SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
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)
| Item 1. | Reports to Stockholders. |
6.30.2016
Guggenheim Variable Funds Trust Semi-Annual Report
|
Series |
|
|
Series A |
(StylePlus—Large Core Series) |
|
Series B |
(Large Cap Value Series) |
|
Series D |
(World Equity Income Series) |
|
Series E |
(Total Return Bond Series) |
|
Series F |
(Floating Rate Strategies Series) |
|
Series J |
(StylePlus—Mid Growth Series) |
|
Series M |
(Macro Opportunities Series) |
|
Series N |
(Managed Asset Allocation Series) |
|
Series O |
(All Cap Value Series) |
|
Series P |
(High Yield Series) |
|
Series Q |
(Small Cap Value Series) |
|
Series V |
(Mid Cap Value Series) |
|
Series X |
(StylePlus—Small Growth Series) |
|
Series Y |
(StylePlus—Large Growth Series) |
|
Series Z |
(Alpha Opportunity Series) |
|
GVFT-SEMI-0616x1216 |
guggenheiminvestments.com |
|
TABLE OF CONTENTS |
|
DEAR SHAREHOLDER |
2 |
|
ECONOMIC AND MARKET OVERVIEW |
3 |
|
ABOUT SHAREHOLDERS’ FUND EXPENSES |
5 |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
7 |
|
SERIES B (LARGE CAP VALUE SERIES) |
14 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
20 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
27 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
37 |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
45 |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
52 |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
58 |
|
SERIES O (ALL CAP VALUE SERIES) |
64 |
|
SERIES P (HIGH YIELD SERIES) |
71 |
|
SERIES Q (SMALL CAP VALUE SERIES) |
81 |
|
SERIES V (MID CAP VALUE SERIES) |
87 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
94 |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
101 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
107 |
|
NOTES TO FINANCIAL STATEMENTS |
117 |
|
OTHER INFORMATION |
143 |
|
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS |
151 |
|
GUGGENHEIM INVESTMENTS PRIVACY POLICIES |
155 |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 1 |
|
June 30, 2016 |
Dear Shareholder:
Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the semi-annual shareholder report for Funds that are part of the Guggenheim Variable Funds Trust (the “Funds”). This report covers performance of the Funds for the semi-annual period ended June 30, 2016.
The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
July 31, 2016
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
The Funds 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.
|
2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
ECONOMIC AND MARKET OVERVIEW (Unaudited) |
June 30, 2016 |
The first half of this year opened with downgrades of U.S. and global economic growth and a surge in recession fears, which triggered a bout of market volatility and negative returns. But a dovish pivot in the U.S. Federal Reserve (the “Fed”) communications in February helped spur a rally in crude oil and a reversal of dollar strength, as well as a rally in risk assets that lasted through the spring. Temporarily interrupting the rally were June’s poor non-farm payrolls report (38,000 U.S. jobs created in May) and the United Kingdom’s (“UK”) vote to leave the European Union (“EU”).
The surprising and disappointing jobs number led to a sharp fall in the 10-year U.S. Treasury yield as markets downgraded the probability of summer rate hikes. Indeed, the Federal Open Market Committee (“FOMC”) declined to raise rates in June. In late June, citizens in the UK voted to leave the European Union. This decision, nicknamed “Brexit,” prompted panic selling of risk assets in Europe, the UK, emerging markets. In the U.S., there was also a sell-off in more speculative-grade credit and equities. However, nerves settled in the last two days of the quarter, and markets appeared to bounce back, as global central banks promised to do everything in their power to maintain market stability and as it seemed that the political transition in the UK would move more quickly and smoothly than expected.
The quarter ended with the British pound at its weakest level against the U.S. dollar in over 20 years, and the 10-year Treasury note yielding 1.47 percent, 30 basis points lower than at the start of the quarter.
Brexit turmoil and the drop in Treasury yields was in spite of the rebound in U.S. economic growth over the period. The final reading of first-quarter Gross Domestic Product (“GDP”) was 0.8 percent (revised down in late July from 1.1 percent), with weakness likely due to residual seasonality effects. Consistent with previous years, growth accelerated as the year progressed, but not at the pace expected by most economists; in late July, the initial estimate of second-quarter real GDP was 1.2 percent, against an expected rate of above 2 percent, the lower figure due primarily to a fall in inventories.
While May’s payrolls report was likely an aberration, a view confirmed by a strong June number, the trend rate of job growth should slow as we near full employment. An improving labor market, low borrowing costs, and rising household formation all point to continued improvement in the housing market, as evidenced by new home sales figures recently hitting eight-year highs.
We are entering a period of seasonal weakness combined with some continuing post-Brexit uncertainty and a growing focus on the upcoming U.S. elections. Despite this, falling rates will remain supportive of credit performance. Record-low U.S. government yields are likely to be dragged down by foreign retail and institutional investors, as central banks continue to plunge rates further into negative territory. This hunt for yield will act as a “QE4” and will spill over into supporting risk assets.
With inflation expectations troublingly low, and growth in Europe likely to slow, the Fed will be hard pressed to deliver two hikes in the balance of the year, as many FOMC members expect. We anticipate one rate hike this year, most likely in December, as the Fed remains cautious due to the asymmetry of risks near the zero lower bound. The rally in risk assets should remain intact through the third quarter of 2016, and monetary policy will ultimately create a positive backdrop for risk assets over the next two to three years.
For the six-month period ended June 30, 2016, the Standard & Poor’s 500® (“S&P 500”) Index* returned 3.84%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -4.42%. The return of the MSCI Emerging Markets Index* was 6.41%.
In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 5.31% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 9.06%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.15% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 3 |
|
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) |
June 30, 2016 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
|
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, 2015 and ending June 30, 2016.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 5 |
|
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
|
Expense |
Fund |
Beginning 2015 |
Ending 2016 |
Expenses |
|
|
Table 1. Based on actual Fund return3 |
|||||
|
Series A (StylePlus—Large Core Series) |
0.95% |
4.16% |
$ 1,000.00 |
$ 1,041.60 |
$ 4.82 |
|
Series B (Large Cap Value Series) |
0.82% |
6.57% |
1,000.00 |
1,065.70 |
4.21 |
|
Series D (World Equity Income Series) |
0.93% |
7.01% |
1,000.00 |
1,070.10 |
4.79 |
|
Series E (Total Return Bond Series) |
0.85% |
4.72% |
1,000.00 |
1,047.20 |
4.33 |
|
Series F (Floating Rate Strategies Series) |
1.18% |
3.46% |
1,000.00 |
1,034.60 |
5.97 |
|
Series J (StylePlus—Mid Growth Series) |
0.93% |
2.52% |
1,000.00 |
1,025.20 |
4.68 |
|
Series M (Macro Opportunities Series) |
1.36% |
2.09% |
1,000.00 |
1,020.90 |
6.83 |
|
Series N (Managed Asset Allocation Series) |
0.92% |
4.19% |
1,000.00 |
1,041.90 |
4.67 |
|
Series O (All Cap Value Series) |
0.89% |
6.72% |
1,000.00 |
1,067.20 |
4.57 |
|
Series P (High Yield Series) |
1.14% |
7.79% |
1,000.00 |
1,077.90 |
5.89 |
|
Series Q (Small Cap Value Series) |
1.19% |
5.87% |
1,000.00 |
1,058.70 |
6.09 |
|
Series V (Mid Cap Value Series) |
0.96% |
8.60% |
1,000.00 |
1,086.00 |
4.98 |
|
Series X (StylePlus—Small Growth Series) |
1.19% |
(0.93%) |
1,000.00 |
990.70 |
5.89 |
|
Series Y (StylePlus—Large Growth Series) |
1.00% |
1.79% |
1,000.00 |
1,017.90 |
5.02 |
|
Series Z (Alpha Opportunity Series) |
2.97% |
3.32% |
1,000.00 |
1,033.20 |
15.01 |
|
Table 2. Based on hypothetical 5% return (before expenses) |
|||||
|
Series A (StylePlus—Large Core Series) |
0.95% |
5.00% |
$ 1,000.00 |
$ 1,020.14 |
$ 4.77 |
|
Series B (Large Cap Value Series) |
0.82% |
5.00% |
1,000.00 |
1,020.79 |
4.12 |
|
Series D (World Equity Income Series) |
0.93% |
5.00% |
1,000.00 |
1,020.24 |
4.67 |
|
Series E (Total Return Bond Series) |
0.85% |
5.00% |
1,000.00 |
1,020.64 |
4.27 |
|
Series F (Floating Rate Strategies Series) |
1.18% |
5.00% |
1,000.00 |
1,019.00 |
5.92 |
|
Series J (StylePlus—Mid Growth Series) |
0.93% |
5.00% |
1,000.00 |
1,020.24 |
4.67 |
|
Series M (Macro Opportunities Series) |
1.36% |
5.00% |
1,000.00 |
1,018.10 |
6.82 |
|
Series N (Managed Asset Allocation Series) |
0.92% |
5.00% |
1,000.00 |
1,020.29 |
4.62 |
|
Series O (All Cap Value Series) |
0.89% |
5.00% |
1,000.00 |
1,020.44 |
4.47 |
|
Series P (High Yield Series) |
1.14% |
5.00% |
1,000.00 |
1,019.19 |
5.72 |
|
Series Q (Small Cap Value Series) |
1.19% |
5.00% |
1,000.00 |
1,018.95 |
5.97 |
|
Series V (Mid Cap Value Series) |
0.96% |
5.00% |
1,000.00 |
1,020.09 |
4.82 |
|
Series X (StylePlus—Small Growth Series) |
1.19% |
5.00% |
1,000.00 |
1,018.95 |
5.97 |
|
Series Y (StylePlus—Large Growth Series) |
1.00% |
5.00% |
1,000.00 |
1,019.89 |
5.02 |
|
Series Z (Alpha Opportunity Series) |
2.97% |
5.00% |
1,000.00 |
1,010.09 |
14.84 |
|
1 |
Annualized net expenses and excludes expenses of the underlying funds in which the Funds invest. |
|
2 |
Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
|
3 |
Actual cumulative return at net asset value for the period December 31, 2015 to June 30, 2016. |
|
6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES A (STYLEPLUS—LARGE CORE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: May 1, 1979 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Variable Insurance Strategy Fund III |
26.5% |
|
Guggenheim Strategy Fund II |
26.1% |
|
Guggenheim Strategy Fund III |
16.3% |
|
Guggenheim Strategy Fund I |
7.8% |
|
Apple, Inc. |
0.6% |
|
Microsoft Corp. |
0.5% |
|
Johnson & Johnson |
0.4% |
|
Procter & Gamble Co. |
0.4% |
|
JPMorgan Chase & Co. |
0.4% |
|
Pfizer, Inc. |
0.4% |
|
Top Ten Total |
79.4% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 7 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 17.3% |
||||||||
|
Consumer, Non-cyclical – 5.9% |
||||||||
|
Johnson & Johnson |
7,844 |
$ |
951,476 |
|||||
|
Procter & Gamble Co. |
9,959 |
843,229 |
||||||
|
Pfizer, Inc. |
22,943 |
807,823 |
||||||
|
Merck & Company, Inc. |
12,264 |
706,529 |
||||||
|
PepsiCo, Inc. |
6,639 |
703,336 |
||||||
|
UnitedHealth Group, Inc. |
4,706 |
664,487 |
||||||
|
Medtronic plc |
7,507 |
651,382 |
||||||
|
Amgen, Inc. |
3,861 |
587,451 |
||||||
|
Gilead Sciences, Inc. |
6,996 |
583,606 |
||||||
|
AbbVie, Inc. |
9,133 |
565,424 |
||||||
|
Express Scripts Holding Co.* |
6,190 |
469,202 |
||||||
|
McKesson Corp. |
2,484 |
463,638 |
||||||
|
Kroger Co. |
12,363 |
454,835 |
||||||
|
Becton Dickinson and Co. |
2,664 |
451,788 |
||||||
|
Allergan plc* |
1,895 |
437,916 |
||||||
|
Archer-Daniels-Midland Co. |
9,904 |
424,783 |
||||||
|
Cardinal Health, Inc. |
5,360 |
418,133 |
||||||
|
HCA Holdings, Inc.* |
5,375 |
413,929 |
||||||
|
Thermo Fisher Scientific, Inc. |
2,515 |
371,617 |
||||||
|
Sysco Corp. |
6,486 |
329,100 |
||||||
|
Kimberly-Clark Corp. |
2,199 |
302,319 |
||||||
|
Tyson Foods, Inc. — Class A |
4,103 |
274,039 |
||||||
|
General Mills, Inc. |
3,527 |
251,546 |
||||||
|
Edwards Lifesciences Corp.* |
1,130 |
112,695 |
||||||
|
Abbott Laboratories |
2,810 |
110,461 |
||||||
|
Aetna, Inc. |
844 |
103,078 |
||||||
|
Alexion Pharmaceuticals, Inc.* |
740 |
86,402 |
||||||
|
Cigna Corp. |
669 |
85,625 |
||||||
|
Anthem, Inc. |
622 |
81,693 |
||||||
|
Total Consumer, Non-cyclical |
12,707,542 |
|||||||
|
Industrial - 2.4% |
||||||||
|
Boeing Co. |
4,244 |
551,169 |
||||||
|
United Parcel Service, Inc. — Class B |
5,000 |
538,599 |
||||||
|
Union Pacific Corp. |
6,098 |
532,051 |
||||||
|
Caterpillar, Inc. |
6,301 |
477,679 |
||||||
|
Waste Management, Inc. |
6,938 |
459,781 |
||||||
|
Emerson Electric Co. |
8,450 |
440,752 |
||||||
|
FedEx Corp. |
2,751 |
417,547 |
||||||
|
CSX Corp. |
15,965 |
416,367 |
||||||
|
Eaton Corporation plc |
6,938 |
414,407 |
||||||
|
General Electric Co. |
10,304 |
324,370 |
||||||
|
Lockheed Martin Corp. |
1,114 |
276,461 |
||||||
|
United Technologies Corp. |
1,767 |
181,206 |
||||||
|
Honeywell International, Inc. |
1,376 |
160,056 |
||||||
|
Total Industrial |
5,190,445 |
|||||||
|
Financial - 2.0% |
||||||||
|
JPMorgan Chase & Co. |
13,149 |
817,078 |
||||||
|
Bank of America Corp. |
46,044 |
611,004 |
||||||
|
Travelers Companies, Inc. |
3,819 |
454,614 |
||||||
|
Aflac, Inc. |
6,198 |
447,248 |
||||||
|
Bank of New York Mellon Corp. |
11,020 |
428,127 |
||||||
|
MetLife, Inc. |
10,366 |
412,878 |
||||||
|
Prudential Financial, Inc. |
5,586 |
398,505 |
||||||
|
Wells Fargo & Co. |
4,392 |
207,873 |
||||||
|
Berkshire Hathaway, Inc. — Class B* |
1,271 |
184,028 |
||||||
|
Equity Residential |
1,876 |
129,219 |
||||||
|
Chubb Ltd. |
884 |
115,548 |
||||||
|
Charles Schwab Corp. |
4,357 |
110,276 |
||||||
|
Principal Financial Group, Inc. |
2,499 |
102,734 |
||||||
|
Total Financial |
4,419,132 |
|||||||
|
Technology - 2.0% |
||||||||
|
Apple, Inc. |
14,348 |
1,371,669 |
||||||
|
Microsoft Corp. |
20,701 |
1,059,270 |
||||||
|
Intel Corp. |
21,361 |
700,641 |
||||||
|
International Business Machines Corp. |
3,696 |
560,979 |
||||||
|
Oracle Corp. |
4,773 |
195,359 |
||||||
|
QUALCOMM, Inc. |
3,379 |
181,013 |
||||||
|
Broadcom Ltd. |
741 |
115,151 |
||||||
|
Hewlett Packard Enterprise Co. |
4,300 |
78,561 |
||||||
|
Total Technology |
4,262,643 |
|||||||
|
Consumer, Cyclical - 1.6% |
||||||||
|
Wal-Mart Stores, Inc. |
8,449 |
616,946 |
||||||
|
CVS Health Corp. |
6,101 |
584,109 |
||||||
|
Walgreens Boots Alliance, Inc. |
6,543 |
544,836 |
||||||
|
Ford Motor Co. |
29,958 |
376,572 |
||||||
|
General Motors Co. |
12,365 |
349,930 |
||||||
|
Target Corp. |
3,929 |
274,323 |
||||||
|
Southwest Airlines Co. |
6,962 |
272,980 |
||||||
|
Delta Air Lines, Inc. |
7,114 |
259,163 |
||||||
|
American Airlines Group, Inc. |
6,982 |
197,660 |
||||||
|
Total Consumer, Cyclical |
3,476,519 |
|||||||
|
Communications - 1.6% |
||||||||
|
Cisco Systems, Inc. |
22,996 |
659,755 |
||||||
|
Time Warner, Inc. |
6,485 |
476,907 |
||||||
|
Alphabet, Inc. — Class C* |
689 |
476,857 |
||||||
|
eBay, Inc.* |
17,359 |
406,374 |
||||||
|
AT&T, Inc. |
8,704 |
376,100 |
||||||
|
Walt Disney Co. |
2,993 |
292,775 |
||||||
|
Verizon Communications, Inc. |
4,742 |
264,793 |
||||||
|
Amazon.com, Inc.* |
263 |
188,208 |
||||||
|
Facebook, Inc. — Class A* |
1,552 |
177,363 |
||||||
|
Comcast Corp. — Class A |
2,345 |
152,871 |
||||||
|
Total Communications |
3,472,003 |
|||||||
|
Energy - 1.3% |
||||||||
|
Exxon Mobil Corp. |
8,495 |
796,321 |
||||||
|
Chevron Corp. |
4,044 |
423,933 |
||||||
|
Schlumberger Ltd. |
3,440 |
272,035 |
||||||
|
Phillips 66 |
2,338 |
185,497 |
||||||
|
Valero Energy Corp. |
2,984 |
152,184 |
||||||
|
8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
|
Shares |
Value |
|||||||
|
EOG Resources, Inc. |
1,600 |
$ |
133,471 |
|||||
|
Anadarko Petroleum Corp. |
2,504 |
133,338 |
||||||
|
Hess Corp. |
2,167 |
130,237 |
||||||
|
ConocoPhillips |
2,966 |
129,318 |
||||||
|
Spectra Energy Corp. |
3,496 |
128,059 |
||||||
|
Kinder Morgan, Inc. |
6,160 |
115,315 |
||||||
|
Occidental Petroleum Corp. |
1,475 |
111,451 |
||||||
|
Halliburton Co. |
2,102 |
95,200 |
||||||
|
Total Energy |
2,806,359 |
|||||||
|
Utilities - 0.3% |
||||||||
|
NextEra Energy, Inc. |
4,028 |
525,251 |
||||||
|
Exelon Corp. |
2,411 |
87,664 |
||||||
|
Total Utilities |
612,915 |
|||||||
|
Basic Materials - 0.2% |
||||||||
|
Nucor Corp. |
2,295 |
113,396 |
||||||
|
International Paper Co. |
2,642 |
111,968 |
||||||
|
LyondellBasell Industries N.V. — Class A |
1,368 |
101,807 |
||||||
|
Dow Chemical Co. |
2,047 |
101,756 |
||||||
|
Monsanto Co. |
659 |
68,147 |
||||||
|
Total Basic Materials |
497,074 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $36,189,732) |
37,444,632 |
|||||||
|
MUTUAL FUNDS†,1 - 76.7% |
||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
2,308,062 |
57,216,863 |
||||||
|
Guggenheim Strategy Fund II |
2,268,172 |
56,273,352 |
||||||
|
Guggenheim Strategy Fund III |
1,421,708 |
35,244,131 |
||||||
|
Guggenheim Strategy Fund I |
673,569 |
16,778,614 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $166,115,415) |
165,512,960 |
|||||||
|
SHORT TERM INVESTMENTS† - 3.6% |
||||||||
|
Dreyfus Treasury Prime Cash Management Fund - Institutional Class 0.16%2 |
7,669,811 |
7,669,811 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $7,669,811) |
7,669,811 |
|||||||
|
Total Investments - 97.6% |
||||||||
|
(Cost $209,974,958) |
$ |
210,627,403 |
||||||
|
Other Assets & Liabilities, net - 2.4% |
5,093,121 |
|||||||
|
Total Net Assets - 100.0% |
$ |
215,720,524 |
||||||
|
Contracts |
Unrealized |
|||||||
|
EQUITY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 S&P 500 Index |
21 |
$ |
19,148 |
|||||
|
Units |
||||||||
|
OTC EQUITY INDEX SWAP AGREEMENTS†† |
||||||||
|
Bank of America |
83,379 |
$ |
— |
|||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 9 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 3 |
Total |
|||||||||||||||
|
Common Stocks |
$ |
37,444,632 |
$ |
— |
$ |
— |
$ |
— |
$ |
37,444,632 |
||||||||||
|
Equity Futures Contracts |
— |
19,148 |
— |
— |
19,148 |
|||||||||||||||
|
Equity Index Swap Agreements |
— |
— |
— |
— |
— |
|||||||||||||||
|
Mutual Funds |
165,512,960 |
— |
— |
— |
165,512,960 |
|||||||||||||||
|
Short Term Investments |
7,669,811 |
— |
— |
— |
7,669,811 |
|||||||||||||||
|
Total |
$ |
210,627,403 |
$ |
19,148 |
$ |
— |
$ |
— |
$ |
210,646,551 |
||||||||||
|
* |
Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
10 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $43,859,543) |
$ |
45,114,443 |
||
|
Investments in affiliated issuers, at value (cost $166,115,415) |
165,512,960 |
|||
|
Total investments (cost $209,974,958) |
210,627,403 |
|||
|
Segregated cash with broker |
3,028,200 |
|||
|
Receivables: |
||||
|
Securities sold |
2,670,000 |
|||
|
Dividends |
341,604 |
|||
|
Variation margin |
22,260 |
|||
|
Fund shares sold |
20,554 |
|||
|
Foreign taxes reclaim |
575 |
|||
|
Total assets |
216,710,596 |
|||
|
Liabilities: |
||||
|
Overdraft due to custodian bank |
172 |
|||
|
Payable for: |
||||
|
Swap settlement |
342,380 |
|||
|
Securities purchased |
314,912 |
|||
|
Management fees |
132,297 |
|||
|
Fund shares redeemed |
60,036 |
|||
|
Fund accounting/administration fees |
16,757 |
|||
|
Trustees’ fees* |
13,332 |
|||
|
Transfer agent/maintenance fees |
3,307 |
|||
|
Miscellaneous |
106,879 |
|||
|
Total liabilities |
990,072 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
215,720,524 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
223,986,530 |
||
|
Undistributed net investment income |
3,189,744 |
|||
|
Accumulated net realized loss on investments |
(12,127,343 |
) |
||
|
Net unrealized appreciation on investments |
671,593 |
|||
|
Net assets |
$ |
215,720,524 |
||
|
Capital shares outstanding |
6,032,463 |
|||
|
Net asset value per share |
$ |
35.76 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from securities of affiliated issuers |
$ |
1,847,932 |
||
|
Dividends from securities of unaffiliated issuers |
429,960 |
|||
|
Interest |
2,924 |
|||
|
Other income |
415 |
|||
|
Total investment income |
2,281,231 |
|||
|
Expenses: |
||||
|
Management fees |
785,947 |
|||
|
Transfer agent/maintenance fees |
12,568 |
|||
|
Fund accounting/administration fees |
99,552 |
|||
|
Line of credit fees |
14,528 |
|||
|
Trustees’ fees* |
8,151 |
|||
|
Custodian fees |
3,600 |
|||
|
Miscellaneous |
67,484 |
|||
|
Total expenses |
991,830 |
|||
|
Net investment income |
1,289,401 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
381,930 |
|||
|
Investments in affiliated issuers |
(91,903 |
) |
||
|
Swap agreements |
3,085,673 |
|||
|
Futures contracts |
(37,412 |
) |
||
|
Net realized gain |
3,338,288 |
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
679,749 |
|||
|
Investments in affiliated issuers |
72,086 |
|||
|
Swap agreements |
2,983,652 |
|||
|
Futures contracts |
23,529 |
|||
|
Net change in unrealized appreciation (depreciation) |
3,759,016 |
|||
|
Net realized and unrealized gain |
7,097,304 |
|||
|
Net increase in net assets resulting from operations |
$ |
8,386,705 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 11 |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
1,289,401 |
$ |
1,908,621 |
||||
|
Net realized gain on investments |
3,338,288 |
11,022,044 |
||||||
|
Net change in unrealized appreciation (depreciation) on investments |
3,759,016 |
(9,256,807 |
) |
|||||
|
Net increase in net assets resulting from operations |
8,386,705 |
3,673,858 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(3,137,523 |
) |
|||||
|
Net realized gains |
— |
(20,083,072 |
) |
|||||
|
Total distributions to shareholders |
— |
(23,220,595 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
4,164,049 |
12,564,041 |
||||||
|
Distributions reinvested |
— |
23,220,595 |
||||||
|
Cost of shares redeemed |
(15,710,351 |
) |
(36,433,210 |
) |
||||
|
Net decrease from capital share transactions |
(11,546,302 |
) |
(648,574 |
) |
||||
|
Net decrease in net assets |
(3,159,597 |
) |
(20,195,311 |
) |
||||
|
Net assets: |
||||||||
|
Beginning of period |
218,880,121 |
239,075,432 |
||||||
|
End of period |
$ |
215,720,524 |
$ |
218,880,121 |
||||
|
Undistributed net investment income at end of period |
$ |
3,189,744 |
$ |
1,900,343 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
124,323 |
343,003 |
||||||
|
Shares issued from reinvestment of distributions |
— |
660,051 |
||||||
|
Shares redeemed |
(465,481 |
) |
(1,000,356 |
) |
||||
|
Net increase (decrease) in shares |
(341,158 |
) |
2,698 |
|||||
|
12 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES A (STYLEPLUS—LARGE CORE SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
34.34 |
$ |
37.53 |
$ |
32.50 |
$ |
25.22 |
$ |
22.31 |
$ |
23.24 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.21 |
.30 |
.44 |
.16 |
.23 |
.13 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
1.21 |
.36 |
4.59 |
7.12 |
2.68 |
(1.06 |
) |
|||||||||||||||||
|
Total from investment operations |
1.42 |
.66 |
5.03 |
7.28 |
2.91 |
(.93 |
) |
|||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.52 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(3.33 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(3.85 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
35.76 |
$ |
34.34 |
$ |
37.53 |
$ |
32.50 |
$ |
25.22 |
$ |
22.31 |
||||||||||||
|
Total Returnc |
4.16 |
% |
1.50 |
% |
15.48 |
% |
28.87 |
% |
13.04 |
% |
(4.00 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
215,721 |
$ |
218,880 |
$ |
239,075 |
$ |
231,194 |
$ |
198,615 |
$ |
206,995 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.23 |
% |
0.83 |
% |
1.28 |
% |
0.56 |
% |
0.92 |
% |
0.57 |
% |
||||||||||||
|
Total expensesd |
0.95 |
% |
0.96 |
% |
0.97 |
% |
0.96 |
% |
0.94 |
% |
0.90 |
% |
||||||||||||
|
Net expenses |
0.95 |
% |
0.96 |
% |
0.95 |
%e |
0.96 |
%e |
0.94 |
%e |
0.90 |
%e |
||||||||||||
|
Portfolio turnover rate |
24 |
% |
66 |
% |
88 |
% |
267 |
% |
103 |
% |
87 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 13 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES B (LARGE CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: May 1, 1979 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
JPMorgan Chase & Co. |
3.5% |
|
Johnson & Johnson |
3.0% |
|
Wells Fargo & Co. |
2.9% |
|
Edison International |
2.8% |
|
Chevron Corp. |
2.6% |
|
Exxon Mobil Corp. |
2.6% |
|
American International Group, Inc. |
2.5% |
|
Cisco Systems, Inc. |
2.5% |
|
Dow Chemical Co. |
2.4% |
|
UnitedHealth Group, Inc. |
2.1% |
|
Top Ten Total |
26.9% |
|
“Ten Largest Holdings” excludes any temporary cash investments. |
|
|
14 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES B (LARGE CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 95.2% |
||||||||
|
Financial - 24.0% |
||||||||
|
JPMorgan Chase & Co. |
131,950 |
$ |
8,199,374 |
|||||
|
Wells Fargo & Co. |
146,395 |
6,928,876 |
||||||
|
American International Group, Inc. |
109,889 |
5,812,030 |
||||||
|
Citigroup, Inc. |
107,234 |
4,545,649 |
||||||
|
Zions Bancorporation |
168,470 |
4,233,651 |
||||||
|
Allstate Corp. |
55,070 |
3,852,147 |
||||||
|
Sun Communities, Inc. |
34,330 |
2,631,051 |
||||||
|
Assured Guaranty Ltd. |
98,390 |
2,496,154 |
||||||
|
BB&T Corp. |
66,310 |
2,361,299 |
||||||
|
Unum Group |
65,087 |
2,069,116 |
||||||
|
Bank of America Corp. |
142,500 |
1,890,975 |
||||||
|
Simon Property Group, Inc. |
7,430 |
1,611,567 |
||||||
|
Charles Schwab Corp. |
54,050 |
1,368,005 |
||||||
|
Equity Residential |
18,710 |
1,288,745 |
||||||
|
KeyCorp |
102,606 |
1,133,796 |
||||||
|
MasterCard, Inc. — Class A |
12,378 |
1,090,007 |
||||||
|
Morgan Stanley |
35,168 |
913,665 |
||||||
|
Ally Financial, Inc.* |
51,831 |
884,755 |
||||||
|
Hanover Insurance Group, Inc. |
9,654 |
816,921 |
||||||
|
E*TRADE Financial Corp.* |
33,253 |
781,113 |
||||||
|
Prudential Financial, Inc. |
10,662 |
760,627 |
||||||
|
T. Rowe Price Group, Inc. |
9,352 |
682,415 |
||||||
|
Hartford Financial Services Group, Inc. |
8,000 |
355,040 |
||||||
|
Total Financial |
56,706,978 |
|||||||
|
Consumer, Non-cyclical - 15.8% |
||||||||
|
Johnson & Johnson |
58,430 |
7,087,558 |
||||||
|
UnitedHealth Group, Inc. |
34,480 |
4,868,576 |
||||||
|
Pfizer, Inc. |
104,900 |
3,693,529 |
||||||
|
Medtronic plc |
35,620 |
3,090,747 |
||||||
|
Bunge Ltd. |
49,990 |
2,956,909 |
||||||
|
Zimmer Biomet Holdings, Inc. |
24,050 |
2,895,139 |
||||||
|
Quest Diagnostics, Inc. |
35,050 |
2,853,421 |
||||||
|
HCA Holdings, Inc.* |
34,270 |
2,639,133 |
||||||
|
Mondelez International, Inc. — Class A |
41,157 |
1,873,055 |
||||||
|
Hershey Co. |
12,928 |
1,467,199 |
||||||
|
Philip Morris International, Inc. |
12,018 |
1,222,471 |
||||||
|
Sanderson Farms, Inc. |
12,386 |
1,073,123 |
||||||
|
United Rentals, Inc.* |
14,769 |
991,000 |
||||||
|
Medivation, Inc.* |
11,494 |
693,088 |
||||||
|
Total Consumer, Non-cyclical |
37,404,948 |
|||||||
|
Industrial - 11.8% |
||||||||
|
Republic Services, Inc. — Class A |
86,223 |
4,424,102 |
||||||
|
FLIR Systems, Inc. |
124,690 |
3,859,156 |
||||||
|
General Electric Co. |
108,292 |
3,409,031 |
||||||
|
WestRock Co. |
75,631 |
2,939,777 |
||||||
|
CH Robinson Worldwide, Inc. |
34,400 |
2,554,200 |
||||||
|
Jabil Circuit, Inc. |
122,371 |
2,260,192 |
||||||
|
Corning, Inc. |
83,608 |
1,712,292 |
||||||
|
Huntington Ingalls Industries, Inc. |
7,651 |
1,285,598 |
||||||
|
Harris Corp. |
15,370 |
1,282,473 |
||||||
|
Honeywell International, Inc. |
10,534 |
1,225,315 |
||||||
|
CSX Corp. |
45,139 |
1,177,225 |
||||||
|
Eaton Corporation plc |
19,215 |
1,147,712 |
||||||
|
Spirit AeroSystems Holdings, Inc. — Class A* |
12,420 |
534,060 |
||||||
|
Total Industrial |
27,811,133 |
|||||||
|
Energy - 11.0% |
||||||||
|
Chevron Corp. |
58,240 |
6,105,299 |
||||||
|
Exxon Mobil Corp. |
64,750 |
6,069,665 |
||||||
|
Marathon Oil Corp. |
199,890 |
3,000,349 |
||||||
|
Kinder Morgan, Inc. |
149,804 |
2,804,331 |
||||||
|
Hess Corp. |
41,670 |
2,504,367 |
||||||
|
Rowan Companies plc — Class A |
107,041 |
1,890,344 |
||||||
|
Valero Energy Corp. |
25,827 |
1,317,177 |
||||||
|
Apache Corp. |
21,782 |
1,212,604 |
||||||
|
QEP Resources, Inc. |
34,741 |
612,484 |
||||||
|
Whiting Petroleum Corp.* |
53,536 |
495,743 |
||||||
|
Total Energy |
26,012,363 |
|||||||
|
Utilities - 8.8% |
||||||||
|
Edison International |
85,420 |
6,634,570 |
||||||
|
Public Service Enterprise Group, Inc. |
90,550 |
4,220,536 |
||||||
|
OGE Energy Corp. |
88,860 |
2,910,165 |
||||||
|
Ameren Corp. |
53,439 |
2,863,262 |
||||||
|
UGI Corp. |
45,281 |
2,048,965 |
||||||
|
Exelon Corp. |
39,930 |
1,451,855 |
||||||
|
Duke Energy Corp. |
8,550 |
733,505 |
||||||
|
Total Utilities |
20,862,858 |
|||||||
|
Technology - 7.7% |
||||||||
|
Intel Corp. |
125,620 |
4,120,335 |
||||||
|
QUALCOMM, Inc. |
75,238 |
4,030,500 |
||||||
|
Applied Materials, Inc. |
114,756 |
2,750,702 |
||||||
|
Lam Research Corp. |
29,590 |
2,487,335 |
||||||
|
Microsoft Corp. |
40,940 |
2,094,900 |
||||||
|
Micron Technology, Inc.* |
110,192 |
1,516,242 |
||||||
|
Texas Instruments, Inc. |
20,520 |
1,285,578 |
||||||
|
Total Technology |
18,285,592 |
|||||||
|
Consumer, Cyclical - 6.8% |
||||||||
|
CVS Health Corp. |
43,970 |
4,209,688 |
||||||
|
Lear Corp. |
32,770 |
3,334,675 |
||||||
|
Wal-Mart Stores, Inc. |
36,300 |
2,650,626 |
||||||
|
Target Corp. |
31,509 |
2,199,958 |
||||||
|
PVH Corp. |
13,030 |
1,227,817 |
||||||
|
J.C. Penney Company, Inc.* |
126,100 |
1,119,768 |
||||||
|
Goodyear Tire & Rubber Co. |
35,754 |
917,448 |
||||||
|
AutoNation, Inc.* |
10,781 |
506,491 |
||||||
|
Total Consumer, Cyclical |
16,166,471 |
|||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 15 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES B (LARGE CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
Communications - 5.3% |
||||||||
|
Cisco Systems, Inc. |
202,470 |
$ |
5,808,864 |
|||||
|
AT&T, Inc. |
84,144 |
3,635,862 |
||||||
|
Scripps Networks Interactive, Inc. — Class A |
29,510 |
1,837,588 |
||||||
|
Yahoo!, Inc.* |
35,600 |
1,337,136 |
||||||
|
Total Communications |
12,619,450 |
|||||||
|
Basic Materials - 4.0% |
||||||||
|
Dow Chemical Co. |
114,782 |
5,705,813 |
||||||
|
Reliance Steel & Aluminum Co. |
41,950 |
3,225,955 |
||||||
|
Freeport-McMoRan, Inc. |
54,442 |
606,484 |
||||||
|
Total Basic Materials |
9,538,252 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $190,706,759) |
225,408,045 |
|||||||
|
SHORT TERM INVESTMENTS† - 4.8% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund – Institutional Shares 0.16%1 |
11,247,672 |
11,247,672 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $11,247,672) |
11,247,672 |
|||||||
|
Total Investments - 100.0% |
||||||||
|
(Cost $201,954,431) |
$ |
236,655,717 |
||||||
|
Other Assets & Liabilities, net - 0.0% |
23,495 |
|||||||
|
Total Net Assets - 100.0% |
$ |
236,679,212 |
||||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
1 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Common Stocks |
$ |
225,408,045 |
$ |
— |
$ |
— |
$ |
225,408,045 |
||||||||
|
Short Term Investments |
11,247,672 |
— |
— |
11,247,672 |
||||||||||||
|
Total |
$ |
236,655,717 |
$ |
— |
$ |
— |
$ |
236,655,717 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
16 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES B (LARGE CAP VALUE SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $201,954,431) |
$ |
236,655,717 |
||
|
Prepaid expenses |
3,154 |
|||
|
Cash |
1,271 |
|||
|
Receivables: |
||||
|
Dividends |
230,269 |
|||
|
Fund shares sold |
14,856 |
|||
|
Foreign taxes reclaim |
13,902 |
|||
|
Total assets |
236,919,169 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Management fees |
126,237 |
|||
|
Fund shares redeemed |
49,286 |
|||
|
Direct shareholders expense |
19,321 |
|||
|
Fund accounting/administration fees |
18,450 |
|||
|
Legal fees |
17,342 |
|||
|
Custodian fees |
13,055 |
|||
|
Trustees' fees* |
5,453 |
|||
|
Transfer agent/maintenance fees |
3,737 |
|||
|
Miscellaneous |
(12,924 |
) |
||
|
Total liabilities |
239,957 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
236,679,212 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
204,196,881 |
||
|
Undistributed net investment income |
5,965,565 |
|||
|
Accumulated net realized loss on investments |
(8,184,520 |
) |
||
|
Net unrealized appreciation on investments |
34,701,286 |
|||
|
Net assets |
$ |
236,679,212 |
||
|
Capital shares outstanding |
6,691,996 |
|||
|
Net asset value per share |
$ |
35.37 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends (net of foreign withholding tax of $416) |
$ |
2,717,475 |
||
|
Interest |
4,186 |
|||
|
Total investment income |
2,721,661 |
|||
|
Expenses: |
||||
|
Management fees |
737,238 |
|||
|
Transfer agent/maintenance fees |
12,591 |
|||
|
Fund accounting/administration fees |
107,749 |
|||
|
Line of credit fees |
18,529 |
|||
|
Trustees' fees* |
18 |
|||
|
Custodian fees |
18 |
|||
|
Miscellaneous |
49,183 |
|||
|
Total expenses |
925,326 |
|||
|
Net investment income |
1,796,335 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
2,110,020 |
|||
|
Net realized gain |
2,110,020 |
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
10,769,168 |
|||
|
Net change in unrealized appreciation (depreciation) |
10,769,168 |
|||
|
Net realized and unrealized gain |
12,879,188 |
|||
|
Net increase in net assets resulting from operations |
$ |
14,675,523 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 17 |
|
SERIES B (LARGE CAP VALUE SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
1,796,335 |
$ |
4,189,404 |
||||
|
Net realized gain on investments |
2,110,020 |
14,222,606 |
||||||
|
Net change in unrealized appreciation (depreciation) on investments |
10,769,168 |
(31,474,677 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
14,675,523 |
(13,062,667 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(2,928,952 |
) |
|||||
|
Net realized gains |
— |
(37,933,710 |
) |
|||||
|
Total distributions to shareholders |
— |
(40,862,662 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
6,927,322 |
7,860,711 |
||||||
|
Distributions reinvested |
— |
40,862,662 |
||||||
|
Cost of shares redeemed |
(18,021,250 |
) |
(36,900,523 |
) |
||||
|
Net increase (decrease) from capital share transactions |
(11,093,928 |
) |
11,822,850 |
|||||
|
Net increase (decrease) in net assets |
3,581,595 |
(42,102,479 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
233,097,617 |
275,200,096 |
||||||
|
End of period |
$ |
236,679,212 |
$ |
233,097,617 |
||||
|
Undistributed net investment income at end of period |
$ |
5,965,565 |
$ |
4,169,230 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
212,466 |
208,647 |
||||||
|
Shares issued from reinvestment of distributions |
— |
1,153,010 |
||||||
|
Shares redeemed |
(542,469 |
) |
(986,485 |
) |
||||
|
Net increase (decrease) in shares |
(330,003 |
) |
375,172 |
|||||
|
18 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES B (LARGE CAP VALUE SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
33.20 |
$ |
41.40 |
$ |
37.82 |
$ |
28.66 |
$ |
24.79 |
$ |
25.79 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.26 |
.61 |
.41 |
.35 |
.35 |
.26 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
1.91 |
(2.29 |
) |
3.17 |
8.81 |
3.52 |
(1.26 |
) |
||||||||||||||||
|
Total from investment operations |
2.17 |
(1.68 |
) |
3.58 |
9.16 |
3.87 |
(1.00 |
) |
||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.47 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(6.05 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(6.52 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
35.37 |
$ |
33.20 |
$ |
41.40 |
$ |
37.82 |
$ |
28.66 |
$ |
24.79 |
||||||||||||
|
Total Returnc |
6.57 |
% |
(5.08 |
%) |
9.47 |
% |
31.96 |
% |
15.61 |
% |
(3.88 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
236,679 |
$ |
233,098 |
$ |
275,200 |
$ |
283,527 |
$ |
246,107 |
$ |
249,451 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.58 |
% |
1.63 |
% |
1.04 |
% |
1.05 |
% |
1.28 |
% |
1.00 |
% |
||||||||||||
|
Total expenses |
0.82 |
% |
0.84 |
% |
0.83 |
% |
0.83 |
% |
0.83 |
% |
0.80 |
% |
||||||||||||
|
Portfolio turnover rate |
19 |
% |
38 |
% |
47 |
% |
26 |
% |
17 |
% |
19 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 19 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES D (WORLD EQUITY INCOME SERIES)
OBJECTIVE: Seeks to provide total return, comprised of capital appreciation and income.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
COUNTRY DIVERSIFICATION
At June 30, 2016, the investment diversification of the Fund by country was as follows:
|
Country |
% of Common Stocks |
Value |
||||||
|
United States |
55.0 |
% |
$ |
88,826,258 |
||||
|
Japan |
8.2 |
% |
13,246,012 |
|||||
|
United Kingdom |
6.3 |
% |
10,130,687 |
|||||
|
Canada |
5.5 |
% |
8,857,174 |
|||||
|
Australia |
3.9 |
% |
6,238,027 |
|||||
|
Switzerland |
3.6 |
% |
5,765,537 |
|||||
|
Singapore |
3.2 |
% |
5,125,568 |
|||||
|
Other |
14.3 |
% |
23,007,503 |
|||||
|
Total Investments |
100.0 |
% |
$ |
161,196,766 |
||||
|
Inception Date: April 19, 1984 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Johnson & Johnson |
1.8% |
|
AT&T, Inc. |
1.6% |
|
Verizon Communications, Inc. |
1.5% |
|
Pfizer, Inc. |
1.4% |
|
Procter & Gamble Co. |
1.4% |
|
Wells Fargo & Co. |
1.3% |
|
Merck & Company, Inc. |
1.3% |
|
Roche Holding AG |
1.3% |
|
Home Depot, Inc. |
1.3% |
|
UnitedHealth Group, Inc. |
1.3% |
|
Top Ten Total |
14.2% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
20 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 98.9% |
||||||||
|
Consumer, Non-cyclical - 27.1% |
||||||||
|
Johnson & Johnson |
24,800 |
$ |
3,008,241 |
|||||
|
Pfizer, Inc. |
65,400 |
2,302,734 |
||||||
|
Procter & Gamble Co. |
26,900 |
2,277,623 |
||||||
|
Merck & Company, Inc. |
37,700 |
2,171,897 |
||||||
|
Roche Holding AG†† |
8,200 |
2,163,593 |
||||||
|
UnitedHealth Group, Inc. |
14,500 |
2,047,400 |
||||||
|
Novartis AG†† |
23,800 |
1,964,216 |
||||||
|
GlaxoSmithKline plc†† |
86,200 |
1,850,566 |
||||||
|
PepsiCo, Inc. |
17,400 |
1,843,356 |
||||||
|
Altria Group, Inc. |
26,100 |
1,799,856 |
||||||
|
Automatic Data Processing, Inc. |
17,200 |
1,580,164 |
||||||
|
Eli Lilly & Co. |
18,600 |
1,464,750 |
||||||
|
Reynolds American, Inc. |
26,400 |
1,423,752 |
||||||
|
Kimberly-Clark Corp. |
10,100 |
1,388,548 |
||||||
|
Dr Pepper Snapple Group, Inc. |
13,700 |
1,323,831 |
||||||
|
Sysco Corp. |
26,000 |
1,319,240 |
||||||
|
Clorox Co. |
9,300 |
1,287,027 |
||||||
|
Transurban Group†† |
136,700 |
1,231,126 |
||||||
|
Wesfarmers Ltd.†† |
40,700 |
1,227,286 |
||||||
|
Cardinal Health, Inc. |
14,500 |
1,131,145 |
||||||
|
Nissin Foods Holdings Company Ltd.†† |
19,000 |
1,037,507 |
||||||
|
Woolworths Ltd.†† |
60,500 |
951,501 |
||||||
|
Philip Morris International, Inc. |
9,100 |
925,652 |
||||||
|
Otsuka Holdings Company Ltd.†† |
18,900 |
870,882 |
||||||
|
Wm Morrison Supermarkets plc†† |
322,100 |
808,169 |
||||||
|
Asahi Group Holdings Ltd.†† |
20,000 |
646,633 |
||||||
|
Hutchison Port Holdings Trust — Class U†† |
1,126,400 |
515,407 |
||||||
|
General Mills, Inc. |
6,600 |
470,712 |
||||||
|
Patterson Companies, Inc. |
9,200 |
440,588 |
||||||
|
Anthem, Inc. |
3,300 |
433,422 |
||||||
|
AstraZeneca plc — Class A†† |
7,200 |
430,392 |
||||||
|
Abbott Laboratories |
10,700 |
420,617 |
||||||
|
H&R Block, Inc. |
18,200 |
418,600 |
||||||
|
Takeda Pharmaceutical Company Ltd.†† |
9,200 |
396,741 |
||||||
|
Diageo plc†† |
10,900 |
304,425 |
||||||
|
Colgate-Palmolive Co. |
3,300 |
241,560 |
||||||
|
Henry Schein, Inc.* |
500 |
88,400 |
||||||
|
Total Consumer, Non-cyclical |
44,207,559 |
|||||||
|
Financial - 24.5% |
||||||||
|
Wells Fargo & Co. |
46,100 |
2,181,913 |
||||||
|
HSBC Holdings plc*,†† |
288,200 |
1,785,364 |
||||||
|
Daito Trust Construction Company Ltd.†† |
9,400 |
1,526,059 |
||||||
|
U.S. Bancorp |
37,200 |
1,500,276 |
||||||
|
CME Group, Inc. — Class A |
15,100 |
1,470,740 |
||||||
|
Marsh & McLennan Companies, Inc. |
20,700 |
1,417,122 |
||||||
|
Swedbank AB — Class A†† |
67,000 |
1,406,918 |
||||||
|
Nordea Bank AB†† |
160,400 |
1,360,498 |
||||||
|
Cincinnati Financial Corp. |
17,700 |
1,325,553 |
||||||
|
Vicinity Centres†† |
468,601 |
1,168,995 |
||||||
|
M&T Bank Corp. |
9,600 |
1,135,008 |
||||||
|
Everest Re Group Ltd. |
6,200 |
1,132,554 |
||||||
|
Skandinaviska Enskilda Banken AB — Class A†† |
121,700 |
1,062,915 |
||||||
|
American Capital Agency Corp. |
53,000 |
1,050,460 |
||||||
|
Singapore Exchange Ltd.†† |
184,100 |
1,048,776 |
||||||
|
Simon Property Group, Inc. |
4,700 |
1,019,430 |
||||||
|
Allianz AG†† |
7,000 |
998,440 |
||||||
|
Government Properties Trust, Inc.*,†† |
240,700 |
978,764 |
||||||
|
Annaly Capital Management, Inc. |
86,700 |
959,769 |
||||||
|
RenaissanceRe Holdings Ltd. |
7,700 |
904,288 |
||||||
|
First Capital Realty, Inc. |
51,000 |
874,879 |
||||||
|
Ascendas Real Estate Investment Trust†† |
455,400 |
842,887 |
||||||
|
People’s United Financial, Inc. |
57,300 |
840,018 |
||||||
|
CapitaLand Mall Trust†† |
522,500 |
830,855 |
||||||
|
Gecina S.A.†† |
6,000 |
812,558 |
||||||
|
T. Rowe Price Group, Inc. |
11,100 |
809,967 |
||||||
|
H&R Real Estate Investment Trust |
46,400 |
808,540 |
||||||
|
Axis Capital Holdings Ltd. |
14,400 |
792,000 |
||||||
|
Japan Retail Fund Investment Corp.†† |
300 |
765,966 |
||||||
|
Liberty Property Trust |
18,100 |
718,932 |
||||||
|
Intact Financial Corp. |
8,900 |
635,848 |
||||||
|
CI Financial Corp. |
29,700 |
619,617 |
||||||
|
Societe Generale S.A.†† |
18,200 |
569,312 |
||||||
|
Sampo Oyj — Class A†† |
12,800 |
523,388 |
||||||
|
Barclays plc†† |
278,900 |
518,534 |
||||||
|
Chubb Ltd. |
3,900 |
509,769 |
||||||
|
Hang Seng Bank Ltd.†† |
26,900 |
461,399 |
||||||
|
Suncorp Group Ltd.†† |
49,900 |
457,542 |
||||||
|
Bank of Montreal |
7,000 |
444,074 |
||||||
|
Lloyds Banking Group plc†† |
547,400 |
396,403 |
||||||
|
ING Groep N.V.†† |
36,400 |
376,530 |
||||||
|
PNC Financial Services Group, Inc. |
4,300 |
349,977 |
||||||
|
CNP Assurances†† |
21,700 |
320,105 |
||||||
|
JPMorgan Chase & Co. |
1,600 |
99,424 |
||||||
|
WR Berkley Corp. |
1,500 |
89,880 |
||||||
|
Tryg A/S†† |
1,200 |
21,481 |
||||||
|
Total Financial |
39,923,727 |
|||||||
|
Communications - 10.4% |
||||||||
|
AT&T, Inc. |
61,700 |
2,666,057 |
||||||
|
Verizon Communications, Inc. |
44,100 |
2,462,544 |
||||||
|
Telstra Corp., Ltd.†† |
287,500 |
1,201,577 |
||||||
|
Thomson Reuters Corp. |
27,900 |
1,128,924 |
||||||
|
Shaw Communications, Inc. — Class B |
57,700 |
1,107,734 |
||||||
|
Singapore Telecommunications Ltd.†† |
316,300 |
977,010 |
||||||
|
StarHub Ltd.†† |
322,700 |
910,633 |
||||||
|
BCE, Inc. |
19,100 |
903,997 |
||||||
|
Alphabet, Inc. — Class C* |
1,200 |
830,520 |
||||||
|
HKT Trust & HKT Ltd. |
573,000 |
825,714 |
||||||
|
CenturyLink, Inc. |
25,100 |
728,151 |
||||||
|
Singapore Press Holdings Ltd.*,†† |
230,800 |
680,173 |
||||||
|
Bezeq The Israeli Telecommunication Corporation Ltd.†† |
326,700 |
647,245 |
||||||
|
TELUS Corp. |
19,800 |
637,627 |
||||||
|
Frontier Communications Corp. |
74,000 |
365,560 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 21 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
Shares |
Value |
|||||||
|
Amazon.com, Inc.* |
500 |
$ |
357,810 |
|||||
|
TDC A/S†† |
63,300 |
310,143 |
||||||
|
Telia Company AB†† |
41,000 |
194,115 |
||||||
|
Comcast Corp. — Class A |
300 |
19,557 |
||||||
|
Total Communications |
16,955,091 |
|||||||
|
Consumer, Cyclical - 10.1% |
||||||||
|
Home Depot, Inc. |
16,100 |
2,055,809 |
||||||
|
Wal-Mart Stores, Inc. |
23,900 |
1,745,178 |
||||||
|
McDonald’s Corp. |
13,500 |
1,624,590 |
||||||
|
Mitsui & Company Ltd.†† |
122,500 |
1,462,163 |
||||||
|
Costco Wholesale Corp. |
8,800 |
1,381,952 |
||||||
|
Toyota Motor Corp.†† |
26,800 |
1,321,073 |
||||||
|
Next plc*,†† |
19,500 |
1,288,216 |
||||||
|
Darden Restaurants, Inc. |
17,800 |
1,127,452 |
||||||
|
Sankyo Company Ltd.†† |
27,300 |
1,023,461 |
||||||
|
Lawson, Inc.†† |
12,700 |
1,013,804 |
||||||
|
Yue Yuen Industrial Holdings Ltd.†† |
207,800 |
823,557 |
||||||
|
Berkeley Group Holdings plc†† |
20,200 |
681,836 |
||||||
|
FamilyMart Company Ltd.†† |
8,200 |
499,670 |
||||||
|
Compass Group plc†† |
18,200 |
346,018 |
||||||
|
Mitsubishi Corp.†† |
3,400 |
59,859 |
||||||
|
Total Consumer, Cyclical |
16,454,638 |
|||||||
|
Technology - 9.3% |
||||||||
|
International Business Machines Corp. |
12,700 |
1,927,606 |
||||||
|
Accenture plc — Class A |
14,900 |
1,688,021 |
||||||
|
Apple, Inc. |
16,800 |
1,606,080 |
||||||
|
Canon, Inc.†† |
54,500 |
1,555,836 |
||||||
|
CA, Inc. |
45,800 |
1,503,614 |
||||||
|
Paychex, Inc. |
23,500 |
1,398,250 |
||||||
|
Fidelity National Information Services, Inc. |
18,100 |
1,333,608 |
||||||
|
Linear Technology Corp. |
26,800 |
1,247,004 |
||||||
|
Oracle Corporation Japan†† |
20,000 |
1,066,358 |
||||||
|
Microsoft Corp. |
18,800 |
961,996 |
||||||
|
Seagate Technology plc |
37,000 |
901,320 |
||||||
|
Total Technology |
15,189,693 |
|||||||
|
Utilities - 6.6% |
||||||||
|
CLP Holdings Ltd.†† |
144,038 |
1,471,337 |
||||||
|
PPL Corp. |
38,800 |
1,464,700 |
||||||
|
Duke Energy Corp. |
15,500 |
1,329,745 |
||||||
|
Terna Rete Elettrica Nazionale SpA†† |
211,300 |
1,175,716 |
||||||
|
Snam SpA†† |
190,600 |
1,139,304 |
||||||
|
Dominion Resources, Inc. |
11,400 |
888,402 |
||||||
|
Southern Co. |
16,300 |
874,169 |
||||||
|
DTE Energy Co. |
7,300 |
723,576 |
||||||
|
CenterPoint Energy, Inc. |
25,200 |
604,800 |
||||||
|
SCANA Corp. |
7,200 |
544,752 |
||||||
|
Sempra Energy |
4,000 |
456,080 |
||||||
|
Fortis, Inc. |
4,700 |
158,887 |
||||||
|
Total Utilities |
10,831,468 |
|||||||
|
Industrial - 6.4% |
||||||||
|
Lockheed Martin Corp. |
7,100 |
1,762,007 |
||||||
|
3M Co. |
8,900 |
1,558,568 |
||||||
|
Waste Management, Inc. |
22,500 |
1,491,075 |
||||||
|
Republic Services, Inc. — Class A |
25,900 |
1,328,929 |
||||||
|
MTR Corporation Ltd.†† |
203,500 |
1,032,379 |
||||||
|
Garmin Ltd. |
20,000 |
848,400 |
||||||
|
Honeywell International, Inc. |
6,000 |
697,920 |
||||||
|
General Electric Co. |
10,400 |
327,392 |
||||||
|
CAE, Inc. |
26,300 |
317,809 |
||||||
|
Fraport AG Frankfurt Airport Services Worldwide†† |
5,400 |
289,074 |
||||||
|
Wolseley plc†† |
5,400 |
279,559 |
||||||
|
Atlantia SpA†† |
10,900 |
272,292 |
||||||
|
BAE Systems plc†† |
36,400 |
254,577 |
||||||
|
Total Industrial |
10,459,981 |
|||||||
|
Energy - 3.7% |
||||||||
|
Exxon Mobil Corp. |
18,200 |
1,706,068 |
||||||
|
BP plc†† |
248,300 |
1,453,260 |
||||||
|
Royal Dutch Shell plc — Class B†† |
39,000 |
1,077,513 |
||||||
|
Neste Oyj†† |
25,300 |
907,084 |
||||||
|
Eni SpA†† |
36,500 |
587,816 |
||||||
|
Rio Tinto plc†† |
7,200 |
223,630 |
||||||
|
Total Energy |
5,955,371 |
|||||||
|
Basic Materials - 0.8% |
||||||||
|
Potash Corporation of Saskatchewan, Inc. |
75,000 |
1,219,238 |
||||||
|
Total Common Stocks |
||||||||
|
(Cost $154,141,663) |
161,196,766 |
|||||||
|
SHORT TERM INVESTMENTS† - 0.6% |
||||||||
|
Goldman Sachs Financial Square Treasury Instruments Fund 0.19%1 |
971,270 |
971,270 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $971,270) |
971,270 |
|||||||
|
Total Investments - 99.5% |
||||||||
|
(Cost $155,112,933) |
$ |
162,168,036 |
||||||
|
Other Assets & Liabilities, net - 0.5% |
877,412 |
|||||||
|
Total Net Assets - 100.0% |
$ |
163,045,448 |
||||||
|
22 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
Contracts |
Unrealized |
|||||||
|
CURRENCY FUTURES CONTRACTS SOLD SHORT† |
||||||||
|
September 2016 British Pound |
62 |
$ |
(14,907 |
) |
||||
|
September 2016 Australian Dollar |
95 |
(52,493 |
) |
|||||
|
September 2016 Euro FX |
56 |
(54,271 |
) |
|||||
|
(Total Aggregate Value of Contracts $20,014,575) |
$ |
(121,671 |
) |
|||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
1 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 3 |
Total |
|||||||||||||||
|
Common Stocks |
$ |
102,338,345 |
$ |
— |
$ |
58,858,421 |
$ |
— |
$ |
161,196,766 |
||||||||||
|
Short Term Investments |
971,270 |
— |
— |
— |
971,270 |
|||||||||||||||
|
Total |
$ |
103,309,615 |
$ |
— |
$ |
58,858,421 |
$ |
— |
$ |
162,168,036 |
||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 1 - |
Level 2 |
Level 3 |
Total |
|||||||||||||||
|
Currency Futures Contracts |
$ |
— |
$ |
121,671 |
$ |
— |
$ |
— |
$ |
121,761 |
||||||||||
|
* |
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 the investment’s valuation changes. The Fund recognizes transfers between the levels as of the beginning of the period. As of June 30, 2016, Series D (World Equity Income Series) had transfers between Level 2 and Level 1 due to utilizing international fair value pricing during the period. There were no other securities that transferred between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 23 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $155,112,933) |
$ |
162,168,036 |
||
|
Foreign currency, at value (cost $66,171) |
66,123 |
|||
|
Segregated cash with broker |
516,300 |
|||
|
Prepaid expenses |
2,389 |
|||
|
Receivables: |
||||
|
Securities sold |
6,045,378 |
|||
|
Dividends |
557,134 |
|||
|
Foreign taxes reclaim |
517,193 |
|||
|
Variation margin |
32,048 |
|||
|
Fund shares sold |
8,232 |
|||
|
Total assets |
169,912,833 |
|||
|
Liabilities: |
||||
|
Overdraft due to custodian bank |
3,711 |
|||
|
Payable for: |
||||
|
Securities purchased |
6,625,675 |
|||
|
Management fees |
92,477 |
|||
|
Fund shares redeemed |
75,998 |
|||
|
Fund accounting/administration fees |
19,817 |
|||
|
Transfer agent/maintenance fees |
3,764 |
|||
|
Trustees’ fees* |
3,454 |
|||
|
Miscellaneous |
42,489 |
|||
|
Total liabilities |
6,867,385 |
|||
|
Commitments and contingent liabilities (Note15) |
— |
|||
|
Net assets |
$ |
163,045,448 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
204,218,977 |
||
|
Undistributed net investment income |
7,786,204 |
|||
|
Accumulated net realized loss on investments |
(55,895,630 |
) |
||
|
Net unrealized appreciation on investments |
6,935,897 |
|||
|
Net assets |
$ |
163,045,448 |
||
|
Capital shares outstanding |
12,572,226 |
|||
|
Net asset value per share |
$ |
12.97 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends (net of foreign withholding tax of $268,596) |
$ |
3,622,364 |
||
|
Other income |
806 |
|||
|
Total investment income |
3,623,170 |
|||
|
Expenses: |
||||
|
Management fees |
553,099 |
|||
|
Transfer agent/maintenance fees |
12,597 |
|||
|
Fund accounting/administration fees |
118,522 |
|||
|
Line of credit fees |
12,372 |
|||
|
Custodian fees |
11,811 |
|||
|
Tax expense |
207 |
|||
|
Trustees’ fees* |
18 |
|||
|
Miscellaneous |
26,816 |
|||
|
Total expenses |
735,442 |
|||
|
Net investment income |
2,887,728 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
(296,321 |
) |
||
|
Futures contracts |
(468,100 |
) |
||
|
Foreign currency |
13,944 |
|||
|
Net realized loss |
(750,477 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
8,757,075 |
|||
|
Futures contracts |
(121,671 |
) |
||
|
Foreign currency |
42,269 |
|||
|
Net change in unrealized appreciation (depreciation) |
8,677,673 |
|||
|
Net realized and unrealized gain |
7,927,196 |
|||
|
Net increase in net assets resulting from operations |
$ |
10,814,924 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
24 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
2,887,728 |
$ |
4,917,694 |
||||
|
Net realized loss on investments |
(750,477 |
) |
(2,047,178 |
) |
||||
|
Net change in unrealized appreciation (depreciation) on investments |
8,677,673 |
(3,729,132 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
10,814,924 |
(858,616 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(5,474,029 |
) |
|||||
|
Total distributions to shareholders |
— |
(5,474,029 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
8,990,706 |
5,158,083 |
||||||
|
Distributions reinvested |
— |
5,474,029 |
||||||
|
Cost of shares redeemed |
(14,823,536 |
) |
(24,784,500 |
) |
||||
|
Net decrease from capital share transactions |
(5,832,830 |
) |
(14,152,388 |
) |
||||
|
Net increase (decrease) in net assets |
4,982,094 |
(20,485,033 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
158,063,354 |
178,548,387 |
||||||
|
End of period |
$ |
163,045,448 |
$ |
158,063,354 |
||||
|
Undistributed net investment income at end of period |
$ |
7,786,204 |
$ |
4,898,476 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
742,142 |
409,045 |
||||||
|
Shares issued from reinvestment of distributions |
— |
437,922 |
||||||
|
Shares redeemed |
(1,207,687 |
) |
(1,982,543 |
) |
||||
|
Net decrease in shares |
(465,545 |
) |
(1,135,576 |
) |
||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 25 |
|
SERIES D (WORLD EQUITY INCOME SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
12.12 |
$ |
12.60 |
$ |
12.00 |
$ |
10.06 |
$ |
8.63 |
$ |
10.25 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.22 |
.36 |
.37 |
.28 |
.19 |
.12 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.63 |
(.43 |
) |
.23 |
1.66 |
1.24 |
(1.74 |
) |
||||||||||||||||
|
Total from investment operations |
.85 |
(.07 |
) |
.60 |
1.94 |
1.43 |
(1.62 |
) |
||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.41 |
) |
(— |
)c |
— |
— |
— |
||||||||||||||||
|
Total distributions |
— |
(.41 |
) |
(— |
)c |
— |
— |
— |
||||||||||||||||
|
Net asset value, end of period |
$ |
12.97 |
$ |
12.12 |
$ |
12.60 |
$ |
12.00 |
$ |
10.06 |
$ |
8.63 |
||||||||||||
|
Total Returnd |
7.01 |
% |
(0.67 |
%) |
5.00 |
% |
19.28 |
% |
16.57 |
% |
(15.80 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
163,045 |
$ |
158,063 |
$ |
178,548 |
$ |
193,594 |
$ |
185,233 |
$ |
185,747 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
3.65 |
% |
2.88 |
% |
2.95 |
% |
2.50 |
% |
2.03 |
% |
1.23 |
% |
||||||||||||
|
Total expensese |
0.93 |
% |
0.96 |
% |
1.01 |
% |
1.14 |
% |
1.17 |
% |
1.21 |
% |
||||||||||||
|
Portfolio turnover rate |
25 |
% |
110 |
% |
132 |
% |
150 |
% |
36 |
% |
171 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Distributions from net investment income are less than $0.01 per share. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
e |
Does not include expenses of the underlying funds in which the Fund invests. |
|
26 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES E (TOTAL RETURN BOND SERIES)
OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: April 26, 1985 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Total Return Bond Fund - Institutional Class |
4.2% |
|
U.S. Treasury Bonds |
3.8% |
|
Guggenheim Strategy Fund I |
2.4% |
|
Fannie Mae 2.13% due 04/24/26 |
1.7% |
|
Guggenheim Limited Duration Fund - Institutional Class |
1.6% |
|
GCAT LLC |
1.6% |
|
Willis Engine Securitization Trust II |
1.3% |
|
LSTAR Securities Investment Trust |
1.2% |
|
U.S. Treasury Notes |
1.1% |
|
LSTAR Securities Investment Trust |
1.0% |
|
Top Ten Total |
19.9% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
Portfolio Composition by Quality Rating1 |
|
|
Rating |
|
|
Fixed Income Instruments |
|
|
AAA |
16.1% |
|
AA |
11.0% |
|
A |
20.6% |
|
BBB |
12.6% |
|
BB |
7.5% |
|
B |
5.6% |
|
CCC |
3.7% |
|
CC |
0.3% |
|
NR2 |
12.8% |
|
Other Instruments |
9.8% |
|
Total Investments |
100.0% |
|
The chart above reflects percentages of the value of total investments. |
|
|
1 |
Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments converts ratings to the equivalent S&P rating. |
|
2 |
NR securities do not necessarily indicate low credit quality. |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 27 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
Shares |
Value |
|||||||
|
UNIT INVESTMENTS TRUSTS† - 0.1% |
||||||||
|
Rescap Liquidating Trust* |
9,655 |
$ |
86,895 |
|||||
|
Total Unit Investment Trusts |
||||||||
|
(Cost $487,486) |
86,895 |
|||||||
|
PREFERRED STOCKS†† - 0.9% |
||||||||
|
Financial - 0.5% |
||||||||
|
Woodbourne Capital Trust III 0.02%*,†††,1,3,8 |
300,000 |
154,389 |
||||||
|
Woodbourne Capital Trust IV 0.02%*,†††,1,3,8 |
300,000 |
154,389 |
||||||
|
Woodbourne Capital Trust I 0.01%*,†††,1,3,8 |
300,000 |
154,389 |
||||||
|
Woodbourne Capital Trust II 0.01%*,†††,1,3,8 |
300,000 |
154,389 |
||||||
|
Total Financial |
617,556 |
|||||||
|
Industrial - 0.4% |
||||||||
|
Seaspan Corp. 6.38% due 04/30/192 |
18,000 |
450,180 |
||||||
|
Total Preferred Stocks |
||||||||
|
(Cost $1,655,796) |
1,067,736 |
|||||||
|
MUTUAL FUNDS†,5 - 8.3% |
||||||||
|
Guggenheim Total Return Bond Fund - Institutional Class |
195,957 |
5,261,448 |
||||||
|
Guggenheim Strategy Fund I |
121,512 |
3,026,866 |
||||||
|
Guggenheim Limited Duration Fund - Institutional Class |
82,860 |
2,025,919 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $10,223,238) |
10,314,233 |
|||||||
|
SHORT TERM INVESTMENTS† - 0.9% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Shares 0.16%6 |
1,093,196 |
1,093,196 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $1,093,196) |
1,093,196 |
|||||||
|
Face |
||||||||
|
ASSET-BACKED SECURITIES†† - 34.9% |
||||||||
|
Collateralized Loan Obligations - 20.8% |
||||||||
|
OCP CLO Ltd. |
||||||||
|
2014-6A, 5.58% due 07/17/261,4 |
$ |
1,400,000 |
1,009,750 |
|||||
|
2016-11A, 3.03% due 04/26/281,4 |
1,000,000 |
996,735 |
||||||
|
ALM VII R-2 Ltd. |
||||||||
|
2013-7R2A, 3.24% due 04/24/241,4 |
1,250,000 |
1,240,860 |
||||||
|
Great Lakes CLO Ltd. |
||||||||
|
2012-1A, 4.73% due 01/15/231,4 |
1,000,000 |
979,202 |
||||||
|
2014-1A, 4.38% due 04/15/251,4 |
250,000 |
241,201 |
||||||
|
Grayson CLO Ltd. |
||||||||
|
2006-1A, 1.05% due 11/01/211,4 |
1,250,000 |
1,157,461 |
||||||
|
ACIS CLO Ltd. |
||||||||
|
2013-2A, 3.84% due 10/14/221,4 |
|
750,000 |
744,401 |
|||||
|
2013-1A, 3.58% due 04/18/241,4 |
400,000 |
365,517 |
||||||
|
WhiteHorse VIII Ltd. |
||||||||
|
2014-1A, 2.69% due 05/01/261,4 |
1,100,000 |
1,053,600 |
||||||
|
Oaktree EIF I Series A1 Ltd. |
||||||||
|
2016-A1, 3.23% due 10/18/271,4 |
1,000,000 |
997,404 |
||||||
|
Marathon CLO IV Ltd. |
||||||||
|
2012-4A, 3.64% due 05/20/231,4 |
1,000,000 |
996,991 |
||||||
|
Atrium XI |
||||||||
|
2014-11A, 3.84% due 10/23/251,4 |
1,000,000 |
986,156 |
||||||
|
Northwoods Capital XIV Ltd. |
||||||||
|
2014-14A, 3.09% due 11/12/251,4 |
1,000,000 |
980,000 |
||||||
|
Telos CLO Ltd. |
||||||||
|
2013-3A, 3.63% due 01/17/241,4 |
1,000,000 |
976,372 |
||||||
|
Fortress Credit Opportunities V CLO Ltd. |
||||||||
|
2014-5A, 3.28% due 10/15/261,4 |
1,000,000 |
976,307 |
||||||
|
Dryden 37 Senior Loan Fund |
||||||||
|
2015-37A, due 04/15/274,7 |
1,000,000 |
897,626 |
||||||
|
Rockwall CDO Ltd. |
||||||||
|
2007-1A, 1.19% due 08/01/241,4 |
900,000 |
838,714 |
||||||
|
MCF CLO I LLC |
||||||||
|
2013-1A, 4.18% due 04/20/231,4 |
750,000 |
701,916 |
||||||
|
Babson CLO Ltd. |
||||||||
|
2012-2A, due 05/15/234,7 |
750,000 |
372,241 |
||||||
|
2014-IA, due 07/20/254,7 |
550,000 |
274,220 |
||||||
|
Ivy Hill Middle Market Credit Fund VII Ltd. |
||||||||
|
2013-7A, 4.08% due 10/20/251,4 |
600,000 |
548,239 |
||||||
|
Black Diamond CLO Ltd. |
||||||||
|
2013-1A, 3.89% due 02/01/231,4 |
550,000 |
537,235 |
||||||
|
Cent CLO |
||||||||
|
2014-16A, 2.89% due 08/01/241,4 |
500,000 |
498,177 |
||||||
|
KKR Financial CLO Ltd. |
||||||||
|
2012-1A, 3.95% due 12/15/241,4 |
500,000 |
497,847 |
||||||
|
Newstar Trust |
||||||||
|
2012-2A, 3.88% due 01/20/231,4 |
500,000 |
494,680 |
||||||
|
Dryden XXIII Senior Loan Fund |
||||||||
|
2014-23A, 3.58% due 07/17/231,4 |
500,000 |
487,459 |
||||||
|
Venture CLO Ltd. |
||||||||
|
2013-14A, 3.42% due 08/28/251,4 |
500,000 |
483,175 |
||||||
|
Fortress Credit Opportunities III CLO, LP |
||||||||
|
2014-3A, 3.16% due 04/28/261,4 |
300,000 |
292,763 |
||||||
|
2014-3A, 3.88% due 04/28/261,4 |
200,000 |
181,581 |
||||||
|
Treman Park CLO Ltd. |
||||||||
|
2015-1Adue 04/20/274,7 |
500,000 |
455,184 |
||||||
|
MCF CLO III LLC |
||||||||
|
2014-3A, 3.17% due 01/20/241,4 |
500,000 |
454,575 |
||||||
|
Eastland CLO Ltd. |
||||||||
|
2007-1A, 1.04% due 05/01/221,4 |
400,000 |
369,814 |
||||||
|
KVK CLO Ltd. |
||||||||
|
2013-1A, due 04/14/254,7 |
900,000 |
323,283 |
||||||
|
Newstar Commercial Loan Funding LLC |
||||||||
|
2013-1A, 5.17% due 09/20/231,4 |
350,000 |
312,788 |
||||||
|
28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
Face |
Value |
|||||||
|
Halcyon Loan Advisors Funding Ltd. |
||||||||
|
2012-2A, 5.15% due 12/20/241,4 |
$ |
350,000 |
$ |
290,815 |
||||
|
Westwood CDO I Ltd. |
||||||||
|
2007-1A, 1.31% due 03/25/211,4 |
300,000 |
280,434 |
||||||
|
CIFC Funding Ltd. |
||||||||
|
2014-3X INC, due 07/22/267 |
500,000 |
275,907 |
||||||
|
TICC CLO LLC |
||||||||
|
2012-1A, 5.41% due 08/25/231,4 |
250,000 |
250,157 |
||||||
|
Gallatin CLO VII Ltd. |
||||||||
|
2014-1A, 3.53% due 07/15/231,4 |
250,000 |
246,886 |
||||||
|
ALM XIV Ltd. |
||||||||
|
2014-14A, 3.58% due 07/28/261,4 |
250,000 |
245,503 |
||||||
|
Garrison Funding Ltd. |
||||||||
|
2013-2A, 4.04% due 09/25/231,4 |
250,000 |
245,471 |
||||||
|
Golub Capital Partners CLO Ltd. |
||||||||
|
2013-17A, 4.47% due 10/25/251,4 |
250,000 |
243,406 |
||||||
|
NewStar Arlington Senior Loan Program LLC |
||||||||
|
2014-1A, 3.94% due 07/25/251,4 |
250,000 |
235,490 |
||||||
|
ICE EM CLO |
||||||||
|
2007-1A, 1.46% due 08/15/221,4 |
219,546 |
217,658 |
||||||
|
Carlyle Global Market Strategies CLO Ltd. |
||||||||
|
2012-3A, due 10/04/244,7 |
250,000 |
150,985 |
||||||
|
Keuka Park CLO Ltd. |
||||||||
|
2013-1A, due 10/21/244,7 |
250,000 |
131,024 |
||||||
|
Neuberger Berman CLO Ltd. |
||||||||
|
2012-12A, due 07/25/234,7 |
300,000 |
122,967 |
||||||
|
Copper River CLO Ltd. |
||||||||
|
2007-1A, due 01/20/211,4,7 |
600,000 |
110,287 |
||||||
|
Total Collateralized Loan Obligations |
25,770,464 |
|||||||
|
Transport-Aircraft - 8.1% |
||||||||
|
Apollo Aviation Securitization Equity Trust |
||||||||
|
2014-1, 5.12% due 12/15/291 |
1,105,769 |
1,067,620 |
||||||
|
2016-1A, 4.88% due 03/17/364 |
975,000 |
962,813 |
||||||
|
2014-1, 7.38% due 12/15/291 |
663,462 |
658,486 |
||||||
|
Castlelake Aircraft Securitization Trust |
||||||||
|
2015-1A, 4.70% due 12/15/404 |
939,397 |
933,232 |
||||||
|
2014-1, 5.25% due 02/15/294 |
501,410 |
495,393 |
||||||
|
2014-1, 7.50% due 02/15/294 |
249,126 |
246,386 |
||||||
|
Willis Engine Securitization Trust II |
||||||||
|
2012-A, 5.50% due 09/15/374 |
1,670,122 |
1,630,039 |
||||||
|
Emerald Aviation Finance Ltd. |
||||||||
|
2013-1, 4.65% due 10/15/384 |
976,930 |
972,045 |
||||||
|
2013-1, 6.35% due 10/15/384 |
195,386 |
191,478 |
||||||
|
Rise Ltd. |
||||||||
|
2014-1, 4.74% due 02/12/39 |
982,292 |
968,540 |
||||||
|
AIM Aviation Finance Ltd. |
||||||||
|
2015-1A, 4.21% due 02/15/404 |
904,762 |
895,467 |
||||||
|
Turbine Engines Securitization Ltd. |
||||||||
|
2013-1A, 5.13% due 12/13/484 |
778,778 |
765,888 |
||||||
|
AABS Ltd. |
||||||||
|
2013-1, 4.87% due 01/15/38 |
293,671 |
291,468 |
||||||
|
Total Transport-Aircraft |
10,078,855 |
|||||||
|
Collateralized Debt Obligations - 4.2% |
||||||||
|
Gramercy Real Estate CDO Ltd. |
||||||||
|
2007-1A, 0.91% due 08/15/561,4 |
|
815,472 |
753,370 |
|||||
|
2006-1A, 1.01% due 07/25/411,4 |
329,010 |
321,873 |
||||||
|
FDF II Ltd. |
||||||||
|
2016-2A, 4.29% due 05/12/314 |
1,000,000 |
1,018,539 |
||||||
|
Putnam Structured Product Funding Ltd. |
||||||||
|
2003-1A, 1.44% due 10/15/381,4 |
1,000,000 |
844,423 |
||||||
|
Triaxx Prime CDO Ltd. |
||||||||
|
2006-2A, 0.73% due 10/02/391,4 |
803,065 |
758,878 |
||||||
|
RAIT CRE CDO I Ltd. |
||||||||
|
2006-1X A1B, 0.76% due 11/20/46 |
589,186 |
553,935 |
||||||
|
N-Star REL CDO VIII Ltd. |
||||||||
|
2006-8A, 0.83% due 02/01/411,4 |
500,000 |
473,734 |
||||||
|
SRERS Funding Ltd. |
||||||||
|
2011-RS, 0.72% due 05/09/461,4 |
418,596 |
406,383 |
||||||
|
N-Star Real Estate CDO IX Ltd. |
||||||||
|
0.77% due 02/01/412 |
134,140 |
132,035 |
||||||
|
Total Collateralized Debt Obligations |
5,263,170 |
|||||||
|
Whole Business - 0.8% |
||||||||
|
Taco Bell Funding LLC |
||||||||
|
2016-1A, 4.97% due 05/25/464 |
1,000,000 |
1,025,500 |
||||||
|
Insurance - 0.5% |
||||||||
|
Chesterfield Financial Holdings LLC |
||||||||
|
2014-1A, 4.50% due 12/15/344 |
657,000 |
653,387 |
||||||
|
Financial - 0.5% |
||||||||
|
Garanti Diversified Payment Rights Finance Co. |
||||||||
|
2007-A, 0.82% due 07/09/171 |
400,000 |
393,558 |
||||||
|
CIC Receivables Master Trust |
||||||||
|
REGD, 4.89% due 10/07/21†††,2 |
200,000 |
203,112 |
||||||
|
Total Financial |
596,670 |
|||||||
|
Total Asset-Backed Securities |
||||||||
|
(Cost $44,180,101) |
43,388,046 |
|||||||
|
COLLATERALIZED MORTGAGE OBLIGATION†† - 22.9% |
||||||||
|
Residential Mortgage Backed Securities - 18.0% |
||||||||
|
LSTAR Securities Investment Trust |
||||||||
|
2014-1, 3.57% due 09/01/211,4 |
1,544,145 |
1,528,702 |
||||||
|
2015-4, 2.46% due 04/01/201,4 |
1,291,069 |
1,265,247 |
||||||
|
2015-1, 2.47% due 01/01/201,4 |
1,233,532 |
1,196,668 |
||||||
|
2016-2, 2.46% due 03/01/211,4 |
1,111,296 |
1,080,567 |
||||||
|
2015-5, 2.47% due 04/01/201,4 |
982,475 |
964,054 |
||||||
|
2015-3, 2.46% due 03/01/201,4 |
919,059 |
904,981 |
||||||
|
2015-2, 2.46% due 01/01/201,4 |
648,412 |
637,065 |
||||||
|
GCAT LLC |
||||||||
|
2014-2, 3.72% due 10/25/194 |
1,947,617 |
1,936,300 |
||||||
|
CSMC Series |
||||||||
|
2015-12R, 0.95% due 11/30/371,4 |
1,150,000 |
1,020,886 |
||||||
|
CIT Mortgage Loan Trust |
||||||||
|
2007-1, 1.90% due 10/25/371,4 |
1,027,714 |
969,757 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 29 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
Face |
Value |
|||||||
|
Wachovia Asset Securitization Issuance II LLC Trust |
||||||||
|
2007-HE2A, 0.58% due 07/25/371,4 |
$ |
1,117,171 |
$ |
966,485 |
||||
|
GSAA Trust |
||||||||
|
2005-10, 1.10% due 06/25/351 |
1,050,000 |
948,883 |
||||||
|
VOLT XLI LLC |
||||||||
|
2016-NPL1, 4.25% due 02/26/464 |
931,924 |
931,730 |
||||||
|
American Home Mortgage Assets Trust |
||||||||
|
2007-1, 1.14% due 02/25/471 |
1,630,074 |
889,564 |
||||||
|
VOLT XL LLC |
||||||||
|
2015-NP14, 4.38% due 11/27/454 |
868,136 |
871,468 |
||||||
|
Banc of America Funding Ltd. |
||||||||
|
2013-R1, 0.69% due 11/03/411,4 |
947,022 |
862,092 |
||||||
|
American Home Mortgage Investment Trust |
||||||||
|
2006-1, 0.85% due 03/25/461 |
1,048,561 |
838,164 |
||||||
|
VOLT XXXVI LLC |
||||||||
|
2015-NP10, 3.63% due 07/25/454 |
839,333 |
833,532 |
||||||
|
Nationstar HECM Loan Trust |
||||||||
|
2016-1A, 2.98% due 02/25/264 |
808,342 |
809,344 |
||||||
|
Luminent Mortgage Trust |
||||||||
|
2006-2, 0.65% due 02/25/461 |
1,172,006 |
790,072 |
||||||
|
HarborView Mortgage Loan Trust |
||||||||
|
2006-14, 0.60% due 01/25/471 |
850,031 |
640,229 |
||||||
|
NRPL Trust |
||||||||
|
2015-1A, 3.88% due 11/01/544 |
614,312 |
612,759 |
||||||
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust |
||||||||
|
2006-AR9, 1.28% due 11/25/461 |
523,719 |
345,656 |
||||||
|
UCFC Manufactured Housing Contract |
||||||||
|
1997-2, 7.38% due 10/15/28 |
225,237 |
229,773 |
||||||
|
Nomura Resecuritization Trust |
||||||||
|
2012-1R, 0.89% due 08/27/471,4 |
139,778 |
132,901 |
||||||
|
Morgan Stanley Re-REMIC Trust |
||||||||
|
2010-R5, 0.97% due 06/26/361,4 |
155,273 |
112,530 |
||||||
|
JPMorgan Mortgage Trust |
||||||||
|
2006-A3, 2.88% due 04/25/361 |
51,467 |
43,199 |
||||||
|
Total Residential Mortgage Backed Securities |
22,362,608 |
|||||||
|
Commercial Mortgage Backed Securities - 4.3% |
||||||||
|
Hilton USA Trust |
||||||||
|
2013-HLT, 4.41% due 11/05/304 |
950,000 |
955,638 |
||||||
|
2013-HLT, 5.22% due 11/05/301,4 |
300,000 |
301,885 |
||||||
|
Citigroup Commercial Mortgage Trust |
||||||||
|
2016-GC36, 4.92% due 02/10/491 |
1,100,000 |
1,140,463 |
||||||
|
GS Mortgage Securities Corporation Trust |
||||||||
|
2016-ICE2, 4.69% due 02/15/331,4 |
1,000,000 |
1,001,192 |
||||||
|
Wells Fargo Commercial Mortgage Trust |
||||||||
|
2016-C32, 1.52% due 01/15/591 |
5,336,342 |
499,572 |
||||||
|
2016-NXS5, 1.74% due 01/15/591 |
4,986,141 |
490,866 |
||||||
|
COMM Mortgage Trust |
||||||||
|
2015-CR26, 1.21% due 10/10/481 |
6,971,110 |
486,451 |
||||||
|
CFCRE Commercial Mortgage Trust |
||||||||
|
2016-C3, 1.26% due 01/10/481 |
|
5,981,085 |
462,654 |
|||||
|
Total Commercial Mortgage Backed Securities |
5,338,721 |
|||||||
|
Mortgage Securities - 0.4% |
||||||||
|
Citigroup Commercial Mortgage Trust |
||||||||
|
2016-GC37, 1.98% due 04/10/491 |
3,846,437 |
509,776 |
||||||
|
Military Housing - 0.2% |
||||||||
|
GMAC Commercial Mortgage Asset Corp. |
||||||||
|
2003-PRES, 6.24% due 10/10/41†††,8 |
235,854 |
253,495 |
||||||
|
Total Collateralized Mortgage Obligation |
||||||||
|
(Cost $28,744,181) |
28,464,600 |
|||||||
|
CORPORATE BONDS†† - 15.8% |
||||||||
|
Financial - 5.9% |
||||||||
|
Citigroup, Inc. |
||||||||
|
5.95%1,3 |
870,000 |
849,232 |
||||||
|
6.25%1,3 |
450,000 |
462,374 |
||||||
|
AmTrust Financial Services, Inc. |
||||||||
|
6.12% due 08/15/232 |
868,000 |
897,353 |
||||||
|
Hospitality Properties Trust |
||||||||
|
5.25% due 02/15/269 |
700,000 |
737,687 |
||||||
|
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp. |
||||||||
|
5.88% due 02/01/22 |
600,000 |
565,578 |
||||||
|
Teachers Insurance & Annuity Association of America |
||||||||
|
4.90% due 09/15/444,9 |
500,000 |
561,201 |
||||||
|
GMH Military Housing-Navy Northeast LLC |
||||||||
|
6.30% due 10/15/49†††, 2 |
485,000 |
531,432 |
||||||
|
Pacific Northwest Communities LLC |
||||||||
|
5.91% due 06/15/508 |
400,000 |
462,116 |
||||||
|
Corporation Financiera de Desarrollo S.A. |
||||||||
|
5.25% due 07/15/291,4,9 |
450,000 |
461,250 |
||||||
|
Fifth Third Bancorp |
||||||||
|
4.90%1,3 |
500,000 |
437,500 |
||||||
|
Wilton Re Finance LLC |
||||||||
|
5.87% due 03/30/331,4 |
375,000 |
385,230 |
||||||
|
Atlantic Marine Corporations Communities LLC |
||||||||
|
5.43% due 12/01/508 |
334,673 |
358,716 |
||||||
|
ACC Group Housing LLC |
||||||||
|
6.35% due 07/15/54†††,8 |
250,000 |
295,325 |
||||||
|
Bank of America Corp. |
||||||||
|
6.30% 1,3 |
250,000 |
265,625 |
||||||
|
Cadence Bank North America |
||||||||
|
6.25% due 06/28/291,8 |
150,000 |
114,000 |
||||||
|
Total Financial |
7,384,619 |
|||||||
|
Energy - 2.8% |
||||||||
|
Husky Energy, Inc. |
||||||||
|
3.95% due 04/15/22 |
700,000 |
723,998 |
||||||
|
4.00% due 04/15/24 |
300,000 |
304,757 |
||||||
|
30 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
Face |
Value |
|||||||
|
Sunoco Logistics Partners Operations, LP |
||||||||
|
5.95% due 12/01/259 |
$ |
750,000 |
$ |
842,143 |
||||
|
4.25% due 04/01/24 |
150,000 |
151,520 |
||||||
|
Halliburton Co. |
||||||||
|
4.85% due 11/15/359 |
450,000 |
487,283 |
||||||
|
Gulfstream Natural Gas System LLC |
||||||||
|
4.60% due 09/15/254 |
300,000 |
313,032 |
||||||
|
EQT Corp. |
||||||||
|
4.88% due 11/15/21 |
250,000 |
265,831 |
||||||
|
Hess Corp. |
||||||||
|
8.13% due 02/15/19 |
150,000 |
167,161 |
||||||
|
Sabine Pass Liquefaction LLC |
||||||||
|
5.88% due 06/30/264 |
150,000 |
150,563 |
||||||
|
Magellan Midstream Partners, LP |
||||||||
|
5.00% due 03/01/26 |
100,000 |
113,124 |
||||||
|
Total Energy |
3,519,412 |
|||||||
|
Communications - 1.9% |
||||||||
|
Sprint Communications, Inc. |
||||||||
|
9.00% due 11/15/184 |
400,000 |
426,000 |
||||||
|
7.00% due 03/01/204 |
350,000 |
366,447 |
||||||
|
Neptune Finco Corp. |
||||||||
|
6.63% due 10/15/254 |
500,000 |
525,000 |
||||||
|
Avaya, Inc. |
||||||||
|
7.00% due 04/01/194 |
537,000 |
383,955 |
||||||
|
DISH DBS Corp. |
||||||||
|
5.88% due 11/15/24 |
325,000 |
302,250 |
||||||
|
CSC Holdings LLC |
||||||||
|
6.75% due 11/15/21 |
200,000 |
204,000 |
||||||
|
T-Mobile USA, Inc. |
||||||||
|
6.00% due 04/15/24 |
150,000 |
155,250 |
||||||
|
Total Communications |
2,362,902 |
|||||||
|
Basic Materials - 1.7% |
||||||||
|
Yamana Gold, Inc. |
||||||||
|
4.95% due 07/15/24 |
865,000 |
850,987 |
||||||
|
Newcrest Finance Pty Ltd. |
||||||||
|
4.20% due 10/01/224 |
560,000 |
567,097 |
||||||
|
4.45% due 11/15/214 |
100,000 |
103,005 |
||||||
|
BHP Billiton Finance USA Ltd. |
||||||||
|
6.75% due 10/19/751,4 |
500,000 |
531,250 |
||||||
|
Total Basic Materials |
2,052,339 |
|||||||
|
Consumer, Non-cyclical - 1.5% |
||||||||
|
Vector Group Ltd. |
||||||||
|
7.75% due 02/15/21 |
425,000 |
442,531 |
||||||
|
7.75% due 02/15/214 |
50,000 |
52,063 |
||||||
|
ADT Corp. |
||||||||
|
3.50% due 07/15/22 |
400,000 |
366,500 |
||||||
|
HRG Group, Inc. |
||||||||
|
7.88% due 07/15/19 |
325,000 |
340,844 |
||||||
|
HCA, Inc. |
||||||||
|
5.88% due 02/15/26 |
250,000 |
259,375 |
||||||
|
Central Garden & Pet Co. |
||||||||
|
6.13% due 11/15/23 |
|
240,000 |
249,600 |
|||||
|
Tenet Healthcare Corp. |
||||||||
|
4.15% due 06/15/201 |
200,000 |
197,500 |
||||||
|
Total Consumer, Non-cyclical |
1,908,413 |
|||||||
|
Industrial - 1.1% |
||||||||
|
ConocoPhillips |
||||||||
|
6.50% due 02/01/39 |
650,000 |
838,695 |
||||||
|
Molex Electronic Technologies LLC |
||||||||
|
3.90% due 04/15/254,9 |
300,000 |
306,166 |
||||||
|
SBM Baleia Azul |
||||||||
|
5.50% due 09/15/27†††,2 |
248,970 |
188,765 |
||||||
|
Total Industrial |
1,333,626 |
|||||||
|
Consumer, Cyclical - 0.6% |
||||||||
|
Northern Group Housing LLC |
||||||||
|
6.80% due 08/15/538 |
600,000 |
716,448 |
||||||
|
Utilities - 0.3% |
||||||||
|
AES Corp. |
||||||||
|
6.00% due 05/15/26 |
400,000 |
408,500 |
||||||
|
Total Corporate Bonds |
||||||||
|
(Cost $19,145,121) |
19,686,259 |
|||||||
|
FEDERAL AGENCY NOTES†† - 6.2% |
||||||||
|
Fannie Mae10 |
||||||||
|
2.13% due 04/24/26 |
2,000,000 |
2,054,105 |
||||||
|
Fannie Mae Principal10 |
||||||||
|
0.00% due 05/15/2911 |
1,250,000 |
895,969 |
||||||
|
0.00% due 05/15/3011 |
850,000 |
595,146 |
||||||
|
0.00% due 01/15/3011 |
600,000 |
423,582 |
||||||
|
Total Fannie Mae Principal |
1,914,697 |
|||||||
|
Freddie Mac Strips10 |
||||||||
|
0.00% due 03/15/3111 |
1,500,000 |
1,024,118 |
||||||
|
0.00% due 07/15/3211 |
800,000 |
522,570 |
||||||
|
Total Freddie Mac Strips |
1,546,688 |
|||||||
|
Freddie Mac10 |
||||||||
|
0.00% due 12/14/2911 |
1,600,000 |
1,142,433 |
||||||
|
Tennessee Valley Authority |
||||||||
|
5.38% due 04/01/56 |
750,000 |
1,042,973 |
||||||
|
Total Federal Agency Notes |
||||||||
|
(Cost $7,197,591) |
7,700,896 |
|||||||
|
U.S. GOVERNMENT SECURITIES†† - 4.9% |
||||||||
|
U.S. Treasury Bonds |
||||||||
|
0.00% due 11/15/4411 |
9,488,000 |
4,751,050 |
||||||
|
U.S. Treasury Notes |
||||||||
|
1.63% due 05/15/269 |
1,319,000 |
1,335,127 |
||||||
|
Total U.S. Government Securities |
||||||||
|
(Cost $5,692,043) |
6,086,177 |
|||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 31 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
Face |
Value |
|||||||
|
SENIOR FLOATING RATE INTERESTS††,1 - 4.7% |
||||||||
|
Industrial - 1.4% |
||||||||
|
Capstone Logistics |
||||||||
|
5.50% due 10/07/21 |
$ |
702,789 |
$ |
686,394 |
||||
|
Travelport Holdings LLC |
||||||||
|
5.00% due 09/02/21 |
497,454 |
494,346 |
||||||
|
Berry Plastics Corp. |
||||||||
|
3.75% due 10/01/22 |
487,145 |
483,218 |
||||||
|
CareCore National LLC |
||||||||
|
5.50% due 03/05/21 |
92,654 |
85,473 |
||||||
|
Total Industrial |
1,749,431 |
|||||||
|
Technology - 1.1% |
||||||||
|
Avago Technologies Ltd. |
||||||||
|
4.25% due 02/01/23 |
423,938 |
424,137 |
||||||
|
EIG Investors Corp. |
||||||||
|
6.00% due 02/09/232 |
422,864 |
395,378 |
||||||
|
Greenway Medical Technologies |
||||||||
|
6.00% due 11/04/202 |
341,250 |
324,757 |
||||||
|
Solera LLC |
||||||||
|
5.75% due 03/03/23 |
250,000 |
249,583 |
||||||
|
Total Technology |
1,393,855 |
|||||||
|
Consumer, Cyclical - 0.8% |
||||||||
|
Petsmart, Inc. |
||||||||
|
4.25% due 03/11/22 |
498,741 |
496,187 |
||||||
|
Neiman Marcus Group, Inc. |
||||||||
|
4.25% due 10/25/20 |
341,270 |
305,900 |
||||||
|
Acosta, Inc. |
||||||||
|
4.25% due 09/26/21 |
199,712 |
191,724 |
||||||
|
Total Consumer, Cyclical |
993,811 |
|||||||
|
Consumer, Non-cyclical - 0.7% |
||||||||
|
Albertson’s LLC |
||||||||
|
4.75% due 12/21/22 |
498,750 |
497,818 |
||||||
|
Pharmaceutical Product Development |
||||||||
|
4.25% due 08/18/22 |
229,421 |
227,069 |
||||||
|
NES Global Talent |
||||||||
|
6.50% due 10/03/192 |
123,996 |
107,876 |
||||||
|
Total Consumer, Non-cyclical |
832,763 |
|||||||
|
Financial - 0.6% |
||||||||
|
Global Payments, Inc. |
||||||||
|
3.96% due 04/22/23 |
400,000 |
401,699 |
||||||
|
Magic Newco, LLC |
||||||||
|
5.00% due 12/12/18 |
242,452 |
242,149 |
||||||
|
American Stock Transfer & Trust |
||||||||
|
5.75% due 06/26/20 |
94,909 |
92,695 |
||||||
|
Total Financial |
736,543 |
|||||||
|
Communications - 0.1% |
||||||||
|
MergerMarket Ltd. |
||||||||
|
4.50% due 02/04/21 |
|
97,750 |
94,329 |
|||||
|
Total Senior Floating Rate Interests |
||||||||
|
(Cost $5,842,160) |
5,800,732 |
|||||||
|
MUNICIPAL BONDS†† - 2.6% |
||||||||
|
Illinois - 1.0% |
||||||||
|
State of Illinois General Obligation Unlimited |
||||||||
|
6.90% due 03/01/35 |
500,000 |
550,105 |
||||||
|
5.65% due 12/01/38 |
400,000 |
402,916 |
||||||
|
City of Chicago Illinois General Obligation Unlimited |
||||||||
|
5.43% due 01/01/42 |
300,000 |
255,252 |
||||||
|
Total Illinois |
1,208,273 |
|||||||
|
California - 0.8% |
||||||||
|
State of California General Obligation Unlimited |
||||||||
|
7.60% due 11/01/40 |
650,000 |
1,046,558 |
||||||
|
Michigan - 0.8% |
||||||||
|
Detroit City School District General Obligation Unlimited |
||||||||
|
7.75% due 05/01/39 |
750,000 |
978,428 |
||||||
|
Total Municipal Bonds |
||||||||
|
(Cost $3,168,270) |
3,233,259 |
|||||||
|
FOREIGN GOVERNMENT BONDS†† - 1.0% |
||||||||
|
Kenya Government International Bond |
||||||||
|
6.87% due 06/24/244,9 |
700,000 |
647,234 |
||||||
|
Dominican Republic International Bond |
||||||||
|
6.85% due 01/27/454,9 |
600,000 |
621,000 |
||||||
|
Total Foreign Government Bonds |
||||||||
|
(Cost $1,347,322) |
1,268,234 |
|||||||
|
Total Investments - 103.2% |
||||||||
|
(Cost $128,776,505) |
$ |
128,190,263 |
||||||
|
Other Assets & Liabilities, net - (3.2)% |
(3,939,498 |
) |
||||||
|
Total Net Assets - 100.0% |
$ |
124,250,765 |
||||||
|
32 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
Variable rate security. Rate indicated is rate effective at June 30, 2016. |
|
2 |
Illiquid security. |
|
3 |
Perpetual maturity. |
|
4 |
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $65,139,661 (cost $67,154,247), or 54.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
|
5 |
Affiliated issuer — See Note 8. |
|
6 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
7 |
Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates. |
|
8 |
Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,817,656 (cost $3,152,780) or 2.3% of total net assets — See Note 13. |
|
9 |
Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 12. |
|
10 |
On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
|
11 |
Zero coupon rate security. |
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Asset-Backed Securities |
$ |
— |
$ |
43,184,934 |
$ |
203,112 |
$ |
43,388,046 |
||||||||
|
Collateralized Mortgage Obligations |
— |
28,211,105 |
253,495 |
28,464,600 |
||||||||||||
|
Unit Investment Trusts |
86,895 |
— |
— |
86,895 |
||||||||||||
|
Corporate Bonds |
— |
18,670,737 |
1,015,522 |
19,686,259 |
||||||||||||
|
Federal Agency Notes |
— |
7,700,896 |
— |
7,700,896 |
||||||||||||
|
Foreign Government Bonds |
— |
1,268,234 |
— |
1,268,234 |
||||||||||||
|
Municipal Bonds |
— |
3,233,259 |
— |
3,233,259 |
||||||||||||
|
Mutual Funds |
10,314,233 |
— |
— |
10,314,233 |
||||||||||||
|
Preferred Stocks |
— |
450,180 |
617,556 |
1,067,736 |
||||||||||||
|
Senior Floating Rate Interests |
— |
5,800,732 |
— |
5,800,732 |
||||||||||||
|
Short Term Investments |
1,093,196 |
— |
— |
1,093,196 |
||||||||||||
|
U.S. Government Securities |
— |
6,086,177 |
— |
6,086,177 |
||||||||||||
|
Total |
$ |
11,494,324 |
$ |
114,606,254 |
$ |
2,089,685 |
$ |
128,190,263 |
||||||||
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investments’ valuation changes. The Fund recognizes transfers between the levels as of the beginning of the period. As of June 30, 2016, Series E (Total Return Bond Series) had a security with a total value of $727,056 transfer out of Level 3 into Level 2 due to changes in the securities valuation method using observable market inputs. There were no other securities that transferred between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 33 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $118,553,267) |
$ |
117,876,030 |
||
|
Investments in affiliated issuers, at value (cost $10,223,238) |
10,314,233 |
|||
|
Total investments (cost $128,776,505) |
128,190,263 |
|||
|
Cash |
818,455 |
|||
|
Prepaid expenses |
1,832 |
|||
|
Receivables: |
||||
|
Interest |
668,725 |
|||
|
Securities sold |
660,280 |
|||
|
Fund shares sold |
30,095 |
|||
|
Dividends |
22,615 |
|||
|
Total assets |
130,392,265 |
|||
|
Liabilities: |
||||
|
Reverse Repurchase Agreements |
5,422,889 |
|||
|
Payable for: |
||||
|
Securities purchased |
547,233 |
|||
|
Management fees |
36,466 |
|||
|
Fund shares redeemed |
26,790 |
|||
|
Distribution and service fees |
25,154 |
|||
|
Interest from reverse repurchase agreements |
14,878 |
|||
|
Fund accounting/administration fees |
9,559 |
|||
|
Transfer agent/maintenance fees |
3,959 |
|||
|
Trustees’ fees* |
1,419 |
|||
|
Miscellaneous |
53,153 |
|||
|
Total liabilities |
6,141,500 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
124,250,765 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
124,685,449 |
||
|
Undistributed net investment income |
6,967,954 |
|||
|
Accumulated net realized loss on investments |
(6,816,396 |
) |
||
|
Net unrealized depreciation on investments |
(586,242 |
) |
||
|
Net assets |
$ |
124,250,765 |
||
|
Capital shares outstanding |
7,563,020 |
|||
|
Net asset value per share |
$ |
16.43 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Interest |
$ |
2,720,638 |
||
|
Dividends from securities of affiliated issuers |
174,228 |
|||
|
Dividends from securities of unaffiliated issuers |
32,060 |
|||
|
Total investment income |
2,926,926 |
|||
|
Expenses: |
||||
|
Management fees |
286,658 |
|||
|
Transfer agent/maintenance fees |
12,639 |
|||
|
Distribution and service fees |
143,329 |
|||
|
Fund accounting/administration fees |
54,464 |
|||
|
Short interest expense |
33,599 |
|||
|
Line of credit fees |
8,483 |
|||
|
Trustees’ fees* |
18 |
|||
|
Custodian fees |
18 |
|||
|
Miscellaneous |
49,426 |
|||
|
Total expenses |
588,634 |
|||
|
Less: |
||||
|
Expenses waived by Adviser |
(102,037 |
) |
||
|
Net expenses |
486,597 |
|||
|
Net investment income |
2,440,329 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
1,099,201 |
|||
|
Investments in affiliated issuers |
(322,988 |
) |
||
|
Net realized gain |
776,213 |
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
1,792,156 |
|||
|
Investments in affiliated issuers |
453,830 |
|||
|
Net change in unrealized appreciation (depreciation) |
2,245,986 |
|||
|
Net realized and unrealized gain |
3,022,199 |
|||
|
Net increase in net assets resulting from operations |
$ |
5,462,528 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
34 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
2,440,329 |
$ |
4,741,542 |
||||
|
Net realized gain on investments |
776,213 |
21,757 |
||||||
|
Net change in unrealized appreciation (depreciation) on investments |
2,245,986 |
(3,373,731 |
) |
|||||
|
Net increase in net assets resulting from operations |
5,462,528 |
1,389,568 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(2,550,797 |
) |
|||||
|
Total distributions to shareholders |
— |
(2,550,797 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
28,500,526 |
45,993,430 |
||||||
|
Distributions reinvested |
— |
2,550,797 |
||||||
|
Cost of shares redeemed |
(21,686,681 |
) |
(63,058,796 |
) |
||||
|
Net increase (decrease) from capital share transactions |
6,813,845 |
(14,514,569 |
) |
|||||
|
Net increase (decrease) in net assets |
12,276,373 |
(15,675,798 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
111,974,392 |
127,650,190 |
||||||
|
End of period |
$ |
124,250,765 |
$ |
111,974,392 |
||||
|
Undistributed net investment income at end of period |
$ |
6,967,954 |
$ |
4,527,625 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
1,789,824 |
2,901,918 |
||||||
|
Shares issued from reinvestment of distributions |
— |
162,782 |
||||||
|
Shares redeemed |
(1,365,760 |
) |
(3,957,752 |
) |
||||
|
Net increase (decrease) in shares |
424,064 |
(893,052 |
) |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 35 |
|
SERIES E (TOTAL RETURN BOND SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
15.68 |
$ |
15.89 |
$ |
14.70 |
$ |
14.45 |
$ |
13.65 |
$ |
12.98 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.34 |
.67 |
.58 |
.54 |
.38 |
.34 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.41 |
(.50 |
) |
.61 |
(.29 |
) |
.42 |
.33 |
||||||||||||||||
|
Total from investment operations |
.75 |
.17 |
1.19 |
.25 |
.80 |
.67 |
||||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.38 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(.38 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
16.43 |
$ |
15.68 |
$ |
15.89 |
$ |
14.70 |
$ |
14.45 |
$ |
13.65 |
||||||||||||
|
Total Returnc |
4.72 |
% |
1.15 |
% |
8.10 |
% |
1.73 |
% |
5.86 |
% |
5.16 |
% |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
124,251 |
$ |
111,974 |
$ |
127,650 |
$ |
94,123 |
$ |
112,791 |
$ |
123,575 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
4.26 |
% |
4.19 |
% |
3.72 |
% |
3.69 |
% |
2.75 |
% |
2.57 |
% |
||||||||||||
|
Total expensesd |
1.03 |
% |
1.05 |
% |
1.05 |
% |
1.07 |
% |
0.94 |
% |
0.92 |
% |
||||||||||||
|
Net expensese,f |
0.85 |
% |
0.83 |
% |
0.85 |
% |
0.87 |
% |
0.81 |
% |
0.81 |
% |
||||||||||||
|
Portfolio turnover rate |
54 |
% |
85 |
% |
62 |
% |
109 |
% |
79 |
% |
49 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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 |
Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the operating ratios for the periods would be: |
|
06/30/16 |
12/31/15 |
12/31/14 |
12/31/13 |
||
|
0.78% |
0.78% |
0.79% |
0.81% |
|
36 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES F (FLOATING RATE STRATEGIES SERIES)
OBJECTIVE: Seeks to provide a high level of income while maximizing total return.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: April 24, 2013 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
National Financial Partners Corp. |
2.2% |
|
The Active Network, Inc. |
2.1% |
|
Gates Global, Inc. |
1.8% |
|
Numericable US LLC |
1.7% |
|
Phillips-Medsize Corp. |
1.7% |
|
Fitness International LLC |
1.7% |
|
Assured Partners, Inc. |
1.7% |
|
Cengage Learning Acquisitions, Inc. |
1.6% |
|
Neptune Finco Corp. |
1.5% |
|
Diebold, Inc. |
1.5% |
|
Top Ten Total |
17.5% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
Portfolio Composition by Quality Rating1 |
|
|
Rating |
|
|
Fixed Income Instruments |
|
|
AA |
1.3% |
|
A |
1.5% |
|
BBB |
4.5% |
|
BB |
26.4% |
|
B |
55.9% |
|
CCC |
2.7% |
|
NR2 |
1.1% |
|
Other Instruments |
6.6% |
|
Total Investments |
100.0% |
|
The chart above reflects percentages of the value of total investments. |
|
|
1 |
Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments converts ratings to the equivalent S&P rating. |
|
2 |
NR securities do not necessarily indicate low credit quality. |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 37 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
Shares |
Value |
|||||||
|
SHORT TERM INVESTMENTS† - 6.2% |
||||||||
|
Federated U.S. Treasury Cash Reserve Fund 0.17%1 |
2,080,852 |
$ |
2,080,852 |
|||||
|
Total Short Term Investments |
||||||||
|
(Cost $2,080,852) |
2,080,852 |
|||||||
|
Face |
||||||||
|
SENIOR FLOATING RATE INTERESTS††,3 - 79.9% |
||||||||
|
Consumer, Cyclical - 18.3% |
||||||||
|
Gates Global, Inc. |
||||||||
|
4.25% due 07/05/21 |
$ |
655,675 |
620,569 |
|||||
|
Fitness International LLC |
||||||||
|
5.50% due 07/01/20 |
578,413 |
572,085 |
||||||
|
PETCO Animal Supplies, Inc. |
||||||||
|
5.00% due 01/26/23 |
374,063 |
371,657 |
||||||
|
7.50% due 01/26/23 |
124,688 |
123,820 |
||||||
|
Ascena Retail Group |
||||||||
|
5.25% due 08/21/22 |
498,700 |
474,513 |
||||||
|
Sears Holdings Corp. |
||||||||
|
5.50% due 06/30/18 |
493,671 |
469,397 |
||||||
|
Advantage Sales & Marketing LLC |
||||||||
|
4.25% due 07/23/21 |
447,095 |
434,987 |
||||||
|
National Vision, Inc. |
||||||||
|
4.00% due 03/12/21 |
444,332 |
431,003 |
||||||
|
Life Time Fitness |
||||||||
|
4.25% due 06/10/22 |
441,811 |
430,766 |
||||||
|
Navistar, Inc. |
||||||||
|
6.50% due 08/07/20 |
447,750 |
421,633 |
||||||
|
Petsmart, Inc. |
||||||||
|
4.25% due 03/11/22 |
348,241 |
346,458 |
||||||
|
PTL Acqusition, Inc. |
||||||||
|
4.00% due 05/12/23 |
300,000 |
300,825 |
||||||
|
Belk, Inc. |
||||||||
|
5.75% due 12/12/22 |
349,125 |
276,245 |
||||||
|
Talbots, Inc. |
||||||||
|
5.50% due 03/19/20 |
245,834 |
237,845 |
||||||
|
1-800 Contacts |
||||||||
|
5.25% due 01/22/23 |
199,500 |
198,917 |
||||||
|
Sterling Intermidiate Corp. |
||||||||
|
5.75% due 06/20/22 |
173,231 |
171,825 |
||||||
|
Bass Pro Group LLC |
||||||||
|
4.00% due 06/05/20 |
120,000 |
117,826 |
||||||
|
Equinox Fitness |
||||||||
|
5.00% due 01/31/20 |
98,990 |
98,526 |
||||||
|
NPC International, Inc. |
||||||||
|
4.75% due 12/28/18 |
98,412 |
98,002 |
||||||
|
Total Consumer, Cyclical |
6,196,899 |
|||||||
|
Technology - 15.2% |
||||||||
|
The Active Network, Inc. |
||||||||
|
5.50% due 11/13/20 |
720,146 |
711,743 |
||||||
|
Diebold, Inc. |
||||||||
|
5.25% due 11/06/23 |
|
500,000 |
497,290 |
|||||
|
Ipreo Holdings |
||||||||
|
4.25% due 08/06/21 |
493,763 |
471,543 |
||||||
|
Ceridian Corp. |
||||||||
|
4.50% due 09/15/20 |
480,070 |
463,267 |
||||||
|
EIG Investors Corp. |
||||||||
|
6.48% due 11/09/19 |
378,995 |
360,360 |
||||||
|
6.00% due 02/09/232 |
109,447 |
102,333 |
||||||
|
Solera LLC |
||||||||
|
5.75% due 03/03/23 |
400,000 |
399,332 |
||||||
|
Compucom Systems, Inc. |
||||||||
|
4.25% due 05/11/20 |
580,020 |
383,782 |
||||||
|
Greenway Medical Technologies |
||||||||
|
6.00% due 11/04/202 |
390,000 |
371,151 |
||||||
|
Aspect Software, Inc. |
||||||||
|
10.50% due 05/25/20 |
331,615 |
316,967 |
||||||
|
Avaya, Inc. |
||||||||
|
6.25% due 05/29/20 |
356,837 |
253,058 |
||||||
|
Advanced Computer Software |
||||||||
|
6.50% due 03/18/22 |
246,875 |
233,297 |
||||||
|
Sparta Holding Corp. |
||||||||
|
6.50% due 07/28/20†††, 2 |
191,011 |
189,714 |
||||||
|
SolarWinds Holdings, Inc. |
||||||||
|
6.50% due 02/03/23 |
100,000 |
99,250 |
||||||
|
Flexera Software LLC |
||||||||
|
8.00% due 04/02/21 |
100,000 |
96,000 |
||||||
|
Infor, Inc. |
||||||||
|
3.75% due 06/03/20 |
95,717 |
92,894 |
||||||
|
CPI Acquisition, Inc. |
||||||||
|
5.50% due 08/17/22 |
71,839 |
69,804 |
||||||
|
Total Technology |
5,111,785 |
|||||||
|
Industrial - 14.4% |
||||||||
|
Travelport Holdings LLC |
||||||||
|
5.00% due 09/02/21 |
498,164 |
495,050 |
||||||
|
Transdigm, Inc. |
||||||||
|
3.75% due 05/14/22 |
494,050 |
485,868 |
||||||
|
GYP Holdings III Corp. |
||||||||
|
4.75% due 04/01/21 |
460,000 |
450,800 |
||||||
|
USIC Holding, Inc. |
||||||||
|
4.00% due 07/10/20 |
417,517 |
409,167 |
||||||
|
Quikrete Holdings, Inc. |
||||||||
|
4.00% due 09/28/20 |
400,000 |
398,928 |
||||||
|
Amber Bidco Ltd. |
||||||||
|
4.63% due 06/30/21†††,2 |
350,000 |
344,966 |
||||||
|
Thermasys Corp. |
||||||||
|
5.25% due 05/03/192 |
370,000 |
299,471 |
||||||
|
Pro Mach Group, Inc. |
||||||||
|
4.75% due 10/22/21 |
296,737 |
294,327 |
||||||
|
CareCore National LLC |
||||||||
|
5.50% due 03/05/21 |
306,778 |
283,003 |
||||||
|
Quanex Building Products Corp. |
||||||||
|
6.25% due 11/02/22 |
249,375 |
248,128 |
||||||
|
38 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
Face |
Value |
|||||||
|
Atkore International, Inc. |
||||||||
|
7.75% due 10/09/21 |
$ |
200,000 |
$ |
197,750 |
||||
|
SI Organization |
||||||||
|
5.75% due 11/22/19 |
172,394 |
171,058 |
||||||
|
Bioplan USA, Inc. |
||||||||
|
5.75% due 09/23/21 |
197,500 |
170,838 |
||||||
|
Mast Global |
||||||||
|
7.75% due 09/12/19†††,2 |
160,299 |
159,435 |
||||||
|
Doncasters Group Ltd. |
||||||||
|
9.50% due 10/09/20 |
135,172 |
124,021 |
||||||
|
SRS Distribution, Inc. |
||||||||
|
5.25% due 08/25/22 |
99,500 |
99,417 |
||||||
|
NANA Development Corp. |
||||||||
|
8.00% due 03/15/182 |
87,500 |
80,937 |
||||||
|
Crosby Worldwide |
||||||||
|
4.00% due 11/23/20 |
96,587 |
78,477 |
||||||
|
CEVA Group Plc (United Kingdom) |
||||||||
|
6.50% due 03/19/21 |
32,874 |
26,875 |
||||||
|
CEVA Logistics US Holdings |
||||||||
|
6.50% due 03/19/21 |
21,522 |
17,594 |
||||||
|
CEVA Logistics Holdings BV (Dutch) |
||||||||
|
6.50% due 03/19/21 |
15,395 |
12,586 |
||||||
|
CEVA Logistics Canada, ULC |
||||||||
|
6.50% due 03/19/21 |
2,691 |
2,200 |
||||||
|
Total Industrial |
4,850,896 |
|||||||
|
Consumer, Non-cyclical - 11.7% |
||||||||
|
Phillips-Medsize Corp. |
||||||||
|
4.75% due 06/16/21 |
588,000 |
581,137 |
||||||
|
Authentic Brands |
||||||||
|
5.50% due 05/27/21 |
490,891 |
481,893 |
||||||
|
DJO Finance LLC |
||||||||
|
4.25% due 06/08/20 |
496,250 |
472,266 |
||||||
|
Lineage Logistics LLC |
||||||||
|
4.50% due 04/07/21 |
490,000 |
463,050 |
||||||
|
Americold Realty Operating Partnership, LP |
||||||||
|
6.50% due 12/01/22 |
398,997 |
400,494 |
||||||
|
NES Global Talent |
||||||||
|
6.50% due 10/03/192 |
414,911 |
360,973 |
||||||
|
Reddy Ice Holdings, Inc. |
||||||||
|
6.75% due 05/01/19 |
388,972 |
339,378 |
||||||
|
American Tire Distributors, Inc. |
||||||||
|
5.25% due 09/01/21 |
343,525 |
330,860 |
||||||
|
US Foods, Inc. |
||||||||
|
4.00% due 06/15/23 |
250,000 |
248,750 |
||||||
|
Valeant Pharmaceuticals International, Inc. |
||||||||
|
5.00% due 04/01/22 |
101,753 |
98,926 |
||||||
|
Acadia Healthcare Company, Inc. |
||||||||
|
4.50% due 02/16/23 |
99,500 |
98,505 |
||||||
|
CTI Foods Holding Co. LLC |
||||||||
|
8.25% due 06/28/21 |
80,000 |
72,000 |
||||||
|
Total Consumer, Non-cyclical |
3,948,232 |
|||||||
|
Financial - 10.4% |
||||||||
|
National Financial Partners Corp. |
||||||||
|
4.50% due 07/01/20 |
|
739,471 |
731,307 |
|||||
|
Assured Partners, Inc. |
||||||||
|
5.75% due 10/21/22 |
577,303 |
571,893 |
||||||
|
Acrisure LLC |
||||||||
|
6.50% due 05/19/22 |
445,503 |
441,418 |
||||||
|
York Risk Services |
||||||||
|
4.75% due 10/01/212 |
492,481 |
430,921 |
||||||
|
Hyperion Insurance |
||||||||
|
5.50% due 04/29/22 |
445,119 |
419,894 |
||||||
|
Cunningham Lindsey U.S., Inc. |
||||||||
|
5.00% due 12/10/19 |
379,108 |
303,287 |
||||||
|
American Stock Transfer & Trust |
||||||||
|
5.75% due 06/26/20 |
284,728 |
278,085 |
||||||
|
Corporate Capital Trust |
||||||||
|
4.00% due 05/20/19 |
195,500 |
194,034 |
||||||
|
LPL Financial Holdings, Inc. |
||||||||
|
4.75% due 11/21/22 |
124,688 |
124,376 |
||||||
|
Total Financial |
3,495,215 |
|||||||
|
Communications - 6.4% |
||||||||
|
Numericable US LLC |
||||||||
|
4.75% due 02/10/23 |
598,500 |
589,307 |
||||||
|
Cengage Learning Acquisitions, Inc. |
||||||||
|
5.25% due 06/07/23 |
538,663 |
531,930 |
||||||
|
Neptune Finco Corp. |
||||||||
|
5.00% due 10/09/22 |
500,000 |
500,125 |
||||||
|
MergerMarket Ltd. |
||||||||
|
4.50% due 02/04/21 |
342,125 |
330,151 |
||||||
|
Anaren, Inc. |
||||||||
|
5.50% due 02/18/212 |
141,117 |
129,475 |
||||||
|
9.25% due 08/18/212 |
100,000 |
90,625 |
||||||
|
Total Communications |
2,171,613 |
|||||||
|
Utilities - 2.1% |
||||||||
|
TPF II Power LLC |
||||||||
|
5.52% due 10/02/21 |
412,817 |
410,927 |
||||||
|
Stonewall (Green Energy) |
||||||||
|
6.50% due 11/13/21 |
300,000 |
291,000 |
||||||
|
Total Utilities |
701,927 |
|||||||
|
Energy - 1.0% |
||||||||
|
Cactus Wellhead |
||||||||
|
7.00% due 07/31/20 |
539,560 |
348,016 |
||||||
|
Basic Materials - 0.4% |
||||||||
|
Noranda Aluminum Acquisition Corp. |
||||||||
|
5.75% due 02/28/19 |
88,608 |
45,190 |
||||||
|
12.00% due 11/08/16†††,2 |
46,082 |
44,239 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 39 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
Face |
Value |
|||||||
|
WR Grace & Co. |
||||||||
|
2.75% due 02/03/21 |
$ |
33,939 |
$ |
33,733 |
||||
|
Total Basic Materials |
123,162 |
|||||||
|
Total Senior Floating Rate Interests |
||||||||
|
(Cost $28,205,210) |
26,947,745 |
|||||||
|
ASSET-BACKED SECURITIES†† - 6.5% |
||||||||
|
Collateralized Loan Obligations - 4.9% |
||||||||
|
Cerberus Onshore II CLO LLC |
||||||||
|
2014-1A, 4.63% due 10/15/233,4 |
250,000 |
246,251 |
||||||
|
Garrison Funding Ltd. |
||||||||
|
2013-2A, 5.29% due 09/25/233,4 |
250,000 |
241,122 |
||||||
|
NewStar Arlington Senior Loan Program LLC |
||||||||
|
2014-1A, 3.94% due 07/25/253,4 |
250,000 |
235,490 |
||||||
|
ACIS CLO Ltd. |
||||||||
|
2013-2A, 4.48% due 10/14/223,4 |
250,000 |
235,226 |
||||||
|
ALM XIV Ltd. |
||||||||
|
2014-14A, 4.08% due 07/28/263,4 |
250,000 |
230,017 |
||||||
|
Newstar Commercial Loan Funding LLC |
||||||||
|
2013-1A, 5.17% due 09/20/233,4 |
250,000 |
223,420 |
||||||
|
Kingsland IV Ltd. |
||||||||
|
2007-4A, 2.08% due 04/16/213,4 |
250,000 |
218,723 |
||||||
|
Total Collateralized Loan Obligations |
1,630,249 |
|||||||
|
Collateralized Debt Obligations - 1.6% |
||||||||
|
Gramercy Real Estate CDO Ltd. |
||||||||
|
2007-1A, 0.91% due 08/15/563,4 |
416,411 |
384,699 |
||||||
|
RAIT CRE CDO I Ltd. |
||||||||
|
2006-1X A1B, 0.76% due 11/20/46 |
181,288 |
170,442 |
||||||
|
Total Collateralized Debt Obligations |
555,141 |
|||||||
|
Total Asset-Backed Securities |
||||||||
|
(Cost $2,203,933) |
2,185,390 |
|||||||
|
CORPORATE BONDS†† - 0.8% |
||||||||
|
Consumer, Non-cyclical - 0.6% |
||||||||
|
Tenet Healthcare Corp. |
||||||||
|
4.15% due 06/15/203 |
|
200,000 |
197,500 |
|||||
|
Energy - 0.2% |
||||||||
|
FTS International, Inc. |
||||||||
|
8.15% due 06/15/203,4 |
100,000 |
84,009 |
||||||
|
Total Corporate Bonds |
||||||||
|
(Cost $299,465) |
281,509 |
|||||||
|
SENIOR FIXED RATE INTERESTS†† - 0.8% |
||||||||
|
Financial - 0.8% |
||||||||
|
Magic Newco, LLC |
||||||||
|
12.00% due 06/12/19 |
250,000 |
259,845 |
||||||
|
Total Senior Fixed Rate Interests |
||||||||
|
(Cost $269,213) |
259,845 |
|||||||
|
Total Investments - 94.2% |
||||||||
|
(Cost $33,058,673) |
$ |
31,755,341 |
||||||
|
Other Assets & Liabilities, net - 5.8% |
1,971,196 |
|||||||
|
Total Net Assets - 100.0% |
$ |
33,726,537 |
||||||
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
2 |
Illiquid security. |
|
3 |
Variable rate security. Rate indicated is rate effective at June 30, 2016. |
|
4 |
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $2,098,957 (cost $2,151,157), or 6.2% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
|
See Sector Classification in Other Information section. |
|
40 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Asset-Backed Securities |
$ |
— |
$ |
2,185,390 |
$ |
— |
$ |
2,185,390 |
||||||||
|
Corporate Bonds |
— |
281,509 |
— |
281,509 |
||||||||||||
|
Senior Fixed Rate Interests |
— |
259,845 |
— |
259,845 |
||||||||||||
|
Senior Floating Rate Interests |
— |
26,209,391 |
738,354 |
26,947,745 |
||||||||||||
|
Short Term Investments |
2,080,852 |
— |
— |
2,080,852 |
||||||||||||
|
Total |
$ |
2,080,852 |
$ |
28,936,135 |
$ |
738,354 |
$ |
31,755,341 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 41 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $33,058,673) |
$ |
31,755,341 |
||
|
Cash |
221,114 |
|||
|
Prepaid expenses |
890 |
|||
|
Receivables: |
||||
|
Securities sold |
2,682,454 |
|||
|
Interest |
185,590 |
|||
|
Fund shares sold |
27,639 |
|||
|
Total assets |
34,873,028 |
|||
|
Liabilities: |
||||
|
Unfunded loan commitments, at value (Note 9) (proceeds $238) |
115 |
|||
|
Payable for: |
||||
|
Securities purchased |
1,069,312 |
|||
|
Management fees |
20,633 |
|||
|
Distribution and service fees |
7,786 |
|||
|
Fund accounting/administration fees |
2,958 |
|||
|
Transfer agent/maintenance fees |
2,187 |
|||
|
Trustees’ fees* |
1,175 |
|||
|
Fund shares redeemed |
881 |
|||
|
Miscellaneous |
41,444 |
|||
|
Total liabilities |
1,146,491 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
33,726,537 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
32,250,312 |
||
|
Undistributed net investment income |
3,085,368 |
|||
|
Accumulated net realized loss on investments |
(305,934 |
) |
||
|
Net unrealized depreciation on investments |
(1,303,209 |
) |
||
|
Net assets |
$ |
33,726,537 |
||
|
Capital shares outstanding |
1,267,268 |
|||
|
Net asset value per share |
$ |
26.61 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Interest |
$ |
1,177,651 |
||
|
Total investment income |
1,177,651 |
|||
|
Expenses: |
||||
|
Management fees |
146,311 |
|||
|
Transfer agent/maintenance fees |
12,586 |
|||
|
Distribution and service fees: |
56,273 |
|||
|
Fund accounting/administration fees |
21,384 |
|||
|
Line of credit fees |
3,915 |
|||
|
Custodian fees |
1,938 |
|||
|
Trustees’ fees* |
1,885 |
|||
|
Miscellaneous |
32,974 |
|||
|
Total expenses |
277,266 |
|||
|
Less: |
||||
|
Expenses waived by Adviser |
(12,575 |
) |
||
|
Net expenses |
264,691 |
|||
|
Net investment income |
912,960 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
(405,819 |
) |
||
|
Securities sold short |
7 |
|||
|
Net realized loss |
(405,812 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
1,016,534 |
|||
|
Net change in unrealized appreciation (depreciation) |
1,016,534 |
|||
|
Net realized and unrealized gain |
610,722 |
|||
|
Net increase in net assets resulting from operations |
$ |
1,523,682 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
912,960 |
$ |
1,964,517 |
||||
|
Net realized gain (loss) on investments |
(405,812 |
) |
121,044 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,016,534 |
(1,711,367 |
) |
|||||
|
Net increase in net assets resulting from operations |
1,523,682 |
374,194 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(1,565,356 |
) |
|||||
|
Net realized gains |
— |
(102,831 |
) |
|||||
|
Total distributions to shareholders |
— |
(1,668,187 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
15,049,750 |
63,234,862 |
||||||
|
Distributions reinvested |
— |
1,668,187 |
||||||
|
Cost of shares redeemed |
(31,444,571 |
) |
(60,848,174 |
) |
||||
|
Net increase (decrease) from capital share transactions |
(16,394,821 |
) |
4,054,875 |
|||||
|
Net increase (decrease) in net assets |
(14,871,139 |
) |
2,760,882 |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
48,597,676 |
45,836,794 |
||||||
|
End of period |
$ |
33,726,537 |
$ |
48,597,676 |
||||
|
Undistributed net investment income at end of period |
$ |
3,085,368 |
$ |
2,172,408 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
575,027 |
2,378,527 |
||||||
|
Shares issued from reinvestment of distributions |
— |
63,381 |
||||||
|
Shares redeemed |
(1,197,278 |
) |
(2,299,441 |
) |
||||
|
Net increase (decrease) in shares |
(622,251 |
) |
142,467 |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 43 |
|
SERIES F (FLOATING RATE STRATEGIES SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Period Ended |
|||||||||||||
|
Per Share Data |
||||||||||||||||
|
Net asset value, beginning of period |
$ |
25.72 |
$ |
26.24 |
$ |
25.61 |
$ |
25.00 |
||||||||
|
Income (loss) from investment operations: |
||||||||||||||||
|
Net investment income (loss)c |
.52 |
.97 |
.95 |
.49 |
||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.37 |
(.77 |
) |
(.32 |
) |
.12 |
||||||||||
|
Total from investment operations |
.89 |
.20 |
.63 |
.61 |
||||||||||||
|
Less distributions from: |
||||||||||||||||
|
Net investment income |
— |
(.67 |
) |
— |
— |
|||||||||||
|
Net realized gains |
— |
(.05 |
) |
— |
— |
|||||||||||
|
Total distributions |
— |
(.72 |
) |
— |
— |
|||||||||||
|
Net asset value, end of period |
$ |
26.61 |
$ |
25.72 |
$ |
26.24 |
$ |
25.61 |
||||||||
|
Total Returnd |
3.46 |
% |
0.73 |
% |
2.38 |
% |
2.48 |
% |
||||||||
|
Ratios/Supplemental Data |
||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
33,727 |
$ |
48,598 |
$ |
45,837 |
$ |
46,343 |
||||||||
|
Ratios to average net assets: |
||||||||||||||||
|
Net investment income (loss) |
4.06 |
% |
3.66 |
% |
3.65 |
% |
2.81 |
% |
||||||||
|
Total expenses |
1.23 |
% |
1.27 |
% |
1.24 |
% |
1.35 |
%e |
||||||||
|
Net expensesf,g |
1.18 |
% |
1.17 |
% |
1.16 |
% |
1.17 |
% |
||||||||
|
Portfolio turnover rate |
18 |
% |
73 |
% |
90 |
% |
53 |
% |
||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Since commencement of operations: April 24, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
c |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
e |
Due to limited length of Fund operations, ratios for this period may not be indicative of future performance. |
|
f |
Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods would be: |
|
06/30/16 |
12/31/15 |
12/31/14 |
12/31/13 |
||
|
1.15% |
1.15% |
1.15% |
1.15% |
|
g |
Net expense information reflects the expense ratios after expense waivers. |
|
44 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES J (STYLEPLUS—MID GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: October 1, 1992 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Variable Insurance Strategy Fund III |
28.7% |
|
Guggenheim Strategy Fund II |
21.9% |
|
Guggenheim Strategy Fund III |
16.8% |
|
Guggenheim Strategy Fund I |
9.9% |
|
Constellation Brands, Inc. — Class A |
0.3% |
|
PACCAR, Inc. |
0.3% |
|
Dr Pepper Snapple Group, Inc. |
0.3% |
|
AmerisourceBergen Corp. — Class A |
0.3% |
|
Omnicom Group, Inc. |
0.2% |
|
Alliance Data Systems Corp. |
0.2% |
|
Top Ten Total |
78.9% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 45 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 17.3% |
||||||||
|
Consumer, Non-cyclical - 7.1% |
||||||||
|
Constellation Brands, Inc. — Class A |
2,491 |
$ |
412,011 |
|||||
|
Dr Pepper Snapple Group, Inc. |
4,005 |
387,003 |
||||||
|
AmerisourceBergen Corp. — Class A |
4,757 |
377,326 |
||||||
|
Hologic, Inc.* |
9,137 |
316,140 |
||||||
|
Kellogg Co. |
3,767 |
307,577 |
||||||
|
Intuitive Surgical, Inc.* |
459 |
303,587 |
||||||
|
Laboratory Corporation of America Holdings* |
2,283 |
297,406 |
||||||
|
Spectrum Brands Holdings, Inc. |
2,478 |
295,650 |
||||||
|
Flowers Foods, Inc. |
15,341 |
287,644 |
||||||
|
Kroger Co. |
7,353 |
270,517 |
||||||
|
Zimmer Biomet Holdings, Inc. |
2,244 |
270,133 |
||||||
|
WhiteWave Foods Co. — Class A* |
5,694 |
267,276 |
||||||
|
Sysco Corp. |
5,206 |
264,152 |
||||||
|
Estee Lauder Companies, Inc. — Class A |
2,876 |
261,774 |
||||||
|
Cardinal Health, Inc. |
3,330 |
259,774 |
||||||
|
HCA Holdings, Inc.* |
3,370 |
259,523 |
||||||
|
ConAgra Foods, Inc. |
5,110 |
244,309 |
||||||
|
Mallinckrodt plc* |
3,712 |
225,616 |
||||||
|
Molina Healthcare, Inc.* |
4,278 |
213,472 |
||||||
|
Zoetis, Inc. |
4,359 |
206,878 |
||||||
|
Alexion Pharmaceuticals, Inc.* |
1,741 |
203,279 |
||||||
|
MEDNAX, Inc.* |
2,577 |
186,652 |
||||||
|
HealthSouth Corp. |
4,785 |
185,754 |
||||||
|
Campbell Soup Co. |
2,770 |
184,288 |
||||||
|
RR Donnelley & Sons Co. |
10,722 |
181,416 |
||||||
|
Becton Dickinson and Co. |
1,039 |
176,204 |
||||||
|
Western Union Co. |
8,957 |
171,795 |
||||||
|
Avis Budget Group, Inc.* |
4,997 |
161,053 |
||||||
|
Vantiv, Inc. — Class A* |
2,767 |
156,612 |
||||||
|
DaVita HealthCare Partners, Inc.* |
1,952 |
150,929 |
||||||
|
CR Bard, Inc. |
638 |
150,032 |
||||||
|
BioMarin Pharmaceutical, Inc.* |
1,889 |
146,964 |
||||||
|
Tyson Foods, Inc. — Class A |
2,195 |
146,604 |
||||||
|
Edwards Lifesciences Corp.* |
1,422 |
141,816 |
||||||
|
Nielsen Holdings plc |
2,720 |
141,358 |
||||||
|
United Rentals, Inc.* |
2,030 |
136,213 |
||||||
|
KAR Auction Services, Inc. |
3,200 |
133,568 |
||||||
|
Tenet Healthcare Corp.* |
4,775 |
131,981 |
||||||
|
Robert Half International, Inc. |
3,309 |
126,271 |
||||||
|
Ingredion, Inc. |
932 |
120,610 |
||||||
|
Verisk Analytics, Inc. — Class A* |
1,413 |
114,566 |
||||||
|
Coca-Cola European Partners plc |
3,019 |
107,748 |
||||||
|
DexCom, Inc.* |
1,320 |
104,716 |
||||||
|
Global Payments, Inc. |
1,423 |
101,574 |
||||||
|
LifePoint Health, Inc.* |
1,496 |
97,794 |
||||||
|
Centene Corp.* |
1,300 |
92,781 |
||||||
|
Amsurg Corp. — Class A* |
1,176 |
91,187 |
||||||
|
Coty, Inc. — Class A |
3,481 |
90,471 |
||||||
|
Boston Scientific Corp.* |
3,859 |
90,185 |
||||||
|
Clorox Co. |
613 |
84,833 |
||||||
|
DENTSPLY SIRONA, Inc. |
1,357 |
84,188 |
||||||
|
Henry Schein, Inc.* |
476 |
84,157 |
||||||
|
Cal-Maine Foods, Inc. |
1,823 |
80,795 |
||||||
|
S&P Global, Inc. |
704 |
75,511 |
||||||
|
Quintiles Transnational Holdings, Inc.* |
841 |
54,934 |
||||||
|
Total Consumer, Non-cyclical |
10,216,607 |
|||||||
|
Consumer, Cyclical - 3.0% |
||||||||
|
PACCAR, Inc. |
7,521 |
390,114 |
||||||
|
Delphi Automotive plc |
4,958 |
310,371 |
||||||
|
United Continental Holdings, Inc.* |
6,908 |
283,504 |
||||||
|
Southwest Airlines Co. |
6,732 |
263,962 |
||||||
|
WW Grainger, Inc. |
1,125 |
255,657 |
||||||
|
Liberty Interactive Corporation QVC Group — Class A* |
8,500 |
215,645 |
||||||
|
L Brands, Inc. |
3,035 |
203,739 |
||||||
|
O’Reilly Automotive, Inc.* |
751 |
203,596 |
||||||
|
Ross Stores, Inc. |
3,546 |
201,023 |
||||||
|
Lear Corp. |
1,975 |
200,976 |
||||||
|
Fastenal Co. |
3,852 |
170,990 |
||||||
|
AutoZone, Inc.* |
213 |
169,088 |
||||||
|
Harley-Davidson, Inc. |
3,249 |
147,180 |
||||||
|
Dollar General Corp. |
1,461 |
137,334 |
||||||
|
JetBlue Airways Corp.* |
7,670 |
127,015 |
||||||
|
Newell Brands, Inc. |
2,529 |
122,834 |
||||||
|
Spirit Airlines, Inc.* |
2,631 |
118,053 |
||||||
|
Macy’s, Inc. |
3,401 |
114,308 |
||||||
|
DR Horton, Inc. |
2,931 |
92,268 |
||||||
|
AutoNation, Inc.* |
1,950 |
91,611 |
||||||
|
Foot Locker, Inc. |
1,644 |
90,190 |
||||||
|
NVR, Inc.* |
45 |
80,115 |
||||||
|
Marriott International, Inc. — Class A |
1,189 |
79,021 |
||||||
|
Harman International Industries, Inc. |
1,067 |
76,632 |
||||||
|
Alaska Air Group, Inc. |
1,243 |
72,454 |
||||||
|
BorgWarner, Inc. |
2,449 |
72,294 |
||||||
|
Total Consumer, Cyclical |
4,289,974 |
|||||||
|
Industrial - 2.6% |
||||||||
|
Harris Corp. |
3,522 |
293,876 |
||||||
|
Spirit AeroSystems Holdings, Inc. — Class A* |
6,702 |
288,185 |
||||||
|
CSX Corp. |
9,947 |
259,417 |
||||||
|
Rockwell Automation, Inc. |
2,182 |
250,537 |
||||||
|
Huntington Ingalls Industries, Inc. |
1,430 |
240,283 |
||||||
|
AMETEK, Inc. |
4,815 |
222,597 |
||||||
|
Regal Beloit Corp. |
3,771 |
207,594 |
||||||
|
Carlisle Companies, Inc. |
1,893 |
200,052 |
||||||
|
Roper Technologies, Inc. |
1,141 |
194,609 |
||||||
|
TransDigm Group, Inc.* |
701 |
184,847 |
||||||
|
AECOM* |
5,282 |
167,809 |
||||||
|
Textron, Inc. |
3,874 |
141,634 |
||||||
|
Rockwell Collins, Inc. |
1,655 |
140,907 |
||||||
|
Clean Harbors, Inc.* |
2,658 |
138,508 |
||||||
|
Parker-Hannifin Corp. |
1,083 |
117,018 |
||||||
|
Keysight Technologies, Inc.* |
3,616 |
105,189 |
||||||
|
Stericycle, Inc.* |
1,000 |
104,120 |
||||||
|
46 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
Cummins, Inc. |
883 |
$ |
99,285 |
|||||
|
Sealed Air Corp. |
1,980 |
91,021 |
||||||
|
Genesee & Wyoming, Inc. — Class A* |
1,490 |
87,836 |
||||||
|
AMERCO |
211 |
79,030 |
||||||
|
Tyco International plc |
1,853 |
78,938 |
||||||
|
Owens-Illinois, Inc.* |
4,173 |
75,156 |
||||||
|
Total Industrial |
3,768,448 |
|||||||
|
Communications - 2.0% |
||||||||
|
Omnicom Group, Inc. |
4,115 |
335,331 |
||||||
|
IAC/InterActiveCorp |
5,344 |
300,868 |
||||||
|
Palo Alto Networks, Inc.* |
2,148 |
263,431 |
||||||
|
Scripps Networks Interactive, Inc. — Class A |
4,210 |
262,156 |
||||||
|
Expedia, Inc. |
1,878 |
199,631 |
||||||
|
DISH Network Corp. — Class A* |
3,749 |
196,447 |
||||||
|
CommScope Holding Company, Inc.* |
5,630 |
174,699 |
||||||
|
Discovery Communications, Inc. — Class A* |
6,351 |
160,236 |
||||||
|
Splunk, Inc.* |
2,711 |
146,882 |
||||||
|
Viacom, Inc. — Class B |
3,434 |
142,408 |
||||||
|
Charter Communications, Inc. — Class A* |
609 |
139,242 |
||||||
|
Ciena Corp.* |
7,416 |
139,050 |
||||||
|
Twitter, Inc.* |
7,994 |
135,179 |
||||||
|
AMC Networks, Inc. — Class A* |
2,101 |
126,942 |
||||||
|
eBay, Inc.* |
5,214 |
122,060 |
||||||
|
Total Communications |
2,844,562 |
|||||||
|
Technology - 1.2% |
||||||||
|
Fidelity National Information Services, Inc. |
3,657 |
269,448 |
||||||
|
Skyworks Solutions, Inc. |
3,910 |
247,424 |
||||||
|
Cerner Corp.* |
3,707 |
217,230 |
||||||
|
NetApp, Inc. |
7,876 |
193,671 |
||||||
|
Teradata Corp.* |
6,826 |
171,128 |
||||||
|
Electronic Arts, Inc.* |
1,963 |
148,717 |
||||||
|
SS&C Technologies Holdings, Inc. |
5,286 |
148,431 |
||||||
|
Microchip Technology, Inc. |
2,139 |
108,576 |
||||||
|
Lam Research Corp. |
1,130 |
94,988 |
||||||
|
Analog Devices, Inc. |
1,545 |
87,509 |
||||||
|
Tableau Software, Inc. — Class A* |
1,735 |
84,876 |
||||||
|
Total Technology |
1,771,998 |
|||||||
|
Financial - 0.9% |
||||||||
|
Alliance Data Systems Corp.* |
1,702 |
333,455 |
||||||
|
Ameriprise Financial, Inc. |
2,085 |
187,337 |
||||||
|
National Storage Affiliates Trust |
8,400 |
174,888 |
||||||
|
CoreLogic, Inc.* |
3,585 |
137,951 |
||||||
|
Interactive Brokers Group, Inc. — Class A |
3,504 |
124,042 |
||||||
|
Crown Castle International Corp. |
868 |
88,041 |
||||||
|
Equinix, Inc. |
216 |
83,750 |
||||||
|
Aon plc |
721 |
78,755 |
||||||
|
Brixmor Property Group, Inc. |
2,602 |
68,849 |
||||||
|
Total Financial |
1,277,068 |
|||||||
|
Basic Materials - 0.3% |
||||||||
|
Sherwin-Williams Co. |
457 |
134,207 |
||||||
|
International Paper Co. |
2,494 |
105,696 |
||||||
|
Steel Dynamics, Inc. |
3,194 |
78,253 |
||||||
|
Mosaic Co. |
2,350 |
61,523 |
||||||
|
Total Basic Materials |
379,679 |
|||||||
|
Energy - 0.2% |
||||||||
|
Cabot Oil & Gas Corp. — Class A |
4,210 |
108,366 |
||||||
|
ONEOK, Inc. |
1,823 |
86,501 |
||||||
|
FMC Technologies, Inc.* |
2,896 |
77,236 |
||||||
|
Tesoro Corp. |
1,009 |
75,594 |
||||||
|
Total Energy |
347,697 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $25,033,558) |
24,896,033 |
|||||||
|
MUTUAL FUNDS† - 77.3% |
||||||||
|
Guggenheim Variable Insurance Strategy Fund III1 |
1,661,440 |
41,187,088 |
||||||
|
Guggenheim Strategy Fund II1 |
1,263,246 |
31,341,140 |
||||||
|
Guggenheim Strategy Fund III1 |
972,062 |
24,097,421 |
||||||
|
Guggenheim Strategy Fund I1 |
569,827 |
14,194,402 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $111,191,576) |
110,820,051 |
|||||||
|
SHORT TERM INVESTMENTS† - 1.2% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
1,681,392 |
1,681,392 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $1,681,392) |
1,681,392 |
|||||||
|
Total Investments - 95.8% |
||||||||
|
(Cost $137,906,526) |
$ |
137,397,476 |
||||||
|
Other Assets & Liabilities, net - 4.2% |
5,987,941 |
|||||||
|
Total Net Assets - 100.0% |
$ |
143,385,417 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 47 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
Contracts |
Unrealized |
|||||||
|
EQUITY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 S&P MidCap 400 Index |
6 |
$ |
9,312 |
|||||
|
September 2016 S&P 500 Index |
3 |
2,735 |
||||||
|
September 2016 NASDAQ-100 Index |
3 |
(781 |
) |
|||||
|
(Total Aggregate Value of Contracts $1,472,985) |
$ |
11,266 |
||||||
|
Units |
|
|||||||
|
OTC EQUITY INDEX SWAP AGREEMENTS†† |
||||||||
|
Deutsche Bank |
155,455 |
$ |
— |
|||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Total Return based on Russell MidCap Growth Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Common Stocks |
$ |
24,896,033 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
24,896,033 |
||||||||||||
|
Equity Futures Contracts |
— |
12,047 |
— |
— |
— |
12,047 |
||||||||||||||||||
|
Equity Index Swap Agreements |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Mutual Funds |
110,820,051 |
— |
— |
— |
— |
110,820,051 |
||||||||||||||||||
|
Short Term Investments |
1,681,392 |
— |
— |
— |
— |
1,681,392 |
||||||||||||||||||
|
Total |
$ |
137,397,476 |
$ |
12,047 |
$ |
— |
$ |
— |
$ |
— |
$ |
137,409,523 |
||||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Equity Futures Contracts |
$ |
— |
$ |
781 |
$ |
— |
$ |
— |
$ |
— |
$ |
781 |
||||||||||||
|
* |
Other financial instruments include futures contracts or swaps, which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
48 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $26,714,950) |
$ |
26,577,425 |
||
|
Investments in affiliated issuers, at value (cost $111,191,576) |
110,820,051 |
|||
|
Total investments (cost $137,906,526) |
137,397,476 |
|||
|
Segregated cash with broker |
3,238,300 |
|||
|
Cash |
2,005,002 |
|||
|
Prepaid expenses |
2,117 |
|||
|
Receivables: |
||||
|
Securities sold |
2,535,915 |
|||
|
Dividends |
224,764 |
|||
|
Variation margin |
22,500 |
|||
|
Fund shares sold |
21,414 |
|||
|
Total assets |
145,447,488 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Swap settlement |
1,280,503 |
|||
|
Securities purchased |
528,298 |
|||
|
Fund shares redeemed |
103,460 |
|||
|
Management fees |
88,473 |
|||
|
Fund accounting/administration fees |
11,207 |
|||
|
Transfer agent/maintenance fees |
3,151 |
|||
|
Trustees' fees* |
969 |
|||
|
Miscellaneous |
46,010 |
|||
|
Total liabilities |
2,062,071 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net Assets |
$ |
143,385,417 |
||
|
Net Assets Consist Of: |
||||
|
Paid in capital |
$ |
156,469,295 |
||
|
Undistributed net investment income |
1,780,067 |
|||
|
Accumulated net realized loss on investments |
(14,366,161 |
) |
||
|
Net unrealized depreciation on investments |
(497,784 |
) |
||
|
Net assets |
$ |
143,385,417 |
||
|
Capital shares outstanding |
3,097,676 |
|||
|
Net asset value per share |
$ |
46.29 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from securities of affiliated issuers |
$ |
1,245,609 |
||
|
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $119) |
154,208 |
|||
|
Total investment income |
1,399,817 |
|||
|
Expenses: |
||||
|
Management fees |
521,537 |
|||
|
Transfer agent/maintenance fees |
12,672 |
|||
|
Fund accounting/administration fees |
66,061 |
|||
|
Line of credit fees |
11,804 |
|||
|
Custodian fees |
3,140 |
|||
|
Trustees’ fees* |
171 |
|||
|
Miscellaneous |
31,941 |
|||
|
Total expenses |
647,326 |
|||
|
Net investment income |
752,491 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
(87,563 |
) |
||
|
Investments in affiliated issuers |
(62,753 |
) |
||
|
Swap agreements |
(673,394 |
) |
||
|
Futures contracts |
(73,421 |
) |
||
|
Net realized loss |
(897,131 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
508,541 |
|||
|
Investments in affiliated issuers |
84,914 |
|||
|
Swap agreements |
2,767,326 |
|||
|
Futures contracts |
19,612 |
|||
|
Net change in unrealized appreciation (depreciation) |
3,380,393 |
|||
|
Net realized and unrealized gain |
2,483,262 |
|||
|
Net increase in net assets resulting from operations |
$ |
3,235,753 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 49 |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
752,491 |
$ |
1,014,823 |
||||
|
Net realized gain (loss) on investments |
(897,131 |
) |
6,678,545 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
3,380,393 |
(7,343,718 |
) |
|||||
|
Net increase in net assets resulting from operations |
3,235,753 |
349,650 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(1,760,565 |
) |
|||||
|
Net realized gains |
— |
(11,372,419 |
) |
|||||
|
Total distributions to shareholders |
— |
(13,132,984 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
1,566,678 |
18,548,423 |
||||||
|
Distributions reinvested |
— |
13,132,984 |
||||||
|
Cost of shares redeemed |
(9,425,973 |
) |
(33,955,541 |
) |
||||
|
Net decrease from capital share transactions |
(7,859,295 |
) |
(2,274,134 |
) |
||||
|
Net decrease in net assets |
(4,623,542 |
) |
(15,057,468 |
) |
||||
|
Net assets: |
||||||||
|
Beginning of period |
148,008,959 |
163,066,427 |
||||||
|
End of period |
$ |
143,385,417 |
$ |
148,008,959 |
||||
|
Undistributed net investment income at end of period |
$ |
1,780,067 |
$ |
1,027,576 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
35,129 |
368,685 |
||||||
|
Shares issued from reinvestment of distributions |
— |
273,490 |
||||||
|
Shares redeemed |
(215,637 |
) |
(683,884 |
) |
||||
|
Net decrease in shares |
(180,508 |
) |
(41,709 |
) |
||||
|
50 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES J (STYLEPLUS—MID GROWTH SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
45.15 |
$ |
49.12 |
$ |
43.45 |
$ |
33.29 |
$ |
28.75 |
$ |
30.05 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.24 |
.31 |
.49 |
.06 |
.05 |
(.03 |
) |
|||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.90 |
(.10 |
) |
5.18 |
10.10 |
4.49 |
(1.27 |
) |
||||||||||||||||
|
Total from investment operations |
1.14 |
.21 |
5.67 |
10.16 |
4.54 |
(1.30 |
) |
|||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.56 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(3.62 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(4.18 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
46.29 |
$ |
45.15 |
$ |
49.12 |
$ |
43.45 |
$ |
33.29 |
$ |
28.75 |
||||||||||||
|
Total Returnc |
2.52 |
% |
(0.08 |
%) |
13.05 |
% |
30.52 |
% |
15.79 |
% |
(4.33 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
143,385 |
$ |
148,009 |
$ |
163,066 |
$ |
157,131 |
$ |
138,255 |
$ |
136,469 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.08 |
% |
0.63 |
% |
1.06 |
% |
0.17 |
% |
0.14 |
% |
(0.10 |
%) |
||||||||||||
|
Total expensesd |
0.93 |
% |
0.97 |
% |
0.98 |
% |
0.98 |
% |
0.95 |
% |
0.91 |
% |
||||||||||||
|
Net expenses |
0.93 |
% |
0.97 |
% |
0.96 |
%e |
0.98 |
%e |
0.95 |
%e |
0.91 |
%e |
||||||||||||
|
Portfolio turnover rate |
28 |
% |
70 |
% |
100 |
% |
245 |
% |
150 |
% |
155 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 51 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES M (MACRO OPPORTUNITIES SERIES)
OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: April 24, 2013 |
|
Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Limited Duration Fund - Institutional Class |
25.9% |
|
Guggenheim Strategy Fund I |
25.5% |
|
Guggenheim High Yield Fund - Insitutional Class |
5.1% |
|
Guggenheim Floating Rate Strategies Fund - Institutional Class |
4.8% |
|
Turbine Engines Securitization Ltd. |
0.7% |
|
SPDR Gold Shares |
0.1% |
|
Seaspan Corp. |
0.1% |
|
Total |
62.2% |
|
“Largest Holdings” excludes any temporary cash investments. |
|
|
52 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
|
Shares |
Value |
|||||||
|
PREFERRED STOCKS†† - 0.1% |
||||||||
|
Industrial - 0.1% |
||||||||
|
Seaspan Corp. 6.38% due 04/30/19 |
1,455 |
$ |
36,390 |
|||||
|
Total Preferred Stocks |
||||||||
|
(Cost $36,375) |
36,390 |
|||||||
|
MUTUAL FUNDS† - 61.3% |
||||||||
|
Guggenheim Limited Duration Fund - |
333,622 |
8,157,062 |
||||||
|
Guggenheim Strategy Fund I1 |
322,824 |
8,041,544 |
||||||
|
Guggenheim High Yield Fund - |
184,703 |
1,616,149 |
||||||
|
Guggenheim Floating Rate Strategies Fund - |
59,753 |
1,525,501 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $19,385,713) |
19,340,256 |
|||||||
|
SHORT TERM INVESTMENTS† - 21.7% |
||||||||
|
Federated U.S. Treasury Cash Reserve Fund - |
6,849,637 |
6,849,637 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $6,849,637) |
6,849,637 |
|||||||
|
Face |
||||||||
|
U.S. TREASURY BILLS†† - 14.3% |
||||||||
|
U.S. Treasury Bill |
||||||||
|
0.00% due 07/21/163 |
$ |
4,500,000 |
4,499,500 |
|||||
|
Total U.S. Treasury Bills |
||||||||
|
(Cost $4,499,500) |
4,499,500 |
|||||||
|
ASSET-BACKED SECURITIES†† - 0.7% |
||||||||
|
Transport-Aircraft - 0.7% |
||||||||
|
Turbine Engines Securitization Ltd. |
||||||||
|
2013-1A, 6.38% due 12/13/484 |
217,775 |
215,458 |
||||||
|
Total Asset-Backed Securities |
||||||||
|
(Cost $213,982) |
215,458 |
|||||||
|
COMMERCIAL PAPER††1.6% |
||||||||
|
Cox Enterprises, Inc. |
||||||||
|
0.75% due 07/13/16 |
500,000 |
499,875 |
||||||
|
Total Commercial Paper |
||||||||
|
(Cost $499,875) |
499,875 |
|||||||
|
|
||||||||
|
OPTIONS PURCHASED††† - 0.2% |
||||||||
|
Call options on: |
||||||||
|
Bank of America Merrill Lynch |
107 |
37,450 |
||||||
|
Notional |
||||||||
|
JPMorgan |
$ |
800,000 |
7,136 |
|||||
|
Bank of America Merrill Lynch |
350,000 |
2,658 |
||||||
|
Bank of America Merrill Lynch |
800,000 |
1,071 |
||||||
|
Total Call options |
48,315 |
|||||||
|
Put options on: |
||||||||
|
Bank of America Merrill Lynch |
1,100,000 |
3,465 |
||||||
|
Total Put options |
3,465 |
|||||||
|
Total Options Purchased |
||||||||
|
(Cost $97,154) |
51,780 |
|||||||
|
Total Investments - 99.9% |
||||||||
|
(Cost $31,582,236) |
$ |
31,492,896 |
||||||
|
Contacts |
||||||||
|
OPTIONS WRITTEN† - 0.0% |
||||||||
|
Call options on: |
||||||||
|
Bank of America Merrill Lynch |
107 |
(7,758 |
) |
|||||
|
Total Options Written |
||||||||
|
(Premiums received $21,079) |
(7,758 |
) |
||||||
|
Other Assets & Liabilities, net - 0.1% |
37,347 |
|||||||
|
Total Net Assets - 100.0% |
$ |
31,522,485 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 53 |
|
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
††† |
Value determined based on Level 3 inputs, unless otherwise noted — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Zero coupon rate security. |
|
4 |
Security is a 144A or Section 4(a)(2) security. This security is considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) security is $215,458 (cost $213,982) or 0.7% of total net assets — See Note 13. |
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Asset-Backed Securities |
$ |
— |
$ |
215,458 |
$ |
— |
$ |
215,458 |
||||||||
|
Commercial Paper |
— |
499,875 |
— |
499,875 |
||||||||||||
|
Mutual Funds |
19,340,256 |
— |
— |
19,340,256 |
||||||||||||
|
Options Purchased |
37,450 |
— |
14,330 |
51,780 |
||||||||||||
|
Preferred Stocks |
— |
36,390 |
— |
36,390 |
||||||||||||
|
Short Term Investments |
6,849,637 |
— |
— |
6,849,637 |
||||||||||||
|
U.S. Treasury Bills |
4,499,500 |
— |
— |
4,499,500 |
||||||||||||
|
Total |
$ |
30,726,843 |
$ |
751,723 |
$ |
14,330 |
$ |
31,492,896 |
||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Options Written |
$ |
7,758 |
$ |
— |
$ |
— |
$ |
7,758 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
54 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
|
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $12,196,523) |
$ |
12,152,640 |
||
|
Investments in affiliated issuers, at value (cost $19,385,713) |
19,340,256 |
|||
|
Total investments (cost $31,582,236) |
31,492,896 |
|||
|
Cash |
124,784 |
|||
|
Segregated cash with broker |
7,969 |
|||
|
Prepaid expenses |
477 |
|||
|
Receivables: |
||||
|
Securities sold |
437,628 |
|||
|
Dividends |
44,769 |
|||
|
Interest |
16,157 |
|||
|
Total assets |
32,124,680 |
|||
|
Liabilities: |
||||
|
Options written, at value (premiums received $21,079) |
7,758 |
|||
|
Payable for: |
||||
|
Fund shares redeemed |
464,541 |
|||
|
Securities purchased |
44,769 |
|||
|
Professional fees |
32,813 |
|||
|
Management fees |
22,685 |
|||
|
Distribution and service fees |
6,656 |
|||
|
Fund accounting/administration fees |
2,529 |
|||
|
Transfer agent/maintenance fees |
2,197 |
|||
|
Miscellaneous |
18,247 |
|||
|
Total liabilities |
602,195 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
31,522,485 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
30,881,487 |
||
|
Undistributed net investment income |
1,998,455 |
|||
|
Accumulated net realized loss on investments |
(1,281,438 |
) |
||
|
Net unrealized depreciation on investments |
(76,019 |
) |
||
|
Net assets |
$ |
31,522,485 |
||
|
Capital shares outstanding |
1,197,687 |
|||
|
Net asset value per share |
$ |
26.32 |
||
|
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Interest |
$ |
543,444 |
||
|
Dividends from securities of affiliated issuers |
248,742 |
|||
|
Dividends from securities of unaffiliated issuers |
8,597 |
|||
|
Total investment income |
800,783 |
|||
|
Expenses: |
||||
|
Management fees |
147,500 |
|||
|
Transfer agent/maintenance fees |
12,630 |
|||
|
Distribution and service fees |
41,317 |
|||
|
Fund accounting/administration fees |
15,700 |
|||
|
Professional fees |
15,034 |
|||
|
Interest expense |
11,124 |
|||
|
Custodian fees |
5,370 |
|||
|
Line of credit fees |
2,797 |
|||
|
Trustees’ fees* |
589 |
|||
|
Miscellaneous |
16,810 |
|||
|
Total expenses |
268,871 |
|||
|
Less: |
||||
|
Expenses waived by Adviser |
(44,237 |
) |
||
|
Net expenses |
224,634 |
|||
|
Net investment income |
576,149 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
(430,534 |
) |
||
|
Investments in affiliated issuers |
(178,597 |
) |
||
|
Swap agreements |
(599,273 |
) |
||
|
Foreign currency |
(3,798 |
) |
||
|
Forward currency exchange contracts |
14,537 |
|||
|
Options purchased |
3,551 |
|||
|
Options written |
7,341 |
|||
|
Net realized loss |
(1,186,773 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
702,082 |
|||
|
Investments in affiliated issuers |
280,528 |
|||
|
Swap agreements |
282,502 |
|||
|
Options purchased |
24,003 |
|||
|
Options written |
(3,977 |
) |
||
|
Foreign currency |
107 |
|||
|
Forward foreign currency exchange contracts |
(9,277 |
) |
||
|
Net change in unrealized appreciation (depreciation) |
1,275,968 |
|||
|
Net realized and unrealized gain |
89,195 |
|||
|
Net increase in net assets resulting from operations |
$ |
665,344 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 55 |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
|
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
576,149 |
$ |
1,183,636 |
||||
|
Net realized gain (loss) on investments and foreign currency |
(1,186,773 |
) |
177,450 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currency |
1,275,968 |
(1,522,753 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
665,344 |
(161,667 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(991,394 |
) |
|||||
|
Net realized gains |
— |
(82,948 |
) |
|||||
|
Total distributions to shareholders |
— |
(1,074,342 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
1,911,572 |
9,437,534 |
||||||
|
Distributions reinvested |
— |
1,074,342 |
||||||
|
Cost of shares redeemed |
(5,761,481 |
) |
(7,823,583 |
) |
||||
|
Net increase (decrease) from capital share transactions |
(3,849,909 |
) |
2,688,293 |
|||||
|
Net increase (decrease) in net assets |
(3,184,565 |
) |
1,452,284 |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
34,707,050 |
33,254,766 |
||||||
|
End of period |
$ |
31,522,485 |
$ |
34,707,050 |
||||
|
Undistributed net investment income at end of period |
$ |
1,998,455 |
$ |
1,422,306 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
73,873 |
350,995 |
||||||
|
Shares issued from reinvestment of distributions |
— |
40,664 |
||||||
|
Shares redeemed |
(222,817 |
) |
(295,251 |
) |
||||
|
Net increase (decrease) in shares |
(148,944 |
) |
96,408 |
|||||
|
56 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES M (MACRO OPPORTUNITIES SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Period Ended December 31, |
|||||||||||||
|
Per Share Data |
||||||||||||||||
|
Net asset value, beginning of period |
$ |
25.77 |
$ |
26.60 |
$ |
25.24 |
$ |
25.00 |
||||||||
|
Income (loss) from investment operations: |
||||||||||||||||
|
Net investment income (loss)c |
.45 |
.89 |
.94 |
.42 |
||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.10 |
(.97 |
) |
.42 |
(.18 |
) |
||||||||||
|
Total from investment operations |
.55 |
(.08 |
) |
1.36 |
.24 |
|||||||||||
|
Less distributions from: |
||||||||||||||||
|
Net investment income |
— |
(.69 |
) |
— |
— |
|||||||||||
|
Net realized gains |
— |
(.06 |
) |
— |
— |
|||||||||||
|
Total distributions |
— |
(.75 |
) |
— |
— |
|||||||||||
|
Net asset value, end of period |
$ |
26.32 |
$ |
25.77 |
$ |
26.60 |
$ |
25.24 |
||||||||
|
Total Returnd |
2.09 |
% |
(0.30 |
%) |
5.35 |
% |
0.96 |
% |
||||||||
|
Ratios/Supplemental Data |
||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
31,522 |
$ |
34,707 |
$ |
33,255 |
$ |
26,250 |
||||||||
|
Ratios to average net assets: |
||||||||||||||||
|
Net investment income (loss) |
3.49 |
% |
3.29 |
% |
3.59 |
% |
2.48 |
% |
||||||||
|
Total expensese |
1.63 |
% |
1.64 |
% |
1.67 |
% |
1.80 |
%h |
||||||||
|
Net expensesf,i |
1.36 |
% |
1.34 |
% |
1.48 |
% |
1.49 |
% |
||||||||
|
Portfolio turnover rate |
61 |
% |
52 |
% |
68 |
% |
49 |
% |
||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Since commencement of operations: April 24, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
c |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
e |
Does not include expenses of the underlying funds in which the Fund invests. |
|
f |
Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the operating expense ratios for the periods would be: |
|
06/30/16 |
12/31/15 |
12/31/14 |
12/31/13 |
||
|
1.28% |
1.31% |
1.42% |
1.44% |
|
g |
Consolidated. |
|
h |
Due to limited length of Fund operations, ratios for this period may not be indicative of future performance. |
|
i |
Net expense information reflects the expense ratios after expense waivers. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 57 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES N (MANAGED ASSET ALLOCATION SERIES)
OBJECTIVE: Seeks growth of capital and, secondarily, preservation of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: June 1, 1995 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Variable Insurance Strategy Fund III |
19.4% |
|
SPDR S&P 500 ETF Trust |
16.6% |
|
Vanguard S&P 500 ETF |
15.6% |
|
iShares Core U.S. Aggregate Bond ETF |
15.6% |
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
7.9% |
|
Guggenheim Strategy Fund III |
6.8% |
|
iShares Core S&P Mid-Capital ETF |
5.8% |
|
iShares MSCI EAFE ETF |
3.9% |
|
Guggenheim Strategy Fund II |
3.0% |
|
Guggenheim Strategy Fund I |
2.6% |
|
Top Ten Total |
97.2% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
58 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
|
Shares |
Value |
|||||||
|
EXCHANGE-TRADED FUNDS† - 65.4% |
||||||||
|
SPDR S&P 500 ETF Trust |
43,046 |
$ |
9,019,428 |
|||||
|
Vanguard S&P 500 ETF |
44,287 |
8,512,847 |
||||||
|
iShares Core U.S. Aggregate Bond ETF |
75,304 |
8,476,971 |
||||||
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
35,057 |
4,302,546 |
||||||
|
iShares Core S&P Mid-Capital ETF |
20,956 |
3,130,617 |
||||||
|
iShares MSCI EAFE ETF |
38,211 |
2,132,556 |
||||||
|
iShares Core S&P 500 ETF |
2 |
421 |
||||||
|
Total Exchange-Traded Funds |
||||||||
|
(Cost $28,099,681) |
35,575,386 |
|||||||
|
MUTUAL FUNDS† - 31.8% |
||||||||
|
Guggenheim Variable Insurance Strategy Fund III1 |
425,152 |
10,539,523 |
||||||
|
Guggenheim Strategy Fund III1 |
148,895 |
3,691,097 |
||||||
|
Guggenheim Strategy Fund II1 |
66,857 |
1,658,728 |
||||||
|
Guggenheim Strategy Fund I1 |
57,709 |
1,437,523 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $17,428,514) |
17,326,871 |
|||||||
|
SHORT TERM INVESTMENTS† - 0.9% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
468,175 |
468,175 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $468,175) |
468,175 |
|||||||
|
Face |
||||||||
|
U.S. TREASURY BILLS†† - 0.9% |
||||||||
|
U. S. Treasury Bill |
||||||||
|
0.00% due 07/14/163 |
$ |
500,000 |
499,978 |
|||||
|
Total U.S. Treasury Bills |
||||||||
|
(Cost $499,961) |
499,978 |
|||||||
|
Total Investments - 99.0% |
||||||||
|
(Cost $46,496,331) |
$ |
53,870,410 |
||||||
|
Other Assets & Liabilities, net - 1.0% |
567,057 |
|||||||
|
Total Net Assets - 100.0% |
$ |
54,437,467 |
||||||
|
Contracts |
Unrealized |
|||||||
|
INTEREST RATE FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 U.S. Treasury 10 Year Note |
58 |
$ |
205,143 |
|||||
|
September 2016 U.S. Treasury 2 Year Note |
20 |
25,907 |
||||||
|
(Total Aggregate Value of Contracts $12,099,344) |
$ |
231,050 |
||||||
|
CURRENCY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 Canadian Dollar |
1 |
$ |
(893 |
) |
||||
|
September 2016 British Pound |
3 |
(6,204 |
) |
|||||
|
(Total Aggregate Value of Contracts $327,208) |
$ |
(7,097 |
) |
|||||
|
EQUITY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 Dow Jones |
1 |
$ |
2,143 |
|||||
|
September 2016 Nikkei 225 (CME) Index |
1 |
(10 |
) |
|||||
|
September 2016 NASDAQ-100 Index |
1 |
(257 |
) |
|||||
|
July 2016 Hang Seng Index |
2 |
(1,371 |
) |
|||||
|
September 2016 S&P/TSX 60 IX Index |
2 |
(2,550 |
) |
|||||
|
September 2016 S&P MidCap 400 Index |
2 |
(4,653 |
) |
|||||
|
September 2016 S&P 500 Index |
27 |
(15,426 |
) |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 59 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
|
Contracts |
Unrealized |
|||||||
|
September 2016 Russell 2000 Index |
18 |
$ |
(43,311 |
) |
||||
|
September 2016 MSCI EAFE Index |
80 |
(192,703 |
) |
|||||
|
(Total Aggregate Value of Contracts $12,421,477) |
$ |
(258,138 |
) |
|||||
|
CURRENCY FUTURES CONTRACTS SOLD SHORT† |
||||||||
|
September 2016 Euro FX |
2 |
$ |
257 |
|||||
|
EQUITY FUTURES CONTRACTS SOLD SHORT†† |
||||||||
|
July 2016 CAC 40 10 Euro Index |
1 |
$ |
2,415 |
|||||
|
September 2016 DAX Index |
1 |
|
(4,010 |
) |
||||
|
July 2016 Amsterdam Index |
1 |
(4,054 |
) |
|||||
|
September 2016 FTSE 100 Index |
1 |
(4,146 |
) |
|||||
|
September 2016 SPI 200 Index |
2 |
(4,657 |
) |
|||||
|
(Total Aggregate Value of Contracts $696,820) |
$ |
(14,452 |
) |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Zero coupon rate security. |
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Currency Futures Contracts |
$ |
— |
$ |
257 |
$ |
— |
$ |
— |
$ |
— |
$ |
257 |
||||||||||||
|
Equity Futures Contracts |
— |
2,143 |
— |
2,415 |
— |
4,558 |
||||||||||||||||||
|
Exchange-Traded Funds |
35,575,386 |
— |
— |
— |
— |
35,575,386 |
||||||||||||||||||
|
Interest Rate Futures Contracts |
— |
231,050 |
— |
— |
— |
231,050 |
||||||||||||||||||
|
Mutual Funds |
17,326,871 |
— |
— |
— |
— |
17,326,871 |
||||||||||||||||||
|
Short Term Investments |
468,175 |
— |
— |
— |
— |
468,175 |
||||||||||||||||||
|
U.S. Treasury Bills |
— |
— |
499,978 |
— |
— |
499,978 |
||||||||||||||||||
|
Total |
$ |
53,370,432 |
$ |
233,450 |
$ |
499,978 |
$ |
2,415 |
$ |
— |
$ |
54,106,275 |
||||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Currency Futures Contracts |
$ |
— |
$ |
7,097 |
$ |
— |
$ |
— |
$ |
— |
$ |
7,097 |
||||||||||||
|
Equity Futures Contracts |
— |
256,360 |
— |
20,788 |
— |
277,148 |
||||||||||||||||||
|
Total |
$ |
— |
$ |
263,457 |
$ |
— |
$ |
20,788 |
$ |
— |
$ |
284,245 |
||||||||||||
|
* |
Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
60 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $29,067,817) |
$ |
36,543,539 |
||
|
Investments in affiliated issuers, at value (cost $17,428,514) |
17,326,871 |
|||
|
Total investments (cost $46,496,331) |
53,870,410 |
|||
|
Foreign currency, at value (cost $39,469) |
39,418 |
|||
|
Segregated cash with broker |
282,496 |
|||
|
Prepaid expenses |
757 |
|||
|
Receivables: |
||||
|
Securities sold |
200,250 |
|||
|
Variation margin |
139,124 |
|||
|
Dividends |
80,731 |
|||
|
Foreign taxes reclaim |
3,067 |
|||
|
Fund shares sold |
1,173 |
|||
|
Total assets |
54,617,426 |
|||
|
Liabilities: |
||||
|
Overdraft due to custodian bank |
37,763 |
|||
|
Payable for: |
||||
|
Fund shares redeemed |
41,741 |
|||
|
Securities purchased |
34,309 |
|||
|
Management fees |
28,953 |
|||
|
Professional fees |
11,923 |
|||
|
Fund accounting/administration fees |
6,681 |
|||
|
Trustees’ fees* |
3,470 |
|||
|
Transfer agent/maintenance fees |
2,392 |
|||
|
Miscellaneous |
12,727 |
|||
|
Total liabilities |
179,959 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
54,437,467 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
44,418,097 |
||
|
Undistributed net investment income |
988,246 |
|||
|
Accumulated net realized gain on investments |
1,705,918 |
|||
|
Net unrealized appreciation on investments |
7,325,206 |
|||
|
Net assets |
$ |
54,437,467 |
||
|
Capital shares outstanding |
1,904,600 |
|||
|
Net asset value per share |
$ |
28.58 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from securities of unaffiliated issuers |
$ |
391,195 |
||
|
Dividends from securities of affiliated issuers |
209,849 |
|||
|
Interest |
156 |
|||
|
Other income |
121 |
|||
|
Total investment income |
601,321 |
|||
|
Expenses: |
||||
|
Management fees |
173,885 |
|||
|
Transfer agent/maintenance fees |
12,705 |
|||
|
Fund accounting/administration fees |
40,128 |
|||
|
Line of credit fees |
4,100 |
|||
|
Trustees’ fees* |
1,767 |
|||
|
Custodian fees |
45 |
|||
|
Miscellaneous |
13,830 |
|||
|
Total expenses |
246,460 |
|||
|
Net investment income |
354,861 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
39,608 |
|||
|
Investments in affiliated issuers |
(16,168 |
) |
||
|
Futures contracts |
618,750 |
|||
|
Foreign currency |
1,834 |
|||
|
Net realized gain |
644,024 |
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
1,188,003 |
|||
|
Investments in affiliated issuers |
1,024 |
|||
|
Futures contracts |
4,869 |
|||
|
Foreign currency |
34 |
|||
|
Net change in unrealized appreciation (depreciation) |
1,193,930 |
|||
|
Net realized and unrealized gain |
1,837,954 |
|||
|
Net increase in net assets resulting from operations |
$ |
2,192,815 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 61 |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
354,861 |
$ |
634,705 |
||||
|
Net realized gain on investments |
644,024 |
1,228,381 |
||||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,193,930 |
(1,728,223 |
) |
|||||
|
Net increase in net assets resulting from operations |
2,192,815 |
134,863 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(538,173 |
) |
|||||
|
Total distributions to shareholders |
— |
(538,173 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
4,221,046 |
4,288,604 |
||||||
|
Distributions reinvested |
— |
538,173 |
||||||
|
Cost of shares redeemed |
(4,604,950 |
) |
(12,113,611 |
) |
||||
|
Net decrease from capital share transactions |
(383,904 |
) |
(7,286,834 |
) |
||||
|
Net increase (decrease) in net assets |
1,808,911 |
(7,690,144 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
52,628,556 |
60,318,700 |
||||||
|
End of period |
$ |
54,437,467 |
$ |
52,628,556 |
||||
|
Undistributed net investment income at end of period |
$ |
988,246 |
$ |
633,385 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
155,368 |
154,613 |
||||||
|
Shares issued from reinvestment of distributions |
— |
18,997 |
||||||
|
Shares redeemed |
(169,271 |
) |
(434,736 |
) |
||||
|
Net decrease in shares |
(13,903 |
) |
(261,126 |
) |
||||
|
62 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES N (MANAGED ASSET ALLOCATION SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
27.43 |
$ |
27.67 |
$ |
25.93 |
$ |
22.68 |
$ |
20.02 |
$ |
19.89 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.18 |
.32 |
.23 |
.08 |
.15 |
.28 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.97 |
(.28 |
) |
1.51 |
3.17 |
2.51 |
(.15 |
) |
||||||||||||||||
|
Total from investment operations |
1.15 |
.04 |
1.74 |
3.25 |
2.66 |
.13 |
||||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.28 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(.28 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
28.58 |
$ |
27.43 |
$ |
27.67 |
$ |
25.93 |
$ |
22.68 |
$ |
20.02 |
||||||||||||
|
Total Returnc |
4.19 |
% |
0.11 |
% |
6.71 |
% |
14.33 |
% |
13.29 |
% |
0.65 |
% |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
54,437 |
$ |
52,629 |
$ |
60,319 |
$ |
65,375 |
$ |
62,181 |
$ |
63,775 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.33 |
% |
1.14 |
% |
0.87 |
% |
0.32 |
% |
0.71 |
% |
1.40 |
% |
||||||||||||
|
Total expensesd |
0.92 |
% |
0.94 |
% |
0.93 |
% |
1.07 |
% |
1.31 |
% |
1.56 |
% |
||||||||||||
|
Portfolio turnover rate |
6 |
% |
3 |
% |
14 |
% |
3 |
% |
162 |
% |
44 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
d |
Does not include expenses of the underlying funds in which the Fund invests. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 63 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES O (ALL CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: June 1, 1995 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
JPMorgan Chase & Co. |
3.1% |
|
Chevron Corp. |
2.2% |
|
Johnson & Johnson |
2.0% |
|
Edison International |
1.9% |
|
Wells Fargo & Co. |
1.8% |
|
Zions Bancorporation |
1.8% |
|
Exxon Mobil Corp. |
1.8% |
|
Dow Chemical Co. |
1.7% |
|
Cisco Systems, Inc. |
1.7% |
|
UnitedHealth Group, Inc. |
1.7% |
|
Top Ten Total |
19.7% |
|
“Ten Largest Holdings” excludes any temporary cash investments. |
|
|
64 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES O (ALL CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 97.0% |
||||||||
|
Financial - 25.9% |
||||||||
|
JPMorgan Chase & Co. |
59,300 |
$ |
3,684,903 |
|||||
|
Wells Fargo & Co. |
46,013 |
2,177,795 |
||||||
|
Zions Bancorporation |
86,022 |
2,161,733 |
||||||
|
American International Group, Inc. |
36,561 |
1,933,711 |
||||||
|
Citigroup, Inc. |
38,590 |
1,635,830 |
||||||
|
Allstate Corp. |
20,950 |
1,465,453 |
||||||
|
Assured Guaranty Ltd. |
36,540 |
927,020 |
||||||
|
Unum Group |
28,529 |
906,937 |
||||||
|
BB&T Corp. |
24,850 |
884,909 |
||||||
|
Hanover Insurance Group, Inc. |
10,423 |
881,994 |
||||||
|
Alleghany Corp.* |
1,560 |
857,345 |
||||||
|
Bank of America Corp. |
48,810 |
647,709 |
||||||
|
Corrections Corporation of America |
17,990 |
630,009 |
||||||
|
Endurance Specialty Holdings Ltd. |
9,330 |
626,603 |
||||||
|
Sun Communities, Inc. |
7,930 |
607,755 |
||||||
|
E*TRADE Financial Corp.* |
25,774 |
605,431 |
||||||
|
KeyCorp |
53,394 |
590,004 |
||||||
|
FirstMerit Corp. |
29,037 |
588,580 |
||||||
|
Popular, Inc. |
19,230 |
563,439 |
||||||
|
Simon Property Group, Inc. |
2,530 |
548,757 |
||||||
|
Wintrust Financial Corp. |
10,710 |
546,210 |
||||||
|
CubeSmart |
14,670 |
453,010 |
||||||
|
Alexandria Real Estate Equities, Inc. |
4,330 |
448,242 |
||||||
|
Trustmark Corp. |
17,760 |
441,336 |
||||||
|
Fulton Financial Corp. |
32,670 |
441,045 |
||||||
|
Equity Residential |
6,370 |
438,765 |
||||||
|
Charles Schwab Corp. |
16,720 |
423,183 |
||||||
|
Parkway Properties, Inc. |
23,132 |
386,998 |
||||||
|
MasterCard, Inc. — Class A |
4,116 |
362,455 |
||||||
|
Morgan Stanley |
13,288 |
345,222 |
||||||
|
EastGroup Properties, Inc. |
4,963 |
342,050 |
||||||
|
EPR Properties |
4,154 |
335,145 |
||||||
|
Ally Financial, Inc.* |
19,585 |
334,316 |
||||||
|
Prosperity Bancshares, Inc. |
6,280 |
320,217 |
||||||
|
Equity Commonwealth* |
10,387 |
302,573 |
||||||
|
T. Rowe Price Group, Inc. |
3,926 |
286,480 |
||||||
|
Prudential Financial, Inc. |
3,683 |
262,745 |
||||||
|
Lexington Realty Trust |
24,950 |
252,245 |
||||||
|
First Industrial Realty Trust, Inc. |
9,038 |
251,437 |
||||||
|
DCT Industrial Trust, Inc. |
4,751 |
228,238 |
||||||
|
Camden Property Trust |
2,492 |
220,343 |
||||||
|
PacWest Bancorp |
4,978 |
198,025 |
||||||
|
Monogram Residential Trust, Inc. |
19,284 |
196,890 |
||||||
|
Hartford Financial Services Group, Inc. |
2,687 |
119,249 |
||||||
|
Umpqua Holdings Corp. |
6,720 |
103,958 |
||||||
|
Total Financial |
30,966,294 |
|||||||
|
Consumer, Non-cyclical - 16.7% |
||||||||
|
Johnson & Johnson |
19,695 |
2,389,003 |
||||||
|
UnitedHealth Group, Inc. |
13,980 |
1,973,976 |
||||||
|
MEDNAX, Inc.* |
21,657 |
1,568,617 |
||||||
|
Bunge Ltd. |
25,370 |
1,500,636 |
||||||
|
Quest Diagnostics, Inc. |
18,020 |
1,467,008 |
||||||
|
Pfizer, Inc. |
39,750 |
1,399,598 |
||||||
|
Medtronic plc |
12,720 |
1,103,714 |
||||||
|
Zimmer Biomet Holdings, Inc. |
8,320 |
1,001,562 |
||||||
|
HCA Holdings, Inc.* |
10,561 |
813,303 |
||||||
|
Sanderson Farms, Inc. |
8,089 |
700,831 |
||||||
|
Philip Morris International, Inc. |
6,162 |
626,799 |
||||||
|
Mondelez International, Inc. — Class A |
12,662 |
576,247 |
||||||
|
Hershey Co. |
4,559 |
517,401 |
||||||
|
United Rentals, Inc.* |
7,672 |
514,791 |
||||||
|
Emergent BioSolutions, Inc.* |
16,131 |
453,603 |
||||||
|
ICF International, Inc.* |
10,850 |
443,765 |
||||||
|
Navigant Consulting, Inc.* |
23,890 |
385,824 |
||||||
|
Darling Ingredients, Inc.* |
25,680 |
382,632 |
||||||
|
Medivation, Inc.* |
5,782 |
348,655 |
||||||
|
HealthSouth Corp. |
8,880 |
344,722 |
||||||
|
Premier, Inc. — Class A* |
9,350 |
305,745 |
||||||
|
Ingredion, Inc. |
1,550 |
200,586 |
||||||
|
Patterson Companies, Inc. |
4,081 |
195,439 |
||||||
|
Molina Healthcare, Inc.* |
3,257 |
162,524 |
||||||
|
Surgical Care Affiliates, Inc.* |
3,164 |
150,828 |
||||||
|
Universal Corp. |
2,560 |
147,814 |
||||||
|
FTI Consulting, Inc.* |
3,050 |
124,074 |
||||||
|
Community Health Systems, Inc.* |
6,305 |
75,975 |
||||||
|
Total Consumer, Non-cyclical |
19,875,672 |
|||||||
|
Industrial - 10.8% |
||||||||
|
Republic Services, Inc. — Class A |
30,780 |
1,579,322 |
||||||
|
WestRock Co. |
37,923 |
1,474,067 |
||||||
|
FLIR Systems, Inc. |
44,270 |
1,370,157 |
||||||
|
General Electric Co. |
39,991 |
1,258,917 |
||||||
|
Corning, Inc. |
41,858 |
857,251 |
||||||
|
Jabil Circuit, Inc. |
43,157 |
797,110 |
||||||
|
Huntington Ingalls Industries, Inc. |
4,482 |
753,110 |
||||||
|
Gentex Corp. |
30,467 |
470,715 |
||||||
|
Owens-Illinois, Inc.* |
23,570 |
424,496 |
||||||
|
Knight Transportation, Inc. |
15,970 |
424,483 |
||||||
|
Owens Corning |
8,080 |
416,282 |
||||||
|
Crane Co. |
7,337 |
416,155 |
||||||
|
Honeywell International, Inc. |
3,573 |
415,611 |
||||||
|
CSX Corp. |
15,312 |
399,337 |
||||||
|
Eaton Corporation plc |
6,518 |
389,320 |
||||||
|
Werner Enterprises, Inc. |
11,820 |
271,505 |
||||||
|
Spirit AeroSystems Holdings, Inc. — Class A* |
6,222 |
267,546 |
||||||
|
Kirby Corp.* |
3,738 |
233,214 |
||||||
|
Scorpio Tankers, Inc. |
50,155 |
210,651 |
||||||
|
Harris Corp. |
2,250 |
187,740 |
||||||
|
ITT, Inc. |
5,626 |
179,919 |
||||||
|
Total Industrial |
12,796,908 |
|||||||
|
Energy - 9.4% |
||||||||
|
Chevron Corp. |
25,300 |
2,652,199 |
||||||
|
Exxon Mobil Corp. |
22,960 |
2,152,270 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 65 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES O (ALL CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
Marathon Oil Corp. |
102,670 |
$ |
1,541,077 |
|||||
|
Kinder Morgan, Inc. |
74,160 |
1,388,275 |
||||||
|
Rowan Companies plc — Class A |
51,730 |
913,552 |
||||||
|
Hess Corp. |
12,900 |
775,290 |
||||||
|
Valero Energy Corp. |
10,843 |
552,993 |
||||||
|
Apache Corp. |
6,526 |
363,302 |
||||||
|
QEP Resources, Inc. |
17,476 |
308,102 |
||||||
|
Whiting Petroleum Corp.* |
26,733 |
247,548 |
||||||
|
Oasis Petroleum, Inc.* |
25,686 |
239,907 |
||||||
|
Total Energy |
11,134,515 |
|||||||
|
Utilities - 9.3% |
||||||||
|
Edison International |
29,570 |
2,296,702 |
||||||
|
Ameren Corp. |
28,700 |
1,537,746 |
||||||
|
OGE Energy Corp. |
45,730 |
1,497,658 |
||||||
|
Public Service Enterprise Group, Inc. |
28,040 |
1,306,944 |
||||||
|
UGI Corp. |
21,026 |
951,427 |
||||||
|
Pinnacle West Capital Corp. |
7,141 |
578,849 |
||||||
|
Black Hills Corp. |
8,511 |
536,533 |
||||||
|
Exelon Corp. |
14,670 |
533,401 |
||||||
|
Avista Corp. |
10,450 |
468,160 |
||||||
|
Portland General Electric Co. |
9,624 |
424,611 |
||||||
|
Duke Energy Corp. |
4,420 |
379,192 |
||||||
|
AES Corp. |
17,918 |
223,617 |
||||||
|
Calpine Corp.* |
13,767 |
203,063 |
||||||
|
ONE Gas, Inc. |
1,863 |
124,057 |
||||||
|
Total Utilities |
11,061,960 |
|||||||
|
Technology - 8.4% |
||||||||
|
IXYS Corp. |
150,774 |
1,545,434 |
||||||
|
Intel Corp. |
42,340 |
1,388,751 |
||||||
|
QUALCOMM, Inc. |
23,315 |
1,248,985 |
||||||
|
Applied Materials, Inc. |
39,604 |
949,307 |
||||||
|
Lam Research Corp. |
11,260 |
946,515 |
||||||
|
CSRA, Inc. |
38,756 |
908,053 |
||||||
|
Micron Technology, Inc.* |
55,322 |
761,231 |
||||||
|
Microsoft Corp. |
12,750 |
652,418 |
||||||
|
Texas Instruments, Inc. |
6,390 |
400,334 |
||||||
|
Maxwell Technologies, Inc.* |
67,170 |
354,658 |
||||||
|
Super Micro Computer, Inc.* |
8,920 |
221,662 |
||||||
|
Cree, Inc.* |
8,387 |
204,978 |
||||||
|
MKS Instruments, Inc. |
4,648 |
200,143 |
||||||
|
ManTech International Corp. — Class A |
4,110 |
155,440 |
||||||
|
Total Technology |
9,937,909 |
|||||||
|
Consumer, Cyclical - 7.3% |
||||||||
|
CVS Health Corp. |
16,820 |
1,610,348 |
||||||
|
Lear Corp. |
12,290 |
1,250,630 |
||||||
|
J.C. Penney Company, Inc.* |
102,830 |
913,130 |
||||||
|
Wal-Mart Stores, Inc. |
11,320 |
826,586 |
||||||
|
Target Corp. |
9,280 |
647,930 |
||||||
|
Goodyear Tire & Rubber Co. |
18,331 |
470,373 |
||||||
|
UniFirst Corp. |
3,490 |
403,863 |
||||||
|
PVH Corp. |
4,020 |
378,804 |
||||||
|
Caleres, Inc. |
15,523 |
375,812 |
||||||
|
Essendant, Inc. |
11,300 |
345,328 |
||||||
|
AutoNation, Inc.* |
5,583 |
262,289 |
||||||
|
CalAtlantic Group, Inc. |
6,304 |
231,420 |
||||||
|
Scotts Miracle-Gro Co. — Class A |
3,150 |
220,217 |
||||||
|
Tenneco, Inc.* |
4,669 |
217,622 |
||||||
|
iRobot Corp.* |
5,928 |
207,954 |
||||||
|
WESCO International, Inc.* |
2,692 |
138,611 |
||||||
|
La-Z-Boy, Inc. |
4,370 |
121,573 |
||||||
|
Sonic Automotive, Inc. — Class A |
6,550 |
112,071 |
||||||
|
Total Consumer, Cyclical |
8,734,561 |
|||||||
|
Communications - 5.2% |
||||||||
|
Cisco Systems, Inc. |
69,382 |
1,990,569 |
||||||
|
AT&T, Inc. |
41,170 |
1,778,955 |
||||||
|
Scripps Networks Interactive, Inc. — Class A |
16,102 |
1,002,672 |
||||||
|
DigitalGlobe, Inc.* |
33,527 |
717,143 |
||||||
|
Yahoo!, Inc.* |
11,020 |
413,911 |
||||||
|
Finisar Corp.* |
17,154 |
300,367 |
||||||
|
Total Communications |
6,203,617 |
|||||||
|
Basic Materials - 4.0% |
||||||||
|
Dow Chemical Co. |
40,480 |
2,012,260 |
||||||
|
Reliance Steel & Aluminum Co. |
21,112 |
1,623,513 |
||||||
|
Freeport-McMoRan, Inc. |
51,453 |
573,186 |
||||||
|
Olin Corp. |
9,838 |
244,376 |
||||||
|
Stillwater Mining Co.* |
15,724 |
186,487 |
||||||
|
Landec Corp.* |
14,727 |
158,463 |
||||||
|
Total Basic Materials |
4,798,285 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $98,499,276) |
115,509,721 |
|||||||
|
SHORT TERM INVESTMENTS† - 3.2% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%1 |
3,780,228 |
3,780,228 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $3,780,228) |
3,780,228 |
|||||||
|
Total Investments - 100.2% |
||||||||
|
(Cost $102,279,504) |
$ |
119,289,949 |
||||||
|
Other Assets & Liabilities, net - (0.2)% |
(285,573 |
) |
||||||
|
Total Net Assets - 100.0% |
$ |
119,004,376 |
||||||
|
66 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES O (ALL CAP VALUE SERIES) |
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
1 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Common Stocks |
$ |
115,509,721 |
$ |
— |
$ |
— |
$ |
115,509,721 |
||||||||
|
Short Term Investments |
3,780,228 |
— |
— |
3,780,228 |
||||||||||||
|
Total |
$ |
119,289,949 |
$ |
— |
$ |
— |
$ |
119,289,949 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 67 |
|
SERIES O (ALL CAP VALUE SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $102,279,504) |
$ |
119,289,949 |
||
|
Prepaid expenses |
2,053 |
|||
|
Receivables: |
||||
|
Securities sold |
294,571 |
|||
|
Dividends |
143,967 |
|||
|
Fund shares sold |
8,140 |
|||
|
Foreign taxes reclaim |
5,200 |
|||
|
Total assets |
119,743,880 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Securities purchased |
551,499 |
|||
|
Fund shares redeemed |
77,839 |
|||
|
Management fees |
68,817 |
|||
|
Fund accounting/administration fees |
9,288 |
|||
|
Trustees’ fees* |
8,362 |
|||
|
Transfer agent/maintenance fees |
4,119 |
|||
|
Miscellaneous |
19,580 |
|||
|
Total liabilities |
739,504 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
119,004,376 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
93,974,017 |
||
|
Undistributed net investment income |
2,846,888 |
|||
|
Accumulated net realized gain on investments |
5,173,026 |
|||
|
Net unrealized appreciation on investments |
17,010,445 |
|||
|
Net assets |
$ |
119,004,376 |
||
|
Capital shares outstanding |
3,805,160 |
|||
|
Net asset value per share |
$ |
31.27 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends |
$ |
1,510,504 |
||
|
Interest |
1,218 |
|||
|
Other income |
125 |
|||
|
Total investment income |
1,511,847 |
|||
|
Expenses: |
||||
|
Management fees |
408,369 |
|||
|
Transfer agent/maintenance fees |
12,588 |
|||
|
Fund accounting/administration fees |
54,911 |
|||
|
Line of credit fees |
9,673 |
|||
|
Trustees’ fees* |
5,473 |
|||
|
Custodian fees |
18 |
|||
|
Miscellaneous |
25,968 |
|||
|
Total expenses |
517,000 |
|||
|
Net investment income |
994,847 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
665,365 |
|||
|
Net realized gain |
665,365 |
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
5,963,099 |
|||
|
Net change in unrealized appreciation (depreciation) |
5,963,099 |
|||
|
Net realized and unrealized gain |
6,628,464 |
|||
|
Net increase in net assets resulting from operations |
$ |
7,623,311 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES O (ALL CAP VALUE SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
994,847 |
$ |
1,793,008 |
||||
|
Net realized gain on investments |
665,365 |
8,219,838 |
||||||
|
Net change in unrealized appreciation (depreciation) on investments |
5,963,099 |
(16,228,817 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
7,623,311 |
(6,215,971 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(1,281,376 |
) |
|||||
|
Net realized gains |
— |
(16,826,249 |
) |
|||||
|
Total distributions to shareholders |
— |
(18,107,625 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
4,798,498 |
4,474,326 |
||||||
|
Distributions reinvested |
— |
18,107,625 |
||||||
|
Cost of shares redeemed |
(13,530,272 |
) |
(25,462,084 |
) |
||||
|
Net decrease from capital share transactions |
(8,731,774 |
) |
(2,880,133 |
) |
||||
|
Net decrease in net assets |
(1,108,463 |
) |
(27,203,729 |
) |
||||
|
Net assets: |
||||||||
|
Beginning of period |
120,112,839 |
147,316,568 |
||||||
|
End of period |
$ |
119,004,376 |
$ |
120,112,839 |
||||
|
Undistributed net investment income at end of period |
$ |
2,846,888 |
$ |
1,852,041 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
165,320 |
133,321 |
||||||
|
Shares issued from reinvestment of distributions |
— |
579,444 |
||||||
|
Shares redeemed |
(459,279 |
) |
(781,405 |
) |
||||
|
Net decrease in shares |
(293,959 |
) |
(68,640 |
) |
||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 69 |
|
SERIES O (ALL CAP VALUE SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
29.30 |
$ |
35.35 |
$ |
32.85 |
$ |
24.66 |
$ |
21.35 |
$ |
22.32 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.25 |
.43 |
.31 |
.24 |
.21 |
.15 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
1.72 |
(1.80 |
) |
2.19 |
7.95 |
3.10 |
(1.12 |
) |
||||||||||||||||
|
Total from investment operations |
1.97 |
(1.37 |
) |
2.50 |
8.19 |
3.31 |
(.97 |
) |
||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.33 |
) |
(— |
)c |
— |
— |
— |
||||||||||||||||
|
Net realized gains |
— |
(4.35 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(4.68 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
31.27 |
$ |
29.30 |
$ |
35.35 |
$ |
32.85 |
$ |
24.66 |
$ |
21.35 |
||||||||||||
|
Total Returnd |
6.72 |
% |
(4.70 |
%) |
7.61 |
% |
33.21 |
% |
15.50 |
% |
(4.35 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
119,004 |
$ |
120,113 |
$ |
147,317 |
$ |
153,702 |
$ |
130,234 |
$ |
137,794 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.72 |
% |
1.33 |
% |
0.92 |
% |
0.81 |
% |
0.91 |
% |
0.69 |
% |
||||||||||||
|
Total expenses |
0.89 |
% |
0.92 |
% |
0.89 |
% |
0.90 |
% |
0.89 |
% |
0.86 |
% |
||||||||||||
|
Portfolio turnover rate |
22 |
% |
39 |
% |
49 |
% |
22 |
% |
14 |
% |
19 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Distributions from net investment income are less than $0.01 per share. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
70 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES P (HIGH YIELD SERIES)
OBJECTIVE: Seeks high current income. Capital appreciation is a secondary objective.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: August 5, 1996 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Flakt Woods |
2.6% |
|
Vector Group Ltd. |
2.2% |
|
Epicor Software |
1.7% |
|
ADT Corp. |
1.5% |
|
Kennedy-Wilson, Inc. |
1.5% |
|
Infor US, Inc. |
1.3% |
|
SPDR Barclays High Yield Bond ETF |
1.3% |
|
LBC Tank Terminals Holding Netherlands BV |
1.3% |
|
First Data Corp. |
1.3% |
|
Eldorado Gold Corp. |
1.2% |
|
Top Ten Total |
15.9% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
Portfolio Composition by Quality Rating1 |
|
|
Rating |
|
|
Fixed Income Instruments |
|
|
AAA |
0.3% |
|
AA |
0.3% |
|
BBB |
4.9% |
|
BB |
35.1% |
|
B |
33.3% |
|
CCC |
13.9% |
|
C |
0.3% |
|
NR2 |
3.1% |
|
Other Instruments |
8.8% |
|
Total Investments |
100.0% |
|
The chart above reflects percentages of the value of total investments. |
|
|
1 |
Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments converts ratings to the equivalent S&P rating. |
|
2 |
NR securities do not necessarily indicate low credit quality. |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 71 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 1.1% |
||||||||
|
Information Technology - 1.0% |
||||||||
|
Aspect Software Parent, Inc.*,†††,1 |
23,532 |
$ |
670,665 |
|||||
|
Communications - 0.1% |
||||||||
|
Cengage Learning Acquisitions, Inc.*,†† |
2,107 |
48,461 |
||||||
|
Aimia, Inc. |
5 |
30 |
||||||
|
Total Communications |
48,491 |
|||||||
|
Energy - 0.0% |
||||||||
|
Stallion Oilfield Holdings Ltd.*,†† |
19,265 |
4,816 |
||||||
|
Diversified - 0.0% |
||||||||
|
Leucadia National Corp. |
247 |
4,281 |
||||||
|
Consumer, Non-cyclical - 0.0% |
||||||||
|
Crimson Wine Group Ltd.* |
24 |
201 |
||||||
|
MEDIQ, Inc.*,††† |
92 |
— |
||||||
|
Total Consumer, Non-cyclical |
201 |
|||||||
|
Basic Materials - 0.0% |
||||||||
|
Mirabela Nickel Ltd.*,†††,1 |
1,470,315 |
109 |
||||||
|
Consumer, Cyclical - 0.0% |
||||||||
|
Delta Air Lines, Inc. |
1 |
36 |
||||||
|
Chorus Aviation, Inc. |
3 |
14 |
||||||
|
Total Consumer, Cyclical |
50 |
|||||||
|
Financial - 0.0% |
||||||||
|
Adelphia Recovery Trust*,††† |
5,270 |
1 |
||||||
|
Total Common Stocks |
||||||||
|
(Cost $1,679,040) |
728,614 |
|||||||
|
PREFERRED STOCKS††† - 0.1% |
||||||||
|
Industrial - 0.1% |
||||||||
|
U.S. Shipping Corp.*,1 |
24,529 |
45,992 |
||||||
|
Total Preferred Stocks |
||||||||
|
(Cost $625,000) |
45,992 |
|||||||
|
EXCHANGE-TRADED FUNDS† - 1.3% |
||||||||
|
SPDR Barclays High Yield Bond ETF |
24,500 |
874,650 |
||||||
|
Total Exchange-Traded Funds |
||||||||
|
(Cost $853,503) |
874,650 |
|||||||
|
SHORT TERM INVESTMENTS† - 7.3% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
4,890,996 |
4,890,996 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $4,890,996) |
4,890,996 |
|||||||
|
Face |
|
|||||||
|
CORPORATE BONDS†† - 82.0% |
||||||||
|
Communications - 15.0% |
||||||||
|
DISH DBS Corp. |
||||||||
|
5.88% due 11/15/243 |
$ |
850,000 |
790,499 |
|||||
|
7.75% due 07/01/264 |
350,000 |
360,500 |
||||||
|
5.88% due 07/15/223 |
300,000 |
291,750 |
||||||
|
CSC Holdings LLC |
||||||||
|
6.75% due 11/15/21 |
650,000 |
663,000 |
||||||
|
5.25% due 06/01/24 |
650,000 |
591,500 |
||||||
|
Numericable-SFR S.A. |
||||||||
|
6.00% due 05/15/224 |
500,000 |
486,250 |
||||||
|
7.38% due 05/01/264 |
425,000 |
420,219 |
||||||
|
Sprint Communications, Inc. |
||||||||
|
9.00% due 11/15/183,4 |
650,000 |
692,249 |
||||||
|
6.00% due 11/15/22 |
100,000 |
78,690 |
||||||
|
T-Mobile USA, Inc. |
||||||||
|
6.50% due 01/15/26 |
650,000 |
685,750 |
||||||
|
TIBCO Software, Inc. |
||||||||
|
11.38% due 12/01/214 |
750,000 |
596,250 |
||||||
|
MDC Partners, Inc. |
||||||||
|
6.50% due 05/01/244 |
500,000 |
496,250 |
||||||
|
Zayo Group LLC / Zayo Capital, Inc. |
||||||||
|
6.38% due 05/15/25 |
450,000 |
459,000 |
||||||
|
Sirius XM Radio, Inc. |
||||||||
|
5.38% due 07/15/264 |
400,000 |
397,000 |
||||||
|
CCO Holdings LLC / CCO Holdings Capital Corp. |
||||||||
|
5.88% due 04/01/244 |
350,000 |
363,125 |
||||||
|
Sprint Corp. |
||||||||
|
7.25% due 09/15/21 |
200,000 |
170,500 |
||||||
|
7.88% due 09/15/23 |
150,000 |
122,625 |
||||||
|
7.63% due 02/15/25 |
50,000 |
39,563 |
||||||
|
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance |
||||||||
|
7.88% due 05/15/244 |
300,000 |
310,500 |
||||||
|
Altice US Finance I Corp. |
||||||||
|
5.50% due 05/15/264 |
300,000 |
300,000 |
||||||
|
EIG Investors Corp. |
||||||||
|
10.88% due 02/01/249 |
325,000 |
295,750 |
||||||
|
CenturyLink, Inc. |
||||||||
|
5.63% due 04/01/25 |
300,000 |
267,000 |
||||||
|
Midcontinent Communications & Midcontinent Finance Corp. |
||||||||
|
6.88% due 08/15/234 |
250,000 |
256,250 |
||||||
|
Avaya, Inc. |
||||||||
|
7.00% due 04/01/194 |
300,000 |
214,500 |
||||||
|
Level 3 Financing, Inc. |
||||||||
|
5.25% due 03/15/264 |
200,000 |
196,000 |
||||||
|
Inmarsat Finance plc |
||||||||
|
4.88% due 05/15/224 |
200,000 |
182,500 |
||||||
|
Match Group, Inc. |
||||||||
|
6.38% due 06/01/244 |
150,000 |
156,000 |
||||||
|
Sirius XM Canada Holdings, Inc. |
||||||||
|
5.63% due 04/23/214 |
CAD |
150,000 |
114,923 |
|||||
|
72 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
Face |
Value |
|||||||
|
Cogent Communications Group, Inc. |
||||||||
|
5.38% due 03/01/224 |
$ |
100,000 |
$ |
100,250 |
||||
|
Total Communications |
10,098,393 |
|||||||
|
Energy - 14.3% |
||||||||
|
Sabine Pass Liquefaction LLC |
||||||||
|
6.25% due 03/15/22 |
550,000 |
565,125 |
||||||
|
5.63% due 04/15/23 |
400,000 |
401,500 |
||||||
|
5.88% due 06/30/264 |
250,000 |
250,938 |
||||||
|
CONSOL Energy, Inc. |
||||||||
|
8.00% due 04/01/23 |
450,000 |
398,250 |
||||||
|
5.88% due 04/15/22 |
450,000 |
392,625 |
||||||
|
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp. |
||||||||
|
6.25% due 04/01/233,4 |
750,000 |
690,000 |
||||||
|
Gibson Energy, Inc. |
||||||||
|
6.75% due 07/15/213,4 |
689,000 |
685,555 |
||||||
|
Antero Resources Corp. |
||||||||
|
5.63% due 06/01/23 |
350,000 |
339,500 |
||||||
|
5.13% due 12/01/22 |
256,000 |
245,760 |
||||||
|
5.38% due 11/01/21 |
100,000 |
97,750 |
||||||
|
Comstock Resources, Inc. |
||||||||
|
10.00% due 03/15/203,4 |
775,000 |
623,875 |
||||||
|
Keane Group Holdings LLC |
||||||||
|
11.99% due 08/08/19†††,1 |
625,625 |
581,831 |
||||||
|
Unit Corp. |
||||||||
|
6.63% due 05/15/213 |
700,000 |
540,750 |
||||||
|
Terraform Global Operating LLC |
||||||||
|
9.75% due 08/15/223,4 |
550,000 |
497,750 |
||||||
|
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp. |
||||||||
|
6.63% due 12/01/21 |
625,000 |
262,500 |
||||||
|
8.00% due 12/01/20 |
505,000 |
213,363 |
||||||
|
EP Energy LLC / Everest Acquisition Finance, Inc. |
||||||||
|
9.38% due 05/01/20 |
350,000 |
247,625 |
||||||
|
6.38% due 06/15/23 |
350,000 |
210,000 |
||||||
|
Halcon Resources Corp. |
||||||||
|
8.63% due 02/01/203,4 |
450,000 |
424,404 |
||||||
|
FTS International, Inc. |
||||||||
|
8.15% due 06/15/204,5 |
250,000 |
210,023 |
||||||
|
6.25% due 05/01/22 |
350,000 |
136,500 |
||||||
|
TerraForm Power Operating LLC |
||||||||
|
5.88% due 02/01/234 |
350,000 |
333,130 |
||||||
|
SandRidge Energy, Inc. |
||||||||
|
8.75% due 06/01/204,6 |
675,000 |
276,750 |
||||||
|
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp. |
||||||||
|
7.75% due 01/15/211 |
825,000 |
107,250 |
||||||
|
9.25% due 08/15/211 |
775,000 |
100,750 |
||||||
|
QEP Resources, Inc. |
||||||||
|
6.88% due 03/01/21 |
200,000 |
202,000 |
||||||
|
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp. |
||||||||
|
7.88% due 04/15/226 |
|
750,000 |
150,000 |
|||||
|
8.62% due 10/15/206 |
250,000 |
50,000 |
||||||
|
Whiting Petroleum Corp. |
||||||||
|
5.75% due 03/15/21 |
200,000 |
180,500 |
||||||
|
Approach Resources, Inc. |
||||||||
|
7.00% due 06/15/213 |
150,000 |
88,500 |
||||||
|
DCP Midstream LLC |
||||||||
|
5.35% due 03/15/204 |
50,000 |
49,000 |
||||||
|
Schahin II Finance Company SPV Ltd. |
||||||||
|
5.88% due 09/25/226,9 |
173,733 |
22,585 |
||||||
|
SemGroup, LP |
||||||||
|
8.75% due 11/15/15†††,1 |
1,700,000 |
2 |
||||||
|
Total Energy |
9,576,091 |
|||||||
|
Consumer, Non-cyclical - 12.4% |
||||||||
|
Vector Group Ltd. |
||||||||
|
7.75% due 02/15/213 |
1,150,000 |
1,197,437 |
||||||
|
7.75% due 02/15/214 |
250,000 |
260,312 |
||||||
|
ADT Corp. |
||||||||
|
6.25% due 10/15/213 |
950,000 |
1,009,375 |
||||||
|
3.50% due 07/15/22 |
115,000 |
105,369 |
||||||
|
HRG Group, Inc. |
||||||||
|
7.88% due 07/15/193 |
748,000 |
784,465 |
||||||
|
Bumble Bee Holdco SCA |
||||||||
|
9.62% due 03/15/184 |
784,000 |
776,160 |
||||||
|
Opal Acquisition, Inc. |
||||||||
|
8.88% due 12/15/214 |
1,010,000 |
775,175 |
||||||
|
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc. |
||||||||
|
7.88% due 10/01/224 |
800,000 |
764,000 |
||||||
|
WEX, Inc. |
||||||||
|
4.75% due 02/01/234 |
550,000 |
533,500 |
||||||
|
Central Garden & Pet Co. |
||||||||
|
6.13% due 11/15/23 |
500,000 |
520,000 |
||||||
|
KeHE Distributors LLC / KeHE Finance Corp. |
||||||||
|
7.63% due 08/15/214 |
450,000 |
444,938 |
||||||
|
US Foods, Inc. |
||||||||
|
8.50% due 06/30/19 |
400,000 |
408,500 |
||||||
|
Bumble Bee Holdings, Inc. |
||||||||
|
9.00% due 12/15/174 |
350,000 |
354,375 |
||||||
|
Kinetic Concepts Incorporated / KCI USA Inc |
||||||||
|
7.88% due 02/15/214 |
275,000 |
292,358 |
||||||
|
Halyard Health, Inc. |
||||||||
|
6.25% due 10/15/22 |
100,000 |
97,500 |
||||||
|
Total Consumer, Non-cyclical |
8,323,464 |
|||||||
|
Technology - 10.8% |
||||||||
|
First Data Corp. |
||||||||
|
5.75% due 01/15/243,4 |
850,000 |
843,625 |
||||||
|
5.00% due 01/15/244 |
300,000 |
300,750 |
||||||
|
NCR Corp. |
||||||||
|
6.38% due 12/15/23 |
600,000 |
612,000 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 73 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
Face |
Value |
|||||||
|
5.88% due 12/15/21 |
$ |
500,000 |
$ |
507,500 |
||||
|
Epicor Software |
||||||||
|
9.24% due 06/21/23††† |
1,150,000 |
1,113,890 |
||||||
|
Micron Technology, Inc. |
||||||||
|
5.25% due 08/01/233,4 |
675,000 |
575,437 |
||||||
|
7.50% due 09/15/233,4 |
435,000 |
462,188 |
||||||
|
Open Text Corp. |
||||||||
|
5.63% due 01/15/233,4 |
750,000 |
757,500 |
||||||
|
5.88% due 06/01/264 |
150,000 |
150,375 |
||||||
|
Infor US, Inc. |
||||||||
|
6.50% due 05/15/223 |
950,000 |
897,161 |
||||||
|
Cengage Learning, Inc. |
||||||||
|
9.50% due 06/15/244 |
300,000 |
305,250 |
||||||
|
Aspect Software, Inc. |
||||||||
|
3.00% due 05/25/23†††,4 |
233,566 |
233,566 |
||||||
|
Microsoft Corp. |
||||||||
|
4.20% due 11/03/35 |
200,000 |
226,519 |
||||||
|
Oracle Corp. |
||||||||
|
3.85% due 07/15/36 |
200,000 |
200,519 |
||||||
|
Diamond 1 Finance Corporation / Diamond 2 Finance Corp |
||||||||
|
7.13% due 06/15/244 |
75,000 |
78,332 |
||||||
|
Total Technology |
7,264,612 |
|||||||
|
Financial - 10.6% |
||||||||
|
Jefferies Finance LLC / JFIN Company-Issuer Corp. |
||||||||
|
7.38% due 04/01/203,4 |
805,000 |
745,631 |
||||||
|
7.50% due 04/15/213,4 |
400,000 |
359,140 |
||||||
|
Kennedy-Wilson, Inc. |
||||||||
|
5.87% due 04/01/243 |
1,020,000 |
994,500 |
||||||
|
Citigroup, Inc. |
||||||||
|
6.30% 3,5,7 |
650,000 |
646,685 |
||||||
|
5.95% 5,7 |
150,000 |
146,625 |
||||||
|
Lincoln Finance Ltd. |
||||||||
|
6.87% due 04/15/21 |
EUR |
600,000 |
716,587 |
|||||
|
GEO Group, Inc. |
||||||||
|
5.88% due 01/15/22 |
450,000 |
459,000 |
||||||
|
6.00% due 04/15/26 |
150,000 |
151,500 |
||||||
|
National Financial Partners Corp. |
||||||||
|
9.00% due 07/15/213,4 |
600,000 |
578,250 |
||||||
|
Wilton Re Finance LLC |
||||||||
|
5.87% due 03/30/334,5 |
400,000 |
410,912 |
||||||
|
NewStar Financial, Inc. |
||||||||
|
7.25% due 05/01/203 |
400,000 |
372,000 |
||||||
|
EPR Properties |
||||||||
|
5.75% due 08/15/223 |
300,000 |
325,799 |
||||||
|
Compass Bank |
||||||||
|
3.88% due 04/10/25 |
300,000 |
287,888 |
||||||
|
Jefferies LoanCore LLC / JLC Finance Corp. |
||||||||
|
6.87% due 06/01/204 |
300,000 |
262,500 |
||||||
|
Greystar Real Estate Partners LLC |
||||||||
|
8.25% due 12/01/224 |
250,000 |
257,500 |
||||||
|
Hospitality Properties Trust |
||||||||
|
4.50% due 03/15/25 |
250,000 |
251,326 |
||||||
|
HUB International Ltd. |
||||||||
|
9.25% due 02/15/214 |
|
100,000 |
104,500 |
|||||
|
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp. |
||||||||
|
6.00% due 08/01/20 |
50,000 |
49,375 |
||||||
|
Total Financial |
7,119,718 |
|||||||
|
Industrial - 6.7% |
||||||||
|
CONTOURGLOBAL LP |
||||||||
|
5.12% due 06/15/21 |
EUR |
700,000 |
764,704 |
|||||
|
StandardAero Aviation Holdings, Inc. |
||||||||
|
10.00% due 07/15/234 |
650,000 |
648,375 |
||||||
|
Summit Materials LLC / Summit Materials Finance Corp. |
||||||||
|
8.50% due 04/15/224 |
500,000 |
529,374 |
||||||
|
Amsted Industries, Inc. |
||||||||
|
5.38% due 09/15/244 |
400,000 |
392,000 |
||||||
|
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc. |
||||||||
|
7.25% due 05/15/244 |
350,000 |
357,219 |
||||||
|
LMI Aerospace, Inc. |
||||||||
|
7.38% due 07/15/19 |
350,000 |
352,625 |
||||||
|
Anixter, Inc. |
||||||||
|
5.50% due 03/01/23 |
300,000 |
305,250 |
||||||
|
Standard Industries, Inc. |
||||||||
|
5.50% due 02/15/234 |
250,000 |
255,625 |
||||||
|
CEVA Group plc |
||||||||
|
7.00% due 03/01/214 |
250,000 |
215,000 |
||||||
|
Moto Finance plc |
||||||||
|
6.37% due 09/01/20 |
GBP |
150,000 |
204,518 |
|||||
|
Reynolds Group Issuer Incorporated / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu |
||||||||
|
4.13% due 07/15/214,5 |
200,000 |
200,500 |
||||||
|
Coveris Holdings S.A. |
||||||||
|
7.88% due 11/01/194 |
150,000 |
145,688 |
||||||
|
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer |
||||||||
|
6.88% due 02/15/21 |
100,000 |
103,000 |
||||||
|
Total Industrial |
4,473,878 |
|||||||
|
Consumer, Cyclical - 6.6% |
||||||||
|
Ferrellgas Limited Partnership / Ferrellgas Finance Corp. |
||||||||
|
6.75% due 06/15/234 |
600,000 |
526,501 |
||||||
|
6.75% due 01/15/22 |
300,000 |
273,000 |
||||||
|
6.50% due 05/01/21 |
150,000 |
137,625 |
||||||
|
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
||||||||
|
5.50% due 03/01/253,4 |
650,000 |
628,875 |
||||||
|
Nathan’s Famous, Inc. |
||||||||
|
10.00% due 03/15/204 |
400,000 |
427,000 |
||||||
|
L Brands, Inc. |
||||||||
|
6.75% due 07/01/36 |
300,000 |
299,811 |
||||||
|
6.88% due 11/01/35 |
100,000 |
101,250 |
||||||
|
74 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
Face |
Value |
|||||||
|
NPC International Incorporated / NPC Operating Company A Inc / NPC Operating Co B Inc |
||||||||
|
10.50% due 01/15/20 |
$ |
350,000 |
$ |
368,375 |
||||
|
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp. |
||||||||
|
5.50% due 06/01/24 |
350,000 |
343,875 |
||||||
|
Wyndham Worldwide Corp. |
||||||||
|
5.10% due 10/01/253 |
300,000 |
325,976 |
||||||
|
TVL Finance PLC |
||||||||
|
8.50% due 05/15/23 |
GBP |
200,000 |
259,886 |
|||||
|
Interval Acquisition Corp. |
||||||||
|
5.63% due 04/15/23 |
200,000 |
200,500 |
||||||
|
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC |
||||||||
|
5.88% due 05/15/214 |
200,000 |
200,500 |
||||||
|
Group 1 Automotive, Inc. |
||||||||
|
5.25% due 12/15/233,4 |
200,000 |
196,500 |
||||||
|
Carrols Restaurant Group, Inc. |
||||||||
|
8.00% due 05/01/22 |
150,000 |
161,625 |
||||||
|
Total Consumer, Cyclical |
4,451,299 |
|||||||
|
Basic Materials - 3.4% |
||||||||
|
Eldorado Gold Corp. |
||||||||
|
6.13% due 12/15/203,4 |
815,000 |
815,000 |
||||||
|
Constellium N.V. |
||||||||
|
7.88% due 04/01/214 |
350,000 |
360,938 |
||||||
|
GCP Applied Technologies, Inc. |
||||||||
|
9.50% due 02/01/234 |
300,000 |
335,250 |
||||||
|
Yamana Gold, Inc. |
||||||||
|
4.95% due 07/15/24 |
300,000 |
295,140 |
||||||
|
PQ Corp. |
||||||||
|
6.75% due 11/15/224 |
200,000 |
208,500 |
||||||
|
Cascades, Inc. |
||||||||
|
5.75% due 07/15/234 |
150,000 |
144,375 |
||||||
|
Mirabela Nickel Ltd. |
||||||||
|
2.37% due 06/24/19†††,1,10 |
390,085 |
101,422 |
||||||
|
1.00% due 09/10/44†††,1,10 |
7,799 |
— |
||||||
|
Total Basic Materials |
2,260,625 |
|||||||
|
Utilities - 2.2% |
||||||||
|
LBC Tank Terminals Holding Netherlands BV |
||||||||
|
6.88% due 05/15/233,4 |
900,000 |
868,500 |
||||||
|
AES Corp. |
||||||||
|
6.00% due 05/15/26 |
300,000 |
306,375 |
||||||
|
3.67% due 06/01/195 |
66,000 |
65,835 |
||||||
|
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp. |
||||||||
|
5.63% due 05/20/24 |
150,000 |
151,125 |
||||||
|
TerraForm Power Operating LLC |
||||||||
|
6.13% due 06/15/253,4 |
125,000 |
118,125 |
||||||
|
Total Utilities |
1,509,960 |
|||||||
|
Total Corporate Bonds |
||||||||
|
(Cost $60,116,086) |
55,078,040 |
|||||||
|
SENIOR FLOATING RATE INTERESTS††,5 - 17.6% |
||||||||
|
Industrial - 4.8% |
||||||||
|
Flakt Woods |
||||||||
|
2.63% due 03/20/17†††,1 |
EUR |
1,566,523 |
,728,116 |
|||||
|
SIRVA Worldwide, Inc. |
||||||||
|
7.50% due 03/27/191 |
|
561,892 |
529,582 |
|||||
|
Hardware Holdings LLC |
||||||||
|
6.75% due 03/30/20†††,1 |
343,875 |
336,998 |
||||||
|
Mast Global |
||||||||
|
7.75% due 09/12/19†††,1 |
320,599 |
318,871 |
||||||
|
LSF9 Cypress Holdings LLC |
||||||||
|
7.25% due 10/09/22 |
249,625 |
240,888 |
||||||
|
NANA Development Corp. |
||||||||
|
8.00% due 03/15/181 |
52,500 |
48,562 |
||||||
|
CEVA Group Plc (United Kingdom) |
||||||||
|
6.50% due 03/19/21 |
21,492 |
17,570 |
||||||
|
CEVA Logistics US Holdings |
||||||||
|
6.50% due 03/19/21 |
14,096 |
11,524 |
||||||
|
CEVA Logistics Holdings BV (Dutch) |
||||||||
|
6.50% due 03/19/21 |
9,980 |
8,159 |
||||||
|
CEVA Logistics Canada, ULC |
||||||||
|
6.50% due 03/19/21 |
1,730 |
1,415 |
||||||
|
Total Industrial |
3,241,685 |
|||||||
|
Technology - 3.7% |
||||||||
|
Sparta Holding Corp. |
||||||||
|
6.50% due 07/28/20†††,1 |
668,540 |
663,998 |
||||||
|
Greenway Medical Technologies |
||||||||
|
9.25% due 11/04/211 |
500,000 |
435,000 |
||||||
|
EIG Investors Corp. |
||||||||
|
6.00% due 02/09/23 |
348,241 |
325,606 |
||||||
|
Avaya, Inc. |
||||||||
|
6.25% due 05/29/20 |
417,286 |
295,927 |
||||||
|
Verisure Cayman 2 |
||||||||
|
4.50% due 10/21/22 |
EUR |
250,000 |
276,805 |
|||||
|
Advanced Computer Software |
||||||||
|
10.50% due 01/31/231 |
200,000 |
184,000 |
||||||
|
TIBCO Software, Inc. |
||||||||
|
6.50% due 12/04/20 |
198,992 |
181,913 |
||||||
|
Micron Technology, Inc. |
||||||||
|
6.64% due 04/26/22 |
100,000 |
100,422 |
||||||
|
Aspect Software, Inc. |
||||||||
|
10.50% due 05/25/20 |
14,930 |
14,271 |
||||||
|
Total Technology |
2,477,942 |
|||||||
|
Consumer, Non-cyclical - 2.8% |
||||||||
|
IHC Holding Corp. |
||||||||
|
7.00% due 04/30/21†††,1 |
545,875 |
539,279 |
||||||
|
NES Global Talent |
||||||||
|
6.50% due 10/03/191 |
580,876 |
505,362 |
||||||
|
Reddy Ice Holdings, Inc. |
||||||||
|
10.75% due 10/01/191 |
530,000 |
373,210 |
||||||
|
CTI Foods Holding Co. LLC |
||||||||
|
8.25% due 06/28/21 |
300,000 |
270,000 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 75 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
Face |
Value |
|||||||
|
American Seafoods |
||||||||
|
6.00% due 08/19/211 |
$ |
195,648 |
$ |
191,735 |
||||
|
Total Consumer, Non-cyclical |
1,879,586 |
|||||||
|
Consumer, Cyclical - 2.4% |
||||||||
|
Mavis Tire |
||||||||
|
6.25% due 11/02/20†††,1 |
495,000 |
488,318 |
||||||
|
Belk, Inc. |
||||||||
|
5.75% due 12/12/22 |
448,875 |
355,172 |
||||||
|
Navistar, Inc. |
||||||||
|
6.50% due 08/07/20 |
248,750 |
234,240 |
||||||
|
Sears Holdings Corp. |
||||||||
|
5.50% due 06/30/18 |
197,468 |
187,759 |
||||||
|
Advantage Sales & Marketing LLC |
||||||||
|
3.48% due 07/25/191 |
180,000 |
165,776 |
||||||
|
Bass Pro Group LLC |
||||||||
|
4.00% due 06/05/20 |
160,000 |
157,101 |
||||||
|
Total Consumer, Cyclical |
1,588,366 |
|||||||
|
Financial - 1.8% |
||||||||
|
Cunningham Lindsey U.S., Inc. |
||||||||
|
9.25% due 06/10/201 |
935,455 |
416,277 |
||||||
|
York Risk Services |
||||||||
|
4.75% due 10/01/211 |
374,286 |
327,500 |
||||||
|
Safe-Guard |
||||||||
|
6.25% due 08/19/21 |
287,208 |
269,976 |
||||||
|
Trademonster |
||||||||
|
7.25% due 08/29/19†††,1 |
187,626 |
186,688 |
||||||
|
Total Financial |
1,200,441 |
|||||||
|
Communications - 1.5% |
||||||||
|
Cartrawler |
||||||||
|
4.00% due 04/29/211 |
EUR |
504,378 |
543,547 |
|||||
|
Anaren, Inc. |
||||||||
|
9.25% due 08/18/211 |
500,000 |
453,125 |
||||||
|
Total Communications |
996,672 |
|||||||
|
Utilities - 0.5% |
||||||||
|
Invenergy Thermal Operating I, LLC |
||||||||
|
6.50% due 10/19/22 |
|
397,000 |
371,195 |
|||||
|
Energy - 0.1% |
||||||||
|
FTS International |
||||||||
|
5.75% due 04/16/21 |
198,182 |
77,150 |
||||||
|
Total Senior Floating Rate Interests |
||||||||
|
(Cost $13,528,519) |
11,833,037 |
|||||||
|
SENIOR FIXED RATE INTERESTS†† - 1.1% |
||||||||
|
Financial - 1.1% |
||||||||
|
Magic Newco, LLC |
||||||||
|
12.00% due 06/12/19 |
700,000 |
727,566 |
||||||
|
Total Senior Fixed Rate Interests |
||||||||
|
(Cost $749,764) |
727,566 |
|||||||
|
ASSET-BACKED SECURITIES†† - 0.3% |
||||||||
|
Collateralized Debt Obligations - 0.3% |
||||||||
|
SRERS Funding Ltd. |
||||||||
|
2011-RS, 0.72% due 05/09/464,5 |
174,415 |
169,326 |
||||||
|
Total Asset-Backed Securities |
||||||||
|
(Cost $168,736) |
169,326 |
|||||||
|
Total Investments - 110.8% |
||||||||
|
(Cost $82,611,644) |
$ |
74,348,221 |
||||||
|
Other Assets & Liabilities, net - (10.8)% |
(7,226,439 |
) |
||||||
|
Total Net Assets - 100.0% |
$ |
67,121,782 |
||||||
|
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS†† |
|
Counterparty |
Contracts to Buy (Sell) |
Currency |
Settlement Date |
Settlement Value |
Value at |
Net Unrealized Appreciation/ Depreciation |
||||||||||||
|
Morgan Stanley |
(3,478,000 |
) |
EUR |
07/13/16 |
$ |
3,941,890 |
$ |
3,864,178 |
$ |
77,712 |
||||||||
|
Morgan Stanley |
(368,000 |
) |
GBP |
07/13/16 |
533,112 |
491,421 |
41,691 |
|||||||||||
|
JP Morgan Chase & Co. |
(677,000 |
) |
EUR |
07/13/16 |
762,368 |
752,170 |
10,197 |
|||||||||||
|
Morgan Stanley |
(150,000 |
) |
CAD |
07/13/16 |
117,799 |
115,682 |
2,117 |
|||||||||||
|
Bank of America |
492,000 |
EUR |
07/13/16 |
(557,466 |
) |
546,629 |
(10,837 |
) |
||||||||||
|
$ |
120,880 |
|||||||||||||||||
|
76 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES P (HIGH YIELD SERIES) |
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
|
†† |
Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
Illiquid security. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 12. |
|
4 |
Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $28,053,635 (cost $29,230,743), or 41.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
|
5 |
Variable rate security. Rate indicated is rate effective at June 30, 2016. |
|
6 |
Security is in default of interest and/or principal obligations. |
|
7 |
Perpetual maturity. |
|
8 |
The face amount is denominated in U.S. dollars unless otherwise noted. |
|
9 |
Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144a or section 4(a)(2) securities is $318,335 (cost $407,457), or 0.5% of total net assets — See Note 13. |
|
10 |
Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. |
|
plc — Public Limited Company |
|
|
REIT — Real Estate Investment Trust |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Asset-Backed Securities |
$ |
— |
$ |
— |
$ |
169,326 |
$ |
— |
$ |
— |
$ |
169,326 |
||||||||||||
|
Common Stocks |
4,562 |
— |
53,277 |
— |
670,775 |
728,614 |
||||||||||||||||||
|
Corporate Bonds |
— |
— |
53,047,329 |
— |
2,030,711 |
55,078,040 |
||||||||||||||||||
|
Forward Foreign Currency Exchange Contracts |
— |
— |
— |
131,717 |
— |
131,717 |
||||||||||||||||||
|
Exchange-Traded Funds |
874,650 |
— |
— |
— |
— |
874,650 |
||||||||||||||||||
|
Preferred Stocks |
— |
— |
— |
— |
45,992 |
45,992 |
||||||||||||||||||
|
Senior Fixed Rate Interests |
— |
— |
727,566 |
— |
— |
727,566 |
||||||||||||||||||
|
Senior Floating Rate Interests |
— |
— |
7,570,769 |
— |
4,262,268 |
11,833,037 |
||||||||||||||||||
|
Short Term Investments |
4,890,996 |
— |
— |
— |
— |
4,890,996 |
||||||||||||||||||
|
Total |
$ |
5,770,208 |
$ |
— |
$ |
61,568,267 |
$ |
131,717 |
$ |
7,009,746 |
$ |
74,479,938 |
||||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Forward Foreign Currency Exchange Contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
10,837 |
$ |
— |
$ |
10,837 |
||||||||||||
|
* |
Other financial instruments include forward foreign currency exchange contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Fund recognizes transfers between the levels as of the beginning of the period. As of June 30, 2016, Series P (High Yield Series) had a security with a total value of $385,163 transfer into Level 3 from Level 2 due to changes in the securities valuation method which use non-observable market inputs. There were no other securities that transferred between Levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 77 |
|
SERIES P (HIGH YIELD SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $82,611,644) |
$ |
74,348,221 |
||
|
Foreign currency, at value (cost $8,757) |
8,757 |
|||
|
Cash |
134,281 |
|||
|
Unrealized appreciation on forward foreign currency exchange contracts |
131,717 |
|||
|
Prepaid expenses |
1,177 |
|||
|
Receivables: |
||||
|
Securities sold |
6,500,876 |
|||
|
Interest |
1,141,250 |
|||
|
Fund shares sold |
393,576 |
|||
|
Interest from reverse repurchase agreements |
5,248 |
|||
|
Foreign taxes reclaim |
267 |
|||
|
Total assets |
82,665,370 |
|||
|
Liabilities: |
||||
|
Reverse Repurchase Agreements |
13,729,775 |
|||
|
Unfunded loan commitments, at value (Note 9) (proceeds $703,950) |
464,915 |
|||
|
Segregated cash due to broker |
104,242 |
|||
|
Unrealized depreciation on forward foreign currency exchange contracts |
10,837 |
|||
|
Payable for: |
||||
|
Securities purchased |
1,053,392 |
|||
|
Fund shares redeemed |
62,915 |
|||
|
Management fees |
35,913 |
|||
|
Distribution and service fees |
15,347 |
|||
|
Fund accounting/administration fees |
5,832 |
|||
|
Transfer agent/maintenance fees |
3,042 |
|||
|
Miscellaneous |
57,378 |
|||
|
Total liabilities |
15,543,588 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
67,121,782 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
67,432,265 |
||
|
Undistributed net investment income |
9,228,930 |
|||
|
Accumulated net realized loss on investments |
(1,635,282 |
) |
||
|
Net unrealized depreciation on investments |
(7,904,131 |
) |
||
|
Net assets |
$ |
67,121,782 |
||
|
Capital shares outstanding |
2,173,782 |
|||
|
Net asset value per share |
$ |
30.88 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Interest |
$ |
3,008,200 |
||
|
Dividends |
23,639 |
|||
|
Total investment income |
3,031,839 |
|||
|
Expenses: |
||||
|
Management fees |
210,469 |
|||
|
Transfer agent/maintenance fees |
12,566 |
|||
|
Distribution and service fees |
87,696 |
|||
|
Fund accounting/administration fees |
33,324 |
|||
|
Short interest expense |
17,834 |
|||
|
Line of credit fees |
7,042 |
|||
|
Custodian fees |
5,000 |
|||
|
Trustees’ fees* |
18 |
|||
|
Miscellaneous |
38,383 |
|||
|
Total expenses |
412,332 |
|||
|
Less: |
||||
|
Expenses waived by Adviser |
(11,433 |
) |
||
|
Net expenses |
400,899 |
|||
|
Net investment income |
2,630,940 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
(1,243,366 |
) |
||
|
Foreign currency |
24,538 |
|||
|
Forward currency exchange contracts |
(118,751 |
) |
||
|
Net realized loss |
(1,337,579 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
4,187,798 |
|||
|
Foreign currency |
(369 |
) |
||
|
Forward foreign currency exchange contracts |
94,266 |
|||
|
Net change in unrealized appreciation (depreciation) |
4,281,695 |
|||
|
Net realized and unrealized gain |
2,944,116 |
|||
|
Net increase in net assets resulting from operations |
$ |
5,575,056 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
78 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES P (HIGH YIELD SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
2,630,940 |
$ |
5,614,236 |
||||
|
Net realized gain (loss) on investments |
(1,337,579 |
) |
344,710 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
4,281,695 |
(8,369,682 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
5,575,056 |
(2,410,736 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(8,057,853 |
) |
|||||
|
Net realized gains |
— |
(1,595,016 |
) |
|||||
|
Total distributions to shareholders |
— |
(9,652,869 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
27,882,726 |
55,427,241 |
||||||
|
Distributions reinvested |
— |
9,652,869 |
||||||
|
Cost of shares redeemed |
(33,244,110 |
) |
(65,300,291 |
) |
||||
|
Net decrease from capital share transactions |
(5,361,384 |
) |
(220,181 |
) |
||||
|
Net increase (decrease) in net assets |
213,672 |
(12,283,786 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
66,908,110 |
79,191,896 |
||||||
|
End of period |
$ |
67,121,782 |
$ |
66,908,110 |
||||
|
Undistributed net investment income at end of period |
$ |
9,228,930 |
$ |
6,597,990 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
969,136 |
1,702,233 |
||||||
|
Shares issued from reinvestment of distributions |
— |
311,785 |
||||||
|
Shares redeemed |
(1,132,154 |
) |
(2,015,583 |
) |
||||
|
Net decrease in shares |
(163,018 |
) |
(1,565 |
) |
||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 79 |
|
SERIES P (HIGH YIELD SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
28.63 |
$ |
33.87 |
$ |
33.02 |
$ |
30.75 |
$ |
26.77 |
$ |
26.78 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
1.09 |
2.17 |
2.23 |
2.20 |
2.01 |
2.00 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
1.16 |
(3.23 |
) |
(1.38 |
) |
.07 |
1.97 |
(2.01 |
) |
|||||||||||||||
|
Total from investment operations |
2.25 |
(1.06 |
) |
.85 |
2.27 |
3.98 |
(.01 |
) |
||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(3.49 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(.69 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(4.18 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
30.88 |
$ |
28.63 |
$ |
33.87 |
$ |
33.02 |
$ |
30.75 |
$ |
26.77 |
||||||||||||
|
Total Returnc |
7.79 |
% |
(3.95 |
%) |
2.51 |
% |
7.38 |
% |
14.87 |
% |
(0.04 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
67,122 |
$ |
66,908 |
$ |
79,192 |
$ |
123,983 |
$ |
138,253 |
$ |
118,156 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
7.50 |
% |
6.69 |
% |
6.50 |
% |
6.86 |
% |
6.95 |
% |
7.34 |
% |
||||||||||||
|
Total expensesd |
1.18 |
% |
1.19 |
% |
1.09 |
% |
1.07 |
% |
0.95 |
% |
0.93 |
% |
||||||||||||
|
Net expensese |
1.14 |
%f |
1.15 |
%f |
1.08 |
%f |
1.07 |
% |
0.95 |
% |
0.93 |
% |
||||||||||||
|
Portfolio turnover rate |
47 |
% |
101 |
% |
90 |
% |
100 |
% |
95 |
% |
64 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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 |
Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the period would be: |
|
06/30/16 |
12/31/15 |
12/31/14 |
||
|
1.07% |
1.07% |
0.97% |
|
80 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES Q (SMALL CAP VALUE SERIES)
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: May 1, 2000 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Spire, Inc. |
3.0% |
|
Navigators Group, Inc. |
2.5% |
|
Berkshire Hills Bancorp, Inc. |
2.4% |
|
FLIR Systems, Inc. |
2.1% |
|
Black Hills Corp. |
2.1% |
|
Sun Communities, Inc. |
2.1% |
|
Corrections Corporation of America |
1.9% |
|
CubeSmart |
1.9% |
|
1st Source Corp. |
1.9% |
|
Avista Corp. |
1.9% |
|
Top Ten Total |
21.8% |
|
“Ten Largest Holdings” excludes any temporary cash investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 81 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES Q (SMALL CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 97.1% |
||||||||
|
Financial - 36.6% |
||||||||
|
Navigators Group, Inc. |
24,479 |
$ |
2,251,334 |
|||||
|
Berkshire Hills Bancorp, Inc. |
81,458 |
2,192,849 |
||||||
|
Sun Communities, Inc. |
24,476 |
1,875,841 |
||||||
|
Corrections Corporation of America |
50,593 |
1,771,767 |
||||||
|
CubeSmart |
57,096 |
1,763,124 |
||||||
|
1st Source Corp. |
53,153 |
1,721,626 |
||||||
|
Zions Bancorporation |
66,256 |
1,665,014 |
||||||
|
Hanover Insurance Group, Inc. |
17,454 |
1,476,957 |
||||||
|
Trustmark Corp. |
57,015 |
1,416,823 |
||||||
|
Endurance Specialty Holdings Ltd. |
20,022 |
1,344,678 |
||||||
|
Fulton Financial Corp. |
98,360 |
1,327,860 |
||||||
|
Cathay General Bancorp |
46,690 |
1,316,658 |
||||||
|
Wintrust Financial Corp. |
23,644 |
1,205,844 |
||||||
|
Argo Group International Holdings Ltd. |
22,598 |
1,172,836 |
||||||
|
Horace Mann Educators Corp. |
27,610 |
932,942 |
||||||
|
Hanmi Financial Corp. |
39,023 |
916,650 |
||||||
|
Prosperity Bancshares, Inc. |
17,458 |
890,183 |
||||||
|
EastGroup Properties, Inc. |
11,645 |
802,574 |
||||||
|
EPR Properties |
9,656 |
779,046 |
||||||
|
Parkway Properties, Inc. |
43,310 |
724,576 |
||||||
|
TriCo Bancshares |
26,062 |
719,311 |
||||||
|
First Citizens BancShares, Inc. — Class A |
2,725 |
705,530 |
||||||
|
Equity Commonwealth* |
24,146 |
703,373 |
||||||
|
First Industrial Realty Trust, Inc. |
20,067 |
558,264 |
||||||
|
Lexington Realty Trust |
54,490 |
550,894 |
||||||
|
DCT Industrial Trust, Inc. |
10,831 |
520,321 |
||||||
|
Camden Property Trust |
5,717 |
505,497 |
||||||
|
Umpqua Holdings Corp. |
29,401 |
454,833 |
||||||
|
Monogram Residential Trust, Inc. |
43,962 |
448,852 |
||||||
|
Federal Agricultural Mortgage Corp. — Class C |
12,742 |
443,676 |
||||||
|
Apartment Investment & Management Co. — Class A |
5,736 |
253,302 |
||||||
|
Total Financial |
33,413,035 |
|||||||
|
Industrial - 12.1% |
||||||||
|
FLIR Systems, Inc. |
61,978 |
1,918,218 |
||||||
|
Marten Transport Ltd. |
56,948 |
1,127,570 |
||||||
|
Oshkosh Corp. |
22,152 |
1,056,872 |
||||||
|
Owens-Illinois, Inc.* |
52,668 |
948,551 |
||||||
|
Benchmark Electronics, Inc.* |
43,640 |
922,986 |
||||||
|
Argan, Inc. |
20,620 |
860,266 |
||||||
|
Gentex Corp. |
39,973 |
617,583 |
||||||
|
Werner Enterprises, Inc. |
25,376 |
582,887 |
||||||
|
Kirby Corp.* |
8,233 |
513,658 |
||||||
|
Scorpio Tankers, Inc. |
113,782 |
477,884 |
||||||
|
Ryder System, Inc. |
7,145 |
436,845 |
||||||
|
Crane Co. |
7,542 |
427,783 |
||||||
|
ITT, Inc. |
12,287 |
392,938 |
||||||
|
LMI Aerospace, Inc.* |
43,370 |
348,695 |
||||||
|
AEP Industries, Inc. |
3,630 |
292,070 |
||||||
|
Rand Logistics, Inc.* |
119,809 |
123,403 |
||||||
|
Total Industrial |
11,048,209 |
|||||||
|
Consumer, Non-cyclical - 12.0% |
||||||||
|
Emergent BioSolutions, Inc.* |
48,533 |
1,364,748 |
||||||
|
Invacare Corp. |
79,613 |
965,706 |
||||||
|
Darling Ingredients, Inc.* |
64,274 |
957,683 |
||||||
|
Premier, Inc. — Class A* |
26,870 |
878,649 |
||||||
|
Navigant Consulting, Inc.* |
52,245 |
843,756 |
||||||
|
Sanderson Farms, Inc. |
9,414 |
815,629 |
||||||
|
ICU Medical, Inc.* |
6,439 |
725,997 |
||||||
|
Surgical Care Affiliates, Inc.* |
14,391 |
686,019 |
||||||
|
HealthSouth Corp. |
14,520 |
563,666 |
||||||
|
Carriage Services, Inc. — Class A |
21,530 |
509,830 |
||||||
|
FTI Consulting, Inc.* |
12,341 |
502,032 |
||||||
|
Patterson Companies, Inc. |
10,180 |
487,520 |
||||||
|
United Rentals, Inc.* |
5,718 |
383,678 |
||||||
|
Molina Healthcare, Inc.* |
7,221 |
360,328 |
||||||
|
Universal Corp. |
5,760 |
332,582 |
||||||
|
ICF International, Inc.* |
6,844 |
279,920 |
||||||
|
Trevena, Inc.* |
27,736 |
174,737 |
||||||
|
Community Health Systems, Inc.* |
13,830 |
166,652 |
||||||
|
Total Consumer, Non-cyclical |
10,999,132 |
|||||||
|
Consumer, Cyclical - 10.3% |
||||||||
|
International Speedway Corp. — Class A |
41,593 |
1,391,286 |
||||||
|
Century Communities, Inc.* |
65,401 |
1,134,052 |
||||||
|
J.C. Penney Company, Inc.* |
117,783 |
1,045,913 |
||||||
|
La-Z-Boy, Inc. |
28,430 |
790,923 |
||||||
|
UniFirst Corp. |
6,430 |
744,080 |
||||||
|
Essendant, Inc. |
23,879 |
729,742 |
||||||
|
CalAtlantic Group, Inc. |
13,929 |
511,334 |
||||||
|
ScanSource, Inc.* |
13,620 |
505,438 |
||||||
|
Tuesday Morning Corp.* |
71,560 |
502,351 |
||||||
|
Scotts Miracle-Gro Co. — Class A |
7,179 |
501,884 |
||||||
|
Unifi, Inc.* |
16,961 |
461,848 |
||||||
|
WESCO International, Inc.* |
6,429 |
331,029 |
||||||
|
Sonic Automotive, Inc. — Class A |
14,478 |
247,719 |
||||||
|
Caleres, Inc. |
10,184 |
246,555 |
||||||
|
Tenneco, Inc.* |
5,044 |
235,101 |
||||||
|
Total Consumer, Cyclical |
9,379,255 |
|||||||
|
Utilities - 10.2% |
||||||||
|
Spire, Inc. |
38,435 |
2,722,736 |
||||||
|
Black Hills Corp. |
29,970 |
1,889,308 |
||||||
|
Avista Corp. |
38,357 |
1,718,394 |
||||||
|
Portland General Electric Co. |
38,360 |
1,692,443 |
||||||
|
ALLETE, Inc. |
9,160 |
592,011 |
||||||
|
Calpine Corp.* |
31,093 |
458,622 |
||||||
|
ONE Gas, Inc. |
4,263 |
283,873 |
||||||
|
Total Utilities |
9,357,387 |
|||||||
|
82 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES Q (SMALL CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
Technology - 7.6% |
||||||||
|
ManTech International Corp. — Class A |
38,341 |
$ |
1,450,057 |
|||||
|
Maxwell Technologies, Inc.* |
233,573 |
1,233,264 |
||||||
|
Mercury Systems, Inc.* |
43,730 |
1,087,128 |
||||||
|
IXYS Corp. |
74,091 |
759,433 |
||||||
|
Brooks Automation, Inc. |
56,730 |
636,510 |
||||||
|
MKS Instruments, Inc. |
11,877 |
511,424 |
||||||
|
Cree, Inc.* |
19,114 |
467,146 |
||||||
|
Super Micro Computer, Inc.* |
18,434 |
458,085 |
||||||
|
Photronics, Inc.* |
41,872 |
373,080 |
||||||
|
Total Technology |
6,976,127 |
|||||||
|
Basic Materials - 3.4% |
||||||||
|
Reliance Steel & Aluminum Co. |
11,980 |
921,261 |
||||||
|
Olin Corp. |
24,301 |
603,637 |
||||||
|
Stillwater Mining Co.* |
41,324 |
490,103 |
||||||
|
Luxfer Holdings plc ADR |
35,340 |
425,140 |
||||||
|
Landec Corp.* |
33,317 |
358,491 |
||||||
|
Calgon Carbon Corp. |
23,019 |
302,700 |
||||||
|
Total Basic Materials |
3,101,332 |
|||||||
|
Communications - 2.5% |
||||||||
|
DigitalGlobe, Inc.* |
73,377 |
1,569,534 |
||||||
|
Finisar Corp.* |
39,950 |
699,525 |
||||||
|
Total Communications |
2,269,059 |
|||||||
|
Energy - 2.4% |
||||||||
|
Oasis Petroleum, Inc.* |
75,270 |
703,022 |
||||||
|
Rowan Companies plc — Class A |
37,020 |
653,773 |
||||||
|
Laredo Petroleum, Inc.* |
56,791 |
595,170 |
||||||
|
WPX Energy, Inc.* |
27,056 |
251,891 |
||||||
|
Total Energy |
2,203,856 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $79,855,392) |
88,747,392 |
|||||||
|
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
||||||||
|
Thermoenergy Corp. due *,1,3 |
116,667 |
68 |
||||||
|
Total Convertible Preferred Stocks |
||||||||
|
(Cost $111,410) |
68 |
|||||||
|
SHORT TERM INVESTMENTS† - 3.8% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
3,456,435 |
3,456,435 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $3,456,435) |
3,456,435 |
|||||||
|
Total Investments - 100.9% |
||||||||
|
(Cost $83,423,237) |
$ |
92,203,895 |
||||||
|
Other Assets & Liabilities, net - (0.9)% |
(844,058 |
) |
||||||
|
Total Net Assets - 100.0% |
$ |
91,359,837 |
||||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Illiquid security. |
|
ADR — American Depositary Receipt |
|
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Common Stocks |
$ |
88,747,392 |
$ |
— |
$ |
— |
$ |
88,747,392 |
||||||||
|
Convertible Preferred Stocks |
— |
— |
68 |
68 |
||||||||||||
|
Short Term Investments |
3,456,435 |
— |
— |
3,456,435 |
||||||||||||
|
Total |
$ |
92,203,827 |
$ |
— |
$ |
68 |
$ |
92,203,895 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 83 |
|
SERIES Q (SMALL CAP VALUE SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $83,423,237) |
$ |
92,203,895 |
||
|
Prepaid expenses |
1,740 |
|||
|
Receivables: |
||||
|
Dividends |
154,036 |
|||
|
Fund shares sold |
6,313 |
|||
|
Total assets |
92,365,984 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Securities purchased |
745,074 |
|||
|
Fund shares redeemed |
120,503 |
|||
|
Management fees |
71,760 |
|||
|
Fund accounting/administration fees |
7,176 |
|||
|
Transfer agent/maintenance fees |
3,922 |
|||
|
Trustees’ fees* |
355 |
|||
|
Miscellaneous |
57,357 |
|||
|
Total liabilities |
1,006,147 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
91,359,837 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
77,351,881 |
||
|
Undistributed net investment income |
311,497 |
|||
|
Accumulated net realized gain on investments |
4,915,801 |
|||
|
Net unrealized appreciation on investments |
8,780,658 |
|||
|
Net assets |
$ |
91,359,837 |
||
|
Capital shares outstanding |
2,173,300 |
|||
|
Net asset value per share |
$ |
42.04 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends (net of foreign withholding tax of $471) |
$ |
627,105 |
||
|
Interest |
1,207 |
|||
|
Total investment income |
628,312 |
|||
|
Expenses: |
||||
|
Management fees |
416,355 |
|||
|
Transfer agent/maintenance fees |
12,595 |
|||
|
Fund accounting/administration fees |
41,635 |
|||
|
Line of credit fees |
7,204 |
|||
|
Custodian fees |
581 |
|||
|
Trustees’ fees* |
18 |
|||
|
Miscellaneous |
45,162 |
|||
|
Total expenses |
523,550 |
|||
|
Net investment income |
104,762 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
(2,540,736 |
) |
||
|
Net realized loss |
(2,540,736 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
7,475,554 |
|||
|
Net change in unrealized appreciation (depreciation) |
7,475,554 |
|||
|
Net realized and unrealized gain |
4,934,818 |
|||
|
Net increase in net assets resulting from operations |
$ |
5,039,580 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
84 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES Q (SMALL CAP VALUE SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
104,762 |
$ |
265,478 |
||||
|
Net realized gain (loss) on investments |
(2,540,736 |
) |
7,658,172 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
7,475,554 |
(14,683,247 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
5,039,580 |
(6,759,597 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net realized gains |
— |
(18,520,174 |
) |
|||||
|
Total distributions to shareholders |
— |
(18,520,174 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
4,721,237 |
7,140,709 |
||||||
|
Distributions reinvested |
— |
18,520,174 |
||||||
|
Cost of shares redeemed |
(8,158,439 |
) |
(26,556,736 |
) |
||||
|
Net decrease from capital share transactions |
(3,437,202 |
) |
(895,853 |
) |
||||
|
Net increase (decrease) in net assets |
1,602,378 |
(26,175,624 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
89,757,459 |
115,933,083 |
||||||
|
End of period |
$ |
91,359,837 |
$ |
89,757,459 |
||||
|
Undistributed net investment income at end of period |
$ |
311,497 |
$ |
206,735 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
117,024 |
154,490 |
||||||
|
Shares issued from reinvestment of distributions |
— |
432,310 |
||||||
|
Shares redeemed |
(204,067 |
) |
(567,478 |
) |
||||
|
Net increase (decrease) in shares |
(87,043 |
) |
19,322 |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 85 |
|
SERIES Q (SMALL CAP VALUE SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
39.71 |
$ |
51.73 |
$ |
52.46 |
$ |
38.35 |
$ |
32.09 |
$ |
33.64 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.05 |
.12 |
.08 |
.01 |
(— |
)c |
(.10 |
) |
||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
2.28 |
(2.87 |
) |
(.80 |
) |
14.10 |
6.26 |
(1.45 |
) |
|||||||||||||||
|
Total from investment operations |
2.33 |
(2.75 |
) |
(.72 |
) |
14.11 |
6.26 |
(1.55 |
) |
|||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
— |
(.01 |
) |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(9.27 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(9.27 |
) |
(.01 |
) |
— |
— |
— |
||||||||||||||||
|
Net asset value, end of period |
$ |
42.04 |
$ |
39.71 |
$ |
51.73 |
$ |
52.46 |
$ |
38.35 |
$ |
32.09 |
||||||||||||
|
Total Returne |
5.87 |
% |
(6.62 |
%) |
(1.38 |
%) |
36.79 |
% |
19.51 |
% |
(4.61 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
91,360 |
$ |
89,757 |
$ |
115,933 |
$ |
139,943 |
$ |
111,402 |
$ |
107,587 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
0.24 |
% |
0.26 |
% |
0.15 |
% |
0.02 |
% |
(0.00 |
%)d |
(0.29 |
%) |
||||||||||||
|
Total expenses |
1.19 |
% |
1.19 |
% |
1.16 |
% |
1.16 |
% |
1.15 |
% |
1.12 |
% |
||||||||||||
|
Portfolio turnover rate |
29 |
% |
57 |
% |
50 |
% |
30 |
% |
44 |
% |
51 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Net investment income (loss) is less than $0.01 per share. |
|
d |
Net investment income (loss) ratio is less than 0.01%. |
|
e |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
86 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES V (MID CAP VALUE SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: May 1, 1997 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
FLIR Systems, Inc. |
2.0% |
|
Alleghany Corp. |
2.0% |
|
Zions Bancorporation |
1.8% |
|
DigitalGlobe, Inc. |
1.8% |
|
Sonoco Products Co. |
1.7% |
|
Ameren Corp. |
1.7% |
|
Corrections Corporation of America |
1.6% |
|
OGE Energy Corp. |
1.6% |
|
Hanover Insurance Group, Inc. |
1.6% |
|
Popular, Inc. |
1.5% |
|
Top Ten Total |
17.3% |
|
“Ten Largest Holdings” excludes any temporary cash investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 87 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES V (MID CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 96.5% |
||||||||
|
Financial - 30.2% |
||||||||
|
Alleghany Corp.* |
8,110 |
$ |
4,457,093 |
|||||
|
Zions Bancorporation |
158,098 |
3,973,003 |
||||||
|
Corrections Corporation of America |
101,919 |
3,569,204 |
||||||
|
Hanover Insurance Group, Inc. |
40,917 |
3,462,396 |
||||||
|
Popular, Inc. |
108,959 |
3,192,499 |
||||||
|
FirstMerit Corp. |
150,679 |
3,054,264 |
||||||
|
KeyCorp |
266,149 |
2,940,946 |
||||||
|
Wintrust Financial Corp. |
56,033 |
2,857,683 |
||||||
|
Endurance Specialty Holdings Ltd. |
41,235 |
2,769,343 |
||||||
|
Sun Communities, Inc. |
35,442 |
2,716,275 |
||||||
|
CubeSmart |
84,969 |
2,623,843 |
||||||
|
Fulton Financial Corp. |
185,361 |
2,502,374 |
||||||
|
Alexandria Real Estate Equities, Inc. |
23,832 |
2,467,089 |
||||||
|
Assured Guaranty Ltd. |
96,719 |
2,453,761 |
||||||
|
Trustmark Corp. |
96,140 |
2,389,079 |
||||||
|
Parkway Properties, Inc. |
118,203 |
1,977,536 |
||||||
|
EastGroup Properties, Inc. |
27,652 |
1,905,776 |
||||||
|
E*TRADE Financial Corp.* |
80,443 |
1,889,606 |
||||||
|
EPR Properties |
23,149 |
1,867,661 |
||||||
|
Equity Commonwealth* |
57,886 |
1,686,219 |
||||||
|
Prosperity Bancshares, Inc. |
31,166 |
1,589,154 |
||||||
|
First Industrial Realty Trust, Inc. |
47,850 |
1,331,187 |
||||||
|
Lexington Realty Trust |
126,910 |
1,283,060 |
||||||
|
DCT Industrial Trust, Inc. |
25,874 |
1,242,987 |
||||||
|
Camden Property Trust |
13,573 |
1,200,125 |
||||||
|
PacWest Bancorp |
27,149 |
1,079,987 |
||||||
|
Monogram Residential Trust, Inc. |
105,045 |
1,072,509 |
||||||
|
Unum Group |
32,831 |
1,043,697 |
||||||
|
Apartment Investment & Management Co. — Class A |
13,620 |
601,459 |
||||||
|
Umpqua Holdings Corp. |
35,090 |
542,842 |
||||||
|
Federal Agricultural Mortgage Corp. — Class C |
15,517 |
540,302 |
||||||
|
Total Financial |
66,282,959 |
|||||||
|
Industrial - 16.1% |
||||||||
|
FLIR Systems, Inc. |
144,671 |
4,477,567 |
||||||
|
Sonoco Products Co. |
76,757 |
3,811,752 |
||||||
|
Gentex Corp. |
181,483 |
2,803,912 |
||||||
|
WestRock Co. |
70,288 |
2,732,094 |
||||||
|
Knight Transportation, Inc. |
93,764 |
2,492,247 |
||||||
|
Oshkosh Corp. |
48,839 |
2,330,109 |
||||||
|
Corning, Inc. |
111,912 |
2,291,958 |
||||||
|
Owens-Illinois, Inc.* |
123,056 |
2,216,239 |
||||||
|
Huntington Ingalls Industries, Inc. |
10,408 |
1,748,856 |
||||||
|
Owens Corning |
31,790 |
1,637,821 |
||||||
|
Werner Enterprises, Inc. |
60,929 |
1,399,539 |
||||||
|
Kirby Corp.* |
19,105 |
1,191,961 |
||||||
|
Scorpio Tankers, Inc. |
258,995 |
1,087,779 |
||||||
|
Spirit AeroSystems Holdings, Inc. — Class A* |
24,738 |
1,063,734 |
||||||
|
Harris Corp. |
12,409 |
1,035,407 |
||||||
|
Crane Co. |
18,062 |
1,024,477 |
||||||
|
Ryder System, Inc. |
16,684 |
1,020,060 |
||||||
|
ITT, Inc. |
28,354 |
906,761 |
||||||
|
Total Industrial |
35,272,273 |
|||||||
|
Consumer, Non-cyclical - 13.9% |
||||||||
|
MEDNAX, Inc.* |
39,804 |
2,883,004 |
||||||
|
Bunge Ltd. |
46,627 |
2,757,987 |
||||||
|
Quest Diagnostics, Inc. |
32,714 |
2,663,247 |
||||||
|
Emergent BioSolutions, Inc.* |
88,750 |
2,495,650 |
||||||
|
Darling Ingredients, Inc.* |
149,293 |
2,224,466 |
||||||
|
ICF International, Inc.* |
50,643 |
2,071,298 |
||||||
|
Navigant Consulting, Inc.* |
124,064 |
2,003,634 |
||||||
|
Sanderson Farms, Inc. |
22,230 |
1,926,007 |
||||||
|
HealthSouth Corp. |
48,383 |
1,878,228 |
||||||
|
Premier, Inc. — Class A* |
51,912 |
1,697,522 |
||||||
|
Surgical Care Affiliates, Inc.* |
34,136 |
1,627,263 |
||||||
|
FTI Consulting, Inc.* |
28,620 |
1,164,262 |
||||||
|
Patterson Companies, Inc. |
22,503 |
1,077,669 |
||||||
|
Ingredion, Inc. |
7,850 |
1,015,869 |
||||||
|
United Rentals, Inc.* |
13,120 |
880,352 |
||||||
|
Molina Healthcare, Inc.* |
17,137 |
855,136 |
||||||
|
Universal Corp. |
13,560 |
782,954 |
||||||
|
Community Health Systems, Inc.* |
32,467 |
391,227 |
||||||
|
Total Consumer, Non-cyclical |
30,395,775 |
|||||||
|
Utilities - 10.4% |
||||||||
|
Ameren Corp. |
68,850 |
3,688,983 |
||||||
|
OGE Energy Corp. |
107,933 |
3,534,806 |
||||||
|
Pinnacle West Capital Corp. |
39,362 |
3,190,684 |
||||||
|
Black Hills Corp. |
46,131 |
2,908,098 |
||||||
|
Avista Corp. |
54,953 |
2,461,894 |
||||||
|
Portland General Electric Co. |
53,602 |
2,364,920 |
||||||
|
UGI Corp. |
38,868 |
1,758,777 |
||||||
|
AES Corp. |
97,811 |
1,220,681 |
||||||
|
Calpine Corp.* |
74,537 |
1,099,421 |
||||||
|
ONE Gas, Inc. |
10,128 |
674,424 |
||||||
|
Total Utilities |
22,902,688 |
|||||||
|
Consumer, Cyclical - 8.9% |
||||||||
|
DR Horton, Inc. |
85,194 |
2,681,907 |
||||||
|
J.C. Penney Company, Inc.* |
279,695 |
2,483,692 |
||||||
|
PVH Corp. |
21,715 |
2,046,205 |
||||||
|
Essendant, Inc. |
65,556 |
2,003,391 |
||||||
|
UniFirst Corp. |
15,992 |
1,850,594 |
||||||
|
Scotts Miracle-Gro Co. — Class A |
17,211 |
1,203,221 |
||||||
|
CalAtlantic Group, Inc. |
32,541 |
1,194,580 |
||||||
|
Caleres, Inc. |
48,907 |
1,184,038 |
||||||
|
iRobot Corp.* |
30,415 |
1,066,958 |
||||||
|
Goodyear Tire & Rubber Co. |
31,936 |
819,478 |
||||||
|
WESCO International, Inc.* |
15,257 |
785,583 |
||||||
|
La-Z-Boy, Inc. |
22,080 |
614,266 |
||||||
|
Sonic Automotive, Inc. — Class A |
32,888 |
562,714 |
||||||
|
Tenneco, Inc.* |
11,643 |
542,680 |
||||||
|
88 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES V (MID CAP VALUE SERIES) |
|
Shares |
Value |
|||||||
|
AutoNation, Inc.* |
9,609 |
$ |
451,431 |
|||||
|
Total Consumer, Cyclical |
19,490,738 |
|||||||
|
Technology - 5.9% |
||||||||
|
IXYS Corp. |
259,668 |
2,661,597 |
||||||
|
Maxwell Technologies, Inc.* |
451,388 |
2,383,329 |
||||||
|
Micron Technology, Inc.* |
155,934 |
2,145,651 |
||||||
|
CSRA, Inc. |
69,126 |
1,619,622 |
||||||
|
MKS Instruments, Inc. |
28,517 |
1,227,942 |
||||||
|
Cree, Inc.* |
45,822 |
1,119,890 |
||||||
|
Super Micro Computer, Inc.* |
43,775 |
1,087,809 |
||||||
|
ManTech International Corp. — Class A |
19,456 |
735,826 |
||||||
|
Total Technology |
12,981,666 |
|||||||
|
Energy - 4.5% |
||||||||
|
Marathon Oil Corp. |
183,942 |
2,760,969 |
||||||
|
Oasis Petroleum, Inc.* |
164,450 |
1,535,963 |
||||||
|
Rowan Companies plc — Class A |
83,036 |
1,466,416 |
||||||
|
Laredo Petroleum, Inc.* |
135,083 |
1,415,670 |
||||||
|
Apache Corp. |
20,157 |
1,122,140 |
||||||
|
Whiting Petroleum Corp.* |
99,087 |
917,546 |
||||||
|
WPX Energy, Inc.* |
64,514 |
600,625 |
||||||
|
HydroGen Corp.*,†††,1 |
672,346 |
1 |
||||||
|
Total Energy |
9,819,330 |
|||||||
|
Basic Materials - 3.3% |
||||||||
|
Reliance Steel & Aluminum Co. |
27,937 |
2,148,356 |
||||||
|
Olin Corp. |
62,166 |
1,544,203 |
||||||
|
Stillwater Mining Co.* |
95,864 |
1,136,947 |
||||||
|
Freeport-McMoRan, Inc. |
95,482 |
1,063,669 |
||||||
|
Landec Corp.* |
79,118 |
851,310 |
||||||
|
Calgon Carbon Corp. |
41,524 |
546,041 |
||||||
|
Total Basic Materials |
7,290,526 |
|||||||
|
Communications - 3.3% |
||||||||
|
DigitalGlobe, Inc.* |
184,916 |
3,955,353 |
||||||
|
Finisar Corp.* |
94,959 |
1,662,732 |
||||||
|
Scripps Networks Interactive, Inc. — Class A |
26,129 |
1,627,053 |
||||||
|
Total Communications |
7,245,138 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $192,998,171) |
211,681,093 |
|||||||
|
CONVERTIBLE PREFERRED STOCKS††† - 0.0% |
||||||||
|
Thermoenergy Corp.*,2,4 |
308,333 |
180 |
||||||
|
Total Convertible Preferred Stocks |
||||||||
|
(Cost $294,438) |
180 |
|||||||
|
SHORT TERM INVESTMENTS† - 3.8% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%3 |
8,281,650 |
8,281,650 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $8,281,650) |
8,281,650 |
|||||||
|
Total Investments - 100.3% |
||||||||
|
(Cost $201,574,259) |
$ |
219,962,923 |
||||||
|
Other Assets & Liabilities, net - (0.3)% |
(632,784 |
) |
||||||
|
Total Net Assets - 100.0% |
$ |
219,330,139 |
||||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering. |
|
3 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
4 |
Illiquid security. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 89 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES V (MID CAP VALUE SERIES) |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
|
Common Stocks |
$ |
211,681,092 |
$ |
— |
$ |
1 |
$ |
211,681,093 |
||||||||
|
Convertible Preferred Stocks |
— |
— |
180 |
180 |
||||||||||||
|
Short Term Investments |
8,281,650 |
— |
— |
8,281,650 |
||||||||||||
|
Total |
$ |
219,962,742 |
$ |
— |
$ |
181 |
$ |
219,962,923 |
||||||||
For the period ended June 30, 2016, there were no transfers between levels.
|
90 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES V (MID CAP VALUE SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $199,002,684) |
$ |
219,962,922 |
||
|
Investments in affiliated issuers, at value (cost $2,571,575) |
1 |
|||
|
Total investments (cost $201,574,259) |
219,962,923 |
|||
|
Prepaid expenses |
3,006 |
|||
|
Receivables: |
||||
|
Securities sold |
1,335,838 |
|||
|
Dividends |
332,120 |
|||
|
Fund shares sold |
25,823 |
|||
|
Foreign taxes reclaim |
5,224 |
|||
|
Total assets |
221,664,934 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Securities purchased |
1,786,858 |
|||
|
Management fees |
135,528 |
|||
|
Fund shares redeemed |
88,814 |
|||
|
Fund accounting/administration fees |
17,167 |
|||
|
Trustees' fees* |
4,160 |
|||
|
Transfer agent/maintenance fees |
3,467 |
|||
|
Miscellaneous |
298,801 |
|||
|
Total liabilities |
2,334,795 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
219,330,139 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
179,464,666 |
||
|
Undistributed net investment income |
4,136,420 |
|||
|
Accumulated net realized gain on investments |
17,340,389 |
|||
|
Net unrealized appreciation on investments |
18,388,664 |
|||
|
Net assets |
$ |
219,330,139 |
||
|
Capital shares outstanding |
3,072,866 |
|||
|
Net asset value per share |
$ |
71.38 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from unaffiliated issuers (net of foreign withholding tax of $3,615) |
$ |
2,828,695 |
||
|
Interest |
4,261 |
|||
|
Other income |
346 |
|||
|
Total investment income |
2,833,302 |
|||
|
Expenses: |
||||
|
Management fees |
774,180 |
|||
|
Transfer agent/maintenance fees |
12,581 |
|||
|
Fund accounting/administration fees |
98,062 |
|||
|
Line of credit fees |
17,363 |
|||
|
Custodian fees |
5,659 |
|||
|
Trustees' fees* |
1,603 |
|||
|
Miscellaneous |
77,636 |
|||
|
Total expenses |
987,084 |
|||
|
Net investment income |
1,846,218 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
(3,694,829 |
) |
||
|
Net realized loss |
(3,694,829 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
18,848,658 |
|||
|
Net change in unrealized appreciation (depreciation) |
18,848,658 |
|||
|
Net realized and unrealized gain |
15,153,829 |
|||
|
Net increase in net assets resulting from operations |
$ |
17,000,047 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 91 |
|
SERIES V (MID CAP VALUE SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
1,846,218 |
$ |
2,237,217 |
||||
|
Net realized gain (loss) on investments |
(3,694,829 |
) |
21,149,578 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
18,848,658 |
(39,178,946 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
17,000,047 |
(15,792,151 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(1,461,676 |
) |
|||||
|
Net realized gains |
— |
(38,146,459 |
) |
|||||
|
Total distributions to shareholders |
— |
(39,608,135 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
9,921,218 |
6,517,513 |
||||||
|
Distributions reinvested |
— |
39,608,135 |
||||||
|
Cost of shares redeemed |
(14,983,636 |
) |
(47,827,753 |
) |
||||
|
Net decrease from capital share transactions |
(5,062,418 |
) |
(1,702,105 |
) |
||||
|
Net increase (decrease) in net assets |
11,937,629 |
(57,102,391 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
207,392,510 |
264,494,901 |
||||||
|
End of period |
$ |
219,330,139 |
$ |
207,392,510 |
||||
|
Undistributed net investment income at end of period |
$ |
4,136,420 |
$ |
2,290,202 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
143,903 |
84,460 |
||||||
|
Shares issued from reinvestment of distributions |
— |
558,963 |
||||||
|
Shares redeemed |
(225,731 |
) |
(629,265 |
) |
||||
|
Net increase (decrease) in shares |
(81,828 |
) |
14,158 |
|||||
|
92 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES V (MID CAP VALUE SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
65.74 |
$ |
84.22 |
$ |
83.46 |
$ |
62.60 |
$ |
53.45 |
$ |
57.78 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.60 |
.71 |
.53 |
.36 |
.25 |
.15 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
5.04 |
(5.42 |
) |
.23 |
20.50 |
8.90 |
(4.48 |
) |
||||||||||||||||
|
Total from investment operations |
5.64 |
(4.71 |
) |
.76 |
20.86 |
9.15 |
(4.33 |
) |
||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.51 |
) |
(— |
)c |
— |
— |
— |
||||||||||||||||
|
Net realized gains |
— |
(13.26 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(13.77 |
) |
(— |
)c |
— |
— |
— |
||||||||||||||||
|
Net asset value, end of period |
$ |
71.38 |
$ |
65.74 |
$ |
84.22 |
$ |
83.46 |
$ |
62.60 |
$ |
53.45 |
||||||||||||
|
Total Returnd |
8.60 |
% |
(6.79 |
%) |
0.91 |
% |
33.32 |
% |
17.12 |
% |
(7.49 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
219,330 |
$ |
207,393 |
$ |
264,495 |
$ |
302,166 |
$ |
249,806 |
$ |
250,620 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.79 |
% |
0.94 |
% |
0.62 |
% |
0.48 |
% |
0.43 |
% |
0.26 |
% |
||||||||||||
|
Total expenses |
0.96 |
% |
0.95 |
% |
0.93 |
% |
0.93 |
% |
0.93 |
% |
0.90 |
% |
||||||||||||
|
Portfolio turnover rate |
33 |
% |
50 |
% |
53 |
% |
22 |
% |
24 |
% |
28 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Distributions from net investment income are less than $0.01 per share. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 93 |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: October 15, 1997 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Strategy Fund III |
27.8% |
|
Guggenheim Variable Insurance Strategy Fund III |
26.3% |
|
Guggenheim Strategy Fund II |
12.8% |
|
Guggenheim Strategy Fund I |
4.9% |
|
STERIS plc |
0.3% |
|
WellCare Health Plans, Inc. |
0.3% |
|
United Natural Foods, Inc. |
0.3% |
|
HealthSouth Corp. |
0.3% |
|
Ciena Corp. |
0.3% |
|
National Storage Affiliates Trust |
0.3% |
|
Top Ten Total |
73.6% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
94 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 20.0% |
||||||||
|
Consumer, Non-cyclical - 9.1% |
||||||||
|
STERIS plc |
1,554 |
$ |
106,838 |
|||||
|
WellCare Health Plans, Inc.* |
953 |
102,237 |
||||||
|
United Natural Foods, Inc.* |
2,043 |
95,612 |
||||||
|
HealthSouth Corp. |
2,210 |
85,792 |
||||||
|
Molina Healthcare, Inc.* |
1,597 |
79,690 |
||||||
|
Amsurg Corp. — Class A* |
919 |
71,259 |
||||||
|
Deluxe Corp. |
985 |
65,375 |
||||||
|
Dean Foods Co. |
3,401 |
61,524 |
||||||
|
Vector Group Ltd. |
2,662 |
59,682 |
||||||
|
B&G Foods, Inc. |
1,160 |
55,912 |
||||||
|
Central Garden & Pet Co. — Class A* |
2,566 |
55,708 |
||||||
|
Impax Laboratories, Inc.* |
1,858 |
53,548 |
||||||
|
Prestige Brands Holdings, Inc.* |
939 |
52,020 |
||||||
|
LivaNova plc* |
1,008 |
50,632 |
||||||
|
Cardtronics, Inc.* |
1,244 |
49,523 |
||||||
|
J&J Snack Foods Corp. |
415 |
49,497 |
||||||
|
Neurocrine Biosciences, Inc.* |
1,052 |
47,813 |
||||||
|
Travelport Worldwide Ltd. |
3,704 |
47,745 |
||||||
|
Surgical Care Affiliates, Inc.* |
1,000 |
47,670 |
||||||
|
AMN Healthcare Services, Inc.* |
1,171 |
46,804 |
||||||
|
West Pharmaceutical Services, Inc. |
610 |
46,287 |
||||||
|
ABIOMED, Inc.* |
419 |
45,793 |
||||||
|
Cimpress N.V.* |
494 |
45,685 |
||||||
|
USANA Health Sciences, Inc.* |
404 |
45,018 |
||||||
|
Boston Beer Company, Inc. — Class A* |
255 |
43,613 |
||||||
|
Seaboard Corp.* |
15 |
43,060 |
||||||
|
Kite Pharma, Inc.* |
840 |
42,000 |
||||||
|
On Assignment, Inc.* |
1,107 |
40,904 |
||||||
|
TriNet Group, Inc.* |
1,861 |
38,690 |
||||||
|
Wright Medical Group N.V.* |
2,184 |
37,936 |
||||||
|
AMAG Pharmaceuticals, Inc.* |
1,557 |
37,243 |
||||||
|
Euronet Worldwide, Inc.* |
503 |
34,803 |
||||||
|
Diplomat Pharmacy, Inc.* |
993 |
34,755 |
||||||
|
PAREXEL International Corp.* |
549 |
34,521 |
||||||
|
Five Prime Therapeutics, Inc.* |
831 |
34,362 |
||||||
|
Brink’s Co. |
1,183 |
33,704 |
||||||
|
Myriad Genetics, Inc.* |
1,086 |
33,232 |
||||||
|
Matthews International Corp. — Class A |
589 |
32,772 |
||||||
|
Amedisys, Inc.* |
636 |
32,105 |
||||||
|
Coca-Cola Bottling Company Consolidated |
212 |
31,264 |
||||||
|
LHC Group, Inc.* |
675 |
29,214 |
||||||
|
Chefs’ Warehouse, Inc.* |
1,820 |
29,120 |
||||||
|
Cal-Maine Foods, Inc. |
656 |
29,074 |
||||||
|
ACADIA Pharmaceuticals, Inc.* |
877 |
28,467 |
||||||
|
Premier, Inc. — Class A* |
863 |
28,220 |
||||||
|
Landauer, Inc. |
672 |
27,660 |
||||||
|
Advisory Board Co.* |
740 |
26,189 |
||||||
|
Huron Consulting Group, Inc.* |
427 |
25,799 |
||||||
|
Medifast, Inc. |
760 |
25,285 |
||||||
|
Acorda Therapeutics, Inc.* |
923 |
23,541 |
||||||
|
Revlon, Inc. — Class A* |
730 |
23,492 |
||||||
|
Team Health Holdings, Inc.* |
571 |
23,223 |
||||||
|
Inovio Pharmaceuticals, Inc.* |
2,502 |
23,118 |
||||||
|
FTI Consulting, Inc.* |
563 |
22,903 |
||||||
|
Inter Parfums, Inc. |
776 |
22,170 |
||||||
|
Natural Health Trends Corp. |
749 |
21,114 |
||||||
|
Great Lakes Dredge & Dock Corp.* |
4,787 |
20,871 |
||||||
|
Quidel Corp.* |
1,153 |
20,593 |
||||||
|
Aduro Biotech, Inc.* |
1,804 |
20,403 |
||||||
|
Meridian Bioscience, Inc. |
1,044 |
20,358 |
||||||
|
BioSpecifics Technologies Corp.* |
507 |
20,250 |
||||||
|
Haemonetics Corp.* |
677 |
19,626 |
||||||
|
Providence Service Corp.* |
437 |
19,613 |
||||||
|
Insys Therapeutics, Inc.* |
1,486 |
19,229 |
||||||
|
SP Plus Corp.* |
846 |
19,103 |
||||||
|
Intersect ENT, Inc.* |
1,443 |
18,658 |
||||||
|
Genomic Health, Inc.* |
700 |
18,127 |
||||||
|
Array BioPharma, Inc.* |
5,031 |
17,910 |
||||||
|
Grand Canyon Education, Inc.* |
440 |
17,565 |
||||||
|
Korn/Ferry International |
828 |
17,140 |
||||||
|
ARC Document Solutions, Inc.* |
4,388 |
17,069 |
||||||
|
Cempra, Inc.* |
1,024 |
16,886 |
||||||
|
Insmed, Inc.* |
1,664 |
16,407 |
||||||
|
Heron Therapeutics, Inc.* |
888 |
16,028 |
||||||
|
Alliance HealthCare Services, Inc.* |
2,556 |
15,949 |
||||||
|
Ultragenyx Pharmaceutical, Inc.* |
321 |
15,700 |
||||||
|
Chimerix, Inc.* |
3,868 |
15,201 |
||||||
|
Select Medical Holdings Corp.* |
1,010 |
10,979 |
||||||
|
Infinity Pharmaceuticals, Inc.* |
3,576 |
4,756 |
||||||
|
Total Consumer, Non-cyclical |
2,859,638 |
|||||||
|
Industrial - 2.9% |
||||||||
|
Belden, Inc. |
1,098 |
66,286 |
||||||
|
Dycom Industries, Inc.* |
626 |
56,190 |
||||||
|
Hillenbrand, Inc. |
1,584 |
47,583 |
||||||
|
Hub Group, Inc. — Class A* |
1,179 |
45,238 |
||||||
|
Moog, Inc. — Class A* |
788 |
42,489 |
||||||
|
Swift Transportation Co. — Class A* |
2,500 |
38,525 |
||||||
|
HEICO Corp. |
575 |
38,416 |
||||||
|
Werner Enterprises, Inc. |
1,511 |
34,708 |
||||||
|
Builders FirstSource, Inc.* |
3,018 |
33,952 |
||||||
|
Rexnord Corp.* |
1,534 |
30,113 |
||||||
|
Saia, Inc.* |
1,161 |
29,188 |
||||||
|
NCI Building Systems, Inc.* |
1,801 |
28,798 |
||||||
|
Kaman Corp. |
676 |
28,744 |
||||||
|
Mueller Industries, Inc. |
873 |
27,831 |
||||||
|
OSI Systems, Inc.* |
478 |
27,786 |
||||||
|
Generac Holdings, Inc.* |
772 |
26,989 |
||||||
|
Multi-Color Corp. |
402 |
25,487 |
||||||
|
Albany International Corp. — Class A |
626 |
24,996 |
||||||
|
Hyster-Yale Materials Handling, Inc. |
412 |
24,510 |
||||||
|
ArcBest Corp. |
1,457 |
23,676 |
||||||
|
Plexus Corp.* |
546 |
23,587 |
||||||
|
Continental Building Products, Inc.* |
1,055 |
23,453 |
||||||
|
XPO Logistics, Inc.* |
893 |
23,450 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 95 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
Greenbrier Companies, Inc. |
803 |
$ |
23,391 |
|||||
|
Advanced Drainage Systems, Inc. |
852 |
23,319 |
||||||
|
Headwaters, Inc.* |
1,164 |
20,882 |
||||||
|
General Cable Corp. |
1,531 |
19,459 |
||||||
|
Astronics Corp.* |
570 |
18,958 |
||||||
|
Celadon Group, Inc. |
2,168 |
17,713 |
||||||
|
Roadrunner Transportation Systems, Inc.* |
2,208 |
16,472 |
||||||
|
Matson, Inc. |
397 |
12,819 |
||||||
|
Total Industrial |
925,008 |
|||||||
|
Technology - 2.5% |
||||||||
|
Science Applications International Corp. |
1,143 |
66,693 |
||||||
|
Syntel, Inc.* |
1,250 |
56,575 |
||||||
|
Verint Systems, Inc.* |
1,619 |
53,637 |
||||||
|
Qlik Technologies, Inc.* |
1,813 |
53,629 |
||||||
|
Ambarella, Inc.* |
967 |
49,132 |
||||||
|
Rambus, Inc.* |
3,984 |
48,127 |
||||||
|
Guidewire Software, Inc.* |
767 |
47,370 |
||||||
|
Proofpoint, Inc.* |
734 |
46,308 |
||||||
|
Blackbaud, Inc. |
644 |
43,728 |
||||||
|
BroadSoft, Inc.* |
853 |
34,999 |
||||||
|
NetScout Systems, Inc.* |
1,560 |
34,710 |
||||||
|
ACI Worldwide, Inc.* |
1,766 |
34,455 |
||||||
|
CSG Systems International, Inc. |
838 |
33,780 |
||||||
|
InvenSense, Inc. — Class A* |
5,062 |
31,030 |
||||||
|
Microsemi Corp.* |
877 |
28,661 |
||||||
|
Synaptics, Inc.* |
465 |
24,994 |
||||||
|
Synchronoss Technologies, Inc.* |
749 |
23,863 |
||||||
|
Cavium, Inc.* |
559 |
21,577 |
||||||
|
Imperva, Inc.* |
496 |
21,333 |
||||||
|
Quality Systems, Inc. |
1,491 |
17,758 |
||||||
|
Unisys Corp.* |
2,346 |
17,079 |
||||||
|
Total Technology |
789,438 |
|||||||
|
Consumer, Cyclical - 2.3% |
||||||||
|
Casey’s General Stores, Inc. |
437 |
57,470 |
||||||
|
HNI Corp. |
1,144 |
53,184 |
||||||
|
Steelcase, Inc. — Class A |
3,746 |
50,833 |
||||||
|
Tenneco, Inc.* |
1,087 |
50,665 |
||||||
|
Allegiant Travel Co. — Class A |
331 |
50,146 |
||||||
|
Vail Resorts, Inc. |
333 |
46,031 |
||||||
|
Boyd Gaming Corp.* |
2,488 |
45,779 |
||||||
|
Tailored Brands, Inc. |
2,341 |
29,637 |
||||||
|
Cooper-Standard Holding, Inc.* |
335 |
26,462 |
||||||
|
Beacon Roofing Supply, Inc.* |
580 |
26,373 |
||||||
|
Ascena Retail Group, Inc.* |
3,712 |
25,947 |
||||||
|
National CineMedia, Inc. |
1,661 |
25,712 |
||||||
|
Meritage Homes Corp.* |
606 |
22,749 |
||||||
|
DineEquity, Inc. |
263 |
22,297 |
||||||
|
H&E Equipment Services, Inc. |
1,168 |
22,227 |
||||||
|
Penn National Gaming, Inc.* |
1,569 |
21,888 |
||||||
|
Cheesecake Factory, Inc. |
443 |
21,326 |
||||||
|
SeaWorld Entertainment, Inc. |
1,382 |
19,804 |
||||||
|
Spirit Airlines, Inc.* |
436 |
19,562 |
||||||
|
Express, Inc.* |
1,317 |
19,110 |
||||||
|
Sportsman’s Warehouse Holdings, Inc.* |
2,193 |
17,676 |
||||||
|
Hawaiian Holdings, Inc.* |
459 |
17,424 |
||||||
|
Big Lots, Inc. |
346 |
17,338 |
||||||
|
Sonic Corp. |
636 |
17,204 |
||||||
|
Wabash National Corp.* |
1,338 |
16,993 |
||||||
|
Total Consumer, Cyclical |
743,837 |
|||||||
|
Communications - 1.9% |
||||||||
|
Ciena Corp.* |
4,482 |
84,037 |
||||||
|
Shutterstock, Inc.* |
1,300 |
59,540 |
||||||
|
InterDigital, Inc. |
918 |
51,113 |
||||||
|
ViaSat, Inc.* |
699 |
49,909 |
||||||
|
Sinclair Broadcast Group, Inc. — Class A |
1,605 |
47,925 |
||||||
|
Houghton Mifflin Harcourt Co.* |
2,804 |
43,827 |
||||||
|
Infinera Corp.* |
3,766 |
42,480 |
||||||
|
AVG Technologies N.V.* |
1,786 |
33,916 |
||||||
|
CalAmp Corp.* |
2,157 |
31,945 |
||||||
|
Gray Television, Inc.* |
2,669 |
28,959 |
||||||
|
Stamps.com, Inc.* |
305 |
26,663 |
||||||
|
ShoreTel, Inc.* |
2,972 |
19,883 |
||||||
|
Extreme Networks, Inc.* |
5,715 |
19,374 |
||||||
|
West Corp. |
951 |
18,697 |
||||||
|
Ixia* |
1,786 |
17,539 |
||||||
|
comScore, Inc.* |
445 |
10,627 |
||||||
|
Total Communications |
586,434 |
|||||||
|
Financial - 0.7% |
||||||||
|
National Storage Affiliates Trust |
4,000 |
83,280 |
||||||
|
Blackhawk Network Holdings, Inc.* |
2,213 |
74,113 |
||||||
|
WageWorks, Inc.* |
853 |
51,018 |
||||||
|
Total Financial |
208,411 |
|||||||
|
Basic Materials - 0.4% |
||||||||
|
Kaiser Aluminum Corp. |
258 |
23,326 |
||||||
|
Quaker Chemical Corp. |
255 |
22,745 |
||||||
|
US Silica Holdings, Inc. |
659 |
22,716 |
||||||
|
Minerals Technologies, Inc. |
383 |
21,754 |
||||||
|
A. Schulman, Inc. |
873 |
21,319 |
||||||
|
Ferroglobe plc |
2,172 |
18,701 |
||||||
|
Total Basic Materials |
130,561 |
|||||||
|
Energy - 0.2% |
||||||||
|
SemGroup Corp. — Class A |
588 |
19,146 |
||||||
|
Western Refining, Inc. |
883 |
18,216 |
||||||
|
Panhandle Oil and Gas, Inc. — Class A |
982 |
16,370 |
||||||
|
Total Energy |
53,732 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $6,506,104) |
6,297,059 |
|||||||
|
96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
MUTUAL FUNDS† - 71.8% |
||||||||
|
Guggenheim Strategy Fund III1 |
353,385 |
$ |
8,760,411 |
|||||
|
Guggenheim Variable Insurance Strategy Fund III1 |
334,481 |
8,291,793 |
||||||
|
Guggenheim Strategy Fund II1 |
162,078 |
4,021,160 |
||||||
|
Guggenheim Strategy Fund I1 |
61,775 |
1,538,826 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $22,704,642) |
22,612,190 |
|||||||
|
SHORT TERM INVESTMENTS† - 4.2% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
1,333,505 |
1,333,505 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $1,333,505) |
1,333,505 |
|||||||
|
Total Investments - 96.0% |
||||||||
|
(Cost $30,544,251) |
$ |
30,242,754 |
||||||
|
Other Assets & Liabilities, net - 4.0% |
1,247,090 |
|||||||
|
Total Net Assets - 100.0% |
$ |
31,489,844 |
||||||
|
Contracts |
Unrealized |
|||||||
|
EQUITY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 S&P MidCap 400 Index |
4 |
$ |
6,207 |
|||||
|
September 2016 Russell 2000 Index |
4 |
1,407 |
||||||
|
(Total Aggregate Value of Contracts $1,056,080) |
$ |
7,614 |
||||||
|
Units |
||||||||
|
OTC EQUITY INDEX SWAP AGREEMENTS†† |
||||||||
|
Deutsche Bank |
34,629 |
$ |
— |
|||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
3 |
Total Return based on Russell 2000 Growth Index +/- financing at a variable rate. Rate indicated is the rate effective at June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 2 - |
Level 3 |
Total |
||||||||||||||||||
|
Common Stocks |
$ |
6,297,059 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
6,297,059 |
||||||||||||
|
Equity Futures Contracts |
— |
7,614 |
— |
— |
— |
7,614 |
||||||||||||||||||
|
Equity Index Swap Agreements |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Mutual Funds |
22,612,190 |
— |
— |
— |
— |
22,612,190 |
||||||||||||||||||
|
Short Term Investments |
1,333,505 |
— |
— |
— |
— |
1,333,505 |
||||||||||||||||||
|
Total |
$ |
30,242,754 |
$ |
7,614 |
$ |
— |
$ |
— |
$ |
— |
$ |
30,250,368 |
||||||||||||
|
* |
Other financial instruments include futures contracts or swaps, which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 97 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $7,839,609) |
$ |
7,630,564 |
||
|
Investments in affiliated issuers, at value (cost $22,704,642) |
22,612,190 |
|||
|
Total investments (cost $30,544,251) |
30,242,754 |
|||
|
Segregated cash with broker |
1,376,400 |
|||
|
Cash |
2,001 |
|||
|
Prepaid expenses |
450 |
|||
|
Receivables: |
||||
|
Securities sold |
648,487 |
|||
|
Dividends |
49,879 |
|||
|
Variation margin |
18,640 |
|||
|
Fund shares sold |
2,763 |
|||
|
Total assets |
32,341,374 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Swap settlement |
561,462 |
|||
|
Securities purchased |
205,926 |
|||
|
Fund shares redeemed |
24,151 |
|||
|
Management fees |
22,208 |
|||
|
Transfer agent/maintenance fees |
4,037 |
|||
|
Fund accounting/administration fees |
2,482 |
|||
|
Trustees’ fees* |
654 |
|||
|
Miscellaneous |
30,610 |
|||
|
Total liabilities |
851,530 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
31,489,844 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
35,139,533 |
||
|
Undistributed net investment income |
247,583 |
|||
|
Accumulated net realized loss on investments |
(3,603,389 |
) |
||
|
Net unrealized depreciation on investments |
(293,883 |
) |
||
|
Net assets |
$ |
31,489,844 |
||
|
Capital shares outstanding |
1,024,599 |
|||
|
Net asset value per share |
$ |
30.73 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from securities of affiliated issuers |
$ |
279,315 |
||
|
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $29) |
24,922 |
|||
|
Total investment income |
304,237 |
|||
|
Expenses: |
||||
|
Management fees |
130,788 |
|||
|
Transfer agent/maintenance fees |
12,554 |
|||
|
Fund accounting/administration fees |
14,617 |
|||
|
Custodian fees |
3,172 |
|||
|
Line of credit fees |
2,825 |
|||
|
Trustees’ fees* |
1,875 |
|||
|
Miscellaneous |
17,799 |
|||
|
Total expenses |
183,630 |
|||
|
Net investment income |
120,607 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
(272,435 |
) |
||
|
Investments in affiliated issuers |
(27,012 |
) |
||
|
Swap agreements |
(2,132,640 |
) |
||
|
Futures contracts |
(45,167 |
) |
||
|
Net realized loss |
(2,477,254 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
190,588 |
|||
|
Investments in affiliated issuers |
18,597 |
|||
|
Swap agreements |
1,499,935 |
|||
|
Futures contracts |
(15,192 |
) |
||
|
Net change in unrealized appreciation (depreciation) |
1,693,928 |
|||
|
Net realized and unrealized loss |
(783,326 |
) |
||
|
Net decrease in net assets resulting from operations |
$ |
(662,719 |
) |
|
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
98 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
120,607 |
$ |
121,740 |
||||
|
Net realized gain (loss) on investments |
(2,477,254 |
) |
3,256,356 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
1,693,928 |
(3,843,105 |
) |
|||||
|
Net decrease in net assets resulting from operations |
(662,719 |
) |
(465,009 |
) |
||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(304,934 |
) |
|||||
|
Net realized gains |
— |
(109,624 |
) |
|||||
|
Total distributions to shareholders |
— |
(414,558 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
766,901 |
9,712,517 |
||||||
|
Distributions reinvested |
— |
414,558 |
||||||
|
Cost of shares redeemed |
(7,215,287 |
) |
(7,651,877 |
) |
||||
|
Net increase (decrease) from capital share transactions |
(6,448,386 |
) |
2,475,198 |
|||||
|
Net increase (decrease) in net assets |
(7,111,105 |
) |
1,595,631 |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
38,600,949 |
37,005,318 |
||||||
|
End of period |
$ |
31,489,844 |
$ |
38,600,949 |
||||
|
Undistributed net investment income at end of period |
$ |
247,583 |
$ |
126,976 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
26,038 |
301,844 |
||||||
|
Shares issued from reinvestment of distributions |
— |
11,855 |
||||||
|
Shares redeemed |
(245,395 |
) |
(234,673 |
) |
||||
|
Net increase (decrease) in shares |
(219,357 |
) |
79,026 |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99 |
|
SERIES X (STYLEPLUS—SMALL GROWTH SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
31.03 |
$ |
31.77 |
$ |
29.20 |
$ |
20.66 |
$ |
18.52 |
$ |
18.89 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.11 |
.10 |
.22 |
(.05 |
) |
(.11 |
) |
(.12 |
) |
|||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
(.41 |
) |
(.47 |
) |
2.35 |
8.59 |
2.25 |
(.25 |
) |
|||||||||||||||
|
Total from investment operations |
(.30 |
) |
(.37 |
) |
2.57 |
8.54 |
2.14 |
(.37 |
) |
|||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.27 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(.10 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(.37 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
30.73 |
$ |
31.03 |
$ |
31.77 |
$ |
29.20 |
$ |
20.66 |
$ |
18.52 |
||||||||||||
|
Total Returnc |
(0.93 |
%) |
(1.29 |
%) |
8.80 |
% |
41.34 |
% |
11.56 |
% |
(1.96 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
31,490 |
$ |
38,601 |
$ |
37,005 |
$ |
38,586 |
$ |
32,037 |
$ |
35,711 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
0.78 |
% |
0.32 |
% |
0.74 |
% |
(0.21 |
%) |
(0.56 |
%) |
(0.63 |
%) |
||||||||||||
|
Total expensesd |
1.19 |
% |
1.21 |
% |
1.26 |
% |
1.23 |
% |
1.14 |
% |
1.08 |
% |
||||||||||||
|
Net expenses |
1.19 |
% |
1.21 |
% |
1.24 |
%e |
1.23 |
% |
1.14 |
% |
1.08 |
% |
||||||||||||
|
Portfolio turnover rate |
33 |
% |
79 |
% |
102 |
% |
255 |
% |
72 |
% |
91 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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. |
|
100 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
|
Inception Date: May 3, 1999 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
Guggenheim Strategy Fund II |
24.7% |
|
Guggenheim Strategy Fund III |
24.2% |
|
Guggenheim Variable Insurance Strategy Fund III |
22.0% |
|
Guggenheim Strategy Fund I |
5.8% |
|
Apple, Inc. |
1.0% |
|
Microsoft Corp. |
0.5% |
|
Alphabet, Inc. — Class C |
0.5% |
|
PepsiCo, Inc. |
0.4% |
|
Comcast Corp. — Class A |
0.4% |
|
UnitedHealth Group, Inc. |
0.4% |
|
Top Ten Total |
79.9% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 101 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 15.7% |
||||||||
|
Consumer, Non-cyclical - 5.7% |
||||||||
|
PepsiCo, Inc. |
1,436 |
$ |
152,130 |
|||||
|
UnitedHealth Group, Inc. |
958 |
135,270 |
||||||
|
Amgen, Inc. |
804 |
122,328 |
||||||
|
Gilead Sciences, Inc. |
1,456 |
121,460 |
||||||
|
AbbVie, Inc. |
1,875 |
116,082 |
||||||
|
Johnson & Johnson |
733 |
88,913 |
||||||
|
Express Scripts Holding Co.* |
1,089 |
82,546 |
||||||
|
Kroger Co. |
2,224 |
81,821 |
||||||
|
Becton Dickinson and Co. |
478 |
81,064 |
||||||
|
Kimberly-Clark Corp. |
541 |
74,377 |
||||||
|
McKesson Corp. |
390 |
72,794 |
||||||
|
Cardinal Health, Inc. |
929 |
72,471 |
||||||
|
Merck & Company, Inc. |
1,245 |
71,724 |
||||||
|
Thermo Fisher Scientific, Inc. |
469 |
69,299 |
||||||
|
Danaher Corp. |
673 |
67,973 |
||||||
|
Allergan plc* |
276 |
63,781 |
||||||
|
General Mills, Inc. |
890 |
63,475 |
||||||
|
Alexion Pharmaceuticals, Inc.* |
516 |
60,248 |
||||||
|
HCA Holdings, Inc.* |
775 |
59,683 |
||||||
|
Zimmer Biomet Holdings, Inc. |
494 |
59,468 |
||||||
|
Sysco Corp. |
1,100 |
55,814 |
||||||
|
Biogen, Inc.* |
220 |
53,200 |
||||||
|
Boston Scientific Corp.* |
2,255 |
52,699 |
||||||
|
Intuitive Surgical, Inc.* |
77 |
50,929 |
||||||
|
Altria Group, Inc. |
634 |
43,721 |
||||||
|
Tyson Foods, Inc. — Class A |
642 |
42,879 |
||||||
|
Coca-Cola Co. |
896 |
40,616 |
||||||
|
Celgene Corp.* |
274 |
27,025 |
||||||
|
Cigna Corp. |
170 |
21,758 |
||||||
|
Kraft Heinz Co. |
215 |
19,023 |
||||||
|
Bristol-Myers Squibb Co. |
246 |
18,093 |
||||||
|
Total Consumer, Non-cyclical |
2,142,664 |
|||||||
|
Communications - 2.7% |
||||||||
|
Alphabet, Inc. — Class C* |
247 |
170,949 |
||||||
|
Comcast Corp. — Class A |
2,209 |
144,005 |
||||||
|
Verizon Communications, Inc. |
2,131 |
118,995 |
||||||
|
Amazon.com, Inc.* |
156 |
111,636 |
||||||
|
Walt Disney Co. |
901 |
88,135 |
||||||
|
AT&T, Inc. |
2,030 |
87,716 |
||||||
|
Facebook, Inc. — Class A* |
735 |
83,996 |
||||||
|
Time Warner, Inc. |
1,025 |
75,378 |
||||||
|
eBay, Inc.* |
2,716 |
63,582 |
||||||
|
Twenty-First Century Fox, Inc. — Class B |
2,226 |
60,659 |
||||||
|
Charter Communications, Inc. — Class A* |
81 |
18,520 |
||||||
|
Total Communications |
1,023,571 |
|||||||
|
Technology - 2.7% |
||||||||
|
Apple, Inc. |
3,894 |
372,266 |
||||||
|
Microsoft Corp. |
3,682 |
188,408 |
||||||
|
Oracle Corp. |
2,560 |
104,781 |
||||||
|
International Business Machines Corp. |
672 |
101,996 |
||||||
|
Intel Corp. |
2,078 |
68,159 |
||||||
|
QUALCOMM, Inc. |
1,219 |
65,302 |
||||||
|
VMware, Inc. — Class A* |
733 |
41,942 |
||||||
|
Texas Instruments, Inc. |
616 |
38,592 |
||||||
|
Broadcom Ltd. |
130 |
20,202 |
||||||
|
Total Technology |
1,001,648 |
|||||||
|
Industrial - 2.3% |
||||||||
|
Boeing Co. |
853 |
110,780 |
||||||
|
United Parcel Service, Inc. — Class B |
976 |
105,135 |
||||||
|
Union Pacific Corp. |
1,196 |
104,351 |
||||||
|
Lockheed Martin Corp. |
366 |
90,830 |
||||||
|
Emerson Electric Co. |
1,424 |
74,276 |
||||||
|
Caterpillar, Inc. |
887 |
67,243 |
||||||
|
Waste Management, Inc. |
1,001 |
66,336 |
||||||
|
FedEx Corp. |
416 |
63,140 |
||||||
|
CSX Corp. |
2,400 |
62,592 |
||||||
|
Honeywell International, Inc. |
472 |
54,903 |
||||||
|
Northrop Grumman Corp. |
142 |
31,564 |
||||||
|
General Dynamics Corp. |
207 |
28,823 |
||||||
|
3M Co. |
112 |
19,613 |
||||||
|
Total Industrial |
879,586 |
|||||||
|
Consumer, Cyclical - 1.4% |
||||||||
|
CVS Health Corp. |
1,211 |
115,942 |
||||||
|
Lowe’s Companies, Inc. |
1,033 |
81,782 |
||||||
|
Walgreens Boots Alliance, Inc. |
844 |
70,280 |
||||||
|
Southwest Airlines Co. |
1,358 |
53,247 |
||||||
|
Delta Air Lines, Inc. |
1,393 |
50,747 |
||||||
|
Home Depot, Inc. |
394 |
50,310 |
||||||
|
Target Corp. |
636 |
44,406 |
||||||
|
American Airlines Group, Inc. |
1,122 |
31,764 |
||||||
|
DR Horton, Inc. |
586 |
18,447 |
||||||
|
McDonald’s Corp. |
136 |
16,366 |
||||||
|
Total Consumer, Cyclical |
533,291 |
|||||||
|
Financial - 0.5% |
||||||||
|
Charles Schwab Corp. |
2,407 |
60,921 |
||||||
|
Bank of New York Mellon Corp. |
1,488 |
57,809 |
||||||
|
American Express Co. |
540 |
32,810 |
||||||
|
Visa, Inc. — Class A |
359 |
26,627 |
||||||
|
Total Financial |
178,167 |
|||||||
|
Basic Materials - 0.3% |
||||||||
|
LyondellBasell Industries N.V. — Class A |
943 |
70,178 |
||||||
|
PPG Industries, Inc. |
166 |
17,289 |
||||||
|
Monsanto Co. |
159 |
16,442 |
||||||
|
Total Basic Materials |
103,909 |
|||||||
|
Energy - 0.1% |
||||||||
|
Schlumberger Ltd. |
220 |
17,397 |
||||||
|
EOG Resources, Inc. |
183 |
15,266 |
||||||
|
102 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
|
Shares |
Value |
|||||||
|
Williams Companies, Inc.* |
673 |
$ |
14,557 |
|||||
|
Total Energy |
47,220 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $5,734,179) |
5,910,056 |
|||||||
|
MUTUAL FUNDS† - 76.7% |
||||||||
|
Guggenheim Strategy Fund II1 |
376,131 |
9,331,818 |
||||||
|
Guggenheim Strategy Fund III1 |
367,680 |
9,114,779 |
||||||
|
Guggenheim Variable Insurance Strategy Fund III1 |
334,038 |
8,280,801 |
||||||
|
Guggenheim Strategy Fund I1 |
87,992 |
2,191,892 |
||||||
|
Total Mutual Funds |
||||||||
|
(Cost $29,022,605) |
28,919,290 |
|||||||
|
SHORT TERM INVESTMENTS† - 4.9% |
||||||||
|
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.16%2 |
|
1,835,588 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $1,835,588) |
1,835,588 |
|||||||
|
Total Investments - 97.3% |
||||||||
|
(Cost $36,592,372) |
$ |
36,664,934 |
||||||
|
Other Assets & Liabilities, net - 2.7% |
1,025,181 |
|||||||
|
Total Net Assets - 100.0% |
$ |
37,690,115 |
||||||
|
Contracts |
Unrealized |
|||||||
|
EQUITY FUTURES CONTRACTS PURCHASED† |
||||||||
|
September 2016 S&P 500 Index |
8 |
$ |
3,055 |
|||||
|
September 2016 NASDAQ-100 Index |
4 |
(510 |
) |
|||||
|
(Total Aggregate Value of Contracts $1,187,660) |
$ |
2,545 |
||||||
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs — See Note 4. |
|
1 |
Affiliated issuer — See Note 8. |
|
2 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
plc — Public Limited Company |
|
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 1 - |
Level 2 |
Level 3 |
Total |
|||||||||||||||
|
Common Stocks |
$ |
5,910,056 |
$ |
— |
$ |
— |
$ |
— |
$ |
5,910,056 |
||||||||||
|
Equity Futures Contracts |
— |
3,055 |
— |
— |
3,055 |
|||||||||||||||
|
Mutual Funds |
28,919,290 |
— |
— |
— |
28,919,290 |
|||||||||||||||
|
Short Term Investments |
1,835,588 |
— |
— |
— |
1,835,588 |
|||||||||||||||
|
Total |
$ |
36,664,934 |
$ |
3,055 |
$ |
— |
$ |
— |
$ |
36,667,989 |
||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 1 - |
Level 2 |
Level 3 |
Total |
|||||||||||||||
|
Equity Futures Contracts |
$ |
— |
$ |
510 |
$ |
— |
$ |
— |
$ |
510 |
||||||||||
|
* |
Other financial instruments include futures contracts which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 103 |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments in unaffiliated issuers, at value (cost $7,569,767) |
$ |
7,745,644 |
||
|
Investments in affiliated issuers, at value (cost $29,022,605) |
28,919,290 |
|||
|
Total investments (cost $36,592,372) |
36,664,934 |
|||
|
Segregated cash with broker |
907,600 |
|||
|
Prepaid expenses |
452 |
|||
|
Receivables: |
||||
|
Securities sold |
470,000 |
|||
|
Dividends |
61,271 |
|||
|
Fund shares sold |
15,975 |
|||
|
Variation margin |
4,258 |
|||
|
Total assets |
38,124,490 |
|||
|
Liabilities: |
||||
|
Payable for: |
||||
|
Swap settlement |
303,659 |
|||
|
Securities purchased |
57,163 |
|||
|
Management fees |
23,544 |
|||
|
Transfer agent/maintenance fees |
4,123 |
|||
|
Fund accounting/administration fees |
2,982 |
|||
|
Trustees’ fees* |
1,509 |
|||
|
Fund shares redeemed |
610 |
|||
|
Miscellaneous |
40,785 |
|||
|
Total liabilities |
434,375 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
37,690,115 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
39,266,103 |
||
|
Undistributed net investment income |
410,515 |
|||
|
Accumulated net realized loss on investments |
(2,061,610 |
) |
||
|
Net unrealized appreciation on investments |
75,107 |
|||
|
Net assets |
$ |
37,690,115 |
||
|
Capital shares outstanding |
2,451,043 |
|||
|
Net asset value per share |
$ |
15.38 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends from securities of affiliated issuers |
$ |
335,812 |
||
|
Dividends from securities of unaffiliated issuers |
58,789 |
|||
|
Interest |
556 |
|||
|
Total investment income |
395,157 |
|||
|
Expenses: |
||||
|
Management fees |
140,196 |
|||
|
Transfer agent/maintenance fees |
12,508 |
|||
|
Fund accounting/administration fees |
17,758 |
|||
|
Line of credit fees |
2,788 |
|||
|
Trustees’ fees* |
1,666 |
|||
|
Custodian fees |
18 |
|||
|
Miscellaneous |
11,080 |
|||
|
Total expenses |
186,014 |
|||
|
Net investment income |
209,143 |
|||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments in unaffiliated issuers |
97,205 |
|||
|
Investments in affiliated issuers |
(8,472 |
) |
||
|
Swap agreements |
(198,082 |
) |
||
|
Futures contracts |
(111,993 |
) |
||
|
Net realized loss |
(221,342 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments in unaffiliated issuers |
(3,158 |
) |
||
|
Investments in affiliated issuers |
7,611 |
|||
|
Swap agreements |
553,175 |
|||
|
Futures contracts |
(12,067 |
) |
||
|
Net change in unrealized appreciation (depreciation) |
545,561 |
|||
|
Net realized and unrealized gain |
324,219 |
|||
|
Net increase in net assets resulting from operations |
$ |
533,362 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
104 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment income |
$ |
209,143 |
$ |
198,923 |
||||
|
Net realized gain (loss) on investments |
(221,342 |
) |
2,975,808 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
545,561 |
(1,215,217 |
) |
|||||
|
Net increase in net assets resulting from operations |
533,362 |
1,959,514 |
||||||
|
Distributions to shareholders from: |
||||||||
|
Net investment income |
— |
(392,674 |
) |
|||||
|
Net realized gains |
— |
(2,676,505 |
) |
|||||
|
Total distributions to shareholders |
— |
(3,069,179 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
2,425,043 |
9,360,101 |
||||||
|
Distributions reinvested |
— |
3,069,179 |
||||||
|
Cost of shares redeemed |
(5,446,773 |
) |
(8,083,305 |
) |
||||
|
Net increase (decrease) from capital share transactions |
(3,021,730 |
) |
4,345,975 |
|||||
|
Net increase (decrease) in net assets |
(2,488,368 |
) |
3,236,310 |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
40,178,483 |
36,942,173 |
||||||
|
End of period |
$ |
37,690,115 |
$ |
40,178,483 |
||||
|
Undistributed net investment income at end of period |
$ |
410,515 |
$ |
201,372 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
161,606 |
604,897 |
||||||
|
Shares issued from reinvestment of distributions |
— |
200,338 |
||||||
|
Shares redeemed |
(369,404 |
) |
(517,974 |
) |
||||
|
Net increase (decrease) in shares |
(207,798 |
) |
287,261 |
|||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 105 |
|
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
15.11 |
$ |
15.58 |
$ |
13.52 |
$ |
10.54 |
$ |
9.52 |
$ |
9.95 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
.08 |
.08 |
.15 |
.04 |
.07 |
.02 |
||||||||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.19 |
.79 |
1.91 |
2.94 |
.95 |
(.45 |
) |
|||||||||||||||||
|
Total from investment operations |
.27 |
.87 |
2.06 |
2.98 |
1.02 |
(.43 |
) |
|||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net investment income |
— |
(.17 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net realized gains |
— |
(1.17 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(1.34 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
15.38 |
$ |
15.11 |
$ |
15.58 |
$ |
13.52 |
$ |
10.54 |
$ |
9.52 |
||||||||||||
|
Total Returnc |
1.79 |
% |
5.49 |
% |
15.24 |
% |
28.27 |
% |
10.71 |
% |
(4.32 |
%) |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
37,690 |
$ |
40,178 |
$ |
36,942 |
$ |
40,417 |
$ |
36,244 |
$ |
38,130 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
1.12 |
% |
0.52 |
% |
1.05 |
% |
0.33 |
% |
0.63 |
% |
0.20 |
% |
||||||||||||
|
Total expensesd |
1.00 |
% |
1.15 |
% |
1.18 |
% |
1.10 |
% |
1.01 |
% |
0.98 |
% |
||||||||||||
|
Net expenses |
1.00 |
% |
1.15 |
% |
1.16 |
%e |
1.10 |
% |
1.01 |
% |
0.98 |
% |
||||||||||||
|
Portfolio turnover rate |
22 |
% |
65 |
% |
96 |
% |
247 |
% |
187 |
% |
153 |
% |
||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
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. |
|
106 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
FUND PROFILE (Unaudited) |
June 30, 2016 |
SERIES Z (ALPHA OPPORTUNITY SERIES)
OBJECTIVE: Seeks long-term growth of capital.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
|
Inception Date: July 7, 2003 |
|
Ten Largest Holdings (% of Total Net Assets) |
|
|
AT&T, Inc. |
1.6% |
|
Intel Corp. |
1.4% |
|
Verizon Communications, Inc. |
1.3% |
|
AbbVie, Inc. |
1.3% |
|
Wal-Mart Stores, Inc. |
1.3% |
|
Tyson Foods, Inc. — Class A |
1.2% |
|
Ingredion, Inc. |
1.2% |
|
FirstEnergy Corp. |
1.2% |
|
NextEra Energy, Inc. |
1.1% |
|
Southwest Airlines Co. |
1.1% |
|
Top Ten Total |
12.7% |
|
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
|
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 107 |
|
SCHEDULE OF INVESTMENTS (Unaudited) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS† - 96.5% |
||||||||
|
Consumer, Non-cyclical - 27.5% |
||||||||
|
AbbVie, Inc.1 |
2,685 |
$ |
166,228 |
|||||
|
Tyson Foods, Inc. — Class A1 |
2,304 |
153,884 |
||||||
|
Ingredion, Inc.2 |
1,168 |
151,150 |
||||||
|
Sanderson Farms, Inc.2 |
1,473 |
127,621 |
||||||
|
Flowers Foods, Inc. |
6,638 |
124,463 |
||||||
|
HCA Holdings, Inc.* |
1,614 |
124,294 |
||||||
|
Dr Pepper Snapple Group, Inc. |
1,154 |
111,511 |
||||||
|
United Therapeutics Corp.*,2 |
1,041 |
110,262 |
||||||
|
AmerisourceBergen Corp. — Class A |
1,382 |
109,620 |
||||||
|
Laboratory Corporation of America Holdings* |
825 |
107,472 |
||||||
|
ManpowerGroup, Inc.2 |
1,658 |
106,676 |
||||||
|
Cal-Maine Foods, Inc.2 |
2,403 |
106,501 |
||||||
|
Quest Diagnostics, Inc.2 |
1,259 |
102,495 |
||||||
|
Dean Foods Co.2 |
5,099 |
92,241 |
||||||
|
MEDNAX, Inc.* |
1,252 |
90,682 |
||||||
|
Darling Ingredients, Inc.*,2 |
6,054 |
90,205 |
||||||
|
United Natural Foods, Inc.* |
1,881 |
88,031 |
||||||
|
Express Scripts Holding Co.*,1 |
1,122 |
85,048 |
||||||
|
Pfizer, Inc. |
2,335 |
82,215 |
||||||
|
Johnson & Johnson |
677 |
82,120 |
||||||
|
Merck & Company, Inc. |
1,415 |
81,518 |
||||||
|
Post Holdings, Inc.* |
973 |
80,457 |
||||||
|
DaVita HealthCare Partners, Inc.* |
978 |
75,619 |
||||||
|
Owens & Minor, Inc. |
1,907 |
71,284 |
||||||
|
Total System Services, Inc. |
1,251 |
66,441 |
||||||
|
Charles River Laboratories International, Inc.* |
788 |
64,963 |
||||||
|
Cambrex Corp.* |
1,235 |
63,887 |
||||||
|
LifePoint Health, Inc.* |
936 |
61,186 |
||||||
|
SpartanNash Co. |
1,884 |
57,613 |
||||||
|
Universal Corp. |
963 |
55,604 |
||||||
|
Cardtronics, Inc.* |
1,288 |
51,275 |
||||||
|
Sysco Corp. |
991 |
50,283 |
||||||
|
ResMed, Inc. |
793 |
50,141 |
||||||
|
Magellan Health, Inc.* |
706 |
46,434 |
||||||
|
Deluxe Corp.2 |
692 |
45,928 |
||||||
|
Kimberly-Clark Corp. |
334 |
45,918 |
||||||
|
Robert Half International, Inc. |
1,188 |
45,334 |
||||||
|
Avery Dennison Corp. |
596 |
44,551 |
||||||
|
VCA, Inc.*,2 |
644 |
43,541 |
||||||
|
SUPERVALU, Inc.*,2 |
8,878 |
41,904 |
||||||
|
Chemed Corp.2 |
304 |
41,438 |
||||||
|
JM Smucker Co.1 |
268 |
40,846 |
||||||
|
Air Methods Corp.*,2 |
1,136 |
40,703 |
||||||
|
Baxter International, Inc. |
893 |
40,381 |
||||||
|
Becton Dickinson and Co. |
237 |
40,193 |
||||||
|
Total Consumer, Non-cyclical |
3,560,161 |
|||||||
|
INDUSTRIAL - 13.9% |
||||||||
|
Harris Corp. |
1,403 |
117,066 |
||||||
|
Huntington Ingalls Industries, Inc.2 |
600 |
100,818 |
||||||
|
Fluor Corp. |
1,852 |
91,267 |
||||||
|
Avnet, Inc.2 |
2,169 |
87,866 |
||||||
|
Arrow Electronics, Inc.*,2 |
1,367 |
84,617 |
||||||
|
WestRock Co. |
2,075 |
80,655 |
||||||
|
ITT, Inc. |
2,131 |
68,150 |
||||||
|
Tech Data Corp.* |
896 |
64,378 |
||||||
|
AECOM*,2 |
1,866 |
59,283 |
||||||
|
Boeing Co.1 |
452 |
58,701 |
||||||
|
Vishay Intertechnology, Inc.2 |
4,621 |
57,254 |
||||||
|
KBR, Inc.2 |
4,192 |
55,502 |
||||||
|
Sanmina Corp.* |
2,058 |
55,175 |
||||||
|
Crane Co.2 |
966 |
54,792 |
||||||
|
Methode Electronics, Inc. |
1,585 |
54,255 |
||||||
|
Waters Corp.* |
373 |
52,462 |
||||||
|
Keysight Technologies, Inc.* |
1,671 |
48,609 |
||||||
|
CSX Corp.2 |
1,856 |
48,404 |
||||||
|
Saia, Inc.* |
1,892 |
47,566 |
||||||
|
Barnes Group, Inc.2 |
1,388 |
45,971 |
||||||
|
Federal Signal Corp.2 |
3,482 |
44,848 |
||||||
|
Knight Transportation, Inc. |
1,687 |
44,841 |
||||||
|
Timken Co.2 |
1,444 |
44,273 |
||||||
|
Mueller Industries, Inc. |
1,384 |
44,122 |
||||||
|
Trinity Industries, Inc.2 |
2,351 |
43,658 |
||||||
|
Applied Industrial Technologies, Inc. |
959 |
43,289 |
||||||
|
Briggs & Stratton Corp.2 |
2,015 |
42,678 |
||||||
|
United Parcel Service, Inc. — Class B |
379 |
40,826 |
||||||
|
ArcBest Corp.2 |
2,505 |
40,706 |
||||||
|
Werner Enterprises, Inc.2 |
1,752 |
40,243 |
||||||
|
Expeditors International of Washington, Inc. |
807 |
39,575 |
||||||
|
Total Industrial |
1,801,850 |
|||||||
|
Consumer, Cyclical - 12.9% |
||||||||
|
Wal-Mart Stores, Inc.1 |
2,262 |
165,170 |
||||||
|
Southwest Airlines Co. |
3,563 |
139,705 |
||||||
|
CVS Health Corp.2 |
1,403 |
134,324 |
||||||
|
UniFirst Corp.2 |
1,062 |
122,895 |
||||||
|
American Airlines Group, Inc.2 |
3,511 |
99,396 |
||||||
|
Foot Locker, Inc. |
1,521 |
83,442 |
||||||
|
Alaska Air Group, Inc. |
1,343 |
78,283 |
||||||
|
Walgreens Boots Alliance, Inc.1 |
927 |
77,191 |
||||||
|
Target Corp. |
951 |
66,399 |
||||||
|
Thor Industries, Inc.2 |
994 |
64,352 |
||||||
|
United Continental Holdings, Inc.* |
1,478 |
60,657 |
||||||
|
JetBlue Airways Corp.* |
3,648 |
60,411 |
||||||
|
Delta Air Lines, Inc. |
1,617 |
58,907 |
||||||
|
Scotts Miracle-Gro Co. — Class A |
767 |
53,621 |
||||||
|
Spirit Airlines, Inc.* |
1,139 |
51,107 |
||||||
|
Allegiant Travel Co. — Class A |
323 |
48,935 |
||||||
|
PACCAR, Inc.1 |
862 |
44,712 |
||||||
|
Macy's, Inc. |
1,291 |
43,391 |
||||||
|
Nordstrom, Inc. |
1,083 |
41,208 |
||||||
|
WW Grainger, Inc. |
179 |
40,678 |
||||||
|
Brinker International, Inc. |
858 |
39,065 |
||||||
|
Cooper-Standard Holding, Inc.* |
468 |
36,967 |
||||||
|
Dana Holding Corp.2 |
3,470 |
36,644 |
||||||
|
108 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
Shares |
Value |
|||||||
|
Lear Corp. |
344 |
$ |
35,005 |
|||||
|
Total Consumer, Cyclical |
1,682,465 |
|||||||
|
Technology - 11.9% |
||||||||
|
Intel Corp.1 |
5,624 |
184,467 |
||||||
|
Apple, Inc.1 |
1,454 |
139,002 |
||||||
|
Oracle Corp. |
3,071 |
125,696 |
||||||
|
International Business Machines Corp.1 |
717 |
108,827 |
||||||
|
CA, Inc.2 |
3,313 |
108,766 |
||||||
|
HP, Inc.1 |
8,410 |
105,546 |
||||||
|
Tessera Technologies, Inc. |
2,578 |
78,990 |
||||||
|
NetApp, Inc. |
3,181 |
78,221 |
||||||
|
Convergys Corp.2 |
2,944 |
73,600 |
||||||
|
Skyworks Solutions, Inc. |
1,096 |
69,355 |
||||||
|
Cirrus Logic, Inc.*,2 |
1,574 |
61,055 |
||||||
|
Brocade Communications Systems, Inc. |
6,158 |
56,530 |
||||||
|
Texas Instruments, Inc.1 |
749 |
46,925 |
||||||
|
CACI International, Inc. — Class A*,2 |
519 |
46,923 |
||||||
|
Sykes Enterprises, Inc.* |
1,578 |
45,699 |
||||||
|
Mentor Graphics Corp. |
2,027 |
43,094 |
||||||
|
Science Applications International Corp. |
738 |
43,062 |
||||||
|
Allscripts Healthcare Solutions, Inc.*,2 |
3,288 |
41,758 |
||||||
|
Cabot Microelectronics Corp.2 |
983 |
41,620 |
||||||
|
Icad, Inc.*,2 |
6,869 |
35,856 |
||||||
|
Total Technology |
1,534,992 |
|||||||
|
Communications - 10.4% |
||||||||
|
AT&T, Inc.1 |
4,923 |
212,722 |
||||||
|
Verizon Communications, Inc.1 |
3,030 |
169,195 |
||||||
|
Juniper Networks, Inc. |
5,604 |
126,034 |
||||||
|
eBay, Inc.*,1 |
4,561 |
106,773 |
||||||
|
Motorola Solutions, Inc. |
1,316 |
86,817 |
||||||
|
Level 3 Communications, Inc.* |
1,486 |
76,514 |
||||||
|
Discovery Communications, Inc. — Class A* |
2,997 |
75,614 |
||||||
|
Viacom, Inc. — Class B1 |
1,776 |
73,651 |
||||||
|
Comcast Corp. — Class A |
1,096 |
71,448 |
||||||
|
VeriSign, Inc.* |
787 |
68,044 |
||||||
|
Time Warner, Inc.2 |
856 |
62,950 |
||||||
|
AMC Networks, Inc. — Class A*,2 |
938 |
56,674 |
||||||
|
Walt Disney Co. |
476 |
46,562 |
||||||
|
Frontier Communications Corp. |
9,269 |
45,789 |
||||||
|
General Communication, Inc. — Class A* |
2,776 |
43,861 |
||||||
|
Ciena Corp.* |
1,870 |
35,063 |
||||||
|
Total Communications |
1,357,711 |
|||||||
|
Financial - 8.9% |
||||||||
|
Prudential Financial, Inc.1 |
1,541 |
109,936 |
||||||
|
Aflac, Inc.1 |
1,165 |
84,066 |
||||||
|
Interactive Brokers Group, Inc. — Class A |
2,180 |
77,172 |
||||||
|
MetLife, Inc.1 |
1,763 |
70,221 |
||||||
|
Franklin Resources, Inc.1 |
1,808 |
60,333 |
||||||
|
Selective Insurance Group, Inc. |
1,534 |
58,614 |
||||||
|
Old Republic International Corp.2 |
3,015 |
58,159 |
||||||
|
American Financial Group, Inc. |
724 |
53,525 |
||||||
|
Aspen Insurance Holdings Ltd.2 |
1,134 |
52,595 |
||||||
|
Brixmor Property Group, Inc. |
1,979 |
52,364 |
||||||
|
Hanover Insurance Group, Inc.2 |
578 |
48,910 |
||||||
|
American Express Co. |
784 |
47,635 |
||||||
|
Bank of America Corp.1 |
3,568 |
47,347 |
||||||
|
Healthcare Realty Trust, Inc. |
1,329 |
46,502 |
||||||
|
CNO Financial Group, Inc.2 |
2,313 |
40,385 |
||||||
|
Waddell & Reed Financial, Inc. — Class A2 |
2,259 |
38,900 |
||||||
|
Discover Financial Services |
706 |
37,835 |
||||||
|
Bank of New York Mellon Corp. |
964 |
37,451 |
||||||
|
Unum Group |
1,140 |
36,241 |
||||||
|
Ameriprise Financial, Inc. |
400 |
35,940 |
||||||
|
Invesco Ltd. |
1,320 |
33,713 |
||||||
|
National Storage Affiliates Trust |
1,320 |
27,482 |
||||||
|
Irish Bank Resolution Corporation Ltd.††† |
16,638 |
— |
||||||
|
Total Financial |
1,155,326 |
|||||||
|
Utilities - 7.5% |
||||||||
|
FirstEnergy Corp.2 |
4,303 |
150,217 |
||||||
|
NextEra Energy, Inc. |
1,086 |
141,615 |
||||||
|
Ameren Corp.2 |
2,227 |
119,323 |
||||||
|
Edison International |
1,524 |
118,369 |
||||||
|
UGI Corp. |
2,457 |
111,180 |
||||||
|
Southwest Gas Corp. |
1,240 |
97,600 |
||||||
|
American Electric Power Company, Inc.2 |
1,059 |
74,225 |
||||||
|
OGE Energy Corp. |
1,870 |
61,243 |
||||||
|
Pinnacle West Capital Corp. |
719 |
58,282 |
||||||
|
Duke Energy Corp. |
545 |
46,756 |
||||||
|
Total Utilities |
978,810 |
|||||||
|
Basic Materials - 2.7% |
||||||||
|
Mosaic Co. |
3,313 |
86,734 |
||||||
|
Eastman Chemical Co. |
1,177 |
79,918 |
||||||
|
International Paper Co. |
1,629 |
69,037 |
||||||
|
Nucor Corp. |
1,219 |
60,231 |
||||||
|
PPG Industries, Inc. |
539 |
56,137 |
||||||
|
Total Basic Materials |
352,057 |
|||||||
|
Energy - 0.8% |
||||||||
|
Pioneer Natural Resources Co. |
346 |
52,319 |
||||||
|
Valero Energy Corp. |
993 |
50,643 |
||||||
|
Total Energy |
102,962 |
|||||||
|
Total Common Stocks |
||||||||
|
(Cost $12,162,689) |
12,526,334 |
|||||||
|
SHORT TERM INVESTMENTS† - 1.7% |
||||||||
|
Goldman Sachs Financial Square Treasury Instruments Fund 0.19%3 |
220,432 |
220,432 |
||||||
|
Total Short Term Investments |
||||||||
|
(Cost $220,432) |
220,432 |
|||||||
|
Total Investments - 98.2% |
||||||||
|
(Cost $12,383,121) |
$ |
12,746,766 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
Shares |
Value |
|||||||
|
COMMON STOCKS SOLD SHORT† - (22.9)% |
||||||||
|
Communications - (0.8)% |
||||||||
|
Amazon.com, Inc.* |
152 |
$ |
(108,774 |
) |
||||
|
Industrial - (1.3)% |
||||||||
|
EnPro Industries, Inc. |
1,120 |
(49,717 |
) |
|||||
|
Louisiana-Pacific Corp.* |
6,471 |
(112,272 |
) |
|||||
|
Total Industrial |
(161,989 |
) |
||||||
|
Consumer, Non-cyclical - (1.8)% |
||||||||
|
Acorda Therapeutics, Inc.* |
1,556 |
(39,686 |
) |
|||||
|
Cantel Medical Corp. |
614 |
(42,200 |
) |
|||||
|
Monro Muffler Brake, Inc. |
763 |
(48,496 |
) |
|||||
|
Vertex Pharmaceuticals, Inc.* |
1,217 |
(104,686 |
) |
|||||
|
Total Consumer, Non-cyclical |
(235,068 |
) |
||||||
|
Technology - (3.1)% |
||||||||
|
Red Hat, Inc.* |
636 |
(46,174 |
) |
|||||
|
CommVault Systems, Inc.* |
1,095 |
(47,293 |
) |
|||||
|
Ultimate Software Group, Inc.* |
244 |
(51,311 |
) |
|||||
|
Silicon Laboratories, Inc.* |
1,096 |
(53,419 |
) |
|||||
|
Medidata Solutions, Inc.* |
1,485 |
(69,602 |
) |
|||||
|
Cypress Semiconductor Corp. |
11,462 |
(120,924 |
) |
|||||
|
Total Technology |
(388,723 |
) |
||||||
|
Consumer, Cyclical - (3.4)% |
||||||||
|
LKQ Corp.* |
881 |
(27,928 |
) |
|||||
|
Regis Corp.* |
2,880 |
(35,856 |
) |
|||||
|
Motorcar Parts of America, Inc.* |
1,418 |
(38,541 |
) |
|||||
|
Popeyes Louisiana Kitchen, Inc.* |
749 |
(40,925 |
) |
|||||
|
Sonic Automotive, Inc. — Class A |
2,516 |
(43,049 |
) |
|||||
|
Callaway Golf Co. |
4,505 |
(45,996 |
) |
|||||
|
Mobile Mini, Inc. |
1,446 |
(50,089 |
) |
|||||
|
Papa John's International, Inc. |
759 |
(51,613 |
) |
|||||
|
Pool Corp. |
584 |
(54,913 |
) |
|||||
|
Crocs, Inc.* |
4,871 |
(54,945 |
) |
|||||
|
Total Consumer, Cyclical |
(443,855 |
) |
||||||
|
Basic Materials - (3.8)% |
||||||||
|
HB Fuller Co. |
825 |
(36,292 |
) |
|||||
|
Compass Minerals International, Inc. |
507 |
(37,614 |
) |
|||||
|
NewMarket Corp. |
113 |
(46,825 |
) |
|||||
|
Sensient Technologies Corp. |
1,088 |
(77,291 |
) |
|||||
|
Worthington Industries, Inc. |
1,968 |
(83,247 |
) |
|||||
|
Royal Gold, Inc. |
2,992 |
(215,483 |
) |
|||||
|
Total Basic Materials |
(496,752 |
) |
||||||
|
Financial - (8.7)% |
||||||||
|
Northfield Bancorp, Inc. |
2,475 |
(36,706 |
) |
|||||
|
Pennsylvania Real Estate Investment Trust |
1,860 |
(39,897 |
) |
|||||
|
Safety Insurance Group, Inc. |
648 |
(39,904 |
) |
|||||
|
FNB Corp. |
3,185 |
(39,940 |
) |
|||||
|
Sovran Self Storage, Inc. |
388 |
(40,709 |
) |
|||||
|
Morgan Stanley |
1,649 |
(42,841 |
) |
|||||
|
Community Bank System, Inc. |
1,045 |
(42,939 |
) |
|||||
|
American Assets Trust, Inc. |
1,030 |
(43,713 |
) |
|||||
|
Glacier Bancorp, Inc. |
1,794 |
(47,685 |
) |
|||||
|
Webster Financial Corp. |
1,426 |
(48,413 |
) |
|||||
|
Liberty Property Trust |
1,239 |
(49,213 |
) |
|||||
|
Associated Banc-Corp. |
3,065 |
(52,565 |
) |
|||||
|
EastGroup Properties, Inc. |
863 |
(59,478 |
) |
|||||
|
Retail Opportunity Investments Corp. |
2,981 |
(64,598 |
) |
|||||
|
Assurant, Inc. |
765 |
(66,027 |
) |
|||||
|
Camden Property Trust |
775 |
(68,526 |
) |
|||||
|
Boston Properties, Inc. |
521 |
(68,720 |
) |
|||||
|
Federal Realty Investment Trust |
469 |
(77,643 |
) |
|||||
|
Valley National Bancorp |
9,241 |
(84,277 |
) |
|||||
|
Alexandria Real Estate Equities, Inc. |
1,079 |
(111,697 |
) |
|||||
|
Total Financial |
(1,125,491 |
) |
||||||
|
Total Common Stocks Sold Short |
||||||||
|
(Proceeds $2,719,641) |
(2,960,652 |
) |
||||||
|
Total Securities Sold Short - (22.9)% |
||||||||
|
(Proceeds $2,719,641) |
$ |
(2,960,652 |
) |
|||||
|
Other Assets & Liabilities, net - 24.7% |
3,210,286 |
|||||||
|
Total Net Assets - 100.0% |
$ |
12,996,400 |
||||||
|
Units |
Unrealized |
|||
|
OTC EQUITY INDEX SWAP AGREEMENTS†† |
||||
|
Morgan Stanley |
$ |
300,013 |
||
|
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† |
||||
|
Morgan Stanley |
$ |
(683,410 |
) |
|
|
Shares |
||||||||
|
CUSTOM BASKET OF LONG SECURITIES |
||||||||
|
WellCare Health Plans, Inc.* |
1,334 |
$ |
40,551 |
|||||
|
Energizer Holdings, Inc. |
1,933 |
34,742 |
||||||
|
Cisco Systems, Inc. |
5,136 |
24,060 |
||||||
|
UnitedHealth Group, Inc. |
828 |
20,998 |
||||||
|
Archer-Daniels-Midland Co. |
2,579 |
19,045 |
||||||
|
CenturyLink, Inc. |
5,456 |
18,049 |
||||||
|
InterDigital, Inc. |
1,582 |
16,493 |
||||||
|
QUALCOMM, Inc. |
1,977 |
15,328 |
||||||
|
110 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
Shares |
Unrealized |
|||||||
|
Telephone & Data Systems, Inc. |
2,456 |
$ |
14,605 |
|||||
|
Universal Health Services, Inc. — Class B |
783 |
14,164 |
||||||
|
Consolidated Edison, Inc. |
2,092 |
12,961 |
||||||
|
McKesson Corp. |
474 |
12,860 |
||||||
|
Travelers Companies, Inc. |
1,049 |
10,659 |
||||||
|
CenterPoint Energy, Inc. |
3,224 |
10,604 |
||||||
|
Hartford Financial Services Group, Inc. |
2,207 |
10,404 |
||||||
|
Cummins, Inc. |
479 |
9,841 |
||||||
|
SYNNEX Corp. |
977 |
9,754 |
||||||
|
Public Service Enterprise Group, Inc. |
1,755 |
9,031 |
||||||
|
Principal Financial Group, Inc. |
1,456 |
8,058 |
||||||
|
WR Berkley Corp. |
746 |
7,199 |
||||||
|
Carlisle Companies, Inc. |
604 |
6,330 |
||||||
|
Allstate Corp. |
824 |
5,960 |
||||||
|
DST Systems, Inc. |
635 |
5,879 |
||||||
|
Dick's Sporting Goods, Inc. |
950 |
5,455 |
||||||
|
Western Union Co. |
4,834 |
5,365 |
||||||
|
JPMorgan Chase & Co. |
1,039 |
5,083 |
||||||
|
Amsurg Corp. — Class A* |
1,015 |
4,448 |
||||||
|
Mallinckrodt plc* |
1,375 |
4,419 |
||||||
|
EMCOR Group, Inc. |
1,333 |
3,978 |
||||||
|
ConAgra Foods, Inc. |
1,306 |
3,879 |
||||||
|
Progressive Corp. |
2,664 |
3,515 |
||||||
|
PG&E Corp. |
778 |
3,421 |
||||||
|
PepsiCo, Inc. |
564 |
3,332 |
||||||
|
Teradyne, Inc. |
5,432 |
3,054 |
||||||
|
Procter & Gamble Co. |
849 |
2,662 |
||||||
|
Hormel Foods Corp. |
1,212 |
2,321 |
||||||
|
Snap-on, Inc. |
259 |
2,232 |
||||||
|
Great Plains Energy, Inc. |
2,371 |
2,208 |
||||||
|
Everest Re Group Ltd. |
739 |
1,847 |
||||||
|
ATN International, Inc. |
923 |
1,471 |
||||||
|
Amgen, Inc. |
740 |
1,307 |
||||||
|
Microsoft Corp. |
1,845 |
1,187 |
||||||
|
Scripps Networks Interactive, Inc. — Class A |
1,771 |
905 |
||||||
|
Teradata Corp.* |
1,663 |
829 |
||||||
|
Citigroup, Inc. |
1,383 |
569 |
||||||
|
Xerox Corp. |
12,651 |
551 |
||||||
|
Lincoln National Corp. |
1,286 |
267 |
||||||
|
Equity Residential |
806 |
(52 |
) |
|||||
|
Hologic, Inc.* |
2,432 |
(254 |
) |
|||||
|
Gilead Sciences, Inc. |
2,212 |
(497 |
) |
|||||
|
IPG Photonics Corp.* |
732 |
(743 |
) |
|||||
|
Cardinal Health, Inc. |
1,818 |
(1,270 |
) |
|||||
|
Pitney Bowes, Inc. |
2,243 |
(1,857 |
) |
|||||
|
Cognizant Technology Solutions Corp. — Class A* |
1,103 |
(1,891 |
) |
|||||
|
Ford Motor Co. |
5,539 |
(3,527 |
) |
|||||
|
Michael Kors Holdings Ltd.* |
1,420 |
(3,610 |
) |
|||||
|
Goodyear Tire & Rubber Co. |
1,450 |
(4,074 |
) |
|||||
|
Synchrony Financial* |
2,024 |
(4,716 |
) |
|||||
|
Kroger Co. |
3,357 |
(5,801 |
) |
|||||
|
LyondellBasell Industries N.V. — Class A |
1,555 |
(7,048 |
) |
|||||
|
Molina Healthcare, Inc.* |
2,123 |
(8,183 |
) |
|||||
|
Biogen, Inc.* |
487 |
(12,283 |
) |
|||||
|
Delta Air Lines, Inc. |
2,192 |
(12,806 |
) |
|||||
|
United Continental Holdings, Inc.* |
2,605 |
(14,466 |
) |
|||||
|
First Solar, Inc.* |
1,294 |
(22,678 |
) |
|||||
|
Total Custom Basket of Long Securities |
296,127 |
|||||||
|
CUSTOM BASKET OF SHORT SECURITIES |
||||||||
|
Hanesbrands, Inc. |
(2,929 |
) |
17,123 |
|||||
|
Cree, Inc.* |
(1,779 |
) |
9,701 |
|||||
|
United States Steel Corp. |
(6,012 |
) |
7,936 |
|||||
|
Stericycle, Inc.* |
(640 |
) |
7,654 |
|||||
|
Sotheby's |
(1,619 |
) |
7,178 |
|||||
|
Goldman Sachs Group, Inc. |
(1,008 |
) |
7,062 |
|||||
|
Autodesk, Inc.* |
(3,457 |
) |
6,328 |
|||||
|
Bank of the Ozarks, Inc. |
(1,131 |
) |
6,256 |
|||||
|
Toll Brothers, Inc.* |
(3,187 |
) |
4,984 |
|||||
|
Twenty-First Century Fox, Inc. — Class A |
(2,101 |
) |
4,674 |
|||||
|
American International Group, Inc. |
(2,241 |
) |
4,573 |
|||||
|
AutoNation, Inc.* |
(961 |
) |
4,217 |
|||||
|
Tangoe, Inc.* |
(6,086 |
) |
3,945 |
|||||
|
New York Community Bancorp, Inc. |
(11,058 |
) |
3,321 |
|||||
|
Tempur Sealy International, Inc.* |
(780 |
) |
3,008 |
|||||
|
Nielsen Holdings plc |
(1,261 |
) |
2,979 |
|||||
|
Allergan plc* |
(281 |
) |
2,755 |
|||||
|
TripAdvisor, Inc.* |
(1,436 |
) |
2,572 |
|||||
|
Harman International Industries, Inc. |
(519 |
) |
2,475 |
|||||
|
Trimble Navigation Ltd.* |
(1,525 |
) |
2,428 |
|||||
|
Priceline Group, Inc.* |
(35 |
) |
2,426 |
|||||
|
Mattel, Inc. |
(2,346 |
) |
2,352 |
|||||
|
Nektar Therapeutics* |
(4,933 |
) |
2,110 |
|||||
|
Cheesecake Factory, Inc. |
(788 |
) |
2,064 |
|||||
|
Orbital ATK, Inc. |
(444 |
) |
1,839 |
|||||
|
VF Corp. |
(1,322 |
) |
1,697 |
|||||
|
Expedia, Inc. |
(256 |
) |
1,657 |
|||||
|
Donaldson Company, Inc. |
(1,150 |
) |
1,522 |
|||||
|
Illinois Tool Works, Inc. |
(391 |
) |
1,519 |
|||||
|
Interpublic Group of Companies, Inc. |
(1,650 |
) |
1,477 |
|||||
|
Electronics for Imaging, Inc.* |
(1,023 |
) |
1,206 |
|||||
|
Netflix, Inc.* |
(1,112 |
) |
858 |
|||||
|
Under Armour, Inc. — Class A* |
(2,126 |
) |
836 |
|||||
|
Intercontinental Exchange, Inc. |
(152 |
) |
792 |
|||||
|
Hasbro, Inc. |
(828 |
) |
750 |
|||||
|
Pentair plc |
(671 |
) |
668 |
|||||
|
Domino's Pizza, Inc. |
(328 |
) |
613 |
|||||
|
Acuity Brands, Inc. |
(157 |
) |
588 |
|||||
|
Gartner, Inc.* |
(526 |
) |
267 |
|||||
|
PPL Corp. |
(1,639 |
) |
233 |
|||||
|
Chipotle Mexican Grill, Inc. — Class A* |
(108 |
) |
206 |
|||||
|
BB&T Corp. |
(1,089 |
) |
86 |
|||||
|
Corning, Inc. |
(3,545 |
) |
11 |
|||||
|
Navient Corp. |
(3,160 |
) |
(78 |
) |
||||
|
NIKE, Inc. — Class B |
(923 |
) |
(109 |
) |
||||
|
L-3 Communications Holdings, Inc. |
(271 |
) |
(109 |
) |
||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 111 |
|
SCHEDULE OF INVESTMENTS (Unaudited)(continued) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
Shares |
Unrealized |
|||||||
|
People's United Financial, Inc. |
(1,874 |
) |
$ |
(251 |
) |
|||
|
MSCI, Inc. — Class A |
(517 |
) |
(265 |
) |
||||
|
Fortinet, Inc.* |
(2,158 |
) |
(446 |
) |
||||
|
AvalonBay Communities, Inc. |
(254 |
) |
(548 |
) |
||||
|
Jack in the Box, Inc. |
(611 |
) |
(582 |
) |
||||
|
PulteGroup, Inc. |
(2,066 |
) |
(586 |
) |
||||
|
TransDigm Group, Inc.* |
(236 |
) |
(633 |
) |
||||
|
Alkermes plc* |
(939 |
) |
(645 |
) |
||||
|
Ball Corp. |
(539 |
) |
(894 |
) |
||||
|
Northrop Grumman Corp. |
(182 |
) |
(909 |
) |
||||
|
CME Group, Inc. — Class A |
(418 |
) |
(948 |
) |
||||
|
Adobe Systems, Inc.* |
(620 |
) |
(958 |
) |
||||
|
Coach, Inc. |
(1,051 |
) |
(1,015 |
) |
||||
|
Equifax, Inc. |
(320 |
) |
(1,456 |
) |
||||
|
Balchem Corp. |
(1,242 |
) |
(1,553 |
) |
||||
|
Starbucks Corp. |
(727 |
) |
(1,721 |
) |
||||
|
Taubman Centers, Inc. |
(549 |
) |
(1,821 |
) |
||||
|
Kite Realty Group Trust |
(1,509 |
) |
(1,992 |
) |
||||
|
DCT Industrial Trust, Inc. |
(873 |
) |
(2,111 |
) |
||||
|
Public Storage |
(164 |
) |
(2,302 |
) |
||||
|
Cintas Corp. |
(651 |
) |
(2,378 |
) |
||||
|
Leggett & Platt, Inc. |
(970 |
) |
(2,431 |
) |
||||
|
Tractor Supply Co. |
(636 |
) |
(2,554 |
) |
||||
|
Digital Realty Trust, Inc. |
(390 |
) |
(2,648 |
) |
||||
|
NiSource, Inc. |
(1,674 |
) |
(2,833 |
) |
||||
|
Dunkin' Brands Group, Inc. |
(1,047 |
) |
(2,899 |
) |
||||
|
BlackRock, Inc. — Class A |
(143 |
) |
(2,950 |
) |
||||
|
Yum! Brands, Inc. |
(846 |
) |
(3,137 |
) |
||||
|
International Flavors & Fragrances, Inc. |
(412 |
) |
(3,300 |
) |
||||
|
Edgewell Personal Care Co.* |
(499 |
) |
(3,374 |
) |
||||
|
Four Corners Property Trust, Inc. |
(2,181 |
) |
(3,522 |
) |
||||
|
Ellie Mae, Inc.* |
(473 |
) |
(3,609 |
) |
||||
|
PTC, Inc.* |
(1,734 |
) |
(3,784 |
) |
||||
|
Extra Space Storage, Inc. |
(555 |
) |
(3,814 |
) |
||||
|
Eversource Energy |
(732 |
) |
(4,355 |
) |
||||
|
Panera Bread Co. — Class A* |
(274 |
) |
(4,410 |
) |
||||
|
Dollar General Corp. |
(576 |
) |
(4,601 |
) |
||||
|
Aerovironment, Inc.* |
(2,031 |
) |
(4,631 |
) |
||||
|
Post Properties, Inc. |
(1,184 |
) |
(4,652 |
) |
||||
|
Sempra Energy |
(537 |
) |
(4,666 |
) |
||||
|
Manhattan Associates, Inc.* |
(899 |
) |
(4,763 |
) |
||||
|
salesforce.com, Inc.* |
(1,157 |
) |
(4,975 |
) |
||||
|
Deere & Co. |
(1,857 |
) |
(5,197 |
) |
||||
|
Lennar Corp. — Class A |
(2,218 |
) |
(5,395 |
) |
||||
|
Boston Scientific Corp.* |
(1,814 |
) |
(5,443 |
) |
||||
|
Leucadia National Corp. |
(4,702 |
) |
(5,459 |
) |
||||
|
Imperva, Inc.* |
(1,050 |
) |
(5,461 |
) |
||||
|
Dominion Resources, Inc. |
(720 |
) |
(5,462 |
) |
||||
|
Essex Property Trust, Inc. |
(361 |
) |
(5,800 |
) |
||||
|
General Electric Co. |
(3,210 |
) |
(5,978 |
) |
||||
|
Weingarten Realty Investors |
(1,216 |
) |
(6,216 |
) |
||||
|
Bristol-Myers Squibb Co. |
(603 |
) |
(6,596 |
) |
||||
|
Realty Income Corp. |
(617 |
) |
(6,775 |
) |
||||
|
Semtech Corp.* |
(2,325 |
) |
(7,116 |
) |
||||
|
Ingersoll-Rand plc |
(617 |
) |
(7,124 |
) |
||||
|
Wynn Resorts Ltd. |
(1,443 |
) |
(7,150 |
) |
||||
|
Lexington Realty Trust |
(4,545 |
) |
(7,351 |
) |
||||
|
Alliant Energy Corp. |
(1,276 |
) |
(7,365 |
) |
||||
|
Welltower, Inc. |
(746 |
) |
(7,965 |
) |
||||
|
Intuit, Inc. |
(574 |
) |
(8,026 |
) |
||||
|
Kilroy Realty Corp. |
(823 |
) |
(8,311 |
) |
||||
|
Copart, Inc.* |
(1,301 |
) |
(8,504 |
) |
||||
|
Education Realty Trust, Inc. |
(1,137 |
) |
(8,515 |
) |
||||
|
Simon Property Group, Inc. |
(287 |
) |
(8,599 |
) |
||||
|
Kansas City Southern |
(1,028 |
) |
(8,691 |
) |
||||
|
Freeport-McMoRan, Inc. |
(13,735 |
) |
(9,021 |
) |
||||
|
Equity One, Inc. |
(2,146 |
) |
(9,117 |
) |
||||
|
Core-Mark Holding Company, Inc. |
(1,374 |
) |
(9,447 |
) |
||||
|
WhiteWave Foods Co. — Class A* |
(1,442 |
) |
(9,489 |
) |
||||
|
Kate Spade & Co.* |
(4,024 |
) |
(9,601 |
) |
||||
|
Douglas Emmett, Inc. |
(1,935 |
) |
(9,736 |
) |
||||
|
Vornado Realty Trust |
(688 |
) |
(9,809 |
) |
||||
|
Garmin Ltd. |
(1,732 |
) |
(9,809 |
) |
||||
|
Cooper Companies, Inc. |
(256 |
) |
(9,991 |
) |
||||
|
Mercury General Corp. |
(1,413 |
) |
(10,266 |
) |
||||
|
Regency Centers Corp. |
(935 |
) |
(10,318 |
) |
||||
|
Tyler Technologies, Inc.* |
(429 |
) |
(10,628 |
) |
||||
|
S&P Global, Inc. |
(526 |
) |
(11,274 |
) |
||||
|
Medical Properties Trust, Inc. |
(3,555 |
) |
(11,397 |
) |
||||
|
Crown Castle International Corp. |
(981 |
) |
(11,415 |
) |
||||
|
FMC Corp. |
(1,081 |
) |
(11,502 |
) |
||||
|
Itron, Inc.* |
(1,179 |
) |
(11,528 |
) |
||||
|
Ashland, Inc. |
(545 |
) |
(11,751 |
) |
||||
|
Eagle Materials, Inc. |
(498 |
) |
(11,767 |
) |
||||
|
HCP, Inc. |
(3,532 |
) |
(12,061 |
) |
||||
|
Stillwater Mining Co.* |
(6,832 |
) |
(12,149 |
) |
||||
|
Dollar Tree, Inc.* |
(1,095 |
) |
(12,883 |
) |
||||
|
Ulta Salon Cosmetics & Fragrance, Inc.* |
(363 |
) |
(13,044 |
) |
||||
|
South Jersey Industries, Inc. |
(1,977 |
) |
(13,122 |
) |
||||
|
NRG Energy, Inc. |
(6,461 |
) |
(13,677 |
) |
||||
|
CarMax, Inc.* |
(3,045 |
) |
(14,635 |
) |
||||
|
SL Green Realty Corp. |
(1,208 |
) |
(14,664 |
) |
||||
|
Prologis, Inc. |
(1,689 |
) |
(14,822 |
) |
||||
|
Equinix, Inc. |
(332 |
) |
(14,920 |
) |
||||
|
American Tower Corp. — Class A |
(724 |
) |
(15,796 |
) |
||||
|
Rayonier, Inc. |
(3,961 |
) |
(16,321 |
) |
||||
|
Five Below, Inc.* |
(1,604 |
) |
(16,593 |
) |
||||
|
Olin Corp. |
(1,756 |
) |
(16,802 |
) |
||||
|
Ventas, Inc. |
(951 |
) |
(17,345 |
) |
||||
|
Mack-Cali Realty Corp. |
(3,065 |
) |
(17,721 |
) |
||||
|
Duke Realty Corp. |
(2,950 |
) |
(19,441 |
) |
||||
|
MDU Resources Group, Inc. |
(3,685 |
) |
(20,987 |
) |
||||
|
Martin Marietta Materials, Inc. |
(641 |
) |
(35,896 |
) |
||||
|
Vulcan Materials Co. |
(1,181 |
) |
(36,171 |
) |
||||
|
Total Custom Basket of Short Securities |
(670,685 |
) |
||||||
|
112 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) |
June 30, 2016 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
* |
Non-income producing security. |
|
† |
Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
|
†† |
Value determined based on Level 2 inputs — See Note 4. |
|
††† |
Value determined based on Level 3 inputs — See Note 4. |
|
1 |
All or a portion of this security is pledged as equity index swap collateral at June 30, 2016. |
|
2 |
All or a portion of this security is pledged as short security collateral at June 30, 2016. |
|
3 |
Rate indicated is the 7 day yield as of June 30, 2016. |
|
4 |
Total Return is based on the return of short basket of securities +/- financing at a variable rate. A detail of the securities included in the custom basket can be found under the heading Custom Basket of Short Securities. Rate indicated is the rate effective at June 30, 2016. |
|
5 |
Total Return is based on the return of long basket of securities +/- financing at a variable rate. A detail of the securities included in the custom basket can be found under the heading Custom Basket of Long Securities. Rate indicated is the rate effective at June 30, 2016. |
|
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2016 (See Note 4 in the Notes to Financial Statements):
|
Investments in Securities (Assets) |
Level 1 |
Level 2 |
Level 2 - |
Level 3 |
Total |
|||||||||||||||
|
Common Stocks |
$ |
12,526,334 |
$ |
— |
$ |
— |
$ |
— |
$ |
12,526,334 |
||||||||||
|
Equity Index Swap Agreements |
— |
— |
300,013 |
— |
300,013 |
|||||||||||||||
|
Short Term Investments |
220,432 |
— |
— |
— |
220,432 |
|||||||||||||||
|
Total |
$ |
12,746,766 |
$ |
— |
$ |
300,013 |
$ |
— |
$ |
13,046,779 |
||||||||||
|
Investments in Securities (Liabilities) |
Level 1 |
Level 2 |
Level 2 - |
Level 3 |
Total |
|||||||||||||||
|
Common Stocks |
$ |
2,960,652 |
$ |
— |
$ |
— |
$ |
— |
$ |
2,960,652 |
||||||||||
|
Equity Index Swap Agreements |
— |
— |
683,410 |
— |
683,410 |
|||||||||||||||
|
Total |
$ |
2,960,652 |
$ |
— |
$ |
683,410 |
$ |
— |
$ |
3,644,062 |
||||||||||
|
* |
Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
For the period ended June 30, 2016, there were no transfers between levels.
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
|
June 30, 2016 |
|
Assets: |
||||
|
Investments, at value (cost $12,383,121) |
$ |
12,746,766 |
||
|
Segregated cash with broker |
3,729,091 |
|||
|
Unrealized appreciation on swap agreements |
300,013 |
|||
|
Receivables: |
||||
|
Securities sold |
268,376 |
|||
|
Dividends |
10,359 |
|||
|
Fund shares sold |
21 |
|||
|
Total assets |
17,054,626 |
|||
|
Liabilities: |
||||
|
Securities sold short, at value (proceeds $2,719,641) |
2,960,652 |
|||
|
Unrealized depreciation on swap agreements |
683,410 |
|||
|
Overdraft due to custodian bank |
291 |
|||
|
Payable for: |
||||
|
Securities purchased |
259,601 |
|||
|
Swap settlement |
30,957 |
|||
|
Management fees |
11,390 |
|||
|
Transfer agent/maintenance fees |
4,160 |
|||
|
Fund accounting/administration fees |
2,798 |
|||
|
Fund shares redeemed |
342 |
|||
|
Miscellaneous |
104,625 |
|||
|
Total liabilities |
4,058,226 |
|||
|
Commitments and contingent liabilities (Note 15) |
— |
|||
|
Net assets |
$ |
12,996,400 |
||
|
Net assets consist of: |
||||
|
Paid in capital |
$ |
14,974,015 |
||
|
Undistributed net investment income |
166,375 |
|||
|
Accumulated net realized loss on investments |
(1,883,227 |
) |
||
|
Net unrealized depreciation on investments |
(260,763 |
) |
||
|
Net assets |
$ |
12,996,400 |
||
|
Capital shares outstanding |
758,683 |
|||
|
Net asset value per share |
$ |
17.13 |
||
|
STATEMENT OF OPERATIONS (Unaudited) |
|
Period Ended June 30, 2016 |
|
Investment Income: |
||||
|
Dividends |
$ |
117,398 |
||
|
Interest |
528 |
|||
|
Total investment income |
117,926 |
|||
|
Expenses: |
||||
|
Management fees |
80,826 |
|||
|
Transfer agent/maintenance fees |
12,512 |
|||
|
Fund accounting/administration fees |
7,982 |
|||
|
Legal fees |
50,050 |
|||
|
Short sales dividend expense |
35,332 |
|||
|
Printing expenses |
19,033 |
|||
|
Prime broker interest expense |
4,656 |
|||
|
Custodian fees |
3,175 |
|||
|
Trustees' fees* |
833 |
|||
|
Miscellaneous |
13,068 |
|||
|
Total expenses |
227,467 |
|||
|
Less: |
||||
|
Expenses waived by Adviser |
(35,512 |
) |
||
|
Net expenses |
191,955 |
|||
|
Net investment loss |
(74,029 |
) |
||
|
Net Realized and Unrealized Gain (Loss): |
||||
|
Net realized gain (loss) on: |
||||
|
Investments |
(91,586 |
) |
||
|
Swap agreements |
(96,593 |
) |
||
|
Securities sold short |
66,444 |
|||
|
Net realized loss |
(121,735 |
) |
||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
917,630 |
|||
|
Securities sold short |
(176,466 |
) |
||
|
Swap agreements |
(142,993 |
) |
||
|
Net change in unrealized appreciation (depreciation) |
598,171 |
|||
|
Net realized and unrealized gain |
476,436 |
|||
|
Net increase in net assets resulting from operations |
$ |
402,407 |
||
|
* |
Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
|
114 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
STATEMENTS OF CHANGES IN NET ASSETS |
|
Period Ended |
Year Ended |
|||||||
|
Increase (Decrease) in Net Assets from Operations: |
||||||||
|
Net investment loss |
$ |
(74,029 |
) |
$ |
(282,580 |
) |
||
|
Net realized gain (loss) on investments |
(121,735 |
) |
651,047 |
|||||
|
Net change in unrealized appreciation (depreciation) on investments |
598,171 |
(1,024,889 |
) |
|||||
|
Net increase (decrease) in net assets resulting from operations |
402,407 |
(656,422 |
) |
|||||
|
Distributions to shareholders from: |
||||||||
|
Net realized gains |
— |
(4,910,631 |
) |
|||||
|
Total distributions to shareholders |
— |
(4,910,631 |
) |
|||||
|
Capital share transactions: |
||||||||
|
Proceeds from sale of shares |
816,750 |
1,135,619 |
||||||
|
Distributions reinvested |
— |
4,910,631 |
||||||
|
Cost of shares redeemed |
(770,916 |
) |
(3,542,147 |
) |
||||
|
Net increase from capital share transactions |
45,834 |
2,504,103 |
||||||
|
Net increase (decrease) in net assets |
448,241 |
(3,062,950 |
) |
|||||
|
Net assets: |
||||||||
|
Beginning of period |
12,548,159 |
15,611,109 |
||||||
|
End of period |
$ |
12,996,400 |
$ |
12,548,159 |
||||
|
Undistributed net investment income at end of period |
$ |
166,375 |
$ |
240,404 |
||||
|
Capital share activity: |
||||||||
|
Shares sold |
47,092 |
57,194 |
||||||
|
Shares issued from reinvestment of distributions |
— |
291,605 |
||||||
|
Shares redeemed |
(45,000 |
) |
(163,462 |
) |
||||
|
Net increase in shares |
2,092 |
185,337 |
||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. |
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 115 |
|
SERIES Z (ALPHA OPPORTUNITY SERIES) |
|
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
Period Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
Year Ended |
|||||||||||||||||||
|
Per Share Data |
||||||||||||||||||||||||
|
Net asset value, beginning of period |
$ |
16.59 |
$ |
27.33 |
$ |
25.00 |
$ |
19.55 |
$ |
17.24 |
$ |
16.98 |
||||||||||||
|
Income (loss) from investment operations: |
||||||||||||||||||||||||
|
Net investment income (loss)b |
(.10 |
) |
(.43 |
) |
(.43 |
) |
(.15 |
) |
(.08 |
) |
(.12 |
) |
||||||||||||
|
Net gain (loss) on investments (realized and unrealized) |
.64 |
(.69 |
) |
2.76 |
5.60 |
2.36 |
.38 |
|||||||||||||||||
|
Payments by affiliates |
— |
— |
— |
— |
.03 |
c |
— |
|||||||||||||||||
|
Total from investment operations |
.54 |
(1.12 |
) |
2.33 |
5.45 |
2.31 |
.26 |
|||||||||||||||||
|
Less distributions from: |
||||||||||||||||||||||||
|
Net realized gains |
— |
(9.62 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Total distributions |
— |
(9.62 |
) |
— |
— |
— |
— |
|||||||||||||||||
|
Net asset value, end of period |
$ |
17.13 |
$ |
16.59 |
$ |
27.33 |
$ |
25.00 |
$ |
19.55 |
$ |
17.24 |
||||||||||||
|
Total Returnd |
3.32 |
% |
(4.69 |
%) |
9.36 |
% |
27.83 |
% |
13.40 |
% |
1.77 |
% |
||||||||||||
|
Ratios/Supplemental Data |
||||||||||||||||||||||||
|
Net assets, end of period (in thousands) |
$ |
12,996 |
$ |
12,548 |
$ |
15,611 |
$ |
16,707 |
$ |
15,571 |
$ |
17,161 |
||||||||||||
|
Ratios to average net assets: |
||||||||||||||||||||||||
|
Net investment income (loss) |
(1.14 |
%) |
(2.03 |
%) |
(1.65 |
%) |
(0.69 |
%) |
(0.41 |
%) |
(0.66 |
%) |
||||||||||||
|
Total expenses |
3.52 |
% |
3.54 |
% |
2.71 |
% |
3.03 |
% |
2.22 |
% |
2.29 |
% |
||||||||||||
|
Net expensese,f |
2.97 |
% |
3.46 |
% |
2.33 |
% |
2.44 |
% |
2.22 |
% |
2.29 |
% |
||||||||||||
|
Portfolio turnover rate |
170 |
% |
446 |
% |
— |
548 |
% |
720 |
% |
730 |
% |
|||||||||||||
|
a |
Unaudited figures for the period ended June 30, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
|
b |
Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
|
c |
For the year ended December 31, 2012, 0.17% of the Series total return consisted of a voluntary reimbursement by the Adviser for losses incurred during fund trading. Excluding the item, total return would have been 13.23% for the Series. |
|
d |
Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products. |
|
e |
Net expense information reflects the expense ratios after expense waivers. |
|
f |
Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding those amounts, the operating expense ratios for the periods presented would be: |
|
06/30/16 |
12/31/15 |
12/31/14 |
12/31/13 |
12/31/12 |
12/31/11 |
||
|
2.35% |
2.35% |
2.32% |
2.35% |
2.06% |
2.21% |
|
116 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
SEE NOTES TO FINANCIAL STATEMENTS. |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
1. Organization, Consolidation of Subsidiary and Significant Accounting Policies
Organization
Guggenheim Variable Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately. At June 30, 2016, the Trust consisted of fifteen funds.
This report covers the Series A (StylePlus—Large Core Series), Series B (Large Cap Value Series), Series D (World Equity Income Series), Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series J (StylePlus—Mid Growth Series), Series M (Macro Opportunities Series), Series N (Managed Asset Allocation Series), Series O (All Cap Value Series), Series P (High Yield Series), Series Q (Small Cap Value Series), Series V (Mid Cap Value Series), Series X (StylePlus—Small Growth Series), Series Y (StylePlus—Large Growth Series) and Series Z (Alpha Opportunity Series) (the “Funds”), each a diversified investment company, with the exception of Series B (Large Cap Value Series), Series M (Macro Opportunities Series) and Series Y (StylePlus—Large Growth Series), which are each a non-diversified investment company.
Guggenheim Investments (“GI”) provides advisory services, and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, RFS and GFD are affiliated entities.
Consolidation of Subsidiary
The consolidated financial statements of Series M (Macro Opportunities Series) Fund includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for this Fund.
The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objective and policies.
A summary of the Fund’s investment in its Subsidiary is as follows:
|
Fund |
Commencement |
Subsidiary |
% of Net Assets of |
||||||
|
Series M (Macro Opportunities Series) |
01/08/15 |
$ |
110,764 |
0.4 |
% |
||||
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
A. The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, the Board has authorized the Valuation Committee and GI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds (“ETFs”) are valued at the last quoted sales price.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.
Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.
Listed options are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter (“OTC”) options are valued using the average bid price (for long options) or average ask price (for short options) obtained from one or more security dealers.
The value of 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.
|
118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The values of OTC swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
The value of interest rate swap agreements entered into by a Fund are accounted for using the unrealized gain or loss on the agreements that is determined using the spread priced off the previous day’s Chicago Mercantile Exchange (“CME”) price.
Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. The change in value of the contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.
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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
B. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
C. Senior loans in which the Funds invest generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at June 30, 2016.
D. The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Funds on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.
E. When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 119 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
F. Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
G. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
H. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
I. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
J. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
K. Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.
L. Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. For the period ended June 30, 2016, there were no earnings credits received.
|
120 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
M. The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.30% at June 30, 2016.
N. The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
O. Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations. The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Speculation: the use of an instrument to express macro-economic and other investment views.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The following table represents the Funds’ use and volume of call/put options purchased on a quarterly basis:
|
Fund |
Use |
Average Number of Contracts |
|
Series M (Macro Opportunities Series) |
Duration, Hedge, Index Exposure |
145 |
|
Fund |
Use |
Average Notional* |
|
Series M (Macro Opportunities Series) |
Duration, Hedge, Index Exposure |
32,627 |
|
* |
Average Notional relates to currency options. |
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.
The following tables represent the Fund’s use and activity of options written for the period ended June 30, 2016:
|
Fund |
Use |
|
Series M (Macro Opportunities Series) |
Duration, Hedge, Index Exposure |
|
Written Call Options |
Series M (Macro Opportunities Series) |
|||||||
|
Number of |
Premium |
|||||||
|
Balance at December 31, 2015 |
93 |
$ |
21,297 |
|||||
|
Options Written |
107 |
21,079 |
||||||
|
Options terminated in closing purchase transactions |
(93 |
) |
(21,297 |
) |
||||
|
Options expired |
— |
— |
||||||
|
Options exercised |
— |
— |
||||||
|
Balance at June 30, 2016 |
107 |
$ |
21,079 |
|||||
|
Written Put Options |
Series M (Macro Opportunities Series) |
|||||||
|
Number of |
Premium |
|||||||
|
Balance at December 31, 2015 |
— |
$ |
— |
|||||
|
Options Written |
5 |
18,594 |
||||||
|
Options terminated in closing purchase transactions |
— |
— |
||||||
|
Options expired |
(5 |
) |
(18,594 |
) |
||||
|
Options exercised |
— |
— |
||||||
|
Balance at June 30, 2016 |
— |
$ |
— |
|||||
|
122 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
|
Average Notional |
|||||||||
|
Fund |
Use |
Long |
Short |
||||||
|
Series A (StylePlus—Large Core Series) |
Index exposure |
$ |
1,563,616 |
$ |
— |
||||
|
Series D (World Equity Income Series) |
Hedge |
— |
6,754,500 |
||||||
|
Series J (StylePlus—Mid Growth Series) |
Index exposure |
1,896,894 |
— |
||||||
|
Series N (Managed Asset Allocation Series) |
Index Exposure, Speculation |
24,447,844 |
953,312 |
||||||
|
Series X (StylePlus—Small Growth Series) |
Index Exposure |
1,006,145 |
— |
||||||
|
Series Y (StylePlus—Large Growth Series) |
Index Exposure |
1,314,089 |
— |
||||||
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
|
Average Notional |
|||||||||
|
Fund |
Use |
Long |
Short |
||||||
|
Series A (StylePlus—Large Core Series) |
Index Exposure |
$ |
176,542,440 |
$ |
— |
||||
|
Series J (StylePlus—Mid Growth Series) |
Index Exposure |
118,384,324 |
— |
||||||
|
Series M (Macro Opportunities Series) |
Index Exposure, Speculation |
1,593,740 |
651,254 |
||||||
|
Series X (StylePlus—Small Growth Series) |
Index Exposure |
26,883,420 |
— |
||||||
|
Series Y (StylePlus—Large Growth Series) |
Index Exposure |
23,009,650 |
— |
||||||
|
Series Z (Alpha Opportunity Series) |
Hedge, Leverage |
8,262,714 |
8,452,630 |
||||||
Interest rate swaps involve the exchange by the Funds with another party for its respective commitment to pay or receive interest on a notional amount of principal. Interest rate swaps are generally valued using the closing price from the prior day, subject to an adjustment for the current day’s spreads. Interest rate swaps are generally subject to mandatory central clearing, but central clearing does not make interest rate swap transactions risk free.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Fund’s use and volume of interest rate swaps on a quarterly basis:
|
Average Notional |
|||||||||
|
Fund |
Use |
Long |
Short |
||||||
|
Series M (Macro Opportunities Series) |
Duration, Hedge |
$ |
1,420,000 |
$ |
3,721,860 |
||||
Currency swaps enable the Fund to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Fund may be at risk due to the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of currency swaps on a quarterly basis:
|
Average Notional |
|||||
|
Fund |
Use |
Long |
|||
|
Series M (Macro Opportunities Series) |
Speculation |
$ |
390,270 |
||
Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of forward foreign currency exchange contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.
The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.
The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a quarterly basis:
|
Average Settlement |
|||||||||
|
Fund |
Use |
Purchased |
Sold |
||||||
|
Series M (Macro Opportunities Series) |
Hedge, Speculation |
$ |
85,181 |
$ |
— |
||||
|
Series P (High Yield Series) |
Hedge |
5,759,765 |
314,647 |
||||||
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2016:
|
Derivative Investment Type |
Asset Derivatives |
Liability Derivatives |
|
Equity/Currency/Interest Rate contracts |
Variation margin |
Variation margin |
|
Unrealized appreciation on swap agreements |
Unrealized depreciation on swap agreements |
|
|
Currency contracts |
Unrealized appreciation on forward foreign currency exchange contracts |
Unrealized depreciation on forward foreign currency exchange contracts |
|
Equity/Currency/Commodity contracts |
Investments, at value |
Options written, at value |
|
124 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2016:
|
Asset Derivative Investments Value |
||||||||||||||||||||||||||||||||
|
Fund |
Futures |
Swaps |
Futures |
Futures |
Options |
Options |
Forward |
Total |
||||||||||||||||||||||||
|
Series A (StylePlus—Large Core Series) |
$ |
19,148 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
19,148 |
||||||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
12,047 |
— |
— |
— |
— |
— |
— |
12,047 |
||||||||||||||||||||||||
|
Series M (Macro Opportunities Series) |
— |
— |
— |
— |
14,330 |
37,450 |
— |
51,780 |
||||||||||||||||||||||||
|
Series N (Managed Asset Allocation Series) |
4,558 |
— |
257 |
231,050 |
— |
— |
— |
235,865 |
||||||||||||||||||||||||
|
Series P (High Yield Series) |
— |
— |
— |
— |
— |
— |
131,717 |
131,717 |
||||||||||||||||||||||||
|
Series X (StylePlus—Small Growth Series) |
7,614 |
— |
— |
— |
— |
— |
— |
7,614 |
||||||||||||||||||||||||
|
Series Y (StylePlus—Large Growth Series) |
3,055 |
— |
— |
— |
— |
— |
— |
3,055 |
||||||||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
— |
300,013 |
— |
— |
— |
— |
— |
300,013 |
||||||||||||||||||||||||
|
Liability Derivative Investments Value |
||||||||||||||||||||||||
|
Fund |
Futures |
Swaps |
Futures |
Options |
Forward |
Total |
||||||||||||||||||
|
Series D (World Equity Income Series) |
$ |
— |
$ |
— |
$ |
121,671 |
$ |
— |
$ |
— |
$ |
121,671 |
||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
781 |
— |
— |
— |
— |
781 |
||||||||||||||||||
|
Series M (Macro Opportunities Series) |
— |
— |
— |
7,758 |
— |
7,758 |
||||||||||||||||||
|
Series N (Managed Asset Allocation Series) |
277,148 |
— |
7,097 |
— |
— |
284,245 |
||||||||||||||||||
|
Series P (High Yield Series) |
— |
— |
— |
— |
10,837 |
10,837 |
||||||||||||||||||
|
Series Y (StylePlus—Large Growth Series) |
510 |
— |
— |
— |
— |
510 |
||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
— |
683,410 |
— |
— |
— |
683,410 |
||||||||||||||||||
|
* |
Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2016:
|
Derivative Investment Type |
Location of Gain (Loss) on Derivatives |
|
Currency contracts |
Net realized gain (loss) on forward foreign currency exchange contracts |
|
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts |
|
|
Equity/Currency/Interest Rate contracts |
Net realized gain (loss) on futures contracts |
|
Net change in unrealized appreciation (depreciation) on futures contracts |
|
|
Equity/Currency/Commodity contracts |
Net realized gain (loss) on options purchased |
|
Net change in unrealized appreciation (depreciation) on options purchased |
|
|
Net realized gain (loss) on options written |
|
|
Net change in unrealized appreciation (depreciation) on options written |
|
|
Equity/Currency/Interest Rate contracts |
Net realized gain (loss) on swap agreements |
|
Net change in unrealized appreciation (depreciation) on swap agreements. |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2016:
|
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Futures |
Swaps |
Futures |
Swaps |
Futures |
Swaps |
Options |
Options |
Options |
Options |
Options |
Forward |
Total |
|||||||||||||||||||||||||||||||||||||||
|
Series A (StylePlus—Large Core Series) |
$ |
(37,412 |
) |
$ |
3,085,673 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
3,048,261 |
|||||||||||||||||||||||||
|
Series D (World Equity Income Series) |
— |
— |
(468,100 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(468,100 |
) |
|||||||||||||||||||||||||||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
(73,421 |
) |
(673,394 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(746,815 |
) |
||||||||||||||||||||||||||||||||||||
|
Series M (Macro Opportunities Series) |
— |
(439,715 |
) |
— |
12,826 |
— |
(164,367 |
) |
18,594 |
(11,253 |
) |
(14,096 |
) |
(16,484 |
) |
34,131 |
14,537 |
(565,827 |
) |
|||||||||||||||||||||||||||||||||
|
Series N (Managed Asset Allocation Series) |
347,720 |
— |
24,676 |
— |
246,354 |
— |
— |
— |
— |
— |
— |
— |
618,750 |
|||||||||||||||||||||||||||||||||||||||
|
Series P (High Yield Series) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(118,751 |
) |
(118,751 |
) |
|||||||||||||||||||||||||||||||||||||
|
Series X (StylePlus—Small Growth Series) |
(45,167 |
) |
(2,132,640 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(2,177,807 |
) |
||||||||||||||||||||||||||||||||||||
|
Series Y (StylePlus—Large Growth Series) |
(111,993 |
) |
(198,082 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(310,075 |
) |
||||||||||||||||||||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
— |
(96,593 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(96,593 |
) |
|||||||||||||||||||||||||||||||||||||
|
126 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
|
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
||||||||||||||||||||||||||||||||||||||||||||||||
|
Fund |
Futures |
Swaps |
Futures |
Swaps |
Futures |
Swaps |
Options |
Options |
Options |
Options |
Forward |
Total |
||||||||||||||||||||||||||||||||||||
|
Series A (StylePlus—Large Core Series) |
$ |
23,529 |
$ |
2,983,652 |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
3,007,181 |
||||||||||||||||||||||||
|
Series D (World Equity Income Series) |
— |
— |
(121,671 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
(121,671 |
) |
||||||||||||||||||||||||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
19,612 |
2,767,326 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
2,786,938 |
||||||||||||||||||||||||||||||||||||
|
Series M (Macro Opportunities Series) |
— |
270,719 |
— |
(10,243 |
) |
— |
22,026 |
(3,977 |
) |
9,986 |
(16,798 |
) |
30,815 |
(9,277 |
) |
293,251 |
||||||||||||||||||||||||||||||||
|
Series N (Managed Asset Allocation Series) |
(247,272 |
) |
— |
11,843 |
— |
240,298 |
— |
— |
— |
— |
— |
— |
4,869 |
|||||||||||||||||||||||||||||||||||
|
Series P (High Yield Series) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
— |
94,266 |
94,266 |
||||||||||||||||||||||||||||||||||||
|
Series X (StylePlus—Small Growth Series) |
(15,192 |
) |
1,499,935 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
1,484,743 |
|||||||||||||||||||||||||||||||||||
|
Series Y (StylePlus—Large Growth Series) |
(12,067 |
) |
553,175 |
— |
— |
— |
— |
— |
— |
— |
— |
— |
541,108 |
|||||||||||||||||||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
— |
(142,993 |
) |
— |
— |
— |
— |
— |
— |
— |
— |
— |
(142,993 |
) |
||||||||||||||||||||||||||||||||||
In conjunction with the use of short sales and derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to the Funds.
There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.
Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 127 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at their annualized rates below, based on the average daily net assets of the Funds:
|
Fund |
Management Fees |
|
Series A (StylePlus—Large Core Series) |
0.75% |
|
Series B (Large Cap Value Series) |
0.65% |
|
Series D (World Equity Income Series) |
0.70% |
|
Series E (Total Return Bond Series) |
0.50% |
|
Series F (Floating Rate Strategies Series) |
0.65% |
|
Series J (StylePlus—Mid Growth Series) |
0.75% |
|
Series M (Macro Opportunities Series) |
0.89% |
|
Series N (Managed Asset Allocation Series) |
0.65% |
|
Series O (All Cap Value Series) |
0.70% |
|
Series P (High Yield Series) |
0.60% |
|
Series Q (Small Cap Value Series) |
0.95% |
|
Series V (Mid Cap Value Series) |
0.75% |
|
Series X (StylePlus—Small Growth Series) |
0.85% |
|
Series Y (StylePlus—Large Growth Series) |
0.75% |
|
Series Z (Alpha Opportunity Series) |
1.25% |
RFS is paid the following for providing transfer agent services to the Funds:
|
Annual charge per account |
$5.00 – $8.00 |
|
Transaction fee |
$0.60 – $1.10 |
|
Minimum annual charge per Fund† |
$25,000 |
|
Certain out-of-pocket charges |
Varies |
|
† |
Not subject to Funds during first twelve months of operations. |
RFS also acts as the administrative agent for the Funds, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for each Fund. For these services to the Funds*, RFS receives the following:
|
Fund |
Fund Accounting/ |
|
All Funds |
0.095%* |
|
Minimum annual charge per Fund |
$25,000 |
|
Certain out-of-pocket charges |
Varies |
|
* |
Prior to July 1, 2016, the administrative fee for Series D (World Equity Income Series) and Series N (Managed Asset Allocation Series) was the greater of 0.150% or $60,000. |
|
128 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series M (Macro Opportunities Series) and Series P (High Yield Series) have adopted a Distribution and Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act that allows those Funds to pay distribution and shareholder services fees to GFD. The Funds will pay distribution and shareholder services fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD may, in turn, pay all or a portion of the proceeds from the distribution and shareholder services fees to insurance companies or their affiliates and qualified plan administrators (“intermediaries”) for services they provide on behalf of the Funds to current and prospective variable contract owners and qualified plan participants that invest in the Funds through the intermediaries.
The investment advisory contracts for the following Funds provide that the total expenses be limited to a percentage of average net assets for the Funds, exclusive of brokerage costs, dividends on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:
|
Fund |
Limit |
Effective |
Contract |
|
Series E (Total Return Bond Series) |
0.81% |
11/30/12 |
05/01/17 |
|
Series F (Floating Rate Strategies Series) |
1.15% |
04/22/13 |
05/01/17 |
|
Series M (Macro Opportunities Series) |
1.45% |
04/22/13 |
05/01/17 |
|
Series O (All Cap Value Series) |
1.00% |
11/30/12 |
05/01/17 |
|
Series P (High Yield Series) |
1.07% |
10/20/14 |
05/01/17 |
|
Series Z (Alpha Opportunity Series) |
2.35% |
11/30/12 |
05/01/17 |
GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At June 30, 2016, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:
|
Fund |
Expires |
Expires |
Expires |
Expires |
Total |
|||||||||||||||
|
Series E (Total Return Bond Series) |
$ |
113,819 |
$ |
189,173 |
$ |
220,171 |
$ |
82,139 |
$ |
605,302 |
||||||||||
|
Series F (Floating Rate Strategies Series) |
46,110 |
36,089 |
52,144 |
12,575 |
146,918 |
|||||||||||||||
|
Series M (Macro Opportunities Series) |
52,731 |
46,763 |
59,856 |
14,071 |
173,421 |
|||||||||||||||
|
Series O (All Cap Value Series) |
— |
— |
— |
— |
— |
|||||||||||||||
|
Series P (High Yield Series) |
— |
14,814 |
30,918 |
11,433 |
57,165 |
|||||||||||||||
|
Series Z (Alpha Opportunity Series) |
41,007 |
59,680 |
11,875 |
35,512 |
148,074 |
|||||||||||||||
For the period ended June 30, 2016, GI recouped $3,755 from the Series O (All Cap Value Series) Fund. This amount is included in Management Fees in the Statement of Operations.
If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2016, the following Funds waived advisory fees related to investments in affiliated funds.
|
Fund |
Amount |
|||
|
Series E (Total Return Bond Series) |
$ |
19,898 |
||
|
Series M (Macro Opportunities Series) |
29,757 |
|||
Certain trustees and officers of the Trust are also officers of GI, RFS and GFD.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 129 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2016, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
|
Fund |
Percent of outstanding shares owned |
|
Series A (StylePlus—Large Core Series) |
100% |
|
Series B (Large Cap Value Series) |
100% |
|
Series D (World Equity Income Series) |
99% |
|
Series E (Total Return Bond Series) |
74% |
|
Series J (StylePlus—Mid Growth Series) |
99% |
|
Series M (Macro Opportunities Series) |
90% |
|
Series N (Managed Asset Allocation Series) |
98% |
|
Series O (All Cap Value Series) |
99% |
|
Series P (High Yield Series) |
93% |
|
Series Q (Small Cap Value Series) |
95% |
|
Series V (Mid Cap Value Series) |
98% |
|
Series X (StylePlus-Small Growth Series) |
98% |
|
Series Y (StylePlus—Large Growth Series) |
96% |
|
Series Z (Alpha Opportunity Series) |
100% |
4. Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
|
Level 1 |
— quoted prices in active markets for identical assets or liabilities. |
|
Level 2 |
— significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
|
Level 3 |
— significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
|
130 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:
|
Fund |
Category and |
Ending Balance at 06/30/16 |
Valuation |
Unobservable |
|||
|
Series E (Total Return Bond Series) |
Corporate Bonds |
$ |
1,015,522 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||
|
Preferred Stocks |
617,556 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||||
|
Collateralized Mortgage Obligations |
253,495 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||||
|
Asset-Backed Securities |
203,112 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||||
|
|
|
|
|
||||
|
Series F |
Senior Floating Rate Interests |
738,354 |
Monthly Model Priced |
Purchase Price |
|||
|
|
|
|
|
||||
|
Series M |
Options Purchased |
14,330 |
Monthly Model Priced |
Purchase Price |
|||
|
|
|
|
|
||||
|
Series P (High Yield Series) |
Senior Floating Rate Interests |
3,738,582 |
Monthly Model Priced |
Purchase Price |
|||
|
|
523,686 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||||
|
|
Total Senior Floating Rate Interests |
4,262,268 |
|||||
|
Corporate Bonds |
1,347,458 |
Monthly Model Priced |
Purchase Price |
||||
|
|
683,253 |
Monthly Model Priced |
Average Comparative Yield* |
||||
|
Total Corporate Bonds |
2,030,711 |
||||||
|
Common Stocks |
670,775 |
Monthly Model Priced |
Purchase Price |
||||
|
Preferred Stocks |
45,992 |
Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR |
Indicative Quote |
||||
|
* |
Average comparative yields used ranged between 13.90%-15.39%. |
Significant changes in an indicative quote or valuation multiple would generally result in significant changes in the fair value of the security.
Any remaining Level 3 securities held by the Funds and excluded from the tables above, were not considered material to the Funds.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 131 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Summary of Fair Value Level 3 Activity
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended June 30, 2016:
LEVEL 3 – Fair value measurement using significant unobservable inputs
|
Collateralized Mortgage |
Corporate |
Asset-Backed Securities |
Preferred |
Total |
||||||||||||||||
|
Series E (Total Return Bond Series) |
||||||||||||||||||||
|
Assets: |
||||||||||||||||||||
|
Beginning Balance |
$ |
237,977 |
$ |
1,770,761 |
$ |
198,482 |
$ |
643,284 |
$ |
2,850,504 |
||||||||||
|
Purchases |
— |
— |
— |
— |
— |
|||||||||||||||
|
Sales, maturities and paydowns |
(1,736 |
) |
(110,490 |
) |
— |
— |
(112,226 |
) |
||||||||||||
|
Total realized gains or losses included in earnings |
— |
2,750 |
— |
— |
2,750 |
|||||||||||||||
|
Total change in unrealized gains or losses included in earnings |
17,254 |
79,557 |
4,630 |
(25,728 |
) |
75,713 |
||||||||||||||
|
Transfers into Level 3 |
— |
— |
— |
— |
— |
|||||||||||||||
|
Transfers out of Level 3 |
— |
(727,056 |
) |
— |
— |
(727,056 |
) |
|||||||||||||
|
Ending Balance |
$ |
253,495 |
$ |
1,015,522 |
$ |
203,112 |
$ |
617,556 |
$ |
2,089,685 |
||||||||||
|
Net Change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 2016 |
$ |
17,092 |
$ |
79,664 |
$ |
4,630 |
$ |
(25,728 |
) |
$ |
75,658 |
|||||||||
|
Senior Floating Rate Interests |
Total |
|||||||
|
Series F (Floating Rate Strategies Series) |
||||||||
|
Assets: |
||||||||
|
Beginning Balance |
$ |
704,352 |
$ |
704,352 |
||||
|
Purchases |
45,050 |
45,050 |
||||||
|
Sales, maturities and paydowns |
(11,938 |
) |
(11,938 |
) |
||||
|
Total realized gains or losses included in earnings |
14 |
14 |
||||||
|
Total change in unrealized gains or losses included in earnings |
876 |
876 |
||||||
|
Transfers into Level 3 |
— |
— |
||||||
|
Transfers out of Level 3 |
— |
— |
||||||
|
Ending Balance |
$ |
738,354 |
$ |
738,354 |
||||
|
Net Change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 2016 |
$ |
(907 |
) |
$ |
(907 |
) |
||
|
Options |
Corporate |
Total |
||||||||||
|
Series M (Macro Opportunities Series) |
||||||||||||
|
Assets: |
||||||||||||
|
Beginning Balance |
$ |
47,611 |
$ |
202,395 |
$ |
250,006 |
||||||
|
Purchases |
— |
— |
— |
|||||||||
|
Sales, maturities and paydowns |
— |
(203,313 |
) |
(203,313 |
) |
|||||||
|
Total realized gains or losses included in earnings |
(16,483 |
) |
3,313 |
(13,170 |
) |
|||||||
|
Total change in unrealized gains or losses included in earnings |
(16,798 |
) |
(2,395 |
) |
(19,193 |
) |
||||||
|
Transfers into Level 3 |
— |
— |
— |
|||||||||
|
Transfers out of Level 3 |
— |
— |
— |
|||||||||
|
Ending Balance |
$ |
14,330 |
$ |
— |
$ |
14,330 |
||||||
|
Net Change in unrealized appreciation (depreciation) for investments in securities still held at |
$ |
(16,798 |
) |
$ |
(2,395 |
) |
$ |
(19,193 |
) |
|||
|
132 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
|
Senior Floating Rate Interests |
Corporate |
Common |
Preferred |
Total |
||||||||||||||||
|
Series P (High Yield Series) |
||||||||||||||||||||
|
Assets: |
||||||||||||||||||||
|
Beginning Balance |
$ |
4,071,122 |
$ |
2,105,082 |
$ |
108 |
$ |
— |
$ |
6,176,312 |
||||||||||
|
Purchases |
— |
221,599 |
670,665 |
— |
892,264 |
|||||||||||||||
|
Sales, maturities and paydowns |
(197,578 |
) |
(753,721 |
) |
— |
— |
(951,299 |
) |
||||||||||||
|
Total realized gains or losses included in earnings |
2,985 |
(526,770 |
) |
— |
— |
(523,785 |
) |
|||||||||||||
|
Total change in unrealized gains or losses included in earnings |
49,634 |
984,521 |
2 |
(3,066 |
) |
1,031,091 |
||||||||||||||
|
Transfers into Level 3 |
336,105 |
— |
— |
49,058 |
385,163 |
|||||||||||||||
|
Transfers out of Level 3 |
— |
— |
— |
— |
— |
|||||||||||||||
|
Ending Balance |
$ |
4,262,268 |
$ |
2,030,711 |
$ |
670,775 |
$ |
45,992 |
$ |
7,009,746 |
||||||||||
|
Net Change in unrealized appreciation (depreciation) for investments in securities still held at June 30, 2016 |
$ |
616 |
$ |
423,976 |
$ |
2 |
$ |
(3,066 |
) |
$ |
424,595 |
|||||||||
5. Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 133 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.
| Gross Amounts |
Net Amount of Assets Presented |
Gross Amounts Not Offset |
|||||||||||||||||||||||
|
Fund |
Instrument |
Gross Amounts of Recognized Assets1 |
Offset In the Statements of Assets and Liabilities |
on the Statements of Assets and Liabilities |
Financial |
Cash |
Net |
||||||||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
Swap equity contracts |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
$ |
— |
||||||||||||
|
Series M (Macro Opportunities Series) |
Option contracts |
51,780 |
— |
51,780 |
51,780 |
— |
— |
||||||||||||||||||
|
Series P (High Yield Series) |
Forward foreign currency exchange contracts |
131,717 |
— |
131,717 |
10,837 |
— |
120,880 |
||||||||||||||||||
|
Series X (StylePlus—Small Growth Series) |
Swap equity contracts |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
Swap equity contracts |
300,013 |
— |
300,013 |
300,013 |
— |
— |
||||||||||||||||||
| Gross Amounts | Net Amount of Liabilities Presented |
Gross Amounts Not Offset |
|||||||||||||||||||||||
|
Fund |
Instrument |
Gross Amounts of Recognized Liabilities |
Offset In the Statements of Assets and Liabilities |
on the Statements of Assets and Liabilities |
Financial |
Cash |
Net |
||||||||||||||||||
|
Series M (Macro Opportunities Series) |
Option contracts |
$ |
7,758 |
$ |
— |
$ |
7,758 |
$ |
7,758 |
$ |
— |
$ |
— |
||||||||||||
|
Series P (High Yield Series) |
Forward foreign currency exchange contracts |
10,880 |
— |
10,880 |
10,880 |
— |
— |
||||||||||||||||||
|
Series Z (Alpha Opportunity Series) |
Swap equity contracts |
683,410 |
— |
683,410 |
300,013 |
383,397 |
— |
||||||||||||||||||
|
1 |
Exchange-traded futures and centrally cleared swap agreements are excluded from these reported amounts. |
6. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
Series M (Macro Opportunities Series) 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 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.
|
134 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2016, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
|
Fund |
Tax |
Tax |
Tax |
Net Tax |
||||||||||||
|
Series A (StylePlus—Large Core Series) |
$ |
210,302,656 |
$ |
2,476,054 |
$ |
(2,151,306 |
) |
$ |
324,748 |
|||||||
|
Series B (Large Cap Value Series) |
202,103,927 |
43,278,779 |
(8,726,989 |
) |
34,551,790 |
|||||||||||
|
Series D (World Equity Income Series) |
155,542,169 |
14,379,974 |
(7,754,108 |
) |
6,625,866 |
|||||||||||
|
Series E (Total Return Bond Series) |
128,776,505 |
3,852,424 |
(4,438,666 |
) |
(586,242 |
) |
||||||||||
|
Series F (Floating Rate Strategies Series) |
33,058,673 |
124,873 |
(1,428,205 |
) |
(1,303,332 |
) |
||||||||||
|
Series J (StylePlus—Mid Growth Series) |
138,030,048 |
1,389,971 |
(2,022,543 |
) |
(632,572 |
) |
||||||||||
|
Series M (Macro Opportunities Series) |
31,582,722 |
95,899 |
(185,725 |
) |
(89,826 |
) |
||||||||||
|
Series N (Managed Asset Allocation Series) |
46,528,539 |
7,494,449 |
(152,578 |
) |
7,341,871 |
|||||||||||
|
Series O (All Cap Value Series) |
102,322,899 |
21,848,203 |
(4,881,154 |
) |
16,967,049 |
|||||||||||
|
Series P (High Yield Series) |
82,611,644 |
958,050 |
(9,221,473 |
) |
(8,263,423 |
) |
||||||||||
|
Series Q (Small Cap Value Series) |
83,601,736 |
13,876,368 |
(5,274,210 |
) |
8,602,158 |
|||||||||||
|
Series V (Mid Cap Value Series) |
202,225,905 |
30,327,282 |
(12,590,264 |
) |
17,737,018 |
|||||||||||
|
Series X (StylePlus—Small Growth Series) |
30,580,558 |
427,538 |
(765,341 |
) |
(337,803 |
) |
||||||||||
|
Series Y (StylePlus—Large Growth Series) |
36,638,314 |
380,090 |
(353,470 |
) |
26,620 |
|||||||||||
|
Series Z (Alpha Opportunity Series) |
12,793,948 |
675,583 |
(722,765 |
) |
(47,182 |
) |
||||||||||
7. Securities Transactions
For the period ended June 30, 2016, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
|
Fund |
Purchases |
Sales |
||||||
|
Series A (StylePlus—Large Core Series) |
$ |
47,568,556 |
$ |
56,636,516 |
||||
|
Series B (Large Cap Value Series) |
43,188,574 |
61,412,749 |
||||||
|
Series D (World Equity Income Series) |
39,976,137 |
43,508,055 |
||||||
|
Series E (Total Return Bond Series) |
49,508,414 |
42,052,369 |
||||||
|
Series F (Floating Rate Strategies Series) |
6,932,831 |
21,702,867 |
||||||
|
Series J (StylePlus—Mid Growth Series) |
38,341,343 |
47,465,082 |
||||||
|
Series M (Macro Opportunities Series) |
19,470,033 |
33,846,372 |
||||||
|
Series N (Managed Asset Allocation Series) |
2,973,443 |
3,099,757 |
||||||
|
Series O (All Cap Value Series) |
25,834,953 |
33,986,544 |
||||||
|
Series P (High Yield Series) |
32,910,360 |
40,103,830 |
||||||
|
Series Q (Small Cap Value Series) |
25,007,367 |
29,948,517 |
||||||
|
Series V (Mid Cap Value Series) |
67,650,840 |
70,744,596 |
||||||
|
Series X (StylePlus—Small Growth Series) |
10,243,969 |
19,402,016 |
||||||
|
Series Y (StylePlus—Large Growth Series) |
7,652,760 |
11,609,303 |
||||||
|
Series Z (Alpha Opportunity Series) |
16,610,473 |
14,227,763 |
||||||
For the period ended June 30, 2016, the cost of purchases and proceeds from the sales of government securities were as follows:
|
Fund |
Purchases |
Sales |
||||||
|
Series E (Total Return Bond Series) |
$ |
20,858,133 |
$ |
21,678,285 |
||||
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 135 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of 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, 2016, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
|
Fund |
Purchases |
Sales |
Realized |
|||||||||
|
Series E (Total Return Bond Series) |
$ |
396,979 |
$ |
— |
$ |
— |
||||||
|
Series M (Macro Opportunities Series) |
— |
3,020,684 |
99,225 |
|||||||||
|
Series P (High Yield Series) |
866,250 |
6,113,188 |
(2,369 |
) |
||||||||
8. Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2015 is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180415000857/gug63224-ncsr.htm.
Transactions during the period ended June 30, 2016, in which the portfolio company is an “affiliated person,” were as follows:
|
Affiliated issuers by Fund |
Value |
Additions |
Reductions |
Value |
Shares |
Investment |
Realized |
|||||||||||||||||||||
|
Series A (StylePlus—Large Core Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
33,290,070 |
$ |
8,161,920 |
$ |
(24,706,177 |
) |
$ |
16,778,614 |
673,569 |
$ |
162,477 |
$ |
(31,125 |
) |
|||||||||||||
|
Guggenheim Strategy Fund II |
53,725,999 |
8,542,908 |
(6,000,000 |
) |
56,273,352 |
2,268,172 |
551,014 |
(60,778 |
) |
|||||||||||||||||||
|
Guggenheim Strategy Fund III |
31,299,067 |
3,935,303 |
— |
35,244,131 |
1,421,708 |
440,728 |
— |
|||||||||||||||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
56,599,406 |
684,282 |
— |
57,216,863 |
2,308,062 |
693,713 |
— |
|||||||||||||||||||||
|
$ |
174,914,542 |
$ |
21,324,413 |
$ |
(30,706,177 |
) |
$ |
165,512,960 |
$ |
1,847,932 |
$ |
(91,903 |
) |
|||||||||||||||
|
Series E (Total Return Bond Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
— |
$ |
3,021,282 |
$ |
— |
$ |
3,026,866 |
121,512 |
$ |
21,281 |
$ |
— |
|||||||||||||||
|
Floating Rate Strategies Fund - |
3,209,978 |
2,925 |
(3,212,904 |
) |
— |
— |
3,847 |
(68,224 |
) |
|||||||||||||||||||
|
Guggenheim BulletShares 2019 High Yield Corporate Bond ETF |
1,923,026 |
— |
(1,877,306 |
) |
— |
— |
— |
(123,530 |
) |
|||||||||||||||||||
|
Limited Duration Fund - Institutional Class |
4,993,596 |
34,214 |
(3,000,000 |
) |
2,025,919 |
82,860 |
35,214 |
(44,262 |
) |
|||||||||||||||||||
|
Total Return Bond Fund - Institutional Class |
9,977,489 |
111,092 |
(5,000,000 |
) |
5,261,448 |
195,957 |
113,886 |
(86,972 |
) |
|||||||||||||||||||
|
$ |
20,104,089 |
$ |
3,169,513 |
$ |
(13,090,210 |
) |
$ |
10,314,233 |
$ |
174,228 |
$ |
(322,988 |
) |
|||||||||||||||
|
136 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
|
Affiliated issuers by Fund |
Value |
Additions |
Reductions |
Value |
Shares |
Investment |
Realized |
|||||||||||||||||||||
|
Series J (StylePlus—Mid Growth Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
27,663,301 |
$ |
9,420,780 |
$ |
(22,923,162 |
) |
$ |
14,194,402 |
569,827 |
$ |
121,233 |
$ |
(15,823 |
) |
|||||||||||||
|
Guggenheim Strategy Fund II |
35,011,598 |
335,546 |
(4,000,000 |
) |
31,341,140 |
1,263,246 |
340,823 |
(46,930 |
) |
|||||||||||||||||||
|
Guggenheim Strategy Fund III |
18,984,975 |
5,090,177 |
— |
24,097,421 |
972,062 |
293,467 |
— |
|||||||||||||||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
38,430,993 |
2,783,682 |
— |
41,187,088 |
1,661,440 |
490,086 |
— |
|||||||||||||||||||||
|
$ |
120,090,867 |
$ |
17,630,185 |
$ |
(26,923,162 |
) |
$ |
110,820,051 |
$ |
1,245,609 |
$ |
(62,753 |
) |
|||||||||||||||
|
Series M (Macro Opportunities Series) |
||||||||||||||||||||||||||||
|
Guggenheim Floating Rate Strategies Fund - |
$ |
1,477,079 |
$ |
31,776 |
$ |
— |
$ |
1,525,501 |
59,753 |
$ |
32,200 |
$ |
— |
|||||||||||||||
|
Guggenheim BulletShares 2019 High Yield Corporate Bond ETF |
961,502 |
— |
(992,177 |
) |
— |
— |
16,447 |
(8,229 |
) |
|||||||||||||||||||
|
Guggenheim High Yield Fund - |
— |
1,534,379 |
— |
1,616,149 |
184,703 |
34,379 |
— |
|||||||||||||||||||||
|
Guggenheim Limited Duration Fund - |
8,024,510 |
125,357 |
— |
8,157,062 |
333,622 |
126,963 |
— |
|||||||||||||||||||||
|
Guggenheim Macro Opportunities Fund - |
1,735,917 |
15,911 |
(1,704,169 |
) |
— |
— |
16,435 |
(170,368 |
) |
|||||||||||||||||||
|
Guggenheim Strategy Fund I |
1,005,937 |
7,022,302 |
— |
8,041,544 |
322,824 |
22,318 |
— |
|||||||||||||||||||||
|
$ |
13,204,945 |
$ |
8,729,725 |
$ |
(2,696,346 |
) |
$ |
19,340,256 |
$ |
248,742 |
$ |
(178,597 |
) |
|||||||||||||||
|
Series N (Managed Asset Allocation Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
1,424,053 |
$ |
11,151 |
$ |
— |
$ |
1,437,523 |
57,709 |
$ |
11,175 |
$ |
— |
|||||||||||||||
|
Guggenheim Strategy Fund II |
1,641,155 |
16,865 |
— |
1,658,728 |
66,857 |
17,113 |
— |
|||||||||||||||||||||
|
Guggenheim Strategy Fund III |
1,646,124 |
2,046,326 |
— |
3,691,097 |
148,895 |
46,612 |
— |
|||||||||||||||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
12,223,431 |
132,909 |
(1,800,000 |
) |
10,539,523 |
425,152 |
134,949 |
(16,168 |
) |
|||||||||||||||||||
|
$ |
16,934,763 |
$ |
2,207,251 |
$ |
(1,800,000 |
) |
$ |
17,326,871 |
$ |
209,849 |
$ |
(16,168 |
) |
|||||||||||||||
|
Series V (Mid Cap Value Series) |
||||||||||||||||||||||||||||
|
HydroGen Corp. |
$ |
1 |
$ |
— |
$ |
— |
$ |
1 |
672,346 |
$ |
— |
$ |
— |
|||||||||||||||
|
Series X (StylePlus—Small Growth Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
7,807,121 |
$ |
3,369,765 |
$ |
(9,648,979 |
) |
$ |
1,538,826 |
61,775 |
$ |
19,897 |
$ |
4,737 |
||||||||||||||
|
Guggenheim Strategy Fund II |
6,880,775 |
45,617 |
(2,900,000 |
) |
4,021,160 |
162,078 |
46,656 |
(18,372 |
) |
|||||||||||||||||||
|
Guggenheim Strategy Fund III |
8,000,373 |
757,980 |
— |
8,760,411 |
353,385 |
109,370 |
— |
|||||||||||||||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
9,206,097 |
101,855 |
(1,000,000 |
) |
8,291,793 |
334,481 |
103,392 |
(13,377 |
) |
|||||||||||||||||||
|
$ |
31,894,366 |
$ |
4,275,217 |
$ |
(13,548,979 |
) |
$ |
22,612,190 |
$ |
279,315 |
$ |
(27,012 |
) |
|||||||||||||||
|
Series Y (StylePlus—Large Growth Series) |
||||||||||||||||||||||||||||
|
Guggenheim Strategy Fund I |
$ |
8,784,283 |
$ |
35,522 |
$ |
(6,630,234 |
) |
$ |
2,191,892 |
87,992 |
$ |
35,666 |
$ |
(8,472 |
) |
|||||||||||||
|
Guggenheim Strategy Fund II |
7,592,273 |
1,733,604 |
— |
9,331,818 |
376,131 |
84,769 |
— |
|||||||||||||||||||||
|
Guggenheim Strategy Fund III |
8,400,709 |
713,522 |
— |
9,114,779 |
367,680 |
114,978 |
— |
|||||||||||||||||||||
|
Guggenheim Variable Insurance Strategy Fund III |
8,191,438 |
99,034 |
— |
8,280,801 |
334,038 |
100,399 |
— |
|||||||||||||||||||||
|
$ |
32,968,703 |
$ |
2,581,682 |
$ |
(6,630,234 |
) |
$ |
28,919,290 |
$ |
335,812 |
$ |
(8,472 |
) |
|||||||||||||||
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 137 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
9. Loan Commitments
Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2016. The Funds are obligated to fund these loan commitments at the borrower’s discretion.
The unfunded loan commitments as of June 30, 2016, were as follows:
|
Borrower |
Maturity |
Face |
Value |
||||||
|
Series F (Floating Rate Strategies Series) |
|||||||||
|
Mitel Networks Corp. |
1/19/2017 |
$ |
200,000 |
$ |
— |
||||
|
Noranda Aluminum Acquisition Corp. |
11/8/2016 |
5,946 |
115 |
||||||
|
$ |
205,946 |
$ |
115 |
||||||
|
Series P (High Yield Series) |
|||||||||
|
Acosta, Inc. |
9/26/2019 |
$ |
1,000,000 |
$ |
86,205 |
||||
|
Advantage Sales & Marketing LLC |
7/21/2019 |
720,000 |
56,894 |
||||||
|
BBB Industries, LLC |
10/17/2019 |
775,000 |
71,975 |
||||||
|
Deltek, Inc. |
6/19/2020 |
450,000 |
44,643 |
||||||
|
Epicor Software |
5/21/2020 |
600,000 |
58,518 |
||||||
|
Eyemart Express |
12/16/2019 |
400,000 |
33,642 |
||||||
|
Mitel Networks Corp. |
1/19/2017 |
200,000 |
— |
||||||
|
Signode Industrial Group US, Inc. |
5/1/2019 |
1,600,000 |
113,038 |
||||||
|
$ |
5,745,000 |
$ |
464,915 |
||||||
10. Line of Credit
The Trust secured a committed $800,000,000 line of credit from Citibank, N.A. with no set termination date for all the Funds, except Series Z (Alpha Opportunity Series) Fund. This line of credit is reserved for emergency or temporary purposes. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1% or the Fed Funds Rate, plus 1/2 of 1%. The Funds also pay a commitment fee at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings outstanding under this agreement at or during the period ended June 30, 2016.
In addition, Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series) and Series M (Macro Opportunities Series) (the “Funds”) entered into an additional unlimited credit facility agreement with BNP Paribas Prime Brokerage, Inc. (the “counterparty”) whereby the counterparty has agreed to provide secured financing to the Funds and the Funds will provide pledged collateral to the counterparty. Fees related to borrowings, if any, equate to LIBOR plus 0.90%. The Funds did not have any borrowings under this agreement at or during the period ended June 30, 2016.
11. Other Liabilities
Series A (StylePlus—Large Core Series) and Series V (Mid Cap Value Series) each wrote put option contracts through Lehman Brothers, Inc. (“Lehman”) that were exercised prior to the option contracts expiration and prior to the bankruptcy filing by Lehman, during September 2008. However, these transactions have not settled and the securities have not been delivered to the Funds as of June 30, 2016.
Although the ultimate resolution of these transactions is uncertain, the Funds have recorded a liability on their respective books equal to the difference between the strike price on the put options and the market prices of the underlying security on the exercise date. The amount of liability recorded by the Funds as of June 30, 2016 was $18,615 for Series A (StylePlus—Large Core Series) and $205,716 for Series V (Mid Cap Value Series) and included in payable for miscellaneous in the Statements of Assets and Liabilities.
|
138 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
12. Reverse Repurchase Agreements
Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.
For the period ended June 30, 2016, the following Funds entered into reverse repurchase agreements:
|
Fund |
Number of Days Outstanding |
Balance at |
Average Balance Outstanding |
Average |
||||||||||||
|
Series E (Total Return Bond Series) |
182 |
$ |
5,422,889 |
$ |
7,648,226 |
0.88 |
% |
|||||||||
|
Series M (Macro Opportunities Series) |
145 |
— |
2,158,410 |
1.30 |
% |
|||||||||||
|
Series P (High Yield Series) |
182 |
13,729,775 |
5,946,819 |
0.60 |
% |
|||||||||||
The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets of Liabilities in conformity with U.S. GAAP:
| Gross Amounts |
Net Amount of Liabilities Presented |
Gross Amounts Not Offset |
|||||||||||||||||||||||
|
Fund |
Instrument |
Gross Amounts of Recognized Liabilities |
Offset In the Statements of Assets and Liabilities |
on the Statements of Assets and Liabilities |
Financial |
Cash |
Net |
||||||||||||||||||
|
Series E (Total Return Bond Series) |
Reverse repurchase agreements |
$ |
5,422,889 |
$ |
— |
$ |
5,422,889 |
$ |
5,422,889 |
$ |
— |
$ |
— |
||||||||||||
|
Series P (High Yield Series) |
Reverse repurchase agreements |
13,729,775 |
— |
13,729,775 |
13,729,775 |
— |
— |
||||||||||||||||||
The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Fund:
|
Fund |
Overnight and Continuous |
Up to |
31-90 |
Greater than 90 days |
Total |
|||||||||||||||
|
Series E (Total Return Bond Series) |
||||||||||||||||||||
|
Corporate Bonds |
$ |
537,625 |
$ |
2,510,750 |
$ |
1,562,500 |
$ |
— |
$ |
4,610,875 |
||||||||||
|
U.S. Government Securities |
— |
812,014 |
— |
— |
812,014 |
|||||||||||||||
|
Gross amount of recognized liabilities for reverse repurchase agreements |
$ |
537,625 |
$ |
3,322,764 |
$ |
1,562,500 |
— |
$ |
5,422,889 |
|||||||||||
|
Series P (High Yield Series) |
||||||||||||||||||||
|
Corporate Bonds |
$ |
4,104,423 |
$ |
7,481,423 |
$ |
1,623,000 |
$ |
520,929 |
$ |
13,729,775 |
||||||||||
|
Gross amount of recognized liabilities for reverse repurchase agreements |
$ |
4,104,423 |
$ |
7,481,423 |
$ |
1,623,000 |
$ |
520,929 |
$ |
13,729,775 |
||||||||||
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 139 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
13. Restricted Securities
The securities below are considered illiquid and restricted under guidelines established by the Board of Trustees:
|
Fund |
Restricted Securities |
Acquisition Date |
Cost |
Value |
||||||||
|
Series E (Total Return Bond Series) |
ACC Group Housing LLC |
|||||||||||
|
6.35% due 07/15/54 |
06/03/14 |
$ |
250,000 |
$ |
295,325 |
|||||||
|
Atlantic Marine Corporations Communities LLC |
||||||||||||
|
5.43% due 12/01/50 |
07/25/14 |
321,965 |
358,716 |
|||||||||
|
Cadence Bank North America |
||||||||||||
|
6.25% due 06/28/29 |
06/06/14 |
150,000 |
114,000 |
|||||||||
|
GMAC Commercial Mortgage Asset Corp 2003-PRES |
||||||||||||
|
6.24% due 10/10/41 |
04/03/14 |
225,019 |
253,495 |
|||||||||
|
Northern Group Housing LLC |
||||||||||||
|
6.8% due 08/15/53 |
07/25/13 |
600,000 |
716,448 |
|||||||||
|
Pacific Northwest Communities LLC |
||||||||||||
|
5.91% due 06/15/50 |
05/22/14 |
400,000 |
462,116 |
|||||||||
|
Woodbourne Capital Trust I |
||||||||||||
|
0.01% |
|
01/20/06 |
301,449 |
154,389 |
||||||||
|
Woodbourne Capital Trust II |
||||||||||||
|
0.01% |
|
01/20/06 |
301,449 |
154,389 |
||||||||
|
Woodbourne Capital Trust III |
||||||||||||
|
0.02% |
|
01/20/06 |
301,449 |
154,389 |
||||||||
|
Woodbourne Capital Trust IV |
||||||||||||
|
0.02% |
|
01/20/06 |
301,449 |
154,389 |
||||||||
|
3,152,780 |
2,817,656 |
|||||||||||
|
Series M (Macro Opportunities Series) |
Turbine Engines Securitization Ltd. |
|||||||||||
|
6.38% due 12/13/48 |
11/27/13 |
213,982 |
215,458 |
|||||||||
|
Series P (High Yield Series) |
Schahin II Finance Company SPV Ltd. |
|||||||||||
|
5.88% due 09/25/22 |
03/12/15 |
111,437 |
22,585 |
|||||||||
|
EIG Investors Corp. |
||||||||||||
|
10.88 % due 02/01/24 |
05/16/16 |
296,020 |
295,750 |
|||||||||
|
407,457 |
318,335 |
|||||||||||
14. Subsequent Event
At a meeting held on May 17–18, 2016, the Board of Trustees (the “Board”) of the Guggenheim Variable Funds Trust (the “Trust”) approved a plan of liquidation (the “Plan of Liquidation”) for Series M (Macro Opportunities Series) (the “Fund”) and submission of the Plan of Liquidation to the beneficial owners of the Fund, including owners of variable life insurance policies and variable annuity contracts (“Contracts”) who allocated a portion of their Contract value to the Fund through those Contracts and therefore have a beneficial interest in shares of the Fund. These shareholders provided voting instructions with respect to the shares of the Fund attributable to their respective Contracts at the meeting of shareholders held on July 29, 2016. The Plan of Liquidation was approved by the shareholders, and the liquidation of the Fund occurred on August 5, 2016.
15. Legal Proceedings
Tribune Company
SBL Fund 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 SBL Fund 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
|
140 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 SBL Fund, 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”). SBL Fund has been named as a defendant in two of the SLCFC actions: Deutsche Bank Trust Co. Americas v. Ohlson Enter., No. 12-0064 (S.D.N.Y.) and Deutsche Bank Trust Co. Americas v. Cantor Fitzgerald & Co., No. 11-4900 (S.D.N.Y.). 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 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 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. The Court has not yet issued a decision on any of these motions.
None of these lawsuits alleges any wrongdoing on the part of Guggenheim Variable Funds Trust f/k/a SBL Fund. The following series of Guggenheim Variable Funds Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Series A (StylePlus – Large Core Series) f/k/a Series H (Enhanced Index Series), Series N (Managed Asset Allocation Series) and Series O (All Cap Value Series) (the “Funds”). The value of the proceeds received by the foregoing Funds was $158,950, $51,000 and $3,774,000, respectively. At this stage of the proceedings, Guggenheim Variable Funds Trust 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
SBL Fund may be a putative member 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.).
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 Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer. Reichman alleges claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Second Amended Complaint in the Litigation Trust Action and an Amended Complaint in Reichman. A third related action against the former Lyondell shareholders, 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”), is pending as well. Like Reichman, the Creditor Trust Action alleges claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer.
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 141 |
|
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
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 has appealed the dismissal to the U.S. District Court for the Southern District of New York. The appeal has been fully briefed but the Court has not yet issued a decision.
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.
These lawsuits do not allege any wrongdoing on the part of Guggenheim Variable Funds Trust f/k/a SBL Fund. The following series of Guggenheim Variable Funds Trust received cash proceeds from the cash out merger in the following amounts: Series N (Managed Asset Allocation Series) - $28,800. At this stage of the proceedings, Guggenheim Variable Funds Trust 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.
|
142 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
At a special meeting of shareholders held on April 15, 2016, the shareholders of the Funds voted on whether to approve the Plan of Liquidation with respect to Series C (Money Market Series). A description of the number of shares voted is as follows:
|
Votes for: |
5,327,310 |
|||
|
Votes against: |
162,165 |
|||
|
Abstain: |
313,819 |
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Report of the Guggenheim Variable Funds Trust Contracts Review Committee
Guggenheim Variable Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:
|
● Series A (StylePlus—Large Core Series) (“Series A”)
● Series D (World Equity Income Series) (“Series D”)
● Series F (Floating Rate Strategies Series) (“Series F”)
● Series M (Macro Opportunities Series) (“Series M”)
● Series O (All Cap Value Series) (“Series O”)
● Series Q (Small Cap Value Series) (“Series Q”)
● Series X (StylePlus—Small Growth Series) (“Series X”)
● Series Z (Alpha Opportunity Series) (“Series Z”) |
● Series B (Large Cap Value Series) (“Series B”)
● Series E (Total Return Bond Series) (“Series E”)
● Series J (StylePlus—Mid Growth Series) (“Series J”)
● Series N (Managed Asset Allocation Series) (“Series N”)
● Series P (High Yield Series) (“Series P”)
● Series V (Mid Cap Value Series) (“Series V”)
● Series Y (StylePlus—Large Growth Series) (“Series Y”) |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 143 |
|
OTHER INFORMATION (Unaudited)(continued) |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a global, diversified financial services firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Series A; (ii) Series B; (iii) Series D; (iv) Series E; (v) Series J; (vi) Series N; (vii) Series O; (viii) Series P; (ix) Series Q; (x) Series V; (xi) Series X; (xii) Series Y; and (xiii) Series Z (collectively, the “SI-Advised Funds”). Guggenheim Partners Investment Management, LLC (“GPIM”) serves as investment adviser to Series F and Series M of the Trust (together, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).1 (Guggenheim Partners, Security Investors, GPIM and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Security Investors and Guggenheim Funds Investment Advisors, LLC and other affiliated investment management businesses.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), each of Security Investors and GPIM regularly provides investment research, advice and supervision, a continuous investment program, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
Following an initial two-year term, the Advisory Agreements2 continue in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose. At meetings held in person on April 27, 2016 (the “April Meeting”) and on May 17, 2016 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreements in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”). Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. Recognizing that the evaluation process with respect to the services provided by each of the Advisers is an ongoing one, the Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help boards of directors/trustees fulfill their advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary and supporting data presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports, as well as a discussion of those instances in which FUSE adjusted a peer group after considering a request by management to re-evaluate the peer group constituent funds.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting which, among other things, addressed areas identified for discussion by the Independent Trustees and Independent Legal Counsel. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided following the April Meeting (collectively with the foregoing reports and materials, the “Contract Review Materials”).
|
1 |
The series of the Trust previously included Series C (Money Market Series) (“Series C”). At a meeting held on February 23-24, 2016, the Board of Trustees of the Trust approved a proposal to liquidate Series C pursuant to a plan of liquidation (the “Liquidation Proposal”), subject to approval by shareholders of Series C. At a special meeting of shareholders of Series C held on April 15, 2016, the Liquidation Proposal was approved by shareholders. Thereafter, on April 29, 2016, Series C was liquidated. |
|
2 |
The investment advisory agreements pertaining to the SI-Advised Funds and the investment advisory agreements pertaining to the GPIM-Advised Funds are each referred to herein as an “Advisory Agreement” and together, the “Advisory Agreements” In addition, unless the context indicates otherwise, Security Investors, with respect to its service as investment adviser to the SI-Advised Funds, and GPIM, as to the GPIM-Advised Funds, are each referred to herein as the “Adviser” and together, the “Advisers.” |
|
144 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
OTHER INFORMATION (Unaudited)(continued) |
As part of its consideration of the proposed continuation of the applicable Advisory Agreement as related to Series M, the Committee considered Guggenheim Investments’ recommendation that, in light of a request for return of seed capital, a small asset base and limited distribution and growth prospects, it is in the best interest of Series M that it be closed and liquidated. Therefore, at the May Meeting, the Committee considered the proposed continuation of the applicable Advisory Agreement, with respect to Series M, to provide for the continuation of advisory services until such time as Series M ceases operations and is liquidated.
The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and weighed the factors and standards discussed with Independent Legal Counsel. Following an analysis and discussion of the factors identified below and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the information provided by Guggenheim concerning the education, experience, professional affiliations, areas of responsibility and duties of key personnel performing services for the Funds, including those personnel providing compliance oversight, as well as the supervisors and reporting lines for such personnel. In this connection, the Committee considered Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds and noted Guggenheim’s report on recent additions, departures and transitions in personnel who work on matters relating to the Funds or are significant to the operations of each Adviser. The Committee also considered the Advisers’ attention to relevant developments in the mutual fund industry and its observance of compliance and regulatory requirements, and noted that on a regular basis the Board receives and reviews information from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, as well as from Guggenheim’s Chief Risk Officer. The Committee also noted updates by Guggenheim to certain compliance programs, including with respect to Code of Ethics monitoring, and the implementation of additional forensic testing. The Committee took into consideration the settlement of a regulatory matter concerning GPIM and remedial steps taken in response by Guggenheim to enhance its organizational structure for compliance. In this connection, the Committee considered information provided by Guggenheim regarding the findings of an independent compliance consultant retained to review GPIM’s compliance program and the consultant’s conclusion that the program is reasonably designed to prevent and detect violations of the Investment Advisers Act of 1940, as amended, and the rules promulgated thereunder. Moreover, in connection with the Committee’s evaluation of the overall package of services provided by each Adviser, the Committee considered each Adviser’s administrative capabilities, including its role in monitoring and coordinating compliance responsibilities with the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds.
With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee certain unaudited financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”). (Thereafter, the Committee received the audited consolidated financial statements of GPIMH and the audited financial statements of GPIM as supplemental information.)
The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties through Board meetings, discussions and reports during the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.
Investment Performance: The Committee received for each Fund investment returns for the ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2015, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer
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|
OTHER INFORMATION (Unaudited)(continued) |
group of similar funds with comparable asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE representatives and considered a description of the methodology employed by FUSE for identifying each Fund’s peer group and universe for performance and expense comparisons.
In seeking to evaluate Fund performance over a full market cycle, the Committee generally focused its attention first on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee also considered more recent performance periods, including the one-year period and, as deemed appropriate, the three-month period, for certain Funds, such as for those Funds that were recently launched or had undergone recent changes in investment strategies, as well as circumstances in which enhancements were made to the portfolio management processes or techniques employed for a Fund. In this connection, the Committee made the following observations:
|
● |
Series A (StylePlus—Large Core Series): The Fund implemented a strategy change and a new portfolio management team in May 2013. In light of the foregoing, the Committee focused on performance results for the three-year and one-year periods ended December 31, 2015 and observed that the Fund outperformed the performance universe median for both periods, ranking in the 34th and 22nd percentiles, respectively. |
|
● |
Series D (World Equity Income Series): The Fund implemented a strategy change and a new portfolio management team in August 2013. In light of the foregoing, the Committee focused on performance results for the three-year and one-year periods ended December 31, 2015. The Committee noted that although the Fund underperformed the performance universe median for the three-year period (ranking in the 67th percentile), the Fund’s return exceeded the median for the one-year period (ranking in the 43rd percentile). The Committee also observed that the Fund’s performance was trending in a positive direction, noting that the Fund’s return ranked in the 29th percentile of its performance universe for the three-month period ended December 31, 2015. |
|
● |
Series E (Total Return Bond Series): The Fund outperformed the performance universe median for the five-year and three-year periods ended December 31, 2015, ranking in the 9th and 1st percentiles, respectively, of its performance universe. |
|
● |
Series F (Floating Rate Strategies Series): The Fund commenced operations in April 2013. The Fund outperformed the performance universe median for the one-year and three-month periods ended December 31, 2015, ranking in the 1st and 17th percentiles, respectively, of its performance universe. |
|
● |
Series J (StylePlus—Mid Growth Series): The Fund outperformed the performance universe median for the five-year and three-year periods ended December 31, 2015, ranking in the 49th and 42nd percentiles, respectively, of its performance universe. |
|
● |
Series N (Managed Asset Allocation Series): The Fund’s performance for the five-year and three-year periods ended December 31, 2015, ranked in the 59th and 66th percentiles, respectively. In light of the Fund’s third quartile performance for the foregoing periods, the Committee also took into account more recent performance results in its evaluation. In this regard, the Committee observed that the Fund’s return for the one-year period ended December 31, 2015 exceeded the performance universe median, ranking in the 35th percentile. |
|
● |
Series P (High Yield Series): The Fund’s returns for the five-year and three-year periods ended December 31, 2015, ranked in the 77th and 41st percentiles, respectively, of its performance universe. In light of the Fund’s fourth quartile performance for the five-year period, the Committee also took into account more recent performance results in its evaluation. In this regard, the Committee observed that the Fund’s return for the one-year period ended December 31, 2015 exceeded the performance universe median, ranking in the 48th percentile. The Committee also noted that the Fund’s current portfolio management team assumed responsibility for the Fund in August 2012. |
|
● |
Series X (StylePlus—Small Growth Series): The Fund implemented a strategy change and new portfolio management team in May 2013. In light of the foregoing, the Committee focused on performance for the three-year and one-year periods ended December 31, 2015 and observed that the Fund outperformed the performance universe median for both periods, ranking in the 16th and 47th percentiles, respectively, of its performance universe. |
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146 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
OTHER INFORMATION (Unaudited)(continued) |
|
● |
Series Y (StylePlus—Large Growth Series): The Fund implemented a strategy change and new portfolio management team in May 2013. In light of the foregoing, the Committee focused on performance for the three-year and one-year periods ended December 31, 2015 and observed that the Fund’s returns ranked in the 61st and 51st percentiles, respectively, of its performance universe. The Committee also noted the Adviser’s statement that since the current portfolio management team assumed responsibility for the Fund in May 2013, the Fund’s performance has improved significantly, with the Fund ranking in the first quartile over the three-year and one-year periods ended February 29, 2016. |
|
● |
Series Z (Alpha Opportunity Series): The Fund outperformed the performance universe median for the five-year and three-year periods ended December 31, 2015, ranking in the 4th and 18th percentiles, respectively, of its performance universe. The Committee considered the limitations on portfolio management as a result of the 2008 Lehman bankruptcy, and subsequent changes to the Fund’s investment strategies, noting that the Fund re-opened to subscriptions with a new U.S. long/short equity investment strategy on January 28, 2015. In light of the foregoing, the Committee also considered more recent performance periods, including the one-year and three-month periods ended December 31, 2015 and observed that the Fund’s returns ranked in the 74th and 95th percentiles, respectively, of its performance universe. Given the limited period of time that the Adviser has managed the Fund pursuant to its new investment program, the Committee also took into account updated performance data provided by the Adviser in connection with the May Meeting and noted that the Fund’s net performance for the one-year and three-month periods ended March 31, 2016 ranked in the 6th and 1st percentiles, respectively, of the Morningstar Long/Short Equity peer group. |
Value Funds: Series B (Large Cap Value Series), Series O (All Cap Value Series), Series Q (Small Cap Value Series) and Series V (Mid Cap Value Series):
|
● |
Series B (Large Cap Value Series): The Fund underperformed the performance universe median for the five-year, three-year and one-year periods ended December 31, 2015, ranking in the 85th, 75th and 70th percentiles, respectively, of its performance universe. |
|
● |
Series O (All Cap Value Series): The Fund underperformed the performance universe median for the five-year, three-year and one-year periods ended December 31, 2015, ranking in the 89th, 76th and 67th percentiles, respectively, of its performance universe. |
|
● |
Series Q (Small Cap Value Series): The Fund underperformed the performance universe median for the five-year, three-year and one-year periods ended December 31, 2015, ranking in the 74th, 85th and 77th percentiles, respectively, of its performance universe. |
|
● |
Series V (Mid Cap Value Series): The Fund underperformed the performance universe median for the five-year, three-year and one-year periods ended December 31, 2015, ranking in the 100th percentile for the five-year and three-year periods and in the 83rd percentile of its performance universe for the one-year period. |
In response to the Committee’s request, representatives from the Adviser provided information regarding, and discussed factors impacting, each Value Fund’s performance, including market trends and stock selection. The Adviser’s representatives also discussed the portfolio management team’s philosophy and processes and explained their expectations and strategies for the future. The Committee noted measures taken by the Adviser to remedy relative longer-term underperformance with respect to each of the Value Funds, including strategy enhancements such as implementation of a refined stock selection process and additional risk controls to enforce the strategy’s sell discipline. The Committee noted that the Adviser believes the enhancements to the portfolio management techniques employed for each Value Fund, used in conjunction with existing proprietary quantitative models, will help improve the Fund‘s performance results. In light of the foregoing, the Committee requested and the Adviser provided supplemental performance data to enable the Committee to evaluate the impact of the strategy enhancements. In this connection, the Committee considered that the data provided by the Adviser indicated that each Value Fund’s performance was improving, with performance for the first quarter of 2016 ranking better than the trailing one-year return. The Committee also considered the Adviser’s statement that it believes the improving trend in performance relative to peers reflects the enhancements implemented in the investment process. The Committee also noted Guggenheim’s
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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 147 |
|
OTHER INFORMATION (Unaudited)(continued) |
commitment to monitor each Value Fund’s performance and update the Independent Trustees on a quarterly basis as to the impact of the process enhancements implemented to-date and advise on other steps that might be taken to further address each Fund’s performance, if necessary.
After reviewing the foregoing and related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts relating to investment performance.
Comparative Fees, Costs of Services Provided and the Profits Realized by each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements) of the peer group of funds. In response to a supplemental request, the Committee also received and reviewed aggregated advisory and administrative fees compared to the peer group average and median.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the applicable Adviser to one or more other funds, separate accounts and/or other types of client portfolios and investment vehicles that it manages pursuant to a similar investment objective and strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds3 as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, applicable legal, governance and capital structures, tax status and historical pricing reasons. With respect to the difference in fees charged to a comparable client that is a mutual fund, as to which Guggenheim serves as sub-adviser, the Committee took into account the following: Guggenheim advises that it has less legal and regulatory exposure as a sub-adviser to an unaffiliated fund and does not take on the same business risk because Guggenheim is not the sponsor of that fund. The Committee concluded that the information it received demonstrated that the aggregate services provided to the Funds were sufficiently different from those provided to other clients with similar investment strategies and/or the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.
In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee made the following observations:
|
● |
Series A (StylePlus—Large Core Series): The Fund’s contractual advisory fee is equal to the peer group median and its total net expense ratio is the highest of the peer group. |
|
● |
Series B (Large Cap Value Series): The Fund’s contractual advisory fee is equal to the peer group median and its total net expense ratio is 5 basis points above the peer group median (73rd percentile). |
|
● |
Series D (World Equity Income Series): The Fund’s contractual advisory fee is below the peer group median (30th percentile) and its total net expense ratio is equal to the peer group median. |
|
● |
Series E (Total Return Bond Series): The Fund’s contractual advisory fee is equal to the peer group median and its total net expense ratio is below the peer group median, ranking in the first quartile (25th percentile) of its peer group. In addition, the Adviser has entered into an expense limitation agreement with respect to the Fund. |
|
3 |
“Mutual funds” in this discussion refer specifically to registered open-end investment companies offered for variable annuity or variable life insurance contract purchasers. |
|
148 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
OTHER INFORMATION (Unaudited)(continued) |
|
● |
Series F (Floating Rate Strategies Series): The Fund’s contractual advisory fee is tied with a peer fund as the highest of its peer group (consisting of seven funds), but only 2 basis points above the median. The Fund’s total net expense ratio also is tied with a peer fund as the highest of its peer group. The Committee observed that the Fund’s average assets under management is the smallest among its peer funds and also considered that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
|
● |
Series J (StylePlus—Mid Growth Series): The Fund’s contractual advisory fee is below the peer group median (36th percentile) and its total net expense ratio is equal to the peer group median. |
|
● |
Series N (Managed Asset Allocation Series): The Fund’s contractual advisory fee and total net expense ratio are both below the peer group median, ranking in the 21st and 43rd percentiles, respectively. |
|
● |
Series O (All Cap Value Series): The Fund’s contractual advisory fee is above the peer group median, ranking in the third quartile (64th percentile) of the peer group, but only 5 basis points above the median. The Fund’s total net expense ratio is above the peer group median, ranking in the fourth quartile (93rd percentile) of the peer group. |
|
● |
Series P (High Yield Series): The Fund’s contractual advisory fee is below the peer group median, ranking in the first quartile (20th percentile) of the peer group. The Fund’s total net expense ratio is 8 basis points above the peer group median, ranking in the third quartile (73rd percentile) of the peer group. The Committee considered that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
|
● |
Series Q (Small Cap Value Series): The Fund’s contractual advisory fee and total net expense ratio are higher than the median advisory fee and total net expense ratio of its peer group (in each case ranking in the 93rd percentile). |
|
● |
Series V (Mid Cap Value Series): The Fund’s contractual advisory fee is below the peer group median (25th percentile) of the peer group and its total net expense ratio is 10 basis points above the peer group median (83rd percentile) of the peer group. |
|
● |
Series X (StylePlus—Small Growth Series): The Fund’s contractual advisory fee is 5 basis points above the peer group median (57th percentile) and its total net expense ratio is the highest of the peer group. The Committee considered the Fund’s small size, in average assets under management, as compared to its peer group constituent funds. |
|
● |
Series Y (StylePlus—Large Growth Series): The Fund’s contractual advisory fee is 2 basis points above the peer group median (53rd percentile) and its total net expense ratio is the highest of the peer group. The Committee considered the Fund’s small size, in average assets under management, as compared to its peer group constituent funds. |
|
● |
Series Z (Alpha Opportunities Series): The Fund’s contractual advisory fee is below the peer group median (9th percentile) and its total net expense ratio is above the peer group median (91st percentile). The Committee considered the small size of the Fund and that the Adviser has entered into an expense limitation agreement with respect to the Fund. |
With respect to the costs of services provided and profits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2015, ending assets under management as of December 31, 2015, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2014. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit and reviewed a report from an independent accounting firm evaluating Guggenheim Investments’ approach to allocating costs and determining the profitability of Guggenheim Investments with respect to individual funds and the entire fund complex. In evaluating the costs of services provided and
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 149 |
|
OTHER INFORMATION (Unaudited)(concluded) |
the profitability to Guggenheim Investments, based upon the profitability rates presented by Guggenheim Investments and the conclusion of the independent accounting firm that the methodology used for calculating such rates was reasonable, the Committee concluded that the profits were not unreasonable.
The Committee considered other benefits available to each Adviser because of its relationship with the Funds and noted that Security Investors and GPIM may be deemed to benefit from arrangements whereby an affiliate, Rydex Fund Services, LLC, currently receives fees for (i) performing certain administrative functions and bookkeeping, accounting and pricing functions for the Funds pursuant to a Fund Accounting and Administration Agreement, and (ii) acting as transfer agent for the Funds and performing all shareholder servicing functions, including transferring record ownership, processing purchase and redemption transactions, answering inquiries, mailing shareholder communications, and acting as the dividend disbursing agent pursuant to a Transfer Agency Agreement. The Committee reviewed the compensation arrangements for the provision of the foregoing services, as well as Guggenheim’s profitability from providing such services. The Committee also noted Guggenheim’s statement that it may benefit from marketing synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to the shareholders. The Committee noted the Adviser’s statement that Guggenheim continues to develop the infrastructure needed to support Fund asset growth and to achieve economies of scale across the firm’s various products and product lines. Thus, while Guggenheim may be benefiting from certain economies of scale and related cost efficiencies, it is concurrently realizing new costs and expenses associated with investment in infrastructure to support growth. The Committee took into account the additional information provided by Guggenheim at the Committee’s request regarding the investments made to support the growth of the organization, noting, among other things, enhancements to improve operational efficiency and further development of compliance-related functions, as well as Guggenheim’s view as to how such investments benefit the Funds.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through expense limitations and/or through advisory fees set at competitive rates pre-assuming future asset growth. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
The Committee determined that, taking into account all relevant factors, the advisory fee for each Fund was reasonable.
Overall Conclusions
Based on the foregoing, the Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his business judgment, may attribute different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement, other than for Series M, for an additional annual term.
With respect to Series M, the Committee concluded that it is in the best interest of Series M to recommend that the Board approve the continuation of the applicable Advisory Agreement to provide for the continuation of advisory services until such time as Series M ceases operations and is liquidated, but no longer than an additional annual term.
Thereafter, on May 18, 2016, the Board, including all of the Independent Trustees, approved: (i) the renewal of each of the Advisory Agreements, other than for Series M, for an additional annual term; and (ii) with respect to Series M, the continuation of the applicable Advisory Agreement until such time as Series M ceases operations and is liquidated, but no longer than an additional annual term.
|
150 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
|
Name, Address* and Year of Birth |
Position(s) |
Term of Office and Length of Time Served** |
Principal Occupation(s) During Past Five Years |
Number of Portfolios in Fund Complex Overseen |
Other |
|
INDEPENDENT TRUSTEES |
|||||
|
Randall C. Barnes (1951) |
Trustee |
Since 2014 |
Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). |
100 |
Current: Trustee, Purpose Investments Inc. (2014-Present). |
|
Donald A. Chubb, Jr. (1946) |
Trustee |
Since 1994 |
Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present). |
96 |
Current: Midland Care, Inc. (2011-present). |
|
Jerry B. Farley (1946) |
Trustee and Vice Chairman of the Audit Committee |
Since 2005 |
Current: President, Washburn University (1997-present). |
96 |
Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present). |
|
Roman Friedrich III (1946) |
Trustee and Chairman of the Contracts Review Committee |
Since 2014 |
Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present).
Former: Senior Managing Director, MLV & Co. LLC (2010-2011). |
96 |
Current: Zincore Metals, Inc. (2009-present).
Former: Axiom Gold and Silver Corp. (2011-2012). |
|
Robert B. Karn III (1942) |
Trustee and Chairman of the Audit Committee |
Since 2014 |
Current: Consultant (1998-present).
Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997). |
96 |
Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present). |
|
Ronald A. Nyberg (1953) |
Trustee and Chairman of the Nominating and Governance Committee |
Since 2014 |
Current: Partner, Momkus McCluskey Roberts LLC (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). |
102 |
Current: Edward-Elmhurst Healthcare System (2012-present). |
|
THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 151 |
|
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
|
Name, Address* and Year of Birth |
Position(s) |
Term of Office and Length of Time Served** |
Principal Occupation(s) During Past Five Years |
Number of Portfolios in Fund Complex Overseen |
Other Held by Trustees |
|
INDEPENDENT TRUSTEES - continued |
|||||
|
Maynard F. Oliverius (1943) |
Trustee |
Since 1998 |
Current: Retired.
Former: President and CEO, Stormont-Vail HealthCare (1996-2012). |
96 |
Current: Fort Hays State University Foundation (1999-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present). |
|
Ronald E. Toupin, Jr. (1958) |
Trustee and Chairman of the Board |
Since 2014 |
Current: Portfolio Consultant (2010-present).
Former: Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). |
99 |
Former: Bennett Group of Funds (2011-2013). |
|
INTERESTED TRUSTEE |
|||||
|
Donald C. Cacciapaglia*** (1951) |
President, Chief Executive Officer and Trustee |
Since 2012 |
Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010). |
231 |
Current: Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
|
* |
The business address of each Trustee is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850. |
|
** |
Each Trustee serves an indefinite term, until his successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
|
*** |
This Trustee is deemed to be an "interested person" of the Funds under the 1940 Act by reason of his position with the Funds' Investment Manager and/or the parent of the Investment Manager. |
|
152 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
|
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
|
Name, Address* and Year of Birth |
Position(s) |
Term of Office and Length of Time Served** |
Principal Occupations |
|
OFFICERS |
|||
|
Joseph M. Arruda (1966) |
Assistant Treasurer |
Since 2010 |
Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present).
Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010). |
|
William H. Belden, III (1965) |
Vice President |
Since 2014 |
Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment Advisors, LLC (2005-present).
Former: Vice President of Management, Northern Trust Global Investments (1999-2005). |
|
James Howley (1972) |
Assistant Treasurer |
Since 2014 |
Current: Director, Guggenheim Investments (2004-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
|
Amy J. Lee (1961) |
Vice President and Chief Legal Officer |
Since 2007 (Vice President) Since 2014 (Chief Legal Officer) |
Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
|
Mark E. Mathiasen (1978) |
Secretary |
Since 2014 |
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
|
Michael P. Megaris (1984) |
Assistant Secretary |
Since 2014 |
Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Senior Associate, Guggenheim Investments (2012-present).
Former: J.D., University of Kansas School of Law (2009-2012). |
|
Elisabeth Miller (1968) |
Chief Compliance Officer |
Since 2012 |
Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 153 |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
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Name, Address* and Year of Birth |
Position(s) |
Term of Office and Length of Time Served** |
Principal Occupations |
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OFFICERS - continued |
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Adam Nelson (1979) |
Assistant Treasurer |
Since 2015 |
Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
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Alison Santay (1974) |
AML Officer |
Since 2013 |
Current: AML Officer, certain other funds in the Fund Complex (2010-present); Director and AML Officer, Rydex Fund Services, LLC (2010-present); AML Officer, Security Investors, LLC (2010-present); Director, Shareholder Risk and Compliance, Rydex Fund Services, LLC (2004-present).
Former: AML Officer, Guggenheim Distributors, LLC (2013-2014). |
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Kimberly Scott (1974) |
Assistant Treasurer |
Since 2014 |
Current: Vice President, Guggenheim Investments (2012-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
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Bryan Stone (1979) |
Vice President |
Since 2014 |
Current: Vice President, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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John L. Sullivan (1955) |
Chief Financial Officer and Treasurer |
Since 2014 |
Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
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* |
The business address of each officer is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850. |
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** |
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation. |
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154 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Security Distributors, Inc., Guggenheim Partners Investment Managers, LLC, and Rydex Advisory Services (Collectively “Guggenheim Investments”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
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THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 155 |
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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
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156 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT |
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| Item 2. | Code of Ethics. |
| .Item 3. | Audit Committee Financial Expert. |
| Item 4. | Principal Accountant Fees and Services. |
| Item 5. | Audit Committee of Listed Registrants. |
| Item 6. | Investments. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| Item 8. | Portfolio Mangers of Closed-end Management Investment Companies |
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| Item 10. | Submission of Matters to a Vote of Security Holders. |
| Item 11. | Controls and Procedures. |
| (a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely. |
| (b) | The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| Item 12. | Exhibits. |
| (a)(1) | Not applicable. |
| (a)(2) | Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a‑2(a) under the Act (17 CFR 270.30a-2(a)) are attached. |
| (b) | A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached. |
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(Registrant)
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Guggenheim Variable Funds Trust
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By (Signature and Title)*
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/s/ Donald C. Cacciapaglia | |
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Donald C. Cacciapaglia,
President and Chief Executive Officer
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Date
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September 7, 2016
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By (Signature and Title)*
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/s/ Donald C. Cacciapaglia | |
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Donald C. Cacciapaglia,
President and Chief Executive Officer
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Date
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September 7, 2016
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By (Signature and Title)*
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/s/ John L. Sullivan | |
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John L. Sullivan,
Chief Financial Officer and Treasurer
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Date
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September 7, 2016
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