SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Name and address of agent for service)
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Guggenheim Alternative Fund | ||
Guggenheim Multi-Hedge Strategies Fund | ||
Rydex Commodities Fund | ||
Rydex Commodities Strategy Fund |
GuggenheimInvestments.com | RDXSGIALT-SEMI-0617x1217 |
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TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
ALTERNATIVE FUND | |
MULTI-HEDGE STRATEGIES FUND | 8 |
COMMODITIES FUND | |
COMMODITIES STRATEGY FUND | 43 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 53 |
OTHER INFORMATION | 76 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 80 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 86 |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
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2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2017 |
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value December 31, 2016 | Ending Account Value June 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Multi-Hedge Strategies Fund | |||||
A-Class | 2.33% | 0.12% | $ 1,000.00 | $ 1,001.20 | $ 11.56 |
C-Class | 3.09% | (0.23%) | 1,000.00 | 997.70 | 15.31 |
P-Class | 2.32% | 0.12% | 1,000.00 | 1,001.20 | 11.51 |
Institutional Class | 2.08% | 0.24% | 1,000.00 | 1,002.40 | 10.33 |
Commodities Strategy Fund | |||||
A-Class | 1.64% | (10.35%) | 1,000.00 | 896.50 | 7.71 |
C-Class | 2.38% | (10.75%) | 1,000.00 | 892.50 | 11.17 |
H-Class | 1.66% | (10.38%) | 1,000.00 | 896.20 | 7.80 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Multi-Hedge Strategies Fund | |||||
A-Class | 2.33% | 5.00% | $ 1,000.00 | $ 1,013.24 | $ 11.63 |
C-Class | 3.09% | 5.00% | 1,000.00 | 1,009.47 | 15.40 |
P-Class | 2.32% | 5.00% | 1,000.00 | 1,013.29 | 11.58 |
Institutional Class | 2.08% | 5.00% | 1,000.00 | 1,014.48 | 10.39 |
Commodities Strategy Fund | |||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.66 | 8.20 |
C-Class | 2.38% | 5.00% | 1,000.00 | 1,012.99 | 11.88 |
H-Class | 1.66% | 5.00% | 1,000.00 | 1,016.56 | 8.30 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. This ratio represents net expenses which include interest and dividend expenses related to securities sold short. Excluding short interest and dividend expenses, the net expense ratio of the Multi-Hedge Strategies Fund would be 1.43%, 2.18%, 1.43% and 1.18% for the A-Class, C-Class, P-Class and Institutional 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 181/365 (to reflect the one-half year period). | |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
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8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | June 30, 2017 |
Inception Dates: | |
A-Class | September 19, 2005 |
C-Class | September 19, 2005 |
P-Class | September 19, 2005 |
Institutional Class | May 3, 2010 |
Ten Largest Holdings (% of Total Net Assets) | |
NXP Semiconductor N.V. | 2.1% |
Cabela’s, Inc. | 2.1% |
VCA, Inc. | 1.8% |
Mobileye N.V. | 1.5% |
Alere, Inc. | 1.4% |
Brocade Communications Systems, Inc. | 1.4% |
Fortress Investment Group, LLC — Class A | 1.1% |
Time Warner, Inc. | 1.0% |
Rice Energy, Inc. | 1.0% |
Monsanto Co. | 0.8% |
Top Ten Total | 14.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2017 |
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 0.12% | 0.69% | 1.69% | (0.68%) |
A-Class Shares with sales charge‡ | (4.63%) | (4.11%) | 0.70% | (1.16%) |
C-Class Shares | (0.23%) | (0.06%) | 0.94% | (1.42%) |
C-Class Shares with CDSC§ | (1.22%) | (1.06%) | 0.94% | (1.42%) |
P-Class Shares | 0.12% | 0.69% | 1.69% | (0.68%) |
HFRX Global Hedge Fund Index | 2.56% | 6.00% | 1.91% | (0.95%) |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
6 month† | 1 Year | 5 Year | Since Inception (05/03/10) | |
Institutional Class Shares | 0.24% | 0.93% | 1.94% | 2.72% |
HFRX Global Hedge Fund Index | 2.56% | 6.00% | 1.91% | 0.58% |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 12.66% |
* | 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 HFRX Global Hedge Fund Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 52.5% | ||||||||
Consumer, Non-cyclical – 11.9% | ||||||||
VCA, Inc.*,1 | 16,040 | $ | 1,480,651 | |||||
Alere, Inc.*,1 | 22,151 | 1,111,758 | ||||||
SciClone Pharmaceuticals, Inc.*,1 | 59,194 | 651,134 | ||||||
VWR Corp.* | 18,893 | 623,658 | ||||||
Reynolds American, Inc.1 | 9,137 | 594,269 | ||||||
Albany Molecular Research, Inc.*,1 | 26,798 | 581,518 | ||||||
Akorn, Inc.*,1 | 11,540 | 387,052 | ||||||
PAREXEL International Corp.* | 3,610 | 313,745 | ||||||
CR Bard, Inc.1 | 871 | 275,332 | ||||||
MoneyGram International, Inc.*,1 | 15,763 | 271,912 | ||||||
Amgen, Inc.1 | 654 | 112,639 | ||||||
AbbVie, Inc.1 | 1,537 | 111,448 | ||||||
ManpowerGroup, Inc.1 | 993 | 110,868 | ||||||
United Rentals, Inc.*,1 | 970 | 109,329 | ||||||
Tyson Foods, Inc. — Class A1 | 1,702 | 106,597 | ||||||
Johnson & Johnson1 | 804 | 106,361 | ||||||
CoreLogic, Inc.*,1 | 2,436 | 105,674 | ||||||
Baxter International, Inc.1 | 1,726 | 104,492 | ||||||
Teleflex, Inc.1 | 496 | 103,049 | ||||||
Procter & Gamble Co.1 | 1,182 | 103,011 | ||||||
Archer-Daniels-Midland Co.1 | 2,483 | 102,747 | ||||||
Biogen, Inc.*,1 | 378 | 102,574 | ||||||
Quest Diagnostics, Inc.1 | 922 | 102,489 | ||||||
Cooper Cos., Inc.1 | 426 | 101,993 | ||||||
Danaher Corp.1 | 1,206 | 101,774 | ||||||
Ingredion, Inc.1 | 851 | 101,449 | ||||||
Euronet Worldwide, Inc.*,1 | 1,135 | 99,165 | ||||||
Graham Holdings Co. — Class B1 | 165 | 98,942 | ||||||
Bunge Ltd.1 | 1,301 | 97,055 | ||||||
Bio-Rad Laboratories, Inc. — Class A*,1 | 426 | 96,408 | ||||||
JM Smucker Co.1 | 804 | 95,137 | ||||||
Quanta Services, Inc.*,1 | 2,861 | 94,184 | ||||||
Molson Coors Brewing Co. — Class B1 | 1,088 | 93,938 | ||||||
Spectrum Brands Holdings, Inc.1 | 733 | 91,655 | ||||||
WellCare Health Plans, Inc.*,1 | 496 | 89,062 | ||||||
United Therapeutics Corp.*,1 | 662 | 85,881 | ||||||
KAR Auction Services, Inc.1 | 1,986 | 83,352 | ||||||
DaVita, Inc.*,1 | 1,277 | 82,699 | ||||||
Pinnacle Foods, Inc.1 | 1,253 | 74,428 | ||||||
Gilead Sciences, Inc.1 | 1,017 | 71,983 | ||||||
Universal Health Services, Inc. — Class B1 | 544 | 66,412 | ||||||
Charles River Laboratories International, Inc.*,1 | 591 | 59,780 | ||||||
Post Holdings, Inc.*,1 | 757 | 58,781 | ||||||
Pfizer, Inc.1 | 1,655 | 55,591 | ||||||
Laboratory Corp. of America Holdings*,1 | 331 | 51,020 | ||||||
Anthem, Inc.1 | 236 | 44,399 | ||||||
AMERCO1 | 118 | 43,195 | ||||||
MEDNAX, Inc.*,1 | 331 | 19,982 | ||||||
Conagra Brands, Inc.1 | 449 | 16,056 | ||||||
Dr Pepper Snapple Group, Inc.1 | 165 | 15,033 | ||||||
Total System Services, Inc.1 | 213 | 12,407 | ||||||
Merck & Co., Inc.1 | 189 | 12,113 | ||||||
Hill-Rom Holdings, Inc.1 | 23 | 1,831 | ||||||
Total Consumer, Non-cyclical | 9,688,012 | |||||||
Financial - 9.6% | ||||||||
Fortress Investment Group, LLC — Class A1 | 111,623 | 891,895 | ||||||
KCG Holdings, Inc. — Class A*,1 | 17,098 | 340,935 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
First South Bancorp, Inc.1 | 16,433 | $ | 271,800 | |||||
Xenith Bankshares, Inc.*,1 | 6,914 | 214,749 | ||||||
OneBeacon Insurance Group Ltd. — Class A1 | 11,234 | 204,797 | ||||||
Park Sterling Corp.1 | 10,532 | 125,120 | ||||||
Pacific Continental Corp.1 | 4,638 | 118,501 | ||||||
Hartford Financial Services Group, Inc.1 | 2,209 | 116,127 | ||||||
Popular, Inc.1 | 2,767 | 115,412 | ||||||
Navient Corp.1 | 6,882 | 114,586 | ||||||
Southwest Bancorp, Inc.1 | 4,420 | 112,931 | ||||||
E*TRADE Financial Corp.*,1 | 2,956 | 112,417 | ||||||
Citigroup, Inc.1 | 1,679 | 112,292 | ||||||
Fifth Third Bancorp1 | 4,304 | 111,732 | ||||||
Assured Guaranty Ltd.1 | 2,672 | 111,529 | ||||||
Omega Healthcare Investors, Inc.1 | 3,358 | 110,880 | ||||||
State Street Corp.1 | 1,230 | 110,368 | ||||||
CNA Financial Corp.1 | 2,246 | 109,493 | ||||||
Jones Lang LaSalle, Inc.1 | 875 | 109,375 | ||||||
Morgan Stanley1 | 2,436 | 108,548 | ||||||
Regions Financial Corp.1 | 7,401 | 108,351 | ||||||
Columbia Property Trust, Inc.1 | 4,824 | 107,960 | ||||||
Host Hotels & Resorts, Inc.1 | 5,864 | 107,134 | ||||||
Associated Banc-Corp.1 | 4,186 | 105,487 | ||||||
Rayonier, Inc.1 | 3,666 | 105,471 | ||||||
Hospitality Properties Trust1 | 3,618 | 105,465 | ||||||
Ameriprise Financial, Inc.1 | 828 | 105,396 | ||||||
Prudential Financial, Inc.1 | 970 | 104,896 | ||||||
Legg Mason, Inc.1 | 2,743 | 104,673 | ||||||
Colony NorthStar, Inc. — Class A1 | 7,425 | 104,618 | ||||||
Equity Commonwealth*,1 | 3,310 | 104,596 | ||||||
Apple Hospitality REIT, Inc.1 | 5,581 | 104,421 | ||||||
Chimera Investment Corp.1 | 5,599 | 104,309 | ||||||
Citizens Financial Group, Inc.1 | 2,909 | 103,793 | ||||||
American Homes 4 Rent REIT — Class A1 | 4,588 | 103,551 | ||||||
American Financial Group, Inc.1 | 1,041 | 103,444 | ||||||
Air Lease Corp. — Class A1 | 2,767 | 103,375 | ||||||
Reinsurance Group of America, Inc. — Class A1 | 804 | 103,226 | ||||||
Piedmont Office Realty Trust, Inc. — Class A1 | 4,895 | 103,187 | ||||||
RenaissanceRe Holdings Ltd.1 | 733 | 101,924 | ||||||
Gaming and Leisure Properties, Inc.1 | 2,696 | 101,558 | ||||||
Liberty Property Trust1 | 2,483 | 101,083 | ||||||
Camden Property Trust1 | 1,182 | 101,073 | ||||||
Senior Housing Properties Trust1 | 4,919 | 100,544 | ||||||
Goldman Sachs Group, Inc.1 | 449 | 99,633 | ||||||
PNC Financial Services Group, Inc.1 | 780 | 97,399 | ||||||
Everest Re Group Ltd.1 | 378 | 96,235 | ||||||
Brandywine Realty Trust1 | 5,320 | 93,260 | ||||||
Lincoln National Corp.1 | 1,348 | 91,098 | ||||||
Old Republic International Corp.1 | 4,634 | 90,502 | ||||||
Prologis, Inc.1 | 1,537 | 90,130 | ||||||
JPMorgan Chase & Co.1 | 922 | 84,271 | ||||||
Validus Holdings Ltd.1 | 1,560 | 81,073 | ||||||
Principal Financial Group, Inc.1 | 1,206 | 77,268 | ||||||
Genworth Financial, Inc. — Class A*,1 | 19,752 | 74,465 | ||||||
Ally Financial, Inc.1 | 3,097 | 64,727 | ||||||
Berkshire Hathaway, Inc. — Class B*,1 | 378 | 64,022 |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Capital One Financial Corp.1 | 733 | $ | 60,560 | |||||
Bank of New York Mellon Corp.1 | 1,064 | 54,285 | ||||||
SunTrust Banks, Inc.1 | 899 | 50,991 | ||||||
Zions Bancorporation1 | 1,135 | 49,838 | ||||||
Paragon Commercial Corp.*,1 | 900 | 47,223 | ||||||
Fidelity & Guaranty Life1 | 1,517 | 47,103 | ||||||
Bank of America Corp.1 | 1,466 | 35,565 | ||||||
Corporate Office Properties Trust1 | 993 | 34,785 | ||||||
Lazard Ltd. — Class A1 | 686 | 31,782 | ||||||
LPL Financial Holdings, Inc.1 | 591 | 25,094 | ||||||
Two Harbors Investment Corp.1 | 2,341 | 23,199 | ||||||
CIT Group, Inc.1,2 | 449 | 21,866 | ||||||
Northern Trust Corp.1 | 213 | 20,706 | ||||||
Annaly Capital Management, Inc.1 | 1,632 | 19,666 | ||||||
Kilroy Realty Corp.1 | 236 | 17,735 | ||||||
Empire State Realty Trust, Inc. — Class A1 | 378 | 7,851 | ||||||
CoreCivic, Inc.1 | 284 | 7,833 | ||||||
Total Financial | 7,783,187 | |||||||
Consumer, Cyclical - 9.0% | ||||||||
Cabela’s, Inc.*,1 | 28,125 | 1,671,187 | ||||||
Mobileye N.V.* | 19,834 | 1,245,576 | ||||||
Staples, Inc. | 60,856 | 612,819 | ||||||
West Marine, Inc. | 33,858 | 435,075 | ||||||
Kate Spade & Co.* | 17,975 | 332,358 | ||||||
Nu Skin Enterprises, Inc. — Class A1 | 1,963 | 123,355 | ||||||
PVH Corp.1 | 970 | 111,065 | ||||||
Extended Stay America, Inc.1 | 5,652 | 109,423 | ||||||
Penske Automotive Group, Inc.1 | 2,483 | 109,029 | ||||||
International Game Technology plc1 | 5,841 | 106,890 | ||||||
Kohl’s Corp.1 | 2,743 | 106,072 | ||||||
Whirlpool Corp.1 | 544 | 104,241 | ||||||
Carnival Corp.1 | 1,585 | 103,929 | ||||||
Dick’s Sporting Goods, Inc.1 | 2,578 | 102,682 | ||||||
Gap, Inc.1 | 4,659 | 102,451 | ||||||
MGM Resorts International1 | 3,239 | 101,348 | ||||||
Best Buy Co., Inc.1 | 1,726 | 98,952 | ||||||
Royal Caribbean Cruises Ltd.1 | 899 | 98,198 | ||||||
Lear Corp.1 | 686 | 97,467 | ||||||
Wal-Mart Stores, Inc.1 | 1,277 | 96,643 | ||||||
Dolby Laboratories, Inc. — Class A1 | 1,939 | 94,933 | ||||||
Ford Motor Co.1 | 8,465 | 94,723 | ||||||
Copa Holdings S.A. — Class A1 | 804 | 94,069 | ||||||
Liberty Interactive Corporation QVC Group — Class A*,1 | 3,712 | 91,092 | ||||||
Coach, Inc.1 | 1,915 | 90,656 | ||||||
Foot Locker, Inc.1 | 1,797 | 88,556 | ||||||
General Motors Co.1 | 2,483 | 86,731 | ||||||
Bed Bath & Beyond, Inc.1 | 2,648 | 80,499 | ||||||
Allison Transmission Holdings, Inc.1 | 2,081 | 78,058 | ||||||
Michael Kors Holdings Ltd.*,1 | 2,152 | 78,010 | ||||||
Target Corp.1 | 1,324 | 69,232 | ||||||
WESCO International, Inc.*,1 | 1,111 | 63,660 | ||||||
Darden Restaurants, Inc.1 | 662 | 59,871 | ||||||
Mohawk Industries, Inc.*,1 | 236 | 57,039 | ||||||
GameStop Corp. — Class A1 | 2,365 | 51,108 | ||||||
CalAtlantic Group, Inc.1 | 1,206 | 42,632 | ||||||
Urban Outfitters, Inc.*,1 | 2,246 | 41,641 | ||||||
PACCAR, Inc.1 | 567 | 37,445 | ||||||
United Continental Holdings, Inc.*,1 | 473 | 35,593 | ||||||
Spirit Airlines, Inc.*,1 | 591 | 30,525 | ||||||
Walgreens Boots Alliance, Inc.1 | 378 | 29,601 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Dillard’s, Inc. — Class A1 | 284 | $ | 16,384 | |||||
Macy’s, Inc.1 | 663 | 15,408 | ||||||
Copart, Inc.*,1 | 378 | 12,017 | ||||||
Goodyear Tire & Rubber Co.1 | 94 | 3,286 | ||||||
AutoNation, Inc.*,1 | 48 | 2,024 | ||||||
Total Consumer, Cyclical | 7,313,553 | |||||||
Technology - 7.7% | ||||||||
NXP Semiconductor N.V.* | 15,457 | 1,691,778 | ||||||
Brocade Communications Systems, Inc.1 | 87,805 | 1,107,220 | ||||||
Xcerra Corp.*,1 | 37,417 | 365,564 | ||||||
Lattice Semiconductor Corp.*,1 | 50,078 | 333,519 | ||||||
Dell Technologies Incorporated Class V — Class V*,1 | 5,216 | 318,750 | ||||||
ARI Network Services, Inc.*,1 | 44,958 | 316,954 | ||||||
NeuStar, Inc. — Class A*,1 | 4,595 | 153,243 | ||||||
Oracle Corp.1 | 2,270 | 113,817 | ||||||
CA, Inc.1 | 3,263 | 112,476 | ||||||
Black Knight Financial Services, Inc. — Class A*,1 | 2,625 | 107,494 | ||||||
Fidelity National Information Services, Inc.1 | 1,182 | 100,943 | ||||||
Amdocs Ltd.1 | 1,560 | 100,558 | ||||||
Synopsys, Inc.*,1 | 1,372 | 100,060 | ||||||
Citrix Systems, Inc.*,1 | 1,253 | 99,714 | ||||||
Microsoft Corp.1 | 1,443 | 99,466 | ||||||
Activision Blizzard, Inc.1 | 1,726 | 99,366 | ||||||
Cadence Design Systems, Inc.*,1 | 2,956 | 98,996 | ||||||
Intel Corp.1 | 2,838 | 95,754 | ||||||
Leidos Holdings, Inc.1 | 1,844 | 95,316 | ||||||
Applied Materials, Inc.1 | 2,223 | 91,832 | ||||||
ON Semiconductor Corp.*,1 | 6,503 | 91,302 | ||||||
International Business Machines Corp.1 | 567 | 87,222 | ||||||
Lam Research Corp.1 | 615 | 86,979 | ||||||
Apple, Inc.1 | 567 | 81,659 | ||||||
DST Systems, Inc.1 | 1,182 | 72,929 | ||||||
DXC Technology Co.1 | 780 | 59,842 | ||||||
Akamai Technologies, Inc.*,1 | 1,041 | 51,852 | ||||||
SS&C Technologies Holdings, Inc.1 | 1,253 | 48,128 | ||||||
Xerox Corp.1 | 1,324 | 38,039 | ||||||
Teradyne, Inc.1 | 875 | 26,276 | ||||||
HP, Inc.1 | 1,489 | 26,028 | ||||||
Hewlett Packard Enterprise Co.1 | 993 | 16,474 | ||||||
Nuance Communications, Inc.*,1 | 165 | 2,873 | ||||||
Total Technology | 6,292,423 | |||||||
Communications - 4.2% | ||||||||
Time Warner, Inc.1 | 8,085 | 811,816 | ||||||
West Corp.1,2 | 27,515 | 641,650 | ||||||
Level 3 Communications, Inc.*,1 | 6,121 | 362,975 | ||||||
Tribune Media Co. — Class A1 | 4,621 | 188,399 | ||||||
General Communication, Inc. — Class A*,1 | 4,056 | 148,612 | ||||||
Lumos Networks Corp.*,1 | 7,594 | 135,705 | ||||||
eBay, Inc.*,1 | 2,932 | 102,385 | ||||||
Telephone & Data Systems, Inc.1 | 3,595 | 99,761 | ||||||
Cisco Systems, Inc.1 | 3,168 | 99,158 | ||||||
Comcast Corp. — Class A1 | 2,483 | 96,638 | ||||||
Scripps Networks Interactive, Inc. — Class A1 | 1,348 | 92,082 | ||||||
Symantec Corp.1 | 3,075 | 86,869 | ||||||
Juniper Networks, Inc.1 | 2,956 | 82,413 | ||||||
TEGNA, Inc.1 | 5,675 | 81,777 |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
T-Mobile US, Inc.*,1 | 922 | $ | 55,892 | |||||
Liberty Broadband Corp. — Class C*,1 | 615 | 53,351 | ||||||
Liberty Media Corporation-Liberty SiriusXM — Class A*,1 | 1,253 | 52,601 | ||||||
Liberty Media Corporation-Liberty SiriusXM — Class C*,1 | 1,253 | 52,250 | ||||||
John Wiley & Sons, Inc. — Class A1 | 851 | 44,890 | ||||||
Alphabet, Inc. — Class A*,1 | 48 | 44,625 | ||||||
Alphabet, Inc. — Class C*,1 | 48 | 43,619 | ||||||
Liberty Ventures*,1 | 115 | 6,013 | ||||||
Total Communications | 3,383,481 | |||||||
Industrial – 3.7% | ||||||||
Trinity Industries, Inc.1 | 4,020 | 112,681 | ||||||
Oshkosh Corp.1 | 1,585 | 109,175 | ||||||
Owens Corning1 | 1,631 | 109,148 | ||||||
WestRock Co.1 | 1,915 | 108,505 | ||||||
FedEx Corp.1 | 497 | 108,013 | ||||||
Arrow Electronics, Inc.*,1 | 1,372 | 107,592 | ||||||
Cummins, Inc.1 | 662 | 107,389 | ||||||
Corning, Inc.1 | 3,547 | 106,587 | ||||||
Spirit AeroSystems Holdings, Inc. — Class A1 | 1,821 | 105,509 | ||||||
Timken Co.1 | 2,270 | 104,988 | ||||||
Eaton Corp. plc1 | 1,348 | 104,915 | ||||||
Waste Management, Inc.1 | 1,419 | 104,084 | ||||||
Ingersoll-Rand plc1 | 1,135 | 103,728 | ||||||
Textron, Inc.1 | 2,200 | 103,620 | ||||||
Norfolk Southern Corp.1 | 851 | 103,567 | ||||||
Stanley Black & Decker, Inc.1 | 733 | 103,156 | ||||||
L3 Technologies, Inc.1 | 615 | 102,754 | ||||||
Republic Services, Inc. — Class A1 | 1,608 | 102,478 | ||||||
Regal Beloit Corp.1 | 1,253 | 102,182 | ||||||
Sonoco Products Co.1 | 1,963 | 100,937 | ||||||
Ryder System, Inc.1 | 1,372 | 98,757 | ||||||
Jabil, Inc.1 | 3,287 | 95,948 | ||||||
Carlisle Companies, Inc.1 | 993 | 94,732 | ||||||
Huntington Ingalls Industries, Inc.1 | 496 | 92,335 | ||||||
Colfax Corp.*,1 | 2,057 | 80,984 | ||||||
USG Corp.*,1 | 2,507 | 72,753 | ||||||
Garmin Ltd.1 | 1,372 | 70,013 | ||||||
AGCO Corp.1 | 922 | 62,134 | ||||||
Packaging Corporation of America1 | 473 | 52,687 | ||||||
Deere & Co.1 | 378 | 46,717 | ||||||
Kirby Corp.*,1 | 686 | 45,859 | ||||||
AECOM*,1 | 1,017 | 32,880 | ||||||
Terex Corp.1 | 686 | 25,725 | ||||||
Jacobs Engineering Group, Inc.1 | 378 | 20,559 | ||||||
Energizer Holdings, Inc.1 | 307 | 14,742 | ||||||
PerkinElmer, Inc.1 | 165 | 11,243 | ||||||
Boeing Co.1 | 48 | 9,492 | ||||||
Total Industrial | 3,038,568 | |||||||
Energy - 2.5% | ||||||||
Rice Energy, Inc.*,1 | 29,314 | 780,633 | ||||||
ONEOK Partners, LP1 | 2,732 | 139,523 | ||||||
TerraForm Global, Inc. — Class A*,1 | 27,467 | 138,708 | ||||||
Valero Energy Corp.1 | 1,655 | 111,646 | ||||||
Williams Companies, Inc.1 | 3,618 | 109,553 | ||||||
Kinder Morgan, Inc.1 | 5,533 | 106,012 | ||||||
Marathon Petroleum Corp.1 | 1,963 | 102,724 | ||||||
Transocean Ltd.*,1 | 11,587 | 95,361 | ||||||
Chevron Corp.1 | 851 | 88,785 | ||||||
Dril-Quip, Inc.*,1 | 1,088 | 53,094 | ||||||
Rowan Companies plc — Class A*,1 | 5,084 | 52,060 | ||||||
CONSOL Energy, Inc.*,1 | 3,027 | 45,223 | ||||||
Antero Resources Corp.*,1 | 1,679 | 36,283 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Patterson-UTI Energy, Inc.1 | 1,443 | $ | 29,134 | |||||
Targa Resources Corp.1 | 638 | 28,838 | ||||||
Energen Corp.*,1 | 473 | 23,352 | ||||||
Murphy Oil Corp.1 | 899 | 23,041 | ||||||
Nabors Industries Ltd.1 | 2,696 | 21,945 | ||||||
Baker Hughes, Inc.1 | 305 | 16,626 | ||||||
Devon Energy Corp.1 | 402 | 12,852 | ||||||
WPX Energy, Inc.*,1 | 496 | 4,791 | ||||||
Total Energy | 2,020,184 | |||||||
Basic Materials - 2.0% | ||||||||
Monsanto Co.1 | 5,548 | 656,661 | ||||||
Steel Dynamics, Inc.1 | 3,027 | 108,397 | ||||||
Westlake Chemical Corp.1 | 1,631 | 107,989 | ||||||
Eastman Chemical Co.1 | 1,277 | 107,255 | ||||||
Cabot Corp.1 | 1,963 | 104,883 | ||||||
Nucor Corp.1 | 1,750 | 101,273 | ||||||
Domtar Corp.1 | 2,554 | 98,125 | ||||||
Reliance Steel & Aluminum Co.1 | 1,324 | 96,400 | ||||||
Mosaic Co.1 | 2,980 | 68,033 | ||||||
Albemarle Corp.1 | 544 | 57,414 | ||||||
Platform Specialty Products Corp.*,1 | 4,493 | 56,971 | ||||||
LyondellBasell Industries N.V. — Class A1 | 591 | 49,874 | ||||||
United States Steel Corp.1 | 284 | 6,288 | ||||||
Total Basic Materials | 1,619,563 | |||||||
Utilities - 1.8% | ||||||||
WGL Holdings, Inc.1 | 4,721 | 393,873 | ||||||
Hawaiian Electric Industries, Inc.1 | 3,122 | 101,091 | ||||||
Ameren Corp.1 | 1,821 | 99,555 | ||||||
Consolidated Edison, Inc.1 | 1,230 | 99,409 | ||||||
PG&E Corp.1 | 1,489 | 98,825 | ||||||
Pinnacle West Capital Corp.1 | 1,159 | 98,700 | ||||||
UGI Corp.1 | 2,034 | 98,466 | ||||||
Avangrid, Inc.1 | 2,223 | 98,145 | ||||||
Edison International1 | 1,253 | 97,972 | ||||||
DTE Energy Co.1 | 922 | 97,538 | ||||||
SCANA Corp.1 | 1,443 | 96,695 | ||||||
AES Corp.1 | 7,875 | 87,491 | ||||||
Delta Natural Gas Company, Inc.1 | 1,120 | 34,126 | ||||||
Duke Energy Corp.1 | 48 | 4,012 | ||||||
Total Utilities | 1,505,898 | |||||||
Diversified - 0.1% | ||||||||
Leucadia National Corp.1 | 4,280 | 111,965 | ||||||
Total Common Stocks | ||||||||
(Cost $38,734,822) | 42,756,834 | |||||||
MUTUAL FUNDS† - 0.0%** | ||||||||
Guggenheim Strategy Fund I3 | 1,031 | 25,857 | ||||||
Guggenheim Strategy Fund II3 | 247 | 6,165 | ||||||
Total Mutual Funds | ||||||||
(Cost $31,740) | 32,022 | |||||||
CLOSED-END FUNDS† - 9.5% | ||||||||
Dividend and Income Fund | 29,666 | 366,374 | ||||||
Altaba, Inc. | 6,627 | 361,038 | ||||||
Boulder Growth & Income Fund, Inc. | 36,991 | 359,182 | ||||||
Central Securities Corp. | 14,316 | 356,897 | ||||||
RMR Real Estate Income Fund | 16,152 | 352,921 | ||||||
General American Investors Company, Inc. | 9,950 | 341,783 | ||||||
Adams Diversified Equity Fund, Inc. | 21,618 | 308,921 | ||||||
GDL Fund | 24,445 | 250,806 | ||||||
Swiss Helvetia Fund, Inc. | 14,324 | 181,915 | ||||||
Liberty All Star Equity Fund | 24,869 | 140,757 | ||||||
Aberdeen Chile Fund, Inc. | 18,272 | 129,366 |
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Tri-Continental Corp. | 5,282 | $ | 128,617 | |||||
Adams Natural Resources Fund, Inc. | 5,331 | 99,690 | ||||||
Eagle Growth & Income Opportunities Fund2 | 5,250 | 90,458 | ||||||
Morgan Stanley Asia-Pacific Fund, Inc. | 5,421 | 89,989 | ||||||
Aberdeen Greater China Fund, Inc. | 6,568 | 75,335 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 5,303 | 72,651 | ||||||
CBRE Clarion Global Real Estate Income Fund | 8,987 | 69,380 | ||||||
Latin American Discovery Fund, Inc. | 6,528 | 68,413 | ||||||
Templeton Dragon Fund, Inc. | 3,325 | 67,065 | ||||||
Japan Smaller Capitalization Fund, Inc. | 5,540 | 63,599 | ||||||
Gabelli Healthcare & WellnessRx Trust | 5,831 | 63,266 | ||||||
Central Europe Russia and Turkey Fund, Inc. | 2,881 | 63,094 | ||||||
Mexico Equity & Income Fund, Inc. | 5,371 | 61,337 | ||||||
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund3 | 5,543 | 61,084 | ||||||
Royce Micro-Capital Trust, Inc. | 6,851 | 59,262 | ||||||
BlackRock Resources & Commodities Strategy Trust | 7,331 | 58,721 | ||||||
Aberdeen Singapore Fund, Inc. | 5,114 | 56,459 | ||||||
Wells Fargo Multi-Sector Income Fund2 | 4,194 | 55,990 | ||||||
Western Asset/Claymore Inflation-Linked Securities & Income Fund3 | 4,934 | 55,754 | ||||||
Templeton Emerging Markets Income Fund | 4,893 | 54,899 | ||||||
Legg Mason BW Global Income Opportunities Fund, Inc. | 4,070 | 53,846 | ||||||
Aberdeen Japan Equity Fund, Inc. | 6,299 | 53,542 | ||||||
Royce Value Trust, Inc. | 3,659 | 53,388 | ||||||
Mexico Fund, Inc. | 2,962 | 51,243 | ||||||
Franklin Universal Trust | 7,022 | 50,348 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 1,996 | 49,820 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 3,159 | 49,186 | ||||||
New Germany Fund, Inc.2 | 2,841 | 47,246 | ||||||
Morgan Stanley India Investment Fund, Inc. | 1,437 | 46,516 | ||||||
Alpine Total Dynamic Dividend Fund | 5,256 | 45,675 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 3,811 | 45,313 | ||||||
China Fund, Inc. | 2,414 | 45,118 | ||||||
Korea Fund, Inc. | 1,111 | 44,484 | ||||||
AllianzGI Equity & Convertible Income Fund | 2,110 | 41,673 | ||||||
Sprott Focus Trust, Inc. | 5,621 | 41,483 | ||||||
Clough Global Opportunities Fund | 3,834 | 40,640 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 7,519 | 40,603 | ||||||
Taiwan Fund, Inc. | 2,028 | 40,134 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 3,756 | 39,513 | ||||||
Morgan Stanley Emerging Markets Fund, Inc. | 2,444 | 39,471 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Lazard Global Total Return and Income Fund, Inc. | 2,304 | $ | 37,670 | |||||
India Fund, Inc. | 1,393 | 37,555 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 1,801 | 37,425 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 3,193 | 36,400 | ||||||
Virtus Total Return Fund, Inc. | 2,925 | 35,802 | ||||||
Ellsworth Growth and Income Fund Ltd. | 3,860 | 35,203 | ||||||
European Equity Fund, Inc. | 3,798 | 34,828 | ||||||
LMP Capital and Income Fund, Inc. | 2,445 | 34,768 | ||||||
Invesco High Income Trust II | 2,294 | 34,226 | ||||||
Lazard World Dividend & Income Fund, Inc. | 3,093 | 34,085 | ||||||
Western Asset Global High Income Fund, Inc. | 3,344 | 33,641 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 3,386 | 33,488 | ||||||
Duff & Phelps Global Utility Income Fund, Inc. | 1,995 | 33,117 | ||||||
Liberty All Star Growth Fund, Inc. | 6,709 | 33,007 | ||||||
Gabelli Global Utility & Income Trust | 1,626 | 32,910 | ||||||
Nuveen Real Asset Income and Growth Fund | 1,866 | 32,823 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 1,989 | 32,520 | ||||||
New Ireland Fund, Inc. | 2,339 | 32,419 | ||||||
Delaware Investments Dividend & Income Fund, Inc. | 3,044 | 31,840 | ||||||
Aberdeen Latin America Equity Fund, Inc. | 1,369 | 31,733 | ||||||
Aberdeen Emerging Markets Smaller Company Opportunities Fund, Inc. | 2,298 | 31,689 | ||||||
Cohen & Steers Global Income Builder, Inc. | 3,292 | 31,340 | ||||||
Bancroft Fund Ltd. | 1,442 | 31,176 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 2,813 | 30,830 | ||||||
Voya Global Advantage and Premium Opportunity Fund | 2,832 | 30,614 | ||||||
Diversified Real Asset Income Fund | 1,736 | 30,293 | ||||||
BlackRock Credit Allocation Income Trust | 2,248 | 30,236 | ||||||
Templeton Emerging Markets Fund/United States | 2,008 | 29,939 | ||||||
Prudential Global Short Duration High Yield Fund, Inc. | 1,968 | 29,244 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 5,719 | 28,995 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 2,095 | 28,681 | ||||||
Alpine Global Dynamic Dividend Fund | 2,775 | 28,388 | ||||||
Eaton Vance Limited Duration Income Fund | 2,012 | 28,369 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 2,131 | 27,895 | ||||||
Cohen & Steers Infrastructure Fund, Inc. | 1,179 | 27,860 | ||||||
BlackRock Debt Strategies Fund, Inc. | 2,387 | 27,546 |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 1,799 | $ | 27,489 | |||||
Voya Global Equity Dividend and Premium Opportunity Fund | 3,620 | 27,367 | ||||||
First Trust Enhanced Equity Income Fund | 1,861 | 27,264 | ||||||
Tekla Healthcare Opportunities Fund | 1,438 | 26,373 | ||||||
First Trust Strategic High Income Fund II | 1,931 | 26,358 | ||||||
BlackRock Enhanced Global Dividend Trust | 1,979 | 26,222 | ||||||
MFS Charter Income Trust | 3,025 | 26,136 | ||||||
Nuveen Global High Income Fund | 1,509 | 25,457 | ||||||
Clough Global Equity Fund | 1,982 | 25,013 | ||||||
BlackRock Multi-Sector Income Trust | 1,373 | 24,892 | ||||||
BlackRock Enhanced Equity Dividend Trust | 2,817 | 24,790 | ||||||
MFS Multimarket Income Trust | 3,981 | 24,682 | ||||||
Avenue Income Credit Strategies Fund | 1,735 | 24,134 | ||||||
Advent Claymore Convertible Securities and Income Fund II3 | 3,826 | 23,836 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 2,711 | 23,803 | ||||||
Putnam High Income Securities Fund | 2,695 | 23,689 | ||||||
Blackrock Science & Technology Trust2 | 1,064 | 23,631 | ||||||
Wells Fargo Income Opportunities Fund | 2,693 | 23,052 | ||||||
BlackRock Enhanced International Dividend Trust | 3,625 | 22,765 | ||||||
Wells Fargo Global Dividend Opportunity Fund | 3,707 | 22,687 | ||||||
Nuveen Tax-Advantaged Total Return Strategy Fund | 1,752 | 22,601 | ||||||
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc. | 2,018 | 21,915 | ||||||
Clough Global Dividend and Income Fund | 1,631 | 21,758 | ||||||
BlackRock Enhanced Capital and Income Fund, Inc. | 1,454 | 21,650 | ||||||
Franklin Limited Duration Income Trust | 1,798 | 21,270 | ||||||
Nuveen Tax-Advantaged Dividend Growth Fund | 1,304 | 20,981 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 1,226 | 20,928 | ||||||
Nuveen Multi-Market Income Fund, Inc. | 2,775 | 20,813 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 1,289 | 20,701 | ||||||
Gabelli Dividend & Income Trust | 948 | 20,685 | ||||||
ClearBridge American Energy MLP Fund, Inc. | 2,289 | 20,578 | ||||||
Voya Infrastructure Industrials and Materials Fund2 | 1,302 | 20,350 | ||||||
Principal Real Estate Income Fund | 1,118 | 20,225 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Advent Claymore Convertible Securities and Income Fund3 | 1,237 | $ | 19,978 | |||||
Asia Tigers Fund, Inc. | 1,716 | 19,888 | ||||||
Advent/Claymore Enhanced Growth & Income Fund3 | 2,266 | 19,828 | ||||||
Asia Pacific Fund, Inc. | 1,534 | 19,819 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 1,109 | 19,751 | ||||||
Cushing Renaissance Fund | 1,109 | 19,396 | ||||||
Calamos Global Dynamic Income Fund | 2,260 | 19,278 | ||||||
Cohen & Steers Closed-End Opportunity Fund, Inc. | 1,478 | 19,244 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 1,648 | 19,199 | ||||||
First Trust High Income Long/Short Fund | 1,113 | 19,188 | ||||||
Nuveen Dow 30sm Dynamic Overwrite Fund | 1,122 | 18,535 | ||||||
AllianzGI Diversified Income & Convertible Fund | 877 | 18,382 | ||||||
Calamos Strategic Total Return Fund | 1,555 | 18,256 | ||||||
Gabelli Multimedia Trust, Inc. | 2,025 | 18,104 | ||||||
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | 1,322 | 17,212 | ||||||
First Trust Dynamic Europe Equity Income Fund2 | 901 | 16,948 | ||||||
MFS Intermediate High Income Fund | 5,718 | 16,010 | ||||||
KKR Income Opportunities Fund | 898 | 15,706 | ||||||
Guggenheim Enhanced Equity Income Fund3 | 830 | 6,864 | ||||||
Total Closed-End Funds | ||||||||
(Cost $6,811,283) | 7,758,501 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 11.4% | ||||||||
U.S. Treasury Bill | ||||||||
0.95% due 09/21/171,4 | $ | 8,000,000 | 7,982,696 | |||||
0.91% due 08/03/174,5 | 1,300,000 | 1,299,046 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $9,280,493) | 9,281,742 | |||||||
REPURCHASE AGREEMENTS††,6 - 23.6% | ||||||||
HSBC Securities, Inc. issued 06/30/17 at 0.99% due 07/03/17 | 7,332,546 | 7,332,546 | ||||||
RBC Capital Markets LLC issued 06/30/17 at 1.01% due 07/03/17 | 6,722,488 | 6,722,488 | ||||||
Bank of America Merrill Lynch issued 06/30/17 at 1.08% due 07/03/17 | 5,204,675 | 5,204,675 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $19,259,709) | 19,259,709 |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.84%8 | 136,560 | $ | 136,560 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $136,560) | 136,560 | |||||||
Total Investments – 97.2% | ||||||||
(Cost $74,254,607) | $ | 79,225,368 | ||||||
COMMON STOCKS SOLD SHORT† - (31.0)% | ||||||||
Basic Materials - (1.1)% | ||||||||
Freeport-McMoRan, Inc.* | 747 | (8,971 | ) | |||||
Tahoe Resources, Inc. | 1,395 | (12,025 | ) | |||||
CF Industries Holdings, Inc. | 457 | (12,778 | ) | |||||
Valvoline, Inc. | 618 | (14,659 | ) | |||||
Royal Gold, Inc. | 393 | (30,721 | ) | |||||
Ashland Global Holdings, Inc. | 626 | (41,260 | ) | |||||
FMC Corp. | 728 | (53,180 | ) | |||||
Praxair, Inc. | 410 | (54,346 | ) | |||||
NewMarket Corp. | 121 | (55,718 | ) | |||||
Compass Minerals International, Inc. | 1,035 | (67,586 | ) | |||||
Sherwin-Williams Co. | 197 | (69,139 | ) | |||||
Newmont Mining Corp. | 2,257 | (73,104 | ) | |||||
PPG Industries, Inc. | 667 | (73,343 | ) | |||||
Southern Copper Corp. | 2,134 | (73,900 | ) | |||||
Axalta Coating Systems Ltd.* | 2,307 | (73,916 | ) | |||||
RPM International, Inc. | 1,374 | (74,952 | ) | |||||
WR Grace & Co. | 1,046 | (75,322 | ) | |||||
Total Basic Materials | (864,920 | ) | ||||||
Utilities - (1.4)% | ||||||||
MDU Resources Group, Inc. | 24 | (629 | ) | |||||
NextEra Energy, Inc. | 145 | (20,319 | ) | |||||
WEC Energy Group, Inc. | 337 | (20,685 | ) | |||||
Vectren Corp. | 466 | (27,233 | ) | |||||
American Water Works Co., Inc. | 451 | (35,155 | ) | |||||
Entergy Corp. | 505 | (38,769 | ) | |||||
Public Service Enterprise Group, Inc. | 1,251 | (53,806 | ) | |||||
Calpine Corp.* | 4,953 | (67,014 | ) | |||||
Southern Co. | 1,447 | (69,282 | ) | |||||
Sempra Energy | 644 | (72,611 | ) | |||||
Dominion Energy, Inc. | 948 | (72,645 | ) | |||||
Alliant Energy Corp. | 1,824 | (73,270 | ) | |||||
NiSource, Inc. | 2,903 | (73,620 | ) | |||||
American Electric Power Company, Inc. | 1,061 | (73,708 | ) | |||||
PPL Corp. | 1,937 | (74,884 | ) | |||||
Atmos Energy Corp. | 916 | (75,982 | ) | |||||
Aqua America, Inc. | 2,283 | (76,024 | ) | |||||
FirstEnergy Corp. | 2,625 | (76,545 | ) | |||||
National Fuel Gas Co. | 1,374 | (76,724 | ) | |||||
NRG Energy, Inc. | 4,538 | (78,144 | ) | |||||
Total Utilities | (1,157,049 | ) | ||||||
Energy - (2.4)% | ||||||||
Cimarex Energy Co. | 73 | (6,863 | ) | |||||
Noble Corporation plc | 2,621 | (9,488 | ) | |||||
RPC, Inc. | 505 | (10,206 | ) | |||||
Laredo Petroleum, Inc.* | 1,324 | (13,928 | ) | |||||
Apache Corp. | 482 | (23,102 | ) | |||||
National Oilwell Varco, Inc. | 1,202 | (39,594 | ) | |||||
Schlumberger Ltd. | 638 | (42,006 | ) | |||||
Range Resources Corp. | 1,973 | (45,714 | ) | |||||
Continental Resources, Inc.* | 1,570 | (50,758 | ) | |||||
Weatherford International plc* | 16,335 | (63,216 | ) | |||||
Halliburton Co. | 1,644 | (70,215 | ) | |||||
Newfield Exploration Co.* | 2,478 | (70,524 | ) | |||||
Hess Corp. | 1,619 | (71,026 | ) | |||||
Chesapeake Energy Corp.* | 14,516 | (72,145 | ) | |||||
Occidental Petroleum Corp. | 1,227 | (73,460 | ) | |||||
Cheniere Energy, Inc.* | 1,526 | (74,331 | ) | |||||
Superior Energy Services, Inc.* | 7,212 | (75,221 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
First Solar, Inc.* | 2,008 | $ | (80,079 | ) | ||||
Southwestern Energy Co.* | 13,269 | (80,676 | ) | |||||
Kosmos Energy Ltd.* | 12,838 | (82,292 | ) | |||||
Gulfport Energy Corp.* | 5,739 | (84,650 | ) | |||||
Cabot Oil & Gas Corp. — Class A | 3,532 | (88,583 | ) | |||||
ONEOK, Inc. | 2,691 | (140,363 | ) | |||||
Equities Corp. | 10,132 | (593,633 | ) | |||||
Total Energy | (1,962,073 | ) | ||||||
Technology - (2.6)% | ||||||||
Paychex, Inc. | 97 | (5,523 | ) | |||||
Fiserv, Inc.* | 97 | (11,867 | ) | |||||
Pitney Bowes, Inc. | 786 | (11,869 | ) | |||||
CSRA, Inc. | 828 | (26,289 | ) | |||||
Inovalon Holdings, Inc. — Class A* | 2,453 | (32,257 | ) | |||||
Autodesk, Inc.* | 337 | (33,976 | ) | |||||
Atlassian Corporation plc — Class A* | 1,186 | (41,723 | ) | |||||
NVIDIA Corp. | 356 | (51,463 | ) | |||||
Maxim Integrated Products, Inc. | 1,347 | (60,480 | ) | |||||
Dun & Bradstreet Corp. | 565 | (61,105 | ) | |||||
Ultimate Software Group, Inc.* | 297 | (62,388 | ) | |||||
VeriFone Systems, Inc.* | 3,626 | (65,631 | ) | |||||
Western Digital Corp. | 764 | (67,690 | ) | |||||
Splunk, Inc.* | 1,190 | (67,699 | ) | |||||
Broadcom Ltd. | 296 | (68,983 | ) | |||||
Tyler Technologies, Inc.* | 394 | (69,214 | ) | |||||
Workday, Inc. — Class A* | 718 | (69,646 | ) | |||||
Salesforce.com, Inc.* | 813 | (70,406 | ) | |||||
Fortinet, Inc.* | 1,942 | (72,708 | ) | |||||
Cypress Semiconductor Corp. | 5,372 | (73,328 | ) | |||||
ServiceNow, Inc.* | 692 | (73,352 | ) | |||||
Cognizant Technology Solutions Corp. — Class A | 1,110 | (73,704 | ) | |||||
Broadridge Financial Solutions, Inc. | 981 | (74,124 | ) | |||||
Tableau Software, Inc. — Class A* | 1,214 | (74,382 | ) | |||||
Guidewire Software, Inc.* | 1,088 | (74,756 | ) | |||||
athenahealth, Inc.* | 544 | (76,459 | ) | |||||
Manhattan Associates, Inc.* | 1,594 | (76,608 | ) | |||||
Zynga, Inc. — Class A* | 21,327 | (77,630 | ) | |||||
Red Hat, Inc.* | 812 | (77,749 | ) | |||||
VMware, Inc. — Class A* | 5,195 | (454,200 | ) | |||||
Total Technology | (2,157,209 | ) | ||||||
Communications - (2.7)% | ||||||||
GoDaddy, Inc. — Class A* | 49 | (2,079 | ) | |||||
United States Cellular Corp.* | 124 | (4,752 | ) | |||||
Zillow Group, Inc. — Class A* | 193 | (9,426 | ) | |||||
Verizon Communications, Inc. | 424 | (18,936 | ) | |||||
Netflix, Inc.* | 151 | (22,561 | ) | |||||
News Corp. — Class A | 2,165 | (29,661 | ) | |||||
Sinclair Broadcast Group, Inc. — Class A | 1,063 | (34,973 | ) | |||||
Twenty-First Century Fox, Inc. — Class A | 1,349 | (38,231 | ) | |||||
Twenty-First Century Fox, Inc. — Class B | 1,398 | (38,962 | ) | |||||
DISH Network Corp. — Class A* | 633 | (39,727 | ) | |||||
Expedia, Inc. | 272 | (40,514 | ) | |||||
Sprint Corp.* | 6,639 | (54,506 | ) | |||||
Arista Networks, Inc.* | 398 | (59,616 | ) | |||||
Zayo Group Holdings, Inc.* | 2,069 | (63,932 | ) | |||||
TripAdvisor, Inc.* | 1,692 | (64,634 | ) | |||||
FactSet Research Systems, Inc. | 410 | (68,134 | ) | |||||
Palo Alto Networks, Inc.* | 520 | (69,581 | ) | |||||
Pandora Media, Inc.* | 8,070 | (71,984 | ) |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
VeriSign, Inc.* | 786 | $ | (73,067 | ) | ||||
Motorola Solutions, Inc. | 845 | (73,295 | ) | |||||
Twitter, Inc.* | 4,199 | (75,036 | ) | |||||
CDW Corp. | 1,205 | (75,349 | ) | |||||
AMC Networks, Inc. — Class A* | 1,423 | (76,002 | ) | |||||
Clear Channel Outdoor Holdings, Inc. — Class A | 18,419 | (89,332 | ) | |||||
Groupon, Inc. — Class A* | 25,066 | (96,253 | ) | |||||
CenturyLink, Inc. | 8,744 | (208,807 | ) | |||||
AT&T, Inc. | 9,379 | (353,870 | ) | |||||
Alibaba Group Holding Ltd. ADR* | 2,659 | (374,654 | ) | |||||
Total Communications | (2,227,874 | ) | ||||||
Consumer, Cyclical - (3.6)% | ||||||||
JetBlue Airways Corp.* | 120 | (2,740 | ) | |||||
Watsco, Inc. | 24 | (3,701 | ) | |||||
Yum! Brands, Inc. | 148 | (10,916 | ) | |||||
Home Depot, Inc. | 73 | (11,198 | ) | |||||
Skechers U.S.A., Inc. — Class A* | 433 | (12,774 | ) | |||||
Hilton Worldwide Holdings, Inc. | 221 | (13,669 | ) | |||||
BorgWarner, Inc. | 344 | (14,572 | ) | |||||
Costco Wholesale Corp. | 97 | (15,513 | ) | |||||
American Airlines Group, Inc. | 337 | (16,958 | ) | |||||
Leggett & Platt, Inc. | 369 | (19,384 | ) | |||||
Tupperware Brands Corp. | 289 | (20,296 | ) | |||||
Las Vegas Sands Corp. | 421 | (26,898 | ) | |||||
CarMax, Inc.* | 491 | (30,962 | ) | |||||
VF Corp. | 722 | (41,587 | ) | |||||
Toro Co. | 650 | (45,039 | ) | |||||
Delta Air Lines, Inc. | 859 | (46,163 | ) | |||||
Dollar General Corp. | 687 | (49,526 | ) | |||||
Mattel, Inc. | 2,306 | (49,648 | ) | |||||
Chipotle Mexican Grill, Inc. — Class A* | 125 | (52,013 | ) | |||||
Michaels Companies, Inc.* | 2,821 | (52,245 | ) | |||||
WW Grainger, Inc. | 297 | (53,617 | ) | |||||
AutoZone, Inc.* | 97 | (55,335 | ) | |||||
HD Supply Holdings, Inc.* | 1,824 | (55,869 | ) | |||||
Vista Outdoor, Inc.* | 2,652 | (59,697 | ) | |||||
Advance Auto Parts, Inc. | 540 | (62,959 | ) | |||||
O’Reilly Automotive, Inc.* | 295 | (64,528 | ) | |||||
Dollar Tree, Inc.* | 932 | (65,165 | ) | |||||
Marriott International, Inc. — Class A | 667 | (66,907 | ) | |||||
Starbucks Corp. | 1,182 | (68,922 | ) | |||||
Lululemon Athletica, Inc.* | 1,178 | (70,291 | ) | |||||
Dunkin’ Brands Group, Inc. | 1,286 | (70,884 | ) | |||||
Tractor Supply Co. | 1,324 | (71,774 | ) | |||||
TJX Cos., Inc. | 1,006 | (72,603 | ) | |||||
Fastenal Co. | 1,668 | (72,608 | ) | |||||
Madison Square Garden Co. — Class A* | 369 | (72,656 | ) | |||||
Wynn Resorts Ltd. | 543 | (72,827 | ) | |||||
Visteon Corp.* | 714 | (72,871 | ) | |||||
Choice Hotels International, Inc. | 1,141 | (73,309 | ) | |||||
Delphi Automotive plc | 838 | (73,451 | ) | |||||
L Brands, Inc. | 1,374 | (74,045 | ) | |||||
Hanesbrands, Inc. | 3,200 | (74,112 | ) | |||||
Lowe’s Cos., Inc. | 957 | (74,196 | ) | |||||
Genuine Parts Co. | 810 | (75,136 | ) | |||||
McDonald’s Corp. | 491 | (75,202 | ) | |||||
WABCO Holdings, Inc.* | 590 | (75,231 | ) | |||||
Six Flags Entertainment Corp. | 1,276 | (76,062 | ) | |||||
Newell Brands, Inc. | 1,427 | (76,516 | ) | |||||
Lions Gate Entertainment Corp. — Class A* | 2,738 | (77,266 | ) | |||||
Under Armour, Inc. — Class C* | 3,998 | (80,600 | ) | |||||
Tesla, Inc.* | 223 | (80,639 | ) | |||||
Tempur Sealy International, Inc.* | 1,570 | (83,822 | ) | |||||
NIKE, Inc. — Class B | 1,423 | (83,956 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Sally Beauty Holdings, Inc.* | 4,317 | $ | (87,419 | ) | ||||
Total Consumer, Cyclical | (2,906,277 | ) | ||||||
Industrial - (4.0)% | ||||||||
Crown Holdings, Inc.* | 97 | (5,787 | ) | |||||
Fortune Brands Home & Security, Inc. | 193 | (12,591 | ) | |||||
Kansas City Southern | 121 | (12,663 | ) | |||||
Honeywell International, Inc. | 121 | (16,128 | ) | |||||
Emerson Electric Co. | 319 | (19,019 | ) | |||||
Silgan Holdings, Inc. | 655 | (20,816 | ) | |||||
Trimble, Inc.* | 866 | (30,890 | ) | |||||
Cognex Corp. | 406 | (34,469 | ) | |||||
General Electric Co. | 1,564 | (42,244 | ) | |||||
Pentair plc | 674 | (44,848 | ) | |||||
Fluor Corp. | 1,011 | (46,284 | ) | |||||
Lincoln Electric Holdings, Inc. | 529 | (48,716 | ) | |||||
Zebra Technologies Corp. — Class A* | 504 | (50,662 | ) | |||||
Orbital ATK, Inc. | 523 | (51,442 | ) | |||||
Covanta Holding Corp. | 4,450 | (58,740 | ) | |||||
Johnson Controls International plc | 1,371 | (59,447 | ) | |||||
Snap-on, Inc. | 385 | (60,830 | ) | |||||
Middleby Corp.* | 529 | (64,279 | ) | |||||
CH Robinson Worldwide, Inc. | 962 | (66,070 | ) | |||||
TransDigm Group, Inc. | 247 | (66,411 | ) | |||||
J.B. Hunt Transport Services, Inc. | 747 | (68,261 | ) | |||||
Roper Technologies, Inc. | 297 | (68,764 | ) | |||||
Stericycle, Inc.* | 908 | (69,299 | ) | |||||
Hubbell, Inc. | 613 | (69,373 | ) | |||||
Graco, Inc. | 643 | (70,267 | ) | |||||
HEICO Corp. | 981 | (70,475 | ) | |||||
Vulcan Materials Co. | 566 | (71,701 | ) | |||||
3M Co. | 345 | (71,826 | ) | |||||
Flowserve Corp. | 1,559 | (72,384 | ) | |||||
Welbilt, Inc.* | 3,883 | (73,195 | ) | |||||
AMETEK, Inc. | 1,209 | (73,229 | ) | |||||
United Parcel Service, Inc. — Class B | 663 | (73,321 | ) | |||||
Fitbit, Inc. — Class A* | 14,013 | (74,409 | ) | |||||
Donaldson Company, Inc. | 1,638 | (74,595 | ) | |||||
Rockwell Collins, Inc. | 712 | (74,817 | ) | |||||
Landstar System, Inc. | 875 | (74,900 | ) | |||||
IDEX Corp. | 667 | (75,378 | ) | |||||
Rockwell Automation, Inc. | 466 | (75,473 | ) | |||||
BWX Technologies, Inc. | 1,566 | (76,343 | ) | |||||
AptarGroup, Inc. | 883 | (76,697 | ) | |||||
Lennox International, Inc. | 418 | (76,762 | ) | |||||
Cree, Inc.* | 3,115 | (76,785 | ) | |||||
Sealed Air Corp. | 1,717 | (76,853 | ) | |||||
Ball Corp. | 1,822 | (76,907 | ) | |||||
Armstrong World Industries, Inc.* | 1,677 | (77,142 | ) | |||||
Expeditors International of Washington, Inc. | 1,374 | (77,604 | ) | |||||
Allegion plc | 965 | (78,281 | ) | |||||
National Instruments Corp. | 1,952 | (78,509 | ) | |||||
Xylem, Inc. | 1,426 | (79,043 | ) | |||||
Avnet, Inc. | 2,036 | (79,160 | ) | |||||
KBR, Inc. | 5,317 | (80,924 | ) | |||||
Wabtec Corp. | 886 | (81,070 | ) | |||||
Acuity Brands, Inc. | 418 | (84,971 | ) | |||||
Total Industrial | (3,291,054 | ) | ||||||
Consumer, Non-cyclical - (5.7)% | ||||||||
Pilgrim’s Pride Corp.* | 217 | (4,757 | ) | |||||
Brown-Forman Corp. — Class A | 124 | (6,113 | ) | |||||
General Mills, Inc. | 173 | (9,584 | ) | |||||
Hormel Foods Corp. | 369 | (12,587 | ) | |||||
BioMarin Pharmaceutical, Inc.* | 145 | (13,169 | ) | |||||
Alkermes plc* | 251 | (14,550 | ) | |||||
S&P Global, Inc. | 145 | (21,169 | ) | |||||
Stryker Corp. | 169 | (23,454 | ) | |||||
Align Technology, Inc.* | 193 | (28,973 | ) | |||||
Automatic Data Processing, Inc. | 289 | (29,611 | ) |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Philip Morris International, Inc. | 265 | $ | (31,124 | ) | ||||
McKesson Corp. | 193 | (31,756 | ) | |||||
Hertz Global Holdings, Inc.* | 3,108 | (35,742 | ) | |||||
Bruker Corp. | 1,275 | (36,771 | ) | |||||
Square, Inc. — Class A* | 1,673 | (39,249 | ) | |||||
Illumina, Inc.* | 229 | (39,736 | ) | |||||
Ionis Pharmaceuticals, Inc.* | 850 | (43,240 | ) | |||||
Premier, Inc. — Class A* | 1,240 | (44,640 | ) | |||||
Nielsen Holdings plc | 1,179 | (45,580 | ) | |||||
Intuitive Surgical, Inc.* | 49 | (45,833 | ) | |||||
Vertex Pharmaceuticals, Inc.* | 360 | (46,393 | ) | |||||
AmerisourceBergen Corp. — Class A | 504 | (47,643 | ) | |||||
Hain Celestial Group, Inc.* | 1,443 | (56,017 | ) | |||||
Macquarie Infrastructure Corp. | 829 | (64,994 | ) | |||||
Kimberly-Clark Corp. | 505 | (65,201 | ) | |||||
CoStar Group, Inc.* | 248 | (65,373 | ) | |||||
Moody’s Corp. | 554 | (67,411 | ) | |||||
Campbell Soup Co. | 1,300 | (67,795 | ) | |||||
IDEXX Laboratories, Inc.* | 420 | (67,796 | ) | |||||
Endo International plc* | 6,076 | (67,869 | ) | |||||
McCormick & Co., Inc. | 707 | (68,940 | ) | |||||
Brown-Forman Corp. — Class B | 1,428 | (69,401 | ) | |||||
Tenet Healthcare Corp.* | 3,632 | (70,243 | ) | |||||
Hershey Co. | 659 | (70,757 | ) | |||||
Mondelez International, Inc. — Class A | 1,639 | (70,788 | ) | |||||
FleetCor Technologies, Inc.* | 491 | (70,807 | ) | |||||
Kellogg Co. | 1,020 | (70,849 | ) | |||||
Rollins, Inc. | 1,752 | (71,324 | ) | |||||
Sprouts Farmers Market, Inc.* | 3,153 | (71,479 | ) | |||||
WEX, Inc.* | 687 | (71,633 | ) | |||||
Blue Buffalo Pet Products, Inc.* | 3,149 | (71,829 | ) | |||||
Henry Schein, Inc.* | 393 | (71,927 | ) | |||||
Clorox Co. | 540 | (71,950 | ) | |||||
Intercept Pharmaceuticals, Inc.* | 595 | (72,037 | ) | |||||
Gartner, Inc.* | 589 | (72,747 | ) | |||||
Edgewell Personal Care Co.* | 957 | (72,751 | ) | |||||
Monster Beverage Corp.* | 1,475 | (73,278 | ) | |||||
Estee Lauder Cos., Inc. — Class A | 764 | (73,329 | ) | |||||
Coca-Cola Co. | 1,647 | (73,868 | ) | |||||
Sabre Corp. | 3,426 | (74,584 | ) | |||||
Western Union Co. | 3,924 | (74,752 | ) | |||||
ServiceMaster Global Holdings, Inc.* | 1,909 | (74,814 | ) | |||||
Coty, Inc. — Class A | 3,998 | (75,002 | ) | |||||
DexCom, Inc.* | 1,031 | (75,418 | ) | |||||
Ecolab, Inc. | 571 | (75,800 | ) | |||||
TreeHouse Foods, Inc.* | 933 | (76,217 | ) | |||||
Allergan plc | 319 | (77,546 | ) | |||||
Neurocrine Biosciences, Inc.* | 1,697 | (78,062 | ) | |||||
Edwards Lifesciences Corp.* | 663 | (78,393 | ) | |||||
Verisk Analytics, Inc. — Class A* | 932 | (78,633 | ) | |||||
RR Donnelley & Sons Co. | 6,278 | (78,726 | ) | |||||
Morningstar, Inc. | 1,006 | (78,810 | ) | |||||
Perrigo Company plc | 1,046 | (78,994 | ) | |||||
MarketAxess Holdings, Inc. | 393 | (79,032 | ) | |||||
ACADIA Pharmaceuticals, Inc.* | 2,846 | (79,375 | ) | |||||
Agios Pharmaceuticals, Inc.* | 1,545 | (79,490 | ) | |||||
Brookdale Senior Living, Inc. — Class A* | 5,448 | (80,140 | ) | |||||
Acadia Healthcare Co., Inc.* | 1,743 | (86,069 | ) | |||||
Becton Dickinson and Co. | 445 | (86,824 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Alnylam Pharmaceuticals, Inc.* | 1,091 | $ | (87,018 | ) | ||||
Juno Therapeutics, Inc.* | 3,253 | (97,232 | ) | |||||
British American Tobacco plc ADR | 4,806 | (329,403 | ) | |||||
Total Consumer, Non-cyclical | (4,614,401 | ) | ||||||
Financial - (7.5)% | ||||||||
MetLife, Inc. | 73 | (4,011 | ) | |||||
Invesco Ltd. | 169 | (5,947 | ) | |||||
Loews Corp. | 152 | (7,115 | ) | |||||
People’s United Financial, Inc. | 517 | (9,130 | ) | |||||
M&T Bank Corp. | 73 | (11,822 | ) | |||||
DDR Corp. | 1,375 | (12,471 | ) | |||||
Sun Communities, Inc. | 145 | (12,715 | ) | |||||
Alexandria Real Estate Equities, Inc. | 121 | (14,577 | ) | |||||
Mid-America Apartment Communities, Inc. | 172 | (18,125 | ) | |||||
Comerica, Inc. | 324 | (23,730 | ) | |||||
SLM Corp.* | 2,473 | (28,440 | ) | |||||
New York Community Bancorp, Inc. | 2,406 | (31,591 | ) | |||||
Equity LifeStyle Properties, Inc. | 385 | (33,241 | ) | |||||
Santander Consumer USA Holdings, Inc.* | 2,767 | (35,307 | ) | |||||
Howard Hughes Corp.* | 289 | (35,501 | ) | |||||
Raymond James Financial, Inc. | 509 | (40,832 | ) | |||||
SBA Communications Corp. REIT* | 306 | (41,279 | ) | |||||
Taubman Centers, Inc. | 698 | (41,566 | ) | |||||
Federated Investors, Inc. — Class B | 1,636 | (46,217 | ) | |||||
TowneBank | 1,580 | (48,664 | ) | |||||
Synchrony Financial | 1,829 | (54,541 | ) | |||||
Huntington Bancshares, Inc. | 4,234 | (57,244 | ) | |||||
GGP, Inc. | 2,503 | (58,971 | ) | |||||
Chubb Ltd. | 433 | (62,950 | ) | |||||
LendingClub Corp.* | 11,426 | (62,957 | ) | |||||
Equity Residential | 962 | (63,328 | ) | |||||
White Mountains Insurance Group Ltd. | 74 | (64,279 | ) | |||||
T. Rowe Price Group, Inc. | 890 | (66,047 | ) | |||||
Mastercard, Inc. — Class A | 567 | (68,862 | ) | |||||
TD Ameritrade Holding Corp. | 1,612 | (69,300 | ) | |||||
Essex Property Trust, Inc. | 272 | (69,977 | ) | |||||
UDR, Inc. | 1,823 | (71,042 | ) | |||||
CyrusOne, Inc. REIT | 1,282 | (71,472 | ) | |||||
Signature Bank* | 499 | (71,621 | ) | |||||
American Tower Corp. REIT — Class A | 542 | (71,717 | ) | |||||
Public Storage | 344 | (71,734 | ) | |||||
Aon plc | 543 | (72,192 | ) | |||||
Markel Corp.* | 74 | (72,214 | ) | |||||
BlackRock, Inc. — Class A | 172 | (72,655 | ) | |||||
Life Storage, Inc. | 981 | (72,692 | ) | |||||
Mercury General Corp. | 1,349 | (72,846 | ) | |||||
SVB Financial Group* | 418 | (73,480 | ) | |||||
Iron Mountain, Inc. | 2,143 | (73,633 | ) | |||||
Alleghany Corp.* | 124 | (73,755 | ) | |||||
Visa, Inc. — Class A | 787 | (73,805 | ) | |||||
Equinix, Inc. REIT | 172 | (73,816 | ) | |||||
American International Group, Inc. | 1,190 | (74,399 | ) | |||||
CubeSmart | 3,115 | (74,885 | ) | |||||
Crown Castle International Corp. | 748 | (74,935 | ) | |||||
Brown & Brown, Inc. | 1,742 | (75,028 | ) | |||||
Arthur J Gallagher & Co. | 1,316 | (75,341 | ) | |||||
Simon Property Group, Inc. | 466 | (75,380 | ) | |||||
U.S. Bancorp | 1,452 | (75,388 | ) | |||||
Boston Properties, Inc. | 613 | (75,411 | ) | |||||
Healthcare Trust of America, Inc. — Class A | 2,425 | (75,442 | ) | |||||
Macerich Co. | 1,300 | (75,478 | ) | |||||
Starwood Property Trust, Inc. | 3,385 | (75,790 | ) |
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
Realty Income Corp. | 1,374 | $ | (75,817 | ) | ||||
Weyerhaeuser Co. REIT | 2,264 | (75,844 | ) | |||||
TFS Financial Corp. | 4,930 | (76,267 | ) | |||||
Marsh & McLennan Companies, Inc. | 980 | (76,401 | ) | |||||
BOK Financial Corp. | 910 | (76,558 | ) | |||||
Erie Indemnity Co. — Class A | 613 | (76,668 | ) | |||||
Commerce Bancshares, Inc. | 1,352 | (76,834 | ) | |||||
Regency Centers Corp. | 1,227 | (76,859 | ) | |||||
Voya Financial, Inc. | 2,085 | (76,916 | ) | |||||
ProAssurance Corp. | 1,269 | (77,155 | ) | |||||
First Republic Bank | 772 | (77,277 | ) | |||||
Paramount Group, Inc. | 4,832 | (77,312 | ) | |||||
Federal Realty Investment Trust | 613 | (77,477 | ) | |||||
BankUnited, Inc. | 2,306 | (77,735 | ) | |||||
Forest City Realty Trust, Inc. — Class A | 3,220 | (77,827 | ) | |||||
Progressive Corp. | 1,770 | (78,039 | ) | |||||
SEI Investments Co. | 1,452 | (78,089 | ) | |||||
Cincinnati Financial Corp. | 1,080 | (78,246 | ) | |||||
Extra Space Storage, Inc. | 1,006 | (78,468 | ) | |||||
Nasdaq, Inc. | 1,104 | (78,925 | ) | |||||
FNF Group | 1,772 | (79,439 | ) | |||||
Western Alliance Bancorporation* | 1,621 | (79,753 | ) | |||||
Hanover Insurance Group, Inc. | 908 | (80,476 | ) | |||||
American Express Co. | 956 | (80,533 | ) | |||||
Intercontinental Exchange, Inc. | 1,227 | (80,884 | ) | |||||
Bank of Hawaii Corp. | 981 | (81,394 | ) | |||||
Wells Fargo & Co. | 1,472 | (81,564 | ) | |||||
Charles Schwab Corp. | 1,938 | (83,256 | ) | |||||
Simmons First National Corp. — Class A | 1,725 | (91,253 | ) | |||||
Columbia Banking System, Inc. | 2,982 | (118,833 | ) | |||||
South State Corp. | 1,474 | (126,322 | ) | |||||
Union Bankshares Corp. | 6,467 | (219,231 | ) | |||||
Carolina Financial Corp. | 8,545 | (276,172 | ) | |||||
Total Financial | (6,140,712 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $24,662,093) | (25,321,569 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (10.4)% | ||||||||
SPDR S&P 500 ETF Trust | 247 | (59,725 | ) | |||||
VanEck Vectors Russia ETF | 5,570 | (106,777 | ) | |||||
iShares MSCI United Kingdom ETF | 3,294 | (109,789 | ) | |||||
iShares 20+ Year Treasury Bond ETF | 942 | (117,863 | ) | |||||
iShares MSCI Australia ETF | 5,468 | (118,546 | ) | |||||
VanEck Vectors Gold Miners ETF | 5,774 | (127,490 | ) | |||||
iShares Russell 1000 Growth ETF | 1,072 | (127,589 | ) | |||||
Consumer Discretionary Select Sector SPDR Fund | 1,425 | (127,723 | ) | |||||
iShares Russell 1000 Value ETF | 1,112 | (129,470 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,262 | (152,084 | ) | |||||
Utilities Select Sector SPDR Fund | 3,109 | (161,544 | ) | |||||
Consumer Staples Select Sector SPDR Fund | 3,031 | (166,523 | ) | |||||
iShares MSCI South Korea Capped ETF | 2,469 | (167,423 | ) | |||||
iShares MSCI Emerging Markets ETF | 4,641 | (192,091 | ) | |||||
iShares China Large-Capital ETF | 4,956 | (196,803 | ) | |||||
Materials Select Sector SPDR Fund | 3,687 | (198,397 | ) | |||||
Technology Select Sector SPDR Fund | 3,701 | (202,519 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Shares | Value | |||||||
iShares MSCI Taiwan Capped ETF | 6,420 | $ | (229,579 | ) | ||||
iShares MSCI Japan ETF | 4,679 | (251,028 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 2,442 | (260,342 | ) | |||||
Industrial Select Sector SPDR Fund | 4,094 | (278,842 | ) | |||||
iShares Core U.S. Aggregate Bond ETF | 2,755 | (301,700 | ) | |||||
iShares MSCI Mexico Capped ETF | 6,003 | (323,802 | ) | |||||
PowerShares QQQ Trust Series 1 | 2,526 | (347,679 | ) | |||||
iShares TIPS Bond ETF | 3,131 | (355,149 | ) | |||||
Financial Select Sector SPDR Fund | 17,923 | (442,160 | ) | |||||
iShares MSCI EAFE ETF | 6,837 | (445,772 | ) | |||||
Health Care Select Sector SPDR Fund | 6,055 | (479,798 | ) | |||||
Energy Select Sector SPDR Fund | 8,496 | (551,561 | ) | |||||
iShares Russell 2000 Index ETF | 3,914 | (551,561 | ) | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 15,456 | (574,963 | ) | |||||
iShares U.S. Real Estate ETF | 7,586 | (605,135 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $8,083,181) | (8,461,427 | ) | ||||||
Total Securities Sold Short- (41.4)% | ||||||||
(Proceeds $32,745,274) | $ | (33,782,996 | ) | |||||
Other Assets & Liabilities, net – 44.2% | 36,008,961 | |||||||
Total Net Assets - 100.0% | $ | 81,451,333 |
Contracts | Unrealized Gain (Loss) | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
August 2017 LME Lead Futures Contracts (Aggregate Value of Contracts $629,681) | 11 | $ | 30,801 | |||||
September 2017 Copper Futures Contracts (Aggregate Value of Contracts $407,175) | 6 | 16,607 | ||||||
August 2017 Lean Hogs Futures Contracts (Aggregate Value of Contracts $234,500) | 7 | 8,798 | ||||||
August 2017 Gold 100 oz. Futures Contracts (Aggregate Value of Contracts $372,420) | 3 | 4,109 | ||||||
August 2017 LME Zinc Futures Contracts (Aggregate Value of Contracts $137,868) | 2 | 707 | ||||||
August 2017 Live Cattle Futures Contracts (Aggregate Value of Contracts $465,100) | 10 | (11,142 | ) | |||||
(Total Aggregate Value of Contracts $2,246,744) | $ | 49,880 | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Australian Dollar Futures Contracts (Aggregate Value of Contracts $921,360) | 12 | $ | 11,630 | |||||
September 2017 Euro FX Futures Contracts (Aggregate Value of Contracts $429,975) | 3 | 414 | ||||||
(Total Aggregate Value of Contracts $1,351,335) | $ | 12,044 |
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Contracts | Unrealized Gain (Loss) | |||||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $125,516) | 1 | $ | (353 | ) | ||||
September 2017 U.S. Treasury Ultra Long Bond Futures Contracts (Aggregate Value of Contracts $166,031) | 1 | (2,642 | ) | |||||
September 2017 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,178,281) | 10 | (3,783 | ) | |||||
September 2017 U.S. Treasury Long Bond Futures Contracts (Aggregate Value of Contracts $461,438) | 3 | (6,286 | ) | |||||
September 2017 Euro - Schatz Futures Contracts†† (Aggregate Value of Contracts $3,193,890) | 25 | (8,609 | ) | |||||
September 2017 Australian Government 10 Year Bond Futures Contracts†† (Aggregate Value of Contracts $1,089,347) | 11 | (19,266 | ) | |||||
September 2017 Euro - Bund Futures Contracts†† (Aggregate Value of Contracts $1,108,646) | 6 | (21,277 | ) | |||||
September 2017 U.S. Treasury 5 Year Note Futures Contracts†† (Aggregate Value of Contracts $1,956,364) | 12 | (45,026 | ) | |||||
(Total Aggregate Value of Contracts $9,279,513) | $ | (107,242 | ) |
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Dow Jones Industrial Average Index Mini Futures Contracts (Aggregate Value of Contracts $1,490,790) | 14 | 12,223 | ||||||
September 2017 Tokyo Stock Price Index Futures Contracts†† (Aggregate Value of Contracts $1,005,779) | 7 | 10,764 | ||||||
July 2017 Hang Seng Index Futures Contracts†† (Aggregate Value of Contracts $1,639,945) | 10 | 5,836 | ||||||
July 2017 MSCI Taiwan Stock Index Futures Contracts (Aggregate Value of Contracts $1,117,370) | 29 | 5,370 | ||||||
September 2017 Nikkei 225 (OSE) Index Futures Contracts†† (Aggregate Value of Contracts $714,146) | 4 | 3,633 | ||||||
September 2017 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $424,230) | 6 | 1,030 | ||||||
September 2017 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $174,580) | 1 | 968 | ||||||
September 2017 SPI 200 Index Futures Contracts†† (Aggregate Value of Contracts $217,739) | 2 | (1,784 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Contracts | Unrealized Gain (Loss) | |||||||
July 2017 Amsterdam Index Futures Contracts†† (Aggregate Value of Contracts $465,334) | 4 | $ | (9,473 | ) | ||||
July 2017 IBEX 35 Index Futures Contracts†† (Aggregate Value of Contracts $598,098) | 5 | (16,524 | ) | |||||
September 2017 FTSE 100 Index Futures Contracts†† (Aggregate Value of Contracts $756,536) | 8 | (19,557 | ) | |||||
September 2017 DAX Index Futures Contracts†† (Aggregate Value of Contracts $706,282) | 2 | (28,398 | ) | |||||
September 2017 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $1,130,700) | 10 | (40,372 | ) | |||||
October 2017 CBOE Volatility Index Futures Contracts (Aggregate Value of Contracts $893,420) | 62 | (81,054 | ) | |||||
August 2017 CBOE Volatility Index Futures Contracts (Aggregate Value of Contracts $1,194,740) | 94 | (141,909 | ) | |||||
(Total Aggregate Value of Contracts $12,529,689) | $ | (299,247 | ) |
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 CBOE Volatility Index Futures Contracts (Aggregate Value of Contracts $1,887,840) | 138 | 305,915 | ||||||
July 2017 CBOE Volatility Index Futures Contracts (Aggregate Value of Contracts $292,560) | 24 | 67,026 | ||||||
September 2017 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $5,568,301) | 46 | 21,067 | ||||||
July 2017 CAC 40 10 Euro Index Futures Contracts†† (Aggregate Value of Contracts $58,772) | 1 | 1,853 | ||||||
July 2017 H-Shares Index Futures Contracts†† (Aggregate Value of Contracts $261,521) | 4 | (142 | ) | |||||
(Total Aggregate Value of Contracts $8,068,994) | $ | 395,719 | ||||||
INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Canadian Government 10 Year Bond Futures Contracts†† (Aggregate Value of Contracts $541,088) | 5 | $ | 9,973 | |||||
September 2017 Euro - Bobl Futures Contracts†† (Aggregate Value of Contracts $902,433) | 6 | 217 | ||||||
(Total Aggregate Value of Contracts $1,443,521) | $ | 10,190 |
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Contracts | Unrealized Gain (Loss) | |||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Japanese Yen Futures Contracts (Aggregate Value of Contracts $780,456) | 7 | $ | 6,606 | |||||
September 2017 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $231,660) | 3 | (3,743 | ) | |||||
(Total Aggregate Value of Contracts $1,012,116) | $ | 2,863 | ||||||
COMMODITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
October 2017 Sugar #11 Futures Contracts (Aggregate Value of Contracts $541,352) | 35 | $ | 16,634 | |||||
September 2017 Silver Futures Contracts (Aggregate Value of Contracts $581,525) | 7 | 13,206 | ||||||
September 2017 Coffee ‘C’ Futures Contracts (Aggregate Value of Contracts $236,156) | 5 | 4,145 | ||||||
December 2017 Cotton #2 Futures Contracts (Aggregate Value of Contracts $480,830) | 14 | 3,583 | ||||||
August 2017 Natural Gas Futures Contracts (Aggregate Value of Contracts $151,500) | 5 | 1,542 | ||||||
August 2017 NY Harbor ULSD Futures Contracts (Aggregate Value of Contracts $62,378) | 1 | (1,283 | ) | |||||
August 2017 LME Primary Aluminum Futures Contracts (Aggregate Value of Contracts $191,410) | 4 | (3,763 | ) |
August 2017 WTI Crude Futures Contracts (Aggregate Value of Contracts $138,510) | 3 | (6,642 | ) | |||||
September 2017 Corn Futures Contracts (Aggregate Value of Contracts $247,000) | 13 | (6,934 | ) | |||||
August 2017 Low Sulphur Gas Oil Futures Contracts (Aggregate Value of Contracts $220,500) | 5 | (7,217 | ) | |||||
August 2017 LME Nickel Futures Contracts (Aggregate Value of Contracts $168,687) | 3 | (8,567 | ) | |||||
September 2017 Brent Crude Futures Contracts (Aggregate Value of Contracts $195,520) | 4 | (8,783 | ) | |||||
August 2017 Gasoline RBOB Futures Contracts (Aggregate Value of Contracts $254,470) | 4 | (10,457 | ) | |||||
September 2017 Wheat Futures Contracts (Aggregate Value of Contracts $78,863) | 3 | (11,348 | ) | |||||
September 2017 Hard Red Winter Wheat Futures Contracts (Aggregate Value of Contracts $105,650) | 4 | (14,697 | ) | |||||
November 2017 Soybean Futures Contracts (Aggregate Value of Contracts $857,250) | 18 | (19,612 | ) | |||||
(Total Aggregate Value of Contracts $4,511,601) | $ | (60,193 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Units | Unrealized Gain (Loss) | |||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International September 2017 Goldman Sachs Multi- Hedge Strategies Long Index Swap 1.20%9, Terminating 09/15/17 (Notional Value $9,678,570) | 66,124 | $ | 72,721 | |||||
Goldman Sachs International September 2017 Goldman Sachs Multi- Hedge Strategies Short Index Swap 0.50%10, Terminating 09/15/17 (Notional Value $3,757,172) | 28,707 | $ | (66,669 | ) |
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Sector | % of Index |
Technology | 26.0% |
Consumer Discretionary | 20.5% |
Industrials | 16.9% |
Health Care | 11.8% |
Financials | 10.7% |
Materials | 5.8% |
Communications | 4.3% |
Energy | 1.9% |
Consumer Staples | 1.7% |
Utilities | 0.4% |
Total | 100.0% |
Sector | % of Index |
Consumer Discretionary | 20.9% |
Energy | 19.1% |
Financials | 17.4% |
Consumer Staples | 11.2% |
Health Care | 10.0% |
Industrials | 9.9% |
Communications | 4.1% |
Materials | 3.1% |
Technology | 2.7% |
Utilities | 1.6% |
Total | 100.0% |
* | Non-income producing security. | |
** | Less than 0.1% of net assets. | |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or a portion of this security is pledged as short security collateral at June 30, 2017. | |
2 | All or portion of this security is on loan at June 30, 2017 — See Note 6. | |
3 | Affiliated issuer — See Note 10. | |
4 | Zero coupon rate security. Rate indicated is the effective yield at the time of purchase. | |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2017. | |
6 | Repurchase Agreements — See Note 5. | |
7 | Securities lending collateral — See Note 6. | |
8 | Rate indicated is the 7 day yield as of June 30, 2017. | |
9 | Customized basket of 193 exchange-traded equity securities. Total return based on Goldman Sachs Multi-Hedge Strategies Long Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. | |
10 | Customized basket of 148 exchange-traded equity securities. Total return based on Goldman Sachs Multi-Hedge Strategies Short Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
REIT — Real Estate Investment Trust | ||
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
MULTI-HEDGE STRATEGIES FUND |
Investments in Securities (Assets) | Level 1 | Level 1 - Other* | Level 2 | Level 2 - Other* | Level 3 | Total | ||||||||||||||||||
Closed-End Funds | $ | 7,758,501 | $ | — | $ | — | $ | — | $ | — | $ | 7,758,501 | ||||||||||||
Commodity Futures Contracts | — | 100,132 | — | — | — | 100,132 | ||||||||||||||||||
Common Stocks | 42,756,834 | — | — | — | — | 42,756,834 | ||||||||||||||||||
Currency Futures Contracts | — | 18,650 | — | — | — | 18,650 | ||||||||||||||||||
Equity Futures Contracts | — | 413,599 | — | 22,086 | — | 435,685 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 72,721 | — | 72,721 | ||||||||||||||||||
Interest Rate Futures Contracts | — | — | — | 10,190 | — | 10,190 | ||||||||||||||||||
Mutual Funds | 32,022 | — | — | — | — | 32,022 | ||||||||||||||||||
Repurchase Agreements | — | — | 19,259,709 | — | — | 19,259,709 | ||||||||||||||||||
Securities Lending Collateral | 136,560 | — | — | — | — | 136,560 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 9,281,742 | — | — | 9,281,742 | ||||||||||||||||||
Total Assets | $ | 50,683,917 | $ | 532,381 | $ | 28,541,451 | $ | 104,997 | $ | — | $ | 79,862,746 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - Other* | Level 2 | Level 2 - Other* | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 110,445 | $ | — | $ | — | $ | — | $ | 110,445 | ||||||||||||
Common Stocks | 25,321,569 | — | — | — | — | 25,321,569 | ||||||||||||||||||
Currency Futures Contracts | — | 3,743 | — | — | — | 3,743 | ||||||||||||||||||
Equity Futures Contracts | — | 263,335 | — | 75,878 | — | 339,213 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 66,669 | — | 66,669 | ||||||||||||||||||
Exchange-Traded Funds | 8,461,427 | — | — | — | — | 8,461,427 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 13,064 | — | 94,178 | — | 107,242 | ||||||||||||||||||
Total Liabilities | $ | 33,782,996 | $ | 390,587 | $ | — | $ | 236,725 | $ | — | $ | 34,410,308 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
MULTI-HEDGE STRATEGIES FUND |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $132,181 of securities loaned (cost $54,780,503) | $ | 59,746,293 | ||
Investments in affiliated issuers, at value (cost $214,395) | 219,366 | |||
Repurchase agreements, at value (cost $19,259,709) | 19,259,709 | |||
Total investments (cost $74,254,607) | 79,225,368 | |||
Segregated cash with broker | 37,508,974 | |||
Unrealized appreciation on swap agreements | 72,721 | |||
Cash | 67,173 | |||
Receivables: | ||||
Securities sold | 75,159 | |||
Fund shares sold | 63,821 | |||
Dividends | 52,461 | |||
Interest | 546 | |||
Securities lending income | 563 | |||
Total assets | 117,066,786 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $32,745,274) | 33,782,996 | |||
Unrealized depreciation on swap agreements | 66,669 | |||
Segregated cash due to broker | 10,940 | |||
Payable for: | ||||
Securities purchased | 1,301,389 | |||
Variation margin | 152,637 | |||
Return of securities loaned | 136,560 | |||
Management fees | 77,394 | |||
Distribution and service fees | 12,937 | |||
Fund shares redeemed | 8,881 | |||
Miscellaneous | 65,050 | |||
Total liabilities | 35,615,453 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 81,451,333 | ||
Net assets consist of: | ||||
Paid in capital | $ | 89,794,716 | ||
Accumulated net investment loss | (3,991,255 | ) | ||
Accumulated net realized loss on investments and foreign currency | (8,294,970 | ) | ||
Net unrealized appreciation on investments and foreign currency | 3,942,842 | |||
Net assets | $ | 81,451,333 | ||
A-Class: | ||||
Net assets | $ | 11,449,727 | ||
Capital shares outstanding | 474,890 | |||
Net asset value per share | $ | 24.11 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 25.31 | ||
C-Class: | ||||
Net assets | $ | 8,515,160 | ||
Capital shares outstanding | 386,532 | |||
Net asset value per share | $ | 22.03 | ||
P-Class: | ||||
Net assets | $ | 16,570,042 | ||
Capital shares outstanding | 686,823 | |||
Net asset value per share | $ | 24.13 | ||
Institutional Class: | ||||
Net assets | $ | 44,916,404 | ||
Capital shares outstanding | 1,828,691 | |||
Net asset value per share | $ | 24.56 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
MULTI-HEDGE STRATEGIES FUND |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $751) | $ | 723,500 | ||
Interest | 51,246 | |||
Dividends from securities of affiliated issuers | 26,061 | |||
Income from securities lending, net | 6,699 | |||
Total investment income | 807,506 | |||
Expenses: | ||||
Management fees | 509,653 | |||
Distribution and service fees: | ||||
A-Class | 14,096 | |||
C-Class | 42,753 | |||
P-Class | 27,127 | |||
Short sales dividend expense | 381,411 | |||
Registration fees | 56,542 | |||
Trustees’ fees* | 7,622 | |||
Custodian fees | 1,235 | |||
Miscellaneous | (53,395 | ) | ||
Total expenses | 987,044 | |||
Less: | ||||
Expenses waived by Adviser | (21,399 | ) | ||
Net expenses | 965,645 | |||
Net investment loss | (158,139 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 4,517,554 | ||
Investments in affiliated issuers | (123,265 | ) | ||
Swap agreements | 191,090 | |||
Futures contracts | (338,224 | ) | ||
Foreign currency | 1,916 | |||
Securities sold short | (2,853,858 | ) | ||
Options written | 1,607 | |||
Net realized gain on investments and foreign currency | 1,396,820 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (352,064 | ) | ||
Investments in affiliated issuers | 128,679 | |||
Securities sold short | (443,586 | ) | ||
Swap agreements | 135,180 | |||
Futures contracts | (658,406 | ) | ||
Options written | 26,345 | |||
Foreign currency | (346 | ) | ||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (1,164,198 | ) | ||
Net realized and unrealized gain on investments and foreign currency | 232,622 | |||
Net increase in net assets resulting from operations | $ | 74,483 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS | |
MULTI-HEDGE STRATEGIES FUND |
Period Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (158,139 | ) | $ | (1,220,398 | ) | ||
Net realized gain (loss) on investments and foreign currency | 1,396,820 | (286,300 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (1,164,198 | ) | 714,838 | |||||
Net increase (decrease) in net assets resulting from operations | 74,483 | (791,860 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (18,960 | ) | |||||
C-Class | — | (13,563 | ) | |||||
P-Class | — | (47,562 | ) | |||||
Institutional Class | — | (80,274 | ) | |||||
Total distributions to shareholders | — | (160,359 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,436,016 | 4,253,544 | ||||||
C-Class | 1,409,067 | 5,080,618 | ||||||
P-Class | 2,023,962 | 29,060,073 | ||||||
Institutional Class | 12,405,572 | 22,680,675 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 17,082 | ||||||
C-Class | — | 11,255 | ||||||
P-Class | — | 45,475 | ||||||
Institutional Class | — | 76,006 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (2,403,039 | ) | (7,364,993 | ) | ||||
C-Class | (1,467,896 | ) | (5,699,800 | ) | ||||
P-Class | (16,216,940 | ) | (47,382,265 | ) | ||||
Institutional Class | (18,007,294 | ) | (21,871,294 | ) | ||||
Net decrease from capital share transactions | (20,820,552 | ) | (21,093,624 | ) | ||||
Net decrease in net assets | (20,746,069 | ) | (22,045,843 | ) | ||||
Net assets: | ||||||||
Beginning of period | 102,197,402 | 124,243,245 | ||||||
End of period | $ | 81,451,333 | $ | 102,197,402 | ||||
Accumulated net investment loss at end of period | $ | (3,991,255 | ) | $ | (3,833,116 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
MULTI-HEDGE STRATEGIES FUND |
Period Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 59,573 | 176,821 | ||||||
C-Class | 63,972 | 228,850 | ||||||
P-Class | 84,064 | 1,203,802 | ||||||
Institutional Class | 507,996 | 926,919 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 710 | ||||||
C-Class | — | 510 | ||||||
P-Class | — | 1,890 | ||||||
Institutional Class | — | 3,106 | ||||||
Shares redeemed | ||||||||
A-Class | (99,981 | ) | (307,132 | ) | ||||
C-Class | (66,636 | ) | (257,538 | ) | ||||
P-Class | (675,524 | ) | (1,971,217 | ) | ||||
Institutional Class | (736,169 | ) | (896,437 | ) | ||||
Net decrease in shares | (862,705 | ) | (889,716 | ) |
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS | |
MULTI-HEDGE STRATEGIES FUND |
A-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016 | Year Ended Dec. 31, 2015 | Year Ended Dec. 31, 2014 | Year Ended Dec. 31, 2013 | Year Ended Dec. 31, 2012 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.08 | $ | 24.22 | $ | 23.94 | $ | 23.03 | $ | 22.68 | $ | 22.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.24 | ) | (.23 | ) | (.26 | ) | (.18 | ) | (.35 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .08 | .14 | .51 | 1.36 | .53 | .82 | ||||||||||||||||||
Total from investment operations | .03 | (.10 | ) | .28 | 1.10 | .35 | .47 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Total distributions | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 24.11 | $ | 24.08 | $ | 24.22 | $ | 23.94 | $ | 23.03 | $ | 22.68 | ||||||||||||
Total Returnc | 0.12 | % | (0.43 | %) | 1.21 | % | 4.73 | % | 1.54 | % | 2.02 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,450 | $ | 12,407 | $ | 15,620 | $ | 11,620 | $ | 18,307 | $ | 27,700 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.42 | %) | (1.00 | %) | (0.96 | %) | (1.13 | %) | (0.79 | %) | (1.54 | %) | ||||||||||||
Total expensesd | 2.38 | % | 2.54 | % | 2.72 | % | 2.86 | % | 2.74 | % | 3.09 | % | ||||||||||||
Net expensese,f | 2.33 | % | 2.49 | % | 2.65 | % | 2.81 | % | 2.69 | % | 3.05 | % | ||||||||||||
Portfolio turnover rate | 65 | % | 123 | % | 163 | % | 304 | % | 302 | % | 465 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) | |
MULTI-HEDGE STRATEGIES FUND |
C-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016 | Year Ended Dec. 31, 2015 | Year Ended Dec. 31, 2014 | Year Ended Dec. 31, 2013 | Year Ended Dec. 31, 2012 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.08 | $ | 22.38 | $ | 22.29 | $ | 21.62 | $ | 21.45 | $ | 21.17 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.39 | ) | (.39 | ) | (.40 | ) | (.35 | ) | (.50 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .08 | .13 | .48 | 1.26 | .52 | .78 | ||||||||||||||||||
Total from investment operations | (.05 | ) | (.26 | ) | .09 | .86 | .17 | .28 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Total distributions | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 22.03 | $ | 22.08 | $ | 22.38 | $ | 22.29 | $ | 21.62 | $ | 21.45 | ||||||||||||
Total Returnc | (0.23 | %) | (1.18 | %) | 0.45 | % | 3.97 | % | 0.79 | % | 1.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,515 | $ | 8,595 | $ | 9,342 | $ | 9,627 | $ | 12,705 | $ | 16,780 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.17 | %) | (1.76 | %) | (1.73 | %) | (1.84 | %) | (1.60 | %) | (2.33 | %) | ||||||||||||
Total expensesd | 3.14 | % | 3.30 | % | 3.47 | % | 3.62 | % | 3.50 | % | 3.85 | % | ||||||||||||
Net expensese,f | 3.09 | % | 3.25 | % | 3.40 | % | 3.57 | % | 3.45 | % | 3.81 | % | ||||||||||||
Portfolio turnover rate | 65 | % | 123 | % | 163 | % | 304 | % | 302 | % | 465 | % |
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MULTI-HEDGE STRATEGIES FUND |
P-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016 | Year Ended Dec. 31, 2015 | Year Ended Dec. 31, 2014 | Year Ended Dec. 31, 2013 | Year Ended Dec. 31, 2012 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.10 | $ | 24.24 | $ | 23.96 | $ | 23.04 | $ | 22.69 | $ | 22.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.24 | ) | (.23 | ) | (.25 | ) | (.19 | ) | (.36 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .08 | .14 | .51 | 1.36 | .54 | .82 | ||||||||||||||||||
Total from investment operations | .03 | (.10 | ) | .28 | 1.11 | .35 | .46 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Total distributions | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 24.13 | $ | 24.10 | $ | 24.24 | $ | 23.96 | $ | 23.04 | $ | 22.69 | ||||||||||||
Total Returnc | 0.12 | % | (0.47 | %) | 1.21 | % | 4.77 | % | 1.54 | % | 2.02 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,570 | $ | 30,801 | $ | 49,539 | $ | 36,411 | $ | 50,990 | $ | 66,818 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.42 | %) | (1.00 | %) | (0.95 | %) | (1.09 | %) | (0.82 | %) | (1.59 | %) | ||||||||||||
Total expensesd | 2.37 | % | 2.52 | % | 2.72 | % | 2.87 | % | 2.75 | % | 3.07 | % | ||||||||||||
Net expensese,f | 2.32 | % | 2.47 | % | 2.65 | % | 2.82 | % | 2.71 | % | 3.03 | % | ||||||||||||
Portfolio turnover rate | 65 | % | 123 | % | 163 | % | 304 | % | 302 | % | 465 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded) |
MULTI-HEDGE STRATEGIES FUND |
Institutional Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016 | Year Ended Dec. 31, 2015 | Year Ended Dec. 31, 2014 | Year Ended Dec. 31, 2013 | Year Ended Dec. 31, 2012 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.50 | $ | 24.58 | $ | 24.24 | $ | 23.26 | $ | 22.84 | $ | 22.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.18 | ) | (.18 | ) | (.18 | ) | (.13 | ) | (.33 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .08 | .14 | .52 | 1.35 | .55 | .85 | ||||||||||||||||||
Total from investment operations | .06 | (.04 | ) | .34 | 1.17 | .42 | .52 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Total distributions | — | (.04 | ) | — | (.19 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 24.56 | $ | 24.50 | $ | 24.58 | $ | 24.24 | $ | 23.26 | $ | 22.84 | ||||||||||||
Total Returnc | 0.24 | % | (0.18 | %) | 1.44 | % | 4.98 | % | 1.84 | % | 2.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 44,916 | $ | 50,395 | $ | 49,742 | $ | 42,204 | $ | 25,435 | $ | 14,130 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.18 | %) | (0.74 | %) | (0.71 | %) | (0.79 | %) | (0.54 | %) | (1.46 | %) | ||||||||||||
Total expensesd | 2.13 | % | 2.30 | % | 2.47 | % | 2.67 | % | 2.56 | % | 3.05 | % | ||||||||||||
Net expensese,f | 2.08 | % | 2.25 | % | 2.40 | % | 2.62 | % | 2.51 | % | 3.01 | % | ||||||||||||
Portfolio turnover rate | 65 | % | 123 | % | 163 | % | 304 | % | 302 | % | 465 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Does not include expenses of the underlying funds in which the Fund invests. | |
e | Net expense information reflects the expense ratios after expense waivers. | |
f | Excluding interest and dividend expense related to short sales, the net expense ratios for the period ended June 30, 2017 and years ended December 31 would be: |
06/30/17 | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | 12/31/12 | ||
A-Class | 1.43% | 1.43% | 1.44% | 1.42% | 1.40% | 1.40% | |
C-Class | 2.18% | 2.18% | 2.19% | 2.17% | 2.15% | 2.15% | |
P-Class | 1.43% | 1.43% | 1.45% | 1.42% | 1.40% | 1.40% | |
Institutional Class | 1.18% | 1.18% | 1.19% | 1.17% | 1.15% | 1.15% |
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-011839/fp0026303_43.jpg)
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2017 |
Inception Dates: | |
A-Class | May 25, 2005 |
C-Class | May 25, 2005 |
H-Class | May 25, 2005 |
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 36.2% |
Guggenheim Strategy Fund II | 36.2% |
Total | 72.4% |
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (10.35%) | (9.02%) | (15.05%) | (11.42%) |
A-Class Shares with sales charge‡ | (14.61%) | (13.33%) | (15.88%) | (11.85%) |
C-Class Shares | (10.75%) | (9.86%) | (15.68%) | (12.07%) |
C-Class Shares with CDSC§ | (11.65%) | (10.76%) | (15.68%) | (12.07%) |
H-Class Shares | (10.38%) | (8.97%) | (15.05%) | (11.41%) |
S&P 500 Index | 9.34% | 17.90% | 14.63% | 7.18% |
S&P Goldman Sachs Commodity Index | (10.23%) | (9.02%) | (13.69%) | (9.67%) |
* | 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 S&P GSCI and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
COMMODITIES STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 72.4% | ||||||||
Guggenheim Strategy Fund I1 | 42,150 | $ | 1,056,696 | |||||
Guggenheim Strategy Fund II1 | 42,234 | 1,056,266 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,097,592) | 2,112,962 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 6.8% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/172,3 | $ | 200,000 | 199,853 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $199,830) | 199,853 | |||||||
REPURCHASE AGREEMENTS††,4 - 17.9% | ||||||||
RBC Capital Markets LLC issued 06/30/17 at 1.01% due 07/03/17 | 216,846 | 216,846 | ||||||
HSBC Securities, Inc. issued 06/30/17 at 0.99% due 07/03/17 | 163,807 | 163,807 |
Bank of America Merrill Lynch issued 06/30/17 at 1.08% due 07/03/17 | 140,959 | 140,959 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $521,612) | 521,612 | |||||||
Total Investments - 97.1% | ||||||||
(Cost $2,819,034) | $ | 2,834,427 | ||||||
Other Assets & Liabilities, net - 2.9% | 85,655 | |||||||
Total Net Assets - 100.0% | $ | 2,920,082 | ||||||
Contracts | Unrealized Gain | |||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
July 2017 Goldman Sachs Commodity Index Futures Contracts (Aggregate Value of Contracts $2,893,850) | 31 | $ | 148,704 |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | Affiliated issuer — See Note 10. | |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2017. | |
3 | Zero coupon rate security. Rate indicated is the effective yield at the time of purchase. | |
4 | Repurchase Agreements — See Note 5. | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
COMMODITIES STRATEGY FUND |
Investments in Securities (Assets) | Level 1 | Level 1 - Other* | Level 2 | Level 3 | Total | |||||||||||||||
Commodity Futures Contracts | $ | — | $ | 148,704 | $ | — | $ | — | $ | 148,704 | ||||||||||
Mutual Funds | 2,112,962 | — | — | — | 2,112,962 | |||||||||||||||
Repurchase Agreements | — | — | 521,612 | — | 521,612 | |||||||||||||||
U.S. Treasury Bills | 199,853 | — | — | — | 199,853 | |||||||||||||||
Total Assets | $ | 2,312,815 | $ | 148,704 | $ | 521,612 | $ | — | $ | 2,983,131 |
* | Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end. |
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
COMMODITIES STRATEGY FUND |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $199,830) | $ | 199,853 | ||
Investments in affiliated issuers, at value (cost $2,097,592) | 2,112,962 | |||
Repurchase agreements, at value (cost $521,612) | 521,612 | |||
Total investments (cost $2,819,034) | 2,834,427 | |||
Cash | 4 | |||
Receivables: | ||||
Variation margin | 69,750 | |||
Fund shares sold | 31,276 | |||
Dividends | 3,419 | |||
Interest | 15 | |||
Total assets | 2,938,891 | |||
Liabilities: | ||||
Payable for: | ||||
Management fees | 4,628 | |||
Fund shares redeemed | 4,012 | |||
Distribution and service fees | 1,731 | |||
Transfer agent and administrative fees | 1,543 | |||
Portfolio accounting fees | 617 | |||
Miscellaneous | 6,278 | |||
Total liabilities | 18,809 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 2,920,082 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,107,433 | ||
Accumulated net investment loss | (2,788,312 | ) | ||
Accumulated net realized loss on investments | (20,563,136 | ) | ||
Net unrealized appreciation on investments | 164,097 | |||
Net assets | $ | 2,920,082 | ||
A-Class: | ||||
Net assets | $ | 868,485 | ||
Capital shares outstanding | 11,298 | |||
Net asset value per share | $ | 76.87 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 80.70 | ||
C-Class: | ||||
Net assets | $ | 307,308 | ||
Capital shares outstanding | 4,398 | |||
Net asset value per share | $ | 69.87 | ||
H-Class: | ||||
Net assets | $ | 1,744,289 | ||
Capital shares outstanding | 22,681 | |||
Net asset value per share | $ | 76.91 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
COMMODITIES STRATEGY FUND |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 26,872 | ||
Interest | 10,831 | |||
Total investment income | 37,703 | |||
Expenses: | ||||
Management fees | 28,654 | |||
Transfer agent and administrative fees | 8,218 | |||
Distribution and service fees: | ||||
A-Class | 1,365 | |||
C-Class | 1,886 | |||
H-Class | 6,381 | |||
Registration fees | 3,947 | |||
Portfolio accounting fees | 3,287 | |||
Trustees’ fees* | 534 | |||
Custodian fees | 493 | |||
Miscellaneous | 4,638 | |||
Total expenses | 59,403 | |||
Less: | ||||
Expenses waived by Adviser | (3,605 | ) | ||
Net expenses | 55,798 | |||
Net investment loss | (18,095 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | $ | 2,817 | ||
Futures contracts | (666,018 | ) | ||
Net realized loss | (663,201 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (22 | ) | ||
Investments in affiliated issuers | 4,366 | |||
Futures contracts | (50,336 | ) | ||
Net change in unrealized appreciation (depreciation) | (45,992 | ) | ||
Net realized and unrealized loss | (709,193 | ) | ||
Net decrease in net assets resulting from operations | $ | (727,288 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS | |
COMMODITIES STRATEGY FUND |
Period Ended June 30, 2017 (Unaudited) | Year Ended December 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (18,095 | ) | $ | (66,729 | ) | ||
Net realized loss on investments | (663,201 | ) | (1,105,014 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (45,992 | ) | 268,384 | |||||
Net decrease in net assets resulting from operations | (727,288 | ) | (903,359 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 43,350,652 | 112,059,540 | ||||||
C-Class | 45,737 | 273,332 | ||||||
H-Class | 63,595,577 | 139,296,552 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (43,007,757 | ) | (111,853,025 | ) | ||||
C-Class | (176,332 | ) | (323,925 | ) | ||||
H-Class | (68,903,577 | ) | (139,483,654 | ) | ||||
Net decrease from capital share transactions | (5,095,700 | ) | (31,180 | ) | ||||
Net decrease in net assets | (5,822,988 | ) | (934,539 | ) | ||||
Net assets: | ||||||||
Beginning of period | 8,743,070 | 9,677,609 | ||||||
End of period | $ | 2,920,082 | $ | 8,743,070 | ||||
Accumulated net investment loss at end of period | $ | (2,788,312 | ) | $ | (2,770,217 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 560,583 | 1,420,897 | * | |||||
C-Class | 591 | 3,655 | * | |||||
H-Class | 840,460 | 1,729,009 | * | |||||
Shares redeemed | ||||||||
A-Class | (559,489 | ) | (1,418,693 | )* | ||||
C-Class | (2,348 | ) | (4,539 | )* | ||||
H-Class | (903,843 | ) | (1,753,049 | )* | ||||
Net decrease in shares | (64,046 | ) | (22,720 | ) |
* | Capital share activity for the period presented through December 31, 2016 has been restated to reflect a 1:12 reverse share split effective October 28, 2016 — See Note 12. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
COMMODITIES STRATEGY FUND |
A-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016f | Year Ended Dec. 31, 2015f | Year Ended Dec. 31, 2014f | Year Ended Dec. 31, 2013f | Year Ended Dec. 31, 2012f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 85.75 | $ | 77.58 | $ | 118.46 | $ | 179.18 | $ | 185.89 | $ | 194.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.09 | ) | (1.32 | ) | (1.80 | ) | (2.76 | ) | (2.76 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.70 | ) | 8.26 | (39.56 | ) | (58.92 | ) | (3.95 | ) | (.54 | ) | |||||||||||||
Total from investment operations | (8.88 | ) | 8.17 | (40.88 | ) | (60.72 | ) | (6.71 | ) | (3.30 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Net asset value, end of period | $ | 76.87 | $ | 85.75 | $ | 77.58 | $ | 118.46 | $ | 179.18 | $ | 185.89 | ||||||||||||
Total Returnc | (10.35 | %) | 10.59 | % | (34.55 | %) | (33.89 | %) | (3.62 | %) | (1.63 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 868 | $ | 875 | $ | 621 | $ | 3,419 | $ | 1,990 | $ | 5,840 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.44 | %) | (1.02 | %) | (1.26 | %) | (1.03 | %) | (1.50 | %) | (1.40 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.77 | % | 1.75 | % | 1.64 | % | 1.63 | % | 1.59 | % | ||||||||||||
Net expensese | 1.64 | % | 1.65 | % | 1.62 | % | 1.56 | % | 1.53 | % | 1.49 | % | ||||||||||||
Portfolio turnover rate | — | 208 | % | 486 | % | 238 | % | — | — |
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
COMMODITIES STRATEGY FUND |
C-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016f | Year Ended Dec. 31, 2015f | Year Ended Dec. 31, 2014f | Year Ended Dec. 31, 2013f | Year Ended Dec. 31, 2012f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 78.32 | $ | 71.38 | $ | 109.79 | $ | 167.19 | $ | 174.69 | $ | 184.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.41 | ) | (.11 | ) | (1.92 | ) | (2.76 | ) | (3.84 | ) | (3.96 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.04 | ) | 7.05 | (36.49 | ) | (54.64 | ) | (3.66 | ) | (.49 | ) | |||||||||||||
Total from investment operations | (8.45 | ) | 6.94 | (38.41 | ) | (57.40 | ) | (7.50 | ) | (4.45 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Net asset value, end of period | $ | 69.87 | $ | 78.32 | $ | 71.38 | $ | 109.79 | $ | 167.19 | $ | 174.69 | ||||||||||||
Total Returnc | (10.75 | %) | 9.66 | % | (34.97 | %) | (34.31 | %) | (4.33 | %) | (2.38 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 307 | $ | 482 | $ | 502 | $ | 1,135 | $ | 1,947 | $ | 2,575 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.12 | %) | (1.48 | %) | (1.95 | %) | (1.77 | %) | (2.25 | %) | (2.15 | %) | ||||||||||||
Total expensesd | 2.51 | % | 2.51 | % | 2.49 | % | 2.39 | % | 2.39 | % | 2.34 | % | ||||||||||||
Net expensese | 2.38 | % | 2.38 | % | 2.35 | % | 2.32 | % | 2.28 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate | — | 208 | % | 486 | % | 238 | % | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)(concluded) |
COMMODITIES STRATEGY FUND |
H-Class | Period Ended June 30, 2017 a | Year Ended Dec. 31, 2016f | Year Ended Dec. 31, 2015f | Year Ended Dec. 31, 2014f | Year Ended Dec. 31, 2013f | Year Ended Dec. 31, 2012f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 85.82 | $ | 77.69 | $ | 118.68 | $ | 179.41 | $ | 185.95 | $ | 194.10 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (.07 | ) | (1.32 | ) | (1.80 | ) | (2.76 | ) | (2.76 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.69 | ) | 8.20 | (39.67 | ) | (58.93 | ) | (3.78 | ) | (.47 | ) | |||||||||||||
Total from investment operations | (8.91 | ) | 8.13 | (40.99 | ) | (60.73 | ) | (6.54 | ) | (3.23 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (4.92 | ) | |||||||||||||||||
Net asset value, end of period | $ | 76.91 | $ | 85.82 | $ | 77.69 | $ | 118.68 | $ | 179.41 | $ | 185.95 | ||||||||||||
Total Returnc | (10.38 | %) | 10.52 | % | (34.58 | %) | (33.85 | %) | (3.55 | %) | (1.57 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,744 | $ | 7,386 | $ | 8,555 | $ | 8,160 | $ | 12,042 | $ | 23,671 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.53 | %) | (0.87 | %) | (1.33 | %) | (1.05 | %) | (1.50 | %) | (1.40 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.74 | % | 1.75 | % | 1.65 | % | 1.63 | % | 1.60 | % | ||||||||||||
Net expensese | 1.66 | % | 1.62 | % | 1.63 | % | 1.57 | % | 1.53 | % | 1.49 | % | ||||||||||||
Portfolio turnover rate | — | 208 | % | 486 | % | 238 | % | — | — |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Does not include expenses of the underlying funds in which the Fund invests. | |
e | Net expense information reflects the expense ratios after expense waivers. | |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:12 reverse share split effective October 28, 2016 — See Note 12. |
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Commencement Date of Subsidiary | Subsidiary Net Assets at June 30, 2017 | % of Net Assets of the Fund at June 30, 2017 | ||||||
Multi-Hedge Strategies Fund | 09/18/09 | $ | 3,448,859 | 4.2 | % | ||||
Commodities Strategy Fund | 09/08/09 | 693,544 | 23.8 | % |
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Use |
Multi-Hedge Strategies Fund | Hedge, Income |
Written Call Options | ||||||||
Multi-Hedge Strategies | ||||||||
Number of Contracts | Premium Amount | |||||||
Balance at December 31, 2016 | 130 | $ | 530 | |||||
Options Written | 145 | 1,077 | ||||||
Options terminated in closing purchase transactions | (65 | ) | (617 | ) | ||||
Options expired | (210 | ) | (990 | ) | ||||
Options exercised | — | — | ||||||
Balance at June 30, 2017 | — | $ | — |
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | $ | 29,594,735 | $ | 16,380,237 | ||||
Commodities Strategy Fund | Index exposure, Liquidity | 4,607,956 | — |
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | $ | 9,846,191 | $ | 3,821,744 |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Variation margin | Variation margin |
Equity contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Currency Contracts* | Futures Interest Rate Contracts* | Futures Commodity Contracts* | Total Value at June 30, 2017 | ||||||||||||||||||
Multi-Hedge Strategies Fund | $ | 435,685 | $ | 72,721 | $ | 18,650 | $ | 10,190 | $ | 100,132 | $ | 637,378 | ||||||||||||
Commodities Strategy Fund | — | — | — | — | 148,704 | 148,704 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Currency Contracts* | Futures Interest Rate Contracts* | Futures Commodity Contracts* | Total Value at June 30, 2017 | ||||||||||||||||||
Multi-Hedge Strategies Fund | $ | 339,213 | $ | 66,669 | $ | 3,743 | $ | 107,242 | $ | 110,445 | $ | 627,312 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Equity contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements | |
Equity contracts | Net realized gain (loss) on options written |
Net change in unrealized appreciation (depreciation) on options written |
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Currency Contracts | Futures Interest Rate Contracts | Futures Commodity Contracts | Options Written Equity Contracts | Total | |||||||||||||||||||||
Multi-Hedge Strategies Fund | $ | 284,011 | $ | 191,090 | $ | (91,650 | ) | $ | (12,398 | ) | $ | (518,187 | ) | $ | 1,607 | $ | (145,527 | ) | ||||||||||
Commodities Strategy Fund | — | — | — | — | (666,018 | ) | — | (666,018 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Currency Contracts | Futures Interest Rate Contracts | Futures Commodity Contracts | Options Written Equity Contracts | Total | |||||||||||||||||||||
Multi-Hedge Strategies Fund | $ | (329,484 | ) | $ | 135,180 | $ | (69,170 | ) | $ | (214,779 | ) | $ | (44,973 | ) | $ | 26,345 | $ | (496,881 | ) | |||||||||
Commodities Strategy Fund | — | — | — | — | (50,336 | ) | — | (50,336 | ) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Management Fees (as a % of Net Assets) |
Multi-Hedge Strategies Fund | 1.15% |
Commodities Strategy Fund | 0.75% |
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||
HSBC Securities, Inc. 0.99% Due 07/03/17 | $ | 66,081,561 | $ | 66,087,012 | U.S. Treasury Strips 0.00% 11/15/42 | $ | 140,899,200 | $ | 67,403,238 | ||||||||
RBC Capital Markets LLC 1.01% Due 07/03/17 | 64,247,471 | 64,252,879 | U.S. TIP Notes 0.13% 04/15/19 - 04/15/20 | 62,569,400 | 65,532,506 | ||||||||||||
Bank of America Merrill Lynch 1.08% Due 07/03/17 | 44,188,662 | 44,192,639 | U.S. Treasury Bond 3.00% 05/15/47 | 43,303,110 | 45,072,474 |
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
Multi-Hedge Strategies Fund | $ | 132,181 | $ | (132,181 | ) | $ | — | $ | 136,560 | $ | — | $ | 136,560 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Offset in the | Net Amount of Assets Presented on the | Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities | |||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets1 | Consolidated Statements of Assets and Liabilities | Consolidated Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | $ | 72,721 | $ | — | $ | 72,721 | $ | — | $ | — | $ | 72,721 |
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Offset in the | Net Amount of Liabilities Presented on the | Gross Amounts Not Offset in the Consolidated Statements of Assets and Liabilities | |||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities1 | Consolidated Statements of Assets and Liabilities | Consolidated Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | $ | 66,669 | $ | — | $ | 66,669 | $ | — | $ | 66,669 | $ | — |
1 | Exchange-traded futures are excluded from these reported amounts. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Tax Cost | Tax Unrealized Gain | Tax Unrealized Loss | Net Unrealized Gain (Loss) | ||||||||||||
Multi-Hedge Strategies Fund | $ | 74,320,528 | $ | 5,648,510 | $ | (743,670 | ) | $ | 4,904,840 | |||||||
Commodities Strategy Fund | 3,125,122 | — | (290,695 | ) | (290,695 | ) |
Fund | Purchases | Sales | ||||||
Multi-Hedge Strategies Fund | $ | 68,892,659 | $ | 82,353,645 | ||||
Commodities Strategy Fund | — | 800,000 |
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Affiliated issuers by Fund | Value 12/31/16 | Additions | Reductions | Value 06/30/17 | Shares 06/30/17 | Investment Income | Realized Gain (Loss) | |||||||||||||||||||||
Multi-Hedge Strategies Fund | ||||||||||||||||||||||||||||
Advent Claymore Convertible Securities and Income Fund | $ | 8,837 | $ | 12,255 | $ | (1,901 | ) | $ | 19,978 | 1,237 | $ | 298 | $ | (123 | ) | |||||||||||||
Advent Claymore Convertible Securities and Income Fund II | 202,831 | — | (189,822 | ) | 23,836 | 3,826 | 8,668 | (20,896 | ) | |||||||||||||||||||
Advent/Claymore Enhanced Growth & Income Fund | 60,763 | — | (44,138 | ) | 19,828 | 2,266 | 2,821 | (5,118 | ) | |||||||||||||||||||
Guggenheim Enhanced Equity Income Fund | — | — | (4 | ) | 6,864 | 830 | 199 | — | ||||||||||||||||||||
Guggenheim Enhanced Equity Strategy Fund | 8,366 | — | (9,045 | ) | — | — | — | 682 | ||||||||||||||||||||
Guggenheim Equal Weight Enhanced Equity Income Fund | 7,956 | — | (1,469 | ) | — | — | 213 | 57 | ||||||||||||||||||||
Guggenheim Strategy Fund I | 25,559 | 227 | — | 25,857 | 1,031 | 227 | — | |||||||||||||||||||||
Guggenheim Strategy Fund II | 6,081 | 69 | — | 6,165 | 247 | 69 | — | |||||||||||||||||||||
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund | 441,333 | — | (376,253 | ) | 61,084 | 5,543 | 7,292 | (53,599 | ) | |||||||||||||||||||
Western Asset/Claymore Inflation-Linked Securities & Income Fund | 400,480 | — | (338,175 | ) | 55,754 | 4,934 | 6,274 | (44,268 | ) | |||||||||||||||||||
$ | 1,162,206 | $ | 12,551 | $ | (960,807 | ) | $ | 219,366 | $ | 26,061 | $ | (123,265 | ) | |||||||||||||||
Commodities Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,452,887 | $ | — | $ | (400,000 | ) | $ | 1,056,696 | 42,150 | $ | 11,724 | $ | 1,337 | ||||||||||||||
Guggenheim Strategy Fund II | 1,452,892 | — | (400,000 | ) | 1,056,266 | 42,234 | 15,148 | 1,480 | ||||||||||||||||||||
$ | 2,905,779 | $ | — | $ | (800,000 | ) | $ | 2,112,962 | $ | 26,872 | $ | 2,817 |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Effective Date | Split Type |
Commodities Strategy Fund | October 28, 2016 | One-for-twelve Reverse Share Split |
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
OTHER INFORMATION (Unaudited) |
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77 |
OTHER INFORMATION (Unaudited)(continued) |
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | President, Chief Executive Officer and Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** (1959) | Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - continued | ||||
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee and Member of the Audit Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - concluded | ||||
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem***** (1958) | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - continued | ||
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | 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 of Mutual Fund Administration, 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). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. | |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. | |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. | |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. | |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
|
6.30.2017
Guggenheim Funds Semi-Annual Report
Guggenheim Alternative Fund | ||
Guggenheim Managed Futures Strategy Fund |
GuggenheimInvestments.com | RMFSF-SEMI-0617x1217 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
MANAGED FUTURES STRATEGY FUND | 8 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 25 |
OTHER INFORMATION | 42 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 46 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 52 |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for the Managed Futures Strategy Fund (the “Fund”) that is part of the Rydex Series Funds. This report covers performance of the Fund for the semi-annual period ended June 30, 2017.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President and Chief Executive Officer
July 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Fund may not be suitable for all investors. Investing involves risks, including the entire loss of principal amount invested. Certain Funds may be affected by risks that include those associated with sector concentration, international investing, investing in small and/or medium size companies, and/or the Funds’ possible use of investment techniques and strategies such as leverage, derivatives and short sales of securities. Please see each Fund’s prospectus for more information.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2017 |
First-quarter real gross domestic product (“GDP”) growth came in weak relative to the third and fourth quarters of 2016, at only 1.4% quarter over quarter annualized, consistent with the historical pattern of soft first-quarter data. Tracking estimates point to a rebound in second-quarter growth. There have been concerns about consumer health amid weakness in retail and autos, but we maintain that these are experiencing sector-specific problems. Household balance sheets and consumer spending appear solid overall.
The unemployment rate continues to decline to levels not seen since 2001, despite muted economic growth. As of June 2017, the unemployment rate stood at 4.3%, below what the U.S. Federal Reserve (the “Fed”) forecasted as recently as March to be the cycle low, and we expect it will fall to 3.8% or lower next year. While a tightening labor market has not done much to lift wage growth or inflation in the current cycle, Fed Chair Janet Yellen and many of her colleagues still see a tighter labor market as a reason to continue to remove accommodation.
In June the Fed delivered its fourth rate hike since the financial crisis, raising the fed funds rate target range to 1.00–1.25%. It proceeded with the rate hike despite three consecutive months of soft inflation readings. The statement noted that the Fed continues to expect inflation on a 12-month basis to stabilize around the 2% objective over the medium term. This suggests the Fed views recent weakness as transient. As long as the unemployment rate continues to decline, we believe the Fed will feel compelled to continue hiking to stay ahead of potential inflationary pressures, given the lags associated with monetary policy effects.
Median Federal Open Market Committee (“FOMC”) projections suggest one additional rate increase in 2017, three in 2018, and three more in 2019. These are not conditioned on expectations for fiscal stimulus, though they do incorporate an expectation that the natural rate of interest will rise somewhat over time, but perhaps not as much as the Fed currently projects. We expect that the Fed will forego a rate hike in September in order to launch the tapering of portfolio reinvestments, but the Fed will pick it up again in December, contingent on steady economic data and supportive financial conditions. Weak oil prices over the second quarter of 2017 should once again boost headline inflation readings in 2018 due to base effects, which, when combined with steady economic growth and falling unemployment, could prompt the Fed to raise rates three or possibly four times in 2018.
On its own, the start of Fed balance sheet normalization should not lead to a notable increase in market volatility. The Fed has signaled its intentions well in advance, giving markets time to prepare, and pay-downs will ramp up only gradually over the course of a year.
Still, volatility across a range of markets is abnormally low, and asset valuations appear stretched. Markets shrugged off worrisome developments during the second quarter, including declining oil prices, a lack of progress on fiscal legislation in Washington, D.C., and rising geopolitical risks. A near-term pullback in risk assets is possible in the third or fourth quarters, with low volatility and tight spreads making credit markets particularly vulnerable during what is already a seasonally weak period for risk assets. Moves toward a less accommodative stance by the European Central Bank, the Bank of Japan, and/or the Bank of England may be a catalyst for instability.
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2017 |
For the six-month period ended June 30, 2017, the Standrd & Poor’s 500® (“S&P 500®”)* Index returned 9.34%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 13.81%. The return of the MSCI Emerging Markets Index* was 18.43%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.27% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.93%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.31% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2016 and ending June 30, 2017.
The following tables illustrate the Fund’s costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Consolidated Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense | Fund | Beginning | Ending | Expenses | |
Table 1. Based on actual Fund return3 | |||||
Managed Futures Strategy Fund | |||||
A-Class | 1.72% | (1.18%) | $ 1,000.00 | $ 988.20 | $ 8.48 |
C-Class | 2.47% | (1.51%) | 1,000.00 | 984.90 | 12.16 |
P-Class | 1.71% | (0.96%) | 1,000.00 | 990.40 | 8.44 |
Institutional Class | 1.52% | (1.10%) | 1,000.00 | 989.00 | 7.50 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Managed Futures Strategy Fund | |||||
A-Class | 1.72% | 5.00% | $ 1,000.00 | $ 1,016.27 | $ 8.60 |
C-Class | 2.47% | 5.00% | 1,000.00 | 1,012.55 | 12.33 |
P-Class | 1.71% | 5.00% | 1,000.00 | 1,016.31 | 8.55 |
Institutional Class | 1.52% | 5.00% | 1,000.00 | 1,017.26 | 7.60 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period December 31, 2016 to June 30, 2017. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to achieve absolute returns.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | March 2, 2007 |
C-Class | March 2, 2007 |
P-Class | March 2, 2007 |
Institutional Class | May 3, 2010 |
The Fund invests principally in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund III | 28.4% |
Guggenheim Strategy Fund II | 17.6% |
Guggenheim Strategy Fund I | 16.6% |
Guggenheim Ultra Short Duration ETF | 10.2% |
Total | 72.8% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2017 |
Average Annual Returns*
Periods Ended June 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (1.18%) | (7.75%) | (1.26%) | (1.85%) |
A-Class Shares with sales charge‡ | (5.86%) | (12.12%) | (2.21%) | (2.33%) |
C-Class Shares | (1.51%) | (8.41%) | (2.00%) | (2.59%) |
C-Class Shares with CDSC§ | (2.49%) | (9.28%) | (2.00%) | (2.59%) |
P-Class Shares | (0.96%) | (7.55%) | (1.21%) | (1.83%) |
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.31% | 0.49% | 0.17% | 0.58% |
6 month† | 1 Year | 5 Year | Since Inception | |
Institutional Class Shares | (1.10%) | (7.53%) | (1.02%) | (2.99%) |
Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.31% | 0.49% | 0.17% | 0.16% |
* | 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 Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
|
| Value | ||||||
EXCHANGE-TRADED FUNDS† - 10.2% | ||||||||
Guggenheim Ultra Short Duration ETF1 | 108,400 | $ | 5,452,520 | |||||
Total Exchange-Traded Funds | ||||||||
(Cost $5,429,550) | 5,452,520 | |||||||
MUTUAL FUNDS† - 62.6% | ||||||||
Guggenheim Strategy Fund III1 | 609,446 | 15,242,254 | ||||||
Guggenheim Strategy Fund II1 | 377,765 | 9,447,897 | ||||||
Guggenheim Strategy Fund I1 | 354,389 | 8,884,521 | ||||||
Total Mutual Funds | ||||||||
(Cost $33,519,441) | 33,574,672 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 10.4% | ||||||||
U.S. Treasury Bill | ||||||||
0.91% due 08/03/172,3 | $ | 5,600,000 | 5,595,890 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $5,595,252) | 5,595,890 | |||||||
REPURCHASE AGREEMENTS††,4 - 13.0% | ||||||||
HSBC Securities, Inc. | 2,650,272 | 2,650,272 | ||||||
RBC Capital Markets LLC | 2,429,773 | 2,429,773 | ||||||
Bank of America Merrill Lynch | 1,881,175 | 1,881,175 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,961,220) | 6,961,220 | |||||||
Total Investments - 96.2% | ||||||||
(Cost $51,505,463) | $ | 51,584,302 | ||||||
Other Assets & Liabilities, net - 3.8% | 2,042,327 | |||||||
Total Net Assets - 100.0% | $ | 53,626,629 |
| Contracts | Unrealized | ||||||
CURRENCY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 New Zealand Dollar | 80 | $ | 89,989 | |||||
September 2017 Euro FX | 61 | 68,558 | ||||||
September 2017 Australian Dollar | 56 | 33,623 | ||||||
September 2017 British Pound | 43 | 7,293 | ||||||
September 2017 Canadian Dollar | 24 | 2,682 | ||||||
September 2017 Mexican Peso | 150 | (42,999 | ) | |||||
(Total Aggregate Value of Contracts $28,342,249) | $ | 159,146 | ||||||
COMMODITY FUTURES CONTRACTS PURCHASED† | ||||||||
August 2017 LME Lead | 12 | $ | 44,824 | |||||
September 2017 Copper | 7 | 22,342 | ||||||
August 2017 Lean Hogs | 16 | 20,428 |
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
| Contracts | Unrealized | ||||||
August 2017 Cattle Feeder | 11 | $ | 18,694 | |||||
August 2017 Gold 100 oz. | 5 | 8,265 | ||||||
September 2017 Wheat | 2 | 6,008 | ||||||
September 2017 Hard Red Winter Wheat | 2 | 5,231 | ||||||
August 2017 Gasoline RBOB | 1 | 4,646 | ||||||
August 2017 NY Harbor ULSD | 1 | 1,244 | ||||||
August 2017 LME Primary Aluminum | 4 | 951 | ||||||
August 2017 LME Zinc | 1 | 182 | ||||||
August 2017 Live Cattle | 30 | (28,767 | ) | |||||
(Total Aggregate Value of Contracts $5,020,804) | $ | 104,048 | ||||||
INTEREST RATE FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Euro - BTP Italian Government Bond | 106 |
| 119,569 | |||||
September 2017 Euro - OATS | 22 | (8,467 | ) | |||||
September 2017 Canadian Government 10 Year Bond | 4 | (9,012 | ) | |||||
September 2017 Australian Government 3 Year Bond | 22 | (9,170 | ) | |||||
September 2017 U.S. Treasury 5 Year Note | 38 | (11,470 | ) | |||||
September 2017 Euro - Schatz | 44 | (14,050 | ) | |||||
September 2017 U.S. Treasury 10 Year Note | 27 | (17,557 | ) | |||||
September 2017 U.S. Treasury Long Bond | 20 | (30,925 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
| Contracts | Unrealized | ||||||
September 2017 U.S. Treasury Ultra Long Bond | 13 | $ | (31,327 | ) | ||||
September 2017 Euro - Bund | 67 | (52,388 | ) | |||||
September 2017 U.S. Treasury 5 Year Note | 29 | (101,401 | ) | |||||
September 2017 Australian Government 10 Year Bond | 55 | (101,490 | ) | |||||
(Total Aggregate Value of Contracts $63,678,501) | $ | (267,688 | ) | |||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
September 2017 Tokyo Stock Price Index | 16 | $ | 22,447 | |||||
September 2017 Dow Jones Industrial Average Index | 33 | 20,614 | ||||||
July 2017 Hang Seng Index | 25 | 11,392 | ||||||
September 2017 Russell 2000 Index | 13 |
| 5,788 | |||||
September 2017 S&P MidCap 400 Index | 5 | 4,731 | ||||||
July 2017 MSCI Taiwan Stock Index | 56 | 4,097 | ||||||
September 2017 Nikkei 225 (OSE) Index | 8 | 1,608 | ||||||
July 2017 H-Shares Index | 5 | (1,178 | ) | |||||
September 2017 S&P/TSX 60 IX Index | 2 | (3,266 | ) | |||||
September 2017 MSCI Emerging Markets Index | 22 | (3,318 | ) | |||||
September 2017 S&P 500 Index | 17 | (3,760 | ) | |||||
September 2017 FTSE MIB Index | 2 | (4,412 | ) |
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
| Contracts | Unrealized | ||||||
September 2017 SPI 200 Index | 6 | $ | (7,191 | ) | ||||
September 2017 MSCI EAFE Index | 18 | (8,448 | ) | |||||
July 2017 OMX Stockholm 30 Index | 20 | (10,324 | ) | |||||
July 2017 CAC 40 10 Euro Index | 16 | (22,197 | ) | |||||
September 2017 NASDAQ-100 Index | 27 | (37,937 | ) | |||||
July 2017 Amsterdam Index | 15 | (48,453 | ) | |||||
September 2017 Euro STOXX 50 Index | 43 | (51,826 | ) | |||||
September 2017 FTSE 100 Index | 27 | (55,628 | ) | |||||
July 2017 IBEX 35 Index | 19 | (58,599 | ) | |||||
September 2017 DAX Index | 7 |
| (64,923 | ) | ||||
(Total Aggregate Value of Contracts $36,756,875) | $ | (310,783 | ) | |||||
INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Australian Government 3 Year Bond | 99 | $ | 40,932 | |||||
September 2017 Australian Government 10 Year Bond | 18 | 31,894 | ||||||
September 2017 Canadian Government 10 Year Bond | 113 | 19,358 | ||||||
September 2017 U.S. Treasury 2 Year Note | 20 | 4,188 | ||||||
September 2017 Euro - Bobl | 24 | 2,041 | ||||||
September 2017 U.S. Treasury 10 Year Note | 67 | 1,229 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
| Contracts | Unrealized | ||||||
September 2017 U.S. Treasury 5 Year Note | 1 | $ | 526 | |||||
September 2017 Euro - Schatz | 33 | (163 | ) | |||||
(Total Aggregate Value of Contracts $43,222,715) | $ | 100,005 | ||||||
CURRENCY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Japanese Yen | 60 | $ | 115,773 | |||||
September 2017 Canadian Dollar | 43 | (52,885 | ) | |||||
(Total Aggregate Value of Contracts $10,010,086) | $ | 62,888 | ||||||
EQUITY FUTURES CONTRACTS SOLD SHORT†† | ||||||||
July 2017 H-Shares Index | 5 | $ | (139 | ) | ||||
September 2017 FTSE/JSE TOP 40 Index | 14 | (250 | ) | |||||
(Total Aggregate Value of Contracts $814,869) | $ | (389 | ) | |||||
COMMODITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
September 2017 Silver | 10 |
| 24,823 | |||||
October 2017 Sugar #11 | 65 | 20,492 | ||||||
September 2017 Coffee ‘C’ | 15 | 11,516 | ||||||
September 2017 Cocoa | 29 | 11,228 | ||||||
December 2017 Cotton #2 | 17 | 5,907 | ||||||
October 2017 Platinum | 6 | 3,832 | ||||||
September 2017 Corn | 23 | 780 | ||||||
August 2017 LME Primary Aluminum | 1 | (899 | ) | |||||
August 2017 Lean Hogs | 2 | (3,387 | ) | |||||
August 2017 Natural Gas | 19 | (3,671 | ) |
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
| Contracts | Unrealized | ||||||
August 2017 Gasoline RBOB | 7 | $ | (15,814 | ) | ||||
August 2017 WTI Crude | 17 | (18,606 | ) | |||||
September 2017 Brent Crude | 20 | (18,921 | ) | |||||
September 2017 Wheat | 7 | (22,815 | ) | |||||
December 2017 Soybean Meal | 53 | (23,234 | ) | |||||
August 2017 LME Nickel | 9 | (24,197 | ) | |||||
September 2017 Hard Red Winter Wheat | 9 |
| (28,247 | ) | ||||
December 2017 Soybean | 40 | (32,307 | ) | |||||
August 2017 NY Harbor ULSD | 11 | (36,305 | ) | |||||
August 2017 Low Sulphur Gas Oil | 25 | (41,442 | ) | |||||
November 2017 Soybean | 53 | (48,463 | ) | |||||
(Total Aggregate Value of Contracts $14,987,231) | $ | (239,730 | ) |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 9. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2017. |
3 | Zero coupon rate security. Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 5. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2017 |
MANAGED FUTURES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2017 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - Other* | Level 2 | Level 2 - Other* | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 211,393 | $ | — | $ | — | $ | — | $ | 211,393 | ||||||||||||
Currency Futures Contracts | — | 317,918 | — | — | — | 317,918 | ||||||||||||||||||
Equity Futures Contracts | — | 35,230 | — | 35,447 | — | 70,677 | ||||||||||||||||||
Exchange-Traded Funds | 5,452,520 | — | — | — | — | 5,452,520 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 5,417 | — | 214,320 | — | 219,737 | ||||||||||||||||||
Mutual Funds | 33,574,672 | — | — | — | — | 33,574,672 | ||||||||||||||||||
Repurchase Agreements | — | — | 6,961,220 | — | — | 6,961,220 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 5,595,890 | — | — | 5,595,890 | ||||||||||||||||||
Total Assets | $ | 39,027,192 | $ | 569,958 | $ | 12,557,110 | $ | 249,767 | $ | — | $ | 52,404,027 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 1 - Other* | Level 2 | Level 2 - Other* | Level 3 | Total | ||||||||||||||||||
Commodity Futures Contracts | $ | — | $ | 347,075 | $ | — | $ | — | $ | — | $ | 347,075 | ||||||||||||
Currency Futures Contracts | — | 95,884 | — | — | — | 95,884 | ||||||||||||||||||
Equity Futures Contracts | — | 53,463 | — | 328,386 | — | 381,849 | ||||||||||||||||||
Interest Rate Futures Contracts | — | 91,279 | — | 296,141 | — | 387,420 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 587,701 | $ | — | $ | 624,527 | $ | — | $ | 1,212,228 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended June 30, 2017, there were no transfers between levels.
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
MANAGED FUTURES STRATEGY FUND |
June 30, 2017
Assets: | ||||
Investments in affiliated issuers, at value (cost $38,948,991) | $ | 39,027,192 | ||
Investments in unaffiliated issuers, at value (cost $5,595,252) | 5,595,890 | |||
Repurchase agreements, at value (cost $6,961,220) | 6,961,220 | |||
Total investments (cost $51,505,463) | 51,584,302 | |||
Segregated cash with broker | 2,881,632 | |||
Receivables: | ||||
Fund shares sold | 21,185 | |||
Dividends | 64,782 | |||
Interest | 197 | |||
Securities lending income | 513 | |||
Total assets | 54,552,611 | |||
Liabilities: | ||||
Segregated cash due to broker | 39,840 | |||
Overdraft due to custodian bank | 26,221 | |||
Payable for: | ||||
Variation margin | 672,835 | |||
Securities purchased | 68,303 | |||
Management fees | 40,645 | |||
Fund shares redeemed | 19,660 | |||
Distribution and service fees | 15,199 | |||
Transfer agent and administrative fees | 11,538 | |||
Portfolio accounting fees | 4,616 | |||
Miscellaneous | 27,125 | |||
Total liabilities | 925,982 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 53,626,629 | ||
Net assets consist of: | ||||
Paid in capital | $ | 155,705,332 | ||
Accumulated net investment loss | (13,352,892 | ) | ||
Accumulated net realized loss on investments and foreign currency | (88,412,374 | ) | ||
Net unrealized depreciation on investments and foreign currency | (313,437 | ) | ||
Net assets | $ | 53,626,629 | ||
A-Class: | ||||
Net assets | $ | 13,158,036 | ||
Capital shares outstanding | 711,190 | |||
Net asset value per share | $ | 18.50 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 19.42 | ||
C-Class: | ||||
Net assets | $ | 8,732,061 | ||
Capital shares outstanding | 513,637 | |||
Net asset value per share | $ | 17.00 | ||
P-Class: | ||||
Net assets | $ | 22,516,292 | ||
Capital shares outstanding | 1,214,243 | |||
Net asset value per share | $ | 18.54 | ||
Institutional Class: | ||||
Net assets | $ | 9,220,240 | ||
Capital shares outstanding | 488,709 | |||
Net asset value per share | $ | 18.87 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
MANAGED FUTURES STRATEGY FUND |
Period Ended June 30, 2017
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 608,106 | ||
Dividends from securities of unaffiliated issuers | 134,625 | |||
Interest | 58,325 | |||
Income from securities lending, net | 10,686 | |||
Total investment income | 811,742 | |||
Expenses: | ||||
Management fees | 416,125 | |||
Transfer agent and administrative fees | 109,542 | |||
Distribution and service fees: | ||||
A-Class | 21,172 | |||
C-Class | 49,816 | |||
P-Class | 65,853 | |||
Portfolio accounting fees | 43,817 | |||
Registration fees | 64,706 | |||
Legal fees | 53,343 | |||
Trustees’ fees* | 9,132 | |||
Custodian fees | 6,782 | |||
Tax expense | 209 | |||
Interest expense | 15 | |||
Miscellaneous | (34,154 | ) | ||
Total expenses | 806,358 | |||
Less: | ||||
Expenses waived by Adviser | (27,171 | ) | ||
Net expenses | 779,187 | |||
Net investment income | 32,555 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | (577 | ) | |
Investments in affiliated issuers | 316,030 | |||
Futures contracts | 3,095,810 | |||
Foreign currency | 725 | |||
Securities sold short | 3 | |||
Net realized gain on investments and foreign currency | 3,411,991 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 55,451 | |||
Investments in affiliated issuers | (189,444 | ) | ||
Futures contracts | (3,309,133 | ) | ||
Foreign currency | (2,484 | ) | ||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (3,445,610 | ) | ||
Net realized and unrealized loss on investments and foreign currency | (33,619 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,064 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS | |
MANAGED FUTURES STRATEGY FUND |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 32,555 | $ | (205,432 | ) | |||
Net realized gain (loss) on investments and foreign currency | 3,411,991 | (27,908,873 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (3,445,610 | ) | (575,770 | ) | ||||
Net decrease in net assets resulting from operations on investments and foreign currency | (1,064 | ) | (28,690,075 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (835,216 | ) | |||||
C-Class | — | (642,841 | ) | |||||
P-Class | — | (4,344,074 | ) | |||||
Institutional Class | — | (320,377 | ) | |||||
Total distributions to shareholders | — | (6,142,508 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,092,506 | 11,456,330 | ||||||
C-Class | 52,936 | 640,671 | ||||||
P-Class | 7,626,753 | 35,495,477 | ||||||
Institutional Class | 5,137,844 | 2,088,056 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 793,205 | ||||||
C-Class | — | 623,208 | ||||||
P-Class | — | 4,259,964 | ||||||
Institutional Class | — | 320,377 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (10,650,288 | ) | (12,534,971 | ) | ||||
C-Class | (2,448,213 | ) | (7,812,593 | ) | ||||
P-Class | (63,230,673 | ) | (101,986,446 | ) | ||||
Institutional Class | (1,941,593 | ) | (3,737,316 | ) | ||||
Net decrease from capital share transactions | (64,360,728 | ) | (70,394,038 | ) | ||||
Net decrease in net assets | (64,361,792 | ) | (105,226,621 | ) | ||||
Net assets: | ||||||||
Beginning of period | 117,988,421 | 223,215,042 | ||||||
End of period | $ | 53,626,629 | $ | 117,988,421 | ||||
Accumulated net investment loss at end of period | $ | (13,352,892 | ) | $ | (13,385,447 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
MANAGED FUTURES STRATEGY FUND |
Period Ended | Year Ended | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 57,293 | 576,626 | ||||||
C-Class | 2,487 | 31,071 | ||||||
P-Class | 403,886 | 1,641,302 | ||||||
Institutional Class | 266,950 | 96,780 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 42,720 | ||||||
C-Class | — | 36,360 | ||||||
P-Class | — | 229,476 | ||||||
Institutional Class | — | 16,860 | ||||||
Shares redeemed | ||||||||
A-Class | (560,980 | ) | (603,653 | ) | ||||
C-Class | (140,409 | ) | (398,335 | ) | ||||
P-Class | (3,350,607 | ) | (4,824,503 | ) | ||||
Institutional Class | (100,828 | ) | (174,306 | ) | ||||
Net decrease in shares | (3,422,208 | ) | (3,329,602 | ) |
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS | |
MANAGED FUTURES STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.71 | $ | 23.21 | $ | 24.12 | $ | 22.15 | $ | 21.23 | $ | 23.95 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | — | c | (.14 | ) | .02 | (.19 | ) | (.39 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.22 | ) | (3.53 | ) | (.15 | ) | 2.23 | 1.11 | (2.33 | ) | ||||||||||||||
Total from investment operations | (.21 | ) | (3.53 | ) | (.29 | ) | 2.25 | .92 | (2.72 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Total distributions | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 18.50 | $ | 18.71 | $ | 23.21 | $ | 24.12 | $ | 22.15 | $ | 21.23 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (1.18 | %) | (15.18 | %) | (1.06 | %) | 10.06 | % | 4.33 | % | (11.32 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,158 | $ | 22,734 | $ | 27,828 | $ | 27,514 | $ | 76,900 | $ | 145,950 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | % | (0.02 | %) | (0.57 | %) | 0.07 | % | (0.89 | %) | (1.71 | %) | ||||||||||||
Total expensese | 1.79 | % | 1.84 | % | 1.77 | % | 1.74 | % | 1.74 | % | 1.96 | % | ||||||||||||
Net expensesf | 1.72 | % | 1.76 | % | 1.69 | % | 1.68 | % | 1.67 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 16 | % | 24 | % | 83 | % | 102 | % | 172 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) | |
MANAGED FUTURES STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.26 | $ | 21.65 | $ | 22.71 | $ | 21.04 | $ | 20.31 | $ | 23.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.16 | ) | (.30 | ) | (.15 | ) | (.33 | ) | (.53 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.20 | ) | (3.26 | ) | (.14 | ) | 2.10 | 1.06 | (2.25 | ) | ||||||||||||||
Total from investment operations | (.26 | ) | (3.42 | ) | (.44 | ) | 1.95 | .73 | (2.78 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Total distributions | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 17.00 | $ | 17.26 | $ | 21.65 | $ | 22.71 | $ | 21.04 | $ | 20.31 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (1.51 | %) | (15.81 | %) | (1.84 | %) | 9.22 | % | 3.59 | % | (12.04 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,732 | $ | 11,245 | $ | 21,272 | $ | 24,066 | $ | 29,637 | $ | 49,378 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.69 | %) | (0.81 | %) | (1.32 | %) | (0.72 | %) | (1.63 | %) | (2.45 | %) | ||||||||||||
Total expensese | 2.53 | % | 2.61 | % | 2.52 | % | 2.50 | % | 2.48 | % | 2.70 | % | ||||||||||||
Net expensesf | 2.47 | % | 2.54 | % | 2.44 | % | 2.43 | % | 2.42 | % | 2.64 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 16 | % | 24 | % | 83 | % | 102 | % | 172 | % |
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued) |
MANAGED FUTURES STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
P-Class | Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.71 | $ | 23.20 | $ | 24.11 | $ | 22.15 | $ | 21.23 | $ | 23.95 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.01 | ) | (.14 | ) | — | c | (.20 | ) | (.38 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.16 | ) | (3.51 | ) | (.15 | ) | 2.24 | 1.12 | (2.34 | ) | ||||||||||||||
Total from investment operations | (.17 | ) | (3.52 | ) | (.29 | ) | 2.24 | .92 | (2.72 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Total distributions | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 18.54 | $ | 18.71 | $ | 23.20 | $ | 24.11 | $ | 22.15 | $ | 21.23 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (0.96 | %) | (15.18 | %) | (1.06 | %) | 10.06 | % | 4.33 | % | (11.32 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,516 | $ | 77,859 | $ | 165,086 | $ | 180,872 | $ | 191,400 | $ | 501,109 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.11 | %) | (0.07 | %) | (0.57 | %) | 0.01 | % | (0.94 | %) | (1.70 | %) | ||||||||||||
Total expensese | 1.77 | % | 1.87 | % | 1.77 | % | 1.75 | % | 1.75 | % | 1.95 | % | ||||||||||||
Net expensesf | 1.71 | % | 1.79 | % | 1.69 | % | 1.68 | % | 1.68 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 16 | % | 24 | % | 83 | % | 102 | % | 172 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded) |
MANAGED FUTURES STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Institutional Class | Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.07 | $ | 23.56 | $ | 24.41 | $ | 22.36 | $ | 21.38 | $ | 24.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .04 | (.08 | ) | .05 | (.19 | ) | (.33 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.41 | ) | (3.56 | ) | (.15 | ) | 2.28 | 1.17 | (2.35 | ) | ||||||||||||||
Total from investment operations | (.20 | ) | (3.52 | ) | (.23 | ) | 2.33 | .98 | (2.68 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Total distributions | — | (.97 | ) | (.62 | ) | (.28 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 18.87 | $ | 19.07 | $ | 23.56 | $ | 24.41 | $ | 22.36 | $ | 21.38 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (1.10 | %) | (14.95 | %) | (0.80 | %) | 10.28 | % | 4.63 | % | (11.14 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,220 | $ | 6,151 | $ | 9,029 | $ | 11,007 | $ | 2,464 | $ | 45,700 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 2.17 | % | 0.20 | % | (0.32 | %) | 0.21 | % | (0.86 | %) | (1.45 | %) | ||||||||||||
Total expensese | 1.59 | % | 1.61 | % | 1.52 | % | 1.50 | % | 1.52 | % | 1.70 | % | ||||||||||||
Net expensesf | 1.52 | % | 1.54 | % | 1.44 | % | 1.44 | % | 1.45 | % | 1.64 | % | ||||||||||||
Portfolio turnover rate | 12 | % | 16 | % | 24 | % | 83 | % | 102 | % | 172 | % |
a | Unaudited figures for the period ended June 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers. |
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At June 30, 2017, the Trust consisted of forty-nine funds (the “Funds”).
This report covers the Managed Futures Strategy Fund (the “Fund”), a non-diversified investment company. Only A-Class, C-Class, P-Class and Institutional Class shares had been issued by the Fund.
Security Investors, LLC which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
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.
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A summary of the Fund’s investment in its Subsidiary is as follows:
Fund | Commencement | Subsidiary | % of Net Assets | ||||||
Managed Futures Strategy Fund | 05/01/08 | $ | 6,031,949 | 11.2 | % |
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
A. The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds (“ETFs”) are valued at the last quoted sales price.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
B. 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. 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 gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
D. 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
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transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
E. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis.
F. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
G. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.
H. 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 1.06% at June 30, 2017.
I. 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
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exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
2. Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the 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 Consolidated Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why the Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Fund may utilize derivatives for the following purposes:
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
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Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Consolidated Statement of Assets and Liabilities; securities held as collateral are noted on the Consolidated Schedule of Investments.
The following table represents the Fund’s use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | $ | 232,034,441 | $ | 136,728,146 |
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 June 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate/Currency/Commodity contracts | — | Variation margin |
The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at June 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Total Value at | |||||||||||||||
Managed Futures Strategy Fund | $ | 70,677 | $ | 317,918 | $ | 219,737 | $ | 211,393 | $ | 819,725 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Total Value at | |||||||||||||||
Managed Futures Strategy Fund | $ | 381,849 | $ | 95,884 | $ | 387,420 | $ | 347,075 | $ | 1,212,228 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Consolidated Statements 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 period ended June 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate/Currency/Commodity contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statement of Operations categorized by primary risk exposure for the period ended June 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations | ||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Total | |||||||||||||||
Managed Futures Strategy Fund | $ | 6,351,053 | $ | (790,817 | ) | $ | (166,318 | ) | $ | (2,298,108 | ) | $ | 3,095,810 |
Change in Unrealized Appreciation (Depreciation) on Derivative | ||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Total | |||||||||||||||
Managed Futures Strategy Fund | $ | (1,086,867 | ) | $ | (293,303 | ) | $ | (1,797,897 | ) | $ | (131,066 | ) | $ | (3,309,133 | ) |
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to the Fund.
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The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Fund.
GI has contractually agreed to waive the management fee it receives from the Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary, and may not be terminated by GI unless GI obtains the prior approval of the Fund’s Board of Trustees for such termination. For the period ended June 30, 2017, Managed Future Strategy Fund waived $21,788 related to investments in the Subsidiary.
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares for which GFD and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Fund will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Providers out of its fees. GFD may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Fund to pay annual distribution and service fees of 1.00% of the Fund’s C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2017, the Fund waived $5,383 related to investments in affiliated funds.
For the period ended June 30, 2017, GFD retained sales charges of $103,978 relating to sales of A-Class shares of the Trust.
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Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
5. Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
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At June 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and | Face | Repurchase | Collateral | Par | Fair | |||||||||||||||
HSBC Securities, Inc. 0.99% Due 07/03/17 | $ | 66,081,561 | $ | 66,087,012 | U.S. Treasury Strips 0.00% 11/15/42 | $ | 140,899,200 | $ | 67,403,238 | |||||||||||
RBC Capital Markets LLC 1.01% Due 07/03/17 | 60,583,669 | 60,588,768 | U.S. TIP Notes 0.13% 04/15/20 | 58,993,200 | 61,795,377 | |||||||||||||||
Bank of America Merrill Lynch 1.08% Due 07/03/17 | 44,188,662 | 44,192,639 | U.S. Treasury Bond 3.00% 05/15/47 | 43,303,110 | 45,072,474 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
6. 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 off set in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event. In order to better define their contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with 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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Consolidated Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties. For financial reporting purposes, the Fund does not off set derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.
7. Portfolio Securities Loaned
During the period ended June 30, 2017, the Fund lent its securities to approved brokers to earn additional income. Security lending income shown on the Consolidated Statement of Operations is net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending agent. As of June 30, 2017, the Fund had ceased participation in securities lending.
8. Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s consolidated financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the federal 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.
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The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business.
At June 30, 2017, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Managed Futures Strategy Fund | $ | 61,182,772 | $ | — | $ | (9,598,470 | ) | $ | (9,598,470 | ) |
9. Securities Transactions
For the period ended June 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Managed Futures Strategy Fund | $ | 6,544,311 | $ | 79,300,000 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2017, the Fund did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
10. Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds,
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trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gugg65857-ncsr.htm.
Transactions during the period ended June 30, 2017, in which the portfolio company is an “affiliated person,” were as follows:
Affiliated issuer | Value | Additions | Reductions | Value | Shares | Investment | Realized | |||||||||||||||||||||
Managed Futures Strategy Fund | ||||||||||||||||||||||||||||
Guggenheim Ultra Short Duration ETF | $ | 5,433,008 | $ | — | $ | — | $ | 5,452,520 | 108,400 | $ | 31,024 | $ | — | |||||||||||||||
Guggenheim Strategy Fund I | 26,828,893 | 5,362,388 | (31,200,000 | ) | 8,884,521 | 354,389 | 139,411 | 215,505 | ||||||||||||||||||||
Guggenheim Strategy Fund II | 26,527,725 | 922,502 | (25,900,000 | ) | 9,447,897 | 377,765 | 175,169 | 78,311 | ||||||||||||||||||||
Guggenheim Strategy Fund III | 27,274,077 | 259,422 | (22,200,000 | ) | 15,242,254 | 609,446 | 262,502 | 22,214 | ||||||||||||||||||||
$ | 86,063,703 | $ | 6,544,312 | $ | (79,300,000 | ) | $ | 39,027,192 | $ | 608,106 | $ | 316,030 |
10. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended June 30, 2017. The Fund did not have any borrowings outstanding under this agreement at June 30, 2017.
The average daily balance borrowed for the period ended June 30, 2017, was as follows:
Fund | Average | |||
Managed Futures Strategy Fund | $ | 1,657 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
11. Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
None of these lawsuits alleges any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500® Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500® Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
Lyondell Chemical Company
In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. The District Court has not yet ruled on the motion to remand
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. The Bankruptcy Court has not yet ruled on this new motion to dismiss.
These lawsuits do not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $1,725,168; Long Short Equity Fund f/k/a U.S. Long Short Momentum Fund - $2,193,600; Global 130/30 Strategy Fund - $37,920; Hedged Equity Fund - $1,440; and Multi-Hedge Strategies Fund - $1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
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OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which are available on the SEC’s website at https://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Managed Futures Strategy Fund, a series of the Trust (the “Fund”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting,
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OTHER INFORMATION (Unaudited)(continued) |
the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Fund. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Fund’s fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Fund’s advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) the Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Fund; and (k) the Advisor’s maintenance of operational resources necessary to manage the Fund in a professional manner consistent with the best interests of the Fund and its shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for the Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
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OTHER INFORMATION (Unaudited)(continued) |
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Fund uses derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Fund in the past, and whether these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Fund to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Fund and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of the Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Fund’s fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, the Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise the Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer group compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Fund and its peer funds (e.g., specific differences in principal investment strategies) that should be reviewed in context. The statistical information related to the performance of the Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Fund are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Fund and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Fund to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Fund’s expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Fund by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation
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OTHER INFORMATION (Unaudited)(concluded) |
methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Fund is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Fund’s asset levels. In light of the relatively small size of the Fund, the Board concluded that the Fund has not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Fund, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement and the Distribution and Shareholder Services Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Fund, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Fund and its shareholders.
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
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 of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | President, Chief Executive Officer and Trustee from 2012 to present.
| Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 233 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle***** (1959) | Trustee, Member of the Audit Committee; Member of the Compliance and Risk Oversight Committee; and Member of the Governance Committee from August 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other |
INDEPENDENT TRUSTEES - continued | ||||
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee and Member of the Audit Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other |
INDEPENDENT TRUSTEES - concluded | ||||
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Chairman and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010).
| 133 | None. |
Sandra G. Sponem***** (1958) | Trustee, Member of the Audit Committee, Member of the Investment and Performance Committee, and Member of the Nominating Committee from November 2016 to present. | Current: Retired
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) |
OFFICERS - continued | ||
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present) | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) |
OFFICERS - concluded | ||
Kimberly J. Scott (1974)
| Assistant Treasurer (2016-present) | 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 of Mutual Fund Administration, 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). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
***** | Mses. Brock-Kyle and Sponem commenced serving as independent Trustees effective August 18, 2016. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
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(Registrant) | Rydex Series Funds | |
By (Signature and Title)* | /s/ Amy J. Lee | |
Amy J. Lee, Vice President | ||
Date | September 8, 2017 |
By (Signature and Title)* | /s/ Amy J. Lee | |
Amy J. Lee, Vice President | ||
Date | September 8, 2017 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer | ||
Date | September 8, 2017 |
* | Print the name and title of each signing officer under his or her signature. |