois Tool Works, Inc.	1.9%
Lockheed Martin Corp.	1.9%
Texas Instruments, Inc.	1.8%
Top Ten Total	29.3%
“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*
Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (09/26/14)
Capital Stewardship Fund	14.62%	7.23%	8.48%
S&P 500 Index	21.62%	9.92%	11.00%

* 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

SCHEDULE OF INVESTMENTS	September 30, 2023
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 99.6%
Technology - 26.9%
Apple, Inc.		62,141	$	10,639,161
Microsoft Corp.		32,170		10,157,678
Texas Instruments, Inc.		21,182		3,368,150
NVIDIA Corp.		7,462		3,245,895
QUALCOMM, Inc.		20,803		2,310,381
Applied Materials, Inc.		11,356		1,572,238
KLA Corp.		3,098		1,420,929
Dropbox, Inc. — Class A*		51,152		1,392,869
NetApp, Inc.		18,290		1,387,845
Micron Technology, Inc.		17,194		1,169,708
Cadence Design Systems, Inc.*		4,888		1,145,258
Cognizant Technology Solutions Corp. — Class A		16,855		1,141,758
ServiceNow, Inc.*		1,945		1,087,177
Dell Technologies, Inc. — Class C		14,677		1,011,245
Workday, Inc. — Class A*		4,404		946,199
Lam Research Corp.		1,488		932,634
VMware, Inc. — Class A*		5,596		931,622
Broadcom, Inc.		1,103		916,130
HubSpot, Inc.*		1,769		871,233
Snowflake, Inc. — Class A*		5,508		841,457
Intuit, Inc.		977		499,188
Zoom Video Communications, Inc. — Class A*		6,427		449,504
Akamai Technologies, Inc.*		2,703		287,978
HP, Inc.		10,813		277,894
Autodesk, Inc.*		1,288		266,500
Salesforce, Inc.*		1,292		261,992
Adobe, Inc.*		500		254,950
Playtika Holding Corp.*		24,998		240,731
Total Technology				49,028,304
Consumer, Non-cyclical - 16.4%
UnitedHealth Group, Inc.		7,742		3,903,439
Humana, Inc.		5,040		2,452,061
McKesson Corp.		5,385		2,341,667
Merck & Company, Inc.		19,574		2,015,143
Amgen, Inc.		6,768		1,818,968
Pfizer, Inc.		54,049		1,792,805
Bristol-Myers Squibb Co.		28,640		1,662,266
Gilead Sciences, Inc.		21,971		1,646,507
HCA Healthcare, Inc.		6,273		1,543,032
United Therapeutics Corp.*		5,772		1,303,722
Biogen, Inc.*		5,027		1,291,989
Archer-Daniels-Midland Co.		13,197		995,318
AbbVie, Inc.		6,257		932,669
Vertex Pharmaceuticals, Inc.*		2,390		831,098
PayPal Holdings, Inc.*		12,987		759,220
Block, Inc. — Class A*		15,644		692,403
Procter & Gamble Co.		4,709		686,855
Elevance Health, Inc.		1,542		671,418
Colgate-Palmolive Co.		9,334		663,741
General Mills, Inc.		7,720		494,003
Eli Lilly & Co.		832		446,892
Thermo Fisher Scientific, Inc.		725		366,973
Regeneron Pharmaceuticals, Inc.*		368		302,849
Quest Diagnostics, Inc.		2,221		270,651
Total Consumer, Non-cyclical				29,885,689
Industrial - 14.4%
Illinois Tool Works, Inc.		15,344		3,533,877
Lockheed Martin Corp.		8,299		3,393,959
Expeditors International of Washington, Inc.		24,087		2,761,093
United Parcel Service, Inc. — Class B		12,534		1,953,675
Deere & Co.		5,176		1,953,319
Amphenol Corp. — Class A		22,910		1,924,211
Keysight Technologies, Inc.*		13,805		1,826,540
Caterpillar, Inc.		6,303		1,720,719
Jabil, Inc.		11,835		1,501,743
Avnet, Inc.		20,191		973,004
TD SYNNEX Corp.		8,814		880,166
CH Robinson Worldwide, Inc.		10,046		865,262
Waste Management, Inc.		5,627		857,780
Honeywell International, Inc.		4,541		838,904
General Dynamics Corp.		2,497		551,762
Mettler-Toledo International, Inc.*		403		446,552
Union Pacific Corp.		1,364		277,751
Total Industrial				26,260,317
Consumer, Cyclical - 13.0%
Home Depot, Inc.		15,748		4,758,416
PulteGroup, Inc.		35,520		2,630,256
WW Grainger, Inc.		3,527		2,440,120
Lowe’s Companies, Inc.		10,464		2,174,838
Cummins, Inc.		8,873		2,027,125
Ulta Beauty, Inc.*		4,854		1,938,930
BorgWarner, Inc.		42,171		1,702,443
Yum! Brands, Inc.		11,195		1,398,703
Lear Corp.		6,025		808,555
Walmart, Inc.		4,960		793,253
Tesla, Inc.*		3,145		786,942
AutoNation, Inc.*		5,186		785,160
Williams-Sonoma, Inc.		4,609		716,238
Gentex Corp.		17,703		576,056
Lithia Motors, Inc. — Class A		599		176,903
Total Consumer, Cyclical				23,713,938
Communications - 12.2%
Amazon.com, Inc.*		40,703		5,174,165
Alphabet, Inc. — Class A*		38,811		5,078,808
Cisco Systems, Inc.		34,933		1,877,998
VeriSign, Inc.*		7,078		1,433,507
F5, Inc.*		8,734		1,407,397
Motorola Solutions, Inc.		5,147		1,401,219
Meta Platforms, Inc. — Class A*		4,368		1,311,317
eBay, Inc.		25,487		1,123,722
FactSet Research Systems, Inc.		2,539		1,110,203
Pinterest, Inc. — Class A*		33,027		892,720

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
CAPITAL STEWARDSHIP FUND

	Shares		Value
GoDaddy, Inc. — Class A*		11,398	$	848,923
TELUS Corp.		42,095		687,833
Total Communications				22,347,812
Energy - 7.9%
Valero Energy Corp.		25,133		3,561,598
Exxon Mobil Corp.		24,776		2,913,162
Phillips 66		20,908		2,512,096
Cheniere Energy, Inc.		11,555		1,917,668
EOG Resources, Inc.		14,104		1,787,823
Chevron Corp.		9,913		1,671,530
Total Energy				14,363,877
Financial - 7.2%
Capital One Financial Corp.		22,289		2,163,148
Citigroup, Inc.		37,970		1,561,706
Hartford Financial Services Group, Inc.		20,446		1,449,826
Travelers Companies, Inc.		7,216		1,178,445
Discover Financial Services		13,030		1,128,789
Progressive Corp.		6,819		949,887
Toronto-Dominion Bank		14,731		887,690
Bank of Montreal		9,826		829,019
Synchrony Financial		24,272		741,995
Mastercard, Inc. — Class A		1,830		724,515
Visa, Inc. — Class A		2,458		565,365
JPMorgan Chase & Co.		2,595		376,327
Marsh & McLennan Companies, Inc.		998		189,919
T. Rowe Price Group, Inc.		1,605		168,316
American Express Co.		1,090		162,617
Total Financial				13,077,564
Basic Materials - 1.6%
Steel Dynamics, Inc.		7,265		778,953
Ecolab, Inc.		4,563		772,972
Reliance Steel & Aluminum Co.		2,632		690,189
Nucor Corp.		4,044		632,280
Total Basic Materials				2,874,394
Total Common Stocks
(Cost $173,142,647)				181,551,895
EXCHANGE-TRADED FUNDS† - 0.8%
SPDR S&P 500 ETF Trust		3,375		1,442,745
Total Exchange-Traded Funds
(Cost $1,462,073)				1,442,745
MONEY MARKET FUND† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.24%1		317,001		317,001
Total Money Market Fund
(Cost $317,001)				317,001
Total Investments - 100.6%
(Cost $174,921,721)			$	183,311,641
Other Assets & Liabilities, net - (0.6)%				(1,013,091	)
Total Net Assets - 100.0%			$	182,298,550

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2023.
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
CAPITAL STEWARDSHIP FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	181,551,895	$	—	$	—	$	181,551,895
Exchange-Traded Funds		1,442,745		—		—		1,442,745
Money Market Fund		317,001		—		—		317,001
Total Assets	$	183,311,641	$	—	$	—	$	183,311,641

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments, at value (cost $174,921,721)	$	183,311,641
Prepaid expenses		9,877
Receivables:
Dividends		102,326
Foreign tax reclaims		22,165
Interest		1,668
Total assets		183,447,677
Liabilities:
Overdraft due to custodian bank		8,456
Payable for:
Fund shares redeemed		960,364
Management fees		138,677
Fund accounting and administration fees		10,503
Transfer agent fees/maintenance fees		2,067
Trustees’ fees*		582
Miscellaneous		28,478
Total liabilities		1,149,127
Net assets	$	182,298,550
Net assets consist of:
Paid in capital	$	174,592,849
Total distributable earnings (loss)		7,705,701
Net assets	$	182,298,550
Institutional Class:
Net assets	$	182,298,550
Capital shares outstanding		6,666,529
Net asset value per share	$	27.35

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends (net of foreign withholding tax of $29,015)	$	3,256,087
Interest		21,490
Total investment income		3,277,577
Expenses:
Management fees		1,653,704
Transfer agent/maintenance fees		25,004
Fund accounting and administration fees		84,121
Professional fees		45,102
Trustees’ fees*		13,538
Custodian fees		12,501
Miscellaneous		14,631
Total expenses		1,848,601
Less:
Earnings credits applied		(3,111	)
Net expenses		1,845,490
Net investment income		1,432,087
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		512,684
Net realized gain		512,684
Net change in unrealized appreciation (depreciation) on:
Investments		22,342,898
Net change in unrealized appreciation (depreciation)		22,342,898
Net realized and unrealized gain		22,855,582
Net increase in net assets resulting from operations	$	24,287,669

* 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 ANNUAL REPORT | 11

CAPITAL STEWARDSHIP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,432,087		$	1,870,301
Net realized gain on investments		512,684			3,056,329
Net change in unrealized appreciation (depreciation) on investments		22,342,898			(35,592,196	)
Net increase (decrease) in net assets resulting from operations		24,287,669			(30,665,566	)
Distributions to shareholders		(291,687	)		(54,426,863	)
Capital share transactions:
Proceeds from sale of shares		—			106,639,651
Distributions reinvested		289,248			54,379,479
Cost of shares redeemed		(8,455,439	)		(135,570,764	)
Net increase (decrease) from capital share transactions		(8,166,191	)		25,448,366
Net increase (decrease) in net assets		15,829,791			(59,644,063	)
Net assets:
Beginning of year		166,468,759			226,112,822
End of year	$	182,298,550		$	166,468,759
Capital share activity:
Shares sold		—			3,780,096
Shares issued from reinvestment of distributions		10,990			1,772,473
Shares redeemed		(311,973	)		(4,747,908	)
Net increase (decrease) in shares		(300,983	)		804,661

12 | THE GUGGENHEIM FUNDS 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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.89		$	36.69		$	31.08		$	28.23		$	31.23
Income (loss) from investment operations:
Net investment income (loss)a		.21			.27			.25			.28			.33
Net gain (loss) on investments (realized and unrealized)		3.29			(4.05	)		7.28			3.43			.05
Total from investment operations		3.50			(3.78	)		7.53			3.71			.38
Less distributions from:
Net investment income		(.04	)		(.18	)		(.28	)		(.39	)		(.32	)
Net realized gains		—			(8.84	)		(1.64	)		(.47	)		(3.06	)
Total distributions		(.04	)		(9.02	)		(1.92	)		(.86	)		(3.38	)
Net asset value, end of period	$	27.35		$	23.89		$	36.69		$	31.08		$	28.23
Total Return		14.62	%		(15.74	%)		25.11	%		13.31	%		3.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	182,299		$	166,469		$	226,113		$	206,751		$	210,053
Ratios to average net assets:
Net investment income (loss)		0.78	%		0.90	%		0.70	%		0.96	%		1.23	%
Total expensesb		1.01	%		1.02	%		1.02	%		1.04	%		1.05	%
Portfolio turnover rate		164	%		162	%		154	%		147	%		131	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Does not include expenses of the underlying funds in which the Fund invests.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization, and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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 September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At September 30, 2023, Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or “the Adviser”), 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”) adopted policies and procedures for the valuation of the Fund’s investments (the “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 generally 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 the Adviser. 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 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. 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 Fund’s Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Fund’s 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 5.33% at September 30, 2023.

(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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (continued)

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.

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 of 1986, as amended (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	291,687	$	—	$	291,687

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	38,843,524	$	15,583,339	$	54,426,863

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses			Total
$	1,432,087	$	—	$	6,924,764	$	(651,150	)	$	7,705,701

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited
		Short Term			Long Term		Total Capital Loss Carryforward
	$	(651,150	)	$	—	$	(651,150)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	58,096	$	(58,096	)

At September 30, 2023, 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)
$	176,386,877	$	13,969,457	$	(7,044,693	)	$	6,924,764

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 between market participants at the measurement date. 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 — unadjusted 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.).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

NOTES TO FINANCIAL STATEMENTS (concluded)

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.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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 selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:

Purchases		Sales
$	300,984,785	$	307,776,017

Note 6 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 7 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Capital Stewardship Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Capital Stewardship Fund (the “Fund”) (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.    

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	100.00	%		100.00	%		1.40	%

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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.

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.

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

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.

Report of the Guggenheim Funds Trust Contracts Review Committee

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreement (the “Investment Advisory Agreement”) with Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”) on behalf of Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund” or the “Fund”), a series of the Trust, and the investment sub-advisory agreement between Concinnity Advisors, LP (“Concinnity” or the “Sub-Adviser”) and GPIM on behalf of the Fund (the “Sub-Advisory Agreement” and together with the “Investment Advisory Agreement,” the “Agreements”).

GPIM, is an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm(“Guggenheim Partners”). Guggenheim Partners, GPIM and their affiliates may be referred to collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Guggenheim Funds Investment Advisors, LLC, Security Investors, LLC and other affiliated investment management businesses of Guggenheim Partners.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Fund, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE report, noting that the peer group identified by FUSE included 11 other large blend funds with similar pricing characteristics.

In addition, Guggenheim and Concinnity provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).

The Committee considered the circumstances unique to Capital Stewardship Fund, including its organizational history. In this connection, the assets of Guggenheim Concinnity Master Strategy Fund SPC, a Cayman Islands exempted segregated portfolio company which relied on the exclusion from the definition of an “investment company” provided by Section 3(c)(7) of the Investment Company Act of 1940, as amended (the “Predecessor Fund”), and for which GPIM served as investment adviser and Concinnity served as investment sub-adviser, were reorganized with and into Capital Stewardship Fund (the “Reorganization”). The Predecessor Fund was a master fund in a set of unregistered

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

OTHER INFORMATION (Unaudited)(continued)

offshore and domestic master-feeder funds (collectively, the “Private Funds”), which had certain bank investors. The investors issued notes that provided coupon payments based on the after-tax return of the Private Funds and the notes, in turn, were held by a single holder affiliated with Guggenheim. The Reorganization enabled the bank investors and the noteholder to continue to benefit from the strategies previously offered by the Private Funds by converting the Predecessor Fund into a registered investment company structure that pursues the same investment strategies, because Capital Stewardship Fund’s investment objective and strategies are, in all material respects, the same as those of the Predecessor Fund. The Board had authorized the launch of Capital Stewardship Fund on the condition that it not be offered to other investors unless and until such time as the Board determines to permit additional sales. The Committee considered the foregoing and the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of the Fund to recommend that the Board approve the renewal of the Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the Agreements for the Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Investment Advisory Agreement

Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee noted that the Adviser delegated certain, but not all, portfolio management responsibilities to the Sub-Adviser. Unlike many traditional sub-advisory arrangements, the Sub-Adviser does not execute trades for the Fund’s portfolio. Rather, the Sub-Adviser provides a list of eligible investments to the Adviser based on the Sub-Adviser’s proprietary screening methodology, and the Adviser selects investments and engages in securities transactions for the Fund. In this connection, the Committee considered the scope of services provided by each of the Adviser and the Sub-Adviser, and took into account the Adviser’s responsibility to oversee the Sub-Adviser and information provided by Guggenheim describing the Adviser’s processes and activities for providing oversight of sub-advisers (including Concinnity), including information regarding Guggenheim’s Sub-Advisory Oversight Working Group.

The Committee also considered the qualifications, experience and skills of key personnel performing services for the Fund, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Fund. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including Capital Stewardship Fund. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of the Investment Advisory Agreement, including the scope of services required to be performed by the Adviser.

The Committee’s review of the services provided by Guggenheim to the Fund included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Fund, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s and Concinnity’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, custodian and other service providers to the Fund. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Fund and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Investment Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Fund in such capacity and may reasonably be expected to continue to provide a high quality of services under the Investment Advisory Agreement with respect to the Fund.

Investment Performance: The Committee received investment returns for the Fund for the five-year, three-year, one-year and three-month periods ended December 31, 2022, noting the Fund’s inception date of September 26, 2014. In addition, the Committee received a comparison of the Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods. The Committee also received from FUSE a description of the methodology for identifying the Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing the Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

The Committee took into account the roles and responsibilities of each of the Adviser and the Sub-Adviser in implementing the Fund’s investment strategy, including the manner in which the relationship between the advisory firms differs in certain respects from traditional fund management structures with an adviser and an unaffiliated sub-adviser. The Committee noted that the Sub-Adviser uses its proprietary research methodology system to identify a list of companies eligible for investment by the Fund. From that list, the Adviser selects, based on desired factor tilts and subject to a risk management process, a portfolio composed of a sub-set of the eligible companies compiled by the Sub-Adviser. The Adviser retains the responsibility for executing the trades based on the Fund’s investment policies and limitations.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the universe of funds identified by FUSE. The Committee observed that the returns of the Fund’s Institutional Class shares ranked in the 63rd and 61st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted that the Fund’s investment results were consistent with its investment objective of seeking long-term capital appreciation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Fund’s investment performance was acceptable and that the Adviser had appropriately reviewed and monitored the Sub-Adviser’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Fund: The Committee compared the Fund’s contractual advisory fee, net effective management fee¹ and total net expense ratio to the peer group identified by FUSE. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of the Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure the Fund is able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Fund.

¹ The “net effective management fee” for the Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

OTHER INFORMATION (Unaudited)(continued)

The Committee also noted Guggenheim’s statement that it does not provide advisory services to other clients that have investment strategies similar to those of the Fund and, as a result, the Committee did not consider it relevant to compare the Fund’s advisory fees to the advisory fees charged to other clients of Guggenheim.

The Committee observed that the contractual advisory fee and the net effective management fee for the Fund’s Institutional Class shares each rank in the fourth quartile (both in the 100th percentile) of its peer group and the total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (91st percentile) of its peer group. In evaluating the foregoing, the Committee considered that the Fund was launched to accommodate certain bank clients that were invested in an unregistered private fund (previously defined as the Predecessor Fund) with a unique investment strategy. Accordingly, in evaluating the reasonableness of the advisory fee, the Committee considered the sophistication of the Fund’s bank client investors and the Fund’s purpose.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Fund, the Committee reviewed a profitability analysis and data from management for the Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, earnings and the operating margin/profitability rate (noting the negative rate reported with respect to the Fund), including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability with respect to the Guggenheim funds generally, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the Adviser with respect to the Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided and noted the negative profitability rate to Guggenheim Investments with respect to the Fund.

The Committee also considered other benefits available to the Adviser because of its relationship with the Fund and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by the Adviser from its relationship with the Fund were appropriate and that the Adviser’s profitability from its relationship with the Fund was not unreasonable.

Economies of Scale: With respect to economies of scale, the Committee considered that the Fund is not made available to retail investors and has limited inflows of assets. The Committee concluded that the advisory fee schedule reflected an appropriate level of sharing of any economies of scale.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Fund’s advisory fee was reasonable.

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: With respect to the nature, extent and quality of services provided by the Sub-Adviser, the Committee considered the Fund’s investment objective and Concinnity’s investment strategy and method for implementing such investment strategy, including, but not limited to, the investment decision processes employed for the Fund. The Committee also noted the Sub-Adviser’s experience in implementing the investment strategy. In addition, the Committee took into account the information provided by the Sub-Adviser regarding, among other things: its current advisory services and clients and the principal activities in which it is engaged; the qualifications, experience and skills of key personnel responsible for providing services to the Fund; the Sub-Adviser’s evaluation of its success in meeting the Fund’s investment objective; the Fund’s portfolio construction process and the sources of information generally relied upon by the Sub-Adviser in providing investment advisory, statistical and research services to the Fund; and the Sub-Adviser’s process, in collaboration with Guggenheim, for portfolio risk management.

With respect to the Sub-Adviser’s resources and its ability to carry out its responsibilities under the Sub-Advisory Agreement, the Committee noted that the Sub-Adviser provided its tax return filing. The Committee also considered the Sub-Adviser’s statement that it is an ongoing viable business enterprise that currently has the resources necessary to provide the contracted-for services to the Fund. In further assessing the Sub-Adviser’s resources, as well as the nature and quality of the services it provides, the Committee took into account Guggenheim’s statement that,

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(concluded)

given the limited scope of services provided by Concinnity and its role in the Fund’s management, and Guggenheim’s oversight of such services, the Sub-Adviser’s resources are sufficient to provide the contracted-for services to the Fund. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, the Committee concluded that the Sub-Adviser and its personnel were qualified to serve the Fund in such capacity and may reasonably be expected to continue to provide a high quality of services under the Sub-Advisory Agreement with respect to the Fund.

Investment Performance: The Committee considered the Fund’s performance, as described above, and based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, concluded that the investment performance of the Sub-Adviser was acceptable.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee noted that the sub-advisory fees payable to Concinnity are paid by GPIM and do not impact the advisory fee paid by the Fund (which the Committee concluded to be reasonable). The Committee reviewed the total amount of sub-advisory fees paid to the Sub-Adviser for the twelve months ended December 31, 2022, as compared to the prior year, noting that the sub-advisory fees paid by GPIM to Concinnity are the product of arm’s-length negotiations between GPIM and Concinnity. The Committee considered the allocation of the advisory fee charged to the Fund between GPIM and Concinnity in light of the nature, extent and quality of the investment advisory services provided by GPIM and Concinnity.

With respect to the costs of services provided and benefits realized by the Sub-Adviser from its relationship with the Fund, the Committee considered Concinnity’s size and partnership structure, the aggregate management fees paid to Concinnity and the methodology used to calculate its profitability. The Committee also considered that no other benefits to the Sub-Adviser as a result of its relationship with the Fund were reported.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the benefits realized by the Sub-Adviser from its relationship with the Fund were appropriate and that the Sub-Adviser’s profitability from its relationship with the Fund was not unreasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Investment Advisory Agreement, which was separately considered. (See “Investment Advisory Agreement – Economies of Scale” above.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the Fund’s sub-advisory fee was reasonable.

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of the Agreements is in the best interest of the Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

26 | THE GUGGENHEIM FUNDS 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
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

28 | THE GUGGENHEIM FUNDS 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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing 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); Senior Managing Director, 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).

30 | THE GUGGENHEIM FUNDS 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).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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 ANNUAL REPORT | 31

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

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.

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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.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Macro Opportunities Fund

GuggenheimInvestments.com MO-ANN-0923x0924

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
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	103
OTHER INFORMATION	105
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	119
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	128
LIQUIDITY RISK MANAGEMENT PROGRAM	132

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (“Fund”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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.

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

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2023

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 ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting Period.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

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

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

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

S&P 500^® Index is a 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 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 March 31, 2023 and ending September 30, 2023.

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 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 ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		1.33	%		1.43	%	$	1,000.00	$	1,014.30	$	6.72
C-Class		2.08	%		1.05	%		1,000.00		1,010.50		10.48
P-Class		1.32	%		1.42	%		1,000.00		1,014.20		6.67
Institutional Class		0.91	%		1.63	%		1,000.00		1,016.30		4.60
R6-Class		0.92	%		1.63	%		1,000.00		1,016.30		4.65
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		1.33	%		5.00	%	$	1,000.00	$	1,018.40	$	6.73
C-Class		2.08	%		5.00	%		1,000.00		1,014.64		10.50
P-Class		1.32	%		5.00	%		1,000.00		1,018.45		6.68
Institutional Class		0.91	%		5.00	%		1,000.00		1,020.51		4.61
R6-Class		0.92	%		5.00	%		1,000.00		1,020.46		4.66

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 1.32%, 2.08%, 1.32%, 0.91% and 0.91% 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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Macro Opportunities Fund (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund returned 7.09%¹. The comparison index is the ICE BofA 3-Month Treasury Bill Index (“Index”), which returned 4.50% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

During the Reporting Period, the Fund generated positive performance with an absolute return of 7.09%. Carry, or earned income, remained a consistent source of positive performance for the Fund. Spreads also contributed, as the credit selection and allocation within corporates and structured credit led to positive performance. Duration detracted from performance, as the yield curve bear steepened. Bear steepening refers to yield-curve widening due to long-term rates increasing more than short-term rates, amid a period of falling bond prices and rising yields. The macro sleeve, which consists of various credit and equity hedges and commodity exposure, contributed to performance.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, options, swaptions, and swaps to help manage duration, generate additional yield, and for hedging purposes. Credit default swaps and total return swaps were used to both obtain and hedge existing Index exposure. Forward foreign currency contracts and currency options were used for hedging and income producing purposes. The Fund also employed futures, options, total return swaps and interest rate swaps opportunistically for speculative purposes. Over the Reporting Period, interest rate swaps, interest rate swaptions, and interest rate curve caps detracted from performance while performance from futures was incrementally positive. Options on equities, which functioned as hedges to the Fund’s credit positioning, detracted from performance. Performance from credit default swaps was a minor detractor. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a negative impact on performance over the Reporting Period. Futures and options on various commodities contributed to performance over the Reporting Period.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2023

How was the Fund positioned at the end of the Reporting Period?

Over the past several quarters the Fund has increasingly prioritized diversification, quality, and liquidity as recession concerns continued to persist. The Fund has steadily moved up-in-quality and more defensively, uniquely, without having to sacrifice yield due to the move higher in interest rates. While spreads for many credit sectors have recovered to long-term-average levels, certain segments remain dislocated and offer attractive relative value. Structured credit spreads are especially cheap, with valuations currently north of the 90th percentile versus current corporate spreads.

The corporate credit allocation, which represents roughly 42% of the Fund’s holdings, has increasingly shifted to higher quality. About 32% is below-investment-grade-rated, weighted towards BB-rated high yield bonds, and 10% is investment-grade-rated. While in our view, overall corporate credit spreads are trading around fair value levels, there remain both idiosyncratic opportunities and risks across certain issuers and industries given tighter credit conditions across capital markets. Primary market offerings have priced at especially attractive levels as many investors have pulled back from lending activities. The Fund has employed modestly sized credit hedges to protect the portfolio from potential spread widening.

Structured credit, the second largest allocation in the Fund, represents roughly 29% of the Fund’s holdings. Spreads continued their rebound, but broadly remain wide, both compared to similarly rated investment-grade corporate credit and in an absolute sense. Furthermore, the lower dollar prices of these assets following the rise in interest rates sets up the potential for higher total return opportunities than typically exists in the asset class. With much of its active buying base largely coming from income-focused accounts, structured credit spreads should continue to compress from the resetting higher of yields and the resulting increased interest that comes with it. Within securitized credit, we continue to focus on opportunities senior in the capital structure with sufficient credit enhancement and often unique structural features that limit cash flow variability or extension concerns. We believe the focus on superior structures will be paramount in helping mitigate mark-to-market risks that could emerge should volatility rise.

At the end of the Reporting Period, the Fund had a duration of 2.5 years. Interest rate volatility remains elevated, which has presented the Fund with opportunities to tactically add to positions in Agency residential mortgage-backed securities (“RMBS”), locking in spreads, both static and option adjusted, that are near 15-year wides. Lastly, the Fund ended the period with 11% in cash and cash equivalents. Elevated yields on short duration products have made it more attractive to hold higher balances of liquidity with the added benefit of giving the Fund dry powder to take advantage of future market opportunities.

Despite the quarter ended September 30, 2023 continuing a trend of volatility for fixed income returns, our broader macroeconomic views from a fundamental perspective remain consistent. We continue to expect inflation to moderate with time and view the market’s increasingly optimistic expectations of a soft landing as misguided. Looking further out into the economic future, we believe the Fed’s restrictive monetary policy could ultimately shepherd in a recession in the next

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

6-18 months, which we believe will likely be met with lower rates. Ultimately, the current path of weakening growth, high prices, and high interest rates appears unsustainable, and we are already starting to see signs of pressure on consumers and levered corporate borrowers, which could call into question any soft-landing narrative.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

MACRO OPPORTUNITIES FUND

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

Consolidated Holdings Diversification (Market Exposure as % of Net Assets)

“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

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
Guggenheim Limited Duration Fund — R6-Class	2.1%
Fannie Mae, 5.50% due 05/01/53	1.8%
Fannie Mae, 5.00% due 05/01/53	1.3%
Freddie Mac, 5.50% due 02/01/53	0.9%
Guggenheim Ultra Short Duration Fund — Institutional Class	0.8%
VanEck Gold Miners ETF	0.7%
BP Capital Markets plc, 4.88%	0.6%
FS Rialto, 7.95%	0.6%
Guggenheim Strategy Fund III	0.6%
Fortress Credit Opportunities IX CLO Ltd., 8.37%	0.6%
Top Ten Total	10.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	11.7%
AA	1.4%
A	11.5%
BBB	18.1%
BB	14.4%
B	14.5%
CCC	2.6%
CC	3.1%
C	0.0%*
NR2	5.8%
Other Instruments	16.9%
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.
*	Less than 0.1%.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	7.09%	1.68%	3.10%
A-Class Shares with sales charge†	2.82%	0.85%	2.60%
C-Class Shares	6.25%	0.92%	2.33%
C-Class Shares with CDSC‡	5.25%	0.92%	2.33%
Institutional Class Shares	7.47%	2.08%	3.49%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.72%	1.12%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	7.09%	1.68%	2.58%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.72%	1.32%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	7.51%	2.41%
ICE BofA 3-Month U.S. Treasury Bill Index	4.50%	1.67%

*	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 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. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 15

CONSOLIDATED SCHEDULE OF INVESTMENTS	September 30, 2023
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 0.2%
Utilities - 0.1%
Texgen Power LLC*,††		180,169	$	4,774,478
Consumer, Cyclical - 0.1%
ATD New Holdings, Inc.*,††		42,478		1,529,208
Industrial - 0.0%
Schur Flexibles GesmbH*,††		1,661		592,190
BP Holdco LLC*,†††,1		37,539		48,218
Vector Phoenix Holdings, LP*,†††		37,539		2,306
YAK BLOCKER 2 LLC*,†††		74,424		744
YAK BLOCKER 2 LLC*,†††		68,788		688
Targus, Inc.*,†††		12,773		377
Targus, Inc.*,†††		12,773		377
Targus, Inc.*,†††		12,773		307
API Heat Transfer Parent LLC*,†††		1,763,707		176
Targus, Inc.*,†††		12,773		140
Targus, Inc.*,†††		12,773		1
Total Industrial				645,524
Financial - 0.0%
Checkers Holdings, Inc.*,†††		158,620		631,308
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,2		6,864,930		686
Tensor Ltd.*,†††		1,173,803		117
Total Financial				632,111
Technology - 0.0%
Qlik Technologies, Inc. - Class A*,†††		177		286,885
Qlik Technologies, Inc. - Class B*,†††		43,738		4
Total Technology				286,889
Communications - 0.0%
Vacasa, Inc. — Class A*		503,817		232,310
Consumer, Non-cyclical - 0.0%
Cengage Learning Holdings II, Inc.*,††		21,660		208,478
Save-A-Lot*,††		22,703		4,359
Total Consumer, Non-cyclical				212,837
Energy - 0.0%
Permian Production Partners LLC*,†††		573,522		22,811
Total Common Stocks
(Cost $11,441,249)				8,336,168
PREFERRED STOCKS†† - 5.1%
Financial - 4.2%
Citigroup, Inc.
3.88%		30,600,000		26,112,284
4.00%		13,100,000		11,459,241
7.38%		1,400,000		1,358,455
Markel Group, Inc.
6.00%		29,050,000		28,042,598
Equitable Holdings, Inc.
4.95%		24,550,000		23,105,508
4.30%		296,404		4,478,664
Wells Fargo & Co.
3.90%		25,750,000		22,488,719
Kuvare US Holdings, Inc.
7.00% due 02/17/513		19,150,000		20,161,216
Bank of America Corp.
4.38%		13,850,000		11,606,977
6.13%		5,800,000		5,557,112
Goldman Sachs Group, Inc.
4.13%		20,500,000		16,767,520
Bank of New York Mellon Corp.
3.75%		20,550,000		16,667,969
Charles Schwab Corp.
4.00%		18,700,000		13,194,178
MetLife, Inc.
3.85%		12,200,000		11,286,064
Reinsurance Group of America, Inc.
7.13% due 10/15/52		300,400		7,852,456

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Shares		Value
Jackson Financial, Inc.
8.00%		284,000	$	7,114,200
CNO Financial Group, Inc.
5.13% due 11/25/60		324,000		5,031,720
Assurant, Inc.
5.25% due 01/15/61		258,000		5,031,000
Selective Insurance Group, Inc.
4.60%		246,000		4,014,720
PartnerRe Ltd.
4.88%		122,848		2,246,890
First Republic Bank
4.25%		803,675		80
4.50%		238,300		71
Total Financial				243,577,642
Communications - 0.5%
AT&T Mobility II LLC *,†††		27,000		27,000,000
Government - 0.4%
CoBank ACB
4.25%		20,000,000		15,900,000
Farmer Mac
5.75%		378,000		8,421,840
Total Government				24,321,840
Industrial - 0.0%
YAK BLOCKER 2 LLC *,†††		4,088,802		1,022,876
API Heat Transfer Intermediate*,†††		218		99,036
Total Industrial				1,121,912
Total Preferred Stocks
(Cost $373,135,490)				296,021,394
WARRANTS† - 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		128,004		28,801
Acropolis Infrastructure Acquisition Corp. — Class A
Expiring 03/31/26*,2		192,759		11,566
Pershing Square Tontine Holdings, Ltd. — Class A
Expiring 07/24/25*,†††,2		762,770		76
Total Warrants
(Cost $455,536)				40,443
EXCHANGE-TRADED FUNDS† - 0.7%
VanEck Gold Miners ETF		1,430,590		38,497,177
Total Exchange-Traded Funds
(Cost $54,624,676)				38,497,177
MUTUAL FUNDS† - 4.8%
Guggenheim Limited Duration Fund — R6-Class1		5,207,287		122,839,898
Guggenheim Ultra Short Duration Fund — Institutional Class1		5,010,206		48,849,509
Guggenheim Strategy Fund III1		1,372,225		33,331,353
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		1,061,130		29,711,644
Guggenheim Alpha Opportunity Fund — Institutional Class1		1,017,008		29,045,744
Guggenheim Strategy Fund II1		791,418		19,207,708
Total Mutual Funds
(Cost $292,086,492)				282,985,856

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Shares		Value
MONEY MARKET FUNDS† - 2.1%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%4		119,127,495	$	119,127,495
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 5.20%4		2,422,158		2,422,158
Western Asset Institutional U.S. Treasury Reserves — Institutional Shares, 5.23%4		668,623		668,623
Total Money Market Funds
(Cost $122,218,276)				122,218,276

	Face Amount~
CORPORATE BONDS†† - 29.9%
Financial - 9.7%
Pershing Square Holdings Ltd.
3.25% due 10/01/313		33,500,000	24,282,381
3.25% due 11/15/30		15,100,000	11,418,076
NFP Corp.
6.88% due 08/15/283		28,700,000	24,586,665
7.50% due 10/01/303		4,150,000	3,985,358
4.88% due 08/15/283		3,950,000	3,477,402
Wilton RE Ltd.
6.00% 3,5,6		31,350,000	27,540,034
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		22,640,000	18,848,178
5.30% due 01/15/29		6,950,000	6,442,790
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/313		21,650,000	17,263,060

2.88% due 10/15/263	8,750,000	7,706,037
Iron Mountain, Inc.
5.63% due 07/15/323	25,025,000	21,604,133
4.50% due 02/15/313	925,000	760,779
CBS Studio Center
8.31% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††	22,000,000	22,000,000
Liberty Mutual Group, Inc.
4.30% due 02/01/613	36,940,000	21,809,121
Host Hotels & Resorts, LP
3.50% due 09/15/30	24,000,000	19,898,861
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/283	23,000,000	19,366,143
FS KKR Capital Corp.
3.25% due 07/15/27	21,000,000	18,082,075
Mitsubishi UFJ Financial Group, Inc.
5.42% due 02/22/296	18,050,000	17,666,133
LPL Holdings, Inc.
4.00% due 03/15/293	14,788,000	12,893,100
4.38% due 05/15/313	5,500,000	4,704,988
Starwood Property Trust, Inc.
4.38% due 01/15/273	19,000,000	16,572,777
Global Atlantic Finance Co.
4.70% due 10/15/513,6	22,350,000	16,166,207
United Wholesale Mortgage LLC
5.50% due 04/15/293	7,150,000	6,041,750
5.50% due 11/15/253	6,300,000	5,992,419
5.75% due 06/15/273	4,550,000	4,118,205
JPMorgan Chase & Co.
5.72% due 09/14/336	16,800,000	16,149,519
Nationwide Mutual Insurance Co.
4.35% due 04/30/503	21,150,000	15,110,883

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Hampton Roads PPV LLC
6.62% due 06/15/533		16,560,000	$	13,410,399
Sherwood Financing plc
4.50% due 11/15/263	EUR	13,600,000		12,510,965
Lloyds Banking Group plc
5.87% due 03/06/296		12,100,000		11,831,311
Kennedy-Wilson, Inc.
5.00% due 03/01/31		14,669,000		10,700,805
4.75% due 02/01/30		250,000		186,529
4.75% due 03/01/29		25,000		19,188
Hunt Companies, Inc.
5.25% due 04/15/293		13,700,000		10,760,037
Corebridge Financial, Inc.
6.88% due 12/15/526		10,750,000		10,298,392
First American Financial Corp.
4.00% due 05/15/30		11,760,000		9,959,428
Mizuho Financial Group, Inc.
5.67% due 05/27/296		9,850,000		9,685,057
Nationstar Mortgage Holdings, Inc.
5.00% due 02/01/263		9,810,000		9,163,484
Jane Street Group / JSG Finance, Inc.
4.50% due 11/15/293		9,650,000		8,291,855
OneMain Finance Corp.
4.00% due 09/15/30		7,250,000		5,440,074
9.00% due 01/15/29		2,200,000		2,192,894
OneAmerica Financial Partners, Inc.
4.25% due 10/15/503		11,550,000		7,323,668
QBE Insurance Group Ltd.
5.88% 3,5,6		7,550,000		7,176,622
SLM Corp.
3.13% due 11/02/26		7,714,000		6,691,075
Toronto-Dominion Bank
8.13% due 10/31/826		6,300,000		6,267,580
PartnerRe Finance B LLC
4.50% due 10/01/506		6,460,000		5,478,964
Blue Owl Capital GP LLC
7.11% due 08/22/43†††		5,000,000		4,975,137
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/283		5,303,000		4,892,548
Bank of Nova Scotia
8.63% due 10/27/826		4,650,000		4,637,542
American Equity Investment Life Holding Co.
5.00% due 06/15/27		4,813,000		4,520,844
Horace Mann Educators Corp.
7.25% due 09/15/28		3,600,000		3,596,964
Accident Fund Insurance Company of America
8.50% due 08/01/323		3,000,000		2,923,732
SBA Communications Corp.
3.13% due 02/01/29		3,100,000		2,585,624
Prudential Financial, Inc.
5.13% due 03/01/526		2,750,000		2,368,147
Atlas Mara Ltd.
due 12/31/21†††,7,8		4,642,499		2,154,120
Jones Deslauriers Insurance Management, Inc.
10.50% due 12/15/303		1,700,000		1,729,638
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/323		1,726,000		1,418,655
Total Financial				567,678,352

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Communications - 4.3%
British Telecommunications plc
4.88% due 11/23/813,6		28,200,000	$	22,622,705
4.25% due 11/23/813,6		5,250,000		4,601,725
McGraw-Hill Education, Inc.
8.00% due 08/01/293		22,634,000		19,634,995
5.75% due 08/01/283		4,600,000		3,968,650
Level 3 Financing, Inc.
4.25% due 07/01/283		19,794,000		12,332,321
3.75% due 07/15/293		7,600,000		4,248,036
3.88% due 11/15/293		2,600,000		2,395,384
Altice France S.A.
5.13% due 07/15/293		13,250,000		9,419,502
5.50% due 10/15/293		11,760,000		8,456,794
Virgin Media Finance plc
5.00% due 07/15/303		21,400,000		16,821,019
UPC Broadband Finco BV
4.88% due 07/15/313		20,200,000		16,391,896
CSC Holdings LLC
4.13% due 12/01/303		20,672,000		14,629,866
4.63% due 12/01/303		2,715,000		1,443,438
LCPR Senior Secured Financing DAC
5.13% due 07/15/293		16,250,000		13,071,409
Vodafone Group plc
5.13% due 06/04/816		16,875,000		11,449,482
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 06/01/333		14,265,000		10,914,712
Cable One, Inc.
4.00% due 11/15/303		12,575,000		9,579,635
Rogers Communications, Inc.
4.55% due 03/15/52		9,800,000		7,148,322
Sirius XM Radio, Inc.
4.13% due 07/01/303		8,900,000		7,125,429
Paramount Global
4.95% due 05/19/50		10,340,000		7,003,788
Match Group Holdings II LLC
4.63% due 06/01/283		7,700,000		6,903,165
Virgin Media Secured Finance plc
4.50% due 08/15/303		7,950,000		6,567,491
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		7,000,000		6,300,000
AMC Networks, Inc.
4.25% due 02/15/29		10,200,000		6,258,672
VZ Secured Financing BV
5.00% due 01/15/323		6,830,000		5,365,337
Cogent Communications Group, Inc.
7.00% due 06/15/273		3,750,000		3,581,250
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/283		3,650,000		3,149,659
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/263		3,518,000		2,672,502
Charter Communications Operating LLC / Charter Communications Operating Capital
3.90% due 06/01/52		3,500,000		2,092,576
TripAdvisor, Inc.
7.00% due 07/15/253		1,800,000		1,796,580
Ziggo BV
4.88% due 01/15/303		1,685,000		1,372,692
Zayo Group Holdings, Inc.
4.00% due 03/01/273		700,000		519,320
Cengage Learning, Inc.
9.50% due 06/15/243		241,000		241,200
Total Communications				250,079,552

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Industrial - 3.2%
IP Lending I LLC
4.00% due 09/08/25†††,3		15,347,531	$	14,151,958
XPO, Inc.
6.25% due 06/01/283		14,085,000		13,627,940
New Enterprise Stone & Lime Company, Inc.
5.25% due 07/15/283		9,081,000		8,148,111
9.75% due 07/15/283		5,350,000		5,283,125
Artera Services LLC
9.03% due 12/04/253		14,385,000		13,270,163
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/293		15,785,000		12,946,819
Boeing Co.
5.81% due 05/01/50		12,010,000		10,875,262
TransDigm, Inc.
6.75% due 08/15/283		7,000,000		6,891,420
6.88% due 12/15/303		4,050,000		3,971,204
Standard Industries, Inc.
4.38% due 07/15/303		6,200,000		5,134,834
3.38% due 01/15/313		6,552,000		5,064,571
Flowserve Corp.
3.50% due 10/01/30		10,270,000		8,562,393
IP Lending X Ltd.
7.75% due 07/02/29†††,3		8,400,000		8,271,244
Dyal Capital Partners IV
3.65% due 02/22/41†††		10,950,000		8,208,218
Arcosa, Inc.
4.38% due 04/15/293		9,400,000		8,203,403
GrafTech Finance, Inc.
4.63% due 12/15/283		10,000,000		7,732,950
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC
4.00% due 10/15/273		7,943,000		7,049,412
GrafTech Global Enterprises, Inc.
9.88% due 12/15/283		6,520,000		6,177,700
Atkore, Inc.
4.25% due 06/01/313		6,875,000		5,779,847
Deuce FinCo plc
5.50% due 06/15/273	GBP	5,350,000		5,723,425
TopBuild Corp.
3.63% due 03/15/293		5,550,000		4,726,964
SCIL IV LLC / SCIL USA Holdings LLC
9.50% due 07/15/28	EUR	3,500,000		3,769,008
Enviri Corp.
5.75% due 07/31/273		4,075,000		3,584,085
Adevinta ASA
3.00% due 11/15/27	EUR	3,433,000		3,540,386
TK Elevator US Newco, Inc.
5.25% due 07/15/273		3,000,000		2,749,585
Clearwater Paper Corp.
4.75% due 08/15/283		1,890,000		1,615,459
AmeriTex HoldCo Intermediate LLC
10.25% due 10/15/283		1,450,000		1,433,687
Builders FirstSource, Inc.
6.38% due 06/15/323		800,000		753,047
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/263		525,000		499,385
Total Industrial				187,745,605
Consumer, Cyclical - 3.0%
Hilton Domestic Operating Company, Inc.
4.00% due 05/01/313		15,900,000		13,366,755
3.63% due 02/15/323		4,150,000		3,345,713
5.75% due 05/01/283		525,000		507,530
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/273		14,775,000		14,639,092

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
JB Poindexter & Company, Inc.
7.13% due 04/15/263		11,875,000	$	11,552,287
Delta Air Lines, Inc.
7.00% due 05/01/253		10,536,000		10,650,380
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/313		11,350,000		9,474,186
5.88% due 03/01/27		660,000		630,300
Evergreen Acqco 1 Limited Partnership / TVI, Inc.
9.75% due 04/26/283		7,874,000		8,107,070
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/303		9,333,000		7,755,478
Warnermedia Holdings, Inc.
6.41% due 03/15/26		7,200,000		7,198,796
British Airways Class A Pass Through Trust
4.25% due 11/15/323		7,434,575		6,663,264
Hyatt Hotels Corp.
5.75% due 04/23/30		6,530,000		6,330,502
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/263		6,645,000		5,979,549
Hanesbrands, Inc.
9.00% due 02/15/313		6,100,000		5,814,188
Papa John’s International, Inc.
3.88% due 09/15/293		7,025,000		5,798,716
Penn Entertainment, Inc.
4.13% due 07/01/293		6,975,000		5,699,865
Boyne USA, Inc.
4.75% due 05/15/293		5,484,000		4,796,609
American Airlines Class AA Pass Through Trust
3.58% due 01/15/28		2,172,067		1,992,090
3.35% due 10/15/29		1,167,022		1,039,085
3.65% due 02/15/29		1,017,023		920,922
3.15% due 02/15/32		972,170		832,478
Ontario Gaming GTA, LP
8.00% due 08/01/303		4,175,000		4,175,000
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/293		4,800,000		4,171,248
Asbury Automotive Group, Inc.
4.63% due 11/15/293		4,472,000		3,840,912
Beacon Roofing Supply, Inc.
4.13% due 05/15/293		4,117,000		3,520,035
Allwyn Entertainment Financing UK plc
7.88% due 04/30/293		3,450,000		3,484,500
Station Casinos LLC
4.63% due 12/01/313		3,800,000		3,039,556
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/303		3,500,000		3,018,750
Ritchie Bros Holdings, Inc.
6.75% due 03/15/283		2,950,000		2,943,215
Six Flags Theme Parks, Inc.
7.00% due 07/01/253		2,757,000		2,750,014
Air Canada Class A Pass Through Trust
5.25% due 04/01/293		2,561,246		2,471,384
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/283		2,800,000		2,451,227

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Air Canada
4.63% due 08/15/293	CAD	3,550,000	$	2,299,092
Acushnet Co.
7.38% due 10/15/283		1,500,000		1,511,250
United Airlines, Inc.
4.63% due 04/15/293		1,700,000		1,461,202
Aramark Services, Inc.
6.38% due 05/01/253		1,200,000		1,219,128
CD&R Smokey Buyer, Inc.
6.75% due 07/15/253		950,000		915,420
United Airlines Class AA Pass Through Trust
4.15% due 08/25/31		945,045		856,378
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/283		700,000		628,728
Total Consumer, Cyclical				177,851,894
Energy - 3.0%
BP Capital Markets plc
4.88%5,6		39,360,000		35,165,145
ITT Holdings LLC
6.50% due 08/01/293		38,952,000		33,016,639
Midwest Connector Capital Company LLC
4.63% due 04/01/293		18,763,000		17,148,999
Targa Resources Partners Limited Partnership / Targa Resources Partners Finance Corp.
6.88% due 01/15/29		12,632,000		12,644,103
4.88% due 02/01/31		5,000,000		4,478,248
Parkland Corp.
4.63% due 05/01/303		20,000,000		17,049,588
Occidental Petroleum Corp.
7.95% due 06/15/39		12,735,000		13,805,203
4.50% due 07/15/44		2,850,000		2,007,341
NuStar Logistics, LP
6.38% due 10/01/30		14,506,000		13,740,954
5.63% due 04/28/27		450,000		428,729
Global Partners Limited Partnership / GLP Finance Corp.
6.88% due 01/15/29		7,750,000		7,212,693
7.00% due 08/01/27		2,200,000		2,143,882
Kinetik Holdings, LP
5.88% due 06/15/303		6,100,000		5,718,750
DT Midstream, Inc.
4.13% due 06/15/293		5,250,000		4,541,468
TransCanada PipeLines Ltd.
6.20% due 03/09/26		3,300,000		3,294,578
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
6.38% due 04/15/273		2,689,000		2,640,006
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		700,000		597,625
Basic Energy Services, Inc.
due 10/15/238		1,438,000		7,190
Total Energy				175,641,141
Consumer, Non-cyclical - 2.6%
Medline Borrower, LP
5.25% due 10/01/293		7,200,000		6,222,933
3.88% due 04/01/293		6,596,000		5,576,407
DaVita, Inc.
4.63% due 06/01/303		8,678,000		7,125,691
3.75% due 02/15/313		4,892,000		3,716,742
US Foods, Inc.
4.75% due 02/15/293		6,550,000		5,854,180
6.88% due 09/15/283		3,875,000		3,866,862
Bausch Health Companies, Inc.
4.88% due 06/01/283		15,600,000		8,871,505
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/293		9,400,000		7,543,500
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/283		8,085,000		7,335,762

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
4.38% due 02/02/52		6,500,000	$	4,319,755
3.75% due 12/01/31		3,400,000		2,723,536
Option Care Health, Inc.
4.38% due 10/31/293		7,736,000		6,681,970
BCP V Modular Services Finance II plc
4.75% due 10/30/283	EUR	7,000,000		6,189,711
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/273		6,861,000		6,010,904
HealthEquity, Inc.
4.50% due 10/01/293		6,555,000		5,646,314
Smithfield Foods, Inc.
3.00% due 10/15/303		7,000,000		5,350,863
WW International, Inc.
4.50% due 04/15/293		6,985,000		4,906,963
JBS USA LUX S.A. / JBS USA Food Company / JBS Luxembourg SARL
6.75% due 03/15/343		4,500,000		4,378,455
Central Garden & Pet Co.
4.13% due 04/30/313		5,300,000		4,321,052
ADT Security Corp.
4.88% due 07/15/323		5,150,000		4,300,250
Chrome Bidco
3.50% due 05/31/283	EUR	4,800,000		4,199,922
Carriage Services, Inc.
4.25% due 05/15/293		4,575,000		3,913,379
GTCR W-2 Merger Sub LLC
7.50% due 01/15/313		3,875,000		3,880,425
TreeHouse Foods, Inc.
4.00% due 09/01/28		4,575,000		3,711,469
CAB SELAS
3.38% due 02/01/283	EUR	4,100,000		3,616,142
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
due 04/01/293,8		4,400,000		3,113,000
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/263		2,775,000		2,719,500
CPI CG, Inc.
8.63% due 03/15/263		2,750,000		2,709,272
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/273		3,061,000		2,640,113
Catalent Pharma Solutions, Inc.
3.13% due 02/15/293		2,825,000		2,317,051
Williams Scotsman, Inc.
7.38% due 10/01/313		1,950,000		1,939,361
Molina Healthcare, Inc.
4.38% due 06/15/283		1,770,000		1,586,005
Fortrea Holdings, Inc.
7.50% due 07/01/303		1,570,000		1,527,634
Tenet Healthcare Corp.
4.63% due 06/15/28		975,000		877,648
5.13% due 11/01/27		550,000		511,849
Par Pharmaceutical, Inc.
due 04/01/273,8		1,825,000		1,295,750
Upbound Group, Inc.
6.38% due 02/15/293		1,450,000		1,286,875
Altria Group, Inc.
4.45% due 05/06/50		1,670,000		1,182,960
Performance Food Group, Inc.
6.88% due 05/01/253		304,000		303,620
Total Consumer, Non-cyclical				154,275,330

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Technology - 1.7%
AthenaHealth Group, Inc.
6.50% due 02/15/303		26,650,000	$	22,292,917
Qorvo, Inc.
3.38% due 04/01/313		9,225,000		7,306,810
4.38% due 10/15/29		7,833,000		6,888,629
NCR Corp.
5.25% due 10/01/303		10,325,000		8,897,912
5.13% due 04/15/293		3,850,000		3,392,076
6.13% due 09/01/293		25,000		25,638
TeamSystem SpA
7.41% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/28◊	EUR	11,750,000		12,300,412
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		14,000,000		11,530,960
Booz Allen Hamilton, Inc.
3.88% due 09/01/283		11,800,000		10,571,620
Boxer Parent Company, Inc.
6.50% due 10/02/25	EUR	5,500,000		5,762,002
Playtika Holding Corp.
4.25% due 03/15/293		5,850,000		4,884,750
Twilio, Inc.
3.88% due 03/15/31		4,000,000		3,252,331
Central Parent LLC / CDK Global II LLC / CDK Financing Company, Inc.
8.00% due 06/15/293		3,050,000		3,038,715
MSCI, Inc.
3.88% due 02/15/313		883,000		748,082
ACI Worldwide, Inc.
5.75% due 08/15/263		400,000		387,788
Cloud Software Group, Inc.
6.50% due 03/31/293		200,000		176,866
Total Technology				101,457,508
Basic Materials - 1.7%
Alcoa Nederland Holding BV
5.50% due 12/15/273		15,125,000		14,367,145
6.13% due 05/15/283		7,450,000		7,173,470
4.13% due 03/31/293		4,900,000		4,335,589
Kaiser Aluminum Corp.
4.50% due 06/01/313		13,250,000		10,495,705
4.63% due 03/01/283		650,000		567,574
International Flavors & Fragrances, Inc.
1.23% due 10/01/253		11,950,000		10,711,958
Minerals Technologies, Inc.
5.00% due 07/01/283		11,280,000		10,346,016
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/263		10,375,000		9,479,832
SK Invictus Intermediate II SARL
5.00% due 10/30/293		11,525,000		9,236,481
Carpenter Technology Corp.
6.38% due 07/15/28		8,315,000		8,019,526
HB Fuller Co.
4.25% due 10/15/28		5,250,000		4,632,600
Novelis Sheet Ingot GmbH
3.38% due 04/15/29	EUR	4,500,000		4,103,018
Arsenal AIC Parent LLC
8.00% due 10/01/303		3,800,000		3,781,076
Ingevity Corp.
3.88% due 11/01/283		1,000,000		824,520
Mirabela Nickel Ltd.
due 06/24/19†††,7.8		1,885,418		89,557
Total Basic Materials				98,164,067
Utilities - 0.7%
AES Corp.
3.95% due 07/15/303		9,760,000		8,412,339
Terraform Global Operating, LP
6.13% due 03/01/263		8,285,000		8,129,656
Alexander Funding Trust II
7.47% due 07/31/283		7,750,000		7,760,151

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Clearway Energy Operating LLC
3.75% due 02/15/313		9,409,000	$	7,421,806
NRG Energy, Inc.
7.00% due 03/15/333		6,950,000		6,714,914
Atlantica Sustainable Infrastructure plc
4.13% due 06/15/283		1,550,000		1,337,367
Total Utilities				39,776,233
Total Corporate Bonds
(Cost $2,076,639,641)				1,752,669,682
ASSET-BACKED SECURITIES†† - 21.1%
Collateralized Loan Obligations - 11.9%
LoanCore Issuer Ltd.
2021-CRE4 D, 7.93% (30 Day Average SOFR + 2.61%, Rate Floor: 2.61%) due 07/15/35◊,3		20,500,000		19,108,151
2021-CRE6 D, 8.30% (1 Month Term SOFR + 2.96%, Rate Floor: 2.85%) due 11/15/38◊,3		11,300,000		9,886,463
2021-CRE5 D, 8.45% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,3		8,250,000		7,535,833
2019-CRE2 AS, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 05/15/36◊,3		6,999,941		6,849,005
2022-CRE7 D, 8.41% (30 Day Average SOFR + 3.10%, Rate Floor: 3.10%) due 01/17/37◊,3		6,400,000		6,014,888
Fortress Credit Opportunities IX CLO Ltd.
2021-9A CR, 8.37% (3 Month Term SOFR + 3.06%, Rate Floor: 2.80%) due 10/15/33◊,3		35,000,000		33,262,835
2021-9A DR, 9.52% (3 Month Term SOFR + 4.21%, Rate Floor: 3.95%) due 10/15/33◊,3		7,750,000		6,897,182
2021-9A A2TR, 7.37% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 10/15/33◊,3		2,950,000		2,872,778
FS Rialto
2021-FL3 D, 7.95% (1 Month Term SOFR + 2.61%, Rate Floor: 2.50%) due 11/16/36◊,3		36,500,000		34,037,429
2021-FL2 D, 8.25% (1 Month Term SOFR + 2.91%, Rate Floor: 2.91%) due 05/16/38◊,3		8,850,000		8,277,683
Palmer Square Loan Funding Ltd.
2022-1A B, 7.31% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/15/30◊,3		26,200,000		25,492,770
2021-3A C, 8.09% (3 Month Term SOFR + 2.76%, Rate Floor: 2.76%) due 07/20/29◊,3		8,300,000		8,155,026

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2022-1A C, 7.91% (3 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 04/15/30◊,3		3,400,000	$	3,221,157
LCCM Trust
2021-FL3 C, 8.05% (1 Month Term SOFR + 2.71%, Rate Floor: 2.71%) due 11/15/38◊,3		28,865,000		27,243,029
2021-FL2 D, 8.35% (1 Month Term SOFR + 3.01%, Rate Floor: 3.01%) due 12/13/38◊,3		5,750,000		5,309,850
BXMT Ltd.
2020-FL2 C, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.76%) due 02/15/38◊,3		15,640,000		13,300,509
2020-FL3 D, 8.25% (1 Month Term SOFR + 2.91%, Rate Floor: 2.91%) due 11/15/37◊,3		7,350,000		6,408,611
2020-FL2 D, 7.40% (1 Month Term SOFR + 2.06%, Rate Floor: 2.06%) due 02/15/38◊,3		8,000,000		6,404,439
ACRES Commercial Realty Ltd.
2021-FL2 D, 8.55% (1 Month Term SOFR + 3.21%, Rate Floor: 3.21%) due 01/15/37◊,3		8,350,000		7,601,741
2021-FL1 D, 8.10% (1 Month Term SOFR + 2.76%, Rate Floor: 2.76%) due 06/15/36◊,3		7,250,000		6,641,300
2021-FL2 C, 8.10% (1 Month Term SOFR + 2.76%, Rate Floor: 2.76%) due 01/15/37◊,3		6,500,000		6,023,475
2021-FL2 B, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 01/15/37◊,3		3,500,000		3,391,568
Cerberus Loan Funding XLII LLC
2023-3A C, 9.58% (3 Month Term SOFR + 4.15%, Rate Floor: 4.15%) due 09/13/35◊,3		21,550,000		21,547,869
Fontainbleau Vegas
10.98% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,†††		21,100,820		21,100,820
MidOcean Credit CLO VII
2020-7A CR, 7.77% (3 Month Term SOFR + 2.46%, Rate Floor: 0.00%) due 07/15/29◊,3		21,000,000		20,723,023
Golub Capital Partners CLO Ltd.
2018-36A C, 7.73% (3 Month Term SOFR + 2.36%, Rate Floor: 0.00%) due 02/05/31◊,3		20,000,000		18,782,642
BSPDF Issuer Ltd.
2021-FL1 D, 8.20% (1 Month Term SOFR + 2.86%, Rate Floor: 2.75%) due 10/15/36◊,3		19,975,000		18,073,252

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
BSPRT Issuer Ltd.
2021-FL6 D, 8.45% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 03/15/36◊,3		18,425,000	$	16,417,541
2021-FL7 D, 8.20% (1 Month Term SOFR + 2.86%, Rate Floor: 2.86%) due 12/15/38◊,3		1,600,000		1,500,972
Voya CLO Ltd.
2021-2A CR, 9.17% (3 Month Term SOFR + 3.86%, Rate Floor: 3.60%) due 06/07/30◊,3		16,500,000		15,844,531
2013-1A INC, due 10/15/303,9		28,970,307		1,681,726
Anchorage Capital CLO 6 Ltd.
2021-6A DRR, 9.02% (3 Month Term SOFR + 3.71%, Rate Floor: 3.45%) due 07/15/30◊,3		17,350,000		17,332,038
Golub Capital Partners CLO 49M Ltd.
2021-49A D, 9.44% (3 Month Term SOFR + 3.85%, Rate Floor: 3.85%) due 08/26/33◊,3		18,100,000		16,271,364
Cerberus Loan Funding XXX, LP
2020-3A C, 9.22% (3 Month Term SOFR + 3.65%, Rate Cap/Floor: 14.50%/3.65%) due 01/15/33◊,3		14,500,000		14,112,138
STWD Ltd.
2022-FL3 D, 8.06% (30 Day Average SOFR + 2.75%, Rate Floor: 2.75%) due 11/15/38◊,3		11,900,000		10,739,082
2021-FL2 D, 8.25% (1 Month Term SOFR + 2.91%, Rate Floor: 2.80%) due 04/18/38◊,3		3,750,000		3,317,325
Cerberus Loan Funding XL LLC
2023-1A C, 9.71% (3 Month Term SOFR + 4.40%, Rate Floor: 4.40%) due 03/22/35◊,3		12,750,000		12,529,420
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A DR, 8.28% (3 Month Term SOFR + 2.96%, Rate Floor: 2.70%) due 01/20/32◊,3		11,500,000		11,119,719
ABPCI Direct Lending Fund IX LLC
2021-9A BR, 8.12% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%) due 11/18/31◊,3		11,550,000		11,099,731
Atlas Senior Loan Fund IX Ltd.
2018-9A C, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 04/20/28◊,3		10,250,000		10,184,583
2018-9A SUB, due 04/20/283,9		9,600,000		237,034

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Diamond CLO Ltd.
2021-1A DR, 9.01% (3 Month Term SOFR + 3.66%, Rate Floor: 3.66%) due 04/25/29◊,3		5,500,000	$	5,387,819
2018-1A D, 9.31% (3 Month Term SOFR + 3.96%, Rate Floor: 3.70%) due 07/22/30◊,3		4,181,292		4,154,521
2021-1A CR, 8.01% (3 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 04/25/29◊,3		448,217		446,752
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A D, 8.49% (3 Month Term SOFR + 3.16%, Rate Floor: 2.90%) due 01/20/33◊,3		9,950,000		9,587,319
KREF Funding V LLC
7.19% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 06/25/26◊,†††		9,588,167		9,510,001
0.15% due 06/25/26†††,10		73,636,363		50,809
THL Credit Lake Shore MM CLO I Ltd.
2021-1A CR, 8.57% (3 Month Term SOFR + 3.26%, Rate Floor: 3.00%) due 04/15/33◊,3		9,900,000		9,408,316
Golub Capital Partners CLO 16 Ltd.
2021-16A CR2, 8.51% (3 Month Term SOFR + 3.16%, Rate Floor: 2.90%) due 07/25/33◊,3		9,300,000		8,965,318
Cerberus Loan Funding XXXVI, LP
2021-6A B, 7.32% (3 Month Term SOFR + 2.01%, Rate Floor: 1.75%) due 11/22/33◊,3		9,000,000		8,918,728
BCC Middle Market CLO LLC
2021-1A A1R, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33◊,3		9,000,000		8,884,703
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A BR, 8.49% (3 Month Term SOFR + 3.16%, Rate Floor: 2.90%) due 04/20/31◊,3		9,200,000		8,843,923
Magnetite XXIX Ltd.
2021-29A D, 8.17% (3 Month Term SOFR + 2.86%, Rate Floor: 2.60%) due 01/15/34◊,3		8,800,000		8,621,073
Venture XIV CLO Ltd.
2020-14A CRR, 7.90% (3 Month Term SOFR + 2.51%, Rate Floor: 2.25%) due 08/28/29◊,3		8,000,000		7,993,600
CIFC Funding Ltd.
2021-2A DR, 8.69% (3 Month Term SOFR + 3.36%, Rate Floor: 3.10%) due 04/20/30◊,3		8,100,000		7,974,205
ABPCI Direct Lending Fund CLO VII, LP

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2021-7A BR, 8.17% (3 Month Term SOFR + 2.81%, Rate Floor: 2.55%) due 10/20/31◊,3		7,950,000	$	7,651,961
Madison Park Funding XLVIII Ltd.
2021-48A D, 8.58% (3 Month Term SOFR + 3.26%, Rate Floor: 3.26%) due 04/19/33◊,3		7,500,000		7,372,703
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/313,9		9,500,000		6,956,331
FS Rialto Issuer LLC
2022-FL5 C, 9.25% (1 Month Term SOFR + 3.92%, Rate Floor: 3.92%) due 06/19/37◊,3		6,950,000		6,796,639
ACRE Commercial Mortgage Ltd.
2021-FL4 D, 8.05% (1 Month Term SOFR + 2.71%, Rate Floor: 2.60%) due 12/18/37◊,3		7,350,000		6,761,667
Cerberus Loan Funding XXXIII, LP
2021-3A C, 8.37% (3 Month Term SOFR + 3.06%, Rate Floor: 2.80%) due 07/23/33◊,3		5,900,000		5,661,135
ABPCI Direct Lending Fund CLO I LLC
2021-1A C2, 8.59% (3 Month Term SOFR + 3.26%, Rate Floor: 3.26%) due 07/20/33◊,3		5,550,000		5,273,482
CHCP Ltd.
2021-FL1 D, 8.45% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 02/15/38◊,3		5,500,000		5,234,404
WhiteHorse X Ltd.
2015-10A E, 10.87% (3 Month Term SOFR + 5.56%, Rate Floor: 5.30%) due 04/17/27◊,3		5,022,785		4,903,329
Cerberus Loan Funding XXXV, LP
2021-5A C, 8.17% (3 Month Term SOFR + 2.86%, Rate Floor: 2.60%) due 09/22/33◊,3		5,150,000		4,893,697
Octagon Loan Funding Ltd.
2014-1A SUB, due 11/18/313,9		19,435,737		4,773,475
Wind River CLO Ltd.
2018-1A ARR, 6.62% (3 Month Term SOFR + 1.31%, Rate Floor: 1.05%) due 07/18/31◊,3		3,983,606		3,959,013
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A D, 8.32% (3 Month Term SOFR + 3.01%, Rate Floor: 2.75%) due 04/16/33◊,3		4,050,000		3,924,318
Dryden 50 Senior Loan Fund
2017-50A SUB, due 07/15/303,9		7,895,000		2,766,092

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
HGI CRE CLO Ltd.
2021-FL2 D, 7.60% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 09/17/36◊,3		1,600,000	$	1,490,227
2021-FL2 E, 7.90% (1 Month Term SOFR + 2.56%, Rate Floor: 2.56%) due 09/17/36◊,3		1,200,000		1,119,860
Denali Capital CLO XI Ltd.
2018-1A BRR, 7.74% (3 Month Term SOFR + 2.41%, Rate Floor: 0.26%) due 10/20/28◊,3		2,500,000		2,493,118
BDS Ltd.
2021-FL9 E, 8.05% (1 Month Term SOFR + 2.71%, Rate Floor: 2.60%) due 11/16/38◊,3		2,700,000		2,485,484
KVK CLO Ltd.
2013-1A SUB, due 01/14/283,9		11,900,000		2,111,369
Carlyle Global Market Strategies CLO Ltd.
2012-3A SUB, due 01/14/323,9		6,400,000		1,696,000
2013-3X SUB, due 10/15/309		4,938,326		346,374
Goldentree Loan Management US CLO 4 Ltd.
2021-4A DR, 8.76% (3 Month Term SOFR + 3.41%, Rate Floor: 3.15%) due 04/24/31◊,3		2,000,000		1,966,762
BNPP IP CLO Ltd.
2014-2A E, 10.88% (3 Month Term SOFR + 5.51%, Rate Floor: 0.00%) due 10/30/25◊,3		6,226,382		1,874,639
Dryden 41 Senior Loan Fund
2015-41A SUB, due 04/15/313,9		11,700,000		1,826,698
PFP Ltd.
2021-7 E, 8.45% (1 Month Term SOFR + 3.11%, Rate Floor: 3.00%) due 04/14/38◊,3		1,789,911		1,684,760
AMMC CLO XI Ltd.
2012-11A SUB, due 04/30/313,9		5,650,000		1,521,364
Hull Street CLO Ltd.
2014-1A D, 9.17% (3 Month Term SOFR + 3.86%, Rate Floor: 0.00%) due 10/18/26◊,3		1,417,814		1,416,571
Marathon CLO V Ltd.
2017-5A A2R, 7.09% (3 Month Term SOFR + 1.71%, Rate Floor: 0.00%) due 11/21/27◊,3		930,801		929,703
2013-5A SUB, due 11/21/273,9		5,500,000		196,240
Great Lakes CLO Ltd.
2014-1A SUB, due 10/15/293,9		1,500,000		577,082
Venture XIII CLO Ltd.
2013-13A SUB, due 09/10/293,9		13,790,000		415,658
Dryden Senior Loan Fund
due 01/15/319		1,897,598		274,404
Babson CLO Ltd.
2014-IA SUB, due 07/20/253,9		11,595,061		270,165

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Treman Park CLO Ltd.
2015-1A SUB, due 10/20/283,9		18,918,010	$	189,937
Copper River CLO Ltd.
2007-1A INC, due 01/20/217,9		8,150,000		815
West CLO Ltd.
2013-1A SUB, due 11/07/253,9		5,300,000		530
Total Collateralized Loan Obligations				697,113,625
Transport-Aircraft - 3.2%
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/423		27,962,846		23,183,995
AASET Trust
2021-1A, 2.95% due 11/16/413		17,403,650		15,315,560
2017-1A, 3.97% due 05/16/423		3,122,867		2,748,088
2021-2A, 3.54% due 01/15/473		3,314,648		2,651,950
2020-1A, 4.34% due 01/16/403		3,751,347		1,932,392
Raspro Trust
2005-1A, 6.18% (3 Month Term SOFR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3		15,020,380		14,923,618
GAIA Aviation Ltd.
2019-1, 3.97% due 12/15/443,11		11,201,010		10,070,212
2019-1, 5.19% due 12/15/443,11		5,043,991		4,136,300
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/423		7,770,694		7,263,735
2019-1, 3.60% due 09/15/393		4,196,239		3,797,726
2017-1, 6.30% due 02/15/423		3,313,090		2,880,722
Sprite Ltd.
2021-1, 3.75% due 11/15/463		15,550,581		13,939,264
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/433		9,103,123		8,276,410
2019-1A, 3.97% due 04/15/393		5,494,769		4,886,578
AASET US Ltd.
2018-2A, 4.45% due 11/18/383		10,649,355		9,259,388
JOL Air Ltd.
2019-1, 3.97% due 04/15/443		9,602,364		8,654,707
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/403		9,567,958		7,975,754
Labrador Aviation Finance Ltd.
2016-1A, 4.30% due 01/15/423		8,623,240		7,265,545
Sapphire Aviation Finance II Ltd.
2020-1A, 4.34% due 03/15/403		8,811,255		6,300,224
2020-1A, 3.23% due 03/15/403		512,525		433,694
WAVE LLC
2019-1, 3.60% due 09/15/443		6,435,994		5,302,422
Project Silver
2019-1, 3.97% due 07/15/443		5,796,713		4,914,338
Navigator Aircraft ABS Ltd.
2021-1, 3.57% due 11/15/463		5,570,424		4,556,997
Lunar Structured Aircraft Portfolio Notes
2021-1, 3.43% due 10/15/463		5,084,559		4,169,694

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
MACH 1 Cayman Ltd.
2019-1, 3.47% due 10/15/393		3,782,345	$	3,185,567
MAPS Ltd.
2018-1A, 4.21% due 05/15/433		3,134,703		2,809,854
Slam Ltd.
2021-1A, 3.42% due 06/15/463		3,093,840		2,583,418
Castlelake Aircraft Structured Trust
2021-1A, 6.66% due 01/15/463		2,538,516		2,088,981
Total Transport-Aircraft				185,507,133
Financial - 2.6%
HarbourVest Structured Solutions IV Holdings, LP
7.61% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		21,755,302		21,759,027
6.05% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††	EUR	12,900,000		13,644,847
KKR Core Holding Company LLC
4.00% due 08/12/31◊,†††		23,809,039		20,584,932
Project Onyx I
due 01/26/27◊,†††		17,250,000		17,250,752
Lightning A
5.50% due 03/01/37†††		17,770,745		16,133,915
Thunderbird A
5.50% due 03/01/37†††		17,516,000		15,901,075
Ceamer Finance LLC
6.92% due 11/15/37†††		10,979,778		10,468,159
3.69% due 03/24/31†††		5,502,233		5,104,836
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		11,578,656		10,966,117
Nassau LLC
2019-1, 3.98% due 08/15/343		10,867,958		10,273,987
Project Onyx II
due 01/26/27◊,†††		5,750,000		5,749,792
Lightning B
7.50% due 03/01/37†††		3,574,575		3,203,068
Thunderbird B
7.50% due 03/01/37†††		3,523,333		3,157,151
Aesf Vi Verdi, LP
6.00% (3 Month EURIBOR + 2.40%, Rate Floor: 2.40%) due 11/25/24◊,†††	EUR	432,695		464,512
Total Financial				154,662,170
Infrastructure - 1.2%
VB-S1 Issuer LLC - VBTEL
2022-1A, 5.27% due 02/15/523		39,650,000		32,920,023
Hotwire Funding LLC
2023-1A, 8.84% due 05/20/533		20,000,000		18,765,912
2021-1, 4.46% due 11/20/513		11,750,000		9,774,628
Vault DI Issuer LLC
2021-1A, 2.80% due 07/15/463		7,150,000		6,212,701
Blue Stream Issuer LLC
2023-1A, 6.90% due 05/20/533		3,400,000		3,162,389
Total Infrastructure				70,835,653
Whole Business - 0.7%
TSGE
2017-1, 6.25% due 09/25/31†††		38,374,659		31,596,349

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/05/493		9,742,590	$	9,056,692
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/463		2,648,438		2,552,490
Wendy’s Funding LLC
2018-1A, 3.88% due 03/15/483		377,000		337,541
Total Whole Business				43,543,072
Net Lease - 0.7%
CARS-DB4, LP
2020-1A, 4.95% due 02/15/503		27,799,000		22,302,651
CARS-DB7, LP
2023-1A, 6.50% due 09/15/53†††,3		11,300,000		10,866,626
SVC ABS LLC
2023-1A, 5.55% due 02/20/533		5,941,323		5,404,092
Total Net Lease				38,573,369
Single Family Residence - 0.6%
FirstKey Homes Trust
2020-SFR2, 4.00% due 10/19/373		13,550,000		12,487,584
2020-SFR2, 4.50% due 10/19/373		13,250,000		12,277,563
2020-SFR2, 3.37% due 10/19/373		8,550,000		7,814,575
Total Single Family Residence				32,579,722
Insurance - 0.1%
CHEST
7.13% due 03/15/43†††		6,000,000		5,836,144
Collateralized Debt Obligations - 0.1%
Anchorage Credit Funding 4 Ltd.
2021-4A CR, 3.52% due 04/27/393		4,250,000		3,491,349
Total Asset-Backed Securities
(Cost $1,315,553,143)				1,232,142,237
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 15.2%
Government Agency - 7.1%
Fannie Mae
5.50% due 05/01/53		110,754,191		107,134,417
5.00% due 05/01/53		83,417,363		78,736,786
5.00% due 08/01/53		23,018,780		21,725,510
2.00% due 03/01/52		18,463,224		14,110,721
2.50% due 10/01/51		15,537,780		12,403,134
3.00% due 03/01/52		12,612,159		10,460,771
5.00% due 09/01/52		8,470,253		8,000,572
5.00% due 06/01/53		7,694,210		7,265,301
Freddie Mac
5.50% due 02/01/53		57,318,990		55,535,182
5.00% due 06/01/53		29,626,035		28,004,182
5.00% due 02/01/53		26,455,107		25,003,208
5.00% due 09/01/52		22,173,153		20,941,917
5.00% due 03/01/53		19,958,985		18,846,899
due 08/01/5315		9,925,590		9,489,107
Total Government Agency				417,657,707
Residential Mortgage-Backed Securities - 6.4%
LSTAR Securities Investment Ltd.
2023-1, 8.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,3		26,422,498		26,404,441
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 12/25/36◊		20,892,135		10,747,911
2006-WMC3, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 08/25/36◊		8,265,365		5,688,900
2006-HE3, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 11/25/36◊		5,025,238		4,315,946

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2006-WMC4, 5.55% (1 Month Term SOFR + 0.23%, Rate Floor: 0.12%) due 12/25/36◊		7,191,257	$	3,699,223
2006-WMC4, 5.51% (1 Month Term SOFR + 0.19%, Rate Floor: 0.08%) due 12/25/36◊		3,040,715		1,563,901
Ameriquest Mortgage Securities Trust
2006-M3, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 10/25/36◊		19,153,214		10,409,979
2006-M3, 5.67% (1 Month Term SOFR + 0.35%, Rate Floor: 0.24%) due 10/25/36◊		31,546,676		9,294,505
2006-M3, 5.53% (1 Month Term SOFR + 0.21%, Rate Floor: 0.10%) due 10/25/36◊		13,114,535		3,864,101
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/703,11		24,929,582		22,337,508
WaMu Asset-Backed Certificates WaMu Series
2007-HE2, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.47%) due 04/25/37◊		23,588,544		8,760,446
2007-HE2, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.30%) due 04/25/37◊		17,974,262		6,675,382
2007-HE4, 5.60% (1 Month Term SOFR + 0.28%, Rate Floor: 0.28%) due 07/25/47◊		6,566,368		4,536,429
2007-HE4, 5.68% (1 Month Term SOFR + 0.36%, Rate Floor: 0.36%) due 07/25/47◊		1,968,187		1,138,296
RALI Series Trust
2006-QO6, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 06/25/46◊		30,674,404		7,046,619
2007-QO2, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 02/25/47◊		12,871,924		4,528,844
2006-QO8, 5.83% (1 Month Term SOFR + 0.51%, Rate Floor: 0.40%) due 10/25/46◊		3,386,740		3,114,122
2006-QO6, 5.89% (1 Month Term SOFR + 0.57%, Rate Floor: 0.46%) due 06/25/46◊		7,981,062		1,876,927
2006-QO6, 5.95% (1 Month Term SOFR + 0.63%, Rate Floor: 0.52%) due 06/25/46◊		5,035,370		1,200,519
2006-QO2, 5.97% (1 Month Term SOFR + 0.65%, Rate Floor: 0.54%) due 02/25/46◊		5,947,913		1,178,926
2006-QO2, 6.11% (1 Month Term SOFR + 0.79%, Rate Floor: 0.68%) due 02/25/46◊		3,182,638		652,407

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2006-QO2, 5.87% (1 Month Term SOFR + 0.55%, Rate Floor: 0.44%) due 02/25/46◊		213,333	$	41,162
Long Beach Mortgage Loan Trust
2006-6, 5.93% (1 Month Term SOFR + 0.61%, Rate Floor: 0.50%) due 07/25/36◊		13,711,155		5,230,007
2006-8, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 09/25/36◊		16,366,940		4,441,335
2006-1, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 02/25/36◊		3,686,909		2,922,026
2006-4, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 05/25/36◊		9,796,801		2,746,645
2006-6, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 07/25/36◊		4,269,488		1,628,555
2006-8, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 09/25/36◊		4,435,133		1,202,978
2006-6, 5.63% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 07/25/36◊		2,471,516		942,605
OBX Trust
2022-NQM9, 6.45% due 09/25/623,11		7,689,727		7,559,891
2023-NQM2, 6.80% due 01/25/623,11		6,456,463		6,399,685
2022-NQM8, 6.10% due 09/25/623,11		4,311,241		4,215,401
American Home Mortgage Assets Trust
2006-6, 5.64% (1 Month Term SOFR + 0.32%, Rate Floor: 0.21%) due 12/25/46◊		7,340,183		5,958,329
2006-1, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 05/25/46◊		6,209,397		5,125,745
2006-3, 5.57% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/46◊		4,943,739		3,328,491
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 5.65% (1 Month Term SOFR + 0.33%, Rate Floor: 0.22%) due 11/25/36◊		21,596,796		7,411,010
2006-2, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 11/25/36◊		18,991,265		6,517,059
NYMT Loan Trust
2022-SP1, 5.25% due 07/25/623,11		13,168,804		12,704,096
GCAT Trust
2022-NQM5, 5.71% due 08/25/673,11		8,863,141		8,580,861
2023-NQM2, 6.60% due 11/25/673,11		3,066,395		3,027,246

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Morgan Stanley ABS Capital I Incorporated Trust
2006-HE8, 5.65% (1 Month Term SOFR + 0.33%, Rate Floor: 0.22%) due 10/25/36◊		18,823,538	$	8,014,923
2006-HE6, 5.63% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 09/25/36◊		4,299,857		1,503,816
2007-HE4, 5.66% (1 Month Term SOFR + 0.34%, Rate Floor: 0.23%) due 02/25/37◊		3,740,313		1,142,861
IXIS Real Estate Capital Trust
2007-HE1, 5.59% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 05/25/37◊		23,723,441		5,608,497
2007-HE1, 5.66% (1 Month Term SOFR + 0.34%, Rate Floor: 0.23%) due 05/25/37◊		16,807,725		3,973,410
GSAMP Trust
2007-NC1, 5.56% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 12/25/46◊		17,972,959		9,371,972
Master Asset-Backed Securities Trust
2006-WMC3, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 08/25/36◊		9,973,076		3,566,182
2006-HE3, 5.63% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 08/25/36◊		9,392,819		2,808,595
2006-HE3, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 08/25/36◊		7,897,118		2,361,357
Citigroup Mortgage Loan Trust, Inc.
2007-AMC3, 5.68% (1 Month Term SOFR + 0.36%, Rate Floor: 0.25%) due 03/25/37◊		9,673,269		7,863,044
GSAA Home Equity Trust
2006-3, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 03/25/36◊		10,077,377		5,295,940
2006-9, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 06/25/36◊		7,295,418		2,162,395
2007-7, 5.97% (1 Month Term SOFR + 0.65%, Rate Floor: 0.54%) due 07/25/37◊		396,829		361,901
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,7		8,650,000		7,140,481
OSAT Trust
2021-RPL1, 2.12% due 05/25/653,11		7,318,995		6,708,660
PRPM LLC
2023-1, 6.88% (WAC) due 02/25/28◊,3		6,052,590		6,034,621

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Home Equity Loan Trust
2007-FRE1, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊		6,383,948	$	5,906,147
First NLC Trust
2007-1, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 08/25/37◊,3		6,440,216		3,176,941
2007-1, 5.50% (1 Month Term SOFR + 0.18%, Rate Floor: 0.07%) due 08/25/37◊,3		4,883,822		2,409,290
Lehman XS Trust Series
2006-18N, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 12/25/36◊		3,687,508		3,488,686
2006-10N, 5.85% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 07/25/46◊		2,331,108		2,077,792
Argent Securities Trust
2006-W5, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 06/25/36◊		8,759,684		5,556,293
Merrill Lynch Mortgage Investors Trust Series
2007-HE2, 5.85% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 02/25/37◊		6,888,161		2,025,819
2007-HE2, 5.95% (1 Month Term SOFR + 0.63%, Rate Floor: 0.52%) due 02/25/37◊		4,986,041		1,466,393
2007-HE2, 5.67% (1 Month Term SOFR + 0.35%, Rate Floor: 0.24%) due 02/25/37◊		3,964,415		1,165,890
2007-HE2, 6.27% (1 Month Term SOFR + 0.95%, Rate Floor: 0.84%) due 02/25/37◊		1,613,261		474,427
Alternative Loan Trust
2007-OA7, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 05/25/47◊		6,020,995		5,044,754
WaMu Asset-Backed Certificates WaMu Series Trust
2007-HE1, 5.66% (1 Month Term SOFR + 0.34%, Rate Floor: 0.34%) due 01/25/37◊		7,169,000		3,259,381
2007-HE4, 5.60% (1 Month Term SOFR + 0.28%, Rate Floor: 0.28%) due 07/25/47◊		2,756,565		1,594,276
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/623,11		4,686,300		4,644,824
Verus Securitization Trust
2022-8, 6.13% due 09/25/673,11		4,593,102		4,502,876

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ACE Securities Corporation Home Equity Loan Trust Series
2007-ASP1, 6.19% (1 Month Term SOFR + 0.87%, Rate Floor: 0.76%) due 03/25/37◊		10,488,114	$	4,361,044
HSI Asset Securitization Corporation Trust
2007-HE1, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 01/25/37◊		5,661,445		3,900,601
Finance of America HECM Buyout
2022-HB2, 6.00% (WAC) due 08/01/32◊,3		3,850,000		3,460,690
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/60◊,3		3,385,382		3,323,603
First Franklin Mortgage Loan Trust
2006-FF16, 5.85% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 12/25/36◊		7,396,342		3,036,859
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 5.47% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		3,686,392		2,933,619
Morgan Stanley Mortgage Loan Trust
2006-9AR, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 08/25/36◊		8,124,451		2,103,637
Alliance Bancorp Trust
2007-OA1, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 07/25/37◊		1,932,111		1,599,126
Nomura Resecuritization Trust
2015-4R, 2.73% (1 Month Term SOFR + 0.54%, Rate Floor: 0.43%) due 03/26/36◊,3		1,424,043		1,313,537
Morgan Stanley Re-REMIC Trust
2010-R5, 3.47% due 06/26/36		491,004		445,083
Asset-Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊		58,558		57,893
Total Residential Mortgage-Backed Securities				376,266,595
Commercial Mortgage-Backed Securities - 1.4%
BX Commercial Mortgage Trust
2021-VOLT, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 09/15/36◊,3		19,750,000		18,831,491

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2019-XL, 7.75% (1 Month Term SOFR + 2.41%, Rate Floor: 2.30%) due 10/15/36◊,3		1,989,000	$	1,956,269
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/37◊,3		8,256,000		7,196,605
2020-DUNE, 7.96% (1 Month Term SOFR + 2.61%, Rate Floor: 2.50%) due 12/15/36◊,3		7,340,000		6,952,764
2020-DUNE, 7.36% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 12/15/36◊,3		2,750,000		2,633,559
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 8.09% (1 Month Term SOFR + 2.75%, Rate Floor: 2.64%) due 06/15/38◊,3		15,000,000		12,661,117
BX Trust
2023-DELC, 8.67% (1 Month Term SOFR + 3.34%, Rate Floor: 3.34%) due 05/15/38◊,3		10,650,000		10,643,320
SMRT
2022-MINI, 7.28% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,3		10,000,000		9,579,754
MHP
2022-MHIL, 7.94% (1 Month Term SOFR + 2.61%, Rate Floor: 2.61%) due 01/15/27◊,3		8,744,927		8,218,402
Total Commercial Mortgage-Backed Securities				78,673,281
Military Housing - 0.3%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 0.70% (WAC) due 11/25/52◊,3,10		153,215,699		8,805,168
2015-R1, 0.70% (WAC) due 11/25/55◊,3,10		63,794,122		4,079,437
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/52†††,3		5,472,411		4,986,289
Total Military Housing				17,870,894
Total Collateralized Mortgage Obligations
(Cost $1,045,793,313)				890,468,477
SENIOR FLOATING RATE INTERESTS††,◊ - 12.6%
Consumer, Non-cyclical - 3.5%
Women’s Care Holdings, Inc.
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28		30,676,344		27,148,564
Mission Veterinary Partners
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28		21,021,000		20,784,514

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Quirch Foods Holdings LLC
10.45% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27		15,177,709	$	15,092,411
Dhanani Group, Inc.
11.42% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27†††		14,365,909		14,222,250
PetIQ LLC
9.84% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/13/28†††		14,174,004		13,890,524
Blue Ribbon LLC
11.44% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28		16,024,615		13,460,677
LaserAway Intermediate Holdings II LLC
11.32% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 10/14/27		12,315,180		12,084,270
Southern Veterinary Partners LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27		11,253,371		11,172,460
HAH Group Holding Co. LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		10,714,873		10,556,479
Sigma Holding BV (Flora Food)
7.41% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	9,050,637		9,532,406
Nidda Healthcare Holding GmbH
7.31% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26	EUR	7,897,239		8,276,861
Florida Food Products LLC
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28		8,756,447		7,464,871
Hearthside Group Holdings LLC
9.58% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		4,936,394		4,303,943
9.27% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25		3,525,934		3,063,649
EyeCare Partners LLC
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/15/28		8,003,125		5,495,506

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/18/27		2,128,650	$	1,485,797
Gibson Brands, Inc.
10.57% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28		8,154,750		6,768,442
Endo Luxembourg Finance Company I SARL
14.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28		7,653,125		5,457,673
Confluent Health LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/30/28		5,472,444		5,189,683
Medical Solutions Parent Holdings, Inc.
8.77% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/01/28		2,240,362		2,163,944
Resonetics LLC
9.63% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/28/28		1,770,949		1,735,530
Heritage Grocers Group LLC
12.24% (3 Month Term SOFR + 6.75%, Rate Floor: 6.75%) due 08/01/29		1,695,729		1,694,321
Moran Foods LLC
12.74% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 06/30/26†††		624,540		568,551
16.99% (6 Month Term SOFR + 11.50%, Rate Floor: 9.50%) 12/31/26†††		364,879		239,749
Weber-Stephen Products LLC
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/29/27		418,625		377,549
TGP Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28		211,730		192,886
Total Consumer, Non-cyclical				202,423,510
Consumer, Cyclical - 3.4%
MB2 Dental Solutions LLC
11.42% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		31,459,499		31,098,350

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Zephyr Bidco Ltd.
9.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	20,850,000	$	25,067,111
12.72% (1 Month GBP SONIA + 7.50%, Rate Floor: 7.50%) due 07/23/26	GBP	1,540,417		1,750,174
FR Refuel LLC
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/08/28†††		20,936,496		20,360,743
Alexander Mann
11.37% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27		16,065,952		15,664,303
First Brands Group LLC
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27		14,234,504		14,025,332
Pacific Bells LLC
10.15% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		12,035,361		11,866,144
Rent-A-Center, Inc.
8.88% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/17/28		9,836,567		9,796,630
NFM & J LLC
11.22% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††		8,278,833		8,082,212
The Facilities Group
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††		7,638,581		7,457,166
Holding SOCOTEC
9.56% (3 Month SOFR + 4.00%, Rate Floor: 4.00%) due 06/02/28		7,007,000		6,936,930
BCP V Modular Services Holdings IV Ltd.
8.40% (3 Month EURIBOR + 4.43%, Rate Floor: 4.43%) due 12/15/28	EUR	6,400,000		6,342,206
Camin Cargo Control, Inc.
11.93% (1 Month Term SOFR + 6.50%, Rate Floor: 6.50%) due 06/04/26†††		6,510,852		6,250,418
Packers Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/09/28		9,196,441		5,425,900
Accuride Corp.
12.19% (1 Month Term SOFR + 5.25%, Rate Floor: 10.57%) (in-kind rate was 1.62%) due 07/07/2612		5,891,708		5,140,516
Galls LLC
12.27% (3 Month Term SOFR + 6.75%, Rate Floor: 6.75%) due 01/31/25†††		3,911,995		3,814,195

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
12.14% ((1 Month Term SOFR + 6.75%) and (3 Month Term SOFR + 6.75%), Rate Floor: 6.75%) due 01/31/24†††		208,932	$	203,709
Flamingo
7.46% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/27/28	EUR	4,045,312		3,991,543
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
9.82% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/03/25		4,663,808		3,423,235
Congruex Group LLC
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29		2,766,659		2,718,242
SHO Holding I Corp.
10.88% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 04/26/24		3,566,084		2,365,490
10.86% (3 Month Term SOFR + 5.23%, Rate Floor: 5.23%) due 04/29/24		50,787		33,689
ImageFIRST Holdings LLC
10.47% ((3 Month Term SOFR + 5.00%) and (6 Month Term SOFR + 5.00%), Rate Floor: 5.75%) due 04/27/28		2,084,951		2,066,708
Adevinta ASA
6.47% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 06/26/28	EUR	1,834,444		1,937,582
Orion Group
11.88% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/19/27†††		1,422,183		1,394,836
11.24% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 03/19/27		95,997		86,818
Checkers Holdings, Inc.
14.70% (6 Month Term SOFR + 3.00%, Rate Floor: 8.70%) (in-kind rate was 6.00%) due 05/31/28†††,12		1,226,012		1,226,012
12.70% (6 Month Term SOFR + 3.00%, Rate Floor: 8.70%) (in-kind rate was 4.00%) due 06/16/27†††,12		176,527		176,527

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
EG Finco Ltd.
10.00% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 02/07/28	GBP	568,500	$	641,577
10.00% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 02/07/25†††	GBP	147,675		172,963
CD&R Firefly Bidco Ltd.
9.29% (3 Month GBP SONIA + 4.36%, Rate Floor: 4.36%) due 06/23/25	GBP	441,031		524,357
Verisure Holding AB
6.97% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 03/27/28	EUR	370,000		386,460
WW International, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28		100,000		75,167
Total Consumer, Cyclical				200,503,245
Technology - 1.8%
Sitecore Holding III A/S
10.94% (3 Month EURIBOR + 7.00%, Rate Floor: 7.00%) due 03/12/26†††	EUR	9,030,493		9,478,952
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/12/26†††		7,442,790		7,388,189
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/09/26†††		1,459,661		1,448,953
Avalara, Inc.
12.64% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 10/19/28†††		16,000,000		15,805,219
Datix Bidco Ltd.
9.53% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		9,112,505		8,942,101
11.93% (6 Month GBP SONIA + 7.75%, Rate Floor: 7.75%) due 04/27/26†††	GBP	4,225,000		5,049,031
8.68% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25†††	GBP	1,000,000		1,197,233
12.78% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††		461,709		452,244
Aston FinCo SARL
9.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26	GBP	12,708,638		13,140,611
Polaris Newco LLC
8.70% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/04/26†††		13,153,185		12,271,684

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Finastra
12.71% (6 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 09/13/29†††		7,669,000	$	7,600,532
12.58% (1 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 09/13/29†††		204,542		179,480
RLDatix
9.53% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		3,400,533		3,336,943
8.68% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 10/28/24†††	GBP	2,313,216		2,769,459
12.78% (6 Month Term SOFR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††		912,001		893,305
Sitecore USA, Inc.
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/12/26†††		4,219,206		4,188,253
Team.Blue Finco SARL
7.06% (1 Month EURIBOR + 3.20%, Rate Floor: 3.20%) due 03/30/28	EUR	4,026,144		4,146,626
Greenway Health LLC
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 4.75%) due 02/16/24†††		3,400,504		3,145,466
Atlas CC Acquisition Corp.
9.93% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28		3,053,602		2,839,850
24-7 Intouch, Inc.
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/25/25		2,198,128		2,175,223
Total Technology				106,449,354
Industrial - 1.6%
United Airlines, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/21/28		19,788,520		19,793,072
Minerva Bidco Ltd.
9.55% (3 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 07/30/25	GBP	11,000,000		13,331,011
CapStone Acquisition Holdings, Inc.
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/12/27†††		12,395,788		12,109,431
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27		11,437,500		11,867,664

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Dispatch Terra Acquisition LLC
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28		10,163,242	$	9,350,183
Valcour Packaging LLC
9.40% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 10/04/28		6,205,500		4,977,680
Saverglass
7.72% (3 Month EURIBOR + 3.90%, Rate Floor: 3.90%) due 02/19/29	EUR	3,700,000		3,902,743
Integrated Power Services Holdings, Inc.
9.93% ((1 Month Term SOFR + 4.50%) and (Commercial Prime Lending Rate + 3.50%), Rate Floor: 4.50%) due 11/22/28†††		3,450,468		3,352,311
ILPEA Parent, Inc.
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/22/28†††		3,320,576		3,295,671
Air Canada
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28		3,228,633		3,227,955
TK Elevator Midco GmbH
6.86% (1 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 01/29/27	EUR	1,941,980		1,936,718
EMRLD Borrower LP
8.32% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 05/31/30		1,903,486		1,899,927
API Heat Transfer
16.65% (1 Month Term SOFR, Rate Floor: 0.00%) (in-kind rate was 16.65%) due 01/01/24†††,12		1,556,370		1,427,562
16.43% (1 Month Term SOFR, Rate Floor: 0.00%) (in-kind rate was 16.43%) due 10/31/23†††,12		277,673		277,673
Merlin Buyer, Inc.
9.32% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28		367,731		360,148
Total Industrial				91,109,749
Communications - 1.2%
Syndigo LLC
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 12/15/27		22,269,750		20,766,542
Simon & Schuster
due 09/26/30		13,400,000		13,299,500

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Xplornet Communications, Inc.
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/02/28		15,173,185	$	11,850,258
FirstDigital Communications LLC
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/17/26†††		10,550,000		10,239,603
Radiate Holdco LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/25/26		7,587,936		6,188,569
Zayo Group Holdings, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,146,447		5,005,114
Flight Bidco, Inc.
12.93% (1 Month Term SOFR + 7.61%, Rate Floor: 7.61%) due 07/23/26		1,000,000		965,000
Cincinnati Bell, Inc.
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/22/28		982,500		963,007
Total Communications				69,277,593
Financial - 0.8%
Higginbotham Insurance Agency, Inc.
10.92% (1 Month Term SOFR + 5.35%, Rate Floor: 5.35%) due 11/24/28†††		12,668,032		12,544,114
10.92% (1 Month Term SOFR + 5.35%, Rate Floor: 5.35%) due 11/25/26†††		6,044,863		5,985,733
Eisner Advisory Group
10.68% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/28/28		12,040,204		12,010,103
HighTower Holding LLC
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28		6,952,053		6,934,672
Duff & Phelps
9.14% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		4,290,779		4,179,048
Worldpay
due 09/21/30		3,000,000		2,998,140
Asurion LLC
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28		2,094,737		2,031,895

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Teneo Holdings LLC
10.67% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25		979,276	$	977,807
Total Financial				47,661,512
Energy - 0.2%
BANGL LLC
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29		10,050,000		9,955,832
Venture Global Calcasieu Pass LLC
8.04% (1 Month Term SOFR + 2.63%, Rate Floor: 2.63%) due 08/19/26		2,888,724		2,862,234
Permian Production Partners LLC
13.43% (3 Month Term SOFR + 6.00%, Rate Floor: 11.43%) (in-kind rate was 2.00%) due 11/24/25†††,12		1,155,234		1,149,458
Total Energy				13,967,524
Basic Materials - 0.1%
LTI Holdings, Inc.
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26		3,845,320		3,752,378
Arsenal AIC Parent LLC
9.88% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/19/30		3,400,000		3,390,072
Schur Flexibles GmbH
9.59% (6 Month EURIBOR + 5.50%, Rate Floor: 5.50%) due 09/28/27	EUR	787,500		599,556
Total Basic Materials				7,742,006
Total Senior Floating Rate Interests
(Cost $787,179,578)				739,134,493
U.S. TREASURY BILLS†† - 4.1%
U.S. Treasury Bills
5.28% due 10/10/2313		109,903,000		109,774,535
5.28% due 10/17/2313		88,115,000		87,921,422
5.28% due 10/26/2313		19,000,000		18,933,078
5.27% due 10/03/2313		13,720,000		13,717,995
5.27% due 10/19/2313		5,675,000		5,660,823
5.27% due 10/10/2313		3,780,000		3,775,582
Total U.S. Treasury Bills
(Cost $239,747,805)				239,783,435
FEDERAL AGENCY DISCOUNT NOTES†† - 2.9%
Federal Home Loan Bank
5.20% due 10/02/2313		170,612,000		170,587,356
Total Federal Agency Discount Notes
(Cost $170,587,356)				170,587,356
U.S. GOVERNMENT SECURITIES†† - 0.7%
United States Treasury Inflation Indexed Bonds
1.25% due 04/15/2816		15,795,740		15,022,458
1.38% due 07/15/3316		7,457,943		6,895,538
U.S. Treasury Notes
4.63% due 02/28/25		21,000,000		20,809,688
Total U.S. Government Securities
(Cost $43,818,598)				42,727,684

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
CONVERTIBLE BONDS†† - 0.4%
Consumer, Non-cyclical - 0.3%
Block, Inc.
due 05/01/2614		21,951,000	$	18,329,085
Communications - 0.1%
Cable One, Inc.
due 03/15/2614		5,750,000		4,703,500
Total Convertible Bonds
(Cost $24,071,427)				23,032,585
SENIOR FIXED RATE INTERESTS†† - 0.0%
Industrial - 0.0%
Schur Flexibles GmbH
13.41% due 09/30/26	EUR	413,156		416,489
9.59% due 09/30/26	EUR	286,149		288,458
13.27% due 09/30/26	EUR	73,033		73,622
Total Industrial				778,569
Total Senior Fixed Rate Interests
(Cost $786,010)				778,569
	Notional Value~
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10		164,200,000		328,771
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10		162,650,000		325,668
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10		164,200,000		102,889

Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	164,200,000	$	102,889
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	82,100,000		164,386
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	66,950,000		134,051
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	80,550,000		50,473
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	66,950,000		41,952
Total OTC Options Purchased
(Cost $4,060,737)			1,251,079
Total Investments - 99.8%
(Cost $6,562,199,327)			5,840,674,911
Other Assets & Liabilities, net - 0.2%			14,316,852
Total Net Assets - 100.0%		$	5,854,991,763

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate		Payment Frequency		Maturity Date
J.P. Morgan Securities LLC	ICE	CDX.NA.HY.40.V1		5.00%		Quarterly		06/20/28
J.P. Morgan Securities LLC	ICE	ITRAXX.EUR.38.V1		1.00%		Quarterly		12/20/27

Notional Amount~	Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
57,400,000	$	(899,679	)	$	237,705		$	(1,137,384	)
EUR 253,900,000		(3,539,444	)		(1,356,909	)		(2,182,535	)
	$	(4,439,123	)	$	(1,119,204	)	$	(3,319,919	)

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	Pay	U.S. Secured Overnight Financing Rate		2.78%	Annually		07/18/27

Notional Amount	Value			Upfront Premiums Paid		Unrealized Depreciation**
$ 332,150,000	$	(19,694,359	)	$	1,228	$	(19,695,587	)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Barclays Bank plc

EUR

Sell

116,360,000

125,132,148 USD

10/16/23

$

2,022,651

Morgan Stanley Capital Services LLC

GBP

Sell

58,230,000

72,731,075 USD

10/16/23

1,681,604

Bank of America, N.A.

CAD

Sell

3,173,000

2,341,585 USD

10/16/23

4,339

BNP Paribas

EUR

Buy

470,000

502,802 USD

10/16/23

(5,539

)

$

3,703,055

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES 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 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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Affiliated issuer.
2	Special Purpose Acquisition Company (SPAC).
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 $2,520,681,674 (cost $2,845,986,920), or 43.1% of total net assets.
4	Rate indicated is the 7-day yield as of September 30, 2023.
5	Perpetual maturity.
6	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
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 $9,384,973 (cost $15,537,123), or 0.2% of total net assets — See Note 10.
8	Security is in default of interest and/or principal obligations.
9	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
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 September 30, 2023. See table below for additional step information for each security.
12	Payment-in-kind security.
13	Rate indicated is the effective yield at the time of purchase.
14	Zero coupon rate security.
15	Security is unsettled at period end and does not have a stated effective rate.
16	Face amount of security is adjusted for inflation.
	CAD — Canadian Dollar
	CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ICE — Intercontinental Exchange
	ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

PPV — Public-Private Venture

REMIC — Real Estate Mortgage Investment Conduit

SARL — Société à Responsabilité Limitée

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

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 September 30, 2023 (See Note 4 in the Notes to Consolidated Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	232,310	$	7,108,713	$	995,145	$	8,336,168
Preferred Stocks		—		267,899,482		28,121,912		296,021,394
Warrants		40,367		—		76		40,443
Exchange-Traded Funds		38,497,177		—		—		38,497,177
Mutual Funds		282,985,856		—		—		282,985,856
Money Market Funds		122,218,276		—		—		122,218,276
Corporate Bonds		—		1,692,819,448		59,850,234		1,752,669,682
Asset-Backed Securities		—		1,008,793,305		223,348,932		1,232,142,237
Collateralized Mortgage Obligations		—		885,482,188		4,986,289		890,468,477
Senior Floating Rate Interests		—		495,447,688		243,686,805		739,134,493
U.S. Treasury Bills		—		239,783,435		—		239,783,435
Federal Agency Discount Notes		—		170,587,356		—		170,587,356
U.S. Government Securities		—		42,727,684		—		42,727,684
Convertible Bonds		—		23,032,585		—		23,032,585
Senior Fixed Rate Interests		—		778,569		—		778,569
Options Purchased		—		1,251,079		—		1,251,079
Forward Foreign Currency Exchange Contracts**		—		3,708,594		—		3,708,594
Total Assets	$	443,973,986	$	4,839,420,126	$	560,989,393	$	5,844,383,505

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Credit Default Swap Agreements**	$	—	$	3,319,919	$	—	$	3,319,919
Interest Rate Swap Agreements**		—		19,695,587		—		19,695,587
Forward Foreign Currency Exchange Contracts**		—		5,539		—		5,539
Unfunded Loan Commitments (Note 9)		—		—		1,990,229		1,990,229
Total Liabilities	$	—	$	23,021,045	$	1,990,229	$	25,011,274

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

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 September 30, 2023		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	128,479,571	Yield Analysis	Yield	6.2%-12.0%		8.3%
Asset-Backed Securities		83,951,926	Option adjusted spread off prior month end broker quote	Broker Quote	—		—
Asset-Backed Securities		10,866,626	Model Price	Purchase Price	—		—
Asset-Backed Securities		50,809	Third Party Pricing	Broker Quote	—		—
Collateralized Mortgage Obligations		4,986,289	Option adjusted spread off prior month end broker quote	Broker Quote	—		—
Common Stocks		631,308	Yield Analysis	Yield	14.2%		—
Common Stocks		361,652	Enterprise Valuation	Valuation Multiple	2.7x-17.6x		14.7x
Common Stocks		2,068	Model Price	Liquidation Value	—		—
Common Stocks		117	Third Party Pricing	Trade Price	—		—
Corporate Bonds		22,000,000	Yield Analysis	Yield	6.7%		—
Corporate Bonds		16,479,462	Option adjusted spread off prior month end broker quote	Broker Quote	—		—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

Category	Ending Balance at September 30, 2023		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Corporate Bonds	$	14,241,515	Third Party Pricing	Broker Quote	—		—
Corporate Bonds		7,129,257	Model Price	Purchase Price	—		—
Preferred Stocks		27,000,000	Third Party Pricing	Trade Price	—		—
Preferred Stocks		1,121,912	Enterprise Valuation	Valuation Multiple	4.8x-4.9x		4.9x
Senior Floating Rate Interests		152,446,672	Yield Analysis	Yield	10.3%-39.1%		11.7%
Senior Floating Rate Interests		48,265,243	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		38,981,215	Model Price	Purchase Price	—		—
Senior Floating Rate Interests		3,814,195	Model Price	Market Comparable Yields	14.5%		—
Senior Floating Rate Interests		179,480	Third Party Pricing	Trade Price	—		—
Warrants		76	Model Price	Liquidation Value	—		—
Total Assets	$	560,989,393
Liabilities:
Unfunded Loan Commitments	$	1,990,229	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 multiple 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 year ended September 30, 2023, the Fund had securities with a total value of $3,664,326 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $96,849,928 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2023:

	Assets
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Warrants
Beginning Balance	$	249,933,932		$	14,043,263		$	116,766,054		$	475,030,632		$	76
Purchases/(Receipts)		81,206,332			—			13,400,000			60,572,023			—
(Sales, maturities and paydowns)/Fundings		(103,527,866	)		(8,894,741	)		(71,555,460	)		(211,072,421	)		—
Amortization of premiums/discounts		270,604			(6,610	)		47,305			1,400,666			—
Corporate actions		—			—			—			(9,679,742	)		—
Total realized gains (losses) included in earnings		(3,598,868	)		(1,133,205	)		(2,996,492	)		(7,121,870	)		—
Total change in unrealized appreciation (depreciation) included in earnings		(934,387	)		977,582			6,405,552			25,525,579			—
Transfers into Level 3		—			—			89,557			3,574,769			—
Transfers out of Level 3		(815	)		—			(2,306,282	)		(94,542,831	)		—
Ending Balance	$	223,348,932		$	4,986,289		$	59,850,234		$	243,686,805		$	76
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(8,143,384	)	$	(148,194	)	$	318,903		$	3,541,571		$	—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

	Assets												Liabilities
	Common Stocks			Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	801,687		$	—		$	2,750,527		$	859,326,171		$	(2,356,646	)
Purchases/(Receipts)		632,974			27,000,000			—			182,811,329			(2,788,541	)
(Sales, maturities and paydowns)/Fundings		(34,345	)		—			(2,801,412	)		(397,886,245	)		2,441,815
Amortization of premiums/discounts		—			—			4,225			1,716,190			205,188
Corporate actions		14,343			9,665,399			—			—			—
Total realized gains (losses) included in earnings		29,321			—			(132,088	)		(14,953,202	)		491,175
Total change in unrealized appreciation (depreciation) included in earnings		(448,835	)		(8,543,487	)		178,748			23,160,752			16,780
Transfers into Level 3		—			—			—			3,664,326			—
Transfers out of Level 3		—			—			—			(96,849,928	)		—
Ending Balance	$	995,145		$	28,121,912		$	—		$	560,989,393		$	(1,990,229	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(421,735	)	$	(8,543,487	)	$	—		$	(13,396,326	)	$	(260,399	)

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, except GAIA Aviation Ltd. which is scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		10.17	%		09/25/26
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44		2.00	%		11/15/26		—			—
GAIA Aviation Ltd. 2019-1, 5.19% due 12/15/44		2.00	%		10/15/26		—			—
GCAT Trust 2022-NQM5, 5.71% due 08/25/67		6.71	%		10/01/26		—			—
GCAT Trust 2023-NQM2, 6.60% due 11/25/67		7.60	%		01/01/27		—			—
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
MACRO OPPORTUNITIES FUND

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
OBX Trust 2023-NQM2, 6.80% due 01/25/62		7.80	%		02/01/27		—			—
OBX Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26		—			—
OBX Trust 2022-NQM9, 6.45% due 09/25/62		7.45	%		11/01/26		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/25/24		6.12	%		06/25/25
Verus Securitization Trust 2022-8, 6.13% due 09/25/67		7.13	%		10/01/26		—			—

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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)
Common Stocks
BP Holdco LLC*	$	22,763	$	—	$	—		$	—
Targus Group International Equity, Inc.*		32,125		—		(34,346	)		29,321
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		24,848,949		168,796		—			—
Guggenheim Limited Duration Fund — R6-Class		—		123,105,870		—			—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		67,397,011		3,642,869		(40,000,000	)		2,012,260
Guggenheim Strategy Fund II		18,015,885		963,101		—			—
Guggenheim Strategy Fund III		17,512,927		15,586,600		—			—
Guggenheim Ultra Short Duration Fund — Institutional Class		45,783,897		2,292,942		—			—
	$	173,613,557	$	145,760,178	$	(40,034,346	)	$	2,041,581

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
MACRO OPPORTUNITIES FUND

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/23		Shares 09/30/23		Investment Income		Capital Gain Distributions
Common Stocks
BP Holdco LLC*	$	25,455		$	48,218		37,539	$	—	$	—
Targus Group International Equity, Inc.*		(27,100	)		—		—		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		4,027,999			29,045,744		1,017,008		168,796		—
Guggenheim Limited Duration Fund — R6-Class		(265,972	)	��	122,839,898		5,207,287		3,086,883		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		(3,340,496	)		29,711,644		1,061,130		1,155,898		2,486,971
Guggenheim Strategy Fund II		228,722			19,207,708		791,418		963,349		—
Guggenheim Strategy Fund III		231,826			33,331,353		1,372,225		1,476,117		—
Guggenheim Ultra Short Duration Fund — Institutional Class		772,670			48,849,509		5,010,206		2,292,585		—
	$	1,653,104		$	283,034,074			$	9,143,628	$	2,486,971

* Non-income producing security.

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

MACRO OPPORTUNITIES FUND

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $6,270,099,580)	$	5,557,640,837
Investments in affiliated issuers, at value (cost $292,099,747)		283,034,074
Foreign currency, at value (cost $187,977)		188,332
Cash		1,069,903
Segregated cash with broker		3,327,828
Unamortized upfront premiums paid on credit default swap agreements		237,705
Unamortized upfront premiums paid on interest rate swap agreements		1,228
Unrealized appreciation on forward foreign currency exchange contracts		3,708,594
Prepaid expenses		313,026
Receivables:
Interest		49,656,606
Securities sold		20,274,260
Fund shares sold		9,520,585
Dividends		1,890,315
Investment Adviser		8,781
Total assets		5,930,872,074
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $2,585,615)	$	1,990,229
Segregated cash due to broker		4,892,000
Unamortized upfront premiums received on credit default swap agreements		1,356,909
Unrealized depreciation on forward foreign currency exchange contracts		5,539
Payable for:
Securities purchased		34,990,602
Fund shares redeemed		21,126,798
Management fees		3,791,134
Distributions to shareholders		3,083,939
Variation margin on interest rate swap agreements		1,609,059
Transfer agent/maintenance fees		804,429
Protection fees on credit default swap agreements		169,730
Distribution and service fees		157,390
Fund accounting/administration fees		47,467
Due to Investment Adviser		15,658
Trustees’ fees*		4,352
Variation margin on credit default swap agreements		741
Miscellaneous		1,834,335
Total liabilities		75,880,311
Net assets	$	5,854,991,763

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

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (concluded)

MACRO OPPORTUNITIES FUND

September 30, 2023

Net assets consist of:
Paid in capital	$	6,933,442,850
Total distributable earnings (loss)		(1,078,451,087	)
Net assets	$	5,854,991,763
A-Class:
Net assets	$	280,275,264
Capital shares outstanding		11,845,565
Net asset value per share	$	23.66
Maximum offering price per share (Net asset value divided by 96.00%)	$	24.65
C-Class:
Net assets	$	103,332,244
Capital shares outstanding		4,370,346
Net asset value per share	$	23.64
P-Class:
Net assets	$	54,987,356
Capital shares outstanding		2,323,042
Net asset value per share	$	23.67
Institutional Class:
Net assets	$	5,228,679,911
Capital shares outstanding		220,670,197
Net asset value per share	$	23.69
R6-Class:
Net assets	$	187,716,988
Capital shares outstanding		7,924,469
Net asset value per share	$	23.69

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

CONSOLIDATED STATEMENT OF OPERATIONS

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	7,196,247
Dividends from securities of affiliated issuers		9,143,628
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $28,250)		386,175,069
Total investment income		402,514,944
Expenses:
Management fees		51,846,776
Distribution and service fees:
A-Class		758,150
C-Class		1,224,521
P-Class		221,459
Transfer agent/maintenance fees:
A-Class		355,648
C-Class		155,734
P-Class		238,753
Institutional Class		4,876,017
R6-Class		7,131
Interest expense		6,740,407
Fund accounting/administration fees		2,396,713
Professional fees	$	637,193
Line of credit fees		400,407
Custodian fees		330,326
Trustees’ fees*		105,414
Miscellaneous		641,943
Recoupment of previously waived fees:
A-Class		155,426
C-Class		53,643
P-Class		4,865
Institutional Class		214,539
R6-Class		9,128
Total expenses		71,374,193
Less:
Expenses reimbursed by Adviser:
A-Class		(5,449	)
C-Class		(2,265	)
P-Class		(96,205	)
Institutional Class		(4,699,183	)
R6-Class		(5,082	)
Expenses waived by Adviser		(3,327,899	)
Earnings credits applied		(152,273	)
Total waived/reimbursed expenses		(8,288,356	)
Net expenses		63,085,837
Net investment income		339,429,107

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

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

CONSOLIDATED STATEMENT OF OPERATIONS (concluded)

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2023

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(217,639,400	)
Investments in affiliated issuers		2,041,581
Distributions received from affiliated investment companies		2,486,971
Swap agreements		4,724,292
Futures contracts		15,935,361
Options purchased		(30,312,894	)
Options written		54,585,910
Forward foreign currency exchange contracts		(26,211,908	)
Foreign currency transactions		(16,466,026	)
Net realized loss		(210,856,113	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		341,220,997
Investments in affiliated issuers		1,653,104
Swap agreements		(22,035,486	)
Futures contracts		2,600,964
Options purchased		(26,705,217	)
Options written		3,029,686
Forward foreign currency exchange contracts		(5,969,967	)
Foreign currency translations		(1,275,787	)
Net change in unrealized appreciation (depreciation)		292,518,294
Net realized and unrealized gain		81,662,181
Net increase in net assets resulting from operations	$	421,091,288

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	339,429,107		$	288,548,755
Net realized gain (loss) on investments		(210,856,113	)		28,394,110
Net change in unrealized appreciation (depreciation) on investments		292,518,294			(1,144,746,402	)
Net increase (decrease) in net assets resulting from operations		421,091,288			(827,803,537	)
Distributions to shareholders:
A-Class		(16,952,857	)		(14,450,678	)
C-Class		(5,928,309	)		(5,329,080	)
P-Class		(4,987,662	)		(6,862,970	)
Institutional Class		(310,664,175	)		(271,453,423	)
R6-Class		(8,818,791	)		(6,954,612	)
Total distributions to shareholders		(347,351,794	)		(305,050,763	)
Capital share transactions:
Proceeds from sale of shares
A-Class		88,917,715			126,958,094
C-Class		12,403,253			17,647,591
P-Class		16,822,252			141,236,656
Institutional Class		2,128,695,437			2,865,859,194
R6-Class		83,550,238			39,129,088
Distributions reinvested
A-Class		14,302,558			12,395,501
C-Class		5,285,062			4,714,100
P-Class		4,948,543			6,862,970
Institutional Class		268,719,399			236,975,014
R6-Class		8,818,791			6,954,612
Cost of shares redeemed
A-Class		(154,649,331	)		(190,135,392	)
C-Class		(61,940,389	)		(58,112,906	)
P-Class		(130,394,089	)		(120,265,759	)
Institutional Class		(2,629,895,397	)		(3,617,935,972	)
R6-Class		(30,444,262	)		(92,877,977	)
Net decrease from capital share transactions		(374,860,220	)		(620,595,186	)
Net decrease in net assets		(301,120,726	)		(1,753,449,486	)
Net assets:
Beginning of year		6,156,112,489			7,909,561,975
End of year	$	5,854,991,763		$	6,156,112,489

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded)

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		3,734,087			4,889,782
C-Class		521,851			674,828
P-Class		707,632			5,424,419
Institutional Class		89,245,962			110,104,278
R6-Class		3,495,646			1,482,039
Shares issued from reinvestment of distributions
A-Class		600,755			488,657
C-Class		222,238			186,340
P-Class		208,213			273,119
Institutional Class		11,271,078			9,317,790
R6-Class		370,155			273,699
Shares redeemed
A-Class		(6,501,599	)		(7,374,841	)
C-Class		(2,604,191	)		(2,275,909	)
P-Class		(5,490,413	)		(4,789,373	)
Institutional Class		(110,513,346	)		(142,390,344	)
R6-Class		(1,280,546	)		(3,655,968	)
Net decrease in shares		(16,012,478	)		(27,371,484	)

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

CONSOLIDATED STATEMENT OF CASH FLOWS

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2023

Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$	421,091,288
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
Net Cash Provided by Operating and Investing Activities:
Net change in unrealized (appreciation) depreciation on investments		(342,874,101	)
Net change in unrealized (appreciation) depreciation on options purchased		26,705,217
Net change in unrealized (appreciation) depreciation on options written		(3,029,686	)
Net change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts		5,969,967
Net realized loss on investments		213,110,848
Net realized loss on options purchased		30,312,894
Net realized gain on options written		(54,585,910	)
Purchase of long-term investments		(1,578,745,799	)
Proceeds from sale of long-term investments		3,126,366,102
Net purchases of short-term investments		(29,722,552	)
Net accretion of bond discount and amortization of bond premium		(40,595,574	)
Corporate actions and other payments		17,325,665
Premiums received on options written		43,588,352
Cost of closing options written		(5,579,763	)
Commitment fees received and repayments of unfunded commitments		189,767
Decrease in interest receivable		7,742,891
Increase in dividends receivable		(846,731	)
Decrease in securities sold receivable		404,064,465
Decrease in variation margin on futures contracts receivable		887,390
Decrease in swap settlement receivable		303,021
Decrease in unamortized upfront premiums paid on interest rate swap agreements		224,011
Increase in prepaid expenses		(120,120	)
Decrease in foreign tax reclaims receivable		26,649
Increase in investment adviser receivable		(8,781	)
Decrease in unamortized upfront premiums paid on credit default swap agreements		863,019
Decrease in variation margin on credit default swap agreements receivable		2,539
Decrease in protection fees on credit default swap agreements receivable		21,389
Decrease in securities purchased payable		(824,345,983	)
Increase in unamortized upfront premiums received on credit default swap agreements		1,356,909
Decrease in fund accounting/administration fees payable		(4,513	)
Decrease in distribution and service fees payable		(71,887	)
Decrease in transfer agent/maintenance fees payable		(108,047	)
Decrease in segregated cash due to broker		(36,169,894	)
Decrease in unamortized upfront premiums received on interest rate swap agreements		(2,424,352	)
Decrease in management fees payable		(197,849	)
Increase in variation margin on interest rate swap agreements payable		1,211,611
Increase in variation margin on credit default swap agreements payable		741
Increase in due to investment adviser payable		2,492
Increase in trustees’ fees payable*		1,968
Increase in protection fees on credit default swap agreements payable		169,730
Decrease in miscellaneous payable		(414,551	)
Net Cash Provided by Operating and Investing Activities		1,381,692,832

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

CONSOLIDATED STATEMENT OF CASH FLOWS (concluded)

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2023

Cash Flows From Financing Activities:
Distributions to shareholders	$	(44,456,463	)
Proceeds from sale of shares		2,329,085,260
Cost of shares redeemed		(3,020,392,040	)
Proceeds from reverse repurchase agreements		3,170,920,036
Payments made on reverse repurchase agreements		(3,842,973,638	)
Net Cash Used in Financing Activities		(1,407,816,845	)
Net decrease in cash		(26,124,013	)
Cash at Beginning of Year (including foreign cash)**		30,710,076
Cash at End of Year (including foreign cash)***	$	4,586,063
Supplemental Disclosure of Cash Flow Information:
Cash paid during the year for interest	$	8,300,821
Supplemental Disclosure of Cash Financing Activity:
Dividend reinvestment	$	302,074,353

*	Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
**	Includes $7,211,350 of segregated cash with broker for futures contracts, swap agreements and options and $7,184,327 of foreign currency.
***	Includes $3,327,828 of segregated cash with broker for swap agreements and $188,332 of foreign currency.

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.36		$	27.19		$	26.31		$	25.82		$	26.53
Income (loss) from investment operations:
Net investment income (loss)a		1.30			.89			.91			.74			.72
Net gain (loss) on investments (realized and unrealized)		.33			(3.77	)		1.04			.61			(.62	)
Total from investment operations		1.63			(2.88	)		1.95			1.35			.10
Less distributions from:
Net investment income		(1.33	)		(.95	)		(1.07	)		(.86	)		(.79	)
Net realized gains		—			—			—			—			(.02	)
Total distributions		(1.33	)		(.95	)		(1.07	)		(.86	)		(.81	)
Net asset value, end of period	$	23.66		$	23.36		$	27.19		$	26.31		$	25.82
Total Returnb		7.09	%		(10.77	%)		7.49	%		5.39	%		0.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	280,275		$	327,393		$	435,293		$	312,986		$	461,781
Ratios to average net assets:
Net investment income (loss)		5.46	%		3.46	%		3.35	%		2.90	%		2.76	%
Total expensesc		1.50	%		1.42	%		1.43	%		1.51	%		1.47	%
Net expensesd,e,f		1.44	%		1.37	%		1.37	%		1.39	%		1.39	%
Portfolio turnover rate		32	%		25	%		84	%		130	%		46	%

68 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.35		$	27.17		$	26.29		$	25.80		$	26.52
Income (loss) from investment operations:
Net investment income (loss)a		1.12			.70			.72			.55			.52
Net gain (loss) on investments (realized and unrealized)		.32			(3.76	)		1.03			.61			(.62	)
Total from investment operations		1.44			(3.06	)		1.75			1.16			(.10	)
Less distributions from:
Net investment income		(1.15	)		(.76	)		(.87	)		(.67	)		(.60	)
Net realized gains		—			—			—			—			(.02	)
Total distributions		(1.15	)		(.76	)		(.87	)		(.67	)		(.62	)
Net asset value, end of period	$	23.64		$	23.35		$	27.17		$	26.29		$	25.80
Total Returnb		6.25	%		(11.41	%)		6.70	%		4.60	%		(0.37	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	103,332		$	145,469		$	207,739		$	219,866		$	321,576
Ratios to average net assets:
Net investment income (loss)		4.72	%		2.70	%		2.64	%		2.15	%		2.00	%
Total expensesc		2.27	%		2.17	%		2.18	%		2.25	%		2.20	%
Net expensesd,e,f		2.21	%		2.12	%		2.12	%		2.15	%		2.13	%
Portfolio turnover rate		32	%		25	%		84	%		130	%		46	%

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.38		$	27.20		$	26.32		$	25.82		$	26.54
Income (loss) from investment operations:
Net investment income (loss)a		1.30			.90			.91			.74			.71
Net gain (loss) on investments (realized and unrealized)		.32			(3.77	)		1.04			.62			(.62	)
Total from investment operations		1.62			(2.87	)		1.95			1.36			.09
Less distributions from:
Net investment income		(1.33	)		(.95	)		(1.07	)		(.86	)		(.79	)
Net realized gains		—			—			—			—			(.02	)
Total distributions		(1.33	)		(.95	)		(1.07	)		(.86	)		(.81	)
Net asset value, end of period	$	23.67		$	23.38		$	27.20		$	26.32		$	25.82
Total Return		7.09	%		(10.77	%)		7.48	%		5.42	%		0.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54,987		$	161,232		$	162,928		$	99,575		$	126,334
Ratios to average net assets:
Net investment income (loss)		5.49	%		3.51	%		3.33	%		2.91	%		2.73	%
Total expensesc		1.66	%		1.45	%		1.45	%		1.50	%		1.46	%
Net expensesd,e,f		1.49	%		1.37	%		1.37	%		1.40	%		1.39	%
Portfolio turnover rate		32	%		25	%		84	%		130	%		46	%

70 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.40		$	27.23		$	26.34		$	25.85		$	26.57
Income (loss) from investment operations:
Net investment income (loss)a		1.40			.99			1.02			.85			.81
Net gain (loss) on investments (realized and unrealized)		.32			(3.76	)		1.05			.60			(.61	)
Total from investment operations		1.72			(2.77	)		2.07			1.45			.20
Less distributions from:
Net investment income		(1.43	)		(1.06	)		(1.18	)		(.96	)		(.90	)
Net realized gains		—			—			—			—			(.02	)
Total distributions		(1.43	)		(1.06	)		(1.18	)		(.96	)		(.92	)
Net asset value, end of period	$	23.69		$	23.40		$	27.23		$	26.34		$	25.85
Total Return		7.47	%		(10.39	%)		7.91	%		5.84	%		0.77	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,228,680		$	5,397,131		$	6,906,534		$	4,097,303		$	5,396,868
Ratios to average net assets:
Net investment income (loss)		5.86	%		3.85	%		3.74	%		3.32	%		3.12	%
Total expensesc		1.18	%		1.09	%		1.08	%		1.17	%		1.13	%
Net expensesd,e,f		1.03	%		0.96	%		0.96	%		0.99	%		0.98	%
Portfolio turnover rate		32	%		25	%		84	%		130	%		46	%

SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019g
Per Share Data
Net asset value, beginning of period	$	23.39		$	27.22		$	26.34		$	25.84		$	25.98
Income (loss) from investment operations:
Net investment income (loss)a		1.40			.98			1.02			.87			.36
Net gain (loss) on investments (realized and unrealized)		.33			(3.75	)		1.04			.58			(.03	)
Total from investment operations		1.73			(2.77	)		2.06			1.45			.33
Less distributions from:
Net investment income		(1.43	)		(1.06	)		(1.18	)		(.95	)		(.47	)
Total distributions		(1.43	)		(1.06	)		(1.18	)		(.95	)		(.47	)
Net asset value, end of period	$	23.69		$	23.39		$	27.22		$	26.34		$	25.84
Total Return		7.51	%		(10.39	%)		7.91	%		5.81	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	187,717		$	124,888		$	197,067		$	136,669		$	676
Ratios to average net assets:
Net investment income (loss)		5.85	%		3.79	%		3.74	%		3.41	%		2.79	%
Total expensesc		1.07	%		1.00	%		1.01	%		1.09	%		1.11	%
Net expensesd,e,f		1.01	%		0.96	%		0.96	%		0.99	%		1.03	%
Portfolio turnover rate		32	%		25	%		84	%		130	%		46	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.05%	0.06%	0.10%	0.03%	0.02%
C-Class	0.04%	0.06%	0.08%	0.05%	0.05%
P-Class	0.01%	0.05%	0.09%	0.03%	0.04%
Institutional Class	0.00%*	—	—	0.00%*	0.00%*
R6-Class	0.01%	0.00%*	0.00%*	0.00%*	0.00%*,g

* Less than 0.01%

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	1.32%	1.33%	1.33%	1.33%	1.33%
C-Class	2.07%	2.08%	2.08%	2.08%	2.07%
P-Class	1.32%	1.33%	1.33%	1.33%	1.33%
Institutional Class	0.91%	0.92%	0.92%	0.92%	0.92%
R6-Class	0.91%	0.92%	0.92%	0.92%	0.92%g

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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 September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At September 30, 2023, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Fund’s shares. GI and GFD are affiliated entities.

Pursuant to an investment Sub-Advisory Agreement between GPIM and Guggenheim Partners Advisors, LLC (“GPA”) that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment subadvisory services to the Fund. GPA operated as an investment sub-advisor to the Fund from April 29, 2022 to December 22, 2022.

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

GPA, under the oversight of the Board and GPIM, assisted GPIM in the supervision and direction of the investment strategies of the Fund in accordance with its investment policies. As compensation for its services, GPIM paid GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of the Fund.

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.

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 September 30, 2023		% of Net Assets of the Fund at September 30, 2023
	01/08/15	$	546,202		0.01	%

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 share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

U.S. Government securities are valued by pricing service providers, 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.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Typically, loans are valued using information provided by a pricing service provider which 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 Adviser.

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 and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

Futures contracts are valued on the basis of the last sale price 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.

Interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

Other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a pricing service provider.

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 the Adviser. 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

(c) 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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Inflation-Indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Fund’s Consolidated Statement of Operations, even though principal is not received until maturity.

(d) 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) a broad measure of the cost of borrowing cash, such as the one-month or three-month Secured Overnight Financing Rate (“SOFR”), (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. Recently, 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.

(e) 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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.

(f) 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.

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.

(g) 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).

The Fund may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(h) 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.

(i) 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.

(j) 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, geopolitical 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 (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.

(k) 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.

(l) 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 September 30, 2023, if any, are disclosed in the Fund’s Consolidated Statement of Assets and Liabilities.

(m) 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 (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.

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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 Fund’s Consolidated Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Fund’s Consoldated Statement of Operations at the end of the commitment period.

(n) 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.

(o) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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.

(p) 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 Fund’s Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Fund’s Consolidated Statement of Operations.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(q) 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 5.33% at September 30, 2023.

(r) 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 a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Fund’s 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.

Derivatives

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

The Fund may utilize derivatives for the following purposes:

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.

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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, Income	$	1,061,153,899	$	349,634,210

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
Hedge, Income	$	135,765,375	$	137,723,377

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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 Fund’s Consolidated Statement of Assets and Liabilities; securities held as collateral are noted on the Fund’s 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
Duration, Hedge, Speculation	$	189,848,176	$	5,904,548

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.

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, Speculation	$	1,955,587,583	$	5,136,314,500

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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 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	$	29,166,667	$	243,241,667

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of 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	$	1,286,885,526	$	1,571,115,647

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Credit/Interest rate swap contracts	Unamortized upfront premiums paid on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements
	Unamortized upfront premiums paid on interest rate swap agreements	Variation margin on interest rate swap agreements
		Variation margin on credit default swap agreements
Interest rate option contracts	Investments in unaffiliated issuers, at value	—
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2023:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at September 30, 2023
	$	—	$	—		3,708,594	$	1,251,079	$	4,959,673

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
	$	19,695,587	$	3,319,919		5,539	$	—	$	23,021,045

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Fund’s Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Fund’s Consolidated Statement of Assets and Liabilities

The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the year ended September 30, 2023:

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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 Fund’s Consolidated Statement of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Interest Rate Risk		Futures Commodity Risk		Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk
	$	2,148,466	$	13,786,895	$	8,382,101	$	(3,657,809	)	$	7,459,222	$	(13,620,954	)	$	(26,211,908	)

Options Purchased Foreign Currency Exchange Risk			Options Purchased Commodity Risk			Options Purchased Interest Rate Risk		Options Written Foreign Currency Exchange Risk		Options Written Commodity Risk		Options Written Interest Rate Risk		Options Purchased Credit Risk			Total
$	(13,717,865	)	$	(3,453,674	)	$	710,478	$	38,044,751	$	8,913,602	$	168,335	$	(230,879	)	$	18,720,761

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statement of Operations
	Futures Interest Rate Risk		Futures Commodity Risk		Swaps Interest Rate Risk			Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk
	$	—	$	2,600,964	$	(19,639,825	)	$	(2,395,661	)	$	3,173,706	$	(17,460,200	)	$	(5,969,967	)

Options Purchased Foreign Currency Exchange Risk			Options Purchased Commodity Risk		Options Purchased Interest Rate Risk			Options Written Foreign Currency Exchange Risk			Options Written Commodity Risk			Options Written Interest Rate Risk		Options Purchased Credit Risk		Total
$	(1,446,705	)	$	—	$	(7,798,312	)	$	(303,894	)	$	(6,195	)	$	166,069	$	—	$	(49,080,020	)

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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

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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 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.

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 CONSOLIDATED FINANCIAL STATEMENTS (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 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 Fund’s 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 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 Fund’s Consolidated Statement of Assets and Liabilities.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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 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
Options purchased	$	1,251,079	$	—		1,251,079	$	—	$	(990,217	)	$	260,862
Forward foreign currency exchange contracts		3,708,594		—		3,708,594		—		(3,704,255	)		4,339

							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	$	5,539	$	—	$	5,539	$	—	$	—	$	5,539

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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 September 30, 2023.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts, Options	$	—	$	2,640,000
Goldman Sachs International	Options		—		130,000
J.P. Morgan Securities LLC	Credit default swap agreements		3,327,828		—
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		2,122,000
		$	3,327,828	$	4,892,000

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 between market participants at the measurement date. 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 — unadjusted 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.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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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Pricing service providers are used to value a majority of the Fund’s investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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 at an annualized rate based on the average daily net assets as follows:

Average Daily Net Assets	Annualized Rate
$5 billion or less		0.89	%
> $5 billion		0.84	%

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 year ended September 30, 2023, the Fund waived $244,683 related to advisory fees in the Subsidiary.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (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.

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		1.36	%		11/30/12		02/01/25
C-Class		2.11	%		11/30/12		02/01/25
P-Class		1.36	%		05/01/15		02/01/25
Institutional Class		0.95	%		11/30/12		02/01/25
R6-Class		0.95	%		03/13/19		02/01/25

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 September 30, 2023, 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:

	2024		2025		2026		Fund Total
A-Class	$	196,169	$	80,282	$	15,216	$	291,667
C-Class		102,752		37,685		6,309		146,746
P-Class		81,801		101,516		99,081		282,398
Institutional Class		6,245,889		7,075,307		4,861,940		18,183,136
R6-Class		59,463		38,182		9,192		106,837

For the year ended September 30, 2023, GI recouped $437,601 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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 year ended September 30, 2023, the Fund waived $1,087,529 related to investments in affiliated funds.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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 year ended September 30, 2023, the Fund entered into reverse repurchase agreements:

Number of Days Outstanding		Balance at September 30, 2023			Average Balance Outstanding		Average Interest Rate
	211	$	—	*	$	304,478,898		3.83	%

* As of September 30, 2023, there were no open reverse repurchase agreements

Note 7 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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 (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	346,075,668	$	1,276,126	$	347,351,794

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	305,050,763	$	—	$	305,050,763

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	47,136,918	$	—	$	(883,723,338	)	$	(207,484,654	)	$	(34,380,013	)	$	(1,078,451,087	)

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term		Long-Term			Total Capital Loss Carryforward
$	—	$	(207,484,654	)	$	(207,484,654	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities and swap agreements, the “mark-to-market” of certain derivatives, investments in bonds, foreign currency gains and losses, losses deferred due to wash sales, dividends payable, amortization, recharacterization of income from investments, and transactions with the Fund’s wholly owned subsidiary. Additional differences may result from investments in partnerships, distribution reclass, the “mark-to-market” of certain foreign denominated securities, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	19,711,568	$	(19,711,568	)

At September 30, 2023, 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)
$	6,701,892,398	$	3,685,439	$	(887,918,432	)	$	(884,232,993	)

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 8 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	1,379,632,781	$	2,841,292,119

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	199,113,018	$	285,073,983

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 year ended September 30, 2023, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2023, were as follows:

Borrower	Maturity Date		Face Amount*		Value
Avalara, Inc.		10/19/28	$	1,600,000	$	19,478
Care BidCo		05/04/28		EUR 9,200,000		595,119
Checkers Holdings, Inc.		06/16/27		262,053		—
Finastra		09/13/29		761,458		93,301
Fontainbleau Vegas		01/31/26		3,523,283		—
Galls LLC		01/31/24		305,108		7,628
Higginbotham Insurance Agency, Inc.		11/25/28		2,250,000		22,044
Lightning A		03/01/37		17,029,255		—
Lightning B		03/01/37		3,425,425		—
Orion Group		03/19/27		2,837,255		35,508
Polaris Newco LLC		06/04/26		5,477,389		367,084
RLDatix		10/28/24		GBP 6,186,784		141,151

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Borrower	Maturity Date		Face Amount*		Value
Schur Flexibles GmbH		09/30/26		EUR 214,755	$	10,598
Shaw Development LLC		11/22/23		6,900,000		—
The Facilities Group		11/30/27		774,440		18,393
Thunderbird A		03/01/37		17,284,000		—
Thunderbird B		03/01/37		3,476,667		—
TK Elevator Midco GmbH		01/29/27		EUR 11,308,020		679,925
WellSky Corp.		11/24/23		12,400,000		—
					$	1,990,229

*	The face amount is denominated in U.S. dollars unless otherwise indicated.
	EUR — Euro
	GBP — British Pound

Note 10 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Atlas Mara Ltd.
due 12/31/211		10/01/15	$	6,243,950	$	2,154,120
CFMT LLC
2022-HB9 3.25% (WAC) due 09/25/372		09/23/22		7,582,690		7,140,481
Copper River CLO Ltd.
2007-1A INC, due 01/20/213		05/09/14		—		815
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,710,483		89,557
			$	15,537,123	$	9,384,973

1	Security is in default of interest and/or principal obligations.
2	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
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, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded)

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”, SOFR 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 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 Fund’s Consolidated Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the consolidated financial statements are issued 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 ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Macro Opportunities Fund

Opinion on the Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities of Guggenheim Macro Opportunities Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the consolidated schedule of investments, as of September 30, 2023, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1) . See the qualified interest income in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	1.52	%		1.46	%		73.24	%

With respect to the taxable year ended September 30, 2023, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	1,276,126	$	—

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 the 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.

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OTHER INFORMATION (Unaudited)(continued)

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the 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 the 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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.    

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 Consolidated 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.

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OTHER INFORMATION (Unaudited)(continued)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year 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.

Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	●	Guggenheim Core Bond Fund (“Core Bond Fund”)*
●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
●	Guggenheim High Yield Fund (“High Yield Fund”)*	●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**1

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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OTHER INFORMATION (Unaudited)(continued)

●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund

108 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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OTHER INFORMATION (Unaudited)(continued)

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s

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OTHER INFORMATION (Unaudited)(continued)

defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

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OTHER INFORMATION (Unaudited)(continued)

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the

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OTHER INFORMATION (Unaudited)(continued)

Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The

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OTHER INFORMATION (Unaudited)(continued)

total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

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Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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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 - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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 - continued
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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***
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing Director, Guggenheim Investments (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with 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); Senior Managing Director, 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
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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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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

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 131

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Floating Rate Strategies Fund

GuggenheimInvestments.com FR-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
FLOATING RATE STRATEGIES FUND	9
NOTES TO FINANCIAL STATEMENTS	51
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	70
OTHER INFORMATION	72
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	86
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	95
LIQUIDITY RISK MANAGEMENT PROGRAM	99

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (“Fund”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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 ANNUAL REPORT

September 30, 2023

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 ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting Period.

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

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

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

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

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

S&P 500^® Index is a 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 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 March 31, 2023 and ending September 30, 2023.

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 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 ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		1.02	%		6.41	%	$	1,000.00	$	1,064.10	$	5.28
C-Class		1.78	%		6.01	%		1,000.00		1,060.10		9.19
P-Class		1.02	%		6.40	%		1,000.00		1,064.00		5.28
Institutional Class		0.78	%		6.53	%		1,000.00		1,065.30		4.04
R6-Class		0.74	%		6.54	%		1,000.00		1,065.40		3.83
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		1.02	%		5.00	%	$	1,000.00	$	1,019.95	$	5.16
C-Class		1.78	%		5.00	%		1,000.00		1,016.14		9.00
P-Class		1.02	%		5.00	%		1,000.00		1,019.95		5.16
Institutional Class		0.78	%		5.00	%		1,000.00		1,021.16		3.95
R6-Class		0.74	%		5.00	%		1,000.00		1,021.36		3.75

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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Floating Rate Strategies Fund (“Fund”). The Fund is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and Christopher Keywork, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund provided a total return of 13.47%¹ , outperforming the Credit Suisse Leveraged Loan Index, the Fund’s benchmark (“Benchmark”), which returned 12.47% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

Leveraged loans had strong performance for the Reporting Period, putting the asset class on pace for its best calendar year since the global financial crisis. Loans also outperformed many other credit asset classes in the Reporting Period, as the high base rate has translated into higher coupons and driven historically high interest returns. Meanwhile, fixed-rate asset classes have felt the negative impact of duration. The technical backdrop has also remained supportive for loan prices, as demand, driven by solid collateralized loan obligation (“CLO”) origination, has outpaced meager new money supply.

The primary driver of relative return for the Reporting Period continues to be strong credit selection driven by our bottom-up process. Credit selection in the Consumer Non-Cyclicals and Capital Goods sectors, as well as in the CCC ratings segment, were the largest drivers of performance. The Fund’s underweight to the CCC ratings segment and avoidance of defaulted issuers also contributed to performance. An underweight to the BB ratings segment, a result of relative-value driven portfolio construction, also was a contributor. Given liquidity requirements, the Fund has an allocation to a bank loan ETF which hurt performance, as the holding underperformed the broader market. An underweight to the technology sector also slightly detracted from performance.

How did the Fund use derivatives during the Reporting Period?

The Fund used forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had a negative impact on performance for the Reporting Period.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

How was the Fund positioned at the end of the Reporting Period?

Discount margins (spreads) broadly tightened during the Reporting Period, ending at about 550 basis points, 65 basis points tighter of where they started the Reporting Period. One basis point (“bps”) is equal to 0.01%. While issuer fundamentals remain in a satisfactory position, we remain cautious of where we are in the cycle. Despite markets tightening on the prospect of a soft landing, we think credit selection will be particularly important over the next 12-18 months.

The Fund remains up-in-quality and is well-positioned amid the market volatility to take advantage of any spread widening. At the end of the Reporting Period, the Fund was underweight the CCC-and-below segment by approximately 375 basis points, and the distress ratio (loans trading below 80) was 1.2% for the portfolio versus 4.1% for the Benchmark. Our bottom-up process has limited volatility to the downside and to credit losses, and we also believe Fund constituents remain up-in-quality from a fundamentals standpoint versus the Benchmark.

In terms of portfolio positioning, although focus has shifted slightly to the primary market, we continue to review both primary and secondary market opportunities, evaluate the risk of our existing positions, and look to use the market strength to opportunistically exit or trim some names we believe have traded up tight to fair value.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect deduction of the sales charge or taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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
SPDR Blackstone Senior Loan ETF	2.8%
Bombardier Recreational Products, Inc., 7.42%	1.0%
First Brands Group LLC, 10.88%	0.9%
Hunter Douglas, Inc., 8.89%	0.9%
Arcline FM Holdings LLC, 10.40%	0.9%
Fertitta Entertainment LLC, 9.32%	0.9%
Del Monte Foods, Inc., 9.67%	0.9%
Osmosis Holdings Australia II Pty Ltd., 9.08%	0.9%
Medical Solutions Parent Holdings, Inc., 8.77%	0.9%
Ascend Learning LLC, 8.92%	0.8%
Top Ten Total	10.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Cumulative Fund Performance*

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	13.47%	3.69%	3.75%
A-Class Shares with sales charge†	10.08%	3.06%	3.25%
C-Class Shares	12.58%	2.92%	2.98%
C-Class Shares with CDSC‡	11.58%	2.92%	2.98%
Institutional Class Shares	13.68%	3.93%	4.00%
Credit Suisse Leveraged Loan Index	12.47%	4.31%	4.33%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	13.46%	3.69%	3.62%
Credit Suisse Leveraged Loan Index	12.47%	4.31%	4.32%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	13.87%	4.36%
Credit Suisse Leveraged Loan Index	12.47%	4.59%

*	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. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
†	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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
BBB	4.3%
BB	27.8%
B	59.8%
CCC	2.0%
CC	0.5%
NR2	1.9%
Other Instruments	3.7%
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.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS††† - 0.0%
Industrial - 0.0%
BP Holdco LLC*,1		244,278	$	313,770
Vector Phoenix Holdings, LP*		244,278		15,006
API Heat Transfer Parent LLC*		4,994,727		499
Targus, Inc.*		12,773		377
Targus, Inc.*		12,773		377
Targus, Inc.*		12,773		307
YAK BLOCKER 2 LLC*		15,530		155
YAK BLOCKER 2 LLC*		14,354		144
Targus , Inc.*		12,773		140
Targus, Inc.*		12,773		1
Total Industrial				330,776
Energy - 0.0%
Permian Production Partners LLC*		401,481		15,968
Financial - 0.0%
Tensor Ltd.*		177,413		18
Total Common Stocks
(Cost $1,536,493)				346,762
PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
API Heat Transfer Intermediate *		618		280,462
YAK BLOCKER 2 LLC *		853,214		213,445
Total Industrial				493,907
Total Preferred Stocks
(Cost $2,861,906)				493,907
EXCHANGE-TRADED FUNDS† - 2.8%
SPDR Blackstone Senior Loan ETF		676,240		28,354,743
Total Exchange-Traded Funds
(Cost $28,000,558)				28,354,743
MONEY MARKET FUND† - 0.8%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 5.20%2		7,998,678		7,998,678
Total Money Market Fund
(Cost $7,998,678)				7,998,678
	Face Amount~
SENIOR FLOATING RATE INTERESTS††,◊ - 89.9%
Consumer, Non-cyclical - 18.3%
Bombardier Recreational Products, Inc.
7.42% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/24/27		9,851,169		9,781,423
Del Monte Foods, Inc.
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/16/29		9,527,005		9,250,150
Osmosis Holdings Australia II Pty Ltd.
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/30/28		9,138,644		9,037,296
Medical Solutions Parent Holdings, Inc.
8.77% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/01/28		9,167,873		8,855,156

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
National Mentor Holdings, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/02/28		8,732,139	$	7,753,441
9.24% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/02/28		276,228		245,269
Hayward Industries, Inc.
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 05/30/28		7,624,500		7,564,114
Kronos Acquisition Holdings, Inc.
9.40% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/22/26		7,245,125		7,199,843
VC GB Holdings I Corp.
8.65% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 07/21/28		7,288,533		7,138,827
Medline Borrower LP
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/23/28		7,092,000		7,068,596
Quirch Foods Holdings LLC
10.45% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27		6,617,924		6,580,731
Mission Veterinary Partners
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28		6,377,387		6,305,641
HAH Group Holding Co. LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		6,227,400		6,133,989
Electron BidCo, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 11/01/28		6,030,760		6,000,606
Grifols Worldwide Operations USA, Inc.
7.42% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/15/27		6,030,304		5,923,267
Weber-Stephen Products LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/29/27		6,379,866		5,731,225
Froneri US, Inc.
7.67% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 01/29/27		5,436,780		5,391,655

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Triton Water Holdings, Inc.
8.90% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/31/28		5,332,738	$	5,190,514
Dermatology Intermediate Holdings III, Inc.
9.62% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		4,359,618		4,328,011
9.62% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/30/29		816,456		810,536
Phoenix Newco, Inc.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/15/28		4,925,000		4,885,846
Southern Veterinary Partners LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27		4,687,163		4,653,462
Chefs’ Warehouse, Inc.
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29		4,478,167		4,489,362
Perrigo Investments LLC
7.67% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 04/20/29		4,433,825		4,413,031
Resonetics LLC
9.63% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/28/28		3,545,729		3,474,814
CHG PPC Parent LLC
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 12/08/28		3,438,890		3,408,800
Elanco Animal Health, Inc.
7.18% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/02/27		2,929,404		2,870,406
Topgolf Callaway Brands Corp.
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 03/15/30		2,865,600		2,847,088
TGP Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28		3,049,759		2,778,331
Cambrex Corp.
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/04/26		2,595,327		2,579,106

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Balrog Acquisition, Inc.
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/05/28†††		2,588,770	$	2,569,354
Hostess Brands LLC
7.89% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 06/28/30		2,514,551		2,517,166
Fortrea Holdings, Inc.
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/01/30		2,513,700		2,503,218
Heritage Grocers Group LLC
12.24% (3 Month Term SOFR + 6.75%, Rate Floor: 6.75%) due 08/01/29		2,490,522		2,488,455
Sigma Holding BV (Flora Food)
7.41% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	2,258,979		2,379,226
Energizer Holdings, Inc.
7.69% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 12/22/27		2,329,875		2,319,973
Blue Ribbon LLC
11.44% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28		2,584,615		2,171,077
Aramark Services, Inc.
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 06/22/30		1,496,250		1,492,509
DaVita, Inc.
7.18% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/12/26		1,492,161		1,472,583
Endo Luxembourg Finance Company I SARL
14.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28		1,896,000		1,352,095
Upstream Newco, Inc.
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 11/20/26		733,125		701,601
PlayCore
9.38% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/29/27		632,392		630,419
Mamba Purchaser, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/16/28		312,983		311,678
Total Consumer, Non-cyclical				185,599,890

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Industrial - 17.5%
Hunter Douglas, Inc.
8.89% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/26/29		9,662,576	$	9,394,439
Arcline FM Holdings LLC
10.40% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28		9,422,700		9,348,072
Pelican Products, Inc.
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28		9,005,128		8,509,846
American Bath Group LLC
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/23/27		8,781,501		8,263,744
CPG International LLC
7.92% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/29		6,930,000		6,921,338
Aegion Corp.
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 05/17/28		6,896,511		6,842,028
LTI Holdings, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 09/08/25		6,847,946		6,659,627
PECF USS Intermediate Holding III Corp.
9.88% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/15/28		7,806,694		6,234,894
TricorBraun Holdings, Inc.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/03/28		6,173,733		6,049,579
Park River Holdings, Inc.
8.52% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 12/28/27		5,984,684		5,767,081
USIC Holding, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/12/28		5,250,368		5,158,487
White Cap Supply Holdings LLC
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/19/27		4,962,217		4,948,670
Titan Acquisition Ltd. (Husky)
8.73% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/28/25		4,937,422		4,891,751

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
API Heat Transfer
16.65% (1 Month Term SOFR) (in-kind rate was 16.65%) due 01/01/24†††,3		4,407,563	$	4,042,783
16.43% (1 Month Term SOFR) (in-kind rate was 16.43%) due 10/31/23†††,3		786,356		786,356
Duran Group Holding GmbH
8.59% (6 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 05/31/26†††	EUR	4,527,760		4,727,887
Brown Group Holding LLC
8.17% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 06/07/28		4,464,298		4,418,718
STS Operating, Inc. (SunSource)
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/11/24		3,999,789		3,997,789
Engineered Machinery Holdings, Inc.
9.15% (3 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 05/19/28		3,900,227		3,875,851
DG Investment Intermediate Holdings 2, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/31/28		3,812,376		3,741,695
Ravago Holdings America, Inc.
8.15% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 03/04/28		3,671,084		3,597,662
Pro Mach Group, Inc.
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 08/31/28		3,420,031		3,420,476
Berlin Packaging LLC
9.20% ((1 Month Term SOFR + 3.75%) and (3 Month Term SOFR + 3.75%), Rate Floor: 3.75%) due 03/13/28		3,381,000		3,340,563
Hillman Group, Inc.
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/14/28		3,278,174		3,273,060
Mirion Technologies, Inc.
8.40% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 10/20/28		3,065,287		3,060,475

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Anchor Packaging LLC
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/18/26		3,049,155	$	3,015,797
Alliance Laundry Systems LLC
8.90% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/08/27		3,009,107		3,005,346
Quikrete Holdings, Inc.
8.20% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/19/29		2,937,688		2,943,946
Transdigm, Inc.
8.64% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 08/24/28		2,897,169		2,896,705
DXP Enterprises, Inc.
10.44% (6 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 12/23/27		2,870,483		2,859,719
Service Logic Acquisition, Inc.
9.63% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/29/27		2,735,969		2,724,013
Standard Industries, Inc.
7.94% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 09/22/28		2,501,912		2,499,986
Michael Baker International LLC
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 12/01/28		2,244,289		2,227,457
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27		2,100,000		2,178,981
Air Canada
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28		2,172,500		2,172,044
Charter Next Generation, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/01/27		2,148,018		2,126,538
Fugue Finance LLC
9.92% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/31/28		2,120,141		2,121,328
Beacon Roofing Supply, Inc.
7.68% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 05/19/28		2,113,782		2,111,351

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
TK Elevator Midco GmbH
9.38% (6 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 07/30/27		1,848,398	$	1,842,853
United Airlines, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/21/28		1,837,353		1,837,775
Protective Industrial Products, Inc.
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/29/27		1,818,283		1,754,643
EMRLD Borrower LP
8.32% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 05/31/30		1,757,488		1,754,201
CPM Holdings, Inc.
due 09/22/28		1,576,025		1,571,108
Barnes Group, Inc.
8.42% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/03/30		1,525,000		1,525,763
Sundyne (Star US Bidco)
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/17/27		1,461,366		1,456,339
Bleriot US Bidco LLC
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/31/28		998,747		998,747
ProAmpac PG Borrower LLC
due 09/26/28		661,500		657,200
Osmose Utility Services, Inc.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/23/28		485,088		480,843
Total Industrial				178,035,554
Consumer, Cyclical - 16.5%
First Brands Group LLC
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27		11,857,237		11,680,638
Fertitta Entertainment LLC
9.32% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/29		9,357,500		9,252,228
Restaurant Brands
7.57% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 09/13/30		8,111,524		8,076,077
WIRB - Copernicus Group, Inc.
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/08/27		7,276,052		7,185,101

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Congruex Group LLC
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29		6,912,500	$	6,791,531
Zephyr Bidco Ltd.
9.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	5,265,000		6,329,897
PetSmart LLC
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/11/28		6,223,000		6,197,424
Thevelia US LLC
9.54% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 06/18/29		6,207,638		6,189,512
Eagle Parent Corp.
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/02/29		6,279,375		6,089,675
American Tire Distributors, Inc.
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28		6,912,500		6,021,064
Scientific Games Holdings, LP
8.77% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/04/29		5,890,500		5,851,210
Truck Hero, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 01/31/28		5,860,177		5,585,979
Petco Health And Wellness Company, Inc.
8.90% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/03/28		5,179,248		5,114,508
Belron Finance US LLC
8.16% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 04/18/29		3,990,000		3,988,763
Ontario Gaming GTA LP
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/01/30		3,977,906		3,977,906
Galaxy US Opco, Inc.
10.07% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 04/30/29		4,109,390		3,909,057
Alterra Mountain Co.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/17/28		3,579,588		3,567,668
EG Finco Limited
7.86% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/28	EUR	1,958,645		2,010,920

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
7.86% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25	EUR	1,013,663	$	1,070,525
Rent-A-Center, Inc.
8.88% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/17/28		3,061,373		3,048,944
Mavis Tire Express Services TopCo Corp.
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/04/28		3,050,000		3,039,325
Wyndham Hotels & Resorts, Inc.
7.67% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 05/24/30		3,035,043		3,035,043
Stars Group (Amaya)
7.90% (3 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/21/26		2,935,946		2,931,983
Michaels Stores, Inc.
9.90% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/15/28		3,203,501		2,916,627
Clarios Global LP
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 05/06/30		2,900,058		2,891,010
Guardian US HoldCo LLC
9.39% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/31/30		2,743,125		2,743,811
Entain Holdings (Gibraltar) Ltd.
7.99% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 03/29/27		2,667,366		2,660,217
TTF Holdings Intermediate LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 03/31/28		2,661,120		2,656,676
CCRR Parent, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/06/28		2,785,714		2,653,393
Packers Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/09/28		4,451,092		2,626,144
Match Group, Inc.
7.30% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 02/13/27		2,500,000		2,488,275
AlixPartners, LLP
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 02/04/28		2,487,180		2,483,449

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Peloton Interactive, Inc.
12.26% (6 Month Term SOFR + 7.00%, Rate Floor: 7.00%) due 05/25/27		2,468,750	$	2,466,281
Hanesbrands, Inc.
9.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/08/30		2,437,750		2,382,901
Seren BidCo AB
8.45% (3 Month SOFR + 3.15%, Rate Floor: 3.15%) due 11/16/28		2,161,500		2,141,247
BCPE Empire Holdings, Inc.
10.07% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 12/11/28		2,024,426		2,022,402
Alexander Mann
11.37% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27		1,971,200		1,921,920
TMF Sapphire Bidco BV
10.37% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 05/03/28		1,858,571		1,851,601
Burlington Stores, Inc.
7.43% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 06/26/28		1,813,200		1,809,428
GoDaddy Operating Co.
7.82% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 11/10/29		1,725,000		1,725,535
Caesars Entertainment, Inc.
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/06/30		1,691,500		1,690,451
WW International, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28		1,653,750		1,243,074
Sweetwater Sound
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/07/28†††		1,141,336		1,104,243
American Trailer World Corp.
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/03/28		1,085,951		1,040,102
SHO Holding I Corp.
10.88% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 04/26/24		552,713		366,631
10.86% (3 Month Term SOFR + 5.23%, Rate Floor: 5.23%) due 04/29/24		7,872		5,222

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
EG Finco Ltd.
9.41% (1 Month SOFR + 4.00%, Rate Floor: 4.00%) due 02/07/28†††		159,262	$	151,299
9.41% (6 Month Term SOFR + 5.38%, Rate Floor: 5.38%) due 02/07/25†††		75,363		75,175
New Trojan Parent, Inc.
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28		205,601		107,256
Total Consumer, Cyclical				167,169,348
Financial - 11.3%
NFP Corp.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/15/27		7,608,522		7,505,275
USI, Inc.
9.14% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/22/29		5,507,937		5,499,510
due 09/13/30		1,497,529		1,492,849
AqGen Island Holdings, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/02/28		6,904,369		6,822,415
AmWINS Group, Inc.
7.68% (1 Month Term SOFR + 2.25%, Rate Floor: 3.00%) due 02/22/28		6,837,163		6,789,782
Teneo Holdings LLC
10.67% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25		6,641,745		6,631,782
Citadel Securities, LP
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 07/29/30		6,444,827		6,424,719
Aretec Group, Inc.
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/01/25		3,383,665		3,380,146
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/09/30		2,623,014		2,600,063
Jane Street Group LLC
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/26/28		4,840,208		4,822,057
Duff & Phelps
9.14% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		4,885,163		4,757,954
Nexus Buyer LLC
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/09/26		4,589,233		4,517,917

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Focus Financial Partners, LLC
8.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/30/28		4,207,500	$	4,192,900
Franchise Group, Inc.
10.31% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26		3,955,564		3,614,397
Alliant Holdings Intermediate LLC
8.83% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 11/05/27		3,552,447		3,544,667
Virtu Financial
8.42% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/12/29		3,564,000		3,532,067
Worldpay
due 09/21/30		3,530,000		3,527,811
Ryan Specialty Group LLC
8.42% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 09/01/27		3,492,000		3,488,264
Apex Group Treasury LLC
9.38% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/27/28		3,430,000		3,394,259
Cobham Ultra SeniorCo SARL
9.36% (6 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 08/06/29		3,267,124		3,245,332
Asurion LLC
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28		3,174,050		3,078,828
Zodiac Pool Solutions LLC
7.34% (1 Month Term SOFR + 1.93%, Rate Floor: 1.93%) due 01/29/29		3,014,770		2,992,912
FleetCor Technologies Operating Company LLC
7.17% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/28/28		2,968,282		2,955,459
Delos Aircraft Leasing
7.40% (3 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 10/31/27		2,808,571		2,810,341
HighTower Holding LLC
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28		2,646,000		2,639,385

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
HarbourVest Partners, LP
8.39% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 04/20/30		2,584,351	$	2,580,035
Capstone Borrower, Inc.
9.14% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 06/17/30		2,143,256		2,132,540
Apex Group Treasury LLC
10.31% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 07/27/28†††		2,084,250		2,084,250
GIP Pilot Acquisition Partners LP
due 09/15/30		1,609,650		1,603,614
Jones Deslauriers Insurance Management, Inc.
9.62% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/15/30		1,585,000		1,587,980
HUB International Ltd.
9.58% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 06/20/30		644,234		645,309
Total Financial				114,894,819
Technology - 11.3%
Ascend Learning LLC
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/11/28		8,940,750		8,511,862
Athenahealth Group, Inc.
8.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/15/29		8,600,950		8,426,264
Emerald TopCo, Inc. (Press Ganey)
9.18% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/24/26		8,419,146		8,084,485
CoreLogic, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/02/28		8,543,930		7,878,187
Peraton Corp.
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/01/28		7,395,576		7,372,501
Atlas CC Acquisition Corp.
9.93% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28		6,752,722		6,280,031

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Boxer Parent Company, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/02/25		5,977,525	$	5,968,439
Polaris Newco LLC
9.43% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 06/02/28		5,969,543		5,707,301
Wrench Group LLC
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/30/26		5,397,819		5,377,577
Cloud Software Group, Inc.
9.99% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/29/28		4,938,577		4,734,170
Conair Holdings LLC
9.40% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 05/17/28		4,523,860		4,324,041
Sabre GLBL, Inc.
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 06/30/28		3,296,299		2,896,623
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 12/17/27		1,351,884		1,179,519
CCC Intelligent Solutions, Inc.
7.68% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 09/21/28		3,920,126		3,906,248
Indicor LLC
9.89% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 11/22/29		3,804,679		3,810,120
Taxware Holdings (Sovos Compliance LLC)
9.93% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/11/28		3,736,298		3,671,772
Epicor Software
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 07/30/27		3,664,987		3,656,961
Park Place Technologies, LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27		3,601,113		3,539,606
Project Ruby Ultimate Parent Corp.
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/10/28		3,412,500		3,364,862

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Gen Digital, Inc.
7.42% (1 Month Term SOFR + 2.10%, Rate Floor: 2.10%) due 09/12/29		3,212,940	$	3,200,089
CDK Global, Inc.
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 07/06/29		2,977,500		2,975,892
RealPage, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 04/24/28		2,978,305		2,941,076
Entegris, Inc.
7.87% ((1 Month Term SOFR + 2.50%) and (3 Month Term SOFR + 2.50%), Rate Floor: 2.50%) due 07/06/29		2,793,791		2,792,925
Dun & Bradstreet
8.17% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 02/06/26		1,655,624		1,651,998
World Wide Technology Holding Co. LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/01/30		1,566,075		1,564,117
Imprivata, Inc.
9.57% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/01/27		641,875		641,073
Total Technology				114,457,739
Communications - 8.4%
Zayo Group Holdings, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,648,468		5,413,914
9.64% (1 Month Term SOFR + 4.33%, Rate Floor: 4.33%) due 03/09/27		3,940,000		3,192,385
McGraw Hill LLC
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/28/28		8,529,930		8,346,878
Virgin Media Bristol LLC
7.95% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/31/28		7,916,233		7,679,775

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Xplornet Communications, Inc.
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/02/28		8,484,439	$	6,626,347
Ziggo Financing Partnership
7.95% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/28		6,685,000		6,523,424
CSC Holdings LLC
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28		6,728,265		6,363,795
Titan AcquisitionCo New Zealand Ltd. (Trade Me)
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/18/28		6,380,170		6,244,591
Cengage Learning Acquisitions, Inc.
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26		5,080,358		5,049,875
Altice France SA
10.81% (3 Month Term SOFR + 5.50%, Rate Floor: 5.50%) due 08/15/28		4,929,984		4,450,543
Telenet Financing USD LLC
7.45% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 04/28/28		4,000,000		3,888,760
Radiate Holdco LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/25/26		4,604,486		3,755,327
Playtika Holding Corp.
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 03/13/28		3,542,411		3,535,786
WMG Acquisition Corp.
7.56% (1 Month Term SOFR + 2.13%, Rate Floor: 2.13%) due 01/20/28		3,500,000		3,496,605
Cincinnati Bell, Inc.
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/22/28		2,848,006		2,791,502
Level 3 Financing, Inc.
7.18% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 03/01/27		2,588,000		2,439,837
Authentic Brands
9.42% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/21/28		2,104,790		2,103,485
Simon & Schuster
due 09/26/30		2,066,400		2,050,902

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
UPC Broadband Holding BV
8.37% (1 Month Term SOFR + 2.93%, Rate Floor: 2.93%) due 01/31/29		1,464,906	$	1,441,101
Total Communications				85,394,832
Basic Materials - 3.8%
CTEC III GmbH
7.28% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/16/29	EUR	7,500,000		7,824,918
Illuminate Buyer LLC
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/30/27		7,559,411		7,533,558
Arsenal AIC Parent LLC
9.88% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/19/30		4,130,800		4,118,738
Nouryon USA LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28		1,813,253		1,787,559
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/03/28		1,351,613		1,333,596
NIC Acquisition Corp.
9.40% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/29/27		3,528,762		2,904,912
INEOS Ltd.
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/29/26		2,541,500		2,527,522
LSF11 A5 HoldCo LLC
9.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/16/28		2,546,840		2,508,637
Vantage Specialty Chemicals, Inc.
10.08% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 10/26/26		2,257,938		2,206,005
W.R. Grace Holdings LLC
9.40% (3 Month USD SOFR + 3.75%, Rate Floor: 4.25%) due 09/22/28		1,719,375		1,702,903
DCG Acquisition Corp.
9.92% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 09/30/26		1,678,550		1,660,187
Ineos US Finance LLC
8.92% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 02/18/30		1,366,575		1,354,617
Trinseo Materials Operating S.C.A.
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/03/28		1,564,000		1,308,959
Total Basic Materials				38,772,111

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Energy - 2.1%
TransMontaigne Operating Company LP
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 11/17/28		3,602,754	$	3,585,389
AL GCX Holdings LLC
8.94% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 05/17/29		3,509,143		3,509,143
Par Petroleum LLC
9.77% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 02/28/30		3,203,900		3,194,545
Traverse Midstream Partners LLC
9.22% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/16/28		3,139,844		3,131,021
BANGL LLC
9.83% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29		2,628,791		2,604,159
Buckeye Partners, LP
7.67% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 11/02/26		2,396,340		2,392,745
UGI Energy Services LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/22/30		1,588,257		1,583,428
Permian Production Partners LLC
13.43% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) (in-kind rate was 2.00%) due 11/24/25†††,3		823,163		819,047
Total Energy				20,819,477
Utilities - 0.7%
Calpine Construction Finance Company, LP
7.57% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 07/31/30		4,990,000		4,959,711
TerraForm Power Operating LLC
7.99% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/21/29		1,966,924		1,949,103
Granite Generation LLC
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/09/26		308,728		301,677
Total Utilities				7,210,491
Total Senior Floating Rate Interests
(Cost $933,502,205)				912,354,261

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
CORPORATE BONDS†† - 4.3%
Consumer, Non-cyclical - 2.1%
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/264		2,875,000	$	2,817,500
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/284		2,975,000		2,699,307
CPI CG, Inc.
8.63% due 03/15/264		2,689,000		2,649,176
Sotheby’s
7.38% due 10/15/274		2,875,000		2,646,201
ADT Security Corp.
4.13% due 08/01/294		2,875,000		2,430,841
Tenet Healthcare Corp.
4.38% due 01/15/30		2,800,000		2,408,348
Nathan’s Famous, Inc.
6.63% due 11/01/254		2,279,000		2,267,605
WW International, Inc.
4.50% due 04/15/294		2,875,000		2,019,688
HCA, Inc.
4.50% due 02/15/27		1,500,000		1,431,907
Total Consumer, Non-cyclical				21,370,573
Communications - 0.9%
VZ Secured Financing BV
5.00% due 01/15/324		3,500,000		2,749,440
LCPR Senior Secured Financing DAC
6.75% due 10/15/274		2,875,000		2,640,688
Altice France S.A.
5.50% due 10/15/294		2,850,000		2,049,478
McGraw-Hill Education, Inc.
5.75% due 08/01/284		1,575,000		1,358,831
Total Communications				8,798,437
Industrial - 0.6%
New Enterprise Stone & Lime Company, Inc.
5.25% due 07/15/284		2,875,000		2,579,652
GrafTech Global Enterprises, Inc.
9.88% due 12/15/284		2,120,000		2,008,700
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/264		1,412,000		1,343,108
Total Industrial				5,931,460
Consumer, Cyclical - 0.4%
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/294		5,000,000		4,237,500
Basic Materials - 0.2%
WR Grace Holdings LLC
4.88% due 06/15/274		1,975,000		1,811,939
Mirabela Nickel Ltd.
due 06/24/19†††,5,6		1,279,819		60,792
Total Basic Materials				1,872,731
Financial - 0.1%
Hunt Companies, Inc.
5.25% due 04/15/294		1,850,000		1,452,998
Total Corporate Bonds
(Cost $50,284,134)				43,663,699
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 0.9%
Residential Mortgage-Backed Securities - 0.9%
RALI Series Trust
2006-QO6, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 06/25/46◊		10,472,375		2,405,746

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
2006-QO2, 5.87% (1 Month Term SOFR + 0.55%, Rate Floor: 0.44%) due 02/25/46◊		416,751	$	80,411
Washington Mutual Mortgage Pass-Through Certificates Trust
2007-OA6, 5.44% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊		2,267,959		1,777,267
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 5.47% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		1,514,473		1,205,213
American Home Mortgage Assets Trust
2006-4, 5.64% (1 Month Term SOFR + 0.32%, Rate Floor: 0.32%) due 10/25/46◊		2,221,164		1,169,770
Lehman XS Trust Series
2006-16N, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 11/25/46◊		1,232,232		1,040,379
Nomura Resecuritization Trust
2015-4R, 2.73% (1 Month Term SOFR + 0.54%, Rate Floor: 0.43%) due 03/26/36◊,4		553,124		510,202
Alliance Bancorp Trust
2007-OA1, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 07/25/37◊		351,293		290,750
Morgan Stanley Re-REMIC Trust
2010-R5, 3.47% due 06/26/36		253,967		230,215
New Century Home Equity Loan Trust
2004-4, 6.23% (1 Month Term SOFR + 0.91%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/35◊		114,925		110,854
GSAA Home Equity Trust
2007-7, 5.97% (1 Month Term SOFR + 0.65%, Rate Floor: 0.54%) due 07/25/37◊		105,120		95,868
Total Residential Mortgage-Backed Securities				8,916,675
Total Collateralized Mortgage Obligations
(Cost $12,272,865)				8,916,675

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
ASSET-BACKED SECURITIES†† - 0.1%
Collateralized Loan Obligations - 0.1%
Octagon Loan Funding Ltd.
2014-1A SUB, due 11/18/314,7		2,071,948	$	508,877
Treman Park CLO Ltd.
2015-1A COM, due 10/20/284,7		977,702		9,816
Total Collateralized Loan Obligations				518,693
Total Asset-Backed Securities
(Cost $15,421)				518,693
Total Investments - 98.8%
(Cost $1,036,472,260)			$	1,002,647,418
Other Assets & Liabilities, net - 1.2%				11,704,452
Total Net Assets - 100.0%			$	1,014,351,870

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Barclays Bank plc

EUR

Sell

17,729,000

19,065,554 USD

10/16/23

$

308,178

Morgan Stanley Capital Services LLC

GBP

Sell

5,278,000

6,592,385 USD

10/16/23

152,422

$

460,600

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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 — 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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2023.
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 $40,791,548 (cost $48,160,952), or 4.0% 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 $60,792 (cost $1,160,811), or less than 0.1% of total net assets — See Note 9.
6	Security is in default of interest and/or principal obligations.
7	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
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	—	$	—	$	346,762	$	346,762
Preferred Stocks		—		—		493,907		493,907
Exchange-Traded Funds		28,354,743		—		—		28,354,743
Money Market Fund		7,998,678		—		—		7,998,678
Senior Floating Rate Interests		—		895,993,867		16,360,394		912,354,261
Corporate Bonds		—		43,602,907		60,792		43,663,699
Collateralized Mortgage Obligations		—		8,916,675		—		8,916,675
Asset-Backed Securities		—		518,693		—		518,693
Forward Foreign Currency Exchange Contracts**		—		460,600		—		460,600
Total Assets	$	36,353,421	$	949,492,742	$	17,261,855	$	1,003,108,018

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Unfunded Loan Commitments (Note 8)	$	—	$	—	$	249	$	249

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

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 September 30, 2023		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Common Stocks	$	345,043	Enterprise Valuation	Valuation Multiple	2.7x-8.1x		3.0x
Common Stocks		1,701	Model Price	Liquidation Value	—		—
Common Stocks		18	Third Party Pricing	Trade Price	—		—
Corporate Bonds		60,792	Third Party Pricing	Broker Quote	—		—
Preferred Stocks		493,907	Enterprise Valuation	Valuation Multiple	4.8x-4.9x		4.8x
Senior Floating Rate Interests		11,531,255	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		4,829,139	Model Price	Purchase Price	—		—
Total Assets	$	17,261,855
Liabilities:
Unfunded Loan Commitments	$	249	Yield Analysis	Yield	—		—

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

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
FLOATING RATE STRATEGIES FUND

Significant changes in a quote, yield, liquidation value or valuation multiple 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 year ended September 30, 2023, the Fund had securities with a total value of $60,792 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $63,007,979 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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 year ended September 30, 2023:

	Assets														Liabilities
	Corporate Bonds		Senior Floating Rate Interests			Common Stocks			Preferred Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	—	$	71,470,738		$	568,337		$	—	*	$	72,039,075		$	(542,584	)
Purchases/(Receipts)		—		5,043,457			1,665			—			5,045,122			(21,173	)
(Sales, maturities and paydowns)/Fundings		—		(1,525,226	)		(34,345	)		—			(1,559,571	)		(14,634	)
Amortization of premiums/discounts		—		169,434			—			—			169,434			4,539
Corporate actions		—		(2,371,500	)		3,514			2,367,986			—			—
Total realized gains (losses) including in earnings		—		(103,780	)		29,321			—			(74,459	)		94,400
Total change in unrealized appreciation (depreciation) included in earnings		—		6,685,250			(221,730	)		(1,874,079	)		4,589,441			479,203
Transfers into Level 3		60,792		—			—			—			60,792			—
Transfers out of Level 3		—		(63,007,979	)		—			—			(63,007,979	)		—
Ending Balance	$	60,792	$	16,360,394		$	346,762		$	493,907		$	17,261,855		$	(249	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	—	$	1,532,404		$	(194,630	)	$	(1,874,079	)	$	(536,305	)	$	5,770

* Security has a market value of $0.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
FLOATING RATE STRATEGIES 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, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/23		Shares 09/30/23
Common Stocks
BP Holdco LLC*	$	148,128	$	—	$	—		$	—	$	165,642		$	313,770		244,278
Targus Group International Equity, Inc.*		32,125		—		(34,346	)		29,321		(27,100	)		—		—
	$	180,253	$	—	$	(34,346	)	$	29,321	$	138,542		$	313,770

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

FLOATING RATE STRATEGIES FUND

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $1,036,386,004)	$	1,002,333,648
Investments in affiliated issuers, at value (cost $86,256)		313,770
Foreign currency, at value (cost $315,505)		312,167
Cash		4,107,145
Unrealized appreciation on forward foreign currency exchange contracts		460,600
Prepaid expenses		160,947
Receivables:
Securities sold		21,411,061
Interest		5,208,471
Fund shares sold		1,990,917
Investment Adviser		498
Total assets		1,036,299,224
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $6,019)		249
Segregated cash due to broker		280,000
Payable for:
Securities purchased		15,999,842
Fund shares redeemed		4,012,481
Distributions to shareholders		905,997
Management fees		492,030
Distribution and service fees		67,850
Transfer agent/maintenance fees		20,398
Fund accounting/administration fees		11,871
Trustees’ fees*		6,333
Miscellaneous		150,303
Total liabilities		21,947,354
Net assets	$	1,014,351,870
Net assets consist of:
Paid in capital	$	1,218,477,937
Total distributable earnings (loss)		(204,126,067	)
Net assets	$	1,014,351,870
A-Class:
Net assets	$	139,008,222
Capital shares outstanding		5,669,785
Net asset value per share	$	24.52
Maximum offering price per share (Net asset value divided by 97.00%)	$	25.28
C-Class:
Net assets	$	35,818,189
Capital shares outstanding		1,461,470
Net asset value per share	$	24.51
P-Class:
Net assets	$	44,294,766
Capital shares outstanding		1,805,855
Net asset value per share	$	24.53
Institutional Class:
Net assets	$	793,785,281
Capital shares outstanding		32,348,396
Net asset value per share	$	24.54
R6-Class:
Net assets	$	1,445,412
Capital shares outstanding		58,879
Net asset value per share	$	24.55

* 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 ANNUAL REPORT | 41

STATEMENT OF OPERATIONS

FLOATING RATE STRATEGIES FUND

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	2,225,445
Interest from securities of unaffiliated issuers		92,159,755
Total investment income		94,385,200
Expenses:
Management fees		6,968,297
Distribution and service fees:
A-Class		365,471
C-Class		404,521
P-Class		113,787
Transfer agent fees:
A-Class		157,773
C-Class		33,647
P-Class		63,774
Institutional Class		810,431
R6-Class		772
Fund accounting/administration fees		447,441
Line of credit fees		261,275
Professional fees		179,022
Custodian fees		88,854
Trustees’ fees*		28,569
Interest expense		5,998
Miscellaneous		187,831
Recoupment of previously waived fees:
A-Class		38,076
C-Class		17,858
P-Class		11,613
Institutional Class		200,050
R6-Class		1,903
Total expenses		10,386,963
Less:
Expenses reimbursed by Adviser:
A-Class		(122,023	)
C-Class		(29,698	)
P-Class		(51,816	)
Institutional Class		(513,935	)
R6-Class		(302	)
Expenses waived by Adviser		(421,649	)
Earnings credits applied		(48,322	)
Total waived/reimbursed expenses		(1,187,745	)
Net expenses		9,199,218
Net investment income		85,185,982
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(13,441,700	)
Investments in affiliated issuers		29,321
Forward foreign currency exchange contracts		(1,637,530	)
Foreign currency transactions		(63,224	)
Net realized loss		(15,113,133	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		66,928,297
Investments in affiliated issuers		138,542
Forward foreign currency exchange contracts		(199,993	)
Foreign currency translations		(10,920	)
Net change in unrealized appreciation (depreciation)		66,855,926
Net realized and unrealized gain		51,742,793
Net increase in net assets resulting from operations	$	136,928,775

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

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

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	85,185,982		$	45,428,717
Net realized loss on investments		(15,113,133	)		(713,467	)
Net change in unrealized appreciation (depreciation) on investments		66,855,926			(93,645,585	)
Net increase (decrease) in net assets resulting from operations		136,928,775			(48,930,335	)
Distribution to shareholders:
A-Class		(11,434,737	)		(5,383,798	)
C-Class		(2,844,666	)		(1,451,264	)
P-Class		(3,555,101	)		(1,548,137	)
Institutional Class		(66,543,982	)		(37,281,786	)
R6-Class		(903,249	)		(115,580	)
Total distributions to shareholders		(85,281,735	)		(45,780,565	)
Capital share transactions:
Proceeds from sale of shares
A-Class		37,817,506			86,259,585
C-Class		4,906,993			18,060,964
P-Class		26,809,190			22,630,959
Institutional Class		419,167,716			926,922,817
R6-Class		30,694,165			21,224,287
Distributions reinvested
A-Class		9,830,459			4,723,427
C-Class		2,422,173			1,239,205
P-Class		3,544,719			1,548,137
Institutional Class		55,637,014			31,534,585
R6-Class		898,525			113,860
Cost of shares redeemed
A-Class		(69,825,528	)		(49,092,897	)
C-Class		(20,716,384	)		(20,703,994	)
P-Class		(31,805,294	)		(12,692,806	)
Institutional Class		(700,163,252	)		(614,692,477	)
R6-Class		(32,266,778	)		(20,581,634	)
Net increase (decrease) from capital share transactions		(263,048,776	)		396,494,018
Net increase (decrease) in net assets		(211,401,736	)		301,783,118
Net assets:
Beginning of year		1,225,753,606			923,970,488
End of year	$	1,014,351,870		$	1,225,753,606

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		1,569,726			3,504,723
C-Class		204,188			730,311
P-Class		1,116,540			908,598
Institutional Class		17,415,091			37,486,066
R6-Class		1,288,449			844,995
Shares issued from reinvestment of distributions
A-Class		408,128			194,916
C-Class		100,670			51,183
P-Class		147,100			64,407
Institutional Class		2,308,872			1,301,654
R6-Class		37,421			4,639
Shares redeemed
A-Class		(2,905,865	)		(2,019,443	)
C-Class		(863,523	)		(846,761	)
P-Class		(1,323,129	)		(519,050	)
Institutional Class		(29,241,651	)		(25,255,077	)
R6-Class		(1,340,629	)		(826,042	)
Net increase (decrease) in shares		(11,078,612	)		15,625,119

44 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.37		$	25.09		$	24.08		$	25.23		$	25.92
Income (loss) from investment operations:
Net investment income (loss)a		1.88			.87			.83			1.02			1.17
Net gain (loss) on investments (realized and unrealized)		1.16			(1.72	)		1.02			(1.16	)		(.67	)
Total from investment operations		3.04			(.85	)		1.85			(.14	)		.50
Less distributions from:
Net investment income		(1.89	)		(.87	)		(.83	)		(.83	)		(1.19	)
Return of capital		—			—			(.01	)		(.18	)		—
Total distributions		(1.89	)		(.87	)		(.84	)		(1.01	)		(1.19	)
Net asset value, end of period	$	24.52		$	23.37		$	25.09		$	24.08		$	25.23
Total Returnb		13.47	%		(3.47	%)		7.83	%		(0.50	%)		2.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	139,008		$	154,160		$	123,392		$	139,857		$	235,752
Ratios to average net assets:
Net investment income (loss)		7.82	%		3.57	%		3.36	%		4.23	%		4.60	%
Total expensesc		1.15	%		1.11	%		1.09	%		1.25	%		1.23	%
Net expensesd,e,f		1.02	%		1.02	%		1.05	%		1.10	%		1.07	%
Portfolio turnover rate		23	%		30	%		57	%		20	%		10	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.36		$	25.08		$	24.07		$	25.22		$	25.91
Income (loss) from investment operations:
Net investment income (loss)a		1.69			.68			.65			.84			.98
Net gain (loss) on investments (realized and unrealized)		1.16			(1.71	)		1.02			(1.16	)		(.67	)
Total from investment operations		2.85			(1.03	)		1.67			(.32	)		.31
Less distributions from:
Net investment income		(1.70	)		(.69	)		(.65	)		(.68	)		(1.00	)
Return of capital		—			—			(.01	)		(.15	)		—
Total distributions		(1.70	)		(.69	)		(.66	)		(.83	)		(1.00	)
Net asset value, end of period	$	24.51		$	23.36		$	25.08		$	24.07		$	25.22
Total Returnb		12.58	%		(4.15	%)		7.03	%		(1.24	%)		1.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,818		$	47,183		$	52,308		$	63,891		$	112,481
Ratios to average net assets:
Net investment income (loss)		7.02	%		2.78	%		2.61	%		3.47	%		3.86	%
Total expensesc		1.89	%		1.91	%		1.86	%		1.96	%		1.93	%
Net expensesd,e,f		1.78	%		1.77	%		1.80	%		1.85	%		1.82	%
Portfolio turnover rate		23	%		30	%		57	%		20	%		10	%

46 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.38		$	25.10		$	24.09		$	25.24		$	25.93
Income (loss) from investment operations:
Net investment income (loss)a		1.88			.88			.83			1.04			1.17
Net gain (loss) on investments (realized and unrealized)		1.16			(1.73	)		1.02			(1.18	)		(.67	)
Total from investment operations		3.04			(.85	)		1.85			(.14	)		.50
Less distributions from:
Net investment income		(1.89	)		(.87	)		(.83	)		(.83	)		(1.19	)
Return of capital		—			—			(.01	)		(.18	)		—
Total distributions		(1.89	)		(.87	)		(.84	)		(1.01	)		(1.19	)
Net asset value, end of period	$	24.53		$	23.38		$	25.10		$	24.09		$	25.24
Total Return		13.46	%		(3.47	%)		7.83	%		(0.50	%)		2.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,295		$	43,603		$	35,430		$	33,251		$	135,036
Ratios to average net assets:
Net investment income (loss)		7.81	%		3.58	%		3.36	%		4.26	%		4.59	%
Total expensesc		1.18	%		1.14	%		1.06	%		1.37	%		1.22	%
Net expensesd,e,f		1.02	%		1.02	%		1.05	%		1.10	%		1.07	%
Portfolio turnover rate		23	%		30	%		57	%		20	%		10	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.39		$	25.11		$	24.10		$	25.25		$	25.95
Income (loss) from investment operations:
Net investment income (loss)a		1.93			.94			.89			1.09			1.23
Net gain (loss) on investments (realized and unrealized)		1.16			(1.73	)		1.02			(1.17	)		(.68	)
Total from investment operations		3.09			(.79	)		1.91			(.08	)		.55
Less distributions from:
Net investment income		(1.94	)		(.93	)		(.89	)		(.88	)		(1.25	)
Return of capital		—			—			(.01	)		(.19	)		—
Total distributions		(1.94	)		(.93	)		(.90	)		(1.07	)		(1.25	)
Net asset value, end of period	$	24.54		$	23.39		$	25.11		$	24.10		$	25.25
Total Return		13.68	%		(3.20	%)		8.08	%		(0.26	%)		2.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	793,785		$	979,086		$	711,583		$	504,449		$	1,065,820
Ratios to average net assets:
Net investment income (loss)		8.02	%		3.84	%		3.59	%		4.48	%		4.83	%
Total expensesc		0.88	%		0.87	%		0.85	%		0.97	%		0.92	%
Net expensesd,e,f		0.78	%		0.78	%		0.81	%		0.85	%		0.83	%
Portfolio turnover rate		23	%		30	%		57	%		20	%		10	%

48 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019g
Per Share Data
Net asset value, beginning of period	$	23.38		$	25.11		$	24.10		$	25.25		$	25.38
Income (loss) from investment operations:
Net investment income (loss)a		1.87			.82			.91			1.13			.69
Net gain (loss) on investments (realized and unrealized)		1.27			(1.62	)		1.01			(1.21	)		(.14	)
Total from investment operations		3.14			(.80	)		1.92			(.08	)		.55
Less distributions from:
Net investment income		(1.97	)		(.93	)		(.90	)		(.88	)		(.68	)
Return of capital		—			—			(.01	)		(.19	)		—
Total distributions		(1.97	)		(.93	)		(.91	)		(1.07	)		(.68	)
Net asset value, end of period	$	24.55		$	23.38		$	25.11		$	24.10		$	25.25
Total Return		13.87	%		(3.25	%)		8.06	%		(0.22	%)		2.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,445		$	1,722		$	1,257		$	1,625		$	71,680
Ratios to average net assets:
Net investment income (loss)		7.79	%		3.31	%		3.66	%		4.56	%		4.89	%
Total expensesc		0.78	%		0.82	%		0.83	%		0.86	%		0.85	%
Net expensesd,e,f		0.74	%		0.79	%		0.82	%		0.84	%		0.84	%
Portfolio turnover rate		23	%		30	%		57	%		20	%		10	%

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

FINANCIAL HIGHLIGHTS (concluded)

FLOATING RATE STRATEGIES FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.03%	0.03%	—	0.00%*	—
C-Class	0.04%	0.04%	—	0.00%*	—
P-Class	0.03%	0.04%	0.00%*	0.00%*	—
Institutional Class	0.02%	0.04%	0.00%*	0.00%*	—
R6-Class	0.02%	0.03%	0.01%	0.00%*	0.00%*

* Less than 0.01%.

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.99%	1.00%	1.01%	1.02%	1.02%
C-Class	1.75%	1.75%	1.76%	1.77%	1.77%
P-Class	0.99%	1.00%	1.01%	1.02%	1.02%
Institutional Class	0.75%	0.76%	0.77%	0.78%	0.78%
R6-Class	0.71%	0.76%	0.77%	0.78%	0.78%

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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 September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At September 30, 2023, A-Class, C-Class, P-Class, Institutional Class, and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Fund’s shares. GI and GFD are affiliated entities.

Pursuant to an investment Sub-Advisory Agreement between GPIM and Guggenheim Partners Advisors, LLC (“GPA”) that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment sub-advisory services to the Fund. GPA operated as an investment sub-advisor to the Fund from April 29, 2022 to December 22, 2022.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (continued)

GPA, under the oversight of the Board and GPIM, assisted GPIM in the supervision and direction of the investment strategies of the Fund in accordance with its investment policies. As compensation for its services, GPIM paid GPA a fee, payable monthly, in an amount equal to 0.005% of the Fund’s average daily net assets.

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 share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Typically, loans are valued using information provided by pricing service provider which 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 Adviser.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (continued)

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 the Adviser. 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) 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, (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. Recently, 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.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

(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) 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.

(e) 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, geopolitical 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.

(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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

NOTES TO FINANCIAL STATEMENTS (continued)

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 September 30, 2023, 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 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

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NOTES TO FINANCIAL STATEMENTS (continued)

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 share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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.

(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 year ended September 30, 2023, 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 5.33% at September 30, 2023.

(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 forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Fund’s 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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:

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	$	62,785	$	27,560,779

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2023:

	Forward Foreign Currency Exchange Risk
Asset Derivative Investments Value	$	460,600

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2023:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward 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 Fund’s Statement of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	(1,637,530	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	(199,993	)

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 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

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NOTES TO FINANCIAL STATEMENTS (continued)

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 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 rated/identified as 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 (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 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 Fund’s 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 Fund’s Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (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	$	460,600	$	—		460,600	$	—	$	(280,000	)	$	180,600

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 September 30, 2023.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	—	$	280,000

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.

Pricing service providers are used to value a majority of the Fund’s investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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 0.65% 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.

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NOTES TO FINANCIAL STATEMENTS (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.

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		02/01/25
C-Class		1.77	%		11/30/12		02/01/25
P-Class		1.02	%		05/01/15		02/01/25
Institutional Class		0.78	%		11/30/12		02/01/25
R6-Class		0.78	%		03/13/19		02/01/25

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 September 30, 2023, 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:

	2024		2025		2026		Fund Total
A-Class	$	62,574	$	114,896	$	134,479	$	311,949
C-Class		35,328		63,710		33,051		132,089
P-Class		3,944		45,054		55,729		104,727
Institutional Class		224,572		717,446		582,868		1,524,886
R6-Class		—		428		966		1,394

For the year ended September 30, 2023, GI recouped $269,500 from the Fund.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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 of 1986, as amended (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	85,281,735	$	—	$	85,281,735

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	45,780,565	$	—	$	45,780,565

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	3,808,142	$	—	$	(38,854,610	)	$	(161,842,490	)	$	(7,237,109	)	$	(204,126,067	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term			Long-Term			Total Capital Loss Carryforward
$	(6,153,631	)	$	(155,688,859	)	$	(161,842,490	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to foreign currency gains and losses, losses deferred due to wash sales, distributions payable, and investments in CLO securities and partnerships. Additional differences may result from the tax treatment of bond premium/discount amortization and the “mark-to-market” of forward foreign currency exchange contracts. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences.

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NOTES TO FINANCIAL STATEMENTS (continued)

At September 30, 2023, 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)
$	1,041,495,288	$	2,484,557	$	(41,332,427	)	$	(38,847,870	)

Note 7 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	236,739,224	$	508,774,355

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 year ended September 30, 2023, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2023, were as follows:

Borrower	Maturity Date		Face Amount		Value
Authentic Brands		12/21/28	$	401,235	$	249

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NOTES TO FINANCIAL STATEMENTS (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
Mirabela Nickel Ltd. due 06/24/191		12/31/13	$	1,160,811	$	60,792

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, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The 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”, SOFR 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 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 Fund’s Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 11 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Floating Rate Strategies Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Floating Rate Strategies Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

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Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	0.15	%		0.15	%		98.37	%

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 the 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 the 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 the 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.

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Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.

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 Consolidated 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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Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	● Guggenheim Core Bond Fund(“Core Bond Fund”)*
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
● Guggenheim High Yield Fund (“High Yield Fund”)*	● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**1
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	● Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	● Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).

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The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian

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and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

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Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which

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underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third

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quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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OTHER INFORMATION (Unaudited)(continued)

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

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OTHER INFORMATION (Unaudited)(continued)

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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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 - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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 - continued
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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***
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing Director, Guggenheim Investments (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with 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); Senior Managing Director, 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
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

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

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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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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Total Return Bond Fund

GuggenheimInvestments.com TRB-ANN-0923x0924

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	89
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	117
OTHER INFORMATION	119
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	133
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	142
LIQUIDITY RISK MANAGEMENT PROGRAM	146

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the annual fiscal period ended September 30, 2023 (the “Reporting Period”).

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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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 ANNUAL REPORT

September 30, 2023

Total Return Bond Fund is subject to a number of risks and is not 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 ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* (gross) returned 25.65%. The return of the MSCI Emerging Markets Index* (gross) was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting Period.

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

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

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

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

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

S&P 500^® Index is a 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 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 March 31, 2023 and ending September 30, 2023.

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 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 ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2023	Ending Account Value September 30, 2023	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.95%	(3.54%)	$ 1,000.00	$ 964.60	$ 4.68
C-Class	1.71%	(3.91%)	1,000.00	960.90	8.41
P-Class	0.95%	(3.54%)	1,000.00	964.60	4.68
Institutional Class	0.67%	(3.40%)	1,000.00	966.00	3.30
R6-Class	0.62%	(3.37%)	1,000.00	966.30	3.06
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.95%	5.00%	$ 1,000.00	$ 1,020.31	$ 4.81
C-Class	1.71%	5.00%	1,000.00	1,016.50	8.64
P-Class	0.95%	5.00%	1,000.00	1,020.31	4.81
Institutional Class	0.67%	5.00%	1,000.00	1,021.71	3.40
R6-Class	0.62%	5.00%	1,000.00	1,021.96	3.14

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 0.76%, 1.52%, 0.76%, and 0.47% and 0.42% 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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Total Return Bond Fund (“Fund”). The Fund is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund returned 1.55%¹, outperforming the Bloomberg U.S. Aggregate Bond Index, the Fund’s benchmark, (“Benchmark”), which returned 0.64% for the same period

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

For the Reporting Period, the Fund outperformed the Benchmark by 91 basis points. Carry, or earned income, remained a consistent source of relative performance for the Fund. Spreads also added to performance relative to the Benchmark. Credit selection within corporates, the Fund’s allocation to securitized credit, and an underweight to Agency residential mortgage-backed securities (“RMBS”) drove most of the active performance versus the Benchmark. Duration detracted from performance as the Fund was positioned modestly overweight duration while the curve bear steepened. Bear steepening refers to yield-curve widening due to long-term rates increasing more than short-term rates, amid a period of falling bond prices and rising yields.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the reporting period, performance from interest rate swaps, caps, and swaptions detracted from performance, and performance from SOFR futures was positive (SOFR is Secured Overnight Financing Rate, which measures the cost of borrowing cash overnight collateralized by Treasury Securities). Options on equities, which functioned as hedges to the Fund’s credit positioning, detracted from performance, and performance from credit default swaps was negative. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a negative impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

Over the past several quarters the Fund has increasingly prioritized diversification, quality, and liquidity as recession concerns continued to persist. To that end, the Fund has steadily moved up-in-quality and positioned more defensively, uniquely, without having to sacrifice yield due to the

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2023

flatness of the yield curve and the lack of any material decompression witnessed in credit spreads with respect to quality. While spreads for many credit sectors have reverted to long-term-average levels, certain segments remain dislocated and offer attractive relative value. Structured credit spreads are especially cheap, particularly when analyzed in the context of broader fixed income spread levels. Specifically, the basis between structured credit spreads and investment grade corporate spreads currently sits north of the 90th percentile of historically observed data.

Structured credit is the Fund’s largest allocation. Spreads continued their rebound, but broadly remain wide, both compared to similarly rated investment-grade corporate credit and in an absolute sense. Furthermore, the lower dollar prices of these assets following the rise in interest rates sets up the potential for higher total return opportunities than typically exists in the asset class. With much of its active buying base largely coming from income-focused accounts, structured credit spreads should continue to compress from the resetting higher of yields and the resulting increased interest that comes with it. Within securitized credit, we continue to focus on opportunities senior in the capital structure with sufficient credit enhancement and often unique structural features that limit cash flow variability or extension concerns. We believe the focus on superior structures will be paramount in helping mitigate mark-to-market risks that could emerge should volatility rise.

The corporate credit allocation represents roughly 24% of the Fund’s holdings. Investment-grade-rated credit makes up 18% of that allocation while 6% is below-investment-grade-rated. While in our view, overall corporate credit spreads are trading around fair value levels, there remain both idiosyncratic opportunities and risks across certain issuers and industries given tighter credit conditions across capital markets. Primary market offerings have priced at especially attractive levels, as many investors have pulled back from lending activities. The Fund has employed modestly sized credit hedges to protect the portfolio from potential spread widening.

At the end of the Reporting Period, the Fund had a duration of 6.6 years, unchanged versus the end of the previous Reporting Period. During the period, however, we shifted more of the Fund’s duration concentration toward the front end and belly of the curve. While we feel that much of the move in the long end of the Treasury curve has been driven by technical factors, and current yields are above levels justified by fundamentals (e.g., inflation expectations, growth expectations, term premium, etc.), the path to those technical factors dissipating in the near term is unclear. Our conviction on the future path of rates is higher at the front end of the curve at this point in the cycle. On a related note, interest rate volatility has remained elevated, which has presented the Fund with opportunities to tactically add to positions in Agency RMBS, locking in spreads, both static and option adjusted, that are near 15-year wides.

Despite the quarter ended September 30, 2023 continuing a trend of volatility for fixed income returns, our broader macroeconomic views from a fundamental perspective remain consistent. We continue to expect inflation to moderate with time and view the market’s increasingly optimistic expectations of a soft landing as misguided. To that end, we continue to emphasize a defensive tilt to our positioning. From a valuation perspective, the recent move higher in interest rates does

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

potentially present an interesting opportunity to extend duration further, but as we noted, the technical backdrop (particularly at the long end of the curve) is fairly precarious at the moment. Our conviction on the future path of rates is higher on the front end of the curve at this point in the cycle, which informed our shift in curve positioning. However, with the yield curve having steepened out, investors can now “lock-in” roughly similar yields to what they are able to earn in overnight rates, which may be a catalyst for some of the nearly $2 trillion growth in money market funds to move back into fixed income. Looking further out into the economic future, we believe the Federal Reserve’s restrictive monetary policy could ultimately shepherd in a recession in the next 6-18 months, which we believe will likely be met with lower rates. Ultimately, the current path of weakening growth, high prices, and high interest rates appears unsustainable, and we are already starting to see signs of pressure on consumers and levered corporate borrowers, which could call into question any soft-landing narrative.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period, investment in the Short Term Investment Vehicles contributed to Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

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	47.1%
AA	7.0%
A	12.3%
BBB	15.8%
BB	3.2%
B	2.6%
CCC	0.7%
CC	1.3%
C	0.1%
NR2	5.1%
Other Instruments	4.8%
Total Investments	100.0%

Ten Largest Holdings	% of Total Net Assets
U.S. Treasury Notes, 3.88% due 08/15/33	5.0%
U.S. Treasury Notes, 3.50% due 01/31/28	3.4%
U.S. Treasury Bonds due 05/15/53	3.3%
U.S. Treasury Notes, 4.13% due 07/31/28	3.3%
U.S. Treasury Notes, 4.13% due 06/15/26	2.2%
Fannie Mae, 5.00% due 06/01/53	1.3%
U.S. Treasury Notes, 3.38% due 05/15/33	1.2%
Fannie Mae, 5.50% due 05/01/53	1.0%
Freddie Mac, 5.00% due 04/01/53	0.8%
Fannie Mae, 5.50% due 06/01/53	0.7%
Top Ten Total	22.2%
“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 ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	10 Year
A-Class Shares	1.55%	0.26%	2.33%
A-Class Shares with sales charge†	(2.50%)	(0.55%)	1.84%
C-Class Shares	0.74%	(0.49%)	1.58%
C-Class Shares with CDSC‡	(0.23%)	(0.49%)	1.58%
Institutional Class Shares	1.84%	0.55%	2.65%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	1.13%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	1.51%	0.25%	1.48%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	0.55%

	1 Year	5 Year	Since Inception (10/19/16)
R6-Class Shares	1.84%	0.55%	1.19%
Bloomberg U.S. Aggregate Bond Index	0.64%	0.10%	(0.04%)

*	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 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. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS	September 30, 2023
TOTAL RETURN BOND FUND

	Shares		Value
COMMON STOCKS† - 0.0%
Communications - 0.0%
Vacasa, Inc. — Class A*		364,396	$	168,023
Industrial - 0.0%
BP Holdco LLC*,†††,1		532		683
YAK BLOCKER 2 LLC*,†††		44,094		441
YAK BLOCKER 2 LLC*,†††		40,754		408
Vector Phoenix Holdings, LP*,†††		532		33
API Heat Transfer Parent LLC*,†††		73,183		7
Total Industrial				1,572
Financial - 0.0%
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,2		9,315,080		931
Total Common Stocks
(Cost $3,646,916)				170,526
PREFERRED STOCKS†† - 3.0%
Financial - 2.8%
Equitable Holdings, Inc.
4.95%*		71,314,000		67,117,970
4.30%		1,051,671		15,890,749
Markel Group, Inc.
6.00%*		72,131,000		69,629,627
Bank of New York Mellon Corp.
3.75%*		65,200,000		52,883,290
Charles Schwab Corp.
4.00%*		73,673,000		51,981,532
Citigroup, Inc.
3.88%*		31,175,000		26,602,956
4.00%*		26,571,000		23,243,014
7.63%*		2,150,000		2,097,544
MetLife, Inc.
3.85%*		53,467,000		49,461,637
Wells Fargo & Co.
3.90%*		49,842,000		43,529,426
7.63%*		4,100,000		4,133,485
Bank of America Corp.
4.38%*		27,700,000		23,213,955
6.13%*		11,550,000		11,066,318
Goldman Sachs Group, Inc.
3.80%*		25,830,000		21,062,438
7.50%*		11,800,000		11,662,630
JPMorgan Chase & Co.
3.65%*,		37,412,000		32,654,609
Kuvare US Holdings, Inc.
7.00%*,4		15,731,000		16,561,675
Jackson Financial, Inc.
8.00%		472,000		11,823,600
CNO Financial Group, Inc.
5.13% due 11/25/60		715,225		11,107,444
Assurant, Inc.
5.25% due 01/15/61		560,975		10,939,013
Lincoln National Corp.
9.25%*,5		10,117,000		10,420,429
Selective Insurance Group, Inc.
4.60%		541,225		8,832,792
Depository Trust & Clearing Corp.
3.38%*,4		4,750,000		3,517,078
First Republic Bank
4.25%		2,368,525		237
4.50%		276,775		83
Total Financial				579,433,531
Communications - 0.2%
AT&T Mobility II LLC*,†††		47,000		47,000,000
Government - 0.0%
CoBank ACB
4.25%*		3,300,000		2,623,500
Industrial - 0.0%
YAK BLOCKER 2 LLC*,†††		2,422,458		606,015
API Heat Transfer Intermediate*,†††		9		4,109
Total Industrial				610,124
Total Preferred Stocks
(Cost 799,073,386)				629,667,155

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Shares		Value
WARRANTS† - 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		101,490	$	22,835
Acropolis Infrastructure Acquisition Corp. — Class A
Expiring 03/31/26*,2		133,032		7,982
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25*,†††,2		1,035,008		104
Total Warrants
(Cost $343,224)				30,921
MUTUAL FUNDS† - 0.9%
Guggenheim Limited Duration Fund — R6-Class1		5,103,586		120,393,598
Guggenheim Strategy Fund II1		1,170,545		28,409,135
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,862,377		27,908,179
Guggenheim Strategy Fund III1		630,981		15,326,528
Total Mutual Funds
(Cost $194,120,149)				192,037,440
MONEY MARKET FUNDS† - 1.0%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%6		216,371,620		216,371,620
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 5.20%6		3,294,772		3,294,772
Total Money Market Funds
(Cost $219,666,392)				219,666,392

U.S. GOVERNMENT SECURITIES†† - 27.3%
U.S. Treasury Notes
3.88% due 08/15/335	1,103,600,000	1,042,729,563
4.63% due 09/30/28	825,000,000	826,482,422
3.50% due 01/31/28	742,300,000	708,403,568
4.13% due 07/31/28	709,700,000	694,397,094
4.13% due 06/15/26	477,680,000	468,835,459
3.38% due 05/15/335	277,650,000	251,793,844
3.75% due 05/31/30	110,000,000	104,431,250
3.75% due 06/30/30	76,650,000	72,751,629
3.63% due 03/31/30	50,000,000	47,162,109
3.50% due 04/30/30	45,000,000	42,115,430
4.63% due 03/15/26	4,900,000	4,865,930
4.00% due 02/15/26	4,500,000	4,404,902
4.00% due 02/28/30	3,450,000	3,327,094
3.63% due 03/31/28	2,770,000	2,655,521
2.63% due 05/31/27	2,160,000	2,007,956
4.13% due 01/31/25	2,000,000	1,969,062
1.50% due 01/31/27	1,200,000	1,080,469
2.13% due 05/15/25	1,100,000	1,047,707
3.88% due 05/15/43	1,000,000	869,375
U.S. Treasury Bonds
due 05/15/537,11	2,658,790,000	704,010,263
4.00% due 11/15/52	165,000,000	146,244,140
due 02/15/467,11	355,975,000	119,287,034
due 05/15/447,11	303,295,000	110,460,846
due 11/15/517,11	275,000,000	75,414,501
2.38% due 05/15/51	95,430,000	60,523,495
due 02/15/527,11	144,771,800	39,433,919
due 11/15/447,11	70,890,000	25,162,681
due 08/15/517,11	43,990,000	12,151,240
2.88% due 08/15/45	2,380,000	1,723,734
due 08/15/527,11	3,700,000	995,573
due 05/15/527,11	1,720,000	465,363
U.S. Treasury Strip Principal
due 02/15/517,11	310,000,000	87,178,184
United States Treasury Inflation Indexed Bonds
1.25% due 04/15/2818	57,170,388	54,371,607
1.38% due 07/15/3318	28,150,966	26,028,097
Total U.S. Government Securities
(Cost $6,273,400,670)		5,744,781,061

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 24.5%
Government Agency - 14.1%
Fannie Mae
5.00% due 06/01/53		323,942,988	$	305,755,026
5.00% due 05/01/53		295,457,533		278,957,567
5.50% due 05/01/53		249,771,342		241,470,359
5.00% due 04/01/53		183,014,429		172,732,300
5.50% due 06/01/53		158,409,122		153,231,838
4.00% due 06/01/52		105,859,624		94,796,357
5.00% due 08/01/53		83,083,991		78,416,062
4.00% due 07/01/52		83,785,431		74,838,747
2.50% due 11/01/51		55,485,887		44,303,161
5.00% due 09/01/52		30,572,530		28,877,263
5.00% due 05/01/38		24,153,588		23,544,241
2.40% due 03/01/40		27,004,000		17,290,920
3.83% due 05/01/49		19,000,000		15,203,587
2.27% due 10/01/41		16,935,000		10,366,679
2.57% due 08/01/51		12,159,948		8,040,076
due 12/25/437		10,493,981		7,576,119
3.42% due 09/01/47		9,479,569		7,533,030
2.31% due 10/01/41		9,435,000		5,781,465
1.76% due 08/01/40		9,360,000		5,666,638
2.44% due 10/01/51		8,500,000		5,021,341
2.43% due 12/01/51		7,401,000		4,731,310
2.41% due 12/01/41		7,100,000		4,473,536
3.05% due 03/01/50		5,879,430		4,182,677
2.94% due 03/01/52		5,691,217		4,106,602
2.51% due 10/01/46		5,522,318		3,930,347
4.07% due 05/01/49		4,593,716		3,901,785
due 10/25/437		5,234,375		3,812,305
2.52% due 12/01/41		5,185,681		3,660,202
3.02% due 01/01/38		4,099,698		3,195,056
2.99% due 01/01/40		4,429,000		3,102,016
2.49% due 12/01/39		4,148,671		3,004,538
3.50% due 02/01/48		3,617,267		2,920,271
4.24% due 08/01/48		3,396,293		2,816,673
2.54% due 12/01/39		3,617,698		2,632,284
3.00% due 03/01/52		2,807,365		2,328,483
2.42% due 10/01/51		3,378,196		2,292,178
3.42% due 10/01/47		2,681,498		2,155,467
2.36% due 01/01/42		3,500,000		2,138,852
2.96% due 10/01/49		2,779,480		2,058,874
3.26% due 11/01/46		2,306,321		1,826,900

2.17% due 10/01/50	2,655,908	1,756,051
2.69% due 02/01/52	2,438,083	1,694,114
2.92% due 03/01/50	2,303,143	1,689,920
2.49% due 09/01/51	2,472,000	1,651,049
2.17% due 09/01/50	2,386,153	1,579,439
2.62% due 12/01/51	2,282,989	1,571,940
2.93% due 03/01/52	2,045,083	1,482,423
2.68% due 04/01/50	1,866,496	1,343,943
3.46% due 08/01/49	1,631,414	1,293,291
2.07% due 10/01/40	1,931,516	1,273,996
2.51% due 07/01/50	1,747,624	1,211,223
3.74% due 02/01/48	1,213,536	1,002,029
4.05% due 09/01/48	1,123,137	955,544
2.32% due 07/01/50	1,337,951	901,020
2.34% due 09/01/39	1,245,067	864,666
2.25% due 10/01/50	1,232,220	788,060
3.96% due 06/01/49	934,296	770,329
3.60% due 10/01/47	898,108	729,404
3.01% due 04/01/42	1,050,000	711,484
2.65% due 12/01/51	975,337	669,747
3.50% due 12/01/46	664,173	581,622
2.34% due 03/01/51	859,662	580,058
3.63% due 01/01/37	694,861	569,272
5.32% due 06/01/33	530,000	532,033
3.91% due 07/01/49	655,529	531,466
3.36% due 12/01/39	673,529	524,854
2.75% due 11/01/31	599,747	512,259
3.18% due 09/01/42	637,301	504,195
2.50% due 01/25/52	835,739	474,220
3.50% due 11/01/47	516,537	452,221
2.56% due 05/01/39	588,482	419,458
2.51% due 02/01/48	569,847	403,519
3.00% due 07/01/46	463,107	391,606
4.00% due 01/01/46	401,639	365,503
4.00% due 12/01/38	373,969	342,459
3.50% due 10/01/45	350,996	308,718
4.00% due 11/01/38	320,155	293,970
3.51% due 11/01/47	362,221	293,833
4.33% due 09/01/48	323,360	284,314
4.50% due 02/01/45	290,642	272,760
4.50% due 03/01/48	282,140	264,043
4.22% due 04/01/49	315,000	261,975
2.50% due 11/25/50	454,854	233,249
4.23% due 07/01/39	267,075	226,613

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
3.77% due 08/01/45		282,889	$	225,006
4.50% due 04/01/48		240,189		224,593
5.00% due 12/01/44		226,143		218,489
3.50% due 12/01/45		208,079		182,695
3.50% due 08/01/43		202,302		179,170
2.00% due 10/25/51		333,048		154,495
3.95% due 06/01/49		189,497		152,696
4.50% due 05/01/47		158,339		148,596
3.18% due 08/01/42		182,465		144,308
4.00% due 10/01/45		126,811		115,676
5.00% due 05/01/44		112,505		108,697
3.50% due 04/01/48		112,863		98,809
2.06% due 09/01/36		140,000		94,412
5.00% due 04/01/44		71,065		67,992
2.28% due 01/01/51		68,323		46,042
3.50% due 06/01/46		13,150		11,526
Freddie Mac
5.00% due 04/01/53		199,005,500		187,840,554
5.50% due 06/01/53		175,364,707		169,629,191
5.00% due 06/01/53		179,214,158		169,168,436
5.50% due 05/01/53		152,161,943		147,104,943
due 08/01/5317		127,047,546		121,460,569
4.00% due 02/01/53		126,722,331		113,829,757
5.00% due 09/01/52		81,099,257		76,602,591
5.00% due 03/01/53		70,689,968		66,751,224
2.00% due 03/01/52		63,572,849		48,587,103
4.00% due 10/01/52		47,303,068		42,249,604
3.00% due 03/01/52		40,122,650		33,286,543
4.00% due 04/01/52		31,420,263		28,201,087
5.50% due 02/01/53		13,276,411		12,863,240
3.26% due 09/01/45		2,117,077		1,694,746
4.50% due 08/01/52		1,136,308		1,049,554
1.96% due 05/01/50		1,528,504		963,829
3.50% due 01/01/44		603,717		535,944
3.00% due 08/01/46		493,047		417,450
2.00% due 10/25/51		832,621		363,621
4.00% due 02/01/46		296,178		266,859
4.00% due 01/01/46		274,918		250,359
4.00% due 05/25/52		270,000		208,852
4.50% due 06/01/48		217,212		203,466
3.50% due 12/01/45		186,954		164,254
4.00% due 11/01/45		165,954		151,770
4.00% due 08/01/45		151,286		138,539
4.00% due 09/01/45		143,663		131,177
2.50% due 02/25/52		135,525		71,820
4.00% due 01/15/46		2,978		2,967
Fannie Mae-Aces
1.59% (WAC) due 03/25/35◊,8		201,564,532		19,888,957
Ginnie Mae
6.00% due 06/20/47†††		16,125,000		16,136,310
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 11/25/59		11,134,941		8,445,014
2.00% due 05/25/60		9,038,134		6,866,784
FARM Mortgage Trust
2.18% (WAC) due 01/25/51◊,4		10,402,309		8,226,019
Freddie Mac Multifamily Structured Pass Through Certificates
0.63% (WAC) due 12/25/24◊,8		41,086,352		220,712
Total Government Agency				2,962,384,071
Residential Mortgage-Backed Securities - 8.1%
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4		63,266,631		62,112,103
2021-RPL4, 1.80% (WAC) due 12/27/60◊,4		61,298,877		57,069,788
2021-RPL7, 1.93% (WAC) due 07/27/61◊,4		55,930,701		51,186,827
2021-RPL1, 1.67% (WAC) due 09/27/60◊,4		25,442,363		23,418,929
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/704,9		79,774,661		71,480,027

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-C, 1.62% due 03/01/614,9		62,243,808	$	54,715,756
2021-HE1, 6.82% (30 Day Average SOFR + 1.50%, Rate Floor: 0.00%) due 01/25/70◊,4		7,500,000		7,339,540
PRPM LLC
2021-5, 1.79% due 06/25/264,9		57,755,050		53,269,995
2021-8, 1.74% (WAC) due 09/25/26◊,4		30,862,146		28,299,171
2023-1, 6.88% (WAC) due 02/25/28◊,4		20,034,542		19,975,064
2022-1, 3.72% due 02/25/274,9		10,771,434		10,310,267
Legacy Mortgage Asset Trust
2021-GS2, 1.75% due 04/25/614,9		37,648,311		34,773,964
2021-GS3, 1.75% due 07/25/614,9		34,168,238		31,820,842
2021-GS5, 2.25% due 07/25/674,9		21,210,511		19,571,995
LSTAR Securities Investment Ltd.
2023-1, 8.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,4		48,699,397		48,666,116
2021-1, 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/26◊,10		37,831,085		37,130,302
Towd Point Revolving Trust
4.83% due 09/25/6410		81,500,000		79,238,375
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC5, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 10/25/36◊		25,336,351		12,861,309
2007-HE5, 5.77% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 03/25/37◊		26,557,443		11,159,398
2006-HE6, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 09/25/36◊		23,179,376		8,105,948
2006-HE5, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 08/25/36◊		13,001,152		6,518,000
2007-HE3, 5.54% (1 Month Term SOFR + 0.22%, Rate Floor: 0.11%) due 12/25/36◊		11,016,205		5,288,241
2006-HE4, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 06/25/36◊		8,161,312		4,190,601
2006-HE5, 5.93% (1 Month Term SOFR + 0.61%, Rate Floor: 0.50%) due 08/25/36◊		7,790,193		3,905,346
2007-HE2, 5.56% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 01/25/37◊		8,042,855		3,506,679

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-NC3, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 05/25/37◊		3,268,062	$	2,389,500
2007-HE6, 5.49% (1 Month Term SOFR + 0.17%, Rate Floor: 0.06%) due 05/25/37◊		2,383,065		1,978,194
2007-HE3, 5.56% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 12/25/36◊,4		2,013,357		1,223,028
2006-HE6, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 09/25/36◊		2,938,231		1,027,573
NYMT Loan Trust
2022-SP1, 5.25% due 07/25/624,9		61,393,873		59,227,369
OSAT Trust
2021-RPL1, 2.12% due 05/25/654,9		60,106,001		55,093,732
Home Equity Loan Trust
2007-FRE1, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊		48,199,773		44,592,309
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 5.56% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 12/25/36◊		61,584,315		35,897,608
2006-WMC4, 5.55% (1 Month Term SOFR + 0.23%, Rate Floor: 0.12%) due 12/25/36◊		12,610,261		6,486,789
2006-WMC3, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 08/25/36◊		1,803,738		1,241,444
GCAT Trust
2022-NQM5, 5.71% due 08/25/674,9		22,210,931		21,576,861
2022-NQM3, 4.35% (WAC) due 04/25/67◊,4		11,288,492		10,096,946
GSAMP Trust
2007-NC1, 5.56% (1 Month Term SOFR + 0.24%, Rate Floor: 0.13%) due 12/25/46◊		25,067,815		13,071,575
2006-HE8, 5.66% (1 Month Term SOFR + 0.34%, Rate Floor: 0.23%) due 01/25/37◊		10,107,000		8,003,246
2006-NC2, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 06/25/36◊		11,708,116		6,450,204
2007-NC1, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 12/25/46◊		5,592,996		2,718,713
BRAVO Residential Funding Trust 2023-NQM2
2023-NQM2, 4.50% due 05/25/624,9		30,762,437		28,523,603
Soundview Home Loan Trust
2006-OPT5, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊		29,017,408		27,224,306

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Alternative Loan Trust
2007-OA4, 5.77% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 05/25/47◊		14,749,868	$	12,391,690
2007-OH3, 6.01% (1 Month Term SOFR + 0.69%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊		6,256,682		5,428,534
2006-43CB, 6.00% (1 Month Term SOFR + 0.61%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/37◊		5,999,519		3,215,044
2007-OA7, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 05/25/47◊		2,233,844		1,871,650
2007-OH3, 5.87% (1 Month Term SOFR + 0.55%, Rate Cap/Floor: 10.00%/0.44%) due 09/25/47◊		621,937		554,284
Citigroup Mortgage Loan Trust, Inc.
2007-AMC1, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 12/25/36◊,4		20,680,326		11,424,122
2006-WF1, 4.96% due 03/25/36		13,913,592		6,802,439
2007-AMC3, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 03/25/37◊		5,905,372		4,800,305
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,4		12,862,434		11,288,122
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4		12,643,870		10,950,141
Angel Oak Mortgage Trust 2023-2
2023-2, 4.65% due 10/25/674,9		23,166,127		21,631,189
NovaStar Mortgage Funding Trust Series
2007-2, 5.63% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊		20,720,666		19,922,779
2007-1, 5.56% (1 Month Term SOFR + 0.24%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/37◊		2,782,832		1,692,515
ACE Securities Corporation Home Equity Loan Trust Series
2006-NC1, 6.05% (1 Month Term SOFR + 0.73%, Rate Floor: 0.62%) due 12/25/35◊		16,186,529		14,622,012
2007-ASP1, 5.83% (1 Month Term SOFR + 0.51%, Rate Floor: 0.40%) due 03/25/37◊		8,133,774		3,382,414
2007-WM2, 5.64% (1 Month Term SOFR + 0.32%, Rate Floor: 0.21%) due 02/25/37◊		6,275,694		2,640,146

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
GCAT Trust
2023-NQM3, 6.89% (WAC) due 08/25/68◊,†††,4		20,250,000	$	20,171,376
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 6.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊		18,037,501		17,079,396
2006-BC4, 5.77% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 12/25/36◊		1,750,296		1,666,174
2006-BC6, 5.60% (1 Month Term SOFR + 0.28%, Rate Floor: 0.17%) due 01/25/37◊		111,781		108,730
OBX Trust
2022-NQM9, 6.45% due 09/25/624,9		9,017,121		8,963,220
2023-NQM2, 6.32% due 01/25/624,9		5,995,287		5,977,527
2022-NQM8, 6.10% due 09/25/624,9		3,738,958		3,676,808
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/554		20,000,000		18,017,162
Securitized Asset-Backed Receivables LLC Trust
2006-WM4, 5.59% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 11/25/36◊		29,965,092		8,353,006
2007-BR2, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 02/25/37◊,4		10,048,942		8,162,229
2006-HE2, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 07/25/36◊		3,280,767		1,284,088
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 5.46% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/46◊		8,541,350		6,879,361
2006-AR10, 5.60% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 12/25/36◊		7,553,900		6,083,328
2006-AR9, 5.47% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		3,775,617		3,004,624
2006-7, 4.05% due 09/25/36		5,265,287		1,483,485
2006-8, 4.16% due 10/25/36		338,125		115,009
IXIS Real Estate Capital Trust
2007-HE1, 5.54% (1 Month Term SOFR + 0.22%, Rate Floor: 0.11%) due 05/25/37◊		32,338,460		7,645,365
2006-HE1, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 03/25/36◊		11,397,804		5,905,377

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-HE1, 5.66% (1 Month Term SOFR + 0.34%, Rate Floor: 0.23%) due 05/25/37◊		6,137,377	$	1,450,899
2007-HE1, 5.59% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 05/25/37◊		5,764,117		1,362,704
2007-HE1, 5.49% (1 Month Term SOFR + 0.17%, Rate Floor: 0.06%) due 05/25/37◊		4,795,479		1,133,760
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/478		125,088,183		17,498,086
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/624,9		17,302,555		17,149,420
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4		17,753,305		16,168,788
Starwood Mortgage Residential Trust
2020-1, 2.56% (WAC) due 02/25/50◊,4		9,285,044		8,562,452
2020-1, 2.41% (WAC) due 02/25/50◊,4		7,142,342		6,589,625
Verus Securitization Trust
2022-8, 6.13% due 09/25/674,9		14,766,823		14,482,113
Merrill Lynch Mortgage Investors Trust Series
2007-HE2, 5.95% (1 Month Term SOFR + 0.63%, Rate Floor: 0.52%) due 02/25/37◊		31,640,311		9,305,406
2006-HE6, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/37◊		7,863,705		3,879,862
RALI Series Trust
2007-QO4, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 05/25/47◊		3,957,178		3,428,696
2006-QO2, 5.87% (1 Month Term SOFR + 0.55%, Rate Floor: 0.44%) due 02/25/46◊		16,536,210		3,190,617
2007-QO2, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 02/25/47◊		7,420,826		2,610,935
2006-QO6, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 06/25/46◊		4,715,292		1,083,212
2006-QO2, 5.97% (1 Month Term SOFR + 0.65%, Rate Floor: 0.54%) due 02/25/46◊		5,362,610		1,062,914
2007-QO3, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 03/25/47◊		803,841		680,301

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-QO2, 6.11% (1 Month Term SOFR + 0.79%, Rate Floor: 0.68%) due 02/25/46◊		1,105,132	$	226,541
Angel Oak Mortgage Trust 2023-1
2023-1, 4.75% due 09/26/674,9		12,785,779		11,903,168
Ameriquest Mortgage Securities Trust
2006-M3, 5.59% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 10/25/36◊		26,744,795		7,879,979
2006-M3, 5.53% (1 Month Term SOFR + 0.21%, Rate Floor: 0.10%) due 10/25/36◊		11,234,610		3,310,195
ABFC Trust
2007-WMC1, 6.68% (1 Month Term SOFR + 1.36%, Rate Floor: 1.25%) due 06/25/37◊		14,937,626		10,197,209
Master Asset-Backed Securities Trust
2006-WMC4, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 10/25/36◊		10,611,757		3,337,450
2006-NC2, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 08/25/36◊		7,552,152		2,851,579
2006-WMC3, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 08/25/36◊		5,672,852		2,028,504
2007-WMC1, 5.59% (1 Month Term SOFR + 0.27%, Rate Floor: 0.16%) due 01/25/37◊		5,807,889		1,607,449
First NLC Trust
2005-4, 6.21% (1 Month Term SOFR + 0.89%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊		8,123,796		7,781,758
2005-1, 5.89% (1 Month Term SOFR + 0.57%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/35◊		2,124,724		1,826,862
HarborView Mortgage Loan Trust
2006-14, 5.74% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊		6,263,560		5,520,304
2006-12, 5.82% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 01/19/38◊		4,684,871		4,057,132
Angel Oak Mortgage Trust
2023-1, 4.75% due 09/26/674,9		10,063,615		9,504,237
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/68◊,10		6,372,821		6,282,538
2019-RM3, 2.80% (WAC) due 06/25/69◊,10		3,262,603		3,164,128

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Bear Stearns Asset-Backed Securities I Trust
2006-HE9, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36◊		9,573,559	$	9,259,281
Fremont Home Loan Trust
2006-E, 5.55% (1 Month Term SOFR + 0.23%, Rate Floor: 0.12%) due 01/25/37◊		11,565,768		5,141,257
2006-D, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 11/25/36◊		10,370,134		3,533,701
First Franklin Mortgage Loan Trust
2006-FF16, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 12/25/36◊		20,279,814		8,319,356
Merrill Lynch Alternative Note Asset Trust Series
2007-A1, 5.89% (1 Month Term SOFR + 0.57%, Rate Floor: 0.46%) due 01/25/37◊		19,212,356		5,755,486
2007-A1, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/37◊		7,285,646		2,171,877
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊,10		8,568,166		7,667,814
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 01/25/36◊		7,720,784		7,289,530
Towd Point Mortgage Trust 2023-CES1
2023-CES1, 6.75% (WAC) due 07/25/63◊,4		7,188,158		7,156,271
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W4, 6.19% (1 Month Term SOFR + 0.87%, Rate Floor: 0.76%) due 02/25/36◊		9,509,147		7,141,877
Long Beach Mortgage Loan Trust
2006-8, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 09/25/36◊		14,577,520		3,955,757
2006-6, 5.93% (1 Month Term SOFR + 0.61%, Rate Floor: 0.50%) due 07/25/36◊		4,537,856		1,730,928
2006-8, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 09/25/36◊		3,890,468		1,055,244

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
BRAVO Residential Funding Trust 2023-NQM6
2023-NQM6, 7.06% due 09/25/634,9		6,612,076	$	6,595,553
Option One Mortgage Loan Trust
2007-5, 5.65% (1 Month Term SOFR + 0.33%, Rate Floor: 0.22%) due 05/25/37◊		6,973,853		4,058,237
2007-2, 5.68% (1 Month Term SOFR + 0.36%, Rate Floor: 0.25%) due 03/25/37◊		4,923,997		2,362,959
RCKT Mortgage Trust 2023-CES1
2023-CES1, 6.52% (WAC) due 06/25/43◊,4		6,248,796		6,187,649
Lehman XS Trust Series
2007-2N, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 02/25/37◊		4,670,953		4,178,238
2007-15N, 5.93% (1 Month Term SOFR + 0.61%, Rate Floor: 0.00%) due 08/25/37◊		1,300,489		1,171,139
2006-10N, 5.85% (1 Month Term SOFR + 0.53%, Rate Floor: 0.42%) due 07/25/46◊		294,456		262,458
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 12/25/36◊		6,042,289		5,594,119
CWABS Asset-Backed Certificates Trust 2006-11
2006-12, 5.69% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 12/25/36◊		6,015,978		5,356,050
WaMu Asset-Backed Certificates WaMu Series
2007-HE4, 5.60% (1 Month Term SOFR + 0.28%, Rate Floor: 0.28%) due 07/25/47◊		4,924,776		3,402,322
2007-HE4, 5.68% (1 Month Term SOFR + 0.36%, Rate Floor: 0.36%) due 07/25/47◊		3,330,849		1,926,388
American Home Mortgage Assets Trust
2006-4, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.30%) due 10/25/46◊		6,839,086		3,590,525
2006-6, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 12/25/46◊		2,083,034		1,716,214

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 5.44% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/47◊		4,528,941	$	3,549,066
2006-AR13, 5.51% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/46◊		1,381,992		1,132,559
2006-AR11, 5.55% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/46◊		622,490		522,288
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 11/25/36◊		15,107,588		5,184,333
GCAT 2023-NQM3 Trust
2023-NQM3, 7.34% (WAC) due 08/25/68◊,†††,4		5,150,000		5,129,849
RCKT Mortgage Trust 2023-CES2
2023-CES2, 6.81% (WAC) due 09/25/43◊,4		5,000,000		4,992,989
Deutsche Alt-A Securities Mortgage Loan Trust Series
2006-AR4, 5.69% (1 Month Term SOFR + 0.37%, Rate Floor: 0.26%) due 12/25/36◊		9,524,714		3,131,013
2007-OA2, 5.40% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/47◊		2,106,376		1,855,594
PRPM 2023-RCF1 LLC
2023-RCF1, 4.00% due 06/25/534,9		4,739,452		4,462,746
BRAVO Residential Funding Trust 2023-NQM5
2023-NQM5, 7.01% due 06/25/634,9		4,460,761		4,442,256
GSAA Home Equity Trust
2006-5, 5.79% (1 Month Term SOFR + 0.47%, Rate Floor: 0.36%) due 03/25/36◊		12,429,458		4,234,473
2007-7, 5.97% (1 Month Term SOFR + 0.65%, Rate Floor: 0.54%) due 07/25/37◊		147,168		134,215
Impac Secured Assets CMN Owner Trust
2005-2, 5.93% (1 Month Term SOFR + 0.61%, Rate Floor: 0.50%) due 03/25/36◊		4,652,064		4,141,324
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,4		7,108,000		3,889,753
OBX 2023-NQM2 Trust
2023-NQM2, 6.72% due 01/25/624,9		3,487,412		3,465,075
GSAA Trust
2007-3, 5.77% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 03/25/47◊		10,823,664		3,004,039

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
GCAT 2023-NQM2 Trust
2023-NQM2, 6.24% due 11/25/674,9		2,931,113	$	2,883,379
ASG Resecuritization Trust
2010-3, 4.55% (1 Month Term SOFR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/45◊,4		2,356,629		2,140,401
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 6.01% (1 Month Term SOFR + 0.69%, Rate Floor: 0.58%) due 01/25/36◊		1,690,149		1,604,111
Securitized Asset Backed Receivables LLC Trust 2006-WM4
2006-WM4, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 11/25/36◊		5,258,834		1,465,848
Countrywide Asset-Backed Certificates
2005-15, 6.11% (1 Month Term SOFR + 0.79%, Rate Floor: 0.68%) due 03/25/36◊		942,587		908,214
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 01/26/60◊,4		692,659		649,117
Structured Asset Investment Loan Trust
2004-BNC2, 6.63% (1 Month Term SOFR + 1.31%, Rate Floor: 1.20%) due 12/25/34◊		371,947		363,626
2006-3, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 06/25/36◊		293,738		279,205
Nomura Resecuritization Trust
2015-4R, 2.73% (1 Month Term SOFR + 0.54%, Rate Floor: 0.43%) due 03/26/36◊,4		553,124		510,202
Impac Secured Assets Trust
2006-2, 5.77% (1 Month Term SOFR + 0.45%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/36◊		507,223		480,607
Alliance Bancorp Trust
2007-OA1, 5.91% (1 Month Term SOFR + 0.59%, Rate Floor: 0.48%) due 07/25/37◊		526,939		436,125
Morgan Stanley Re-REMIC Trust
2010-R5, 3.47% due 06/26/369,10		112,874		102,318
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		93,432		92,321

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
GreenPoint Mortgage Funding Trust
2006-AR1, 6.01% (1 Month Term SOFR + 0.69%, Rate Cap/Floor: 10.50%/0.58%) due 02/25/36◊		94,196	$	77,401
Irwin Home Equity Loan Trust
2007-1, 6.35% due 08/25/3710		200		197
Total Residential Mortgage-Backed Securities				1,702,894,931
Commercial Mortgage-Backed Securities - 1.5%
BX Commercial Mortgage Trust
2021-VOLT, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 09/15/36◊,4		60,050,000		57,257,267
2021-VOLT, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,4		52,000,000		49,601,037
2019-XL, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 10/15/36◊,4		6,849,516		6,775,813
2022-LP2, 7.29% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4		5,103,438		4,884,430
SMRT
2022-MINI, 7.28% (1 Month Term SOFR + 1.95%, Rate Floor: 1.95%) due 01/15/39◊,4		32,500,000		31,134,201
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 7.29% (1 Month Term SOFR + 1.95%, Rate Floor: 1.84%) due 06/15/38◊,4		14,350,000		12,369,908
2016-JP3, 3.55% (WAC) due 08/15/49◊		10,290,000		7,482,571
2021-NYAH, 7.64% (1 Month Term SOFR + 2.30%, Rate Floor: 2.19%) due 06/15/38◊,4		8,000,000		6,825,524
2016-JP3, 1.46% (WAC) due 08/15/49◊,8		52,739,619		1,603,348
Life Mortgage Trust
2021-BMR, 7.80% (1 Month Term SOFR + 2.46%, Rate Floor: 2.35%) due 03/15/38◊,4		19,167,918		18,317,451
2021-BMR, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 03/15/38◊,4		5,160,593		4,966,918
Extended Stay America Trust
2021-ESH, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 07/15/38◊,4		11,881,095		11,687,181
2021-ESH, 7.15% (1 Month Term SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/38◊,4		6,130,645		6,038,997

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Citigroup Commercial Mortgage Trust
2019-GC43, 0.74% (WAC) due 11/10/52◊,8		218,036,340	$	6,138,246
2019-GC41, 1.17% (WAC) due 08/10/56◊,8		103,121,811		4,031,155
2016-P4, 2.05% (WAC) due 07/10/49◊,8		27,874,919		1,075,587
2016-C2, 1.81% (WAC) due 08/10/49◊,8		30,347,562		1,044,806
2016-P5, 1.52% (WAC) due 10/10/49◊,8		24,959,338		767,455
2016-GC37, 1.82% (WAC) due 04/10/49◊,8		19,249,322		583,416
2015-GC35, 0.86% (WAC) due 11/10/48◊,8		27,836,631		318,393
2016-C3, 1.12% (WAC) due 11/15/49◊,8		9,867,141		236,242
2015-GC29, 1.15% (WAC) due 04/10/48◊,8		18,132,161		212,068
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/37◊,4		5,350,000		4,703,301
2020-DUNE, 6.81% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 12/15/36◊,4		3,750,000		3,664,663
2020-DUNE, 7.36% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 12/15/36◊,4		1,000,000		957,658
BENCHMARK Mortgage Trust
2019-B14, 0.90% (WAC) due 12/15/62◊,8		108,146,228		3,001,836
2020-IG3, 3.23% (WAC) due 09/15/48◊,4		5,232,000		2,786,701
2018-B2, 0.60% (WAC) due 02/15/51◊,8		100,564,047		1,418,013
2018-B6, 0.56% (WAC) due 10/10/51◊,8		59,698,080		754,303
2018-B6, 4.75% (WAC) due 10/10/51◊		750,000		622,605
GS Mortgage Securities Trust
2020-GC45, 0.78% (WAC) due 02/13/53◊,8		152,167,332		4,400,694
2019-GC42, 0.93% (WAC) due 09/10/52◊,8		69,211,889		2,345,591
2017-GS6, 1.16% (WAC) due 05/10/50◊,8		40,865,850		1,200,917
2017-GS6, 3.87% due 05/10/50		521,000		423,077
2015-GC28, 1.11% (WAC) due 02/10/48◊,8		14,560,104		120,575
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.09% (WAC) due 07/15/50◊,8		63,652,058		1,651,402
2016-BNK1, 1.86% (WAC) due 08/15/49◊,8		34,374,352		1,211,758
2017-RB1, 1.35% (WAC) due 03/15/50◊,8		32,823,363		999,823

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2017-C42, 1.01% (WAC) due 12/15/50◊,8		33,853,505	$	983,644
2016-C35, 2.04% (WAC) due 07/15/48◊,8		21,723,237		837,707
2015-NXS4, 1.17% (WAC) due 12/15/48◊,8		37,030,658		623,248
2017-RC1, 1.54% (WAC) due 01/15/60◊,8		16,400,914		619,056
2016-NXS5, 1.57% (WAC) due 01/15/59◊,8		20,156,482		522,162
2015-C30, 1.03% (WAC) due 09/15/58◊,8		28,368,845		365,782
2015-P2, 1.08% (WAC) due 12/15/48◊,8		22,002,396		356,221
2016-C37, 0.95% (WAC) due 12/15/49◊,8		11,382,263		202,793
2015-NXS1, 1.20% (WAC) due 05/15/48◊,8		7,707,012		77,418
JPMDB Commercial Mortgage Securities Trust
2017-C7, 0.97% (WAC) due 10/15/50◊,8		124,489,077		3,118,638
2016-C4, 3.64% (WAC) due 12/15/49◊		2,650,000		2,130,147
2016-C4, 0.86% (WAC) due 12/15/49◊,8		72,918,100		1,282,600
2016-C2, 1.63% (WAC) due 06/15/49◊,8		23,106,057		650,387
2017-C5, 1.04% (WAC) due 03/15/50◊,8		7,476,535		159,843
DBGS Mortgage Trust
2018-C1, 4.80% (WAC) due 10/15/51◊		7,588,000		6,428,592
COMM Mortgage Trust
2018-COR3, 0.57% (WAC) due 05/10/51◊,8		195,474,798		3,204,497
2015-CR26, 1.04% (WAC) due 10/10/48◊,8		75,304,581		980,503
2015-CR24, 0.83% (WAC) due 08/10/48◊,8		38,704,545		374,265
2015-CR23, 1.00% (WAC) due 05/10/48◊,8		34,843,500		357,954
2015-CR27, 1.05% (WAC) due 10/10/48◊,8		25,029,277		352,437
2014-LC15, 1.20% (WAC) due 04/10/47◊,8		8,727,289		8,106
2013-CR13, 0.71% (WAC) due 11/10/46◊,8		16,972,598		5,076
BANK
2020-BN25, 0.53% (WAC) due 01/15/63◊,8		140,000,000		3,205,174
2017-BNK6, 0.91% (WAC) due 07/15/60◊,8		38,406,267		835,947
2017-BNK4, 1.50% (WAC) due 05/15/50◊,8		10,654,714		384,549
CSAIL Commercial Mortgage Trust
2019-C15, 1.19% (WAC) due 03/15/52◊,8		94,016,939		3,534,398
2015-C1, 0.95% (WAC) due 04/15/50◊,8		48,966,657		307,760

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~			Value
2016-C6, 2.02% (WAC) due 01/15/49◊,8		4,800,726		$	167,887
UBS Commercial Mortgage Trust
2017-C2, 1.22% (WAC) due 08/15/50◊,8		38,622,887	��		1,229,177
2017-C5, 1.22% (WAC) due 11/15/50◊,8		41,882,889			1,142,934
CD Mortgage Trust
2017-CD6, 1.02% (WAC) due 11/13/50◊,8		40,472,083			934,075
2016-CD1, 1.50% (WAC) due 08/10/49◊,8		28,994,054			789,618
2016-CD2, 0.69% (WAC) due 11/10/49◊,8		29,549,328			370,386
BBCMS Mortgage Trust
2018-C2, 0.92% (WAC) due 12/15/51◊,8		57,131,708			1,710,026
KKR Industrial Portfolio Trust
2021-KDIP, 7.00% (1 Month Term SOFR + 1.66%, Rate Floor: 1.55%) due 12/15/37◊,4		1,629,444			1,604,862
CD Commercial Mortgage Trust
2017-CD4, 1.38% (WAC) due 05/10/50◊,8		25,440,722			837,425
2017-CD3, 1.11% (WAC) due 02/10/50◊,8		31,749,638			766,201
CGMS Commercial Mortgage Trust
2017-B1, 0.87% (WAC) due 08/15/50◊,8		58,546,119			1,346,649
JPMCC Commercial Mortgage Securities Trust
2017-JP6, 1.17% (WAC) due 07/15/50◊,8		47,431,179			1,222,074
CFCRE Commercial Mortgage Trust
2016-C3, 1.14% (WAC) due 01/10/48◊,8		42,909,124			759,878
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27, 1.01% (WAC) due 12/15/47◊,8		62,297,174			732,982
Citigroup Commercial Mortgage Trust 2015-GC35
2015-GC35, 4.35% (WAC) due 11/10/48◊		810,679			716,279
JPMBB Commercial Mortgage Securities Trust
2015-C27, 1.28% (WAC) due 02/15/48◊,8		64,517,110			685,862
Bank of America Merrill Lynch Commercial Mortgage Trust
2017-BNK3, 1.16% (WAC) due 02/15/50◊,8		21,065,210			561,775
2016-UB10, 1.89% (WAC) due 07/15/49◊,8		1,555,960			49,691
DBJPM Mortgage Trust
2017-C6, 1.05% (WAC) due 06/10/50◊,8		20,207,112			482,663

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18
2014-C18, 4.00% due 08/15/31		525,365	$	337,232
Morgan Stanley Capital I Trust
2016-UBS9, 4.75% (WAC) due 03/15/49◊		275,000		240,729
SG Commercial Mortgage Securities Trust
2016-C5, 2.02% (WAC) due 10/10/48◊,8		4,965,126		171,424
Total Commercial Mortgage-Backed Securities				312,383,664
Military Housing - 0.8%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 4.66% (WAC) due 11/25/55◊,4		111,247,556		85,323,187
2015-R1, 4.44% (WAC) due 11/25/52◊,4		20,990,551		16,827,464
2015-R1, 0.70% (WAC) due 11/25/55◊,4,8		167,170,525		10,690,037
2015-R1, 4.31% (WAC) due 10/25/52◊,4		13,235,718		9,508,162
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/51†††,4		12,534,838		10,780,429
2007-AETC, 5.75% due 02/10/52†††,4		7,129,558		5,968,518
2006-RILY, 5.67% (1 Month Term SOFR + 0.37%, Rate Floor: 0.37%) due 07/10/51◊,†††,4		6,746,826		4,376,341
2007-ROBS, 6.06% due 10/10/52†††,4		4,512,185		3,873,896
2007-AET2, 6.06% due 10/10/52†††,4		2,964,223		2,700,907
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,4		21,416,558		19,798,587
2005-DRUM, 5.47% due 05/10/50†††,4		4,341,715		3,616,106
2005-BLIS, 5.25% due 07/10/50†††,4		2,500,000		1,943,590
Total Military Housing				175,407,224
Total Collateralized Mortgage Obligations
(Cost $5,699,920,822)				5,153,069,890
ASSET-BACKED SECURITIES†† - 23.0%
Collateralized Loan Obligations - 14.2%
LCCM Trust
2021-FL3 A, 6.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 11/15/38◊,4		98,500,000		96,255,687
2021-FL3 AS, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 11/15/38◊,4		37,152,000		35,232,248
2021-FL3 B, 7.65% (1 Month Term SOFR + 2.31%, Rate Floor: 2.31%) due 11/15/38◊,4		21,450,000		20,193,348
2021-FL2 B, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 2.01%) due 12/13/38◊,4		400,000		378,264

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
LoanCore Issuer Ltd.
2021-CRE6 B, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 11/15/38◊,4		44,000,000	$	41,912,983
2021-CRE4 C, 7.13% (30 Day Average SOFR + 1.81%, Rate Floor: 1.81%) due 07/15/35◊,4		25,982,000		25,248,697
2021-CRE6 C, 7.75% (1 Month Term SOFR + 2.41%, Rate Floor: 2.30%) due 11/15/38◊,4		22,825,000		21,749,634
2021-CRE5 D, 8.45% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 07/15/36◊,4		14,350,000		13,107,782
2019-CRE2 B, 7.15% (1 Month Term SOFR + 1.81%, Rate Floor: 1.70%) due 05/15/36◊,4		11,575,000		11,330,610
2019-CRE2 AS, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 05/15/36◊,4		11,040,296		10,802,240
2021-CRE4 D, 7.93% (30 Day Average SOFR + 2.61%, Rate Floor: 2.61%) due 07/15/35◊,4		5,600,000		5,219,787
2019-CRE3 B, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 04/15/34◊,4		4,410,000		4,193,634
BXMT Ltd.
2020-FL2 A, 6.35% (1 Month Term SOFR + 1.01%, Rate Floor: 1.01%) due 02/15/38◊,4		51,958,293		49,376,741
2020-FL3 AS, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 11/15/37◊,4		23,550,000		22,029,916
2020-FL3 C, 8.00% (1 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 11/15/37◊,4		16,327,000		14,347,333
2020-FL2 B, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38◊,4		16,000,000		13,944,085
2020-FL3 B, 7.60% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 11/15/37◊,4		10,600,000		9,466,740
2020-FL2 AS, 6.60% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 02/15/38◊,4		6,008,500		5,474,970
2020-FL2 C, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.76%) due 02/15/38◊,4		5,360,000		4,558,231
Cerberus Loan Funding XXX, LP
2020-3A A, 7.42% (3 Month USD SOFR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4		100,000,000		99,653,420

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-3A B, 8.07% (3 Month USD SOFR + 2.50%, Rate Floor: 2.50%) due 01/15/33◊,4		10,200,000	$	10,033,846
Cerberus Loan Funding XXXII, LP
2021-2A A, 7.19% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,4		65,000,000		64,200,871
2021-2A C, 8.42% (3 Month Term SOFR + 3.11%, Rate Floor: 3.11%) due 04/22/33◊,4		20,925,000		20,163,416
2021-2A B, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 2.16%) due 04/22/33◊,4		19,200,000		18,602,072
Woodmont Trust
2020-7A A1A, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 01/15/32◊,4		83,000,000		82,770,696
2020-7A B, 8.17% (3 Month Term SOFR + 2.86%, Rate Floor: 2.60%) due 01/15/32◊,4		13,500,000		13,207,401
2020-7A A2, 7.82% (3 Month Term SOFR + 2.51%, Rate Floor: 2.25%) due 01/15/32◊,4		7,000,000		6,933,406
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 7.51% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33◊,4		105,004,127		100,840,892
HERA Commercial Mortgage Ltd.
2021-FL1 B, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 02/18/38◊,4		49,562,000		47,396,304
2021-FL1 AS, 6.75% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/18/38◊,4		28,000,000		26,812,733
2021-FL1 C, 7.40% (1 Month Term SOFR + 2.06%, Rate Floor: 1.95%) due 02/18/38◊,4		19,200,000		18,010,453
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/18/38◊,4		8,627,499		8,372,390
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 7.19% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 04/20/32◊,4		84,258,254		83,338,306
Cerberus Loan Funding XLII LLC
2023-3A A1, 7.91% (3 Month Term SOFR + 2.48%, Rate Floor: 2.48%) due 09/13/35◊,4		54,450,000		54,446,183
2023-3A B, 8.78% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 09/13/35◊,4		15,700,000		15,698,651

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Palmer Square Loan Funding Ltd.
2022-1A A2, 6.91% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4		23,000,000	$	22,682,540
2021-3A B, 7.34% (3 Month Term SOFR + 2.01%, Rate Floor: 2.01%) due 07/20/29◊,4		22,500,000		22,145,915
2021-2A B, 7.04% (3 Month Term SOFR + 1.66%, Rate Floor: 1.66%) due 05/20/29◊,4		10,500,000		10,308,020
2021-1A B, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 2.06%) due 04/20/29◊,4		7,100,000		7,026,313
2021-2A C, 8.04% (3 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 05/20/29◊,4		7,000,000		6,903,077
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 6.93% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 02/05/31◊,4		69,265,946		68,850,350
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/20/31◊,4		49,984,686		49,370,004
2021-5A A2R, 7.49% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 04/20/31◊,4		15,975,000		15,493,296
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,4		33,500,000		33,042,671
2021-1A BR, 7.57% (3 Month Term SOFR + 2.26%, Rate Floor: 2.00%) due 04/15/33◊,4		30,400,000		30,001,444
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 7.29% (3 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 07/20/33◊,4		59,500,000		58,989,264
2021-1A B12, 7.59% (3 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 07/20/33◊,4		2,500,000		2,376,595
Cerberus Loan Funding XL LLC
2023-1A A, 7.71% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 03/22/35◊,4		55,500,000		55,496,814
2023-1A B, 8.91% (3 Month Term SOFR + 3.60%, Rate Floor: 3.60%) due 03/22/35◊,4		4,600,000		4,605,131
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 7.02% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/18/31◊,4		34,150,000		33,754,779

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-9A A2R, 7.42% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 11/18/31◊,4		26,000,000	$	25,261,920
Cerberus Loan Funding XXXI, LP
2021-1A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/15/32◊,4		47,227,702		47,027,027
2021-1A C, 8.17% (3 Month Term SOFR + 2.86%, Rate Floor: 2.60%) due 04/15/32◊,4		12,000,000		11,680,730
Cerberus Loan Funding XXXIII, LP
2021-3A A, 7.13% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33◊,4		47,750,000		47,029,491
2021-3A B, 7.42% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 07/23/33◊,4		9,500,000		9,170,517
Owl Rock CLO IV Ltd.
2021-4A A1R, 7.24% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,4		40,750,000		40,138,290
2021-4A A2R, 7.54% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 08/20/33◊,4		16,750,000		15,898,189
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 7.37% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 10/15/33◊,4		46,200,000		44,990,623
2021-9A BR, 7.52% (3 Month Term SOFR + 2.21%, Rate Floor: 1.95%) due 10/15/33◊,4		6,700,000		6,363,486
2021-9A A1TR, 7.12% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 10/15/33◊,4		3,450,000		3,385,287
FS Rialto
2021-FL3 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.05%) due 11/16/36◊,4		31,150,000		29,315,645
2021-FL2 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.16%) due 05/16/38◊,4		15,665,000		14,725,650
2021-FL3 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 11/16/36◊,4		8,000,000		7,644,171
Cerberus Loan Funding XXXV, LP
2021-5A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33◊,4		41,500,000		41,126,965
2021-5A B, 7.42% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 09/22/33◊,4		8,000,000		7,739,591

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 7.05% (3 Month Term SOFR + 1.69%, Rate Floor: 1.43%) due 10/20/31◊,4		39,500,000	$	39,011,255
2021-7A A2R, 7.47% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 10/20/31◊,4		8,250,000		8,022,895
CHCP Ltd.
2021-FL1 AS, 6.75% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/15/38◊,4		22,250,000		21,712,562
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,4		12,808,058		12,701,083
2021-FL1 B, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/38◊,4		6,600,000		6,425,905
2021-FL1 C, 7.55% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,4		2,950,000		2,809,518
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 6.87% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 04/15/31◊,4		40,861,886		40,627,710
2018-11A C, 8.07% (3 Month Term SOFR + 2.76%, Rate Floor: 0.00%) due 04/15/31◊,4		2,300,000		2,226,246
KREF Funding V LLC
7.19% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 06/25/26◊,†††		40,838,489		40,505,560
0.15% due 06/25/26†††,8		313,636,364		216,409
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A B, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 01/20/33◊,4		35,900,000		35,548,187
2021-9A C, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 01/20/33◊,4		3,900,000		3,813,984
LCM XXIV Ltd.
2021-24A BR, 6.99% (3 Month Term SOFR + 1.66%, Rate Floor: 0.00%) due 03/20/30◊,4		24,200,000		23,761,482
2021-24A CR, 7.49% (3 Month Term SOFR + 2.16%, Rate Floor: 0.00%) due 03/20/30◊,4		13,050,000		12,753,421
ACRES Commercial Realty Ltd.
2021-FL1 C, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.11%) due 06/15/36◊,4		13,092,000		12,362,785
2021-FL1 D, 8.10% (1 Month Term SOFR + 2.76%, Rate Floor: 2.76%) due 06/15/36◊,4		11,750,000		10,763,487

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-FL2 B, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.36%) due 01/15/37◊,4		10,100,000	$	9,787,096
2021-FL2 AS, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 01/15/37◊,4		3,500,000		3,415,517
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 7.22% (3 Month Term SOFR + 1.87%, Rate Floor: 1.61%) due 07/25/33◊,4		26,750,000		26,583,778
2021-16A A2R2, 7.41% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 07/25/33◊,4		9,750,000		9,457,994
Madison Park Funding XLVIII Ltd.
2021-48A B, 7.03% (3 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 04/19/33◊,4		27,500,000		27,258,000
2021-48A C, 7.58% (3 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 04/19/33◊,4		6,650,000		6,575,500
Golub Capital Partners CLO 49M Ltd.
2021-49A BR, 7.49% (3 Month USD SOFR + 1.90%, Rate Floor: 1.90%) due 08/26/33◊,4		21,695,000		20,783,623
2021-49A CR, 8.19% (3 Month USD SOFR + 2.60%, Rate Floor: 2.60%) due 08/26/33◊,4		12,600,000		12,019,049
Palmer Square CLO 2023-4 Ltd.
2023-4A C, due 10/20/334,17		30,450,000		30,450,000
BDS Ltd.
2021-FL9 C, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 11/16/38◊,4		19,500,000		18,600,305
2020-FL5 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,4		4,400,000		4,271,909
2021-FL9 D, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 11/16/38◊,4		4,400,000		4,118,193
2020-FL5 AS, 6.80% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 02/16/37◊,4		3,200,000		3,146,116
BCC Middle Market CLO LLC
2021-1A A1R, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33◊,4		30,450,000		30,059,911
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A B, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 04/16/33◊,4		26,700,000		26,416,980

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-40A C, 7.32% (3 Month Term SOFR + 2.01%, Rate Floor: 1.75%) due 04/16/33◊,4		2,500,000	$	2,445,974
MidOcean Credit CLO VII
2020-7A BR, 7.17% (3 Month Term SOFR + 1.86%, Rate Floor: 0.00%) due 07/15/29◊,4		27,500,000		27,007,750
OCP CLO Ltd.
2020-4A A2RR, 7.06% (3 Month Term SOFR + 1.71%, Rate Floor: 1.45%) due 04/24/29◊,4		25,500,000		25,339,350
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 7.26% (3 Month Term SOFR + 1.91%, Rate Floor: 0.00%) due 10/25/30◊,4		24,289,565		24,186,050
BSPDF Issuer Ltd.
2021-FL1 C, 7.70% (1 Month Term SOFR + 2.36%, Rate Floor: 2.25%) due 10/15/36◊,4		15,300,000		14,190,248
2021-FL1 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 10/15/36◊,4		6,500,000		6,120,479
2021-FL1 D, 8.20% (1 Month Term SOFR + 2.86%, Rate Floor: 2.75%) due 10/15/36◊,4		3,500,000		3,166,778
Madison Park Funding LIII Ltd.
2022-53A B, 7.08% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4		24,000,000		23,433,600
STWD Ltd.
2019-FL1 B, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 07/15/38◊,4		11,210,000		10,379,571
2019-FL1 C, 7.40% (1 Month Term SOFR + 2.06%, Rate Floor: 2.06%) due 07/15/38◊,4		8,800,000		8,104,905
2021-FL2 C, 7.55% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 04/18/38◊,4		2,820,000		2,519,038
2019-FL1 AS, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 07/15/38◊,4		2,200,000		2,122,504
Venture XIV CLO Ltd.
2020-14A CRR, 7.90% (3 Month Term SOFR + 2.51%, Rate Floor: 2.25%) due 08/28/29◊,4		22,725,000		22,706,820
Magnetite XXIX Ltd.
2021-29A B, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 01/15/34◊,4		15,100,000		14,961,080
2021-29A C, 7.22% (3 Month Term SOFR + 1.91%, Rate Floor: 1.65%) due 01/15/34◊,4		7,700,000		7,494,147

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Apres Static CLO Ltd.
2020-1A A2R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 0.00%) due 10/15/28◊,4		21,750,000	$	21,658,876
Fontainbleau Vegas
10.98% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,†††		20,740,722		20,740,722
Golub Capital Partners CLO 54M L.P
2021-54A B, 7.48% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 08/05/33◊,4		21,000,000		19,930,392
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 6.86% (3 Month Term SOFR + 1.53%, Rate Floor: 1.27%) due 04/20/30◊,4		19,733,407		19,555,563
Recette CLO Ltd.
2021-1A BRR, 6.99% (3 Month Term SOFR + 1.66%, Rate Floor: 0.00%) due 04/20/34◊,4		9,800,000		9,619,680
2021-1A CRR, 7.34% (3 Month Term SOFR + 2.01%, Rate Floor: 0.00%) due 04/20/34◊,4		9,200,000		8,880,264
Anchorage Capital CLO 6 Ltd.
2021-6A CRR, 7.77% (3 Month Term SOFR + 2.46%, Rate Floor: 2.20%) due 07/15/30◊,4		18,585,000		18,367,673
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A BR, 6.98% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 01/20/32◊,4		14,100,000		13,947,721
2021-32A CR, 7.28% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 01/20/32◊,4		4,200,000		4,099,335
Owl Rock CLO VI Ltd.
2021-6A B1, 7.41% (3 Month Term SOFR + 2.01%, Rate Floor: 1.75%) due 06/21/32◊,4		17,450,000		16,871,334
BSPRT Issuer Ltd.
2021-FL7 C, 7.75% (1 Month Term SOFR + 2.41%, Rate Floor: 2.41%) due 12/15/38◊,4		7,250,000		6,925,981
2021-FL6 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.05%) due 03/15/36◊,4		5,550,000		5,143,032
2021-FL7 B, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.16%) due 12/15/38◊,4		4,875,000		4,725,161
Cerberus Loan Funding XXXVIII, LP
2022-2A A1, 8.06% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 10/15/34◊,4		16,570,000		16,555,114

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
KREF
2021-FL2 C, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 02/15/39◊,4		16,600,000	$	15,554,673
Owl Rock CLO II Ltd.
2021-2A ALR, 7.14% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 04/20/33◊,4		15,600,000		15,340,193
Palmer Square Loan Funding 2023-1 Ltd.
2023-1A B, due 07/20/314,17		15,250,000		15,330,781
Dryden 36 Senior Loan Fund
2020-36A CR3, 7.62% (3 Month Term SOFR + 2.31%, Rate Floor: 2.05%) due 04/15/29◊,4		15,200,000		15,070,602
Owl Rock CLO XIII LLC
2023-13A B, 8.77% (3 Month Term SOFR + 3.35%, Rate Floor: 3.35%) due 09/20/35◊,4		14,750,000		14,747,363
Octagon Investment Partners 49 Ltd.
2021-5A B, 7.12% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 01/15/33◊,4		12,800,000		12,642,560
AMMC CLO XIV Ltd.
2021-14A A2R2, 7.01% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 07/25/29◊,4		12,191,165		12,186,289
Greystone Commercial Real Estate Notes
2021-FL3 C, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.00%) due 07/15/39◊,4		12,000,000		11,207,096
Golub Capital Partners CLO 54M, LP
2021-54A A, 7.16% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33◊,4		10,750,000		10,582,805
Neuberger Berman CLO XVI-S Ltd.
2021-16SA BR, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 04/15/34◊,4		10,200,000		10,039,861
Lake Shore MM CLO III LLC
2021-2A A1R, 7.05% (3 Month Term SOFR + 1.74%, Rate Floor: 1.48%) due 10/17/31◊,4		10,000,000		9,859,667
Golub Capital Partners CLO 25M Ltd.
2018-25A AR, 7.01% (3 Month Term SOFR + 1.64%, Rate Floor: 1.38%) due 05/05/30◊,4		9,726,038		9,708,309
Neuberger Berman Loan Advisers CLO 47 Ltd.
2022-47A B, 7.11% (3 Month Term SOFR + 1.80%, Rate Floor: 1.80%) due 04/14/35◊,4		9,000,000		8,892,000

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Boyce Park CLO Ltd.
2022-1A B1, 7.08% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,4		8,800,000	$	8,671,524
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/314,12		10,000,000		7,322,454
Palmer Square Loan Funding 2022-4 Ltd.
2023-4A B, 8.10% (3 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/24/31◊,4		7,050,000		7,098,061
ACRES Commercial Realty 2021-FL1 Ltd.
2021-FL1 AS, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 06/15/36◊,4		6,425,000		6,189,851
ACRE Commercial Mortgage Ltd.
2021-FL4 B, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 12/18/37◊,4		3,100,000		2,955,403
2021-FL4 C, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 12/18/37◊,4		3,100,000		2,858,765
HGI CRE CLO Ltd.
2021-FL2 B, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.61%) due 09/17/36◊,4		5,000,000		4,772,179
2021-FL2 C, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 09/17/36◊,4		1,000,000		944,541
Owl Rock CLO I Ltd.
2019-1A A, 7.44% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 05/20/31◊,4		5,575,431		5,554,874
Shackleton CLO Ltd.
2017-8A BR, 6.89% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 10/20/27◊,4		5,510,000		5,465,220
VOYA CLO
2021-2A BR, 7.72% (3 Month Term SOFR + 2.41%, Rate Floor: 2.15%) due 06/07/30◊,4		4,950,000		4,920,560
STWD 2021-FL2 Ltd.
2021-FL2 A, 6.65% (1 Month Term SOFR + 1.31%, Rate Floor: 1.20%) due 04/18/38◊,4		5,000,000		4,891,197
Atlas Senior Loan Fund III Ltd.
2017-1A BR, 6.94% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 11/17/27◊,4		4,300,000		4,291,000
Elmwood CLO 19 Ltd.
2022-6A B1, 8.36% (3 Month Term SOFR + 3.05%, Rate Floor: 3.05%) due 10/17/34◊,4		4,000,000		4,020,800

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Northwoods Capital XII-B Ltd.
2018-12BA B, 7.52% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 06/15/31◊,4		4,000,000	$	3,886,400
BRSP Ltd.
2021-FL1 D, 8.14% (1 Month Term SOFR + 2.81%, Rate Floor: 2.70%) due 08/19/38◊,4		4,200,000		3,714,617
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 D, 8.00% (1 Month Term SOFR + 2.66%, Rate Floor: 2.55%) due 07/16/36◊,4		3,800,000		3,616,853
Cerberus Loan Funding XXXVI, LP
2021-6A A, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/22/33◊,4		2,711,877		2,703,828
Wellfleet CLO Ltd.
2018-2A A2R, 7.17% (3 Month Term SOFR + 1.84%, Rate Floor: 1.58%) due 10/20/28◊,4		2,500,000		2,488,750
Allegro CLO VII Ltd.
2018-1A C, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 06/13/31◊,4		2,500,000		2,424,891
Carlyle Global Market Strategies CLO Ltd.
2012-3A SUB, due 01/14/324,12		8,920,000		2,363,800
Marathon CLO V Ltd.
2017-5A A2R, 7.09% (3 Month Term SOFR + 1.71%, Rate Floor: 0.00%) due 11/21/27◊,4		2,117,762		2,115,264
Diamond CLO Ltd.
2021-1A CR, 8.01% (3 Month Term SOFR + 2.66%, Rate Floor: 2.66%) due 04/25/29◊,4		779,803		777,253
Voya CLO Ltd.
2013-1A INC, due 10/15/304,12		10,575,071		613,883
TRTX Issuer Ltd.
2019-FL3 B, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.75%) due 10/15/34◊,4		431,548		430,572
Great Lakes CLO Ltd.
2014-1A SUB, due 10/15/294,12		461,538		177,564
Venture XIII CLO Ltd.
2013-13A SUB, due 09/10/294,12		3,700,000		111,525
Treman Park CLO Ltd.
2015-1A SUB, due 10/20/284,12		6,859,005		68,864
Atlas Senior Loan Fund IX Ltd.
2018-9A SUB, due 04/20/284,12		1,200,000		29,629
Babson CLO Ltd.
2014-IA SUB, due 07/20/254,12		1,266,687		29,514
Copper River CLO Ltd.
2007-1A INC, due 01/20/2110,12		1,500,000		150
Total Collateralized Loan Obligations				2,991,925,352

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Financial - 2.5%
Project Onyx I
due 01/26/27◊,†††		55,050,000	$	55,052,399
7.31% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due /26/27◊,†††		26,000,000		26,001,113
KKR Core Holding Company LLC
4.00% due 08/12/31†††		81,770,389		70,697,431
Strategic Partners Fund VIII LP
7.93% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		70,377,333		70,036,117
HV Eight LLC
7.10% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊,†††	EUR	64,750,000		68,482,280
HarbourVest Structured Solutions IV Holdings, LP
7.61% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††		18,915,420		18,918,659
6.05% (3 Month EURIBOR + 2.45%, Rate Floor: 2.45%) due 09/15/26◊,†††	EUR	11,100,000		11,740,915
Ceamer Finance LLC
3.69% due 03/24/31†††		21,344,080		19,802,508
6.92% due 11/15/37†††		7,452,338		7,105,085
Lightning A
5.50% due 03/01/37†††		29,464,712		26,750,772
Madison Avenue Secured Funding Trust
2023-1, 7.32% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 03/04/24◊,†††,4		26,600,000		26,600,000
Thunderbird A
5.50% due 03/01/37†††		29,042,333		26,364,714
Madison Avenue Secured Funding Trust
2024-1, due 10/15/2417		25,350,000		25,350,000
Project Onyx II
due 01/26/27†††,17		18,350,000		18,349,337
7.31% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due /26/27◊,†††		5,000,000		4,999,819
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		16,194,982		15,338,229
Station Place Securitization Trust
2024-1, due 10/15/2417		12,650,000		12,650,000
Nassau LLC
2019-1, 3.98% due 08/15/344		11,391,715		10,769,119
Aesf Vi Verdi, LP
7.55% (3 Month Term SOFR + 2.30%, Rate Floor: 2.30%) due 11/25/24◊,†††		6,305,178		6,424,991
6.00% (3 Month EURIBOR + 2.40%, Rate Floor: 2.40%) due 11/25/24◊,†††	EUR	1,013,463		1,087,983

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Oxford Finance Funding
2020-1A, 3.10% due 02/15/284		6,388,327	$	6,161,624
Industrial DPR Funding Ltd.
2016-1A, 5.24% due 04/15/264		1,746,900		1,702,715
Total Financial				530,385,830
Transport-Aircraft - 1.7%
AASET Trust
2021-1A, 2.95% due 11/16/414		59,134,981		52,039,966
2021-2A, 2.80% due 01/15/474		22,324,667		19,082,824
2020-1A, 3.35% due 01/16/404		14,801,762		12,877,533
2019-1, 3.84% due 05/15/394		5,541,572		4,156,332
2019-2, 3.38% due 10/16/394		1,619,387		1,408,763
2017-1A, 3.97% due 05/16/424		828,516		729,085
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/464		47,743,303		41,429,251
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		42,709,386		39,398,555
Lunar Structured Aircraft Portfolio Notes
2021-1, 2.64% due 10/15/464		34,296,110		29,400,340
Sprite Ltd.
2021-1, 3.75% due 11/15/464		29,390,599		26,345,209
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		28,185,294		24,506,513
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		25,455,421		21,540,123
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/424		19,036,733		15,783,355
WAVE LLC
2019-1, 3.60% due 09/15/444		17,070,502		14,063,874
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		14,198,066		11,835,366
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		12,241,546		10,972,955
Raspro Trust
2005-1A, 6.18% (3 Month USD SOFR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,4		10,637,384		10,568,858
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/394		8,239,562		7,457,058
2017-1, 4.58% due 02/15/424		2,552,235		2,385,727
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		10,610,553		9,646,941
Slam 2021-1 Ltd.
2021-1A, 2.43% due 06/15/464		1,718,800		1,462,046
Slam Ltd.
2021-1A, 3.42% due 06/15/464		1,289,100		1,076,424
Total Transport-Aircraft				358,167,098
Whole Business - 1.6%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		94,898,010		84,048,700

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/514		38,350,258	$	31,656,642
2022-1A, 3.13% due 01/25/524		23,147,500		19,294,321
2019-1A, 3.88% due 10/25/494		968,275		884,086
Five Guys Funding LLC
2017-1A, 4.60% due 07/25/474		43,760,595		42,966,909
Taco Bell Funding LLC
2021-1A, 2.29% due 08/25/514		23,157,525		18,915,946
2016-1A, 4.97% due 05/25/464		17,392,559		16,762,462
ServiceMaster Funding LLC
2020-1, 3.34% due 01/30/514		28,000,447		21,975,703
2020-1, 2.84% due 01/30/514		9,314,507		7,865,347
Sonic Capital LLC
2021-1A, 2.64% due 08/20/514		19,419,680		14,335,491
2020-1A, 4.34% due 01/20/504		7,060,379		6,098,184
2020-1A, 3.85% due 01/20/504		4,521,162		4,091,046
2021-1A, 2.19% due 08/20/514		2,646,000		2,125,185
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/504		25,117,500		21,731,259
2022-1A, 3.73% due 03/05/524		3,448,938		3,016,127
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/05/494		20,938,500		19,464,388
Domino’s Pizza Master Issuer LLC
2021-1A, 3.15% due 04/25/514		9,121,053		7,348,303
2017-1A, 4.12% due 07/25/474		7,843,500		7,256,383
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/494		12,210,825		11,311,522
2019-1A, 4.08% due 06/15/494		1,511,688		1,327,389
DB Master Finance LLC
2021-1A, 2.79% due 11/20/514		6,631,875		5,112,837
Total Whole Business				347,588,230
Net Lease - 0.9%
STORE Master Funding I-VII
2016-1A, 3.96% due 10/20/464		27,606,923		25,424,102
2016-1A, 4.32% due 10/20/464		10,921,964		9,931,489
CF Hippolyta Issuer LLC
2022-1A, 6.11% due 08/15/624		20,275,457		19,563,942
2020-1, 2.28% due 07/15/604		10,075,718		8,846,731
Capital Automotive REIT
2020-1A, 3.48% due 02/15/504		21,991,098		19,293,188
2021-1A, 2.76% due 08/15/514		6,576,625		4,731,411
CARS-DB4, LP
2020-1A, 3.81% due 02/15/504		20,039,779		16,016,016
2020-1A, 3.25% due 02/15/504		3,398,218		2,776,887
SVC ABS LLC
2023-1A, 5.15% due 02/20/534		15,305,229		14,258,416
2023-1A, 5.55% due 02/20/534		3,494,896		3,178,878
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/514		10,050,000		8,061,895

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1, 3.04% due 07/20/514		5,050,000	$	3,737,011
2021-1, 2.51% due 07/20/514		3,000,000		2,437,572
2021-1, 3.44% due 07/20/514		3,215,000		2,365,221
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/504		15,000,000		13,282,555
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/454		9,956,145		9,393,863
New Economy Assets Phase 1 Sponsor LLC
2021-1, 2.41% due 10/20/614		10,000,000		8,314,913
CARS-DB7, LP
2023-1A, 5.75% due 09/15/534		4,550,000		4,398,854
CF Hippolyta LLC
2020-1, 2.60% due 07/15/604		4,312,872		3,379,701
STORE Master Funding LLC
2021-1A, 3.70% due 06/20/514		3,542,691		2,571,635
Total Net Lease				181,964,280
Single Family Residence - 0.6%
FirstKey Homes Trust
2020-SFR2, 4.50% due 10/19/374		21,640,000		20,051,808
2020-SFR2, 4.00% due 10/19/374		20,340,000		18,745,200
2020-SFR2, 3.37% due 10/19/374		13,010,000		11,890,950
2021-SFR1, 2.19% due 08/17/384		8,174,000		7,124,538
Home Partners of America Trust
2021-2, 2.65% due 12/17/264		46,447,870		40,703,248
2021-3, 2.80% due 01/17/414		15,338,356		12,881,445
Tricon Residential Trust
2021-SFR1, 2.59% due 07/17/384		7,000,000		6,229,068
Total Single Family Residence				117,626,257
Infrastructure - 0.5%
Hotwire Funding LLC
2023-1A, 8.84% due 05/20/534		31,200,000		29,274,823
2021-1, 2.31% due 11/20/514		5,350,000		4,698,425
2021-1, 2.66% due 11/20/514		4,025,000		3,437,040
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/524		40,900,000		35,623,834
Stack Infrastructure Issuer LLC
2020-1A, 1.89% due 08/25/454		11,624,000		10,551,565
2023-1A, 5.90% due 03/25/484		5,050,000		4,807,493
Aligned Data Centers Issuer LLC
2021-1A, 1.94% due 08/15/464		15,345,000		13,422,853
Blue Stream Issuer LLC
2023-1A, 5.40% due 05/20/534		6,625,000		6,207,300
Total Infrastructure				108,023,333
Collateralized Debt Obligations - 0.5%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/394		108,854,127		94,019,759
Anchorage Credit Funding Ltd.
2021-13A C2, 3.65% due 07/27/394		1,950,000		1,603,532
Total Collateralized Debt Obligations				95,623,291

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Transport-Container - 0.3%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/454		45,819,993	$	41,619,102
2021-2A, 2.23% due 04/20/464		2,621,667		2,238,534
MC Ltd.
2021-1, 2.63% due 11/05/354		9,984,987		8,672,913
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/464		2,967,589		2,534,266
Total Transport-Container				55,064,815
Automotive - 0.1%
Avis Budget Rental Car Funding AESOP LLC
2023-8A, 6.66% due 02/20/30†††,4		12,750,000		12,647,173
Avis Budget Rental Car Funding AESOP LLC
2023-8A, 6.02% due 02/20/304		11,000,000		10,954,053
Total Automotive				23,601,226
Insurance - 0.1%
CHEST
7.13% due 03/15/43†††		19,100,000		18,578,392
JGWPT XXIII LLC
2011-1A, 4.70% due 10/15/564		2,193,298		2,004,596
JGWPT XXIV LLC
2011-2A, 4.94% due 09/15/564		1,594,423		1,453,674
VICOF 2
4.00% due 02/22/30†††		671,027		633,754
321 Henderson Receivables VI LLC
2010-1A, 5.56% due 07/15/594		640,466		627,063
SPSS
5.14% due 11/15/52†††,10		146,519		124,144
Total Insurance				23,421,623
Total Asset-Backed Securities
(Cost $5,085,072,977)				4,833,391,335
CORPORATE BONDS†† - 21.9%
Financial - 11.0%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		104,800,000		75,963,987
3.25% due 11/15/30		64,350,000		48,659,153
Reliance Standard Life Global Funding II
2.75% due 05/07/254		93,191,000		87,619,209
Wilton RE Ltd.
6.00% 3,4,13		92,239,000		81,029,194
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		54,748,000		45,578,624
5.30% due 01/15/29		20,867,000		19,344,128
3.25% due 01/15/32		4,150,000		3,220,768
4.00% due 01/15/30		475,000		402,826
FS KKR Capital Corp.
2.63% due 01/15/27		33,971,000		29,090,846
3.25% due 07/15/27		30,100,000		25,917,641
Jefferies Financial Group, Inc.
2.75% due 10/15/32		40,642,000		30,335,316
2.63% due 10/15/31		27,400,000		20,821,646
5.88% due 07/21/28		3,700,000		3,620,948
Host Hotels & Resorts, LP
3.50% due 09/15/30		44,753,000		37,105,571
2.90% due 12/15/31		20,200,000		15,524,924
Safehold GL Holdings LLC
2.85% due 01/15/32		40,038,000		29,410,465
2.80% due 06/15/31		30,247,000		22,605,163
Liberty Mutual Group, Inc.
4.30% due 02/01/614		74,981,000		44,268,265

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
4.13% due 12/15/513,4		3,600,000	$	2,959,686
3.95% due 05/15/604		4,064,000		2,549,302
Maple Grove Funding Trust I
4.16% due 08/15/514		77,700,000		48,323,346
Macquarie Bank Ltd.
3.62% due 06/03/304		59,035,000		48,019,639
Fairfax Financial Holdings Ltd.
3.38% due 03/03/31		41,708,000		33,901,886
5.63% due 08/16/32		13,100,000		12,235,535
Global Atlantic Finance Co.
4.70% due 10/15/513,4		38,462,000		27,820,343
3.13% due 06/15/314		25,602,000		18,247,976
Nippon Life Insurance Co.
2.75% due 01/21/513,4		45,350,000		35,673,557
2.90% due 09/16/513,4		10,380,000		8,135,741
Ares Finance Company II LLC
3.25% due 06/15/304		53,785,000		43,542,195
First American Financial Corp.
4.00% due 05/15/30		40,891,000		34,630,186
2.40% due 08/15/31		11,875,000		8,808,520
Blue Owl Capital GP LLC
7.21% due 08/22/43		28,550,000		28,093,451
7.11% due 08/22/43		15,200,000		15,124,416
JPMorgan Chase & Co.
2.52% due 04/22/313		19,520,000		15,822,502
2.96% due 05/13/313		17,276,000		14,194,388
4.49% due 03/24/313		10,750,000		9,842,929
0.82% due 06/01/253		900,000		866,388
2.07% due 06/01/293		900,000		758,347
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		57,736,000		41,250,209
Macquarie Group Ltd.
2.69% due 06/23/323,4		31,550,000		24,172,618
2.87% due 01/14/333,4		17,431,000		13,174,310
5.03% due 01/15/303,4		800,000		763,536
1.63% due 09/23/273,4		720,000		628,991
1.34% due 01/12/273,4		570,000		509,934
Fidelity National Financial, Inc.
3.40% due 06/15/30		43,590,000		37,041,531
2.45% due 03/15/31		2,540,000		1,958,467
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		46,892,000		37,390,274
United Wholesale Mortgage LLC
5.50% due 04/15/294		32,712,000		27,641,640
5.50% due 11/15/254		10,131,000		9,636,381
Bain Capital, LP
3.41% due 04/15/41†††		36,000,000		21,992,365
3.72% due 04/15/42†††		20,300,000		12,761,600
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		54,705,000		34,687,553
CBS Studio Center
8.31% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††		34,100,000		34,100,000
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		39,650,000		33,385,546
Sumitomo Life Insurance Co.
3.38% due 04/15/813,4		39,900,000		33,160,280
Reinsurance Group of America, Inc.
3.15% due 06/15/30		38,983,000		32,273,221

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Mizuho Financial Group, Inc.
5.67% due 05/27/293		31,200,000	$	30,677,542
5.41% due 09/13/283		1,400,000		1,370,241
Belrose Funding Trust
2.33% due 08/15/304		38,420,000		28,630,662
Assurant, Inc.
2.65% due 01/15/32		36,922,000		26,995,467
6.75% due 02/15/34		1,450,000		1,458,269
National Australia Bank Ltd.
2.33% due 08/21/304		22,400,000		16,936,679
3.35% due 01/12/373,4		14,550,000		11,079,810
Stewart Information Services Corp.
3.60% due 11/15/31		37,221,000		27,351,924
Standard Chartered plc
4.64% due 04/01/313,4		28,908,000		26,006,643
Bank of America Corp.
2.59% due 04/29/313		28,440,000		22,854,133
6.06% (SOFR + 0.73%, Rate Floor: 0.00%) due 10/24/24◊		1,660,000		1,660,398
1.73% due 07/22/273		1,650,000		1,462,163
UBS Group AG
2.10% due 02/11/323,4		33,400,000		24,714,336
5.71% due 01/12/273,4		1,000,000		987,303
Iron Mountain, Inc.
4.50% due 02/15/314		18,937,000		15,574,990
5.63% due 07/15/324		8,431,000		7,278,499
4.88% due 09/15/274		1,938,000		1,787,524
5.25% due 07/15/304		74,000		64,650
Americo Life, Inc.
3.45% due 04/15/314		32,364,000		23,352,036
Westpac Banking Corp.
3.02% due 11/18/363		15,650,000		11,578,939
2.96% due 11/16/40		12,214,000		7,428,322
2.67% due 11/15/353		4,467,000		3,346,587
Capital One Financial Corp.
6.38% due 06/08/343		22,450,000		21,186,415
5.47% due 02/01/293		1,000,000		951,901
Trustage Financial Group, Inc.
4.63% due 04/15/324		26,450,000		21,827,115
Dyal Capital Partners III
4.40% due 06/15/40†††		26,750,000		21,500,624
LPL Holdings, Inc.
4.00% due 03/15/294		17,588,000		15,334,314
4.38% due 05/15/314		6,241,000		5,338,878
Manulife Financial Corp.
2.48% due 05/19/27		17,800,000		16,073,477
4.06% due 02/24/323		4,815,000		4,457,235
Hunt Companies, Inc.
5.25% due 04/15/294		25,121,000		19,730,139
Brookfield Finance, Inc.
3.50% due 03/30/51		18,906,000		11,759,150
4.70% due 09/20/47		9,790,000		7,625,082
Societe Generale S.A.
2.89% due 06/09/323,4		21,150,000		16,002,556
1.79% due 06/09/273,4		1,630,000		1,436,779
Mitsubishi UFJ Financial Group, Inc.
5.44% due 02/22/343		16,150,000		15,402,816
4.08% due 04/19/283		1,580,000		1,483,737
5.72% due 02/20/263		500,000		497,040
Brookfield Capital Finance LLC
6.09% due 06/14/33		16,800,000		16,325,029
NFP Corp.
7.50% due 10/01/304		11,950,000		11,475,911
6.88% due 08/15/284		5,617,000		4,811,962
Horace Mann Educators Corp.
7.25% due 09/15/28		11,950,000		11,939,921
4.50% due 12/01/25		4,560,000		4,334,776
Corebridge Financial, Inc.
6.88% due 12/15/523		16,030,000		15,356,578

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
QBE Insurance Group Ltd.
5.88% 3,4,13		15,700,000	$	14,923,572
ABN AMRO Bank N.V.
2.47% due 12/13/293,4		18,000,000		14,864,213
Central Storage Safety Project Trust
4.82% due 02/01/3810		17,482,400		14,579,738
GA Global Funding Trust
2.90% due 01/06/324		17,480,000		12,814,624
1.25% due 12/08/234		1,650,000		1,633,709
Prudential Financial, Inc.
3.70% due 10/01/503		17,139,000		13,938,904
KKR Group Finance Company VIII LLC
3.50% due 08/25/504		22,210,000		13,854,593
AmFam Holdings, Inc.
2.81% due 03/11/314		19,050,000		13,791,461
Lincoln National Corp.
4.38% due 06/15/505		18,801,000		12,880,504
Kennedy-Wilson, Inc.
4.75% due 03/01/29		15,662,000		12,020,742
4.75% due 02/01/30		81,000		60,435
PartnerRe Finance B LLC
4.50% due 10/01/503		14,043,000		11,910,386
NatWest Group plc
6.02% due 03/02/343		10,130,000		9,722,004
4.45% due 05/08/303		1,100,000		992,848
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		11,900,000		9,028,093
5.71% due 01/13/30		1,000,000		978,418
5.52% due 01/13/28		640,000		631,260
CNO Financial Group, Inc.
5.25% due 05/30/29		11,125,000		10,477,998
HSBC Holdings plc
6.16% due 03/09/293		10,340,000		10,236,005
CBRE Services, Inc.
5.95% due 08/15/34		10,160,000		9,583,021
Penn Mutual Life Insurance Co.
3.80% due 04/29/614		14,970,000		8,941,788
KKR Group Finance Company X LLC
3.25% due 12/15/514		15,150,000		8,870,982
Assured Guaranty US Holdings, Inc.
3.60% due 09/15/51		13,861,000		8,493,508
6.13% due 09/15/28		300,000		300,004
Accident Fund Insurance Company of America
8.50% due 08/01/324		9,000,000		8,771,196
Western & Southern Life Insurance Co.
3.75% due 04/28/614		13,360,000		8,076,777
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		8,050,000		7,858,868
American Equity Investment Life Holding Co.
5.00% due 06/15/27		8,142,000		7,647,768
Five Corners Funding Trust III
5.79% due 02/15/334		7,550,000		7,407,098
Kemper Corp.
2.40% due 09/30/30		10,006,000		7,394,214
CNO Global Funding
1.75% due 10/07/264		7,400,000		6,497,778
Cooperatieve Rabobank UA
4.66% due 08/22/283,4		6,200,000		5,886,967
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/504		5,888,108		4,822,831
5.24% due 08/01/504		1,074,272		945,874
Deloitte LLP
7.33% due 11/20/26†††		4,800,000		4,913,488

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		4,710,000	$	4,345,446
Brookfield Finance LLC / Brookfield Finance, Inc.
3.45% due 04/15/50		6,852,000		4,162,199
HS Wildcat LLC
3.83% due 12/31/50†††		4,982,119		3,534,394
Commonwealth Bank of Australia
3.61% due 09/12/343,4		3,550,000		2,984,581
Nasdaq, Inc.
5.95% due 08/15/53		2,880,000		2,690,154
Nationstar Mortgage Holdings, Inc.
5.00% due 02/01/264		2,780,000		2,596,788
Enstar Group Ltd.
3.10% due 09/01/31		1,670,000		1,256,783
4.95% due 06/01/29		1,250,000		1,154,320
KKR Group Finance Company III LLC
5.13% due 06/01/444		2,710,000		2,243,369
Goldman Sachs Group, Inc.
3.65% 3,13		2,450,000		1,974,900
Lloyds Banking Group plc
3.51% due 03/18/263		1,580,000		1,515,329
5.87% due 03/06/293		300,000		293,338
American National Group LLC
6.14% due 06/13/324		2,000,000		1,808,480
Brighthouse Financial Global Funding
1.00% due 04/12/244		1,620,000		1,576,503
Bank of Nova Scotia
2.44% due 03/11/24		1,600,000		1,575,520
Danske Bank A/S
0.98% due 09/10/253,4		1,660,000		1,573,458
Jackson National Life Global Funding
1.75% due 01/12/254		1,650,000		1,549,229
ING Groep N.V.
1.73% due 04/01/273		1,360,000		1,216,779
2.73% due 04/01/323		400,000		314,233
Transatlantic Holdings, Inc.
8.00% due 11/30/39		1,265,000		1,479,014
BNP Paribas S.A.
1.32% due 01/13/273,4		1,640,000		1,468,646
Athene Global Funding
2.67% due 06/07/314		1,550,000		1,169,950
2.65% due 10/04/314		400,000		296,170
Ares Finance Company IV LLC
3.65% due 02/01/524		2,450,000		1,460,325
F&G Global Funding
2.30% due 04/11/274		790,000		688,759
2.00% due 09/20/284		800,000		652,167
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/324		1,617,000		1,329,065
Fort Benning Family Communities LLC
6.09% due 01/15/514		1,565,145		1,299,395
Blackstone Holdings Finance Company LLC
3.20% due 01/30/524		2,150,000		1,284,621
Selective Insurance Group, Inc.
5.38% due 03/01/49		1,510,000		1,281,695
Fort Knox Military Housing Privatization Project
5.79% (1 Month Term SOFR + 0.45%) due 02/15/52◊,4		1,647,194		1,248,350
Midwest Family Housing LLC
5.58% due 01/01/514		1,279,453		1,058,030

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Credit Agricole S.A.
6.32% due 10/03/293,4		1,000,000	$	1,000,116
Atlas Mara Ltd.
due 12/31/21†††,10,14		2,127,812		987,305
Jefferies Group, Inc.
6.25% due 01/15/36		1,000,000		982,899
Banco Santander S.A.
2.96% due 03/25/31		1,200,000		954,277
LXP Industrial Trust
2.38% due 10/01/31		1,300,000		952,738
Realty Income Corp.
3.25% due 01/15/31		1,100,000		924,321
Morgan Stanley
2.51% due 10/20/323		1,200,000		917,715
KKR Group Finance Company II LLC
5.50% due 02/01/434		1,000,000		869,303
Atlantic Marine Corporations Communities LLC
5.37% due 12/01/504		743,458		619,887
Wells Fargo & Co.
2.41% due 10/30/253		600,000		574,983
Pacific Beacon LLC
5.51% due 07/15/364		500,000		458,766
Swiss Re Finance Luxembourg S.A.
5.00% due 04/02/493,4		300,000		281,100
Markel Group, Inc.
4.30% due 11/01/47		350,000		257,170
Pine Street Trust I
4.57% due 02/15/294		250,000		224,958
Peachtree Corners Funding Trust
3.98% due 02/15/254		215,000		207,559
Brown & Brown, Inc.
2.38% due 03/15/31		57,000		44,042
Total Financial				2,313,136,813
Consumer, Non-cyclical - 2.4%
CoStar Group, Inc.
2.80% due 07/15/304		90,310,000		72,766,674
Altria Group, Inc.
3.70% due 02/04/51		45,968,000		28,581,770
3.40% due 05/06/30		33,130,000		28,321,708
4.45% due 05/06/50		6,160,000		4,363,493
Global Payments, Inc.
2.90% due 11/15/31		30,265,000		23,742,025
2.90% due 05/15/30		19,810,000		16,240,764
5.30% due 08/15/29		4,300,000		4,100,678
Smithfield Foods, Inc.
2.63% due 09/13/314		39,050,000		27,999,181
3.00% due 10/15/304		15,473,000		11,827,702
5.20% due 04/01/294		850,000		776,366
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.00% due 05/15/32		29,206,000		22,032,475
4.38% due 02/02/52		10,200,000		6,778,693
5.13% due 02/01/28		2,250,000		2,141,106
Triton Container International Ltd.
3.15% due 06/15/314		34,821,000		26,250,027
BAT Capital Corp.
3.98% due 09/25/50		41,652,000		26,140,885
Royalty Pharma plc
3.55% due 09/02/50		39,920,000		24,399,078
California Institute of Technology
3.65% due 09/01/19		32,078,000		19,638,539
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/314		22,650,000		18,474,310
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		32,350,000		17,352,447
Universal Health Services, Inc.
2.65% due 10/15/30		18,757,000		14,619,544
Catalent Pharma Solutions, Inc.
3.50% due 04/01/304		9,500,000		7,821,540
3.13% due 02/15/294		6,654,000		5,457,577

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
JBS USA LUX S.A. / JBS USA Food Company / JBS Luxembourg SARL
6.75% due 03/15/344		12,550,000	$	12,211,024
Transurban Finance Company Pty Ltd.
2.45% due 03/16/314		14,400,000		11,378,189
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		12,642,000		11,075,623
WW International, Inc.
4.50% due 04/15/294		12,846,000		9,024,315
HCA, Inc.
3.50% due 07/15/51		6,175,000		3,856,215
3.50% due 09/01/30		1,600,000		1,353,641
5.50% due 06/15/47		1,100,000		938,917
OhioHealth Corp.
3.04% due 11/15/50		9,100,000		5,915,630
TriNet Group, Inc.
7.00% due 08/15/314		5,350,000		5,296,500
Children’s Hospital Corp.
2.59% due 02/01/50		7,100,000		4,072,079
Children’s Health System of Texas
2.51% due 08/15/50		6,500,000		3,617,632
APi Group DE, Inc.
4.13% due 07/15/294		4,150,000		3,487,432
Central Garden & Pet Co.
4.13% due 04/30/314		3,854,000		3,142,139
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/294		3,900,000		3,129,750
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		3,775,000		2,588,615
Providence St. Joseph Health Obligated Group
2.70% due 10/01/51		4,250,000		2,326,365
CPI CG, Inc.
8.63% due 03/15/264		2,145,000		2,113,233
Tenet Healthcare Corp.
4.63% due 06/15/28		2,096,000		1,886,718
Element Fleet Management Corp.
6.27% due 06/26/264		1,660,000		1,654,332
Quanta Services, Inc.
0.95% due 10/01/24		1,660,000		1,570,164
Beth Israel Lahey Health, Inc.
3.08% due 07/01/51		2,700,000		1,555,818
Molina Healthcare, Inc.
4.38% due 06/15/284		1,290,000		1,155,902
UnitedHealth Group, Inc.
3.50% due 02/15/24		1,000,000		991,632
Nestle Holdings, Inc.
0.38% due 01/15/244		1,000,000		984,821
Wyeth LLC
6.45% due 02/01/24		978,000		979,962
IQVIA, Inc.
5.70% due 05/15/284		1,000,000		971,540
Philip Morris International, Inc.
5.13% due 02/15/30		1,000,000		959,042
Triton Container International Limited / TAL International Container Corp.
3.25% due 03/15/32		1,050,000		785,208
DaVita, Inc.
3.75% due 02/15/314		149,000		113,204
4.63% due 06/01/304		76,000		62,405
Total Consumer, Non-cyclical				509,024,629
Industrial - 1. 8%
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		63,623,395		47,788,974
TD SYNNEX Corp.
2.65% due 08/09/31		34,240,000		25,458,652
2.38% due 08/09/28		21,781,000		17,898,707
Vontier Corp.
2.95% due 04/01/31		34,492,000		26,602,890
2.40% due 04/01/28		19,150,000		15,941,800

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Boeing Co.
5.81% due 05/01/50		41,090,000	$	37,207,703
Flowserve Corp.
3.50% due 10/01/30		22,421,000		18,693,029
2.80% due 01/15/32		19,800,000		15,149,867
Dyal Capital Partners IV
3.65% due 02/22/41†††		41,800,000		31,333,654
Cliffwater Corporate Lending Fund
6.77% due 08/04/28†††		22,700,000		22,081,635
Owens Corning
3.88% due 06/01/30		21,890,000		19,336,617
7.00% due 12/01/36		900,000		949,891
Stadco LA, LLC
3.75% due 05/15/56†††		31,000,000		19,638,515
Weir Group plc
2.20% due 05/13/264		13,015,000		11,695,366
TFI International, Inc.
3.35% due 01/05/33†††		14,000,000		10,161,212
Artera Services LLC
9.03% due 12/04/254		8,490,000		7,832,025
HEICO Corp.
5.35% due 08/01/33		7,550,000		7,150,652
Ingersoll Rand, Inc.
5.70% due 08/14/33		7,200,000		6,948,831
Hillenbrand, Inc.
3.75% due 03/01/31		7,650,000		6,120,000
Norfolk Southern Corp.
4.10% due 05/15/21		9,100,000		5,912,015
Fortune Brands Innovations, Inc.
5.88% due 06/01/33		4,200,000		4,044,972
4.50% due 03/25/52		1,500,000		1,104,906
Virgin Media Vendor Financing Notes III DAC
4.88% due 07/15/28	GBP	5,000,000		5,063,198
Mueller Water Products, Inc.
4.00% due 06/15/294		5,216,000		4,542,644
Trinity Industries, Inc.
7.75% due 07/15/284		3,250,000		3,270,313
GrafTech Global Enterprises, Inc.
9.88% due 12/15/284		3,100,000		2,937,250
Jabil, Inc.
5.45% due 02/01/29		1,870,000		1,818,480
GATX Corp.
3.50% due 06/01/32		1,650,000		1,345,453
4.70% due 04/01/29		400,000		373,212
Stanley Black & Decker, Inc.
6.00% due 03/06/28		1,640,000		1,652,764
Penske Truck Leasing Company, LP / PTL Finance Corp.
1.70% due 06/15/264		1,620,000		1,436,170
Ryder System, Inc.
5.65% due 03/01/28		1,000,000		989,789
nVent Finance SARL
2.75% due 11/15/31		1,300,000		989,064
Mohawk Industries, Inc.
3.63% due 05/15/30		1,100,000		959,712
Masco Corp.
4.50% due 05/15/47		1,200,000		895,449
Adevinta ASA
3.00% due 11/15/27	EUR	417,000		430,044
Virgin Media Inc.
4.00% due 01/31/29	GBP	150,000		149,151
Standard Industries, Inc.
4.38% due 07/15/304		101,000		83,648
3.38% due 01/15/314		81,000		62,611
Total Industrial				386,050,865

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Consumer, Cyclical - 1.8%
Delta Air Lines, Inc.
7.00% due 05/01/254		46,883,000	$	47,391,967
Hyatt Hotels Corp.
5.75% due 04/23/30		24,039,000		23,304,585
5.38% due 04/23/25		18,928,000		18,717,338
1.30% due 10/01/23		1,660,000		1,660,000
Alt-2 Structured Trust
2.95% due 05/14/31◊,†††		49,194,152		42,960,742
Choice Hotels International, Inc.
3.70% due 01/15/31		39,961,000		33,278,882
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		33,904,000		32,930,899
Warnermedia Holdings, Inc.
5.14% due 03/15/52		27,431,000		20,382,343
6.41% due 03/15/26		9,250,000		9,248,452
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		29,394,357		29,123,973
Ferguson Finance plc
3.25% due 06/02/304		17,904,000		15,175,383
4.65% due 04/20/324		6,300,000		5,656,720
British Airways Class A Pass Through Trust
2.90% due 03/15/354		14,474,290		11,983,608
4.25% due 11/15/324		4,941,269		4,428,630
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		8,194,683		7,296,322
3.20% due 06/15/28		5,157,800		4,639,185
3.00% due 10/15/28		3,720,053		3,328,382
3.15% due 02/15/32		149,876		128,340
Whirlpool Corp.
4.60% due 05/15/505		16,920,000		13,187,758
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		15,203,000		9,455,156
Air Canada
3.88% due 08/15/264		8,650,000		7,850,378
United Airlines 2023-1 Class A Pass Through Trust
5.80% due 01/15/36		7,450,000		7,242,071
Steelcase, Inc.
5.13% due 01/18/29		5,001,000		4,438,165
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/284		3,800,000		3,611,303
LKQ Corp.
6.25% due 06/15/334		2,875,000		2,779,960
JB Poindexter & Company, Inc.
7.13% due 04/15/264		2,850,000		2,772,549
Beacon Roofing Supply, Inc.
6.50% due 08/01/304		1,925,000		1,865,537
United Airlines, Inc.
4.38% due 04/15/264		1,750,000		1,618,384
PulteGroup, Inc.
6.38% due 05/15/33		1,400,000		1,406,604
Brunswick Corp.
5.10% due 04/01/52		2,030,000		1,395,791
NVR, Inc.
3.00% due 05/15/30		1,200,000		999,760
Mattel, Inc.
3.75% due 04/01/294		1,100,000		957,477
JetBlue Class A Pass Through Trust
4.00% due 11/15/32		125,461		112,893
Total Consumer, Cyclical				371,329,537
Communications - 1.3%
Level 3 Financing, Inc.
3.63% due 01/15/294		34,939,000		19,565,840
3.88% due 11/15/294		20,300,000		18,702,422
4.25% due 07/01/284		26,815,000		16,706,638
3.75% due 07/15/294		13,950,000		7,797,382
British Telecommunications plc
4.88% due 11/23/813,4		47,450,000		38,065,510

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
4.25% due 11/23/813,4		8,250,000	$	7,231,282
9.63% due 12/15/30		2,391,000		2,816,205
Vodafone Group plc
4.13% due 06/04/813		40,537,000		31,299,830
Paramount Global
4.95% due 05/19/50		39,826,000		26,976,100
Rogers Communications, Inc.
4.55% due 03/15/52		29,725,000		21,682,028
Virgin Media Secured Finance plc
4.50% due 08/15/304		17,850,000		14,745,876
Altice France S.A.
5.13% due 07/15/294		17,800,000		12,654,123
5.13% due 01/15/294		2,290,000		1,628,250
Charter Communications Operating LLC / Charter Communications Operating Capital
3.90% due 06/01/52		21,690,000		12,967,993
Sirius XM Radio, Inc.
4.13% due 07/01/304		12,010,000		9,615,326
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		8,203,000		6,901,618
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		5,100,000		4,400,893
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		5,775,000		4,387,066
CSC Holdings LLC
4.13% due 12/01/304		5,772,000		4,084,926
Interpublic Group of Companies, Inc.
3.38% due 03/01/41		1,950,000		1,289,683
2.40% due 03/01/31		350,000		274,667
McGraw-Hill Education, Inc.
5.75% due 08/01/284		1,549,000		1,336,400
Koninklijke KPN N.V.
8.38% due 10/01/30		1,140,000		1,273,830
Match Group Holdings II LLC
4.13% due 08/01/304		1,250,000		1,031,450
Virgin Media Finance plc
5.00% due 07/15/304		1,050,000		825,330
Motorola Solutions, Inc.
5.50% due 09/01/44		360,000		315,590
UPC Broadband Finco BV
4.88% due 07/15/314		200,000		162,296
CCO Holdings LLC / CCO Holdings Capital Corp.
4.25% due 02/01/314		20,000		15,921
Total Communications				268,754,475
Energy - 1.2%
BP Capital Markets plc
4.88% 3,13		109,924,000		98,208,674
ITT Holdings LLC
6.50% due 08/01/294		38,518,000		32,648,770
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/404		43,921,000		31,957,195
Midwest Connector Capital Company LLC
4.63% due 04/01/294		16,048,000		14,667,545
TransCanada PipeLines Ltd.
6.20% due 03/09/26		10,900,000		10,882,090
4.88% due 05/15/48		1,200,000		966,717
NuStar Logistics, LP
6.38% due 10/01/30		10,560,000		10,003,066
5.63% due 04/28/27		1,880,000		1,791,132
ONEOK, Inc.
6.05% due 09/01/33		11,350,000		11,150,589
4.50% due 03/15/50		850,000		616,341

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Parkland Corp.
4.63% due 05/01/304		8,000,000	$	6,819,835
Greensaif Pipelines Bidco SARL
6.51% due 02/23/424		6,500,000		6,372,811
Greensaif Pipelines Bidco SARL
6.13% due 02/23/384		5,550,000		5,415,690
Kinder Morgan, Inc.
5.20% due 06/01/33		4,700,000		4,347,141
DT Midstream, Inc.
4.30% due 04/15/324		3,250,000		2,761,850
4.13% due 06/15/294		550,000		475,773
Magellan Midstream Partners, LP
3.95% due 03/01/50		1,600,000		1,070,917
5.15% due 10/15/43		1,100,000		890,255
Marathon Petroleum Corp.
6.50% due 03/01/41		1,650,000		1,632,192
Valero Energy Corp.
7.50% due 04/15/32		1,350,000		1,469,573
Enterprise Products Operating LLC
5.10% due 02/15/45		1,340,000		1,185,672
Enbridge Energy Partners, LP
7.38% due 10/15/45		1,040,000		1,108,479
Phillips 66 Co.
4.90% due 10/01/46		1,200,000		995,652
Targa Resources Corp.
6.50% due 02/15/53		1,000,000		954,379
MPLX, LP
5.50% due 02/15/49		1,100,000		931,007
Eastern Gas Transmission & Storage, Inc.
4.60% due 12/15/44		500,000		385,328
Total Energy				249,708,673
Technology - 1.1%
Broadcom, Inc.
4.93% due 05/15/374		33,182,000		28,600,456
4.15% due 11/15/30		19,705,000		17,453,359
3.19% due 11/15/364		3,135,000		2,250,893
2.60% due 02/15/334		1,660,000		1,237,836
Oracle Corp.
3.95% due 03/25/51		33,794,000		23,167,312
5.55% due 02/06/53		20,220,000		17,716,025
6.13% due 07/08/39		1,190,000		1,149,641
6.90% due 11/09/52		300,000		309,039
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		42,361,000		34,890,214
3.25% due 02/15/29		1,100,000		937,959
Leidos, Inc.
2.30% due 02/15/31		20,050,000		15,419,010
5.75% due 03/15/33		9,550,000		9,152,342
4.38% due 05/15/30		2,650,000		2,372,317
Qorvo, Inc.
4.38% due 10/15/29		14,751,000		12,972,574
3.38% due 04/01/314		8,675,000		6,871,173
MSCI, Inc.
3.63% due 09/01/304		17,718,000		14,850,186
3.88% due 02/15/314		1,769,000		1,498,706
3.63% due 11/01/314		1,780,000		1,456,176
Booz Allen Hamilton, Inc.
5.95% due 08/04/33		10,470,000		10,214,532
3.88% due 09/01/284		4,550,000		4,076,345
Fiserv, Inc.
5.60% due 03/02/33		10,250,000		9,934,141
5.63% due 08/21/33		2,300,000		2,228,571
CGI, Inc.
2.30% due 09/14/31		16,050,000		12,046,795
Foundry JV Holdco LLC
5.88% due 01/25/344		5,950,000		5,683,751
Microchip Technology, Inc.
0.97% due 02/15/24		1,650,000		1,619,648
Broadridge Financial Solutions, Inc.
2.90% due 12/01/29		1,200,000		1,014,592
NXP BV / NXP Funding LLC / NXP USA, Inc.
3.13% due 02/15/42		1,400,000		911,576
Total Technology				240,035,169

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Basic Materials - 0.8%
Anglo American Capital plc
5.63% due 04/01/304		21,300,000	$	20,570,998
2.63% due 09/10/304		18,000,000		14,379,112
3.95% due 09/10/504		14,140,000		9,610,687
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		22,451,000		19,088,559
4.20% due 05/13/504		1,300,000		949,205
International Flavors & Fragrances, Inc.
1.23% due 10/01/254		21,520,000		19,290,489
Minerals Technologies, Inc.
5.00% due 07/01/284		18,723,000		17,172,736
Alcoa Nederland Holding BV
4.13% due 03/31/294		8,600,000		7,609,400
5.50% due 12/15/274		6,525,000		6,198,058
6.13% due 05/15/284		2,800,000		2,696,069
Valvoline, Inc.
3.63% due 06/15/314		18,300,000		14,177,980
Yamana Gold, Inc.
2.63% due 08/15/31		14,431,000		11,073,180
4.63% due 12/15/27		3,000,000		2,814,322
INEOS Quattro Finance 2 plc
2.50% due 01/15/26	EUR	8,500,000		8,166,274
3.38% due 01/15/264		200,000		182,189
Steel Dynamics, Inc.
2.40% due 06/15/25		5,950,000		5,590,238
Southern Copper Corp.
7.50% due 07/27/35		1,250,000		1,375,021
Albemarle Corp.
5.45% due 12/01/44		1,500,000		1,290,133
LYB International Finance BV
4.88% due 03/15/44		1,100,000		883,037
Dow Chemical Co.
6.90% due 05/15/53		800,000		840,243
Carpenter Technology Corp.
6.38% due 07/15/28		178,000		171,675
Total Basic Materials				164,129,605
Utilities - 0.5%
AES Corp.
3.95% due 07/15/304		28,124,000		24,240,638
3.30% due 07/15/254		3,750,000		3,551,911
NRG Energy, Inc.
2.45% due 12/02/274		26,000,000		22,039,337
Alexander Funding Trust
1.84% due 11/15/234		14,400,000		14,304,802
Enel Finance International N.V.
5.00% due 06/15/324		13,690,000		12,385,042
Brooklyn Union Gas Co.
6.39% due 09/15/334		10,800,000		10,593,805
4.27% due 03/15/484		1,300,000		902,820
Black Hills Corp.
5.95% due 03/15/28		9,200,000		9,196,692
4.20% due 09/15/46		1,200,000		860,276
Alexander Funding Trust II
7.47% due 07/31/284		6,560,000		6,568,593
Entergy Texas, Inc.
1.50% due 09/01/26		1,650,000		1,434,093
Indiana Michigan Power Co.
6.05% due 03/15/37		1,310,000		1,289,508
Nevada Power Co.
6.65% due 04/01/36		1,180,000		1,209,683
Southern Power Co.
5.25% due 07/15/43		1,350,000		1,135,124
Consolidated Edison Company of New York, Inc.
5.10% due 06/15/33		1,080,000		1,001,903
Tampa Electric Co.
4.45% due 06/15/49		1,200,000		934,118
Duke Energy Ohio, Inc.
4.30% due 02/01/49		1,200,000		923,944
Washington Gas Light Co.
3.80% due 09/15/46		1,300,000		895,130
Arizona Public Service Co.
3.75% due 05/15/46		1,300,000		887,456

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Louisville Gas and Electric Co.
4.25% due 04/01/49		1,100,000	$	840,363
Total Utilities				115,195,238
Total Corporate Bonds
(Cost $5,745,652,764)				4,617,365,004
SENIOR FLOATING RATE INTERESTS††,◊ - 2.9%
Consumer, Cyclical - 0.8%
MB2 Dental Solutions LLC
11.42% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		73,267,611		72,426,513
Zephyr Bidco Ltd.
9.97% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	23,950,000		28,794,116
First Brands Group LLC
10.88% (6 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27		14,737,877		14,526,094
Pacific Bells LLC
10.15% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		13,930,934		13,735,065
BCP V Modular Services Holdings IV Ltd.
8.40% (3 Month EURIBOR + 4.43%, Rate Floor: 4.43%) due 12/15/28	EUR	11,600,000		11,495,248
Packers Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/09/28		14,544,396		8,581,193
Adevinta ASA
6.47% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 06/26/28	EUR	7,761,111		8,197,463
Flamingo
7.46% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/27/28	EUR	7,554,688		7,454,273
New Trojan Parent, Inc.
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28		13,733,875		7,164,551
Rent-A-Center, Inc.
8.88% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/17/28		463,670		461,787
WW International, Inc.
8.93% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 04/13/28		200,000		150,334
Total Consumer, Cyclical				172,986,637

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Consumer, Non-cyclical - 0.7%
Quirch Foods Holdings LLC
10.45% (3 Month Term SOFR + 4.75%, Rate Floor: 5.75%) due 10/27/27		28,670,562	$	28,509,433
PetIQ LLC
9.84% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/13/28†††		27,696,519		27,142,588
Mission Veterinary Partners
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28		18,914,000		18,701,218
Southern Veterinary Partners LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27		15,682,003		15,569,249
Women’s Care Holdings, Inc.
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28		15,715,715		13,908,408
Sigma Holding BV (Flora Food)
7.41% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	12,800,882		13,482,278
Nidda Healthcare Holding GmbH
7.31% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26	EUR	12,766,306		13,379,985
Blue Ribbon LLC
11.44% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28		13,365,000		11,226,600
Confluent Health LLC
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 11/30/28		9,219,343		8,742,979
HAH Group Holding Co. LLC
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27		4,488,738		4,425,133
Elanco Animal Health, Inc.
7.18% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/02/27		1,706,118		1,671,757
Total Consumer, Non-cyclical				156,759,628
Technology - 0.4%
Datix Bidco Ltd.
8.68% (6 Month GBP SONIA + 4.50%, Rate Floor: 4.50%) due 04/28/25†††	GBP	45,800,000		54,833,268

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
RLDatix
9.53% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		19,781,561	$	19,411,645
Team.Blue Finco SARL
7.06% (1 Month EURIBOR + 3.20%, Rate Floor: 3.20%) due 03/30/28	EUR	6,542,484		6,738,267
Aston FinCo SARL
9.96% (1 Month GBP SONIA + 4.75%, Rate Floor: 4.75%) due 10/09/26	GBP	5,670,008		5,862,734
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 10/09/26		743,571		639,471
Emerald TopCo, Inc. (Press Ganey)
9.18% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/24/26		456,875		438,715
Total Technology				87,924,100
Industrial - 0.4%
United Airlines, Inc.
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/21/28		31,894,439		31,901,774
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27		23,269,024		24,144,172
CapStone Acquisition Holdings, Inc.
10.17% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/12/27†††		8,552,520		8,354,948
Air Canada
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 08/11/28		4,353,008		4,352,094
Dispatch Terra Acquisition LLC
9.79% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28		3,806,040		3,501,556
Merlin Buyer, Inc.
9.32% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28		617,480		604,747
API Heat Transfer
16.65% (1 Month Term SOFR, Rate Floor 0.00%) (in-kind rate was 16.65%) due 01/01/24†††,15		64,580		59,235
16.43% (1 Month Term SOFR, Rate Floor 0.00%) (in-kind rate was 16.43%) due 10/31/23†††,15		11,522		11,522
Total Industrial				72,930,048

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Financial - 0.4%
Higginbotham Insurance Agency, Inc.
10.92% (1 Month Term SOFR + 5.35%, Rate Floor: 5.35%) due 11/24/28†††		23,626,880	$	23,395,764
10.92% (1 Month Term SOFR + 5.35%, Rate Floor: 5.35%) due 11/25/26†††		11,262,629		11,152,459
Jane Street Group LLC
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/26/28		15,617,889		15,559,321
Citadel Securities, LP
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 07/29/30		14,101,089		14,057,094
HighTower Holding LLC
9.61% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28		8,438,206		8,417,111
Total Financial				72,581,749
Basic Materials - 0.2%
INEOS Ltd.
6.61% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	31,100,000		32,351,300
Trinseo Materials Operating S.C.A.
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/03/28		10,850,250		9,080,900
Arsenal AIC Parent LLC
9.88% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/19/30		1,000,000		997,080
Total Basic Materials				42,429,280
Communications - 0.0%
Xplornet Communications, Inc.
9.65% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/02/28		5,966,937		4,660,178
Radiate Holdco LLC
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 09/25/26		2,422,592		1,975,817
Zayo Group Holdings, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,652,094		1,345,317
Total Communications				7,981,312

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Energy - 0.0%
Venture Global Calcasieu Pass LLC
8.04% (1 Month Term SOFR + 2.63%, Rate Floor: 2.63%) due 08/19/26		6,371,023	$	6,312,600
Total Senior Floating Rate Interests
(Cost $666,810,837)				619,905,354
FEDERAL AGENCY BONDS†† - 0.9%
Tennessee Valley Authority
4.25% due 09/15/65		138,205,000		110,219,455
4.63% due 09/15/60		42,436,000		36,836,697
5.38% due 04/01/56		9,283,000		9,192,611
due 09/15/538,11		1,612,000		301,228
due 09/15/558,11		1,612,000		268,475
due 09/15/568,11		1,612,000		253,829
due 03/15/578,11		1,612,000		246,809
due 09/15/578,11		1,612,000		239,982
due 09/15/588,11		1,612,000		226,120
due 03/15/598,11		1,612,000		219,856
due 09/15/598,11		1,612,000		213,764
due 09/15/608,11		1,612,000		202,082
due 09/15/548,11		1,020,000		179,681
due 03/15/618,11		1,020,000		124,326
due 09/15/618,11		1,020,000		120,881
due 09/15/628,11		1,020,000		113,843
due 03/15/638,11		1,020,000		110,684
due 09/15/638,11		1,020,000		107,612
due 09/15/648,11		1,020,000		101,722
due 03/15/658,11		1,020,000		98,899
due 09/15/658,11		1,020,000		96,547
Tennessee Valley Authority Principal Strips
due 01/15/487,11		38,804,000		9,959,163
due 12/15/427,11		23,785,000		8,129,998
due 01/15/387,11		15,800,000		7,268,932
due 09/15/657,11		3,500,000		331,289
due 09/15/397,11		570,000		235,470
due 04/01/567,11		540,000		87,231
Federal Farm Credit Bank
3.00% due 03/08/32		4,100,000		3,469,523
2.04% due 12/22/45		2,870,000		1,553,178
3.11% due 08/05/48		1,500,000		1,011,405
2.43% due 01/29/37		720,000		529,778
2.90% due 12/09/41		720,000		493,146
2.84% due 06/01/46		720,000		456,626
1.99% due 07/30/40		300,000		182,382
2.60% due 09/06/39		250,000		170,642
2.59% due 12/30/41		180,000		116,704
2.74% due 11/01/39		144,000		100,291
2.59% due 08/24/46		140,000		84,823
3.67% due 02/26/44		70,000		54,100
Freddie Mac
2.05% due 08/19/50		2,010,000		1,027,588
2.02% due 10/05/45		720,000		386,708
2.25% due 09/15/50		360,000		192,802
Federal Home Loan Bank
6.15% due 07/12/33		650,000		647,378
2.45% due 08/16/41		540,000		344,879
3.63% due 06/22/43		350,000		270,432
Total Federal Agency Bonds
(Cost $327,540,643)				196,579,571
MUNICIPAL BONDS†† - 0.5%
California - 0.2%
California Statewide Communities Development Authority Revenue Bonds
7.14% due 08/15/47		10,500,000		11,004,734
California Public Finance Authority Revenue Bonds
3.07% due 10/15/40		8,000,000		5,487,865
2.55% due 01/01/40		3,600,000		2,388,047
Oakland Unified School District/Alameda County General Obligation Unlimited
2.87% due 08/01/35		7,405,000		5,634,293
San Mateo Foster City School District General Obligation Unlimited
3.06% due 08/01/44		6,125,000		4,167,519

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
California State University Revenue Bonds
2.98% due 11/01/51		5,000,000	$	3,172,002
Oakland Redevelopment Agency Successor Agency Tax Allocation
4.00% due 09/01/39		1,100,000		886,107
Hillsborough City School District General Obligation Unlimited
due 09/01/3711		1,000,000		438,169
due 09/01/3911		1,000,000		382,930
Total California				33,561,666
New York - 0.1%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		40,185,000		26,604,809
Texas - 0.1%
Dallas Fort Worth International Airport Revenue Bonds
3.09% due 11/01/40		13,800,000		10,155,100
Central Texas Turnpike System Revenue Bonds
3.03% due 08/15/41		3,150,000		2,148,915
Central Texas Regional Mobility Authority Revenue Bonds
3.17% due 01/01/41		3,000,000		2,110,855
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.42% due 09/01/50		2,500,000		1,569,842
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds
3.34% due 11/15/37		1,500,000		1,146,002
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,300,000		875,363
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,000,000		674,392
Total Texas				18,680,469
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,200,000		4,995,504
6.63% due 02/01/35		1,680,000		1,717,258
City of Chicago Illinois General Obligation Unlimited
6.31% due 01/01/44		4,500,000		4,466,856
Total Illinois				11,179,618
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		11,800,000		8,058,883
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50		6,500,000		3,857,272
Ohio - 0.0%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		4,000,000		2,416,676

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Face Amount~		Value
Washington - 0.0%
Central Washington University Revenue Bonds
6.95% due 05/01/40		1,750,000	$	1,849,384
Arizona - 0.0%
Northern Arizona University Revenue Bonds
3.09% due 08/01/39		2,350,000		1,707,017
Oklahoma - 0.0%
Tulsa Airports Improvement Trust Revenue Bonds
3.10% due 06/01/45		1,000,000		670,637
Oklahoma Development Finance Authority Revenue Bonds
4.65% due 08/15/30		450,000		395,599
Total Oklahoma				1,066,236
Idaho - 0.0%
Boise State University Revenue Bonds
3.06% due 04/01/40		250,000		181,530
Total Municipal Bonds
(Cost $150,742,439)				109,163,560
FOREIGN GOVERNMENT DEBT†† - 0.1%
Panama Government International Bond
4.50% due 04/16/50		22,700,000		15,420,228
Total Foreign Government Debt
(Cost $25,379,679)				15,420,228
SENIOR FIXED RATE INTERESTS††† - 0.0%
Industrial - 0.0%
CTL Logistics
2.65% due 10/10/42		6,849,961		4,997,084
Total Senior Fixed Rate Interests
(Cost $6,849,961)				4,997,084

	Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	510,300,000		1,021,753
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	506,250,000		1,013,644
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	253,750,000		508,073
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	207,200,000		414,868
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10	USD	510,300,000		319,759
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	508,900,000		318,882

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Notional Value		Value
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	251,100,000	$	157,342
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	207,200,000		129,834
Total Interest Rate Options				3,884,155
Total OTC Options Purchased
(Cost $12,606,709)				3,884,155
Total Investments - 106.0%
(Cost $25,210,827,568)			$	22,340,129,676
OTC INTEREST RATE SWAPTIONS WRITTEN††,16 - (0.0)%
Put Swaptions on:
Interest Rate Swaptions
Barclays Bank plc 5-Year Interest Rate Swap Expiring October 2023 with exercise rate of 3.93%	USD	354,750,000		(7,082,875	)
Total Interest Rate Swaptions				(7,082,875	)
Total OTC Interest Rate Swaptions Written
(Premiums received $2,447,775)				(7,082,875	)
Other Assets & Liabilities, net - (6.0)%				(1,272,706,457	)
Total Net Assets - 100.0%			$	21,060,340,344

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index		Protection Premium Rate		Payment Frequency	Maturity Date
BofA Securities, Inc.	ICE	ITRAXX.EUR.38.V1	1.00%		Quarterly			12/20/27
BofA Securities, Inc.	ICE	CDX.NA.HY.40.V1	5.00%		Quarterly			06/20/28

Notional Amount~		Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
EUR	216,100,000	$	(3,012,500	)	$	(1,690,867	)	$	(1,321,633	)
	196,300,000		(3,076,777	)		812,980			(3,889,757	)
		$	(6,089,277	)	$	(877,887	)	$	(5,211,390	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate			Payment Frequency		Maturity Date
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight		4.35	%		Annually		10/03/28
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate		3.40	%		Annually		04/04/28
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate		2.78	%		Annually		07/18/27

Notional Amount		Value			Upfront Premiums Paid		Unrealized Depreciation**
$	800,000,000	$	3,900		$	3,900	$	—
	900,000,000		(36,980,289	)		3,913		(36,984,202	)
	1,803,000,000		(106,906,307	)		6,333		(106,912,640	)
		$	(143,882,696	)	$	14,146	$	(143,896,842	)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Barclays Bank plc

EUR

Sell

180,685,000

194,306,481 USD

10/16/23

$

3,140,794

Morgan Stanley Capital Services LLC

GBP

Sell

79,980,000

99,897,499 USD

10/16/23

2,309,715

$

5,450,509

OTC Interest Rate Swaptions Written

Counterparty/ Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Barclays Bank plc 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.93%

10/16/23

3.93%

$

354,750,000

$

(7,082,875

)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Affiliated issuer.
2	Special Purpose Acquisition Company (SPAC).
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
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 $7,909,985,004 (cost $8,834,146,219), or 37.6% of total net assets.
5	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2023, the total market value of segregated or earmarked securities was $1,331,012,098. — see Note 6.
6	Rate indicated is the 7-day yield as of September 30, 2023.
7	Security is a principal-only strip.
8	Security is an interest-only strip.
9	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 September 30, 2023. See table below for additional step information for each security.
10	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 $149,277,009 (cost $157,963,275), or 0.7% of total net assets — See Note 10.
11	Zero coupon rate security.
12	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
13	Perpetual maturity.
14	Security is in default of interest and/or principal obligations.
15	Payment-in-kind security.
16	Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.
17	Security is unsettled at period end and does not have a stated effective rate.
18	Face amount of security is adjusted for inflation.
	BofA — Bank of America
	CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ICE — Intercontinental Exchange

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

REIT — Real Estate Investment Trust

SARL — Société à Responsabilité Limitée

SOFR — Secured Overnight Financing Rate

SONIA — Sterling Overnight Index Average

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	168,023	$	—	$	2,503	$	170,526
Preferred Stocks		—		582,057,031		47,610,124		629,667,155
Warrants		30,817		—		104		30,921
Mutual Funds		192,037,440		—		—		192,037,440
Money Market Funds		219,666,392		—		—		219,666,392
U.S. Government Securities		—		5,744,781,061		—		5,744,781,061
Collateralized Mortgage Obligations		—		5,058,573,981		94,495,909		5,153,069,890
Asset-Backed Securities		—		4,266,192,809		567,198,526		4,833,391,335
Corporate Bonds		—		4,300,392,629		316,972,375		4,617,365,004
Senior Floating Rate Interests		—		403,117,412		216,787,942		619,905,354
Federal Agency Bonds		—		196,579,571		—		196,579,571
Municipal Bonds		—		109,163,560		—		109,163,560
Foreign Government Debt		—		15,420,228		—		15,420,228
Senior Fixed Rate Interests		—		—		4,997,084		4,997,084
Options Purchased		—		3,884,155		—		3,884,155
Forward Foreign Currency Exchange Contracts**		—		5,450,509		—		5,450,509
Total Assets	$	411,902,672	$	20,685,612,946	$	1,248,064,567	$	22,345,580,185

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swaptions Written	$	—	$	7,082,875	$	—	$	7,082,875
Credit Default Swap Agreements**		—		5,211,390		—		5,211,390
Interest Rate Swap Agreements**		—		143,896,842		—		143,896,842
Unfunded Loan Commitments (Note 9)		—		—		151,690		151,690
Total Liabilities	$	—	$	156,191,107	$	151,690	$	156,342,797

** 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 $1,279,248,820 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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 September 30, 2023			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	348,506,786	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Asset-Backed Securities		179,228,158	Yield Analysis		Yield		4.0%-8.9%		7.0%
Asset-Backed Securities		26,816,409	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		12,647,173	Model Price		Purchase Price		—		—
Collateralized Mortgage Obligations		53,058,374	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Collateralized Mortgage Obligations		25,301,225	Model Price		Purchase Price		—		—
Collateralized Mortgage Obligations		16,136,310	Model Price		Purchase Price		—		—
Common Stocks		1,565	Enterprise Valuation		Valuation Multiple		2.7x-8.1x		4.0x
Common Stocks		938	Model Price		Liquidation Value		—		—
Corporate Bonds		195,706,461	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Corporate Bonds		77,060,742	Yield Analysis		Yield		6.7%-7.6%		7.0%
Corporate Bonds		44,205,172	Model Price		Purchase Price		—		—
Preferred Stocks		47,000,000	Third Party Pricing		Trade Price		—		—
Preferred Stocks		610,124	Enterprise Valuation		Valuation Multiple		4.8x-4.9x		4.9x
Senior Fixed Rate Interests		4,997,084	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Senior Floating Rate Interests		189,574,597	Yield Analysis		Yield		10.4%-11.8%		11.4%
Senior Floating Rate Interests		27,142,588	Third Party Pricing		Broker Quote		—		—
Senior Floating Rate Interests		70,757	Model Price		Purchase Price		—		—
Warrants		104	Model Price		Liquidation Value		—		—
Total Assets	$	1,248,064,567
Liabilities:
Unfunded Loan Commitments	$	151,690	Model Price		Purchase Price		—		—

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

Significant changes in quote, yield, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND 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 year ended September 30, 2023, the Fund did not have any securities transfer into Level 3 from Level 2 and had securities with a total value of $60,094,003 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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 year ended September 30, 2023:

	Assets
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Warrants
Beginning Balance	$	648,109,541		$	68,443,202		$	458,761,982		$	332,581,132		$	103
Purchases/(Receipts)		259,226,142			41,484,496			66,450,000			11,209,880			1
(Sales, maturities and paydowns)/Fundings		(348,622,190	)		(12,897,750	)		(203,505,276	)		(73,341,690	)		—
Amortization of premiums/discounts		1,158,702			(9,880	)		(19,316	)		708,928			—
Corporate actions		—			—			—			(5,176,600	)		—
Total realized gains (losses) included in earnings		(13,439,624	)		(2,157,884	)		(36,187,208	)		(3,839,061	)		—
Total change in unrealized appreciation (depreciation) included in earnings		20,766,105			(366,275	)		31,472,193			14,739,206			—
Transfers into Level 3		—			—			—			—			—
Transfers out of Level 3		(150	)		—			—			(60,093,853	)		—
Ending Balance	$	567,198,526		$	94,495,909		$	316,972,375		$	216,787,942		$	104
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(6,079,438	)	$	(2,342,514	)	$	(8,726,058	)	$	6,951,198		$	—

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

	Assets												Liabilities
	Common Stocks			Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	1,382		$	—		$	5,402,287		$	1,513,299,629		$	(1,043,263	)
Purchases/(Receipts)		6			47,000,000			—			425,370,525			(130,141	)
(Sales, maturities and paydowns)/Fundings		—			—			(201,511	)		(638,568,417	)		299,073
Amortization of premiums/discounts		—			—			—			1,838,434			—
Corporate actions		7,671			5,168,929			—			—			—
Total realized gains (losses) included in earnings		—			—			—			(55,623,777	)		(164,102	)
Total change in unrealized appreciation (depreciation) included in earnings		(6,556	)		(4,558,805	)		(203,692	)		61,842,176			886,743
Transfers into Level 3		—			—			—			—			—
Transfers out of Level 3		—			—			—			(60,094,003	)		—
Ending Balance	$	2,503		$	47,610,124		$	4,997,084		$	1,248,064,567		$	(151,690	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(6,556	)	$	(4,562,914	)	$	(203,692	)	$	(14,969,974	)	$	3,139

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			Future Reset Date
Angel Oak Mortgage Trust 2023-1, 4.75% due 09/26/67		5.75	%		01/01/27		—			—
Angel Oak Mortgage Trust 2023-1 2023-1, 4.75% due 09/26/67		5.75	%		01/01/27		—			—
Angel Oak Mortgage Trust 2023-2 2023-2, 4.65% due 10/25/67		5.65	%		02/01/27		—			—
Angel Oak Mortgage Trust 2023-2 2023-2, 4.65% due 10/25/67		5.65	%		02/01/27		—			—
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/25/24		5.62	%		09/25/25
BRAVO Residential Funding Trust 2023-NQM2 2023-NQM2, 4.50% due 05/25/62		5.50	%		02/01/27		—			—
BRAVO Residential Funding Trust 2023-NQM2 2023-NQM2, 4.50% due 05/25/62		5.50	%		02/01/27		—			—

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
TOTAL RETURN BOND FUND

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2023-NQM2 2023-NQM2, 4.50% due 05/25/62		5.50	%		02/01/27		—			12/31/99
BRAVO Residential Funding Trust 2023-NQM5 2023-NQM5, 7.01% due 06/25/63		8.01	%		07/01/27		—			—
BRAVO Residential Funding Trust 2023-NQM6 2023-NQM6, 7.06% due 09/25/63		8.06	%		08/01/27		—			—
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		10 17	%		09/25/26
GCAT 2023-NQM2 Trust 2023-NQM2, 6.24% due 11/25/67		7.24	%		01/01/27		—			—
GCAT Trust 2022-NQM5, 5.71% due 08/25/67		6.71	%		10/01/26		—			—
GCAT Trust 2022-NQM5, 5.71% due 08/25/67		6.71	%		10/01/26		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/25/24		5.75	%		05/25/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/25/24		6.25	%		11/25/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/25/24		5.75	%		04/25/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26
OBX 2023-NQM2 Trust 2023-NQM2, 6.72% due 01/25/62		7.72	%		02/01/27		—			—
OBX Trust 2022-NQM8, 6.10% due 09/25/62		7.10	%		10/01/26		—			—
OBX Trust 2022-NQM9, 6.45% due 09/25/62		7.45	%		11/01/26		—			—
OBX Trust 2023-NQM2, 6.32% due 01/25/62		7.32	%		02/01/27		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/25/24		6.12	%		06/25/25
PRPM 2023-RCF1 LLC 2023-RCF1, 4.00% due 06/25/53		5.00	%		06/25/27		—			—
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/25/24		5.79	%		06/25/25
Verus Securitization Trust 2022-8, 6.13% due 09/25/67		7.13	%		10/01/26		—			—
Verus Securitization Trust 2022-8, 6.13% due 09/25/67		7.13	%		10/01/26		—			—

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
TOTAL RETURN BOND 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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC *	$	323	$	—	$	—	$	—
Mutual Funds
Guggenheim Limited Duration Fund — R6-Class		—		120,801,101		—		—
Guggenheim Strategy Fund II		26,646,371		1,424,473		—		—
Guggenheim Strategy Fund III		14,383,324		779,080		—		—
Guggenheim Ultra Short Duration Fund — Institutional Class		26,156,766		1,309,979		—		—
	$	67,186,784	$	124,314,633	$	—	$	—

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/23		Shares 09/30/23		Investment Income
Common Stocks
BP Holdco LLC *	$	360		$	683		532	$	—
Mutual Funds
Guggenheim Limited Duration Fund — R6-Class		(407,503	)		120,393,598		5,103,586		893,942
Guggenheim Strategy Fund II		338,291			28,409,135		1,170,545		1,424,864
Guggenheim Strategy Fund III		164,124			15,326,528		630,981		779,818
Guggenheim Ultra Short Duration Fund — Institutional Class		441,434			27,908,179		2,862,377		1,309,760
	$	536,706		$	192,038,123			$	4,408,384

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

TOTAL RETURN BOND FUND

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $25,016,707,231)	$	22,148,091,553
Investments in affiliated issuers, at value (cost $194,120,337)		192,038,123
Foreign currency, at value (cost $1,373,017)		1,371,308
Segregated cash with broker		27,023,144
Cash		4,261,026
Unamortized upfront premiums paid on credit default swap agreements		812,980
Unamortized upfront premiums paid on interest rate swap agreements		14,146
Unrealized appreciation on forward foreign currency exchange contracts		5,450,509
Prepaid expenses		927,151
Receivables:
Securities sold		905,702,469
Interest		176,042,776
Fund shares sold		34,373,486
Dividends		1,539,604
Foreign tax reclaims		3,300
Investment Adviser		608
Other assets		75
Total assets		23,497,652,258
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $154,829)		151,690
Reverse repurchase agreements		1,279,248,820
Options written, at value (premiums received $2,447,775)		7,082,875
Segregated cash due to broker		4,086,000
Unamortized upfront premiums received on credit default swap agreements		1,690,867
Payable for:
Securities purchased		1,038,137,248
Fund shares redeemed		69,813,683
Variation margin on interest rate swap agreements		16,687,044
Distributions to shareholders		6,108,639
Management fees		5,979,187
Transfer agent/maintenance fees		5,260,268
Protection fees on credit default swap agreements		369,725
Distribution and service fees		309,177
Swap Settlement		266,112
Fund accounting/administration fees		159,901
Due to Investment Adviser		66,284
Trustees’ fees*		10,943
Variation margin on credit default swap agreements		615
Miscellaneous		1,882,836
Total liabilities		2,437,311,914
Net assets	$	21,060,340,344
Net assets consist of:
Paid in capital	$	26,117,848,412
Total distributable earnings (loss)		(5,057,508,068	)
Net assets	$	21,060,340,344
A-Class:
Net assets	$	444,453,693
Capital shares outstanding		19,735,607
Net asset value per share	$	22.52
Maximum offering price per share (Net asset value divided by 96.00%)	$	23.46
C-Class:
Net assets	$	158,465,895
Capital shares outstanding		7,035,909
Net asset value per share	$	22.52
P-Class:
Net assets	$	393,752,403
Capital shares outstanding		17,489,787
Net asset value per share	$	22.51
Institutional Class:
Net assets	$	19,802,141,567
Capital shares outstanding		878,521,853
Net asset value per share	$	22.54
R6-Class:
Net assets	$	261,526,786
Capital shares outstanding		11,595,853
Net asset value per share	$	22.55

* 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 ANNUAL REPORT | 79

STATEMENT OF OPERATIONS

TOTAL RETURN BOND FUND

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	14,718,970
Dividends from securities of affiliated issuers		4,408,384
Interest from securities in unaffiliated issuers (net of foreign withholding tax of ($221,231)		1,026,901,130
Total investment income		1,046,028,484
Expenses:
Management fees		76,742,003
Distribution and service fees:
A-Class		1,141,906
C-Class		1,777,813
P-Class		1,113,801
Transfer agent/maintenance fees:
A-Class		433,470
C-Class		179,980
P-Class		899,191
Institutional Class		19,170,291
R6-Class		25,101
Interest expense		28,802,774
Fund accounting /administration fees		8,036,992
Professional fees		1,512,526
Line of credit fees		1,278,649
Custodian fees		509,353
Trustees’ fees*		290,305
Miscellaneous		1,495,662
Recoupment of previously waived fees:
A-Class		53,029
C-Class		36,525
P-Class		17,216
Institutional Class		629,048
R6-Class		7,252
Total expenses		144,152,887
Less:
Expenses reimbursed by Adviser:
A-Class		(56,720	)
C-Class		(42,625	)
P-Class		(499,697	)
Institutional Class		(10,025,149	)
R6-Class		(816	)
Expenses waived by Adviser		(6,228,246	)
Earnings Credits applied		(224,001	)
Total waived/reimbursed expenses		(17,077,254	)
Net expenses		127,075,633
Net investment income		918,952,851
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,349,884,601	)
Swap agreements		(72,704,993	)
Futures contracts		6,650,025
Options purchased		(37,392,568	)
Options written		3,962,226
Forward foreign currency exchange contracts		(24,237,064	)
Foreign currency transactions		1,056,907
Net realized loss		(1,472,550,068	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		814,060,753
Investments in affiliated issuers		536,706
Swap agreements		(2,741,186	)
Options purchased		(60,803,044	)
Options written		11,748,516
Forward foreign currency exchange contracts		(6,880,855	)
Foreign currency translations		163,294
Net change in unrealized appreciation (depreciation)		756,084,184
Net realized and unrealized loss		(716,465,884	)
Net increase in net assets resulting from operations	$	202,486,967

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

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

STATEMENTS OF CHANGES IN NET ASSETS

TOTAL RETURN BOND FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	918,952,851		$	759,469,621
Net realized loss on investments		(1,472,550,068	)		(513,869,862	)
Net change in unrealized appreciation (depreciation) on investments		756,084,184			(4,435,908,740	)
Net increase (decrease) in net assets resulting from operations		202,486,967			(4,190,308,981	)
Distributions to shareholders:
A-Class		(19,019,129	)		(22,845,332	)
C-Class		(6,072,905	)		(8,847,797	)
P-Class		(18,625,018	)		(35,091,237	)
Institutional Class		(818,465,001	)		(948,608,650	)
R6-Class		(10,162,965	)		(9,592,901	)
Total distributions to shareholders		(872,345,018	)		(1,024,985,917	)
Capital share transactions:
Proceeds from sale of shares
A-Class		190,008,832			162,652,775
C-Class		32,292,309			22,676,431
P-Class		143,216,250			277,767,413
Institutional Class		9,905,246,248			8,822,932,131
R6-Class		140,809,681			141,977,419
Distributions reinvested
A-Class		16,394,524			19,669,319
C-Class		5,230,841			7,577,710
P-Class		18,492,403			35,091,237
Institutional Class		725,020,898			839,074,338
R6-Class		9,871,684			9,497,105
Cost of shares redeemed
A-Class		(176,845,859	)		(310,183,050	)
C-Class		(72,847,845	)		(102,439,268	)
P-Class		(327,848,764	)		(599,756,830	)
Institutional Class		(7,698,063,900	)		(12,268,295,169	)
R6-Class		(90,056,671	)		(141,160,025	)
Net increase (decrease) from capital share transactions		2,820,920,631			(3,082,918,464	)
Net increase (decrease) in net assets		2,151,062,580			(8,298,213,362	)
Net assets:
Beginning of year		18,909,277,764			27,207,491,126
End of year	$	21,060,340,344		$	18,909,277,764

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		8,094,504			6,128,429
C-Class		1,375,517			850,424
P-Class		6,070,940			10,325,436
Institutional Class		421,456,679			335,372,608
R6-Class		5,994,350			5,491,289
Shares issued from reinvestment of distributions
A-Class		702,293			736,999
C-Class		224,186			283,159
P-Class		793,085			1,309,242
Institutional Class		31,049,191			31,483,958
R6-Class		422,497			356,973
Shares redeemed
A-Class		(7,564,633	)		(11,761,205	)
C-Class		(3,122,803	)		(3,897,258	)
P-Class		(14,121,799	)		(22,953,593	)
Institutional Class		(330,170,194	)		(470,717,032	)
R6-Class		(3,874,827	)		(5,318,515	)
Net increase (decrease) in shares		117,328,986			(122,309,086	)

82 | THE GUGGENHEIM FUNDS 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.

A-Class	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.12		$	28.94		$	29.76		$	27.42		$	26.69
Income (loss) from investment operations:
Net investment income (loss)a		1.03			.78			.72			.56			.64
Net gain (loss) on investments (realized and unrealized)		(.65	)		(5.53	)		(.05	)		2.41			.85
Total from investment operations		.38			(4.75	)		.67			2.97			1.49
Less distributions from:
Net investment income		(.98	)		(.80	)		(.76	)		(.63	)		(.65	)
Net realized gains		—			(.27	)		(.73	)		—			(.11	)
Total distributions		(.98	)		(1.07	)		(1.49	)		(.63	)		(.76	)
Net asset value, end of period	$	22.52		$	23.12		$	28.94		$	29.76		$	27.42
Total Returnb		1.55	%		(16.82	%)		2.27	%		10.96	%		5.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	444,454		$	427,870		$	677,172		$	804,750		$	609,602
Ratios to average net assets:
Net investment income (loss)		4.40	%		2.94	%		2.47	%		1.99	%		2.37	%
Total expensesc		0.96	%		0.85	%		0.84	%		0.87	%		0.96	%
Net expensesd,e,f		0.91	%		0.81	%		0.79	%		0.80	%		0.80	%
Portfolio turnover rate		90	%		55	%		92	%		116	%		68	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.13		$	28.94		$	29.76		$	27.43		$	26.69
Income (loss) from investment operations:
Net investment income (loss)a		.86			.58			.50			.35			.43
Net gain (loss) on investments (realized and unrealized)		(.67	)		(5.52	)		(.05	)		2.40			.87
Total from investment operations		.19			(4.94	)		.45			2.75			1.30
Less distributions from:
Net investment income		(.80	)		(.60	)		(.54	)		(.42	)		(.45	)
Net realized gains		—			(.27	)		(.73	)		—			(.11	)
Total distributions		(.80	)		(.87	)		(1.27	)		(.42	)		(.56	)
Net asset value, end of period	$	22.52		$	23.13		$	28.94		$	29.76		$	27.43
Total Returnb		0.74	%		(17.41	%)		1.50	%		10.10	%		4.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	158,466		$	197,933		$	327,712		$	338,656		$	286,050
Ratios to average net assets:
Net investment income (loss)		3.65	%		2.18	%		1.72	%		1.24	%		1.62	%
Total expensesc		1.72	%		1.63	%		1.59	%		1.59	%		1.60	%
Net expensesd,e,f		1.66	%		1.56	%		1.53	%		1.55	%		1.55	%
Portfolio turnover rate		90	%		55	%		92	%		116	%		68	%

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

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

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

P-Class	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.12		$	28.93		$	29.75		$	27.42		$	26.69
Income (loss) from investment operations:
Net investment income (loss)a		1.03			.77			.72			.56			.63
Net gain (loss) on investments (realized and unrealized)		(.66	)		(5.51	)		(.05	)		2.40			.86
Total from investment operations		.37			(4.74	)		.67			2.96			1.49
Less distributions from:
Net investment income		(.98	)		(.80	)		(.76	)		(.63	)		(.65	)
Net realized gains		—			(.27	)		(.73	)		—			(.11	)
Total distributions		(.98	)		(1.07	)		(1.49	)		(.63	)		(.76	)
Net asset value, end of period	$	22.51		$	23.12		$	28.93		$	29.75		$	27.42
Total Return		1.51	%		(16.79	%)		2.27	%		10.92	%		5.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	393,752		$	572,113		$	1,043,507		$	926,745		$	819,770
Ratios to average net assets:
Net investment income (loss)		4.41	%		2.90	%		2.47	%		1.98	%		2.37	%
Total expensesc		1.06	%		0.93	%		0.87	%		0.88	%		0.87	%
Net expensesd,e,f		0.91	%		0.81	%		0.79	%		0.80	%		0.80	%
Portfolio turnover rate		90	%		55	%		92	%		116	%		68	%

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.14		$	28.97		$	29.78		$	27.45		$	26.71
Income (loss) from investment operations:
Net investment income (loss)a		1.10			.86			.81			.65			.71
Net gain (loss) on investments (realized and unrealized)		(.66	)		(5.54	)		(.05	)		2.39			.87
Total from investment operations		.44			(4.68	)		.76			3.04			1.58
Less distributions from:
Net investment income		(1.04	)		(.88	)		(.84	)		(.71	)		(.73	)
Net realized gains		—			(.27	)		(.73	)		—			(.11	)
Total distributions		(1.04	)		(1.15	)		(1.57	)		(.71	)		(.84	)
Net asset value, end of period	$	22.54		$	23.14		$	28.97		$	29.78		$	27.45
Total Return		1.84	%		(16.59	%)		2.59	%		11.23	%		6.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,802,142		$	17,501,690		$	24,912,049		$	19,152,857		$	12,138,270
Ratios to average net assets:
Net investment income (loss)		4.69	%		3.23	%		2.76	%		2.29	%		2.64	%
Total expensesc		0.71	%		0.62	%		0.57	%		0.57	%		0.58	%
Net expensesd,e,f		0.62	%		0.52	%		0.50	%		0.51	%		0.51	%
Portfolio turnover rate		90	%		55	%		92	%		116	%		68	%

86 | THE GUGGENHEIM FUNDS 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.

R6-Class	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.16		$	28.98		$	29.80		$	27.46		$	26.73
Income (loss) from investment operations:
Net investment income (loss)a		1.11			.87			.81			.65			.71
Net gain (loss) on investments (realized and unrealized)		(.67	)		(5.54	)		(.06	)		2.40			.86
Total from investment operations		.44			(4.67	)		.75			3.05			1.57
Less distributions from:
Net investment income		(1.05	)		(.88	)		(.84	)		(.71	)		(.73	)
Net realized gains		—			(.27	)		(.73	)		—			(.11	)
Total distributions		(1.05	)		(1.15	)		(1.57	)		(.71	)		(.84	)
Net asset value, end of period	$	22.55		$	23.16		$	28.98		$	29.80		$	27.46
Total Return		1.84	%		(16.55	%)		2.56	%		11.26	%		5.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	261,527		$	209,671		$	247,051		$	167,409		$	55,441
Ratios to average net assets:
Net investment income (loss)		4.73	%		3.26	%		2.76	%		2.28	%		2.64	%
Total expensesc		0.62	%		0.53	%		0.50	%		0.52	%		0.52	%
Net expensesd,e,f		0.58	%		0.52	%		0.50	%		0.51	%		0.51	%
Portfolio turnover rate		90	%		55	%		92	%		116	%		68	%

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

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.01%	0.01%	0.00%*	0.00%*	—
C-Class	0.02%	—	0.00%*	0.00%*	—
P-Class	0.00%*	—	—	0.00%*	0.00%*
Institutional Class	0.00%*	—	—	0.00%*	—
R6-Class	0.00%*	0.01%	0.01%	0.00%*	0.00%*

* Less than 0.01%

^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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.76%	0.77%	0.78%	0.79%	0.79%
C-Class	1.52%	1.52%	1.53%	1.54%	1.54%
P-Class	0.76%	0.77%	0.78%	0.79%	0.79%
Institutional Class	0.47%	0.48%	0.49%	0.50%	0.50%
R6-Class	0.43%	0.48%	0.49%	0.50%	0.50%

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization, and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a Diversified investment company. At September 30, 2023, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Mangagement, LLC (“GPIM” or “the Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor for the Trust. GI and GFD are affiliated entities.

Pursuant to an investment Sub-Advisory Agreement between GPIM and Guggenheim Partners Advisors, LLC (“GPA”) that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment subadvisory services to the Fund. GPA operated as an investment sub-advisor to the Fund from April 29, 2022 to December 22, 2022.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 89

NOTES TO FINANCIAL STATEMENTS (continued)

GPA, under the oversight of the Board and GPIM, assisted GPIM in the supervision and direction of the investment strategies of the Fund in accordance with its investment policies. As compensation for its services, GPIM paid GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of 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 each share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

��

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent

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with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 will 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.

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

U.S. Government securities are valued by pricing service providers, the last traded fill price, or at the reported bid price at the close of business.

CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using a pricing service provider.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or

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less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service provider.

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

Typically, loans are valued using information provided by pricing service provider which 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 Adviser.

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 and options on swaps (“swaptions”) are valued using a price provided by a pricing service.

Interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

Other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a pricing service provider.

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 the Adviser. 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.

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Inflation-Indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these securities is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recognized as a component of Interest on the Fund’s Statement of Operations, even though principal is not received until 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, (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. Recently, 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.

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(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).

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(f) 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 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

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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 the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social, geopolitical 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

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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 September 30, 2023, 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 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 Fund’s Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Fund’s 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

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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 share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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 Fund’s Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Fund’s 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 5.33% at September 30, 2023.

(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.

(q) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or

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be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

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 Fund’s Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which 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

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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.

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, Income	$	2,462,500,000	$	202,973,520

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 over-the-counter (“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
Income, Hedge	$	36,504	$	435,140,833

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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 Fund’s Statement of Assets and Liabilities; securities held as collateral are noted on the Fund’s 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	$	272,105,417	$	—

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.

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.

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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, Income	$	2,828,783,333	$	—

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 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.

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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, Income	$	—	$	276,583,333

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 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	$	8,388,091	$	342,961,776

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	—
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Variation margin on interest rate swap agreements
Credit swap contracts	Unamortized upfront premiums paid on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements Variation margin on credit default swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value

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The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2023:

Asset Derivative Investments Value
	Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at September 30, 2023
	$	5,450,509	$	3,884,155	$	9,334,664

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
	$	143,896,842	$	5,211,390	$	—	$	7,082,875	$	156,191,107

* 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 Fund’s 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 year ended September 30, 2023:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
Equity/Interest rate option contracts	Net realized gain (loss) on futures contracts
	Net realized gain (loss) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Interest rate/Credit swap 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 Fund’s Statement of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
	$	6,650,025	$	(66,126,116	)	$	(6,578,877	)	$	20,354,103	$	(36,569,467	)	$	(24,237,064	)	$	(823,101	)	$	(16,391,877	)	$	(123,722,374	)

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 Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk		Total
	$	—	$	2,470,204	$	(5,211,390	)	$	9,535,213	$	(52,080,490	)	$	(6,880,855	)	$	(8,722,554	)	$	2,213,303	$	(58,676,569	)

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.

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NOTES TO FINANCIAL STATEMENTS (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 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 rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

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 (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 Fund’s 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 Fund’s 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
Options purchased	$	3,884,155	$	—		3,884,155	$	(1,332,526	)	$	(1,776,285	)	$	775,344
Forward foreign currency exchange contracts		5,450,509		—		5,450,509		(3,140,794	)		(2,309,715	)		—

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NOTES TO FINANCIAL STATEMENTS (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 Amounts of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Options Written	$	7,082,875	$	—	$	7,082,875	$	(4,473,320	)	$	—	$	2,609,555

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 September 30, 2023.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Credit default swap agreements, interest rate swap agreements	$	27,023,144	$	—
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		440,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		3,646,000
			27,023,144		4,086,000

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.

Pricing service providers are used to value a majority of the Fund’s investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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.

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NOTES TO FINANCIAL STATEMENTS (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.

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		02/01/25
C-Class		1.54	%		11/20/17		02/01/25
P-Class		0.79	%		11/20/17		02/01/25
Institutional Class		0.50	%		11/30/12		02/01/25
R6-Class		0.50	%		10/19/16		02/01/25

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 September 30, 2023, 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:

	2024		2025		2026		Fund Total
A-Class	$	421,811	$	196,304	$	56,238	$	674,353
C-Class		174,119		167,978		42,447		384,544
P-Class		783,250		1,002,868		499,250		2,285,368
Institutional Class		16,070,214		19,248,693		10,006,046		45,324,953
R6-Class		—		—		—		—

For the year ended September 30, 2023, GI recouped $743,070 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

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NOTES TO FINANCIAL STATEMENTS (continued)

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 year ended September 30, 2023, the Fund waived $143,179 related to investments in affiliated funds.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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 year ended September 30, 2023, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding	Balance at September 30, 2023		Average Balance Outstanding		Average Interest Rate
223	$	1,279,248,820	$	1,089,992,026		4.33	%

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NOTES TO FINANCIAL STATEMENTS (continued)

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Fund’s 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	$	1,279,248,820	$	—	$	1,279,248,820	$	(1,279,248,820	)	$	—	$	—

As of September 30, 2023, 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
Goldman Sachs & Co. LLC	(2.75%)-(0.25%)*		Open Maturity		$	6,360,066
J.P. Morgan Securities LLC	1.00%-6.33%*		—			1,272,888,754
Total					$	1,279,248,820

^* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2023.

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	Overnight and continuous		Total
Corporate Bonds	$	7,201,003	$	7,201,003
Federal Agency Notes		1,272,047,817		1,272,047,817
Gross amount of recognized liabilities for reverse repurchase agreements	$	1,279,248,820	$	1,279,248,820

Note 7– Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (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 (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 tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	872,345,018	$	—	$	872,345,018

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	882,654,723	$	142,331,194	$	1,024,985,917

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	32,244,950	$	—	$	(3,026,959,795	)	$	(1,977,547,791	)	$	(85,245,432	)	$	(5,057,508,068	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited
Short-Term			Long-Term			Total Capital Loss Carryforward
$	(789,045,623	)	$	(1,188,465,791	)	$	(1,977,511,414	)

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NOTES TO FINANCIAL STATEMENTS (continued)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, real estate investment trusts and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, dividends payable, and the disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments, the deferral of losses related to tax straddle investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences.

At September 30, 2023, 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)
$	25,210,731,633	$	—	$	(3,026,793,064	)	$	(3,026,793,064	)

Note 8 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	9,503,699,725	$	10,726,934,687

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	9,543,039,501	$	6,378,899,108

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NOTES TO FINANCIAL STATEMENTS (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 year ended September 30, 2023, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2023, were as follows:

Borrower	Maturity Date	Face Amount*		Value
Fontainbleau Vegas	01/31/26	$	3,651,079	$	—
HAH Group Holding Co. LLC	10/22/27		1,093		28
Higginbotham Insurance Agency, Inc.	11/25/28		15,480,171		151,662
Lightning A	03/01/37		28,235,288		—
Thunderbird A	03/01/37		28,657,667		—
		$	76,025,298	$	151,690

* The face amount is denominated in U.S. dollars unless otherwise indicated.

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NOTES TO FINANCIAL STATEMENTS (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
Atlas Mara Ltd.
due 12/31/214		10/01/15	$	2,828,684	$	987,305
Cascade Funding Mortgage Trust
2018-RM2 4.00% (WAC) due 10/25/681		11/02/18		6,372,379		6,282,538
Cascade Funding Mortgage Trust
2019-RM3 2.80% (WAC) due 06/25/691		06/25/19		3,262,590		3,164,128
Central Storage Safety Project Trust
4.82% due 02/01/38		02/02/18		18,003,546		14,579,738
CFMT LLC
2022-HB9 3.25% (WAC) due 09/25/371		09/23/22		7,937,458		7,667,814
Copper River CLO Ltd.
2007-1A INC, due 01/20/212		05/09/14		—		150
Irwin Home Equity Loan Trust
2007-1 6.35% due 08/25/37		02/27/15		202		197
LSTAR Securities Investment Ltd.
2021-1 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/261		02/04/21		37,831,085		37,130,302
Morgan Stanley Re-REMIC Trust
2010-R5 3.47% due 06/26/363		07/18/14		95,179		102,318
SPSS
5.14% due 11/15/52		03/30/23		132,433		124,144
Towd Point Revolving Trust
4.83% due 09/25/64		03/17/22		81,499,719		79,238,375
			$	157,963,275	$	149,277,009

1	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
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 September 30, 2023. See table below for additional step information for each security.
4	Security is in default of interest and/or principal obligations.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The Fund may draw (borrow)

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NOTES TO FINANCIAL STATEMENTS (concluded)

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”, SOFR 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 Fund’s Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Total Return Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Total Return Bond Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed

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other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	1.49	%		1.34	%		84.48	%

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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight

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key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.

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.

Report of the Guggenheim Funds Trust Contracts Review Committee

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed

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below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)**   ● Guggenheim High Yield Fund
(“High Yield Fund”)*   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)**   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)** ● Guggenheim Core Bond Fund
(“Core Bond Fund”)*   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**¹   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)*   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).

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The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee���s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian

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and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

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Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which

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underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors,

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its

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peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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OTHER INFORMATION (Unaudited)(continued)

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

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OTHER INFORMATION (Unaudited)(continued)

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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 Fund’s 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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).

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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 - continued
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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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 - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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 - continued
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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***
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing Director, Guggenheim Investments (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with 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); Senior Managing Director, 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
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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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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 parties to treat your private information with the same high degree of confidentiality that we do.

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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

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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.

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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.

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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 ANNUAL REPORT | 145

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

146 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Ultra Short Duration Fund

GuggenheimInvestments.com USD-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
ULTRA SHORT DURATION FUND	12
NOTES TO FINANCIAL STATEMENTS	37
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	57
OTHER INFORMATION	59
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	73
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	81
LIQUIDITY RISK MANAGEMENT PROGRAM	85

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“Investment Adviser”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (“Fund”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

The Investment Adviser is responsible for the management of the Fund’s 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 Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim Partners, LLC and the Investment Adviser.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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 ANNUAL REPORT

September 30, 2023

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. 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 ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting Period.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2023

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

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

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

S&P 500^® Index is a 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 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 March 31, 2023 and ending September 30, 2023.

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 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 ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class		0.58	%		2.95	%	$	1,000.00	$	1,029.50	$	2.95
Institutional Class		0.33	%		3.08	%		1,000.00		1,030.80		1.68
Table 2. Based on hypothetical 5% return (before expenses)
A-Class		0.58	%		5.00	%	$	1,000.00	$	1,022.16	$	2.94
Institutional Class		0.33	%		5.00	%		1,000.00		1,023.41		1.67

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 0.58% and 0.33% for the A-Class and Institutional 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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Ultra Short Duration Fund (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Kris L. Dorr, Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund returned 6.32% ¹, outperforming the Bloomberg 1-3 Month U.S. Treasury Bill Index, the Fund’s benchmark, (“Benchmark”), which returned 4.63% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

For the Reporting Period, the Fund outperformed the Benchmark by 169 basis points. Carry, or earned income, remained a consistent source of relative performance for the Fund. Spreads also added to performance relative to the Benchmark. A combination of the Fund’s allocation and selection biases within corporates and the Fund’s allocation to securitized credit drove most of the active performance versus the Benchmark. Duration detracted from performance as the Fund was positioned modestly overweight duration while the curve bear steepened. Bear steepening refers to yield-curve widening due to long-term rates increasing more than short-term rates, amid a period of falling bond prices and rising yields.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used forwards and swaps to help manage duration positioning and foreign exchange risk. Over the Reporting Period, interest rate swaps contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a negligible impact on performance over the Reporting Period.

How was the Fund positioned at the end of the Reporting Period?

Over the past several quarters the Fund has increasingly prioritized diversification, quality, and liquidity as recession concerns continued to persist. The Fund has steadily moved up-in-quality and more defensively, uniquely without having to sacrifice yield due to the move higher in interest

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2023

rates. While spreads for many credit sectors have recovered to long-term-average levels, certain segments remain dislocated and offer attractive relative value. Structured credit spreads are especially cheap, with valuations currently wide of the 90th percentile versus current corporate spreads.

Structured credit, the largest allocation in the Fund, represents roughly 61% of the Fund’s holdings. Spreads continued their rebound, but broadly remain wide, both compared to similarly rated investment-grade corporate credit and in an absolute sense. Furthermore, the lower dollar prices of these assets following the rise in interest rates sets up the potential for higher total return opportunities than typically exists in the asset class. With much of its active buying base largely coming from income-focused accounts, structured credit spreads should continue to compress from the resetting higher of yields and the resulting increased interest that comes with it. Within securitized credit, we continue to focus on opportunities senior in the capital structure with sufficient credit enhancement and often unique structural features that limit cash flow variability or extension concerns. We believe the focus on superior structures will be paramount in helping mitigate mark-to-market risks that could emerge should volatility rise.

The corporate credit allocation, which represents roughly 22% of the Fund’s holdings, has increasingly shifted higher in quality. About 21% is in investment-grade-rated corporate credit, and 1% is in below-investment-grade-rated corporate credit, which are broadly weighted toward BB-rated securities. While in our view, overall corporate credit spreads are trading around fair value levels, there remain both idiosyncratic opportunities across certain issuers and industries given tighter credit conditions across capital markets. Front end primary market offerings have priced at especially attractive levels as many investors have pulled back from lending activities.

As of the end of the Reporting Period, the Fund had a duration of 0.6 years. Duration remained constant over the Reporting Period, and we do not envision major shifts to the duration of the Fund moving forward. Lastly, the Fund ended the period with 15% in cash and cash equivalents. Elevated yields on short duration products have made it more attractive to hold higher balances of liquidity with the added benefit of giving the Fund dry powder to take advantage of future market opportunities.

Despite the quarter ended September 30, 2023 continuing a trend of volatility for fixed income returns, our broader macroeconomic views from a fundamental perspective remain consistent. We continue to expect inflation to moderate with time and view the market’s increasingly optimistic

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

expectations of a soft landing as misguided. Looking further out into the economic future, we believe the Fed’s restrictive monetary policy could ultimately shepherd in a recession in the next 6-18 months, which we believe will likely be met with lower rates. Ultimately, the current path of weakening growth, high prices, and high interest rates appears unsustainable, and we are already starting to see signs of pressure on consumers and levered corporate borrowers, which could call into question any soft-landing narrative.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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)” excludes any temporary cash investments.

Inception Dates:
A-Class	November 30, 2018
Institutional Class	March 11, 2014

Ten Largest Holdings	% of Total Net Assets
Lake Shore MM CLO III LLC, 7.05%	2.2%
Athene Global Funding, 5.87%	2.1%
BX Commercial Mortgage Trust, 7.10%	1.9%
F&G Global Funding, 0.90%	1.8%
ABPCI Direct Lending Fund CLO V Ltd., 7.09%	1.6%
NYMT Loan Trust, 1.67%	1.3%
BRAVO Residential Funding Trust, 1.62%	1.3%
Golub Capital Partners CLO 49M Ltd., 7.12%	1.2%
OSAT Trust, 2.12%	1.2%
Oak Street Investment Grade Net Lease Fund Series, 1.85%	1.1%
Top Ten Total	15.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2023

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	44.3%
AA	10.2%
A	15.6%
BBB	15.9%
BB	1.4%
B	0.1%
NR2	10.6%
Other Instruments	1.9%
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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (03/11/14)
Institutional Class Shares	6.70%	1.84%	1.81%
Bloomberg 1-3 Month U.S. Treasury Bill Index	4.63%	1.71%	1.14%

	1 Year	Since Inception (11/30/18)
A-Class Shares	6.32%	1.59%
Bloomberg 1-3 Month U.S. Treasury Bill Index	4.63%	1.69%

* 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 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. The graph is based on Institutional Class shares only, performance for A-Class shares will vary due to differences in fee structure. 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.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2023
ULTRA SHORT DURATION FUND

	Shares		Value
MONEY MARKET FUND† - 2.0%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%1		10,066,401	$	10,066,401
Total Money Market Fund
(Cost $10,066,401)				10,066,401
	Face Amount
ASSET-BACKED SECURITIES†† - 39.6%
Collateralized Loan Obligations - 31.2%
Lake Shore MM CLO III LLC
2021-2A A1R, 7.05% (3 Month Term SOFR + 1.74%, Rate Floor: 1.48%) due 10/17/31◊,2	$	11,350,000		11,190,722
HERA Commercial Mortgage Ltd.
2021-FL1 AS, 6.75% (1 Month Term SOFR + 1.41%, Rate Floor: 1.30%) due 02/18/38◊,2		5,000,000		4,787,988
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/18/38◊,2		3,666,687		3,558,266
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/20/31◊,2		8,141,632		8,041,511
BXMT Ltd.
2020-FL2 A, 6.35% (1 Month Term SOFR + 1.01%, Rate Floor: 1.01%) due 02/15/38◊,2		3,408,219		3,238,881
2020-FL3 AS, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 11/15/37◊,2		2,500,000		2,338,632
2020-FL2 AS, 6.60% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 02/15/38◊,2		2,550,000		2,323,570
Palmer Square Loan Funding Ltd.
2021-2A B, 7.04% (3 Month Term SOFR + 1.66%, Rate Floor: 1.66%) due 05/20/29◊,2		4,500,000		4,417,723
2021-1A A1, 6.49% (3 Month Term SOFR + 1.16%, Rate Floor: 1.16%) due 04/20/29◊,2		1,762,108		1,758,393
2022-1A A2, 6.91% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,2		1,000,000		986,197
Golub Capital Partners CLO 49M Ltd.
2021-49A AR, 7.12% (3 Month Term SOFR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,2		6,250,000		6,135,921

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 7.02% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/18/31◊,2	$	5,700,000	$	5,634,033
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 7.05% (3 Month Term SOFR + 1.69%, Rate Floor: 1.43%) due 10/20/31◊,2		5,500,000		5,431,947
CIFC Funding Ltd.
2018-3A AR, 6.45% (3 Month Term SOFR + 1.13%, Rate Floor: 0.00%) due 04/19/29◊,2		5,395,904		5,386,639
FS Rialto
2021-FL3 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 11/16/36◊,2		5,500,000		5,255,368
Cerberus Loan Funding XXXV, LP
2021-5A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33◊,2		5,000,000		4,955,056
LCCM Trust
2021-FL3 A, 6.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 11/15/38◊,2		4,100,000		4,006,582
2021-FL2 B, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 2.01%) due 12/13/38◊,2		1,000,000		945,661
Carlyle Global Market Strategies CLO Ltd.
2018-4A A1RR, 6.57% (3 Month Term SOFR + 1.26%, Rate Floor: 1.00%) due 01/15/31◊,2		4,769,448		4,752,754
Golub Capital Partners CLO 54M, LP
2021-54A A, 7.16% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33◊,2		4,750,000		4,676,123
LCM XXIV Ltd.
2021-24A AR, 6.57% (3 Month Term SOFR + 1.24%, Rate Floor: 0.98%) due 03/20/30◊,2		4,464,836		4,451,442
Owl Rock CLO IV Ltd.
2021-4A A1R, 7.24% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,2		4,500,000		4,432,449
Parliament CLO II Ltd.
2021-2A A, 6.99% (3 Month Term SOFR + 1.61%, Rate Floor: 1.35%) due 08/20/32◊,2		4,428,536		4,378,248
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 7.22% (3 Month Term SOFR + 1.87%, Rate Floor: 1.61%) due 07/25/33◊,2		4,250,000		4,223,591

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
BRSP Ltd.
2021-FL1 B, 7.34% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38◊,2	$	4,250,000	$	4,035,531
Madison Park Funding XLVIII Ltd.
2021-48A B, 7.03% (3 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 04/19/33◊,2		4,000,000		3,964,800
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 7.51% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33◊,2		3,750,000		3,601,319
Cerberus Loan Funding XXX, LP
2020-3A A, 7.42% (3 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,2		3,000,000		2,989,603
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 7.19% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 04/20/32◊,2		3,000,000		2,967,245
CHCP Ltd.
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,2		2,973,299		2,948,466
BDS Ltd.
2021-FL8 C, 7.00% (1 Month Term SOFR + 1.66%, Rate Floor: 1.55%) due 01/18/36◊,2		2,000,000		1,921,104
2021-FL8 D, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 01/18/36◊,2		1,000,000		946,671
Woodmont Trust
2020-7A A1A, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 01/15/32◊,2		2,750,000		2,742,403
Cerberus Loan Funding XXXII, LP
2021-2A A, 7.19% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,2		2,500,000		2,469,264
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 7.29% (3 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 07/20/33◊,2		2,250,000		2,230,686
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,2		2,250,000		2,219,284
Cerberus Loan Funding XXXIII, LP
2021-3A A, 7.13% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33◊,2		2,250,000		2,216,049

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
MidOcean Credit CLO VII
2020-7A A1R, 6.61% (3 Month Term SOFR + 1.30%, Rate Floor: 0.00%) due 07/15/29◊,2	$	2,206,645	$	2,196,793
Shackleton CLO Ltd.
2017-8A A1R, 6.51% (3 Month Term SOFR + 1.18%, Rate Floor: 0.00%) due 10/20/27◊,2		2,174,601		2,171,170
Madison Park Funding LIII Ltd.
2022-53A B, 7.08% (3 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 04/21/35◊,2		1,750,000		1,708,700
Cerberus Loan Funding XXXI, LP
2021-1A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/15/32◊,2		1,680,701		1,673,560
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 6.87% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 04/15/31◊,2		1,637,890		1,628,503
Allegro CLO IX Ltd.
2018-3A A, 6.74% (3 Month Term SOFR + 1.43%, Rate Floor: 1.17%) due 10/16/31◊,2		1,500,000		1,496,026
BCC Middle Market CLO LLC
2021-1A A1R, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33◊,2		1,250,000		1,233,987
Greystone Commercial Real Estate Notes
2021-FL3 B, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 07/15/39◊,2		1,000,000		951,322
STWD Ltd.
2021-FL2 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 04/18/38◊,2		1,000,000		909,185
Wellfleet CLO Ltd.
2020-2A A1R, 6.65% (3 Month Term SOFR + 1.32%, Rate Floor: 0.00%) due 10/20/29◊,2		900,917		899,565
ACRE Commercial Mortgage Ltd.
2021-FL4 AS, 6.55% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 12/18/37◊,2		850,000		820,149
Cerberus Loan Funding XXXVI, LP
2021-6A A, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/22/33◊,2		710,254		708,145

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
LoanCore Issuer Ltd.
2019-CRE2 AS, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 05/15/36◊,2	$	708,165	$	692,895
Venture XIV CLO Ltd.
2020-14A ARR, 6.68% (3 Month Term SOFR + 1.29%, Rate Floor: 1.03%) due 08/28/29◊,2		664,314		662,896
Fortress Credit Opportunities VI CLO Ltd.
2018-6A A2R, 7.14% (3 Month Term SOFR + 1.86%, Rate Floor: 0.00%) due 07/10/30◊,2		250,000		246,927
2018-6A A1TR, 6.90% (3 Month Term SOFR + 1.62%, Rate Floor: 0.00%) due 07/10/30◊,2		167,680		165,557
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 7.26% (3 Month Term SOFR + 1.91%, Rate Floor: 0.00%) due 10/25/30◊,2		281,968		280,767
Voya CLO Ltd.
2019-2A X, 6.24% (3 Month Term SOFR + 0.91%, Rate Floor: 0.65%) due 07/20/32◊,2		93,750		93,731
Total Collateralized Loan Obligations				161,100,000
Financial - 2.6%
Madison Avenue Secured Funding Trust
2022-1, 7.18% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,†††,2		4,075,000		4,075,000
2023-1, 7.32% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 03/04/24◊,†††,2		2,450,000		2,450,000
Station Place Securitization Trust
2022-SP1, 7.18% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,†††,2		4,075,000		4,075,000
Madison Avenue Secured Funding Trust
due 10/15/24◊		1,800,000		1,800,000
Station Place Securitization Trust
due 10/15/24◊		900,000		900,000
Total Financial				13,300,000
Whole Business - 1.7%
Domino’s Pizza Master Issuer LLC
2018-1A, 4.33% due 07/25/482		4,276,725		3,970,216
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/512		3,193,125		2,760,993
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/502		1,329,750		1,150,478

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
SERVPRO Master Issuer LLC
2019-1A, 3.88% due 10/25/492	$	962,500	$	878,814
Total Whole Business				8,760,501
Transport-Container - 1.7%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/462		5,709,375		4,767,121
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/462		2,381,399		2,033,670
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/462		1,666,000		1,404,872
2020-1A, 2.73% due 08/21/452		592,508		538,186
Total Transport-Container				8,743,849
Net Lease - 1.5%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/502		6,416,479		5,687,766
CF Hippolyta Issuer LLC
2021-1A, 1.98% due 03/15/612		2,120,507		1,815,126
Total Net Lease				7,502,892
Transport-Aircraft - 0.9%
Raspro Trust
2005-1A, 6.18% (3 Month Term SOFR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,2		4,727,726		4,697,270
Total Asset-Backed Securities
(Cost $211,103,495)				204,104,512
CORPORATE BONDS†† - 22.6%
Financial - 11.1%
Athene Global Funding
5.87% (SOFR Compounded Index + 0.56%) due 08/19/24◊,2		11,000,000		10,892,196
F&G Global Funding
0.90% due 09/20/242		9,700,000		9,159,705
Credit Suisse AG NY
5.73% (SOFR Compounded Index + 0.39%) due 02/02/24◊		5,250,000		5,239,388
Macquarie Group Ltd.
1.20% due 10/14/252,3		5,250,000		4,978,148
Goldman Sachs Group, Inc.
6.02% (SOFR + 0.70%) due 01/24/25◊		2,600,000		2,591,108
Citigroup, Inc.
6.01% (SOFR + 0.69%) due 01/25/26◊		2,550,000		2,539,723
Jackson National Life Global Funding
1.75% due 01/12/252		2,600,000		2,441,210
Starwood Property Trust, Inc.
3.75% due 12/31/242		2,550,000		2,427,746
Bank of Nova Scotia
6.30% (SOFR Compounded Index + 0.96%) due 03/11/24◊		2,400,000		2,405,232
Morgan Stanley
6.26% (SOFR + 0.95%) due 02/18/26◊		2,400,000		2,402,390
FS KKR Capital Corp.
4.25% due 02/14/252		2,450,000		2,345,861

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/262	$	2,650,000	$	2,333,829
American Equity Investment Life Holding Co.
5.00% due 06/15/27		2,150,000		2,019,492
GA Global Funding Trust
1.63% due 01/15/262		1,300,000		1,160,376
OneMain Finance Corp.
3.50% due 01/15/27		1,150,000		984,687
Brighthouse Financial Global Funding
6.05% (SOFR + 0.76%) due 04/12/24◊,2		900,000		895,752
Peachtree Corners Funding Trust
3.98% due 02/15/252		650,000		627,505
ING Groep N.V.
6.53% (3 Month USD LIBOR + 1.00%) due 10/02/23◊		500,000		500,000
First American Financial Corp.
4.60% due 11/15/24		500,000		490,317
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/252		400,000		390,503
Apollo Management Holdings, LP
4.00% due 05/30/242		350,000		344,828
Total Financial				57,169,996
Industrial - 3.7%
Ryder System, Inc.
3.35% due 09/01/25		4,820,000		4,595,755
IP Lending V Ltd.
5.13% due 04/02/26†††,2		4,700,000		4,371,000
TD SYNNEX Corp.
1.25% due 08/09/24		2,400,000		2,292,802
Silgan Holdings, Inc.
1.40% due 04/01/262		2,350,000		2,084,463
Vontier Corp.
1.80% due 04/01/26		2,150,000		1,925,714
Jabil, Inc.
1.70% due 04/15/26		650,000		583,913
4.25% due 05/15/27		600,000		567,413
Berry Global, Inc.
1.65% due 01/15/27		1,100,000		945,471
Penske Truck Leasing Company LP / PTL Finance Corp.
2.70% due 11/01/242		900,000		866,372
Stericycle, Inc.
5.38% due 07/15/242		550,000		542,902
Weir Group plc
2.20% due 05/13/262		440,000		395,387
Total Industrial				19,171,192
Consumer, Non-cyclical - 2.7%
Global Payments, Inc.
1.50% due 11/15/24		5,700,000		5,414,274
Element Fleet Management Corp.
1.60% due 04/06/242		4,900,000		4,782,422
Triton Container International Ltd.
2.05% due 04/15/262		2,200,000		1,959,965
1.15% due 06/07/242		1,700,000		1,635,961
General Mills, Inc.
6.58% (3 Month Term SOFR + 1.27%) due 10/17/23◊		200,000		200,053
Total Consumer, Non-cyclical				13,992,675
Consumer, Cyclical - 1.7%
Warnermedia Holdings, Inc.
3.64% due 03/15/25		5,700,000		5,497,592
Hyatt Hotels Corp.
1.80% due 10/01/24		3,500,000		3,357,716
Total Consumer, Cyclical				8,855,308

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
Communications - 1.2%
Rogers Communications, Inc.
2.95% due 03/15/25	$	2,400,000	$	2,288,929
T-Mobile USA, Inc.
2.63% due 04/15/26		1,600,000		1,479,734
2.25% due 02/15/26		600,000		552,339
Paramount Global
4.75% due 05/15/25		982,000		955,120
Cogent Communications Group, Inc.
3.50% due 05/01/262		434,000		400,886
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
4.74% due 03/20/252		337,500		333,920
Total Communications				6,010,928
Technology - 1.1%
CDW LLC / CDW Finance Corp.
2.67% due 12/01/26		4,300,000		3,878,192
Qorvo, Inc.
1.75% due 12/15/242		2,050,000		1,926,115
Total Technology				5,804,307
Utilities - 0.9%
Alexander Funding Trust
1.84% due 11/15/232		4,300,000		4,271,573
AES Corp.
3.30% due 07/15/252		300,000		284,153
NRG Energy, Inc.
3.75% due 06/15/242		275,000		269,285
Total Utilities				4,825,011
Basic Materials - 0.2%
International Flavors & Fragrances, Inc.
1.23% due 10/01/252		540,000		484,055
Anglo American Capital plc
5.38% due 04/01/252		450,000		443,964
Total Basic Materials				928,019
Total Corporate Bonds
(Cost $122,909,822)				116,757,436
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 20.7%
Residential Mortgage-Backed Securities - 15.9%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/60◊,2		5,057,819		4,655,570
2021-RPL7, 1.93% (WAC) due 07/27/61◊,2		2,220,941		2,032,568
2020-RPL5, 3.02% (WAC) due 08/25/60◊,2		1,875,957		1,841,724
2021-RPL4, 1.80% (WAC) due 12/27/60◊,2		1,284,322		1,195,716
2020-NQM1, 1.21% due 05/25/652,4		1,136,804		1,013,629
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/612,4		7,447,977		6,547,185
2022-R1, 3.13% due 01/29/702,4		2,849,095		2,552,858
2021-HE1, 6.17% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,2		804,629		797,695

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
2021-HE2, 6.17% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,2	$	367,881	$	361,886
PRPM LLC
2021-5, 1.79% due 06/25/262,4		3,338,442		3,079,191
2022-1, 3.72% due 02/25/272,4		3,195,920		3,059,090
2021-RPL2, 2.24% (WAC) due 10/25/51◊,2		2,000,000		1,545,877
2021-8, 1.74% (WAC) due 09/25/26◊,2		1,670,951		1,532,185
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/612,4		7,402,216		6,706,541
2022-SP1, 5.25% due 07/25/622,4		1,816,387		1,752,289
Legacy Mortgage Asset Trust
2021-GS4, 1.65% due 11/25/602,4		3,173,026		2,872,248
2021-GS3, 1.75% due 07/25/612,4		3,078,562		2,867,061
2021-GS2, 1.75% due 04/25/612,4		1,423,377		1,314,706
2021-GS5, 2.25% due 07/25/672,4		936,860		864,487
Verus Securitization Trust
2021-5, 1.37% (WAC) due 09/25/66◊,2		2,049,583		1,611,759
2021-6, 1.89% (WAC) due 10/25/66◊,2		1,791,698		1,422,269
2020-5, 1.22% due 05/25/652,4		1,495,511		1,372,894
2021-4, 1.35% (WAC) due 07/25/66◊,2		990,611		746,492
2021-3, 1.44% (WAC) due 06/25/66◊,2		593,994		489,780
2019-4, 2.85% due 11/25/592,4		401,773		382,984
2020-1, 2.42% due 01/25/602,4		305,467		287,714
2019-4, 2.64% due 11/25/592,4		199,120		189,571
OSAT Trust
2021-RPL1, 2.12% due 05/25/652,4		6,587,095		6,037,794
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,2		4,220,250		3,703,708
Towd Point Revolving Trust
4.83% due 09/25/645		3,250,000		3,159,813
CFMT LLC
2022-HB9, 3.25% (WAC) due 09/25/37◊		2,315,720		2,072,382
2021-HB5, 0.80% (WAC) due 02/25/31◊,2		1,069,482		1,044,060
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 6.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊		1,881,970		1,782,005
New Residential Mortgage Loan Trust
2019-1A, 3.50% (WAC) due 10/25/59◊,2		1,064,781		968,354
2018-2A, 3.50% (WAC) due 02/25/58◊,2		626,588		566,938

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
LSTAR Securities Investment Ltd.
2021-1, 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/26◊,5	$	1,320,857	$	1,296,390
CSMC
2021-NQM8, 2.41% (WAC) due 10/25/66◊,2		1,570,620		1,242,127
Angel Oak Mortgage Trust
2022-1, 3.29% (WAC) due 12/25/66◊,2		1,450,360		1,197,227
Soundview Home Loan Trust
2006-OPT5, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊		1,188,657		1,115,205
Towd Point Mortgage Trust
2018-2, 3.25% (WAC) due 03/25/58◊,2		392,443		374,885
2017-6, 2.75% (WAC) due 10/25/57◊,2		338,174		320,807
2017-5, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.00%) due 02/25/57◊,2		107,128		107,557
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,2		825,735		752,037
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 6.00% (1 Month Term SOFR + 0.68%, Rate Floor: 0.57%) due 12/25/35◊		518,990		508,853
Ellington Financial Mortgage Trust
2020-2, 1.49% (WAC) due 10/25/65◊,2		362,205		318,348
2020-2, 1.64% (WAC) due 10/25/65◊,2		208,644		185,648
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 6.17% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35◊		512,085		494,684
SG Residential Mortgage Trust
2022-1, 3.68% (WAC) due 03/27/62◊,2		450,576		384,495
Banc of America Funding Trust
2015-R2, 5.69% (1 Month Term SOFR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,2		382,290		374,695
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 01/26/60◊,2		354,554		335,221
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/60◊,2		325,284		289,789

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
CSMC Series
2014-2R, 3.56% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 02/27/46◊,2	$	201,236	$	199,624
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/69◊,5		112,504		109,108
CIT Mortgage Loan Trust
2007-1, 6.78% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 10/25/37◊,2		86,810		86,627
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/50◊,2		48,486		44,135
Total Residential Mortgage-Backed Securities				82,168,485
Commercial Mortgage-Backed Securities - 4.8%
BX Commercial Mortgage Trust
2021-VOLT, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,2		10,250,000		9,777,128
2022-LP2, 6.89% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,2		2,146,684		2,068,521
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 6.99% (1 Month Term SOFR + 1.65%, Rate Floor: 1.54%) due 06/15/38◊,2		2,700,000		2,374,557
Life Mortgage Trust
2021-BMR, 6.55% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 03/15/38◊,2		2,408,277		2,338,688
WMRK Commercial Mortgage Trust
2022-WMRK, 8.77% (1 Month Term SOFR + 3.44%, Rate Floor: 3.44%) due 11/15/27◊,2		2,100,000		2,097,351
MHP
2022-MHIL, 6.60% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,2		1,457,488		1,409,947
BXHPP Trust
2021-FILM, 6.55% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36◊,2		1,500,000		1,353,072
Morgan Stanley Capital I Trust
2018-H3, 0.96% (WAC) due 07/15/51◊,6		38,830,032		1,124,731
Citigroup Commercial Mortgage Trust
2019-GC41, 1.17% (WAC) due 08/10/56◊,6		24,552,812		959,799

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

	Face Amount		Value
BENCHMARK Mortgage Trust
2019-B14, 0.90% (WAC) due 12/15/62◊,6	$	34,410,163	$	955,130
JPMDB Commercial Mortgage Securities Trust
2018-C8, 0.77% (WAC) due 06/15/51◊,6		21,284,691		415,234
Total Commercial Mortgage-Backed Securities				24,874,158
Total Collateralized Mortgage Obligations
(Cost $117,041,345)				107,042,643
FEDERAL AGENCY DISCOUNT NOTES†† - 14.5%
Federal Home Loan Bank
5.20% due 10/02/237		74,835,000		74,824,191
Total Federal Agency Discount Notes
(Cost $74,824,191)				74,824,191
SENIOR FLOATING RATE INTERESTS††,◊ - 0.5%
Industrial - 0.3%
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27		1,650,000		1,712,057
Energy - 0.1%
ITT Holdings LLC
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/10/28		482,160		480,853
Consumer, Non-cyclical - 0.1%
Outcomes Group Holdings, Inc.
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/24/25		293,579		291,691
Total Senior Floating Rate Interests
(Cost $2,487,584)				2,484,601
Total Investments — 99.9%
(Cost $538,432,838)			$	515,279,784
Other Assets & Liabilities, net — 0.1%				301,190
Total Net Assets — 100.0%			$	515,580,974

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate	Payment Frequency
BofA Securities, Inc.	CME	Receive	U.S. Secured Overnight Financing Rate	1.10%	Annually

Counterparty	Maturity Date	Notional Amount		Value		Upfront Premiums Paid		Unrealized Appreciation**
BofA Securities, Inc.	01/10/25	$	61,000,000	$	3,168,127	$	122	$	3,168,005

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION 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, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Rate indicated is the 7-day yield as of September 30, 2023.
2	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 $357,503,903 (cost $376,769,976), or 69.3% of total net assets.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	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 September 30, 2023. See table below for additional step information for each security.
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 $4,565,311 (cost $4,683,341), or 0.9% of total net assets — See Note 8.
6	Security is an interest-only strip.
7	Rate indicated is the effective yield at the time of purchase.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SOFR — Secured Overnight Financing Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
ULTRA SHORT DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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
Money Market Fund	$	10,066,401	$	—	$	—	$	10,066,401
Asset-Backed Securities		—		193,504,512		10,600,000		204,104,512
Corporate Bonds		—		112,386,436		4,371,000		116,757,436
Collateralized Mortgage Obligations		—		107,042,643		—		107,042,643
Federal Agency Discount Notes		—		74,824,191		—		74,824,191
Senior Floating Rate Interests		—		2,484,601		—		2,484,601
Interest Rate Swap Agreements**		—		3,168,005		—		3,168,005
Total Assets	$	10,066,401	$	493,410,388	$	14,971,000	$	518,447,789

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

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 September 30, 2023			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	10,600,000	Third Party Pricing		Broker Quote		—		—
Corporate Bonds		4,371,000	Third Party Pricing		Broker Quote		—		—
Total Assets	$	14,971,000

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 year ended September 30, 2023, the Fund had securities with a total value of $8,150,000 transfer into Level 3 from Level 2 due to a lack of observable inputs.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
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 year ended September 30, 2023:

	Assets												Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	5,347,691		$	4,327,633		$	4,448,673		$	14,123,997		$	(2,326	)
Purchases/(Receipts)		2,450,000			—			—			2,450,000			1,378
(Sales, maturities and paydowns)/Fundings		(5,350,000	)		(4,550,000	)		—			(9,900,000	)		875
Amortization of premiums/discounts		—			22			—			22			—
Total realized gains (losses) including in earnings		—			—			—			—			(2,020	)
Total change in unrealized appreciation (depreciation) included in earnings		2,309			222,345			(77,673	)		146,981			2,093
Transfers into Level 3		8,150,000			—			—			8,150,000			—
Transfers out of Level 3		—			—			—			—			—
Ending Balance	$	10,600,000		$	—		$	4,371,000		$	14,971,000		$	—
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	—		$	—		$	(77,673	)	$	(77,673	)	$	—

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
ULTRA SHORT 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		Future Reset Rate(s)			Future Reset Date(s)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/25/24		5.62	%		09/25/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65		2.21	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/25/24		5.75	%		05/25/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60		4.65	%		08/25/24		5.65	%		08/25/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/25/24		6.25	%		11/25/25
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/25/24		5.75	%		04/25/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61		4.67	%		08/01/24		5.67	%		08/01/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/25/24		6.12	%		06/25/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/25/24		5.79	%		06/25/25
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		—			—
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23		—			—
Verus Securitization Trust 2020-5, 1.22% due 05/25/65		2.22	%		10/26/24		—			—

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

STATEMENT OF ASSETS AND LIABILITIES

ULTRA SHORT DURATION FUND

September 30, 2023

Assets:
Investments, at value (cost $538,432,838)	$	515,279,784
Unamortized upfront premiums paid on interest rate swap agreements		122
Prepaid expenses		27,641
Receivables:
Interest		3,048,317
Variation margin on interest rate swap agreements		1,714,423
Fund shares sold		466,558
Total assets		520,536,845
Liabilities:
Overdraft due to custodian bank		38,490
Segregated cash due to broker		985,143
Payable for:
Securities purchased		2,700,000
Fund shares redeemed		633,524
Distributions to shareholders		324,342
Management fees		84,905
Transfer agent fees		64,369
Distribution and service fees		20,011
Fund accounting and administration fees		19,368
Trustees’ fees*		2,047
Miscellaneous		83,672
Total liabilities		4,955,871
Net assets	$	515,580,974
Net assets consist of:
Paid in capital	$	540,203,199
Total distributable earnings (loss)		(24,622,225	)
Net assets	$	515,580,974
A-Class:
Net assets	$	96,348,196
Capital shares outstanding		9,877,599
Net asset value per share	$	9.75
Institutional Class:
Net assets	$	419,232,778
Capital shares outstanding		42,987,454
Net asset value per share	$	9.75

* 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 ANNUAL REPORT | 31

STATEMENT OF OPERATIONS

ULTRA SHORT DURATION FUND

Year Ended September 30, 2023

Investment Income:
Interest	$	24,869,115
Total investment income		24,869,115
Expenses:
Management fees		1,421,922
Distribution and service fees:
A-Class		271,104
Transfer agent and administrative fees		12,001
Transfer agent/maintenance fees:
A-Class		85,838
Institutional Class		164,989
Fund accounting/administration fees		180,007
Registration fees		129,428
Professional fees		116,438
Custodian fees		38,358
Line of credit fees		30,753
Trustees’ fees*		23,077
Interest expense		15,932
Miscellaneous		35,206
Recoupment of previously waived fees:
A-Class		2,014
Institutional Class		6,405
Total expenses		2,533,472
Less: Expenses reimbursed by Adviser:
A-Class		(83,064	)
Institutional Class		(152,248	)
Expenses waived by Adviser		(89,963	)
Earnings credits applied		(5,118	)
Total waived/reimbursed expenses		(330,393	)
Net expenses		2,203,079
Net investment income		22,666,036
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(8,168,442	)
Swap agreements		8,571,752
Forward foreign currency exchange contracts		798,911
Foreign currency transactions		(215	)
Net realized gain		1,202,006
Net change in unrealized appreciation (depreciation) on:
Investments		19,244,100
Swap agreements		(6,024,955	)
Forward foreign currency exchange contracts		(798,908	)
Net change in unrealized appreciation (depreciation)		12,420,237
Net realized and unrealized gain		13,622,243
Net increase in net assets resulting from operations	$	36,288,279

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

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

STATEMENTS OF CHANGES IN NET ASSETS

ULTRA SHORT DURATION FUND

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	22,666,036		$	13,162,218
Net realized gain (loss) on investments		1,202,006			(1,760,878	)
Net change in unrealized appreciation (depreciation) on investments		12,420,237			(33,327,821	)
Net increase (decrease) in net assets resulting from operations		36,288,279			(21,926,481	)
Distributions to shareholders:
A-Class		(4,918,176	)		(2,015,323	)
Institutional Class		(21,914,210	)		(10,986,326	)
Total distributions to shareholders		(26,832,386	)		(13,001,649	)
Capital share transactions:
Proceeds from sale of shares
A-Class		10,686,656			104,918,065
Institutional Class		119,682,982			393,611,176
Distributions reinvested
A-Class		4,830,340			2,012,411
Institutional Class		17,231,019			9,182,432
Cost of shares redeemed
A-Class		(53,521,575	)		(156,307,680	)
Institutional Class		(342,903,679	)		(638,832,395	)
Net decrease from capital share transactions		(243,994,257	)		(285,415,991	)
Net decrease in net assets		(234,538,364	)		(320,344,121	)
Net assets:
Beginning of year		750,119,338			1,070,463,459
End of year	$	515,580,974		$	750,119,338
Capital share activity:
Shares sold
A-Class		1,102,052			10,591,356
Institutional Class		12,352,609			39,950,301
Shares issued from reinvestment of distributions
A-Class		497,546			206,643
Institutional Class		1,775,408			942,256
Shares redeemed
A-Class		(5,533,062	)		(15,890,287	)
Institutional Class		(35,519,480	)		(65,020,480	)
Net decrease in shares		(25,324,927	)		(29,220,211	)

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

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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019a
Per Share Data
Net asset value, beginning of period	$	9.60		$	9.97		$	9.98		$	9.97		$	10.00
Income (loss) from investment operations:
Net investment income (loss)b		.37			.12			.06			.12			.17
Net gain (loss) on investments (realized and unrealized)		.23			(.37	)		—			.03			.02	h
Total from investment operations		.60			(.25	)		.06			.15			.19
Less distributions from:
Net investment income		(.45	)		(.12	)		(.07	)		(.14	)		(.21	)
Net realized gains		—			—			—			—			(.01	)
Total distributions		(.45	)		(.12	)		(.07	)		(.14	)		(.22	)
Net asset value, end of period	$	9.75		$	9.60		$	9.97		$	9.98		$	9.97
Total Return		6.32	%		(2.49	%)		0.62	%		1.52	%		1.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	96,348		$	132,518		$	188,416		$	62,956		$	31,154
Ratios to average net assets:
Net investment income (loss)		3.80	%		1.18	%		0.63	%		1.20	%		2.05	%
Total expensesd		0.68	%		0.65	%		0.63	%		0.65	%		0.61	%
Net expensese,f,g		0.59	%		0.59	%		0.59	%		0.61	%		0.58	%
Portfolio turnover rate		2	%		24	%		122	%		129	%		55	%

34 | THE GUGGENHEIM FUNDS 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	Year Ended Sept. 30, 2023			Year Ended Sept. 30, 2022			Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019c
Per Share Data
Net asset value, beginning of period	$	9.59		$	9.97		$	9.98		$	9.96		$	10.01
Income (loss) from investment operations:
Net investment income (loss)b		.39			.14			.09			.15			.28
Net gain (loss) on investments (realized and unrealized)		.24			(.37	)		—			.04			(.04	)
Total from investment operations		.63			(.23	)		.09			.19			.24
Less distributions from:
Net investment income		(.47	)		(.15	)		(.10	)		(.17	)		(.28	)
Net realized gains		—			—			—			—			(.01	)
Total distributions		(.47	)		(.15	)		(.10	)		(.17	)		(.29	)
Net asset value, end of period	$	9.75		$	9.59		$	9.97		$	9.98		$	9.96
Total Return		6.70	%		(2.34	%)		0.87	%		1.88	%		2.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	419,233		$	617,601		$	882,047		$	440,356		$	423,414
Ratios to average net assets:
Net investment income (loss)		4.03	%		1.44	%		0.88	%		1.47	%		2.54	%
Total expensesd		0.39	%		0.36	%		0.34	%		0.38	%		0.30	%
Net expensese,f,g		0.34	%		0.34	%		0.34	%		0.36	%		0.29	%
Portfolio turnover rate		2	%		24	%		122	%		129	%		55	%

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

FINANCIAL HIGHLIGHTS (concluded)

ULTRA SHORT DURATION FUND

a	Since commencement of operations: November 30, 2018. 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	The per share data for the years ended September 30, 2017 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.
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:

	09/30/23			09/30/22			09/30/21			09/30/20			09/30/19
A-Class		0.00	%*		0.01	%		0.00	%*		0.00	%*		—
Institutional Class		0.00	%*		0.01	%		0.01	%		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 years presented would be:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.58%	0.58%	0.58%	0.58%	0.58%
Institutional Class	0.33%	0.33%	0.33%	0.33%	0.29%

^h 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.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940 (the “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 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At September 30, 2023, A-Class and Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor for the Fund’s shares. GI and GFD are affiliated entities.

Pursuant to an investment Sub-Advisory Agreement between GPIM and Guggenheim Partners Advisors, LLC (“GPA”), that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment subadvisory services to the Fund. GPA operated as an investment sub-advisor to the Fund from April 29, 2022 to December 22, 2022.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

NOTES TO FINANCIAL STATEMENTS (continued)

GPA, under the oversight of the Board and GPIM, assisted GPIM in the supervision and direction of the investment strategies of the Fund in accordance with its investment policies. As compensation for its services, GPIM paid GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of 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 each share 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 share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The Adviser, consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

U.S. Government securities are valued by pricing service providers, the last traded fill price, or at the reported bid price at the close of business.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service provider.

Typically, loans are valued using information provided by a pricing service provider which uses broker quotes, among other inputs. If the pricing service provider 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 Adviser.

Interest rate swap agreements entered into by the Fund are valued on the basis of the last sale price on the primary exchange on which the swap is traded.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

NOTES TO FINANCIAL STATEMENTS (continued)

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Adviser. 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 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) a broad measure of the cost of borrowing cash, such as the one-month or three-month Secured Overnight Financing Rate (“SOFR”), (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. Recently, 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)

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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) 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.

(f) 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, geopolitical or economic developments, all of which could affect the market and/or credit risk of the investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

NOTES TO FINANCIAL STATEMENTS (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.

(g) 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.

(h) 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 the Fund’s 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 September 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(i) 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.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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.

(j) 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.

(k) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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.

(l) 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 year ended September 30, 2023, are disclosed in the Fund’s Statement of Operations.

(m) 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 5.33% at September 30, 2023.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS (continued)

(n) 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 a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Fund’s Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which 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.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

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.

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
Hedge, Income	$	9,000,000	$	123,250,000

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 GUGGENHEIM FUNDS ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (continued)

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	$	769,631	$	769,631

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest Rate Swap Agreements	Unamortized upfront premiums paid on Interest rate swap agreements	—
	Variation margin on interest rate swapAgreements

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2023:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Total Value at September 30, 2023
	$	3,168,005	$	3,168,005

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Fund’s Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Fund’s 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 year ended September 30, 2023:

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

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (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 Fund’s Statement of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
	Swaps Interest Rate Risk		Forward Foreign Currency Exchange Risk		Total
	$	8,571,752	$	798,911	$	9,370,663

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
	Swaps Interest Rate Risk			Forward Foreign Currency Exchange Risk			Total
	$	(6,024,955	)	$	(798,908	)	$	(6,823,863	)

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 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 ANNUAL REPORT | 47

NOTES TO FINANCIAL STATEMENTS (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.

48 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (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 Fund’s 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 Fund’s Statement of Assets and Liabilities.

At September 30, 2023, the Fund held no derivative financial instruments or secured financing transactions subject to enforceable netting arrangements.

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 September 30, 2023.

Counterparty		Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Interest rate swap agreements		$	—	$	985,143

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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NOTES TO FINANCIAL STATEMENTS (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.

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.

Pricing service providers are used to value a majority of the Fund’s investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

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NOTES TO FINANCIAL STATEMENTS (continued)

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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 Board has adopted Distribution Plans related to the offering of A-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 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
Ultra Short Duration Fund - A-Class		0.58	%		11/30/18		02/01/25
Ultra Short Duration Fund - Institutional Class		0.33	%		11/30/18		02/01/25

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 September 30, 2023, 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:

	2024		2025		2026		Fund Total
A-Class	$	36,209	$	105,228	$	100,752	$	242,189
Institutional Class		—		178,138		224,523		402,661

For the year ended September 30, 2023, GI recouped $8,419 from the Fund.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 relating to sales of A-Class shares of the Trust.

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NOTES TO FINANCIAL STATEMENTS (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 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.

At September 30 2023, GI and its affiliates owned 42% 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 of 1986, as amended (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.

The tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	26,832,386	$	—	$	26,832,386

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	13,001,649	$	—	$	13,001,649

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	1,629,987	$	—	$	(20,056,085	)	$	(3,865,220	)	$	(2,330,907	)	$	(24,622,225	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited						Total Capital Loss Carryforward
	Short-Term			Long-Term
$	(1,214,252	)	$	(2,650,968	)	$	(3,865,220	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, and paydown reclasses. Additional differences may result from the tax treatment of bond premium/discount amortization and dividends payable. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences.

At September 30, 2023, 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:

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NOTES TO FINANCIAL STATEMENTS (continued)

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	538,503,874	$	3,281,555	$	(23,337,640	)	$	(20,056,085	)

Note 7 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	8,196,207	$	224,382,724

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 year ended September 30, 2023, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

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	$	112,495	$	109,108
LSTAR Securities Investment Ltd.
2021-1 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/261		02/04/21		1,320,857		1,296,390
Towd Point Revolving Trust
4.83% due 09/25/64		03/17/22		3,249,989		3,159,813
			$	4,683,341	$	4,565,311

¹ Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time the a new line of credit was entered into in the amount of $1,165,000,000. The 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”, SOFR 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 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 Fund’s Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

Note 10 – Reverse Repurchase Agreements

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

For the year ended September 30, 2023, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding		Balance at September 30, 2023			Average Balance Outstanding		Average Interest Rate
	15	$	—	*	$	9,479,767		4.09	%

* As of September 30, 2023, there were no open reverse repurchase agreements.

Note 11 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence

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NOTES TO FINANCIAL STATEMENTS (concluded)

or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 12 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Ultra Short Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Ultra Short Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, brokers, and paying agents; when replies were not received from brokers, we performed other auditing procedures.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Interest Income
	54.88	%

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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

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OTHER INFORMATION (Unaudited)(continued)

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.

Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	● Guggenheim Core Bond Fund (“Core Bond Fund”)*
● Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
● Guggenheim High Yield Fund (“High Yield Fund”)*	● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
● Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**1
● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	● Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	● Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

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OTHER INFORMATION (Unaudited)(continued)

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian

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and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

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certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

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Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations to structured credit during the second half of 2022, which

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underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third

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quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

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The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

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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 - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 - continued
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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

76 | THE GUGGENHEIM FUNDS 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
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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’ Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing Director, Guggenheim Investments (2012-present).

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

Name, Address* and Year of Birth	Position(s) Held with 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); Senior Managing Director, 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
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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.

80 | THE GUGGENHEIM FUNDS 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

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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.

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2023

Guggenheim Funds Annual Report

Guggenheim Limited Duration Fund

GuggenheimInvestments.com LD-ANN-0923x0924

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
LIMITED DURATION FUND	8
NOTES TO FINANCIAL STATEMENTS	36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	54
OTHER INFORMATION	55
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	64
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	70
LIQUIDITY RISK MANAGEMENT PROGRAM	73

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2023

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“Investment Adviser”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (“Fund”) for the annual fiscal period ended September 30, 2023 (“Reporting Period”).

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, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2023

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.

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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2023

Faced with a series of strong economic data releases, the market increasingly appears to be coming to the conclusion that the economy is structurally better able to withstand higher interest rates than it really is. This dynamic can be seen by examining the move in Treasury yields, with the selloff almost entirely being due to real yields rather than inflation expectations, and with the move most pronounced at the long end of the yield curve. Digging further, however, a large portion of this shift is due to a rising term premium (the premium for unknown and unquantified risks in the future, beyond current assumptions on the path of inflation or policy rates), which is indicating greater uncertainty about the outlook.

Many forecasters are extrapolating the current year’s economic strength without recognizing the fact that growth has benefited from a number of factors this year that are unlikely to be repeated, namely an expansion of the fiscal deficit, a slowdown in inflation, and a rebound in labor supply. As these factors fade, the headwinds from tight monetary policy may be more apparent and pronounced. And the longer monetary conditions stay tight, the greater the risk of something breaking (banks and commercial real estate remain key risks). All of this suggests that the recent economic trajectory cannot be assumed to continue, especially given the substantial restraint that could be imposed by the recent rise in long-term borrowing costs.

Uncertainty is elevated given the diverging signals in the data and the fact that many traditional economic models are not “working” as they traditionally would. This uncertainty extends to the U.S. Federal Reserve, which looks set to hold off on further rate hikes while it waits to see if the data start to align with the softening conditions policymakers say they are hearing on the ground. We continue to think the gravitational pull of tight money and credit conditions could result in a slowing economy and cooler inflation over the next year, paving the way for more rate cuts than the market presently expects.

For the Reporting Period, the S&P 500^® Index* returned 21.62%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 25.65%. The return of the MSCI Emerging Markets Index* was 11.70%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a 0.64% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned 10.28%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 4.50% for the Reporting 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 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 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 U.S. Aggregate Bond 1-3 Year Total Return 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 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

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

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

S&P 500^® Index is a 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 ANNUAL REPORT | 3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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 March 31, 2023 and ending September 30, 2023.

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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1			Fund Return			Beginning Account Value March 31, 2023		Ending Account Value September 30, 2023		Expenses Paid During Period2
Table 1. Based on actual Fund return3
Limited Duration Fund
A-Class		0.74	%		1.33	%	$	1,000.00	$	1,013.30	$	3.73
C-Class		1.50	%		0.95	%		1,000.00		1,009.50		7.56
P-Class		0.74	%		1.33	%		1,000.00		1,013.30		3.73
Institutional Class		0.49	%		1.46	%		1,000.00		1,014.60		2.47
R6-Class		0.45	%		1.48	%		1,000.00		1,014.80		2.27
Table 2. Based on hypothetical 5% return (before expenses)
Limited Duration Fund
A-Class		0.74	%		5.00	%	$	1,000.00	$	1,021.36	$	3.75
C-Class		1.50	%		5.00	%		1,000.00		1,017.55		7.59
P-Class		0.74	%		5.00	%		1,000.00		1,021.36		3.75
Institutional Class		0.49	%		5.00	%		1,000.00		1,022.61		2.48
R6-Class		0.45	%		5.00	%		1,000.00		1,022.81		2.28

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 ratio for the Fund would be 0.72%, 1.48%, 0.72%, 0.47% and 0.44% 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 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2023 to September 30, 2023.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

MANAGERS’ COMMENTARY (Unaudited) September 30, 2023

To Our Shareholders

Guggenheim Partners Investment Management, LLC (“GPIM”) serves as the investment adviser to Guggenheim Limited Duration Fund (“Fund”). The Fund is managed by a team of seasoned professionals at GPIM, including Anne B. Walsh, CFA, JD, Chief Investment Officer and Managing Partner; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, Senior Managing Director, and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2023 (“Reporting Period”).

For the Reporting Period, the Fund returned 5.31%¹, outperforming the Bloomberg U.S. Aggregate Bond 1-3 Year Index, the Fund’s benchmark (“Benchmark”), which returned 2.80% for the same period.

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

For the Reporting Period, the Fund outperformed the Benchmark by 2.51 percentage points. Carry, or earned income, remained a consistent source of relative performance for the Fund. Spreads also added to performance relative the Benchmark. A combination of the Fund’s allocation and selection biases within corporates and the Fund’s allocation to securitized credit drove most of the active performance versus the Benchmark. Duration contributed on a relative basis, largely driven by curve positioning.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, credit exposure, and generate incremental income. Over the Reporting Period, interest rate curve caps and interest rate swaps detracted from performance, whereas SOFR futures were incrementally positive (SOFR is Secured Overnight Financing Rate, which measures the cost of borrowing cash overnight collateralized by Treasury Securities). Options on equities which functioned as hedges to the Fund’s credit positioning detracted from performance. Performance from credit default swaps was a minor detractor to overall performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which were detractors from performance.

How was the Fund positioned at the end of the Reporting Period?

Over the past several quarters the Fund has increasingly prioritized diversification, quality, and liquidity as recession concerns continued to persist. The Fund has steadily moved up-in-quality and more defensively, uniquely, without having to sacrifice yield due to the move higher in interest rates. While spreads for many credit sectors have recovered to long-term-average levels, certain segments remain dislocated and offer attractive relative value. Structured credit spreads are especially cheap, with valuations currently north of the 90th percentile versus current corporate spreads.

Structured credit is the largest allocation in the Fund. Spreads continued their rebound, but broadly remain wide, both compared to similarly rated investment-grade corporate credit and in an absolute sense. Furthermore, the lower dollar prices of these assets following the rise in interest rates sets up the potential for higher total return opportunities than typically exists in the asset class. With much of its active buying base largely coming from income-focused accounts, structured credit spreads should continue to compress from the resetting higher of yields and the resulting increased interest that comes with it. Within securitized credit, we continue to focus on opportunities senior in the capital structure with sufficient credit enhancement and often unique structural features that limit cash flow variability or extension concerns. We believe the focus on superior structures will be paramount in helping mitigate mark-to-market risks that could emerge should volatility rise.

The corporate credit allocation, which represents roughly 28% of the Fund’s holdings, has increasingly shifted higher quality. About 23% is in investment-grade-rated corporate credit, and 5% is in below-investment-grade rated corporate credit, which are broadly weighted toward BB-rated securities. While in our view, overall corporate credit spreads are trading around fair value levels, there remain both idiosyncratic opportunities and risks across certain issuers and industries given tighter credit conditions across capital markets. Primary market offerings have priced at especially attractive levels as many investors have pulled back from lending activities. The Fund has employed modestly sized credit hedges to protect the portfolio from potential spread widening.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2023

At the end of the Reporting Period, the Fund had a duration of 1.9 years, unchanged versus the end of the previous Reporting Period. Interest rate volatility remains elevated, which has presented the Fund with opportunities to tactically add to positions in Agency residential mortgage-backed securities (“RMBS”), locking in spreads, both static and option adjusted, that are near 15-year wides. Lastly, the Fund ended the period with 10% in cash and cash equivalents. Elevated yields on short duration products have made it more attractive to hold higher balances of liquidity with the added benefit of giving the Fund dry powder to take advantage of future market opportunities.

Despite the quarter ended September 30, 2023 continuing a trend of volatility for fixed income returns, our broader macroeconomic views from a fundamental perspective remain consistent. We continue to expect inflation to moderate with time and view the market’s increasingly optimistic expectations of a soft landing as misguided. Looking further out into the economic future, we believe the Fed’s restrictive monetary policy could ultimately shepherd in a recession in the next 6-18 months, which we believe will likely be met with lower rates. Ultimately, the current path of weakening growth, high prices, and high interest rates appears unsustainable, and we are already starting to see signs of pressure on consumers and levered corporate borrowers, which could call into question any soft-landing narrative.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, 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 Guggenheim Investments. 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 Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the Reporting Period investment in the Short Term Investment Vehicles contributed to Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast 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 ANNUAL REPORT | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2023

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	36.5%
AA	7.4%
A	18.4%
BBB	16.6%
BB	4.6%
B	1.1%
CCC	0.5%
CC	0.3%
NR2	8.9%
Other Instruments	5.7%
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
U.S. Treasury Notes, 4.75%	4.9%
U.S. Treasury Notes, 4.63%	2.4%
THL Credit Lake Shore MM CLO I Ltd., 7.27%	1.2%
Freddie Mac, 5.00%	1.0%
F&G Global Funding, 0.90%	1.0%
Freddie Mac, 5.50%	0.9%
OSAT Trust, 2.12%	0.9%
Golub Capital Partners CLO 49M Ltd., 7.12%	0.9%
Oak Street Investment Grade Net Lease Fund Series, 1.85%	0.8%
Freddie Mac, 5.00%	0.8%
Top Ten Total	14.8%
“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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2023

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2023

	1 Year	5 Year	Since Inception (12/16/13)
A-Class Shares	5.31%	1.51%	1.97%
A-Class Shares with sales charge†	2.92%	1.05%	1.73%
C-Class Shares	4.48%	0.76%	1.20%
C-Class Shares with CDSC‡	3.48%	0.76%	1.20%
Institutional Class Shares	5.53%	1.77%	2.23%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	2.80%	1.16%	1.00%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	5.31%	1.51%	1.86%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	2.80%	1.16%	1.00%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	5.60%	1.80%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	2.80%	0.84%

*	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 U.S. Aggregate Bond 1-3 Year Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
†	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 ANNUAL REPORT | 9

SCHEDULE OF INVESTMENTS	September 30, 2023
LIMITED DURATION FUND

	Shares		Value
COMMON STOCKS† - 0.0%
Communications - 0.0%
Vacasa, Inc. — Class A*		81,407	$	37,537
Total Common Stocks
(Cost $813,108)				37,537
PREFERRED STOCKS†† - 0.5%
Financial - 0.5%
Wells Fargo & Co.
3.90%		12,100,000		10,567,515
MetLife, Inc.
3.85%		4,620,000		4,273,903
Markel Group, Inc.
6.00%		4,085,000		3,943,339
American Equity Investment Life Holding Co.
5.95%1		8,000		180,240
Total Financial				18,964,997
Total Preferred Stocks
(Cost $20,988,535)				18,964,997
WARRANTS† - 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 09/16/26		19,663		4,424
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/262		28,866		1,732
Total Warrants
(Cost $69,361)				6,156
MUTUAL FUNDS† - 2.3%
Guggenheim Strategy Fund III3		1,287,372		31,270,271
Guggenheim Strategy Fund II3		1,284,978		31,186,426
Guggenheim Ultra Short Duration Fund — Institutional Class3		3,124,485		30,463,724
Total Mutual Funds
(Cost $93,876,872)				92,920,421
MONEY MARKET FUND† - 2.0%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%4		81,400,025		81,400,025
Total Money Market Fund
(Cost $81,400,025)				81,400,025

	Face Amount~
ASSET-BACKED SECURITIES†† - 32.6%
Collateralized Loan Obligations - 21.4%
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 7.27% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 04/15/33◊,5		48,500,001	47,837,898
2021-1A A2R, 7.42% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 04/15/33◊,5		6,250,000	6,127,636
BXMT Ltd.
2020-FL2 A, 6.35% (1 Month Term SOFR + 1.01%, Rate Floor: 1.01%) due 02/15/38◊,5		17,124,254	16,273,433
2020-FL2 AS, 6.60% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 02/15/38◊,5		14,310,000	13,039,331
2020-FL3 AS, 7.20% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 11/15/37◊,5		4,500,000	4,209,538
2020-FL3 B, 7.60% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 11/15/37◊,5		2,000,000	1,786,177
2020-FL2 B, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 02/15/38◊,5		2,000,000	1,743,011
Golub Capital Partners CLO 49M Ltd.
2021-49A AR, 7.12% (3 Month Term SOFR + 1.53%, Rate Floor: 1.53%) due 08/26/33◊,5		36,500,000	35,833,776
ABPCI Direct Lending Fund IX LLC
2021-9A A1R, 7.02% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/18/31◊,5		30,750,000	30,394,127
Golub Capital Partners CLO 54M, LP
2021-54A A, 7.16% (3 Month Term SOFR + 1.79%, Rate Floor: 1.53%) due 08/05/33◊,5		29,000,000	28,548,963
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 7.22% (3 Month Term SOFR + 1.87%, Rate Floor: 1.61%) due 07/25/33◊,5		27,650,000	27,478,186
LCCM Trust
2021-FL3 A, 6.90% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 11/15/38◊,5		22,250,000	21,743,036
2021-FL2 B, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 2.01%) due 12/13/38◊,5		6,000,000	5,673,966
Owl Rock CLO IV Ltd.
2021-4A A1R, 7.24% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 08/20/33◊,5		24,250,000	23,885,976
2021-4A A2R, 7.54% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 08/20/33◊,5		3,650,000	3,464,381

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Parliament CLO II Ltd.
2021-2A B, 7.34% (3 Month Term SOFR + 1.96%, Rate Floor: 1.70%) due 08/20/32◊,5		22,250,000	$	21,540,163
2021-2A A, 6.99% (3 Month Term SOFR + 1.61%, Rate Floor: 1.35%) due 08/20/32◊,5		5,166,626		5,107,956
2021-2A C, 8.19% (3 Month Term SOFR + 2.81%, Rate Floor: 2.55%) due 08/20/32◊,5		500,000		476,675
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A2R, 7.49% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 04/20/31◊,5		15,500,000		15,032,619
2021-5A A1R, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/20/31◊,5		11,348,941		11,209,379
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 6.93% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 02/05/31◊,5		24,964,790		24,815,002
LCM XXIV Ltd.
2021-24A AR, 6.57% (3 Month Term SOFR + 1.24%, Rate Floor: 0.98%) due 03/20/30◊,5		24,265,413		24,192,617
Palmer Square Loan Funding Ltd.
2021-1A A1, 6.49% (3 Month Term SOFR + 1.16%, Rate Floor: 1.16%) due 04/20/29◊,5		9,251,070		9,231,564
2022-1A A2, 6.91% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,5		5,000,000		4,930,987
2021-3A B, 7.34% (3 Month Term SOFR + 2.01%, Rate Floor: 2.01%) due 07/20/29◊,5		5,000,000		4,921,315
2021-2A B, 7.04% (3 Month Term SOFR + 1.66%, Rate Floor: 1.66%) due 05/20/29◊,5		4,000,000		3,926,865
HERA Commercial Mortgage Ltd.
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/18/38◊,5		19,627,561		19,047,187
2021-FL1 B, 7.05% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 02/18/38◊,5		3,750,000		3,586,137
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 7.51% (3 Month Term SOFR + 2.12%, Rate Floor: 1.86%) due 08/25/33◊,5		23,000,000		22,088,089
Madison Park Funding XLVIII Ltd.
2021-48A B, 7.03% (3 Month Term SOFR + 1.71%, Rate Floor: 1.71%) due 04/19/33◊,5		22,000,000		21,806,400
Cerberus Loan Funding XL LLC
2023-1A A, 7.71% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 03/22/35◊,5		16,500,000		16,499,053
2023-1A B, 8.91% (3 Month Term SOFR + 3.60%, Rate Floor: 3.60%) due 03/22/35◊,5		3,250,000		3,253,625
LoanCore Issuer Ltd.
2021-CRE5 B, 7.45% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 07/15/36◊,5		7,900,000		7,489,830
2021-CRE4 B, 6.68% (30 Day Average SOFR + 1.36%, Rate Floor: 1.36%) due 07/15/35◊,5		7,500,000		7,284,844
2019-CRE2 AS, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 05/15/36◊,5		4,657,548		4,557,120
Cerberus Loan Funding XXXI, LP
2021-1A B, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 04/15/32◊,5		9,600,000		9,464,474
2021-1A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 04/15/32◊,5		9,075,786		9,037,222
Cerberus Loan Funding XXXII, LP
2021-2A A, 7.19% (3 Month Term SOFR + 1.88%, Rate Floor: 1.88%) due 04/22/33◊,5		14,250,000		14,074,806
2021-2A B, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 2.16%) due 04/22/33◊,5		4,000,000		3,875,432
Cerberus Loan Funding XXX, LP
2020-3A A, 7.42% (3 Month Term SOFR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,5		18,000,000		17,937,616
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 7.19% (3 Month Term SOFR + 1.86%, Rate Floor: 1.60%) due 04/20/32◊,5		15,250,000		15,083,497
2021-1A BR, 7.74% (3 Month Term SOFR + 2.41%, Rate Floor: 2.15%) due 04/20/32◊,5		2,250,000		2,177,133
2021-1A A2R, 7.49% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 04/20/32◊,5		300,000		297,680
Woodmont Trust
2020-7A A1A, 7.47% (3 Month Term SOFR + 2.16%, Rate Floor: 1.90%) due 01/15/32◊,5		16,250,000		16,205,106
CHCP Ltd.
2021-FL1 A, 6.50% (1 Month Term SOFR + 1.16%, Rate Floor: 1.05%) due 02/15/38◊,5		15,895,715		15,762,951
BRSP Ltd.
2021-FL1 C, 7.59% (1 Month Term SOFR + 2.26%, Rate Floor: 2.15%) due 08/19/38◊,5		10,000,000		9,178,499
2021-FL1 B, 7.34% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 08/19/38◊,5		6,400,000		6,077,036

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
ACRES Commercial Realty Ltd.
2021-FL1 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.91%) due 06/15/36◊,5		11,200,000	$	10,665,665
2021-FL1 C, 7.45% (1 Month Term SOFR + 2.11%, Rate Floor: 2.11%) due 06/15/36◊,5		4,800,000		4,532,643
Cerberus Loan Funding XXXIII, LP
2021-3A A, 7.13% (3 Month Term SOFR + 1.82%, Rate Floor: 1.56%) due 07/23/33◊,5		11,500,000		11,326,474
2021-3A B, 7.42% (3 Month Term SOFR + 2.11%, Rate Floor: 1.85%) due 07/23/33◊,5		2,250,000		2,171,965
Shackleton CLO Ltd.
2017-8A A1R, 6.51% (3 Month Term SOFR + 1.18%, Rate Floor: 0.00%) due 10/20/27◊,5		13,228,825		13,207,954
BDS Ltd.
2021-FL8 D, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 01/18/36◊,5		7,000,000		6,626,696
2021-FL9 C, 7.35% (1 Month Term SOFR + 2.01%, Rate Floor: 1.90%) due 11/16/38◊,5		5,000,000		4,769,309
2020-FL5 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 02/16/37◊,5		1,400,000		1,359,244
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 6.87% (3 Month Term SOFR + 1.56%, Rate Floor: 0.00%) due 04/15/31◊,5		12,238,677		12,168,539
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 7.29% (3 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 07/20/33◊,5		12,250,000		12,144,848
Fortress Credit Opportunities IX CLO Ltd.
2021-9A A2TR, 7.37% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 10/15/33◊,5		11,500,000		11,198,964
Lake Shore MM CLO III LLC
2021-2A A1R, 7.05% (3 Month Term SOFR + 1.74%, Rate Floor: 1.48%) due 10/17/31◊,5		11,250,000		11,092,125
FS Rialto
2021-FL3 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 11/16/36◊,5		7,500,000		7,166,410
2021-FL2 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.16%) due 05/16/38◊,5		3,250,000		3,055,114
KREF
2021-FL2 B, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 02/15/39◊,5		10,700,000		9,968,742
ABPCI Direct Lending Fund CLO VII, LP
2021-7A A1R, 7.05% (3 Month Term SOFR + 1.69%, Rate Floor: 1.43%) due 10/20/31◊,5		9,250,000		9,135,547
PFP Ltd.
2021-7 B, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 04/14/38◊,5		4,599,770		4,404,395
2021-7 D, 7.85% (1 Month Term SOFR + 2.51%, Rate Floor: 2.40%) due 04/14/38◊,5		4,104,795		3,832,731
Cerberus Loan Funding XXXV, LP
2021-5A A, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 09/22/33◊,5		8,000,000		7,928,090
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A B, 7.09% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 01/20/33◊,5		7,000,000		6,931,401
2021-9A C, 7.39% (3 Month Term SOFR + 2.06%, Rate Floor: 1.80%) due 01/20/33◊,5		1,000,000		977,945
BCC Middle Market CLO LLC
2021-1A A1R, 7.07% (3 Month Term SOFR + 1.76%, Rate Floor: 1.50%) due 10/15/33◊,5		6,750,000		6,663,527
NewStar Fairfield Fund CLO Ltd.
2018-2A A1N, 6.86% (3 Month Term SOFR + 1.53%, Rate Floor: 1.27%) due 04/20/30◊,5		6,086,004		6,031,155
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A B, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 04/16/33◊,5		6,000,000		5,936,400
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6 B, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 07/16/36◊,5		6,000,000		5,754,902
Cerberus Loan Funding XLII LLC
2023-3A A1, 7.91% (3 Month Term SOFR + 2.48%, Rate Floor: 2.48%) due 09/13/35◊,5		5,750,000		5,749,597
CIFC Funding Ltd.
2021-4A A1B2, 6.84% (3 Month Term SOFR + 1.51%, Rate Floor: 1.51%) due 04/20/34◊,5		5,000,000		4,964,160
STWD Ltd.
2019-FL1 C, 7.40% (1 Month Term SOFR + 2.06%, Rate Floor: 2.06%) due 07/15/38◊,5		3,200,000		2,947,238
2021-FL2 B, 7.25% (1 Month Term SOFR + 1.91%, Rate Floor: 1.80%) due 04/18/38◊,5		2,187,000		1,988,388

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Owl Rock CLO II Ltd.
2021-2A ALR, 7.14% (3 Month Term SOFR + 1.81%, Rate Floor: 1.55%) due 04/20/33◊,5		5,000,000	$	4,916,729
Fontainbleau Vegas
10.98% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,†††		4,777,544		4,777,544
BSPRT Issuer Ltd.
2021-FL6 C, 7.50% (1 Month Term SOFR + 2.16%, Rate Floor: 2.05%) due 03/15/36◊,5		5,000,000		4,633,362
Carlyle Global Market Strategies CLO Ltd.
2018-4A A1RR, 6.57% (3 Month Term SOFR + 1.26%, Rate Floor: 1.00%) due 01/15/31◊,5		4,530,975		4,515,117
VOYA CLO
2021-2A BR, 7.72% (3 Month Term SOFR + 2.41%, Rate Floor: 2.15%) due 06/07/30◊,5		4,500,000		4,473,236
ACRE Commercial Mortgage Ltd.
2021-FL4 AS, 6.55% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 12/18/37◊,5		4,500,000		4,341,963
Magnetite XXIX Ltd.
2021-29A B, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 01/15/34◊,5		4,000,000		3,963,200
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A BR, 6.98% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 01/20/32◊,5		4,000,000		3,956,800
KREF Funding V LLC
7.19% (1 Month Term SOFR + 1.86%, Rate Floor: 1.86%) due 06/25/26◊,†††		3,353,399		3,513,980
0.15% due 06/25/26†††,6		27,272,727		18,818
Owl Rock CLO VI Ltd.
2021-6A B1, 7.41% (3 Month Term SOFR + 2.01%, Rate Floor: 1.75%) due 06/21/32◊,5		3,500,000		3,383,935
AMMC CLO XIV Ltd.
2021-14A A2R2, 7.01% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 07/25/29◊,5		2,166,281		2,165,415
Greystone Commercial Real Estate Notes
2021-FL3 B, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 07/15/39◊,5		2,200,000		2,092,909
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 7.26% (3 Month Term SOFR + 1.91%, Rate Floor: 0.00%) due 10/25/30◊,5		2,014,060		2,005,477
Cerberus Loan Funding XXXVI, LP
2021-6A A, 6.97% (3 Month Term SOFR + 1.66%, Rate Floor: 1.40%) due 11/22/33◊,5		1,937,055		1,931,306
HGI CRE CLO Ltd.
2021-FL2 B, 6.95% (1 Month Term SOFR + 1.61%, Rate Floor: 1.61%) due 09/17/36◊,5		2,000,000		1,908,872
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/315,7		1,500,000		1,098,368
Carlyle GMS Finance MM CLO LLC
2018-1A A12R, 7.35% (3 Month Term SOFR + 2.04%, Rate Floor: 0.00%) due 10/15/31◊,5		250,000		247,939
Treman Park CLO Ltd.
2015-1A COM, due 10/20/285,7		325,901		3,272
Copper River CLO Ltd.
2007-1A INC, due 01/20/217,8		500,000		50
Total Collateralized Loan Obligations				866,856,774
Financial - 3.9%
Madison Avenue Secured Funding Trust
2023-1, 7.32% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 03/04/24◊,†††,5		18,250,000		18,250,000
2022-1, 7.18% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,†††,5		16,550,000		16,550,000
Strategic Partners Fund VIII LP
7.93% (1 Month Term SOFR + 2.60%, Rate Floor: 2.60%) due 03/10/26◊,†††		25,520,343		25,388,876
Station Place Securitization Trust
2022-SP1, 7.18% (1 Month Term SOFR + 1.85%, Rate Floor: 0.00%) due 10/12/23◊,†††,5		16,550,000		16,550,000
Project Onyx I
due 01/26/27◊,†††		9,750,000		9,750,425
7.31% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 01/26/27◊,†††		6,000,000		6,000,261
KKR Core Holding Company LLC
4.00% due 08/12/31†††		17,807,991		15,396,517
Madison Avenue Secured Funding Trust
2024-1, due 10/15/24◊		15,025,000		15,025,000
HV Eight LLC
7.10% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 12/31/27◊,†††	EUR	12,400,000		13,114,753
Station Place Securitization Trust
2024-1, due 10/15/24◊		7,525,000		7,525,000
Project Onyx II
due 01/26/27◊,†††		3,250,000		3,249,883
7.31% (3 Month Term SOFR + 2.40%, Rate Floor: 2.40%) due 01/26/27◊,†††		1,000,000		999,964
Ceamer Finance LLC
3.69% due 03/24/31†††		4,126,675		3,828,627
Lightning A
5.50% due 03/01/37†††		3,268,183		2,967,157
Thunderbird A
5.50% due 03/01/37†††		3,221,333		2,924,336

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Aesf Vi Verdi, LP
6.00% (3 Month EURIBOR + 2.40%, Rate Floor: 2.40%) due 11/25/24◊,†††	EUR	103,023	$	110,598
Total Financial				157,631,397
Transport-Container - 1.9%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/465		31,893,750		26,630,124
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/465		8,964,667		7,559,548
2020-1A, 2.73% due 08/21/455		3,818,388		3,468,308
2020-2A, 2.10% due 09/20/455		3,552,441		3,114,116
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/455		12,635,000		10,967,147
2020-1A, 2.08% due 09/18/455		1,384,000		1,195,342
TIF Funding II LLC
2021-1A, 1.65% due 02/20/465		14,457,063		11,966,550
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/465		13,738,840		11,732,715
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/455		2,793,750		2,431,766
Total Transport-Container				79,065,616
Net Lease - 1.7%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/505		38,736,519		34,337,255
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/455		10,249,708		9,670,847
STORE Master Funding LLC
2021-1A, 2.86% due 06/20/515		6,871,812		5,603,178
CF Hippolyta Issuer LLC
2021-1A, 1.98% due 03/15/615		5,748,930		4,921,007
CARS-DB4, LP
2020-1A, 3.19% due 02/15/505		3,954,167		3,712,677
2020-1A, 3.25% due 02/15/505		889,586		726,934
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/515		3,000,000		2,406,536
2021-1, 2.51% due 07/20/515		2,500,000		2,031,310
New Economy Assets Phase 1 Sponsor LLC
2021-1, 1.91% due 10/20/615		2,500,000		2,155,743
Capital Automotive REIT
2020-1A, 3.48% due 02/15/505		1,977,083		1,734,531
Total Net Lease				67,300,018
Whole Business - 1.3%
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/515		18,421,875		15,928,806
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/515		11,827,750		9,763,346
2019-1A, 3.88% due 10/25/495		6,015,625		5,492,585
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/515		8,791,754		7,423,924
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/505		7,742,100		6,698,341
Arbys Funding LLC
2020-1A, 3.24% due 07/30/505		7,032,500		6,228,502
Domino’s Pizza Master Issuer LLC
2019-1A, 3.67% due 10/25/495		1,688,750		1,461,169
Five Guys Funding LLC
2017-1A, 4.60% due 07/25/475		1,428,250		1,402,346
Total Whole Business				54,399,019
Transport-Aircraft - 1.2%
AASET Trust
2021-1A, 2.95% due 11/16/415		13,286,657		11,692,524
2017-1A, 3.97% due 05/16/425		415,438		365,581
AASET US Ltd.
2018-2A, 4.45% due 11/18/385		9,442,428		8,209,991
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/405		5,637,778		4,770,631
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/425		5,287,981		4,384,265
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/405		4,700,049		3,917,914
MAPS Ltd.
2018-1A, 4.21% due 05/15/435		4,139,653		3,710,661
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/465		3,694,783		3,408,364
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/435		3,468,553		3,153,552
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/395		1,708,566		1,546,305
2017-1, 4.58% due 02/15/425		537,690		502,611
Raspro Trust
2005-1A, 6.18% (3 Month USD SOFR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,5		1,969,886		1,957,196
Total Transport-Aircraft				47,619,595
Collateralized Debt Obligations - 0.5%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/395		24,650,000		21,290,760
Single Family Residence - 0.4%
FirstKey Homes Trust
2020-SFR2, 4.00% due 10/19/375		5,050,000		4,654,044
2020-SFR2, 4.50% due 10/19/375		4,900,000		4,540,382
2021-SFR1, 2.19% due 08/17/385		4,000,000		3,486,439
2020-SFR2, 3.37% due 10/19/375		3,200,000		2,924,753
Total Single Family Residence				15,605,618
Infrastructure - 0.3%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/525		9,250,000		8,056,735
SBA Tower Trust
2.84% due 01/15/255		3,550,000		3,397,849
Aligned Data Centers Issuer LLC
2021-1A, 1.94% due 08/15/465		2,950,000		2,580,477
Total Infrastructure				14,035,061
Total Asset-Backed Securities
(Cost $1,389,981,066)				1,323,803,858

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
CORPORATE BONDS†† - 26.3%
Financial - 14.4%
Athene Global Funding
6.00% (SOFR Compounded Index + 0.72%) due 01/07/25◊,5		30,000,000	$	29,491,387
1.99% due 08/19/285		15,850,000		12,924,881
1.73% due 10/02/265		14,700,000		12,811,654
F&G Global Funding
0.90% due 09/20/245		42,100,000		39,755,008
1.75% due 06/30/265		14,250,000		12,580,769
Societe Generale S.A.
1.79% due 06/09/271,5		28,000,000		24,680,859
1.48% due 12/14/261,5		10,500,000		9,374,044
3.88% due 03/28/245		350,000		345,603
GA Global Funding Trust
1.95% due 09/15/285		16,600,000		13,663,238
2.25% due 01/06/275		15,000,000		13,144,015
1.63% due 01/15/265		7,300,000		6,515,959
Macquarie Group Ltd.
1.63% due 09/23/271,5		16,750,000		14,632,765
1.20% due 10/14/251,5		13,550,000		12,848,364
Equitable Financial Life Global Funding
1.40% due 07/07/255		15,000,000		13,776,255
1.80% due 03/08/285		12,000,000		10,042,371
Cooperatieve Rabobank UA
1.34% due 06/24/261,5		15,000,000		13,802,514
1.98% due 12/15/271,5		10,000,000		8,758,538
Reliance Standard Life Global Funding II
2.75% due 05/07/255		20,850,000		19,603,401
BNP Paribas S.A.
1.32% due 01/13/271,5		21,350,000		19,119,266
2.22% due 06/09/261,5		400,000		373,285
Pershing Square Holdings Ltd.
3.25% due 10/01/31		25,600,000		18,556,088
Citizens Bank North America/Providence RI
2.25% due 04/28/25		20,000,000		18,518,069
Credit Agricole S.A.
1.25% due 01/26/271,5		17,950,000		16,032,521
1.91% due 06/16/261,5		400,000		371,848
Ares Finance Company LLC
4.00% due 10/08/245		14,617,000		14,132,829
Jackson National Life Global Funding
1.75% due 01/12/255		15,000,000		14,083,903
FS KKR Capital Corp.
4.25% due 02/14/255		7,600,000		7,276,958
2.63% due 01/15/27		7,400,000		6,336,942
JPMorgan Chase & Co.
1.47% due 09/22/271		15,000,000		13,141,295
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/265		10,800,000		9,511,452
3.88% due 03/01/315		4,100,000		3,269,217
ABN AMRO Bank N.V.
1.54% due 06/16/271,5		14,000,000		12,335,246
American Equity Investment Life Holding Co.
5.00% due 06/15/27		13,075,000		12,281,327
Deloitte LLP
4.35% due 11/17/23†††		7,300,000		7,273,658
3.46% due 05/07/27†††		4,500,000		4,073,902
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/255		11,450,000		11,178,142
CBS Studio Center
8.31% (30 Day Average SOFR + 3.00%, Rate Floor: 3.00%) due 01/09/24◊,†††		10,000,000		10,000,000
Iron Mountain, Inc.
4.88% due 09/15/275		7,360,000		6,788,531
5.00% due 07/15/285		3,085,000		2,805,964
ING Groep N.V.
1.73% due 04/01/271		9,800,000		8,767,966
BPCE S.A.
1.65% due 10/06/261,5		9,500,000		8,621,540
Apollo Management Holdings, LP
4.40% due 05/27/265		7,115,000		6,775,327
4.00% due 05/30/245		1,846,000		1,818,723
Corebridge Global Funding
5.75% due 07/02/265		7,250,000		7,162,457
OneMain Finance Corp.
3.50% due 01/15/27		7,050,000		6,036,562
6.13% due 03/15/24		750,000		747,621
7.13% due 03/15/26		50,000		48,969
First American Financial Corp.
4.00% due 05/15/30		7,860,000		6,656,557
LPL Holdings, Inc.
4.00% due 03/15/295		4,450,000		3,879,787
4.63% due 11/15/275		2,000,000		1,847,762
SBA Communications Corp.
3.13% due 02/01/29		6,500,000		5,421,470
Belrose Funding Trust
2.33% due 08/15/305		7,100,000		5,290,934
Starwood Property Trust, Inc.
3.75% due 12/31/245		5,375,000		5,117,307
Brighthouse Financial Global Funding
6.05% (SOFR + 0.76%) due 04/12/24◊,5		5,050,000		5,026,164
SLM Corp.
3.13% due 11/02/26		5,786,000		5,018,740
Horace Mann Educators Corp.
4.50% due 12/01/25		4,420,000		4,201,691
Essex Portfolio, LP
1.70% due 03/01/28		5,000,000		4,179,867
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		4,300,000		3,620,627
Peachtree Corners Funding Trust
3.98% due 02/15/255		3,450,000		3,330,603
Fairfax Financial Holdings Ltd.
4.85% due 04/17/28		3,100,000		2,937,627
Hunt Companies, Inc.
5.25% due 04/15/295		3,250,000		2,552,564
United Wholesale Mortgage LLC
5.50% due 11/15/255		1,940,000		1,845,285
5.50% due 04/15/295		275,000		232,375

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Brookfield Finance, Inc.
3.90% due 01/25/28		1,400,000	$	1,289,474
CNO Financial Group, Inc.
5.25% due 05/30/25		1,200,000		1,175,949
Trinity Acquisition plc
4.40% due 03/15/26		881,000		845,867
Newmark Group, Inc.
6.13% due 11/15/23		775,000		773,450
Old Republic International Corp.
3.88% due 08/26/26		700,000		661,013
Equinix, Inc.
1.55% due 03/15/28		700,000		583,372
Assurant, Inc.
4.90% due 03/27/28		350,000		334,455
Morgan Stanley
3.77% due 01/24/291		361,000		329,179
Total Financial				583,343,352
Consumer, Non-cyclical - 3.2%
Triton Container International Ltd.
1.15% due 06/07/245		26,000,000		25,020,573
2.05% due 04/15/265		1,800,000		1,603,608
Global Payments, Inc.
2.90% due 05/15/30		31,000,000		25,414,624
CoStar Group, Inc.
2.80% due 07/15/305		15,280,000		12,311,757
Laboratory Corporation of America Holdings
1.55% due 06/01/26		13,700,000		12,272,131
Element Fleet Management Corp.
1.60% due 04/06/245		10,250,000		10,004,047
PRA Health Sciences, Inc.
2.88% due 07/15/265		10,280,000		9,275,328
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		10,526,000		9,221,801
Block, Inc.
2.75% due 06/01/26		7,600,000		6,835,425
BAT Capital Corp.
4.70% due 04/02/27		4,220,000		4,040,435
3.56% due 08/15/27		527,000		482,148
Royalty Pharma plc
1.75% due 09/02/27		5,150,000		4,394,151
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
5.13% due 02/01/28		4,306,000		4,097,601
Molina Healthcare, Inc.
4.38% due 06/15/285		1,115,000		999,094
Avantor Funding, Inc.
4.63% due 07/15/285		1,050,000		957,263
US Foods, Inc.
4.75% due 02/15/295		1,011,000		903,599
Catalent Pharma Solutions, Inc.
3.13% due 02/15/295		1,050,000		861,205
IQVIA, Inc.
5.00% due 05/15/275		850,000		801,191
Smithfield Foods, Inc.
4.25% due 02/01/275		350,000		323,552
Performance Food Group, Inc.
5.50% due 10/15/275		100,000		94,744
Total Consumer, Non-cyclical				129,914,277
Industrial - 2.9%
Berry Global, Inc.
1.57% due 01/15/26		11,750,000		10,621,226
4.88% due 07/15/265		5,165,000		4,943,783
Sealed Air Corp.
1.57% due 10/15/265		16,450,000		14,320,031
TD SYNNEX Corp.
1.25% due 08/09/24		14,400,000		13,756,814
GXO Logistics, Inc.
1.65% due 07/15/26		15,000,000		13,180,195
Silgan Holdings, Inc.
1.40% due 04/01/265		12,600,000		11,176,272
Boeing Co.
2.20% due 02/04/26		10,450,000		9,595,018
Vontier Corp.
1.80% due 04/01/26		7,050,000		6,314,551
2.40% due 04/01/28		3,900,000		3,246,633
Graphic Packaging International LLC
1.51% due 04/15/265		6,500,000		5,790,388
Penske Truck Leasing Company LP / PTL Finance Corp.
4.45% due 01/29/265		5,475,000		5,244,659
4.20% due 04/01/275		500,000		465,498
Stericycle, Inc.
5.38% due 07/15/245		3,925,000		3,874,344
IP Lending V Ltd.
5.13% due 04/02/26 †††,5		3,900,000		3,627,000
Jabil, Inc.
1.70% due 04/15/26		3,800,000		3,413,644
GATX Corp.
3.85% due 03/30/27		2,900,000		2,689,959
3.50% due 03/15/28		200,000		179,571
Standard Industries, Inc.
4.75% due 01/15/285		2,671,000		2,409,213
Weir Group plc
2.20% due 05/13/265		2,610,000		2,345,363
Mueller Water Products, Inc.
4.00% due 06/15/295		1,180,000		1,027,669
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265		800,000		760,968
Amsted Industries, Inc.
4.63% due 05/15/305		350,000		296,359
5.63% due 07/01/275		100,000		94,251
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/295		275,000		249,698
6.50% due 03/15/275		75,000		73,225
Enviri Corp.
5.75% due 07/31/275		125,000		109,941
Total Industrial				119,806,273

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Technology - 1.5%
CDW LLC / CDW Finance Corp.
2.67% due 12/01/26		22,350,000		20,157,580
3.25% due 02/15/29		810,000		690,679
Infor, Inc.
1.75% due 07/15/255		13,800,000		12,688,411
Qorvo, Inc.
1.75% due 12/15/245		10,600,000		9,959,423
3.38% due 04/01/315		1,200,000		950,479
4.38% due 10/15/29		963,000		846,898
NetApp, Inc.
2.38% due 06/22/27		12,800,000		11,429,715
NCR Corp.
5.13% due 04/15/295		2,850,000		2,511,017
Twilio, Inc.
3.63% due 03/15/29		994,000		832,121
MSCI, Inc.
3.88% due 02/15/315		379,000		321,091
Total Technology				60,387,414
Consumer, Cyclical - 1.3%
Alt-2 Structured Trust
2.95% (0 - —%) due 05/14/31◊,†††		9,998,811		8,731,858
Warnermedia Holdings, Inc.
6.41% due 03/15/26		8,050,000		8,048,653
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/255		7,502,000		7,286,680
Choice Hotels International, Inc.
3.70% due 01/15/31		7,350,000		6,120,962
Delta Air Lines, Inc.
7.00% due 05/01/255		4,300,000		4,346,681
Hyatt Hotels Corp.
5.75% due 04/23/30		4,320,000		4,188,020
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		2,552,861		2,272,997
3.00% due 10/15/28		1,568,907		1,403,723
Newell Brands, Inc.
6.38% due 09/15/27		1,548,000		1,476,765
4.70% due 04/01/26		1,552,000		1,462,594
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/275		2,512,500		2,489,389
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		2,300,000		2,196,500
Air Canada
3.88% due 08/15/265		2,350,000		2,132,762
1011778 BC ULC / New Red Finance, Inc.
5.75% due 04/15/255		700,000		694,632
Tempur Sealy International, Inc.
4.00% due 04/15/295		375,000		312,975
Total Consumer, Cyclical				53,165,191
Utilities - 1.0%
Alexander Funding Trust
1.84% due 11/15/235		19,050,000		18,924,062
CenterPoint Energy, Inc.
5.99% (SOFR Compounded Index + 0.65%) due 05/13/24◊		10,400,000		10,398,088
Terraform Global Operating, LP
6.13% due 03/01/265		6,170,000		6,054,313
AES Corp.
3.30% due 07/15/255		4,250,000		4,025,499
Total Utilities				39,401,962
Basic Materials - 0.9%
Anglo American Capital plc
2.25% due 03/17/285		14,000,000		11,948,353
4.00% due 09/11/275		750,000		700,249
5.38% due 04/01/255		600,000		591,952
Kaiser Aluminum Corp.
4.63% due 03/01/285		9,643,000		8,420,171
Valvoline, Inc.
3.63% due 06/15/315		7,434,000		5,759,514
4.25% due 02/15/305		125,000		122,752
International Flavors & Fragrances, Inc.
1.23% due 10/01/255		4,130,000		3,702,124
Alcoa Nederland Holding BV
5.50% due 12/15/275		3,675,000		3,490,860
Carpenter Technology Corp.
6.38% due 07/15/28		1,145,000		1,104,312
Minerals Technologies, Inc.
5.00% due 07/01/285		140,000		128,408
Total Basic Materials				35,968,695
Communications - 0.8%
Rogers Communications, Inc.
2.95% due 03/15/25		14,400,000		13,733,571
Level 3 Financing, Inc.
3.63% due 01/15/295		5,070,000		2,839,200
4.25% due 07/01/285		2,277,000		1,418,647
3.75% due 07/15/295		2,150,000		1,201,747
Paramount Global
4.75% due 05/15/25		3,590,000		3,491,732
T-Mobile USA, Inc.
2.63% due 04/15/26		3,200,000		2,959,469
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		3,250,000		2,534,535
Cogent Communications Group, Inc.
3.50% due 05/01/265		2,680,000		2,475,516
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/285		1,850,000		1,596,402
TripAdvisor, Inc.
7.00% due 07/15/255		400,000		399,240
CSC Holdings LLC
4.13% due 12/01/305		250,000		176,928
AMC Networks, Inc.
4.25% due 02/15/29		225,000		138,059

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Match Group Holdings II LLC
4.63% due 06/01/285		75,000	$	67,239
Sirius XM Radio, Inc.
3.88% due 09/01/315		75,000		56,810
Total Communications				33,089,095
Energy - 0.3%
BP Capital Markets plc
4.88% 1,9		7,500,000		6,700,675
Occidental Petroleum Corp.
5.50% due 12/01/25		5,000,000		4,934,615
Gulfstream Natural Gas System LLC
4.60% due 09/15/255		400,000		385,539
Sabine Pass Liquefaction LLC
5.00% due 03/15/27		300,000		291,035
Parkland Corp.
5.88% due 07/15/275		80,000		76,128
Total Energy				12,387,992
Total Corporate Bonds
(Cost $1,184,224,559)				1,067,464,251
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 20.4%
Residential Mortgage-Backed Securities - 12.4%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/60◊,5		27,434,837		25,252,942
2021-RPL7, 1.93% (WAC) due 07/27/61◊,5		12,437,270		11,382,378
2020-RPL5, 3.02% (WAC) due 08/25/60◊,5		11,400,049		11,192,014
2021-RPL4, 1.80% (WAC) due 12/27/60◊,5		7,705,935		7,174,292
2018-RPL9, 3.85% (WAC) due 09/25/57◊,5		4,640,171		4,411,944
2020-NQM1, 1.41% due 05/25/655,10		2,131,720		1,896,075
PRPM LLC
2021-5, 1.79% due 06/25/265,10		20,772,529		19,159,407
2022-1, 3.72% due 02/25/275,10		19,017,697		18,203,475
2021-8, 1.74% (WAC) due 09/25/26◊,5		9,458,212		8,672,746
2023-1, 6.88% (WAC) due 02/25/28◊,5		4,175,818		4,163,421
2021-RPL2, 2.49% (WAC) due 10/25/51◊,5		2,500,000		1,907,471
Legacy Mortgage Asset Trust
2021-GS3, 1.75% due 07/25/615,10		20,941,823		19,503,097
2021-GS4, 1.65% due 11/25/605,10		17,918,264		16,219,755
2021-GS2, 1.75% due 04/25/615,10		7,650,649		7,066,543
2021-GS5, 2.25% due 07/25/675,10		4,871,672		4,495,335
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/615,10		21,279,934		18,706,241
2022-R1, 3.13% due 01/29/705,10		17,598,452		15,768,639
2021-HE2, 6.17% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 11/25/69◊,5		2,225,679		2,189,412
2021-HE2, 6.37% (30 Day Average SOFR + 1.05%, Rate Floor: 0.00%) due 11/25/69◊,5		2,043,782		2,014,447
2021-HE1, 6.27% (30 Day Average SOFR + 0.95%, Rate Floor: 0.00%) due 01/25/70◊,5		1,791,283		1,772,754
2021-HE1, 6.17% (30 Day Average SOFR + 0.85%, Rate Floor: 0.00%) due 01/25/70◊,5		1,344,982		1,333,392
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/615,10		34,420,304		31,185,415
2022-SP1, 5.25% due 07/25/625,10		9,626,850		9,287,132
OSAT Trust
2021-RPL1, 2.12% due 05/25/655,10		40,986,370		37,568,496
Verus Securitization Trust
2021-4, 1.35% (WAC) due 07/25/66◊,5		6,306,890		4,752,666
2021-5, 1.37% (WAC) due 09/25/66◊,5		5,943,789		4,674,101
2020-5, 1.58% due 05/25/655,10		4,523,933		4,150,524
2021-3, 1.44% (WAC) due 06/25/66◊,5		3,615,614		2,981,272
2021-6, 1.89% (WAC) due 10/25/66◊,5		2,817,612		2,236,650
2019-4, 2.64% due 11/25/595,10		1,373,925		1,308,043
2020-1, 2.42% due 01/25/605,10		741,848		698,734
Towd Point Revolving Trust
, 4.83% due 09/25/648		18,500,000		17,986,625
LSTAR Securities Investment Ltd.
2023-1, 8.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,5		10,796,779		10,789,401
2021-1, 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/26◊,8		6,824,430		6,698,014
Towd Point Mortgage Trust
2017-6, 2.75% (WAC) due 10/25/57◊,5		6,698,551		6,354,557
2018-2, 3.25% (WAC) due 03/25/58◊,5		3,492,745		3,336,474
2017-5, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.00%) due 02/25/57◊,5		1,883,013		1,890,553
2018-1, 3.00% (WAC) due 01/25/58◊,5		429,371		408,853
Citigroup Mortgage Loan Trust
2022-A, 6.17% due 09/25/625,10		11,701,048		11,597,489
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 6.06% (1 Month Term SOFR + 0.74%, Rate Floor: 0.63%) due 11/25/37◊		10,829,041		10,253,831
2006-BC4, 5.77% (1 Month Term SOFR + 0.45%, Rate Floor: 0.34%) due 12/25/36◊		494,911		471,125
Imperial Fund Mortgage Trust
2022-NQM2, 4.02% (WAC) due 03/25/67◊,5		11,994,395		10,526,328
Home Equity Loan Trust
2007-FRE1, 5.62% (1 Month Term SOFR + 0.30%, Rate Floor: 0.19%) due 04/25/37◊		10,253,398		9,485,993
Soundview Home Loan Trust
2006-OPT5, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 07/25/36◊		8,142,298		7,639,153
2005-OPT3, 6.14% (1 Month Term SOFR + 0.82%, Rate Floor: 0.71%) due 11/25/35◊		1,148,489		1,116,013
CFMT LLC
2021-HB5, 1.37% (WAC) due 02/25/31◊,5		6,950,000		6,578,545
2022-HB9, 3.25% (WAC) due 09/25/37◊,8		2,084,148		1,865,144

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/58◊,5		5,422,393	$	4,906,197
2018-1A, 4.00% (WAC) due 12/25/57◊,5		1,702,102		1,580,643
2019-6A, 3.50% (WAC) due 09/25/59◊,5		1,336,547		1,195,619
2017-5A, 6.93% (1 Month Term SOFR + 1.61%, Rate Floor: 1.50%) due 06/25/57◊,5		501,555		498,289
CSMC
2021-NQM8, 2.41% (WAC) due 10/25/66◊,5		7,854,666		6,211,877
NovaStar Mortgage Funding Trust Series
2007-2, 5.63% (1 Month Term SOFR + 0.31%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊		5,918,963		5,691,043
Alternative Loan Trust
2007-OA7, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 05/25/47◊		4,308,602		3,602,005
2007-OH3, 6.01% (1 Month Term SOFR + 0.69%, Rate Cap/Floor: 10.00%/0.58%) due 09/25/47◊		2,114,584		1,834,694
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/68◊,8		4,395,049		4,332,785
2019-RM3, 2.80% (WAC) due 06/25/69◊,8		900,029		872,863
Morgan Stanley ABS Capital I Incorporated Trust
2007-HE3, 5.68% (1 Month Term SOFR + 0.36%, Rate Floor: 0.25%) due 12/25/36◊		4,560,443		2,189,133
2007-HE3, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 12/25/36◊		3,267,101		1,568,331
2007-HE5, 5.61% (1 Month Term SOFR + 0.29%, Rate Floor: 0.18%) due 03/25/37◊		1,579,834		663,872
2006-NC1, 6.00% (1 Month Term SOFR + 0.68%, Rate Floor: 0.57%) due 12/25/35◊		305,288		299,325
American Home Mortgage Investment Trust
2006-3, 5.79% (1 Month Term SOFR + 0.47%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/46◊		5,388,873		4,281,082
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,5		4,128,675		3,760,183
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/555		3,750,000		3,378,218
Banc of America Funding Trust
2015-R2, 5.69% (1 Month Term SOFR + 0.26%, Rate Floor: 0.26%) due 04/29/37◊,5		3,274,314		3,209,266
HarborView Mortgage Loan Trust
2006-14, 5.74% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 01/25/47◊		1,892,692		1,668,099
2006-12, 5.82% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 01/19/38◊		1,566,027		1,356,191
Bear Stearns Asset-Backed Securities I Trust
2006-HE9, 5.71% (1 Month Term SOFR + 0.39%, Rate Floor: 0.28%) due 11/25/36◊		3,056,870		2,956,574
Securitized Asset Backed Receivables LLC Trust
2007-HE1, 5.65% (1 Month Term SOFR + 0.33%, Rate Floor: 0.22%) due 12/25/36◊		12,956,598		2,859,053
IXIS Real Estate Capital Trust
2006-HE1, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 03/25/36◊		4,746,159		2,459,057
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 01/25/36◊		2,567,973		2,424,536
Ellington Financial Mortgage Trust
2021-2, 1.29% (WAC) due 06/25/66◊,5		2,057,823		1,589,022
2020-2, 1.64% (WAC) due 10/25/65◊,5		938,896		835,418
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 6.17% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 10/25/35◊		2,395,236		2,313,845
OBX Trust
2022-NQM9, 6.45% due 09/25/625,10		2,197,065		2,183,932
First NLC Trust
2005-4, 6.21% (1 Month Term SOFR + 0.89%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/36◊		2,223,075		2,129,476
Angel Oak Mortgage Trust
2021-6, 1.71% (WAC) due 09/25/66◊,5		2,618,679		2,026,949
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/60◊,5		2,101,334		1,872,039
Citigroup Mortgage Loan Trust, Inc.
2006-WF1, 4.96% due 03/25/36		3,519,369		1,720,641
SG Residential Mortgage Trust
2022-1, 3.68% (WAC) due 03/27/62◊,5		1,847,360		1,576,430
Towd Point Mortgage Trust 2023-CES1
2023-CES1, 6.75% (WAC) due 07/25/63◊,5		1,437,632		1,431,254
Structured Asset Investment Loan Trust
2006-3, 5.73% (1 Month Term SOFR + 0.41%, Rate Floor: 0.30%) due 06/25/36◊		1,439,746		1,368,516
2005-2, 6.17% (1 Month Term SOFR + 0.85%, Rate Floor: 0.74%) due 03/25/35◊		25,720		25,586
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 5.58% (1 Month Term SOFR + 0.26%, Rate Floor: 0.15%) due 11/25/36◊		3,799,537		1,303,853

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 12/25/36◊		1,353,473	$	1,253,083
GSAA Home Equity Trust
2006-3, 6.03% (1 Month Term SOFR + 0.71%, Rate Floor: 0.60%) due 03/25/36◊		2,256,456		1,185,830
Morgan Stanley Home Equity Loan Trust
2006-2, 5.99% (1 Month Term SOFR + 0.67%, Rate Floor: 0.56%) due 02/25/36◊		1,184,772		1,162,837
Lehman XS Trust Series
2006-16N, 5.81% (1 Month Term SOFR + 0.49%, Rate Floor: 0.38%) due 11/25/46◊		1,240,640		1,047,478
ACE Securities Corporation Home Equity Loan Trust Series
2005-HE2, 6.45% (1 Month Term SOFR + 1.13%, Rate Floor: 1.02%) due 04/25/35◊		885,560		841,260
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/66◊,5		1,500,000		820,854
MFRA Trust
2021-INV1, 1.26% (WAC) due 01/25/56◊,5		842,347		736,601
Nationstar Home Equity Loan Trust
2007-B, 5.65% (1 Month Term SOFR + 0.33%, Rate Floor: 0.22%) due 04/25/37◊		741,487		733,413
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 01/26/60◊,5		773,571		731,390
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 6.01% (1 Month Term SOFR + 0.69%, Rate Floor: 0.58%) due 01/25/36◊		671,089		636,926
Long Beach Mortgage Loan Trust
2006-8, 5.75% (1 Month Term SOFR + 0.43%, Rate Floor: 0.32%) due 09/25/36◊		2,338,134		634,476
CIT Mortgage Loan Trust
2007-1, 6.78% (1 Month Term SOFR + 1.46%, Rate Floor: 1.35%) due 10/25/37◊,5		408,789		407,927
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WHQ3, 6.38% (1 Month Term SOFR + 1.06%, Rate Floor: 0.95%) due 06/25/35◊		410,535		406,642
Nomura Resecuritization Trust
2015-4R, 2.73% (1 Month Term SOFR + 0.54%, Rate Floor: 0.43%) due 03/26/36◊,5		368,749		340,134
First Franklin Mortgage Loan Trust
2004-FF10, 6.71% (1 Month Term SOFR + 1.39%, Rate Floor: 1.28%) due 07/25/34◊		341,991		328,789
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/50◊,5		290,915		264,812
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		55,367		54,709
Morgan Stanley Re-REMIC Trust
2010-R5, 3.47% due 06/26/3610		45,150		40,927
CSMC Series
2014-2R, 3.56% (1 Month Term SOFR + 0.31%, Rate Floor: 0.20%) due 02/27/46◊,5		13,938		13,826
Total Residential Mortgage-Backed Securities				504,144,721
Government Agency - 5.9%
Freddie Mac
5.00% due 06/01/38		41,705,764		40,653,610
5.50% due 02/01/53		39,105,065		37,888,088
5.00% due 05/01/38		33,369,229		32,527,390
5.00% due 06/01/53		20,423,263		19,305,208
5.00% due 02/01/53		18,467,748		17,454,209
5.00% due 09/01/52		7,672,558		7,246,514
Fannie Mae
5.00% due 06/01/38		30,378,415		29,612,028
5.00% due 05/01/38		13,629,256		13,285,417
5.00% due 08/01/53		7,965,169		7,517,660
5.00% due 09/01/52		2,930,955		2,768,431
5.00% due 06/01/53		2,662,421		2,514,006
Ginnie Mae
6.00% due 09/20/45†††		20,900,000		20,795,628
6.00% due 06/20/47†††		3,100,000		3,102,174
Freddie Mac Seasoned Credit Risk Transfer Trust
2.00% due 05/25/60		3,227,905		2,452,423
2.00% due 11/25/59		1,855,823		1,407,502
Fannie Mae-Aces
1.59% (WAC) due 03/25/35◊,6		6,024,592		594,464
Total Government Agency				239,124,752
Commercial Mortgage-Backed Securities - 2.1%
BX Commercial Mortgage Trust
2021-VOLT, 7.10% (1 Month Term SOFR + 1.76%, Rate Floor: 1.65%) due 09/15/36◊,5		25,000,000		23,846,652
2022-LP2, 6.89% (1 Month Term SOFR + 1.56%, Rate Floor: 1.56%) due 02/15/39◊,5		13,204,132		12,723,358
JP Morgan Chase Commercial Mortgage Securities Trust
2021-NYAH, 6.99% (1 Month Term SOFR + 1.65%, Rate Floor: 1.54%) due 06/15/38◊,5		10,200,000		8,970,550
2016-JP2, 1.94% (WAC) due 08/15/49◊,6		30,418,558		1,119,397
MHP
2022-MHIL, 6.60% (1 Month Term SOFR + 1.26%, Rate Floor: 1.26%) due 01/15/27◊,5		7,773,268		7,519,718
BXHPP Trust
2021-FILM, 6.55% (1 Month Term SOFR + 1.21%, Rate Floor: 1.10%) due 08/15/36◊,5		8,250,000		7,441,895

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
Life Mortgage Trust
2021-BMR, 6.85% (1 Month Term SOFR + 1.51%, Rate Floor: 1.40%) due 03/15/38◊,5		6,880,791	$	6,656,039
Extended Stay America Trust
2021-ESH, 7.15% (1 Month Term SOFR + 1.81%, Rate Floor: 1.70%) due 07/15/38◊,5		3,801,950		3,745,115
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.09% (WAC) due 07/15/50◊,6		22,066,047		572,486
2016-C37, 0.95% (WAC) due 12/15/49◊,6		26,321,483		468,959
2017-C42, 1.01% (WAC) due 12/15/50◊,6		14,304,298		415,624
2017-RB1, 1.35% (WAC) due 03/15/50◊,6		7,942,639		241,938
2015-LC22, 0.90% (WAC) due 09/15/58◊,6		18,414,889		210,447
2016-NXS5, 1.57% (WAC) due 01/15/59◊,6		4,551,464		117,907
JPMDB Commercial Mortgage Securities Trust
2018-C8, 0.77% (WAC) due 06/15/51◊,6		30,564,816		596,277
2016-C4, 0.86% (WAC) due 12/15/49◊,6		33,144,591		583,000
2016-C2, 1.63% (WAC) due 06/15/49◊,6		6,238,287		175,595
2017-C5, 1.04% (WAC) due 03/15/50◊,6		3,070,880		65,653
BENCHMARK Mortgage Trust
2018-B2, 0.60% (WAC) due 02/15/51◊,6		93,844,677		1,323,266
DBJPM Mortgage Trust
2017-C6, 1.05% (WAC) due 06/10/50◊,6		50,799,553		1,213,388
Bank of America Merrill Lynch Commercial Mortgage Trust
2017-BNK3, 1.16% (WAC) due 02/15/50◊,6		29,028,887		774,154
2016-UB10, 1.89% (WAC) due 07/15/49◊,6		10,113,741		322,988
COMM Mortgage Trust
2018-COR3, 0.57% (WAC) due 05/10/51◊,6		35,097,572		575,369
2015-CR24, 0.83% (WAC) due 08/10/48◊,6		51,459,452		497,603
UBS Commercial Mortgage Trust
2017-C2, 1.22% (WAC) due 08/15/50◊,6		21,994,508		699,977
2017-C5, 1.22% (WAC) due 11/15/50◊,6		10,786,278		294,345
CSAIL Commercial Mortgage Trust
2019-C15, 1.19% (WAC) due 03/15/52◊,6		19,285,526		725,005
2016-C6, 2.02% (WAC) due 01/15/49◊,6		6,000,908		209,859
BBCMS Mortgage Trust
2018-C2, 0.92% (WAC) due 12/15/51◊,6		29,298,312		876,937
Morgan Stanley Bank of America Merrill Lynch Trust
2017-C34, 0.91% (WAC) due 11/15/52◊,6		23,038,962		523,761
2015-C27, 1.01% (WAC) due 12/15/47◊,6		28,527,061		335,647
CGMS Commercial Mortgage Trust
2017-B1, 0.87% (WAC) due 08/15/50◊,6		19,690,399		452,909
CD Mortgage Trust
2017-CD6, 1.02% (WAC) due 11/13/50◊,6		12,647,526		291,899
2016-CD1, 1.50% (WAC) due 08/10/49◊,6		5,702,432		155,299
CD Commercial Mortgage Trust
2017-CD4, 1.38% (WAC) due 05/10/50◊,6		13,459,464		443,041
GS Mortgage Securities Trust
2017-GS6, 1.16% (WAC) due 05/10/50◊,6		11,037,110		324,345
BANK
2017-BNK6, 0.91% (WAC) due 07/15/60◊,6		13,494,094		293,711
Citigroup Commercial Mortgage Trust
2016-C2, 1.81% (WAC) due 08/10/49◊,6		5,964,261		205,338
2016-GC37, 1.82% (WAC) due 04/10/49◊,6		2,812,757		85,250
JPMBB Commercial Mortgage Securities Trust
2013-C17, 0.78% (WAC) due 01/15/47◊,6		11,107,145		706
Total Commercial Mortgage-Backed Securities				86,095,407
Total Collateralized Mortgage Obligations
(Cost $892,853,973)				829,364,880
U.S. GOVERNMENT SECURITIES†† - 7.7%
U.S. Treasury Notes
4.75% due 07/31/25		200,000,000		198,671,876
4.63% due 06/30/25		100,000,000		99,144,531
United States Treasury Inflation Indexed Bonds
1.25% due 04/15/2813		10,496,524		9,982,666
1.38% due 07/15/3313		5,203,450		4,811,057
Total U.S. Government Securities
(Cost $314,181,821)				312,610,130
FEDERAL AGENCY DISCOUNT NOTES†† - 4.7%
Federal Home Loan Bank
5.20% due 10/02/2311		188,722,000		188,694,740
Total Federal Agency Discount Notes
(Cost $188,694,740)				188,694,740
SENIOR FLOATING RATE INTERESTS††,◊ - 2.5%
Technology - 0.6%
RLDatix
9.53% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††		13,798,857		13,540,818
Dun & Bradstreet
8.32% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 01/18/29		8,471,000		8,445,587
Upland Software, Inc.
9.17% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 08/06/26		500,225		477,714
Emerald TopCo, Inc. (Press Ganey)
9.18% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/24/26		191,206		183,606
Total Technology				22,647,725
Basic Materials - 0.4%
Trinseo Materials Operating S.C.A.
7.93% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 05/03/28		10,850,250		9,080,900
INEOS Ltd.
6.61% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	8,100,000		8,425,901
Total Basic Materials				17,506,801
Industrial - 0.4%
Mileage Plus Holdings LLC
10.80% (3 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 06/21/27		7,091,625		7,358,341
Harsco Corporation
7.68% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 03/10/28		3,910,000		3,855,025
Ravago Holdings America, Inc.
8.15% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 03/04/28		1,950,000		1,911,000

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Face Amount~		Value
CPM Holdings, Inc.
8.94% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 11/17/25		1,490,600	$	1,485,011
Cushman & Wakefield US Borrower LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/31/30		723,515		710,253
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 08/21/25		70,924		70,765
Total Industrial				15,390,395
Consumer, Non-cyclical - 0.4%
Bombardier Recreational Products, Inc.
7.42% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/24/27		4,093,448		4,064,467
Women’s Care Holdings, Inc.
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28		4,548,561		4,025,477
Sigma Holding BV (Flora Food)
7.41% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	2,786,074		2,934,378
Hearthside Group Holdings LLC
9.58% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		2,041,071		1,779,569
DaVita, Inc.
7.18% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/12/26		686,042		677,041
Froneri US, Inc.
7.67% (1 Month Term SOFR + 2.25%, Rate Floor: 2.25%) due 01/29/27		435,375		431,761
Pearl Intermediate Parent LLC
8.17% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 02/14/25		388,691		386,141
Outcomes Group Holdings, Inc.
9.13% (3 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 10/24/25		380,721		378,273
EyeCare Partners LLC
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 02/18/27		486,250		339,403
Total Consumer, Non-cyclical				15,016,510
Communications - 0.3%
Playtika Holding Corp.
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 03/13/28		10,361,500		10,342,124
Zayo Group Holdings, Inc.
8.43% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,500,000		1,221,465
Altice US Finance I Corp.
7.70% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26		453,759		437,650
Ziggo Financing Partnership
7.95% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/28		400,000		390,332
Virgin Media Bristol LLC
7.95% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 01/31/28		200,000		194,026
Total Communications				12,585,597
Consumer, Cyclical - 0.3%
Amaya Holdings BV
6.36% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26	EUR	4,500,000		4,756,429
Rent-A-Center, Inc.
8.88% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/17/28		2,109,698		2,101,133
Pacific Bells LLC
10.15% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		1,564,598		1,542,600
Entain Holdings (Gibraltar) Ltd.
7.99% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 03/29/27		1,466,250		1,462,320
New Trojan Parent, Inc.
8.69% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28		2,688,125		1,402,314
Packers Holdings LLC
8.67% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/09/28		1,689,954		997,073
Samsonite IP Holdings SARL
8.07% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 06/21/30		175,527		175,638
Total Consumer, Cyclical				12,437,507
Energy - 0.1%
ITT Holdings LLC
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 07/10/28		2,891,000		2,883,165
Venture Global Calcasieu Pass LLC
8.04% (1 Month Term SOFR + 2.63%, Rate Floor: 2.63%) due 08/19/26		444,419		440,344
Total Energy				3,323,509
Financial - 0.0%
Jane Street Group LLC
8.18% (1 Month Term SOFR + 2.75%, Rate Floor: 2.75%) due 01/26/28		1,940,768		1,933,490
Total Senior Floating Rate Interests
(Cost $108,331,357)				100,841,534
U.S. TREASURY BILLS†† - 1.0%
U.S. Treasury Bills
5.27% due 10/03/2311		20,784,000		20,780,962
5.28% due 10/17/2311		14,835,000		14,802,409
5.28% due 10/10/2311		3,915,000		3,910,424
Total U.S. Treasury Bills
(Cost $39,487,974)				39,493,795
MUNICIPAL BONDS†† - 0.1%
California - 0.1%
California Public Finance Authority Revenue Bonds
1.55% due 10/15/26		3,145,000		2,747,368
Total Municipal Bonds
(Cost $3,145,000)				2,747,368

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

	Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	$	120,100,000	$	240,471
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10		119,000,000		238,269
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10		59,950,000		120,035
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10		48,900,000		97,911
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10		120,100,000		75,256
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20		120,000,000		75,193
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20		58,950,000		36,939
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20		48,900,000		30,641
Total Interest Rate Options				914,715
Total OTC Options Purchased
(Cost $2,968,935)				914,715
Total Investments - 100.1%
(Cost $4,321,017,326)				4,059,264,407
OTC INTEREST RATE SWAPTIONS WRITTEN††12 - 0.0%
Put Swaptions on:
Interest Rate Swaptions
Barclays Bank plc 5-Year Interest Rate Swap Expiring October 2023 with exercise rate of 3.93% (Notional Value $64,550,000)		64,550,000		(1,288,794	)
Total OTC Interest Rate Swaptions Written (Premiums Received $445,395)				(1,288,794	)
Other Assets & Liabilities, net - (0.1)%				(3,287,943	)
Total Net Assets - 100.0%			$	4,054,687,670

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate		Payment Frequency	Maturity Date		Notional Amount		Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
BofA Securities, Inc.	ICE	ITRAXX. EUR.38.V1	1.00%	Quarterly			12/20/27	$	24,500,000	$	(341,538	)	$	(191,247	)	$	(150,291	)
BofA Securities, Inc.	ICE	CDX.NA.HY.40.V1	5.00%	Quarterly			06/20/28		40,800,000		(639,493	)		169,403			(808,896	)
										$	(981,031	)	$	(21,844	)	$	(959,187	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

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 Depreciation**
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	4.68%		Annually		06/29/25		$	197,000,000	$	(1,418,445	)	$	690		$	(1,419,135	)
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.40%		Annually		04/04/28			52,000,000		(2,136,639	)		480			(2,137,119	)
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.79%		Annually		10/03/27			106,500,000		(2,632,083	)		(33,310	)		(2,598,773	)
												$	(6,187,167	)	$	(32,140	)	$	(6,155,027	)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Barclays Bank plc

EUR

Sell

29,447,000

31,666,950 USD

10/16/23

$

511,868

OTC Interest Rate Swaptions Written12

Counterparty/Description

Floating Rate Type

Floating Rate Index

Payment Frequency

Fixed Rate

Expiration Date

Exercise Rate

Swaption Notional Amount

Swaption Value

Put

Barclays Bank plc 5-Year Interest Rate Swap

Pay

SOFR

Annual

3.93

%

10/16/23

3.93

%

$

64,550,000

$

(1,288,794

)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION 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 — 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.
◊	Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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.
1	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
2	Special Purpose Acquisition Company (SPAC).
3	Affiliated issuer.
4	Rate indicated is the 7-day yield as of September 30, 2023.
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 $2,381,647,236 (cost $2,566,633,440), or 58.7% of total net assets.
6	Security is an interest-only strip.
7	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
8	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 $31,755,481 (cost $32,549,805), or 0.8% of total net assets — See Note 9.
9	Perpetual maturity.
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 September 30, 2023. See table below for additional step information for each security.
11	Rate indicated is the effective yield at the time of purchase.
12	Swaptions — See additional disclosure in the swaptions table above for more information on swaptions.
13	Face amount of security is adjusted for inflation.
	BofA — Bank of America
	CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	ICE — Intercontinental Exchange
	ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2023 (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	$	37,537	$	—	$	—	$	37,537
Preferred Stocks		—		18,964,997		—		18,964,997
Warrants		6,156		—		—		6,156
Mutual Funds		92,920,421		—		—		92,920,421
Money Market Fund		81,400,025		—		—		81,400,025
Asset-Backed Securities		—		1,180,412,119		143,391,739		1,323,803,858
Corporate Bonds		—		1,033,757,833		33,706,418		1,067,464,251
Collateralized Mortgage Obligations		—		805,467,078		23,897,802		829,364,880
U.S. Government Securities		—		312,610,130		—		312,610,130
Federal Agency Discount Notes		—		188,694,740		—		188,694,740
Senior Floating Rate Interests		—		87,300,716		13,540,818		100,841,534
U.S. Treasury Bills		—		39,493,795		—		39,493,795
Municipal Bonds		—		2,747,368		—		2,747,368
Options Purchased		—		914,715		—		914,715
Forward Foreign Currency Exchange Contracts**		—		511,868		—		511,868
Total Assets	$	174,364,139	$	3,670,875,359	$	214,536,777	$	4,059,776,275

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Interest Rate Swaptions Written	$	—	$	1,288,794	$	—		$	1,288,794
Credit Default Swap Agreements**		—		959,187		—			959,187
Interest Rate Swap Agreements**		—		6,155,027		—			6,155,027
Unfunded Loan Commitments (Note 8)		—		—		—	*		—
Total Liabilities	$	—	$	8,403,008	$	—		$	8,403,008

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

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 September 30, 2023			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	65,957,367	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Asset-Backed Securities		51,368,818	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		26,065,554	Yield Analysis		Yield		6.2%-7.3%		6.9%
Collateralized Mortgage Obligations		23,897,802	Model Price		Purchase Price		—		—
Corporate Bonds		18,731,858	Yield Analysis		Yield		6.7%		—
Corporate Bonds		11,347,560	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Corporate Bonds		3,627,000	Third Party Pricing		Broker Quote		—		—
Senior Floating Rate Interests		13,540,818	Yield Analysis		Yield		11.2%		—
Total Assets	$	214,536,777

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

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2023
LIMITED DURATION FUND

Significant changes in a quote, yield, market comparable yields, 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 year ended September 30, 2023, the Fund had securities with a total value of $33,100,000 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $1,842,708 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

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 year ended September 30, 2023:

	Assets
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Total Assets
Beginning Balance	$	138,990,860		$	24,443,994		$	39,180,570		$	16,423,965		$	219,039,389
Purchases/(Receipts)		59,861,785			23,938,368			—			137,988			83,938,141
(Sales, maturities and paydowns)/Fundings		(89,522,656	)		(25,700,000	)		(5,529,018	)		(424,879	)		(121,176,553	)
Amortization of premiums/discounts		104,943			132			(143,797	)		64,481			25,759
Total realized gains (losses) included in earnings		(2,621,353	)		—			(503,065	)		—			(3,124,418	)
Total change in unrealized appreciation (depreciation) included in earnings		3,478,210			1,215,308			701,728			(818,079	)		4,577,167
Transfers into Level 3		33,100,000			—			—			—			33,100,000
Transfers out of Level 3		(50	)		—			—			(1,842,658	)		(1,842,708	)
Ending Balance	$	143,391,739		$	23,897,802		$	33,706,418		$	13,540,818		$	214,536,777
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2023	$	(670,436	)	$	(40,572	)	$	150,044		$	(169,072	)	$	(730,036	)

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)
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/25/24		5.62	%		09/25/25
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62		9.17	%		09/25/25		10 17	%		09/25/26
CSMC Trust 2020-NQM1, 1.41% due 05/25/65		2.41	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/25/24		5.75	%		05/25/25
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60		4.65	%		08/25/24		5.65	%		08/25/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/25/24		6.25	%		11/25/25

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2023
LIMITED DURATION FUND

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)			Future Reset Date(s)
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/25/24		5.75	%		04/25/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61		4.67	%		08/01/24		5.67	%		08/01/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26
OBX Trust 2022-NQM9, 6.45% due 09/25/62		7.45	%		11/01/26		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/25/24		6.12	%		06/25/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/25/24		5.79	%		06/25/25
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		—			—
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, 2022, 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/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2023, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/22		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/23		Shares 09/30/23		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,251,332	$	1,563,730	$	—	$	—	$	371,364	$	31,186,426		1,284,978	$	1,564,080
Guggenheim Strategy Fund III		29,345,878		1,589,536		—		—		334,857		31,270,271		1,287,372		1,590,994
Guggenheim Ultra Short Duration Fund — Institutional Class		28,551,935		1,429,933		—		—		481,856		30,463,724		3,124,485		1,429,650
	$	87,149,145	$	4,583,199	$	—	$	—	$	1,188,077	$	92,920,421			$	4,584,724

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

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2023

Assets:
Investments in unaffiliated issuers, at value (cost $4,227,140,454)	$	3,966,343,986
Investments in affiliated issuers, at value (cost $93,876,872)		92,920,421
Foreign currency, at value (cost $117,625)		117,625
Cash		296,004
Segregated cash with broker		2,160,603
Unamortized upfront premiums paid on credit default swap agreements		169,403
Unamortized upfront premiums paid on interest rate swap agreements		1,170
Unrealized appreciation on forward foreign currency exchange contracts		511,868
Prepaid expenses		217,568
Receivables:
Interest		26,365,555
Fund shares sold		5,354,769
Securities sold		4,230,157
Dividends		425,057
Other assets		16
Total assets		4,099,114,202
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $—)		—
Options written, at value (premiums received $445,395)		1,288,794
Segregated cash due to broker		400,000
Unamortized upfront premiums received on credit default swap agreements		191,247
Unamortized upfront premiums received on interest rate swap agreements		33,310
Payable for:
Securities purchased		23,761,335
Fund shares redeemed		12,405,331
Distributions to shareholders		1,891,334
Variation margin on interest rate swap agreements		1,679,662
Management fees		1,160,989
Transfer agent fees		915,158
Distribution and service fees		136,936
Protection fees on credit default swap agreements		70,249
Fund accounting/administration fees		34,235
Due to Investment Adviser		17,608
Trustees’ fees*		4,854
Variation margin on credit default swap agreements		25
Miscellaneous		435,465
Total liabilities		44,426,532
Net assets	$	4,054,687,670
Net assets consist of:
Paid in capital	$	4,405,721,450
Total distributable earnings (loss)		(351,033,780	)
Net assets	$	4,054,687,670
A-Class:
Net assets	$	392,936,506
Capital shares outstanding		16,644,678
Net asset value per share	$	23.61
Maximum offering price per share (Net asset value divided by 97.75%)	$	24.15
C-Class:
Net assets	$	53,465,475
Capital shares outstanding		2,266,249
Net asset value per share	$	23.59
P-Class:
Net assets	$	54,668,369
Capital shares outstanding		2,315,810
Net asset value per share	$	23.61
Institutional Class:
Net assets	$	3,245,438,701
Capital shares outstanding		137,502,665
Net asset value per share	$	23.60
R6-Class:
Net assets	$	308,178,619
Capital shares outstanding		13,062,015
Net asset value per share	$	23.59

* 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 ANNUAL REPORT | 29

LIMITED DURATION FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2023

Investment Income:
Dividends from securities of unaffiliated issuers	$	115,420
Dividends from securities of affiliated issuers		4,584,724
Interest		179,307,684
Total investment income		184,007,828
Expenses:
Management fees		16,083,765
Distribution and service fees:
A-Class		1,115,453
C-Class		590,649
P-Class		171,736
Transfer agent fees:
A-Class		286,438
C-Class		63,750
P-Class		60,563
Institutional Class		3,713,484
R6-Class		3,141
Fund accounting/administration fees		1,694,311
Interest expense		779,082
Professional fees		411,741
Line of credit fees		217,943
Trustees fees*		77,965
Custodian fees		167,106
Miscellaneous		356,491
Recoupment of previously waived fees:
A-Class		30,384
C-Class		4,274
P-Class		2,293
Institutional Class		77,814
R6-Class		22,663
Total expenses		25,931,046
Less:
Expenses reimbursed by Adviser:
A-Class		(95,368	)
C-Class		(36,276	)
P-Class		(28,742	)
Institutional Class		(2,123,104	)
R6-Class		(1,436	)
Expenses waived by Adviser		(1,352,154	)
Earnings credits applied		(96,112	)
Total waived/reimbursed expenses		(3,733,192	)
Net expenses		22,197,854
Net investment income		161,809,974
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	(81,672,032	)
Swap agreements		5,050,034
Futures contracts		1,551,516
Options purchased		(4,306,390	)
Options written		(811,178	)
Forward foreign currency exchange contracts		3,375,053
Foreign currency transactions		(129,697	)
Net realized loss		(76,942,694	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		167,930,437
Investments in affiliated issuers		1,188,077
Swap agreements		(14,074,581	)
Options purchased		(10,704,384	)
Options written		1,939,158
Forward foreign currency exchange contracts		(8,640,355	)
Foreign currency translations		42,152
Net change in unrealized appreciation (depreciation)		137,680,504
Net realized and unrealized gain		60,737,810
Net increase in net assets resulting from operations	$	222,547,784

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

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

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2023			Year Ended September 30, 2022
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	161,809,974		$	105,834,694
Net realized gain (loss) on investments		(76,942,694	)		2,942,839
Net change in unrealized appreciation (depreciation) on investments		137,680,504			(455,180,176	)
Net increase (decrease) in net assets resulting from operations		222,547,784			(346,402,643	)
Distributions to shareholders:
A-Class		(16,755,868	)		(15,229,714	)
C-Class		(1,778,619	)		(1,053,900	)
P-Class		(2,575,520	)		(2,173,183	)
Institutional Class		(136,965,962	)		(109,271,775	)
R6-Class		(5,921,753	)		(826,365	)
Total distributions to shareholders		(163,997,722	)		(128,554,937	)
Capital share transactions:
Proceeds from sale of shares
A-Class		134,134,218			160,235,607
C-Class		14,149,452			11,936,961
P-Class		9,238,532			53,405,339
Institutional Class		1,552,067,621			2,719,216,190
R6-Class		339,029,073			6,914,200
Distributions reinvested
A-Class		13,736,751			12,605,568
C-Class		1,490,112			856,214
P-Class		2,558,616			2,173,183
Institutional Class		113,710,269			90,897,272
R6-Class		5,772,795			826,365
Cost of shares redeemed
A-Class		(311,444,561	)		(417,792,556	)
C-Class		(25,891,808	)		(33,537,200	)
P-Class		(39,029,342	)		(121,847,857	)
Institutional Class		(2,378,071,191	)		(3,467,436,046	)
R6-Class		(63,202,366	)		(21,559,738	)
Net decrease from capital share transactions		(631,751,829	)		(1,003,106,498	)
Net decrease in net assets		(573,201,767	)		(1,478,064,078	)
Net assets:
Beginning of year		4,627,889,437			6,105,953,515
End of year	$	4,054,687,670		$	4,627,889,437

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

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2023			Year Ended September 30, 2022
Capital share activity:
Shares sold
A-Class		5,673,976			6,516,599
C-Class		601,182			487,090
P-Class		393,536			2,172,486
Institutional Class		65,761,074			111,021,579
R6-Class		14,311,441			280,583
Shares issued from reinvestment of distributions
A-Class		582,051			514,766
C-Class		63,143			35,053
P-Class		108,402			88,801
Institutional Class		4,817,987			3,720,350
R6-Class		243,986			33,955
Shares redeemed
A-Class		(13,221,104	)		(17,070,775	)
C-Class		(1,100,053	)		(1,370,571	)
P-Class		(1,654,015	)		(4,908,204	)
Institutional Class		(100,931,627	)		(142,043,580	)
R6-Class		(2,675,457	)		(873,618	)
Net decrease in shares		(27,025,478	)		(41,395,486	)

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.28		$	25.42		$	25.57		$	24.68		$	24.70
Income (loss) from investment operations:
Net investment income (loss)a		.87			.42			.34			.40			.54
Net gain (loss) on investments (realized and unrealized)		.35			(2.04	)		.01	i		.94			.01
Total from investment operations		1.22			(1.62	)		.35			1.34			.55
Less distributions from:
Net investment income		(.89	)		(.43	)		(.38	)		(.45	)		(.57	)
Net realized gains		—			(.09	)		(.12	)		—			—	b
Total distributions		(.89	)		(.52	)		(.50	)		(.45	)		(.57	)
Net asset value, end of period	$	23.61		$	23.28		$	25.42		$	25.57		$	24.68
Total Returnc		5.31	%		(6.42	%)		1.38	%		5.51	%		2.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	392,937		$	549,667		$	855,473		$	625,386		$	570,353
Ratios to average net assets:
Net investment income (loss)		3.70	%		1.69	%		1.32	%		1.60	%		2.18	%
Total expensesd		0.80	%		0.80	%		0.79	%		0.84	%		0.83	%
Net expensese,f,g		0.75	%		0.74	%		0.74	%		0.77	%		0.75	%
Portfolio turnover rate		28	%		23	%		80	%		123	%		72	%

C-Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.27		$	25.41		$	25.55		$	24.66		$	24.68
Income (loss) from investment operations:
Net investment income (loss)a		.70			.24			.15			.21			.35
Net gain (loss) on investments (realized and unrealized)		.33			(2.04	)		.02	i		.95			.02
Total from investment operations		1.03			(1.80	)		.17			1.16			.37
Less distributions from:
Net investment income		(.71	)		(.25	)		(.19	)		(.27	)		(.39	)
Net realized gains		—			(.09	)		(.12	)		—			—	b
Total distributions		(.71	)		(.34	)		(.31	)		(.27	)		(.39	)
Net asset value, end of period	$	23.59		$	23.27		$	25.41		$	25.55		$	24.66
Total Returnc		4.48	%		(7.13	%)		0.67	%		4.72	%		1.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	53,465		$	62,864		$	90,205		$	86,143		$	85,100
Ratios to average net assets:
Net investment income (loss)		2.96	%		0.96	%		0.58	%		0.85	%		1.42	%
Total expensesd		1.60	%		1.58	%		1.58	%		1.61	%		1.60	%
Net expensese,f,g		1.50	%		1.49	%		1.49	%		1.52	%		1.50	%
Portfolio turnover rate		28	%		23	%		80	%		123	%		72	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.28		$	25.42		$	25.57		$	24.68		$	24.70
Income (loss) from investment operations:
Net investment income (loss)a		.87			.42			.34			.40			.54
Net gain (loss) on investments (realized and unrealized)		.35			(2.04	)		.01	i		.94			.01
Total from investment operations		1.22			(1.62	)		.35			1.34			.55
Less distributions from:
Net investment income		(.89	)		(.43	)		(.38	)		(.45	)		(.57	)
Net realized gains		—			(.09	)		(.12	)		—			—	b
Total distributions		(.89	)		(.52	)		(.50	)		(.45	)		(.57	)
Net asset value, end of period	$	23.61		$	23.28		$	25.42		$	25.57		$	24.68
Total Return		5.31	%		(6.42	%)		1.38	%		5.50	%		2.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54,668		$	80,735		$	155,465		$	150,623		$	108,691
Ratios to average net assets:
Net investment income (loss)		3.69	%		1.67	%		1.33	%		1.60	%		2.18	%
Total expensesd		0.82	%		0.95	%		0.83	%		0.90	%		0.88	%
Net expensese,f,g		0.75	%		0.74	%		0.74	%		0.77	%		0.75	%
Portfolio turnover rate		28	%		23	%		80	%		123	%		72	%

Institutional Class	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019
Per Share Data
Net asset value, beginning of period	$	23.28		$	25.42		$	25.56		$	24.67		$	24.69
Income (loss) from investment operations:
Net investment income (loss)a		.93			.49			.40			.46			.60
Net gain (loss) on investments (realized and unrealized)		.34			(2.05	)		.03	i		.95			.01
Total from investment operations		1.27			(1.56	)		.43			1.41			.61
Less distributions from:
Net investment income		(.95	)		(.49	)		(.45	)		(.52	)		(.63	)
Net realized gains		—			(.09	)		(.12	)		—			—	b
Total distributions		(.95	)		(.58	)		(.57	)		(.52	)		(.63	)
Net asset value, end of period	$	23.60		$	23.28		$	25.42		$	25.56		$	24.67
Total Return		5.53	%		(6.19	%)		1.67	%		5.77	%		2.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,245,439		$	3,907,125		$	4,960,578		$	2,911,309		$	2,421,315
Ratios to average net assets:
Net investment income (loss)		3.96	%		1.97	%		1.58	%		1.85	%		2.43	%
Total expensesd		0.59	%		0.56	%		0.56	%		0.59	%		0.57	%
Net expensese,f,g		0.50	%		0.49	%		0.49	%		0.52	%		0.50	%
Portfolio turnover rate		28	%		23	%		80	%		123	%		72	%

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

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	Year Ended September 30, 2023			Year Ended September 30, 2022			Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019h
Per Share Data
Net asset value, beginning of period	$	23.26		$	25.40		$	25.55		$	24.66		$	24.58
Income (loss) from investment operations:
Net investment income (loss)a		1.00			.48			.40			.48			.31
Net gain (loss) on investments (realized and unrealized)		.29			(2.04	)		.02	i		.93			.14
Total from investment operations		1.29			(1.56	)		.42			1.41			.45
Less distributions from:
Net investment income		(.96	)		(.49	)		(.45	)		(.52	)		(.37	)
Net realized gains		—			(.09	)		(.12	)		—			—
Total distributions		(.96	)		(.58	)		(.57	)		(.52	)		(.37	)
Net asset value, end of period	$	23.59		$	23.26		$	25.40		$	25.55		$	24.66
Total Return		5.60	%		(6.19	%)		1.64	%		5.78	%		1.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	308,179		$	27,499		$	44,232		$	31,315		$	314,764
Ratios to average net assets:
Net investment income (loss)		4.22	%		1.94	%		1.58	%		1.96	%		2.24	%
Total expensesd		0.49	%		0.49	%		0.49	%		0.53	%		0.51	%
Net expensese,f,g		0.46	%		0.49	%		0.49	%		0.52	%		0.50	%
Portfolio turnover rate		28	%		23	%		80	%		123	%		72	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Less than $0.01 per share.
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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.01%	0.00%*	—	0.00%*	0.00%*
C-Class	0.01%	—	—	0.00%*	—
P-Class	0.00%*	—	—	0.00%*	0.00%*
Institutional Class	0.00%*	—	—	0.00%*	0.00%*
R6-Class	0.02%	0.02%	0.01%	0.00%*	0.00%*h

* 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:

	09/30/23	09/30/22	09/30/21	09/30/20	09/30/19
A-Class	0.72%	0.73%	0.73%	0.75%	0.75%
C-Class	1.48%	1.48%	1.48%	1.50%	1.50%
P-Class	0.72%	0.73%	0.73%	0.75%	0.75%
Institutional Class	0.47%	0.48%	0.48%	0.50%	0.50%
R6-Class	0.44%	0.48%	0.48%	0.50%	0.50%h

h	Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	The amount shown for a share outstanding throughout the year does not agree with the aggregate net loss on investments for the year because of the sales and purchases of fund shares in relation to fluctuating market value of the investments of the Fund.

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

NOTES TO FINANCIAL STATEMENTS

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 (the “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 8-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” or the “Adviser”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2023, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At September 30, 2023, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) serves as distributor of the Fund’s shares. 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 share 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 share class by the number of outstanding shares of the share 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 “Fund Valuation Procedures”). The SEC adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

Pursuant to Rule 2a-5, the Board has designated the Adviser as the valuation designee to perform fair valuation determinations for the Fund with respect to all Fund investments and other assets. As the Fund’s valuation designee pursuant to Rule 2a-5, the Adviser has adopted separate procedures (the “Valuation Designee Procedures” and collectively with the Fund Valuation Procedures, the “Valuation Procedures”) reasonably designed to prevent violations of the requirements of Rule 2a-5 and Rule 31a-4. The Adviser, in its role as valuation designee, utilizes the assistance of a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), in determining the fair value of the Fund’s securities and other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing service providers appointed pursuant to the processes set forth in the Valuation Procedures. The Adviser, with the assistance of the Valuation Committee, convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued. The Adviser, consistent with the

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

monitoring and review responsibilities set forth in the Valuation Procedures, regularly reviews the appropriateness of the inputs, methods, models and assumptions employed by the pricing service provider.

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

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 Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“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 Adviser is authorized to use prices and other information supplied by a pricing service provider 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 generally valued at the last quoted sale price.

U.S. Government securities are valued by pricing service providers, the last traded fill price, or at the reported bid price at the close of business.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

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

Typically, loans are valued using information provided by a pricing service provider which uses broker quotes, among other inputs. If the pricing service provider 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 Adviser.

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 and options on swaps (“swaptions”) are valued using a price provided by a pricing service provider.

Futures contracts are valued on the basis of the last sale price 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.

Interest rate swap agreements entered into by the Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

Other swap agreements entered into by the Fund are generally valued using an evaluated price provided by a pricing service provider.

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 the Adviser. 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 ANNUAL REPORT | 37

NOTES TO FINANCIAL STATEMENTS (continued)

(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, (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. Recently, 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) 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.

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).

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(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, geopolitical 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) 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 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 September 30, 2023, if any, are disclosed in the Fund’s 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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

NOTES TO FINANCIAL STATEMENTS (continued)

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.

(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 share classes based upon the value of the outstanding shares in each share class. Certain costs, such as distribution and service fees are charged directly to specific share 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 Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2023, are disclosed in the Statement of Operations.

(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 5.33% at September 30, 2023.

(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.

(r) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

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 Fund’s Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which 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.

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

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	$	579,916,667	$	40,382,963

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NOTES TO FINANCIAL STATEMENTS (continued)

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	$	8,239	$	89,875,833

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
Index exposure, income	$	64,007,292	$	—

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.

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.

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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	$	235,875,000	$	10,372,583

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 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, Income	$	12,500,000	$	42,175,000

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.

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NOTES TO FINANCIAL STATEMENTS (continued)

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	$	428,074	$	42,089,153

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 September 30, 2023:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Unamortized upfront premiums received on interest rate swap agreements
	Variation margin on interest rate swap agreements
Credit default swap contracts	Unamortized upfront premiums paid on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements
		Variation margin on credit default swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation 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 September 30, 2023:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
	$	—	$	—		511,868	$	914,715	$	—	$	1,426,583

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Swaps Credit Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Options Written Interest Rate Risk		Total Value at September 30, 2023
	$	6,155,027	$	959,187	$	—	$	—	$	1,288,794	$	8,403,008

* 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 Fund’s Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2023:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Futures contracts	Net realized gain (loss) on futures contracts
Interest/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Interest rate option contracts	Net realized gain (loss) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Currency forward 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 Fund’s Statement of Operations categorized by primary risk exposure for the year ended September 30, 2023:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Options Written Interest Rate Risk			Total
	$	1,551,516	$	6,373,741	$	(1,323,707	)	$	2,719,803	$	(4,306,390	)	$	3,375,053	$	—	$	(3,530,981	)	$	4,859,035

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 Written Equity Risk		Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk			Options Written Interest Rate Risk		Total
	$	—	$	(13,511,642	)	$	(562,939	)	$	1,113,372	$	(8,650,164	)	$	(8,640,355	)	$	(2,054,220	)	$	825,786	$	(31,480,162	)

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

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NOTES TO FINANCIAL STATEMENTS (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 Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions rated/identified as investment grade or better. The Trust monitors the counterparty credit risk associated with each such financial institution.

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 Fund’s 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 Fund’s Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (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
Options Purchased	$	914,715	$	—		914,715	$	(313,462	)	$	(400,000	)	$	201,253
Forward foreign currency exchange contracts		511,868		—		511,868		(511,868	)		—			—

							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 Amounts of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Options Written	$	1,288,794	$	—	$	1,288,794	$	(825,330	)	$	—	$	463,464

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 September 30, 2023.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Credit default swap agreements	$	1,124,856	$	—
BofA Securities, Inc.	Interest rate swap agreements		1,035,747		—
Goldman Sachs International	Options		—		90,000
Morgan Stanley Capital Services LLC	Options		—		310,000
			2,160,603		400,000

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 between market participants at the measurement date. 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 — unadjusted quoted prices in active markets for identical assets or liabilities.

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. 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.

Pricing service providers are used to value a majority of the Fund’s investments. When values are not available from a pricing service provider, 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 pricing service provider based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities or other assets are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed 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.

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NOTES TO FINANCIAL STATEMENTS (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		02/01/25
C-Class		1.50	%		12/01/13		02/01/25
P-Class		0.75	%		05/01/15		02/01/25
Institutional Class		0.50	%		12/01/13		02/01/25
R6-Class		0.50	%		03/13/19		02/01/25

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 September 30, 2023, 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:

	2024		2025		2026		Fund Total
A-Class	$	332,853	$	400,848	$	95,368	$	829,069
C-Class		80,424		68,209		36,276		184,909
P-Class		146,751		202,943		28,742		378,436
Institutional Class		2,560,156		3,164,191		2,123,104		7,847,451
R6-Class		—		—		1,175		1,175

For the year ended September 30, 2023, GI recouped $137,428 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 year ended September 30, 2023, the Fund waived $73,696 related to investments in affiliated funds.

For the year ended September 30, 2023, GFD retained sales charges of $132,849 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 of 1986, as amended (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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (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 tax character of distributions paid during the year ended September 30, 2023 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	163,997,722	$	—	$	163,997,722

The tax character of distributions paid during the year ended September 30, 2022 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	112,022,155	$	16,532,782	$	128,554,937

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2023 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	17,156,119	$	—	$	(269,385,190	)	$	(83,014,525	)	$	(15,790,184	)	$	(351,033,780	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2023, capital loss carryforwards for the Fund were as follows:

Unlimited						Total Capital Loss
Short-Term			Long-Term			Carryforward
$	(5,433,608	)	$	(77,580,917	)	$	(83,014,525	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements and CLO investments, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, paydown reclasses, dividends payable, and the disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2023 for permanent book/tax differences.

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

At September 30, 2023, 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 (Depreciation)
$	4,320,230,804	$	—	$	(269,369,405	)	$	(269,369,405	)

Note 7 – Securities Transactions

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	479,533,734	$	1,537,356,280

For the year ended September 30, 2023, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	568,933,362	$	251,426,706

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 year ended September 30, 2023, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2023, were as follows:

Borrower	Maturity Date		Face Amount		Value
Fontainbleau Vegas		01/31/26	$	797,724	$	—
Lightning A		03/01/37		3,131,817		—
Thunderbird A		03/01/37		3,178,667		—
					$	—

THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (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
Cascade Funding Mortgage Trust
2018-RM2 4.00% (WAC) due 10/25/681		11/02/18	$	4,394,744	$	4,332,785
Cascade Funding Mortgage Trust
2019-RM3 2.80% (WAC) due 06/25/691		06/25/19		899,962		872,863
CFMT LLC
2022-HB9 3.25% (WAC) due 09/25/371		09/23/22		1,930,733		1,865,144
Copper River CLO Ltd.
2007-1A INC, due 01/20/212		05/09/14		—		50
LSTAR Securities Investment Ltd.
2021-1 8.24% (1 Month Term SOFR + 2.91%, Rate Floor: 1.80%) due 02/01/261		02/04/21		6,824,430		6,698,014
Towd Point Revolving Trust
4.83% due 09/25/64		03/17/22		18,499,936		17,986,625
			$	32,549,805	$	31,755,481

1

Variable rate security. Rate indicated is the rate effective at September 30, 2023. 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 – 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 effectiviely be restricted pending such decision.

For the year ended September 30, 2023, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding		Balance at September 30, 2023			Average Balance Outstanding		Average Interest Rate
	103	$	—	*	$	64,506,185		4.28	%

* As of September 30, 2023, there were no open reverse repurchase agreements.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,150,000,000 line of credit from Citibank, N.A., which was in place through September 29, 2023, at which time a new line of credit was entered into in the amount of $1,165,000,000. The 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”, SOFR 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 Fund’s Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2023.

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 12 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates (which have since risen and may continue to rise), changes in inflation rates or expectations about inflation rates (which are currently elevated relative to normal conditions), adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods. Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the financial statements are issued and determined there were no material events that would require adjustment to or disclosure in the Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Limited Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Limited Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2023, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, transfer agent, brokers, and paying agents; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 28, 2023

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2024, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2023.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2023, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2023, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See the qualified interest income column in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	0.08	%		0.08	%		72.79	%

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 the 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 the 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 the 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.

Tailored Shareholder Reports for Open-End Mutual Funds and Exchange-Traded Funds

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and exchange-traded funds registered on Form N-1A to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Fund.

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

OTHER INFORMATION (Unaudited)(continued)

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.

Report of the Guggenheim Funds Trust Board of Trustees

The Board of Trustees of Guggenheim Funds Trust (the “Trust”), including the Independent Trustees, unanimously approved the renewal of the investment management agreements (as applicable to a specific Fund, the “Advisory Agreement” and collectively, the “Advisory Agreements”) with Security Investors, LLC (“Security Investors”) and Guggenheim Partners Investment Management, LLC (“GPIM”) on behalf of the applicable series of the Trust listed below (each a “Fund” and collectively, the “Funds”) and the investment sub-advisory agreement between Security Investors and GPIM on behalf of Guggenheim Municipal Income Fund (the “Sub-Advisory Agreement” and together with the “Advisory Agreements,” the “Agreements”):

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)*	●	Guggenheim Core Bond Fund (“Core Bond Fund”)*
●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)**	●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)**
●	Guggenheim High Yield Fund (“High Yield Fund”)*	●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)*
●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)**	●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)**1
●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)**	●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)*
●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)**	●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)*
●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)*	●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)*
●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)*	●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)**
●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)**	●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)*

*	Security Investors serves as investment adviser to the Fund.
**	GPIM serves as investment adviser to the Fund. Unless the context indicates otherwise, GPIM and Security Investors, with respect to their service as investment adviser to the applicable Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

¹ GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Board and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Security Investors and GPIM are each an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”). Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.

At meetings held in person on April 17-18, 2023 (the “April Meeting”) and meetings held by videoconference on May 15, 2023 and in person on May 24, 2023 (the “May Meeting”), the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements. As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the FUSE reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for Market Neutral Real Estate Fund were the same as the performance universe constituent funds due to the Fund’s investment strategy.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Committee. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the applicable Agreements for an additional annual term. Following its review of the Committee’s recommendation, the Board approved the renewal of the applicable Agreements for each Fund for a one-year period ending August 1, 2024 at a meeting held on May 23-24, 2023 (the “May Board Meeting” and together with the May Meeting, the “May Meetings”) and determined to adopt the Committee’s considerations and conclusions, which follow.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds. The Committee also considered Guggenheim’s discussion of its ongoing review of the Guggenheim fund line-up at the April Meeting and the May Board Meeting. In addition, the Committee considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

OTHER INFORMATION (Unaudited)(continued)

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including regulatory, operational, legal and entrepreneurial risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the Investment Company Act of 1940, as amended. In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and the Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.² As a result, in evaluating the services provided to the Municipal Income Fund under the Sub-Advisory Agreement, the Committee did not separately consider the contributions under the Advisory Agreement and the Sub-Advisory Agreement.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2022, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE (except as noted above with respect to Market Neutral Real Estate Fund), in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain performance information as of March 31, 2023. In assessing each Fund’s performance, the Committee considered that the Board receives regular reporting from Guggenheim regarding performance and evaluates performance throughout the year.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered. In addition, the Committee made the following observations:

² Consequently, except where the context indicates otherwise, references to “Adviser,” “Advisers” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under the Agreements.

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 96th and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers and long exposure to value and short exposure to growth have detracted from investment performance. The Committee also noted management’s statement that as a result of an update in 2021 to the quantitative investment methodology that the Fund employs, as well as the more recent comeback of value-oriented, higher quality names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 78th and 75th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee further noted management’s statement that the Fund’s allocation process was updated in 2021, resulting in an increase in the Fund’s equity exposure, and that there was some improvement in the Fund’s performance rankings relative to its performance universe for the three-year and one-year periods ended December 31, 2022. The Committee noted management’s statement that although the Fund’s increased equity exposure was detrimental to the Fund’s performance relative to peers in 2022 due to the poor performance of U.S. equities that year, Guggenheim believes the increased equity exposure will ultimately benefit shareholders and support total return performance in the medium to long term. The Committee also noted the Fund’s small size and considered management’s statements that the Fund continues to be a viable offering and that Guggenheim is able to manage the Fund at its current size.

Market Neutral Real Estate Fund: The returns of the Fund’s Institutional Class shares ranked in the 44th and 89th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the three-year time period was due to underperforming pairs of offsetting long and short positions as well as several stock- and sector-specific issues, and considered that, despite recent underperformance, the Fund experienced performance that ranks in the top half of its performance universe for the five-year period ended December 31, 2022.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 89th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s conservative positioning in high quality, long-duration assets, which underperformed over the past two years due to a risk-on sentiment in 2021 and due to fears of duration risk in 2022, contributed to relative underperformance over the five-year and three-year time periods. The Committee noted management’s statement that the Fund’s allocation to closed-end funds also contributed to relative underperformance in 2022 as the increased cost of leverage weighed on the performance of such funds. The Committee considered management’s belief that an economic downturn that is likely to follow the Federal Reserve’s tightening of financial conditions will disproportionately affect weaker municipal credits and could lead to distress in names the Fund has avoided. The Committee also took into account management’s further discussions of performance attribution and outlook for the Fund at the April Meeting and the May Board Meeting, during which management highlighted that the Fund’s relative underperformance in 2022 was due to the exceptional volatility in the fixed-income markets that year which also impacted relative performance for the trailing five-year and three-year time periods, and noted the overall low dispersion in absolute investment returns among municipal bond funds.

StylePlus—Mid Growth Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 67th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over the five-year time period can be attributed to the more conservative positioning of the underlying funds in which the Fund invests, resulting in yields insufficient to offset fund fees and other costs, as well as the strategy’s tilt to value-oriented, lower-growth names within the mid-cap growth segment as growth outperformed value securities from 2018 through 2020. The Committee also noted management’s statement that as a result of the more recent comeback of value-oriented, lower-growth names, the Fund experienced performance rankings that compare more favorably relative to its performance universe for the three-year and one-year periods ended December 31, 2022.

Ultra Short Duration Fund: The returns of the Fund’s Institutional Class shares ranked in the 76th and 63rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2022, respectively. The Committee noted management’s explanation that the Fund’s overweight duration positioning over the five-year time period relative to its performance universe as well as higher allocations

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OTHER INFORMATION (Unaudited)(continued)

to structured credit during the second half of 2022, which underperformed corporate credit during that period, contributed to relative underperformance over the five-year time period. The Committee considered management’s expectation that the resetting of higher interest rates should help the Fund to perform well going forward and that the divergence in the relationship between structured and corporate credit should normalize going forward and lead to relative outperformance, noting that there was some improvement in the Fund’s performance ranking relative to its performance universe for the one-year period ended December 31, 2022.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that, with respect to each Fund other than Municipal Income Fund: (i) the Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and/or efforts to improve investment performance; and, with respect to Municipal Income Fund, it would continue to monitor the Fund’s investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee (which, for Municipal Income Fund, includes the sub-advisory fee paid to the Sub-Adviser), net effective management fee³ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations. The Committee also considered Guggenheim’s discussion of information regarding fee and expense trends across the open-end fund industry and its response to those trends with respect to the funds in the Guggenheim fund complex, including the Funds.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the regulatory, operational, legal and entrepreneurial risks involved with the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group. In addition, the Committee made the following observations:

Floating Rate Strategies Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

³ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

Limited Duration Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the five-year and three-year periods ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (82nd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (64th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement and contractual advisory fee breakpoint of 5 basis points on average daily net assets above $5 billion.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (43rd percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The Committee considered the Adviser’s statement that the total expense ratio for the Fund’s Institutional Class shares is competitive and in-line with the peer group average and median and that the Fund’s contractual advisory fee is competitive. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

SMid Cap Value Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the first quartile (7th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered that the Fund’s contractual advisory fee ranks favorably in the first quartile of its peer group and reviewed the other expenses that impacted the total net expense ratio. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Total Return Bond Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (67th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the three-year period ended December 31, 2022. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2022, gross revenues received, and expenses incurred directly or through allocations, by Guggenheim Investments, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2021. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis. In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and the representation by the Chief Financial Officer of Guggenheim Investments that such methods provided a reasonable basis for determining the profitability of the applicable Adviser with respect to each Fund. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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OTHER INFORMATION (Unaudited)(continued)

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that Guggenheim’s decrease in 2022 in overall expenses was attributable to decreased product costs driven by lower average assets under management and lower non-recurring costs related to closed-end fund matters as well as a decrease in compensation and benefits. The Committee also considered that although expenses related to investment resources decreased in 2022, Guggenheim’s shared services expenses and certain other expenses increased in 2022.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee took into account Guggenheim’s representation that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meetings, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement for Municipal Income Fund

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and the Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not separately evaluate the services provided under the Advisory Agreement and the Sub-Advisory Agreement. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the Advisory Agreement. With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments. The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the renewal of each applicable Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her informed business judgment, may afford different weights to different factors.

Following its review of the Committee’s analysis and determinations, the Board adopted the considerations and conclusions of the Committee and determined to approve the renewal of the Agreements.

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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).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (financial services firm) (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).

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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 - continued
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 (registered investment adviser) (1996-present); Chief Executive Officer, ETF Flows, LLC (financial advisor education and research provider) (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (index provider) (2021-present); Vice Chairman, VettaFi (financial advisor content, research and digital distribution provider) (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present); The 2023 ETF Series Trust (4) (June 2023-present); The 2023 ETF Series Trust II (1) (August 2023-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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 (law firm) (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (law firm) (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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
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. (construction and real estate development company) (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); 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. (registered broker dealer) (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).

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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***
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).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	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, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Active 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 Adviser and/or the parent of the Adviser.

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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, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Mutual Funds Boards, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (2018-present);Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); 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); Managing 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); Senior Managing Director, 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).

68 | THE GUGGENHEIM FUNDS 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).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, 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 ANNUAL REPORT | 69

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.

70 | THE GUGGENHEIM FUNDS 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

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.

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” (as defined in the Liquidity Rule) is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and periodic review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed, managed, and periodically reviewed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, short-term and long-term cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories. The classification is based on a determination of the number of days a Fund reasonably expects to take to convert the investment into cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of a Fund’s net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in “illiquid investments” (as defined in the Liquidity Rule). Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2022, to March 31, 2023. The Report summarized the Administrator’s assessment of the Program’s implementation and concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.

Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the code of ethics during the period covered by this report. The code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).

(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the Audit Committee and Board of Trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements, or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $705,059 and $705,059 for the fiscal years ended September 30, 2023 and September 30, 2022, respectively.

(b) Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $0 and $0 for fiscal years ended September 30, 2023 and September 30, 2022, respectively.

(c) Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning including preparation of tax returns and distribution assistance were $260,077 and $252,455 for the fiscal years ended September 30, 2023 and September 30, 2022, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations.

(d) All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2023 and September 30, 2022, respectively.

(e) Audit Committee Pre-Approval Policies and Procedures.

(1) Audit Committee pre-approval policies and procedures:

To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:

1. Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”).

(b) The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.

(c) For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee.

(d) For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.

(e) All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee.

(f) The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).

2. Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next regularly scheduled Committee meeting.

(b) For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.

a. Pre-Approval Requirements

i. Categories of Services to be Reviewed and Considered for Pre-Approval

1. Audit Services

a. Annual financial statement audits

b. Seed audits (related to new product filings, as required)

c. SEC and regulatory filings and consents

2. Audit-Related Services

a. Accounting consultations

b. Fund merger/reorganization support services

c. Other accounting related matters

d. Agreed upon procedures reports

e. Attestation reports

f. Other internal control reports

3. Tax Services

a. Recurring tax services:

i. Preparation of Federal and state income tax returns, including extensions

ii. Preparation of calculations of taxable income, including fiscal year tax designations

iii. Preparation of annual Federal excise tax returns (if applicable)

iv. Preparation of calendar year excise distribution calculations

v. Calculation of tax equalization on an as-needed basis

vi. Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds

vii. Preparation of the estimated excise distribution calculations on an as-needed basis

viii. Preparation of calendar year shareholder reporting designations on Form 1099

ix. Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis

x. Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes

xi. Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes

b. Permissible non-recurring tax services upon request:

i. Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards

ii. Assistance with corporate actions and tax treatment of complex securities and structured products

iii. Assistance with IRS ruling requests and calculation of deficiency dividends

iv. Conduct training sessions for the Adviser’s internal tax resources

v. Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions

vi. Tax services related to amendments to Federal, state and local returns and sales and use tax compliance

vii. RIC qualification reviews

viii. Tax distribution analysis and planning

ix. Tax authority examination services

x. Tax appeals support services

xi. Tax accounting methods studies

xii. Fund merger, reorganization and liquidation support services

xiii. Tax compliance, planning and advice services and related projects

xiv. Assistance with out of state residency status

xv. Provision of tax compliance services in India for Funds with direct investments in India

B. Pre-Approval Not Required

Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Trust pursuant to Section V.B.2 is not required, if:

1. the aggregate amount of all non-audit services provided to the Trust is no more than 5% of the total fees paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided;

2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and

3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Adviser (or any affiliate of the Adviser providing ongoing services to the Trust) pursuant to Section V.B.3 is not required, if:

1. the aggregate amount of all non-audit services provided is no more than 5% of the total fees paid to the Trust’s independent auditors by the Trust, the Adviser and any “control affiliate” of the Adviser providing ongoing services to the Trust during the fiscal year in which the non-audit services are provided;

2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and

3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding years for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $260,077 and $252,455, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) The Schedule of Investments is included under Item 1 of this Form.

(b) Not applicable.

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) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that have materially affected, or are 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) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.

(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 Investment Company Act (17 CFR 270.30a-2(a)) are attached.

(a)(3) Not applicable.

(a)(4) Not applicable.

(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 Investment Company Act (17 CFR 270.30a-2(b)) are 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	December 6, 2023

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	December 6, 2023
By (Signature and Title)*	/s/ James Howley
	James Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	December 6, 2023

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