N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 02753

Guggenheim Variable Funds Trust

(Exact name of registrant as specified in charter)

702 King Farm Boulevard, Suite 200

Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

Amy J. Lee

Guggenheim Variable Funds Trust

702 King Farm Boulevard, Suite 200

Rockville, Maryland 20850

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: January 1, 2018 through June 30, 2018

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

Item 1. Reports to Stockholders.

The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

6.30.2018

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 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)

GuggenheimInvestments.com GVFT-SEMI-0618x1218

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
SERIES A (STYLEPLUS—LARGE CORE SERIES)	8
SERIES B (LARGE CAP VALUE SERIES)	15
SERIES D (WORLD EQUITY INCOME SERIES)	21
SERIES E (TOTAL RETURN BOND SERIES)	28
SERIES F (FLOATING RATE STRATEGIES SERIES)	41
SERIES J (STYLEPLUS—MID GROWTH SERIES)	53
SERIES N (MANAGED ASSET ALLOCATION SERIES)	61
SERIES O (ALL CAP VALUE SERIES)	68
SERIES P (HIGH YIELD SERIES)	75
SERIES Q (SMALL CAP VALUE SERIES)	89
SERIES V (MID CAP VALUE SERIES)	96
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)	103
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)	111
SERIES Z (ALPHA OPPORTUNITY SERIES)	118
NOTES TO FINANCIAL STATEMENTS	130
OTHER INFORMATION	151
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	158
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	163

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 1

June 30, 2018

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the semiannual shareholder report for funds that are part of the Guggenheim Variable Funds Trust (the “Funds”). This report covers performance of the Funds for the semiannual period ended June 30, 2018.

The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Advisers.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Security Investors, LLC
Guggenheim Partners Investment Management, LLC
July 31, 2018

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

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

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

The Series Value Funds may not be suitable for all investors. ● An investment in the Funds will fluctuate and is subject to investment risks, which means investors could lose money. The intrinsic value of the underlying stocks may never be realized or the stocks may decline in value. Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Please read the prospectus for more detailed information regarding these and other risks.

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

2 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

June 30, 2018

The Series E (Total Return Bond Series) may not be suitable for all investors. ● Investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the Fund’s holdings and share price to decline. ● Investors in asset-backed securities, including collateralized loan obligations (“CLOs”), generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. ● Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. ● High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if it had not been leveraged. The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to many of the same risks as leveraged instruments, such as derivatives. ● You may have a gain or loss when you sell your shares. ● Please read the prospectus for more detailed information regarding these and other risks.

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

The Series N (Managed Asset Allocation Series) may not be suitable for all investors. ● The value of an investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. The Fund could lose money if the issuer of a bond or a counterparty to a derivatives transaction or other transaction is unable to repay interest and principal on time or defaults. The issuer of a bond could also suffer a decrease in quality rating, which would affect the volatility and liquidity of the bond. Derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including the risk that the Fund will be unable to sell, unwind or value the derivative because of an illiquid market, the risk that the derivative is not well correlated with underlying investments or the Fund’s other portfolio holdings, and the risk that the counterparty is unwilling or unable to meet its obligation. The use of derivatives by the Fund to hedge risk may reduce the opportunity for gain by offsetting the positive effect of favorable price movements. Furthermore, if the Investment Manager is incorrect about its expectations of market conditions, the use of derivatives could result in a loss, which in some cases may be unlimited. Foreign securities carry additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity, limited legal recourse and higher transactional costs. The Investment Manager may not be able to cause certain of the underlying funds’ performance to match or correlate to that of the underlying funds’ respective underlying index or benchmark, either on a daily or aggregate basis. Factors such as underlying fund expenses, imperfect correlation between an underlying fund’s investments and those of its underlying index or underlying benchmark, rounding of share prices, changes to the composition of the underlying index or underlying benchmark, regulatory policies, high portfolio turnover rate, and the use of leverage all contribute to tracking error. Tracking error may cause an underlying fund’s and, thus the Fund’s, performance to be less than you expect. ● Please read the prospectus for more detailed information regarding these and other risks.

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

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) June 30, 2018

As the U.S. economy powers along, with second quarter 2018 gross domestic product (“GDP”) coming in at 4.1% annualized, geopolitical risk continues to weigh on the market. Positive headlines surrounding growth and the labor market are offset by concerns over trade tariffs launched by the U.S. against both its rivals and its allies. In May, the Trump administration allowed the aluminum and steel tariff exemptions to expire for Canada, Mexico, and the European Union, instituting 25% tariffs on steel and 10% tariffs on aluminum imported from these regions. In June, the U.S. administration announced it would also impose 25% tariffs on $50 billion worth of Chinese imports ($34 billion of which would be tariffed beginning in July), followed by the publication of a list of $200 billion in additional Chinese goods to be targeted, to which China promised retaliation. The European Union has also announced retaliation, approving tariffs of 25% on a long list of American goods. Over this period, 10-year U.S. Treasury yields peaked at 3.1% and finished the quarter at 2.9%.

The bond market’s reaction to trade rhetoric indicates that there is a tug of war at hand. While fiscal stimulus pushed up bond yields initially, tariffs are weighing them down. Markets are right to be concerned about the consequences of trade tariffs. Outside of the U.S., these trade tariffs may have the intended impact of squeezing economic growth in export-heavy regions, but among the losers will also be U.S. consumers. Some corporations may slow or postpone hiring as they manage for rising input costs. Others will pass higher prices on to the consumer, causing disposable incomes to suffer. In either case, tariffs reduce the benefit of the fiscal stimulus.

The U.S. Federal Reserve’s (the “Fed”) confidence in the U.S. economy seems to have sharpened in recent weeks despite trade uncertainty. In the June Summary of Economic Projections (“SEP”), the U.S. Federal Reserve Open Market Committee’s (“FOMC”) median expectations for 2018 GDP growth rose from 2.7% to 2.8%. The FOMC now expects a lower unemployment rate, higher personal consumption expenditures inflation and a higher federal funds rate for 2018 and 2019 than previously expected. The Fed is determined to tighten financial conditions until economic growth and hiring slow to a more sustainable pace.

We believe that the net effect of all factors affecting rates—fiscal stimulus, trade tariffs, and monetary policy tightening—will keep long-term interest rates from moving much higher than current levels. The market is currently pricing this in to the yield curve; in July the difference between 30-year and two-year U.S. Treasury yields hit its lowest level since July 2007. The bond market is sending a warning signal that makes us wary of taking on too much credit risk at this stage.

We maintain our view that a recession could come in 2020 and markets may discount this as early as 2019. In the meantime, we are watching for exogenous factors that could cause a recession to come sooner.

For the six months ended June 30, 2018, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 2.65%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -2.37%. The return of the MSCI Emerging Markets Index* was -6.51%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.62% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 0.16%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.81% for the six-month period.

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

*Index Definitions:

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

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

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

Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.

4 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) June 30, 2018

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

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

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

MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

Morningstar Long/Short Equity Category Average is an average return of the funds in the Morningstar Long/Short Equity Category. The categories assist investors and investment professionals in making meaningful comparisons between funds, making it easier to build well-diversified portfolios, assess potential risk, and identify top-performing funds.

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

Russell 3000^® Value Index measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2500^® Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

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

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

Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth value.

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

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

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2017 and ending June 30, 2018.

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

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

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

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

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

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

6 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value December 31, 2017	Ending Account Value June 30, 2018	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Series A (StylePlus—Large Core Series)	0.98%	1.63%	$1,000.00	$1,016.30	$4.90
Series B (Large Cap Value Series)	0.80%	(0.99%)	1,000.00	990.10	3.95
Series D (World Equity Income Series)	0.90%	0.07%	1,000.00	1,000.70	4.46
Series E (Total Return Bond Series)	0.77%	0.49%	1,000.00	1,004.90	3.83
Series F (Floating Rate Strategies Series)	1.16%	1.03%	1,000.00	1,010.30	5.78
Series J (StylePlus—Mid Growth Series)	0.94%	4.20%	1,000.00	1,042.00	4.76
Series N (Managed Asset Allocation Series)	0.93%	0.00%	1,000.00	1,000.00	4.61
Series O (All Cap Value Series)	0.88%	0.78%	1,000.00	1,007.80	4.38
Series P (High Yield Series)	1.26%	(0.96%)	1,000.00	990.40	6.22
Series Q (Small Cap Value Series)	1.14%	3.60%	1,000.00	1,036.00	5.75
Series V (Mid Cap Value Series)	0.91%	4.33%	1,000.00	1,043.30	4.61
Series X (StylePlus—Small Growth Series)	1.06%	8.78%	1,000.00	1,087.80	5.49
Series Y (StylePlus—Large Growth Series)	1.02%	6.11%	1,000.00	1,061.10	5.21
Series Z (Alpha Opportunity Series)	2.00%	(9.18%)	1,000.00	908.20	9.46
Table 2. Based on hypothetical 5% return (before expenses)
Series A (StylePlus—Large Core Series)	0.98%	5.00%	$1,000.00	$1,019.93	$4.91
Series B (Large Cap Value Series)	0.80%	5.00%	1,000.00	1,020.83	4.01
Series D (World Equity Income Series)	0.90%	5.00%	1,000.00	1,020.33	4.51
Series E (Total Return Bond Series)	0.77%	5.00%	1,000.00	1,020.98	3.86
Series F (Floating Rate Strategies Series)	1.16%	5.00%	1,000.00	1,019.04	5.81
Series J (StylePlus—Mid Growth Series)	0.94%	5.00%	1,000.00	1,020.13	4.71
Series N (Managed Asset Allocation Series)	0.93%	5.00%	1,000.00	1,020.18	4.66
Series O (All Cap Value Series)	0.88%	5.00%	1,000.00	1,020.43	4.41
Series P (High Yield Series)	1.26%	5.00%	1,000.00	1,018.55	6.31
Series Q (Small Cap Value Series)	1.14%	5.00%	1,000.00	1,019.14	5.71
Series V (Mid Cap Value Series)	0.91%	5.00%	1,000.00	1,020.28	4.56
Series X (StylePlus—Small Growth Series)	1.06%	5.00%	1,000.00	1,019.54	5.31
Series Y (StylePlus—Large Growth Series)	1.02%	5.00%	1,000.00	1,019.74	5.11
Series Z (Alpha Opportunity Series)	2.00%	5.00%	1,000.00	1,014.88	9.99

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

Fund	06/30/18
Series A (StylePlus—Large Core Series)	0.91%
Series B (Large Cap Value Series)	0.80%
Series D (World Equity Income Series)	0.90%
Series E (Total Return Bond Series)	0.77%
Series F (Floating Rate Strategies Series)	1.15%
Series J (StylePlus—Mid Growth Series)	0.94%
Series O (All Cap Value Series)	0.88%
Series P (High Yield Series)	1.07%
Series Q (Small Cap Value Series)	1.14%
Series V (Mid Cap Value Series)	0.91%
Series X (StylePlus—Small Growth Series)	1.06%
Series Y (StylePlus—Large Growth Series)	0.93%
Series Z (Alpha Opportunity Series)	2.00%

² Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies.

³ Actual cumulative return at net asset value for the period December 31, 2017 to June 30, 2018.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.

Inception Date: May 1, 1979

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	33.9%
Guggenheim Strategy Fund III	30.2%
Guggenheim Strategy Fund II	12.2%
Guggenheim Strategy Fund I	1.2%
Apple, Inc.	0.6%
Exxon Mobil Corp.	0.5%
Microsoft Corp.	0.5%
Alphabet, Inc. — Class C	0.4%
Chevron Corp.	0.4%
Amazon.com, Inc.	0.4%
Top Ten Total	80.3%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 Month‡	1 Year	5 Year	10 Year
Series A (StylePlus—Large Core Series)	1.63%	13.59%	14.02%	9.09%
S&P 500 Index	2.65%	14.37%	13.42%	10.17%

* The performance data above represents past performance that is not predictive of future results. Effective April 30, 2013, certain changes were made to the Series’ investment objective and principal strategies. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

8 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
COMMON STOCKS† - 20.0%
Consumer, Non-cyclical - 7.0%
Pfizer, Inc.		24,807	$	899,998
Procter & Gamble Co.		11,127		868,574
PepsiCo, Inc.		7,299		794,642
Amgen, Inc.		3,869		714,179
Gilead Sciences, Inc.		9,179		650,240
Mondelez International, Inc. — Class A		14,589		598,149
Biogen, Inc.*		1,958		568,290
Sysco Corp.		8,120		554,515
Kimberly-Clark Corp.		5,245		552,508
Archer-Daniels-Midland Co.		11,563		529,932
Molson Coors Brewing Co. — Class B		7,484		509,212
JM Smucker Co.		4,672		502,147
Tyson Foods, Inc. — Class A		7,184		494,618
Allergan plc		2,859		476,653
Altria Group, Inc.		8,171		464,031
Humana, Inc.		1,500		446,445
Centene Corp.*		3,493		430,372
Kellogg Co.		6,136		428,722
Kroger Co.		14,420		410,249
Mylan N.V.*		11,146		402,816
Western Union Co.		18,760		381,391
Anthem, Inc.		1,594		379,420
McKesson Corp.		2,669		356,045
United Rentals, Inc.*		2,383		351,778
Cardinal Health, Inc.		6,556		320,130
AbbVie, Inc.		3,368		312,045
Conagra Brands, Inc.		8,094		289,199
Johnson & Johnson		2,280		276,655
CVS Health Corp.		4,258		274,002
Bristol-Myers Squibb Co.		4,666		258,216
Perrigo Company plc		3,427		249,863
Quanta Services, Inc.*		6,478		216,365
Becton Dickinson and Co.		604		144,694
UnitedHealth Group, Inc.		556		136,409
Cigna Corp.		619		105,199
Total Consumer, Non-cyclical				15,347,703
Technology - 3.9%
Apple, Inc.		7,582		1,403,504
Microsoft Corp.		11,548		1,138,748
Intel Corp.		16,125		801,574
Oracle Corp.		15,694		691,478
International Business Machines Corp.		4,905		685,229
NetApp, Inc.		6,710		526,936
CA, Inc.		13,291		473,824
Applied Materials, Inc.		9,455		436,726
Seagate Technology plc		7,172		405,003
DXC Technology Co.		5,016		404,340
Western Digital Corp.		5,184		401,293
HP, Inc.		17,265		391,743
Lam Research Corp.		2,250		388,912
Micron Technology, Inc.*		5,181		271,692
QUALCOMM, Inc.		3,361		188,619
Total Technology				8,609,621
Communications - 2.6%
Alphabet, Inc. — Class C*		862		961,690
Amazon.com, Inc.*		544		924,691
Cisco Systems, Inc.		20,241		870,971
Facebook, Inc. — Class A*		2,782		540,598
Omnicom Group, Inc.		6,685		509,865
Juniper Networks, Inc.		17,579		482,016
Comcast Corp. — Class A		14,556		477,582
News Corp. — Class A		30,189		467,930
AT&T, Inc.		5,519		177,215
Walt Disney Co.		1,353		141,808
Netflix, Inc.*		257		100,598
Total Communications				5,654,964
Industrial - 2.6%
Honeywell International, Inc.		3,947		568,565
Caterpillar, Inc.		4,168		565,473
WestRock Co.		8,121		463,060
Snap-on, Inc.		2,784		447,444
Eaton Corporation plc		5,540		414,059
Textron, Inc.		6,057		399,217
Huntington Ingalls Industries, Inc.		1,808		391,956
Cummins, Inc.		2,934		390,222
Dover Corp.		5,099		373,247
Pentair plc		8,866		373,081
Acuity Brands, Inc.		3,036		351,781
Kansas City Southern		2,426		257,059
United Technologies Corp.		1,670		208,800
Stanley Black & Decker, Inc.		1,434		190,450
Johnson Controls International plc		5,492		183,708
Total Industrial				5,578,122
Energy - 1.4%
Exxon Mobil Corp.		14,207		1,175,345
Chevron Corp.		7,517		950,374
Valero Energy Corp.		3,671		406,857
Occidental Petroleum Corp.		3,603		301,499
ConocoPhillips		2,033		141,538
Total Energy				2,975,613
Consumer, Cyclical - 1.3%
Walmart, Inc.		5,256		450,176
Delta Air Lines, Inc.		8,177		405,088
PACCAR, Inc.		6,481		401,563
Southwest Airlines Co.		7,795		396,610
Alaska Air Group, Inc.		5,535		334,259
American Airlines Group, Inc.		6,275		238,199
Walgreens Boots Alliance, Inc.		3,518		211,133
United Continental Holdings, Inc.*		2,601		181,368
Yum! Brands, Inc.		1,130		88,389
General Motors Co.		2,131		83,961
Home Depot, Inc.		232		45,263
Total Consumer, Cyclical				2,836,009

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
Financial - 1.0%
State Street Corp.		5,207	$	484,720
JPMorgan Chase & Co.		3,870		403,254
Prudential Financial, Inc.		3,454		322,983
Berkshire Hathaway, Inc. — Class B*		1,415		264,110
Visa, Inc. — Class A		1,745		231,125
Bank of America Corp.		6,299		177,569
Wells Fargo & Co.		2,588		143,479
Citigroup, Inc.		2,020		135,178
MetLife, Inc.		2,973		129,623
Total Financial				2,292,041
Basic Materials - 0.2%
LyondellBasell Industries N.V. — Class A		3,011		330,758
Total Common Stocks
(Cost $42,492,013)				43,624,831
MUTUAL FUNDS† - 77.5%
Guggenheim Variable Insurance Strategy Fund III1		2,953,479		74,043,712
Guggenheim Strategy Fund III1		2,643,098		66,051,017
Guggenheim Strategy Fund II1		1,069,781		26,733,815
Guggenheim Strategy Fund I1		100,969		2,528,252
Total Mutual Funds
(Cost $168,858,324)				169,356,796
MONEY MARKET FUND† - 2.3%
Dreyfus Treasury Prime Cash Management — Institutional Class, 1.68%2		5,077,540		5,077,540
Total Money Market Fund
(Cost $5,077,540)				5,077,540
Total Investments - 99.8%
(Cost $216,427,877)			$	218,059,167
Other Assets & Liabilities, net - 0.2%				408,242
Total Net Assets - 100.0%			$	218,467,409

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		55		Sep 2018	$	7,482,063	$	(171,860	)

Total Return Swap Agreements

Counterparty

Index

Financing Rate Pay

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo

S&P 500 Index

2.17

%

At Maturity

07/02/18

61,917

$

168,313,315

$

8,451,050

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Affiliated issuer.

² Rate indicated is the 7 day yield as of June 30, 2018.

plc — Public Limited Company

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES A (STYLEPLUS—LARGE CORE SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	43,624,831	$	—	$	—	$	43,624,831
Mutual Funds		169,356,796		—		—		169,356,796
Money Market Fund		5,077,540		—		—		5,077,540
Equity Index Swap Agreements*		—		8,451,050		—		8,451,050
Total Assets	$	218,059,167	$	8,451,050	$	—	$	226,510,217
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts*	$	171,860	$	—	$	—	$	171,860

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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 Guggenheim Investments (“GI”), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Appreciation (Depreciation)			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Strategy Fund I	$	26,350,212	$	164,194	$	(23,983,716	)	$	147,342	$	(149,780	)	$	2,528,252		100,969	$	165,248
Guggenheim Strategy Fund II		36,603,488		451,761		(10,299,994	)		53,715		(75,155	)		26,733,815		1,069,781		451,368
Guggenheim Strategy Fund III		65,316,993		813,448		—			—		(79,424	)		66,051,017		2,643,098		810,966
Guggenheim Variable Insurance Strategy Fund III		67,887,722		6,276,077		—			—		(120,087	)		74,043,712		2,953,479		945,410
	$	196,158,415	$	7,705,480	$	(34,283,710	)	$	201,057	$	(424,446	)	$	169,356,796			$	2,372,992

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

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $47,569,553)	$	48,702,371
Investments in affiliated issuers, at value (cost $168,858,324)		169,356,796
Segregated cash with broker		308,000
Unrealized appreciation on swap agreements		8,451,050
Prepaid expenses		1,210
Receivables:
Dividends		487,154
Interest		9,413
Variation margin on futures contracts		3,438
Total assets		227,319,432
Liabilities:
Overdraft due to custodian bank		1,460,146
Segregated cash due to broker		6,480,000
Payable for:
Securities purchased		464,014
Fund shares redeemed		204,173
Management fees		79,125
Distribution and service fees		48,131
Swap settlement		38,737
Fund accounting/administration fees		15,402
Trustees’ fees*		3,271
Due to advisor		2,658
Transfer agent/maintenance fees		2,304
Miscellaneous (Note 11)		54,062
Total liabilities		8,852,023
Commitments and contingent liabilities (Note 13)		—
Net assets	$	218,467,409
Net assets consist of:
Paid in capital	$	167,638,923
Undistributed net investment income		5,254,092
Accumulated net realized gain on investments		35,663,914
Net unrealized appreciation on investments		9,910,480
Net assets	$	218,467,409
Capital shares outstanding		4,724,729
Net asset value per share	$	46.24

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $575)	$	497,364
Dividends from securities of affiliated issuers		2,372,992
Interest		54,395
Total investment income		2,924,751
Expenses:
Management fees		916,962
Distribution and service fees		305,654
Recoupment of previously waived fees		2,658
Transfer agent/maintenance fees		12,598
Fund accounting/administration fees		97,810
Interest expense		83,466
Custodian fees		9,497
Line of credit fees		5,106
Trustees’ fees*		2,715
Miscellaneous		49,967
Total expenses		1,486,433
Less:
Expenses waived by Adviser		(298,250	)
Net expenses		1,188,183
Net investment income		1,736,568
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,737,131
Investments in affiliated issuers		201,057
Swap agreements		6,089,606
Futures contracts		136,691
Net realized gain		9,164,485
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(3,368,756	)
Investments in affiliated issuers		(424,446	)
Swap agreements		(2,433,124	)
Futures contracts		(184,432	)
Net change in unrealized appreciation (depreciation)		(6,410,758	)
Net realized and unrealized gain		2,753,727
Net increase in net assets resulting from operations	$	4,490,295

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

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

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,736,568		$	3,513,001
Net realized gain on investments		9,164,485			36,947,690
Net change in unrealized appreciation (depreciation) on investments		(6,410,758	)		7,079,795
Net increase in net assets resulting from operations		4,490,295			47,540,486
Distributions to shareholders from:
Net investment income		—			(2,810,139	)
Net realized gains		—			(3,235,435	)
Total distributions to shareholders		—			(6,045,574	)
Capital share transactions:
Proceeds from sale of shares		2,611,960			7,868,127
Distributions reinvested		—			6,045,574
Cost of shares redeemed		(40,429,704	)		(27,318,491	)
Net decrease from capital share transactions		(37,817,744	)		(13,404,790	)
Net increase (decrease) in net assets		(33,327,449	)		28,090,122
Net assets:
Beginning of period		251,794,858			223,704,736
End of period	$	218,467,409		$	251,794,858
Undistributed net investment income at end of period	$	5,254,092		$	3,517,524
Capital share activity:
Shares sold		56,032			189,083
Shares issued from reinvestment of distributions		—			146,205
Shares redeemed		(864,855	)		(657,420	)
Net decrease in shares		(808,823	)		(322,132	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	45.50		$	38.20		$	34.34		$	37.53		$	32.50		$	25.22
Income (loss) from investment operations:
Net investment income (loss)b		.33			.62			.46			.30			.44			.16
Net gain (loss) on investments (realized and unrealized)		.41			7.76			4.09			.36			4.59			7.12
Total from investment operations		.74			8.38			4.55			.66			5.03			7.28
Less distributions from:
Net investment income		—			(.50	)		(.32	)		(.52	)		—			—
Net realized gains		—			(.58	)		(.37	)		(3.33	)		—			—
Total distributions		—			(1.08	)		(.69	)		(3.85	)		—			—
Net asset value, end of period	$	46.24		$	45.50		$	38.20		$	34.34		$	37.53		$	32.50
Total Returnc		1.63	%		22.22	%		13.34	%		1.50	%		15.48	%		28.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	218,467		$	251,795		$	223,705		$	218,880		$	239,075		$	231,194
Ratios to average net assets:
Net investment income (loss)		1.42	%		1.48	%		1.31	%		0.83	%		1.28	%		0.56	%
Total expensesd		1.22	%		1.12	%		0.93	%		0.96	%		0.97	%		0.96	%
Net expensese,f,g		0.98	%		0.91	%		0.93	%		0.96	%		0.95	%		0.96	%
Portfolio turnover rate		25	%		44	%		43	%		66	%		88	%		267	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

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

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.91%	0.90%	N/A	N/A	N/A	N/A

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.00%*	N/A	N/A	N/A	N/A	N/A

* Less than 0.01%.

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.	4.1%
Exxon Mobil Corp.	3.1%
Chevron Corp.	3.0%
Bank of America Corp.	3.0%
Berkshire Hathaway, Inc. — Class B	2.5%
Citigroup, Inc.	2.4%
Intel Corp.	2.4%
Cisco Systems, Inc.	2.1%
Wells Fargo & Co.	2.1%
Merck & Company, Inc.	2.0%
Top Ten Total	26.7%

“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 Month‡	1 Year	5 Year	10 Year
Series B (Large Cap Value Series)	(0.99%)	9.93%	10.58%	8.24%
Russell 1000 Value Index	(1.69%)	6.77%	10.34%	8.49%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 15

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 98.5%
Financial - 30.3%
JPMorgan Chase & Co.		95,515	$	9,952,663
Bank of America Corp.		256,481		7,230,199
Berkshire Hathaway, Inc. — Class B*		32,111		5,993,518
Citigroup, Inc.		86,257		5,772,318
Wells Fargo & Co.		90,492		5,016,877
BB&T Corp.		65,362		3,296,859
Zions Bancorporation		60,137		3,168,619
SunTrust Banks, Inc.		46,386		3,062,404
Allstate Corp.		23,741		2,166,841
Welltower, Inc. REIT		33,237		2,083,627
Piedmont Office Realty Trust, Inc. — Class A REIT		104,367		2,080,034
Charles Schwab Corp.		40,347		2,061,732
Principal Financial Group, Inc.		37,423		1,981,548
Jefferies Financial Group, Inc.		84,080		1,911,979
Liberty Property Trust REIT		41,187		1,825,820
Omega Healthcare Investors, Inc. REIT		58,239		1,805,409
Loews Corp.		36,285		1,751,840
Morgan Stanley		34,665		1,643,121
Assured Guaranty Ltd.		45,312		1,618,998
Unum Group		41,540		1,536,564
Regions Financial Corp.		76,086		1,352,809
KeyCorp		64,668		1,263,613
T. Rowe Price Group, Inc.		10,273		1,192,593
Realogy Holdings Corp.		50,262		1,145,974
American International Group, Inc.		20,706		1,097,832
Equity Commonwealth REIT*		23,702		746,613
Federated Investors, Inc. — Class B		29,308		683,462
Total Financial				73,443,866
Consumer, Non-cyclical - 20.6%
Merck & Company, Inc.		81,134		4,924,834
Pfizer, Inc.		127,456		4,624,104
Johnson & Johnson		32,817		3,982,015
Amgen, Inc.		16,845		3,109,419
Procter & Gamble Co.		39,244		3,063,386
Hormel Foods Corp.		71,296		2,652,924
HCA Healthcare, Inc.		21,438		2,199,539
Tyson Foods, Inc. — Class A		30,226		2,081,060
UnitedHealth Group, Inc.		8,286		2,032,887
Archer-Daniels-Midland Co.		43,946		2,014,045
Quest Diagnostics, Inc.		17,512		1,925,269
Bunge Ltd.		25,800		1,798,518
CVS Health Corp.		26,943		1,733,782
Express Scripts Holding Co.*		22,381		1,728,037
Zimmer Biomet Holdings, Inc.		14,681		1,636,050
United Therapeutics Corp.*		14,302		1,618,271
Humana, Inc.		5,395		1,605,714
DaVita, Inc.*		20,183		1,401,508
AmerisourceBergen Corp. — Class A		14,464		1,233,345
Conagra Brands, Inc.		33,664		1,202,815
Medtronic plc		13,608		1,164,981
Mylan N.V.*		19,130		691,358
Ingredion, Inc.		5,434		601,544
Philip Morris International, Inc.		6,382		515,283
Patterson Companies, Inc.		21,970		498,060
Total Consumer, Non-cyclical				50,038,748
Energy - 12.7%
Exxon Mobil Corp.		90,329		7,472,918
Chevron Corp.		57,407		7,257,967
Kinder Morgan, Inc.		188,943		3,338,623
Marathon Oil Corp.		158,094		3,297,841
Hess Corp.		41,074		2,747,440
Whiting Petroleum Corp.*		38,939		2,052,864
Range Resources Corp.		107,163		1,792,837
Diamondback Energy, Inc.		13,123		1,726,593
Antero Resources Corp.*		56,985		1,216,630
Total Energy				30,903,713
Utilities - 7.2%
Exelon Corp.		72,444		3,086,114
Public Service Enterprise Group, Inc.		56,473		3,057,448
Duke Energy Corp.		32,516		2,571,365
Ameren Corp.		41,280		2,511,888
OGE Energy Corp.		58,117		2,046,300
Edison International		27,657		1,749,858
Pinnacle West Capital Corp.		15,680		1,263,181
SCANA Corp.		31,222		1,202,672
Total Utilities				17,488,826
Industrial - 6.4%
Republic Services, Inc. — Class A		34,123		2,332,648
Corning, Inc.		82,413		2,267,182
WestRock Co.		31,950		1,821,789
Carlisle Companies, Inc.		16,256		1,760,687
Owens Corning		26,430		1,674,869
Eaton Corporation plc		18,940		1,415,576
General Electric Co.		97,873		1,332,052
Jabil, Inc.		43,618		1,206,474
Honeywell International, Inc.		6,020		867,181
Timken Co.		19,855		864,685
Total Industrial				15,543,143
Consumer, Cyclical - 6.4%
Walmart, Inc.		31,959		2,737,288
Southwest Airlines Co.		47,188		2,400,926
PVH Corp.		12,844		1,923,004
Lear Corp.		10,067		1,870,549
JetBlue Airways Corp.*		77,479		1,470,551
Carnival Corp.		23,157		1,327,128
DR Horton, Inc.		32,193		1,319,913
PACCAR, Inc.		20,253		1,254,876
Macy’s, Inc.		17,763		664,869
Goodyear Tire & Rubber Co.		24,587		572,631
Total Consumer, Cyclical				15,541,735
Technology - 5.5%
Intel Corp.		114,952		5,714,264
Apple, Inc.		11,164		2,066,568
Xerox Corp.		72,023		1,728,552

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
VMware, Inc. — Class A*		11,664	$	1,714,258
Oracle Corp.		28,737		1,266,152
QUALCOMM, Inc.		16,170		907,461
Total Technology				13,397,255
Basic Materials - 5.1%
Nucor Corp.		38,756		2,422,250
Reliance Steel & Aluminum Co.		25,241		2,209,597
Steel Dynamics, Inc.		47,307		2,173,757
Cabot Corp.		33,822		2,089,185
DowDuPont, Inc.		29,631		1,953,275
Freeport-McMoRan, Inc.		82,050		1,416,183
Total Basic Materials				12,264,247
Communications - 4.3%
Cisco Systems, Inc.		118,524		5,100,088
Verizon Communications, Inc.		62,050		3,121,735
AT&T, Inc.		65,948		2,117,590
Total Communications				10,339,413
Total Common Stocks
(Cost $188,700,534)				238,960,946
MONEY MARKET FUND† - 1.4%
Dreyfus Treasury Prime Cash Management — Institutional Class 1.68%1		3,513,142		3,513,142
Total Money Market Fund
(Cost $3,513,142)				3,513,142
Total Investments - 99.9%
(Cost $192,213,676)			$	242,474,088
Other Assets & Liabilities, net - 0.1%				163,823
Total Net Assets - 100.0%			$	242,637,911

* 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, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	238,960,946	$	—	$	—	$	238,960,946
Money Market Fund		3,513,142		—		—		3,513,142
Total Assets	$	242,474,088	$	—	$	—	$	242,474,088

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SERIES B (LARGE CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments, at value (cost $192,213,676)	$	242,474,088
Prepaid expenses		2,625
Receivables:
Securities sold		2,697,242
Dividends		186,449
Interest		3,221
Total assets		245,363,625
Liabilities:
Payable for:
Securities purchased		2,407,350
Fund shares redeemed		116,849
Management fees		85,418
Distribution and service fees		51,508
Fund accounting/administration fees		16,483
Transfer agent/maintenance fees		2,605
Trustees’ fees*		1,508
Miscellaneous		43,993
Total liabilities		2,725,714
Commitments and contingent liabilities (Note 13)		—
Net assets	$	242,637,911
Net assets consist of:
Paid in capital	$	161,802,019
Undistributed net investment income		5,065,671
Accumulated net realized gain on investments		25,509,809
Net unrealized appreciation on investments		50,260,412
Net assets	$	242,637,911
Capital shares outstanding		5,651,713
Net asset value per share	$	42.93

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends (net of foreign withholding tax of $878)	$	2,827,780
Interest		14,345
Total investment income		2,842,125
Expenses:
Management fees		837,775
Distribution and service fees		322,221
Transfer agent/maintenance fees		12,796
Fund accounting/administration fees		103,112
Trustees’ fees*		5,172
Custodian fees		4,365
Line of credit fees		5,350
Miscellaneous		43,189
Total expenses		1,333,980
Less:
Expenses waived by Adviser		(305,493	)
Net expenses		1,028,487
Net investment income		1,813,638
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		9,540,640
Net realized gain		9,540,640
Net change in unrealized appreciation (depreciation) on:
Investments		(13,722,573	)
Net change in unrealized appreciation (depreciation)		(13,722,573	)
Net realized and unrealized loss		(4,181,933	)
Net decrease in net assets resulting from operations	$	(2,368,295	)

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

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

SERIES B (LARGE CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,813,638		$	3,059,968
Net realized gain on investments		9,540,640			20,432,360
Net change in unrealized appreciation (depreciation) on investments		(13,722,573	)		14,902,142
Net increase (decrease) in net assets resulting from operations		(2,368,295	)		38,394,470
Distributions to shareholders from:
Net investment income		—			(3,290,010	)
Net realized gains		—			(7,443,276	)
Total distributions to shareholders		—			(10,733,286	)
Capital share transactions:
Proceeds from sale of shares		2,049,336			4,647,149
Distributions reinvested		—			10,733,286
Cost of shares redeemed		(26,301,265	)		(34,475,157	)
Net decrease from capital share transactions		(24,251,929	)		(19,094,722	)
Net increase (decrease) in net assets		(26,620,224	)		8,566,462
Net assets:
Beginning of period		269,258,135			260,691,673
End of period	$	242,637,911		$	269,258,135
Undistributed net investment income at end of period	$	5,065,671		$	3,252,033
Capital share activity:
Shares sold		47,189			115,794
Shares issued from reinvestment of distributions		—			272,488
Shares redeemed		(605,578	)		(849,517	)
Net decrease in shares		(558,389	)		(461,235	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	43.36		$	39.08		$	33.20		$	41.40		$	37.82		$	28.66
Income (loss) from investment operations:
Net investment income (loss)b		.30			.48			.50			.61			.41			.35
Net gain (loss) on investments (realized and unrealized)		(.73	)		5.52			6.48			(2.29	)		3.17			8.81
Total from investment operations		(.43	)		6.00			6.98			(1.68	)		3.58			9.16
Less distributions from:
Net investment income		—			(.53	)		(.61	)		(.47	)		—			—
Net realized gains		—			(1.19	)		(.49	)		(6.05	)		—			—
Total distributions		—			(1.72	)		(1.10	)		(6.52	)		—			—
Net asset value, end of period	$	42.93		$	43.36		$	39.08		$	33.20		$	41.40		$	37.82
Total Returnc		(0.99	%)		15.81	%		21.41	%		(5.08	%)		9.47	%		31.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	242,638		$	269,258		$	260,692		$	233,098		$	275,200		$	283,527
Ratios to average net assets:
Net investment income (loss)		1.41	%		1.17	%		1.44	%		1.63	%		1.04	%		1.05	%
Total expensese		1.03	%		1.02	%		0.82	%		0.84	%		0.83	%		0.83	%
Net expensesd,f		0.80	%		0.81	%		0.82	%		0.84	%		0.83	%		0.83	%
Portfolio turnover rate		9	%		27	%		44	%		38	%		47	%		26	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

^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. Excluding these expenses, the net expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.80%	0.79%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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, 2018, the investment diversification of the Fund by country was as follows:

Country	% of Long Term Investments
United States	54.7%
Canada	6.5%
Japan	6.1%
France	5.2%
Australia	3.7%
United Kingdom	3.0%
Switzerland	2.9%
Other	17.9%
Total Long Term Investments	100.0%

Inception Date: April 19, 1984

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	1.8%
Home Depot, Inc.	1.3%
Mastercard, Inc. — Class A	1.3%
Johnson & Johnson	1.3%
UnitedHealth Group, Inc.	1.3%
Microsoft Corp.	1.2%
Accenture plc — Class A	1.1%
TOTAL S.A.	1.1%
Pfizer, Inc.	1.1%
Alphabet, Inc. — Class C	1.1%
Top Ten Total	12.6%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series D (World Equity Income Series)	0.07%	8.77%	8.58%	4.02%
MSCI World Index	0.43%	11.09%	9.94%	6.26%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 21

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
COMMON STOCKS† - 98.5%
Financial - 27.0%
Mastercard, Inc. — Class A		9,700	$	1,906,244
JPMorgan Chase & Co.		12,400		1,292,080
DNB ASA††		65,600		1,277,361
MetLife, Inc.		26,800		1,168,480
Bank of Montreal		14,900		1,151,760
BNP Paribas S.A.††		18,600		1,150,419
Progressive Corp.		19,100		1,129,765
T. Rowe Price Group, Inc.		9,500		1,102,855
Swiss Re AG††		12,400		1,082,564
Kinnevik AB — Class B††		30,500		1,039,411
Bank Leumi Le-Israel BM		175,500		1,036,219
Nippon Building Fund, Inc. REIT††		170		980,651
Israel Discount Bank Ltd. — Class A††		174,900		976,198
Prudential plc		41,600		952,330
SEI Investments Co.		14,900		931,548
Everest Re Group Ltd.		4,000		921,920
Bank Hapoalim BM		134,600		910,628
Canadian Imperial Bank of Commerce		10,360		901,219
Japan Real Estate Investment Corp. REIT††		170		899,346
Hongkong Land Holdings Ltd.††		122,300		874,314
PNC Financial Services Group, Inc.		6,400		864,640
SmartCentres Real Estate Investment Trust		36,600		849,971
Barclays plc††		328,700		812,426
Aflac, Inc.		18,500		795,870
Unibail-Rodamco-Westfield		3,609		794,578
First Capital Realty, Inc.		50,000		785,773
United Urban Investment Corp. REIT††		500		776,991
Assurant, Inc.		7,387		764,481
RioCan Real Estate Investment Trust		40,500		743,993
Cboe Global Markets, Inc.		6,700		697,269
H&R Real Estate Investment Trust		44,700		684,120
Public Storage REIT		3,000		680,580
Allianz AG††		3,300		679,910
Power Financial Corp.		24,000		561,375
ING Groep N.V.††		31,700		454,991
Societe Generale S.A.††		10,500		441,268
Visa, Inc. — Class A		3,200		423,840
IGM Financial, Inc.		14,200		411,646
New York Community Bancorp, Inc.		35,000		386,400
Lloyds Banking Group plc		458,200		381,294
Henderson Land Development Company Ltd.††		71,916		379,231
ASX Ltd.††		7,900		376,620
Great-West Lifeco, Inc.		14,300		351,564
Arthur J Gallagher & Co.		5,300		345,984
Wells Fargo & Co.		6,200		343,728
BB&T Corp.		6,600		332,904
CI Financial Corp.		17,000		305,569
United Overseas Bank Ltd.††		15,200		297,899
Assicurazioni Generali SpA††		17,700		295,877
People’s United Financial, Inc.		15,900		287,631
Comerica, Inc.		3,100		281,852
U.S. Bancorp		5,577		278,961
CME Group, Inc. — Class A		1,700		278,664
BlackRock, Inc. — Class A		500		249,520
SVB Financial Group*		800		231,008
Total Financial				39,313,740
Consumer, Cyclical - 14.8%
Home Depot, Inc.		10,000		1,951,000
L Brands, Inc.		37,200		1,371,936
Target Corp.		17,400		1,324,488
TJX Companies, Inc.		13,468		1,281,884
Ford Motor Co.		114,900		1,271,943
LVMH Moet Hennessy Louis Vuitton SE††		3,634		1,206,432
Las Vegas Sands Corp.		15,600		1,191,216
WW Grainger, Inc.		3,700		1,141,080
Cie Generale des Etablissements Michelin — Class B††		9,200		1,112,883
Bandai Namco Holdings, Inc.††		26,400		1,087,505
Kohl’s Corp.		14,900		1,086,210
Macy’s, Inc.		29,000		1,085,470
Fastenal Co.		19,500		938,535
Iida Group Holdings Company Ltd.††		47,700		918,340
Carnival plc††		14,800		845,753
Crown Resorts Ltd.††		76,200		760,401
Domino’s Pizza, Inc.		2,000		564,340
Polaris Industries, Inc.		4,400		537,592
Darden Restaurants, Inc.		4,600		492,476
Harvey Norman Holdings Ltd.††		191,900		471,502
Ferguson plc		4,736		384,421
McDonald’s Corp.		1,800		282,042
Hugo Boss AG††		2,600		235,767
Total Consumer, Cyclical				21,543,216
Consumer, Non-cyclical - 14.0%
Johnson & Johnson		15,600		1,892,904
UnitedHealth Group, Inc.		7,600		1,864,584
Pfizer, Inc.		42,700		1,549,156
Roche Holding AG††		6,700		1,486,360
AbbVie, Inc.		14,800		1,371,220
Koninklijke Ahold Delhaize N.V.††		37,400		892,929
Swedish Match AB††		17,500		864,928
ABIOMED, Inc.*		2,000		818,100
Wesfarmers Ltd.††		21,300		777,250
Western Union Co.		37,300		758,309
Danone S.A.††		10,300		751,951
Automatic Data Processing, Inc.		5,500		737,770
Coca-Cola Amatil Ltd.††		106,900		727,183
Dairy Farm International Holdings Ltd.		80,000		703,200
George Weston Ltd.		8,300		677,193
Taisho Pharmaceutical Holdings Company Ltd.††		5,300		620,040
Gilead Sciences, Inc.		8,400		595,056
Cochlear Ltd.††		4,000		592,277
Moody’s Corp.		3,000		511,680
Shionogi & Company Ltd.††		8,800		451,583
Robert Half International, Inc.		6,600		429,660
Otsuka Holdings Company Ltd.††		8,800		425,699
Marine Harvest ASA††		17,700		351,907

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
MEIJI Holdings Company Ltd.††		4,000	$	337,832
Amgen, Inc.		1,598		294,975
Total Consumer, Non-cyclical				20,483,746
Technology - 13.6%
Apple, Inc.		14,100		2,610,051
Microsoft Corp.		17,100		1,686,231
Accenture plc — Class A		10,100		1,652,259
NVIDIA Corp.		6,500		1,539,850
International Business Machines Corp.		11,000		1,536,700
Texas Instruments, Inc.		13,700		1,510,425
Western Digital Corp.		15,900		1,230,819
Paychex, Inc.		15,800		1,079,930
CA, Inc.		26,700		951,855
Intel Corp.		19,000		944,490
Intuit, Inc.		4,301		878,716
Splunk, Inc.*		7,300		723,503
Xilinx, Inc.		10,600		691,756
Broadridge Financial Solutions, Inc.		4,900		563,990
Lam Research Corp.		2,800		483,980
Canon, Inc.††		11,800		386,957
Jack Henry & Associates, Inc.		2,900		378,044
Cognizant Technology Solutions Corp. — Class A		3,500		276,465
Red Hat, Inc.*		2,000		268,740
Veeva Systems, Inc. — Class A*		2,500		192,150
ServiceNow, Inc.*		1,000		172,470
Total Technology				19,759,381
Industrial - 8.9%
TE Connectivity Ltd.		14,100		1,269,846
Vinci S.A.††		12,700		1,218,961
Lockheed Martin Corp.		3,728		1,101,363
Cummins, Inc.		8,000		1,064,000
SKF AB — Class B††		52,100		964,544
United Parcel Service, Inc. — Class B		8,200		871,086
Pentair plc		18,800		791,104
Trinity Industries, Inc.††		461,800		777,930
Emerson Electric Co.		11,100		767,454
Avnet, Inc.		17,100		733,419
BHP Billiton Ltd.††		24,692		617,917
3M Co.		2,900		570,488
Raytheon Co.		2,900		560,222
Makita Corp.††		12,400		554,715
CH Robinson Worldwide, Inc.		4,971		415,874
Hexagon AB — Class B††		6,389		355,038
CRH plc		8,000		282,445
Total Industrial				12,916,406
Energy - 6.9%
Total S.A.††		26,700		1,621,210
Neste Oyj††		16,600		1,298,630
Valero Energy Corp.		10,600		1,174,798
Woodside Petroleum Ltd.††		37,200		974,997
Exxon Mobil Corp.		11,000		910,030
Targa Resources Corp.		16,800		831,432
Plains GP Holdings, LP — Class A*		31,100		743,601
Koninklijke Vopak N.V.††		14,100		649,829
HollyFrontier Corp.		7,800		533,754
Hess Corp.		7,000		468,230
TransCanada Corp.		8,000		346,135
Phillips 66		2,800		314,468
Marathon Petroleum Corp.		3,000		210,480
Total Energy				10,077,594
Communications - 5.1%
Alphabet, Inc. — Class C*		1,381		1,540,713
Amazon.com, Inc.*		800		1,359,840
BCE, Inc.		20,100		814,012
F5 Networks, Inc.*		4,500		776,025
TELUS Corp.		21,100		749,542
Nokia Oyj††		100,000		573,528
Facebook, Inc. — Class A*		2,935		570,329
Arista Networks, Inc.*		2,000		514,980
Palo Alto Networks, Inc.*		1,500		308,205
Elisa Oyj††		6,000		277,155
Total Communications				7,484,329
Utilities - 4.6%
Dominion Energy, Inc.		20,500		1,397,690
CLP Holdings Ltd.††		120,638		1,299,432
Duke Energy Corp.		14,800		1,170,384
Hong Kong & China Gas Company Ltd.††		522,830		999,402
PPL Corp.		33,200		947,860
Tokyo Gas Company Ltd.††		20,000		531,070
FirstEnergy Corp.		12,400		445,284
Total Utilities				6,791,122
Basic Materials - 3.2%
Umicore S.A.††		22,600		1,290,042
Stora Enso Oyj — Class R††		64,400		1,254,508
LyondellBasell Industries N.V. — Class A		10,300		1,131,455
Anglo American plc††		26,700		592,733
Eastman Chemical Co.		3,500		349,860
Total Basic Materials				4,618,598
Diversified - 0.4%
Jardine Matheson Holdings Ltd.††		10,100		636,434
Total Common Stocks
(Cost $136,424,635)				143,624,566
MONEY MARKET FUND† - 1.0%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Class 1.72%1		1,385,575		1,385,575
Total Money Market Fund
(Cost $1,385,575)				1,385,575
Total Investments - 99.5%
(Cost $137,810,210)			$	145,010,141
Other Assets & Liabilities, net - 0.5%				690,662
Total Net Assets - 100.0%			$	145,700,803

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES D (WORLD EQUITY INCOME SERIES)

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Currency Futures Contracts Sold Short†
Euro FX Futures Contracts		113		Sep 2018	$	16,588,400	$	164,972
Canadian Dollar Futures Contracts		124		Sep 2018		9,443,840		126,170
British Pound Futures Contracts		54		Sep 2018		4,469,513		59,936
Australian Dollar Futures Contracts		70		Sep 2018		5,182,100		(15,031	)
					$	35,683,853	$	336,047

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Rate indicated is the 7 day yield as of June 30, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	99,035,535	$	44,589,031	$	—	$	143,624,566
Money Market Fund		1,385,575		—		—		1,385,575
Currency Futures Contracts*		351,078		—		—		351,078
Total Assets	$	100,772,188	$	44,589,031	$	—	$	145,361,219
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Currency Futures Contracts*	$	15,031	$	—	$	—	$	15,031

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

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

For the period ended June 30, 2018, the Fund had securities with a total value of $27,339,833 transfer out of Level 1 into Level 2 due to utilizing fair value pricing for certain foreign equity securities at period end.

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

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments, at value (cost $137,810,210)	$	145,010,141
Foreign currency, at value (cost $56,866)		56,990
Segregated cash with broker		597,000
Prepaid expenses		2,397
Receivables:
Foreign tax reclaims		459,714
Dividends		125,576
Foreign Currency		21,261
Fund shares sold		3,553
Interest		2,095
Total assets		146,278,727
Liabilities:
Payable for:
Variation margin on futures contracts		339,301
Management fees		58,305
Fund shares redeemed		53,882
Direct shareholders expense		32,147
Distribution and service fees		31,437
Fund accounting/administration fees		10,060
Transfer agent/maintenance fees		2,624
Trustees’ fees*		323
Miscellaneous		49,845
Total liabilities		577,924
Commitments and contingent liabilities (Note 13)		—
Net assets	$	145,700,803
Net assets consist of:
Paid in capital	$	125,455,109
Undistributed net investment income		6,125,099
Accumulated net realized gain on investments		6,580,359
Net unrealized appreciation on investments		7,540,236
Net assets	$	145,700,803
Capital shares outstanding		10,030,962
Net asset value per share	$	14.53

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends (net of foreign withholding tax of $220,568)	$	2,640,978
Interest		8,431
Total investment income		2,649,409
Expenses:
Management fees		550,479
Distribution and service fees		196,599
Transfer agent/maintenance fees		12,710
Fund accounting/administration fees		62,912
Custodian fees		14,361
Trustees’ fees*		5,109
Line of credit fees		2,759
Miscellaneous		55,493
Total expenses		900,422
Less:
Expenses waived by Adviser		(196,688	)
Net expenses		703,734
Net investment income		1,945,675
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		7,065,732
Futures contracts		(261,668	)
Foreign currency transactions		(19,160	)
Net realized gain		6,784,904
Net change in unrealized appreciation (depreciation) on:
Investments		(8,741,063	)
Futures contracts		336,047
Foreign currency translations		(6,981	)
Net change in unrealized appreciation (depreciation)		(8,411,997	)
Net realized and unrealized loss		(1,627,093	)
Net increase in net assets resulting from operations	$	318,582

* 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 | 25

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,945,675		$	3,809,763
Net realized gain on investments		6,784,904			11,398,423
Net change in unrealized appreciation (depreciation) on investments		(8,411,997	)		7,230,039
Net increase in net assets resulting from operations		318,582			22,438,225
Distributions to shareholders from:
Net investment income		—			(4,436,814	)
Total distributions to shareholders		—			(4,436,814	)
Capital share transactions:
Proceeds from sale of shares		1,908,936			3,125,858
Distributions reinvested		—			4,436,814
Cost of shares redeemed		(17,638,212	)		(24,431,034	)
Net decrease from capital share transactions		(15,729,276	)		(16,868,362	)
Net increase (decrease) in net assets		(15,410,694	)		1,133,049
Net assets:
Beginning of period		161,111,497			159,978,448
End of period	$	145,700,803		$	161,111,497
Undistributed net investment income at end of period	$	6,125,099		$	4,179,424
Capital share activity:
Shares sold		128,429			228,681
Shares issued from reinvestment of distributions		—			328,167
Shares redeemed		(1,193,299	)		(1,783,834	)
Net decrease in shares		(1,064,870	)		(1,226,986	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	14.52		$	12.98		$	12.12		$	12.60		$	12.00		$	10.06
Income (loss) from investment operations:
Net investment income (loss)b		.18			.33			.37			.36			.37			.28
Net gain (loss) on investments (realized and unrealized)		(.17	)		1.60			.88			(.43	)		.23			1.66
Total from investment operations		.01			1.93			1.25			(.07	)		.60			1.94
Less distributions from:
Net investment income		—			(.39	)		(.39	)		(.41	)		(—	)c		—
Total distributions		—			(.39	)		(.39	)		(.41	)		(—	)c		—
Net asset value, end of period	$	14.53		$	14.52		$	12.98		$	12.12		$	12.60		$	12.00
Total Returnd		0.07	%		15.06	%		10.37	%		(0.67	%)		5.00	%		19.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	145,701		$	161,111		$	159,978		$	158,063		$	178,548		$	193,594
Ratios to average net assets:
Net investment income (loss)		2.47	%		2.38	%		2.92	%		2.88	%		2.95	%		2.50	%
Total expensesf		1.14	%		1.12	%		0.91	%		0.96	%		1.01	%		1.14	%
Net expensese,g		0.90	%		0.90	%		0.91	%		0.96	%		1.01	%		1.14	%
Portfolio turnover rate		57	%		112	%		43	%		110	%		132	%		150	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

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

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.90%	0.88%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.

Inception Date: April 26, 1985

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Bond, 11/15/46	7.8%
Guggenheim Total Return Bond Fund - Institutional Class	4.8%
Guggenheim Limited Duration Fund - Institutional Class	2.4%
Guggenheim Strategy Fund I	2.1%
Government of Japan	1.7%
Ladder Capital Commercial Mortgage 2017-FL1 Mortgage Trust, 2.95%	1.3%
U.S. Treasury Bond, 11/15/44	1.2%
Willis Engine Securitization Trust II, 5.50%	1.2%
Fortress Credit Opportunities IX CLO Ltd., 3.89%	1.1%
Fannie Mae, 3.16%	1.0%
Top Ten Total	24.6%

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

28 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) June 30, 2018

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series E (Total Return Bond Series)	0.49%	3.19%	5.11%	4.14%
Bloomberg Barclays U.S. Aggregate Bond Index	(1.62%)	(0.40%)	2.27%	3.72%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	77.0%
AA	2.5%
A	4.2%
BBB	1.3%
BB	0.4%
B	2.2%
CC	0.3%
NR2	0.2%
Other Instruments	11.9%
Total Investments	100.0%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

¹ Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poors (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

² NR securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 29

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

	Shares		Value
UNIT INVESTMENT TRUSTS† - 0.0%
Financial - 0.0%
Rescap Liquidating Trust*		9,655	$	60,344
Total Unit Investment Trusts
(Cost $487,486)				60,344
PREFERRED STOCKS†† - 0.9%
Financial - 0.8%
Woodbourne Capital Trust III, 3.91% (1 month USD LIBOR + 2.50%)*,†††,1,2,3		300,000		234,747
Woodbourne Capital Trust IV, 3.91% (1 month USD LIBOR + 2.50%) *,†††,1,2,3		300,000		234,747
Woodbourne Capital Trust I, 3.90% (1 month USD LIBOR +2.50%)*,†††,1,2,3		300,000		234,747
Woodbourne Capital Trust II, 3.90% (1 month USD LIBOR + 2.50%) *,†††,1,2,3		300,000		234,747
Total Financial				938,988
Industrial - 0.1%
Seaspan Corp., 6.38% due 04/30/19		7,060		180,171
Total Preferred Stocks
(Cost $1,382,296)				1,119,159
MUTUAL FUNDS† - 9.5%
Guggenheim Total Return Bond Fund - Institutional Class4		213,558		5,744,699
Guggenheim Limited Duration Fund - Institutional Class4		118,796		2,933,083
Guggenheim Strategy Fund I4		98,304		2,461,542
Guggenheim Floating Rate Strategies Fund - Institutional Class4		7,971		205,418
Total Mutual Funds
(Cost $11,218,399)				11,344,742
MONEY MARKET FUND† - 1.1%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 1.68%5		1,342,539		1,342,539
Total Money Market Fund
(Cost $1,342,539)				1,342,539

	Face Amount~
ASSET-BACKED SECURITIES†† - 33.0%
Collateralized Loan Obligations - 21.0%
KVK CLO Ltd.
2018-1A, 3.26% (3 Month USD LIBOR + 0.93%) due 05/20/291,6		1,000,000	999,935
2017-1A, 4.14% (3 Month USD LIBOR + 1.80%) due 05/15/261,6		1,000,000	999,850
2013-1A, due 01/15/286,7		900,000	426,559
Ladder Capital Commercial Mortgage 2017-FL1 Mortgage Trust
2017-FL1, 2.95% (1 Month USD LIBOR + 0.88%) due 09/15/341,6		1,500,000	1,495,249
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 3.89% (3 Month USD LIBOR + 1.55%) due 11/15/291,6		1,300,000	1,300,111
Northwoods Capital XIV Ltd.
2017-14A, 4.06% (3 Month USD LIBOR + 1.70%) due 11/12/251,6		1,250,000	1,250,267
Golub Capital Partners CLO 36m Ltd.
2018-36A, 3.39% (3 Month USD LIBOR + 1.30%) due 02/05/311,6		1,200,000	1,200,115
OCP CLO Ltd.
2016-2A, 5.18% (3 Month USD LIBOR + 2.85%) due 11/22/251,6		1,000,000	1,004,762
NXT Capital CLO LLC
2017-1A, 4.06% (3 Month USD LIBOR + 1.70%) due 04/20/291,6		1,000,000	1,002,486
Marathon CLO VII Ltd.
2017-7A, 4.01% (3 Month USD LIBOR + 1.65%) due 10/28/251,6		1,000,000	1,001,408
York CLO 1 Ltd.
2017-1A, 4.06% (3 Month USD LIBOR + 1.70%) due 01/22/271,6		1,000,000	1,001,067
Vibrant CLO II Ltd.
2017-2A, 3.81% (3 Month USD LIBOR + 1.45%) due 07/24/241,6		1,000,000	1,000,274
FDF II Ltd.
2016-2A, 4.29% due 05/12/316		1,000,000	1,000,108
CIFC Funding Ltd.
2017-3A, 3.31% (3 Month USD LIBOR + 0.95%) due 07/22/261,6		1,000,000	1,000,030
Flagship CLO VIII Ltd.
2018-8A, 3.74% (3 Month USD LIBOR + 1.40%) due 01/16/261,6		1,000,000	1,000,000
OZLM IX Ltd.
2017-9A, 4.01% (3 Month USD LIBOR + 1.65%) due 01/20/271,6		1,000,000	999,829
BSPRT Issuer Ltd.
2017-FL2, 2.89% (1 Month USD LIBOR + 0.82%) due 10/15/341,6		1,000,000	999,641
MP CLO VIII Ltd.
2018-2A, 3.27% (3 Month USD LIBOR + 0.91%) due 10/28/271,6		1,000,000	998,273
Cerberus Loan Funding XXIII, LP
2018-2A, 3.28% (3 Month USD LIBOR + 1.00%) due 04/15/281,6		1,000,000	998,017
Hunt CRE Ltd.
2017-FL1, 3.07% (1 Month USD LIBOR + 1.00%) due 08/15/341,6		1,000,000	995,205
Venture XII CLO Ltd.
2018-12A, 3.52% (3 Month USD LIBOR + 1.20%) due 02/28/261,6		1,000,000	993,959
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/316,7		1,000,000	948,285

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Resource Capital Corporation Ltd.
2017-CRE5, 2.87% (1 Month USD LIBOR + 0.80%) due 07/15/341,6		847,541	$	847,540
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 3.65% (3 Month USD LIBOR + 1.30%) due 04/15/311,6		750,000		747,934
Treman Park CLO Ltd.
2015-1A, due 04/20/276,7		500,000		429,918
ACIS CLO Ltd.
2013-1A, 5.31% (3 Month USD LIBOR + 2.95%) due 04/18/241,6		400,000		400,063
Copper River CLO Ltd.
2007-1A, due 01/20/213,7		600,000		71,977
Babson CLO Ltd.
2012-2A, due 05/15/236,7		750,000		30,245
Keuka Park CLO Ltd.
2013-1A, due 10/21/246,7		250,000		8,315
Total Collateralized Loan Obligations				25,151,422
Transport-Aircraft - 6.3%
Castlelake Aircraft Securitization Trust
2017-1, 3.97% due 07/15/42		917,062		910,120
2015-1A, 4.70% due 12/15/406		594,156		599,830
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/376		1,433,825		1,409,549
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/386		830,390		835,164
2013-1, 6.35% due 10/15/386		166,078		168,421
Apollo Aviation Securitization Equity Trust
2016-1A, 4.88% due 03/17/366		730,593		745,977
Raspro Trust
2005-1A, 2.98% (3 Month USD LIBOR + 0.63%) due 03/23/241,6		746,067		723,394
Rise Ltd.
2014-1A, 4.75% due 02/12/39		644,575		639,406
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/406		633,786		638,035
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/426		455,550		456,312
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/483		486,007		455,957
Total Transport-Aircraft				7,582,165
Whole Business - 2.0%
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/466		985,000		1,016,983
Jimmy Johns Funding LLC
2017-1A, 3.61% due 07/30/476		818,632		813,262
Domino’s Pizza Master Issuer LLC
2017-1A, 3.61% (3 Month USD LIBOR + 1.25%) due 07/25/471,6		496,250		497,322
Total Whole Business				2,327,567
Collateralized Debt Obligations - 1.4%
Anchorage Credit Funding Ltd.
2016-4A, 3.50% due 02/15/356		1,000,000		957,881
Putnam Structured Product Funding Ltd.
2003-1A, 3.07% (1 Month USD LIBOR + 1.00%) due 10/15/381,6		502,052		496,536
N-Star REL CDO VIII Ltd.
2006-8A, 2.45% (1 Month USD LIBOR + 0.36%) due 02/01/411,6		265,968		264,490
Total Collateralized Debt Obligations				1,718,907
Net Lease - 1.0%
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/466		1,212,816		1,164,303
Transport-Container - 0.8%
Textainer Marine Containers Ltd.
2017-2A, 3.52% due 06/20/426		1,013,230		990,444
Insurance - 0.4%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/346		464,250		467,835
Diversified Payment Rights 0.1%
CIC Receivables Master Trust
REGD, 4.89% due 10/07/21		133,375		135,776
Total Asset-Backed Securities
(Cost $39,974,817)				39,538,419
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 30.1%
Residential Mortgage Backed Securities - 13.6%
American Home Mortgage Investment Trust
2006-1, 2.49% (1 Month USD LIBOR + 0.40%) due 03/25/461		853,296		829,568
2007-1, 2.08% due 05/25/478		2,842,253		430,450
Home Equity Loan Trust
2007-FRE1, 2.28% (1 Month USD LIBOR + 0.19%) due 04/25/371		1,264,870		1,188,632
Saxon Asset Securities Trust
2007-3, 2.40% (1 Month USD LIBOR + 0.31%) due 09/25/471		1,192,817		1,169,264
Soundview Home Loan Trust
2006-OPT5, 2.23% (1 Month USD LIBOR + 0.14%) due 07/25/361		1,156,149		1,120,596
GSAA Trust
2005-10, 2.74% (1 Month USD LIBOR + 0.65%) due 06/25/351		1,050,000		1,040,487
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 2.21% (1 Month USD LIBOR + 0.12%) due 12/25/361		1,681,415		1,033,786
IndyMac INDX Mortgage Loan Trust
2006-AR6, 2.48% (1 Year CMT Rate + 0.92%) due 06/25/461		1,046,383		978,984
NovaStar Mortgage Funding Trust Series
2007-2, 2.29% (1 Month USD LIBOR + 0.20%) due 09/25/371		987,160		955,076
CIM Trust
2018-R2, 3.69% (WAC) due 08/25/571,6		942,985		939,110
Towd Point Mortgage Trust
2018-1, 3.00% (WAC) due 01/25/581,6		939,149		924,708

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
CSMC Series
2015-12R, 2.46% (1 Month USD LIBOR + 0.50%) due 11/30/371,6		904,420	$	901,392
American Home Mortgage Assets Trust
2007-1, 2.26% (1 Year CMT Rate + 0.70%) due 02/25/471		1,349,680		877,260
Luminent Mortgage Trust
2006-2, 2.29% (1 Month USD LIBOR + 0.20%) due 02/25/461		924,523		843,112
CIT Mortgage Loan Trust
2007-1, 3.54% (1 Month USD LIBOR + 1.45%) due 10/25/371,6		575,433		579,337
2007-1, 3.44% (1 Month USD LIBOR + 1.35%) due 10/25/371,6		227,837		229,756
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE2A, 2.22% (1 Month USD LIBOR + 0.13%) due 07/25/371,6		814,708		768,411
HarborView Mortgage Loan Trust
2006-14, 2.23% (1 Month USD LIBOR + 0.15%) due 01/25/471		684,191		650,222
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 2.40% (1 Year CMT Rate + 0.84%) due 11/25/461		427,037		371,639
VOLT XL LLC
2015-NP14, 4.38% due 11/27/456		169,857		171,191
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		155,961		164,651
Morgan Stanley Re-REMIC Trust
2010-R5, 3.63% due 06/26/366		104,762		92,217
Total Residential Mortgage Backed Securities				16,259,849
Government Agency - 12.2%
Fannie Mae 11
3.16% due 01/01/30		1,300,000		1,252,325
3.00% due 12/01/29		1,250,000		1,184,878
2.94% due 10/01/32		1,186,152		1,119,579
3.33% due 04/01/30		995,152		977,049
3.01% due 12/01/27		1,000,000		963,461
3.11% due 10/01/29		500,000		476,699
3.08% due 10/01/32		500,000		472,007
2.99% due 09/01/29		500,000		471,875
2.96% due 11/01/29		500,000		470,765
2.86% due 09/01/29		500,000		470,041
2.90% due 11/01/29		500,000		467,691
Freddie Mac Multifamily Structured Pass Through Certificates 11
2017-KGX1, 3.00% due 10/25/27		1,200,000		1,152,716
2017-KW03, 3.02% due 06/25/27		1,050,000		1,013,937
2018-K074, 3.60% due 02/25/28		1,000,000		1,006,301
Freddie Mac Seasoned Credit Risk Transfer Trust11
2017-4, 2.50% due 06/25/57		1,206,642		1,175,460
2017-3, 3.00% due 07/25/56		1,142,864		1,098,253
Fannie Mae-Aces11
2017-M11, 2.98% due 08/25/29		900,000		851,189
Total Government Agency				14,624,226
Commercial Mortgage Backed Securities - 2.3%
Citigroup Commercial Mortgage Trust
2017-P7, 1.29% (WAC) due 04/14/508		5,978,194		449,131
2016-GC37, 1.96% (WAC) due 04/10/498		3,797,060		400,803
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.49% (WAC) due 01/15/598		5,240,341		390,481
2016-NXS5, 1.70% (WAC) due 01/15/598		4,893,192		374,851
BANK
2017-BNK4, 1.61% (WAC) due 05/15/508		4,954,069		447,261
COMM Mortgage Trust
2015-CR26, 1.18% (WAC) due 10/10/488		6,857,671		377,913
CFCRE Commercial Mortgage Trust
2016-C3, 1.22% (WAC) due 01/10/488		5,875,276		372,868
Total Commercial Mortgage Backed Securities				2,813,308
Military Housing - 2.0%
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/526		965,912		1,049,667
2003-PRES, 6.24% due 10/10/416		228,294		245,622
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 12.43% (WAC) due 11/25/551,6		972,137		1,051,088
Total Military Housing				2,346,377
Total Collateralized Mortgage Obligations
(Cost $36,203,819)				36,043,760
U.S. GOVERNMENT SECURITIES†† - 9.0%
U.S. Treasury Bonds
due 11/15/469		21,703,000		9,348,021
due 11/15/449		3,115,500		1,428,354
Total U.S. Treasury Bonds				10,776,375
Total U.S. Government Securities
(Cost $10,782,080)				10,776,375
CORPORATE BONDS†† - 4.9%
Financial - 3.7%
Station Place Securitization Trust Series
3.09% (1 Month USD LIBOR + 1.00%) due 03/24/191,6		1,000,000		1,000,000
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/503		933,548		858,253
BBC Military Housing-Navy Northeast LLC
6.30% due 10/15/49†††		485,000		517,408
Citigroup, Inc.
6.25% 2,10		418,000		433,675
Pacific Northwest Communities LLC
5.91% due 06/15/503		400,000		420,174
Assurant, Inc.
3.59% (3 Month USD LIBOR + 1.25%) due 03/26/211		350,000		350,880

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

		Face Amount~		Value
American Equity Investment Life Holding Co.
5.00% due 06/15/27			354,000	$	345,488
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/506			327,679		327,581
Hospitality Properties Trust
5.25% due 02/15/26			189,000		191,773
Total Financial					4,445,232
Consumer, Cyclical - 0.6%
Northern Group Housing LLC
6.80% due 08/15/536			600,000		749,020
Basic Materials - 0.5%
Yamana Gold, Inc.
4.95% due 07/15/24			483,000		482,474
BHP Billiton Finance USA Ltd.
6.75% due 10/19/756,10			100,000		108,450
Total Basic Materials					590,924
Industrial - 0.1%
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Luxembourg
5.85% (3 Month USD LIBOR + 3.50%) due 07/15/211,6			100,000		100,930
Total Corporate Bonds
(Cost $5,746,332)					5,886,106
FEDERAL AGENCY BONDS†† - 4.8%
Fannie Mae Principal Strips11
due 05/15/309			1,350,000		900,411
due 05/15/299			1,250,000		864,498
due 01/15/309			600,000		404,760
Total Fannie Mae Principal Strips					2,169,669
Freddie Mac Strips Principal Strips11
due 03/15/319			1,500,000		969,984
due 07/15/329			800,000		494,186
Total Freddie Mac Principal Strips					1,464,170
Freddie Mac11
due 12/14/299			1,600,000		1,082,714
Tennessee Valley Authority
5.38% due 04/01/56			750,000		1,009,646
Total Federal Agency Bonds
(Cost $5,843,878)					5,726,199
FOREIGN GOVERNMENT DEBT†† - 2.9%
Government of Japan
due 07/09/189	JPY		224,000,000		2,023,339
due 09/03/189	JPY		32,000,000		289,106
due 07/20/189	JPY		10,800,000		97,557
Total Government of Japan					2,410,002
State of Israel
due 10/31/189	ILS		2,760,000		757,920
Hungary (Republic Of)
due 07/25/189	HUF		81,000,000		287,179
Total Foreign Government Debt
(Cost $3,554,792)					3,455,101
SENIOR FLOATING RATE INTERESTS††,1 - 2.0%
Technology - 0.7%
Misys Ltd.
5.81% (3 Month USD LIBOR + 3.50%) due 06/13/24			496,250		487,015
Blackhawk Network
5.07% (3 Month USD LIBOR + 3.00%) due 06/15/25			200,000		199,250
Epicor Software
5.35% (1 Month USD LIBOR + 3.25%) due 06/01/22			176,551		175,889
Total Technology					862,154
Industrial - 0.6%
Capstone Logistics
6.59% (1 Month USD LIBOR + 4.50%) due 10/07/21			669,650		662,451
Communications - 0.5%
Cengage Learning Acquisitions, Inc.
6.34% (1 Month USD LIBOR + 4.25%) due 06/07/23			683,862		626,589
Consumer, Non-cyclical - 0.1%
DJO Finance LLC
5.45% (3 Month USD LIBOR + 3.25%) due 06/08/20			98,481		97,927
Financial - 0.1%
American Stock Transfer & Trust
8.50% (3 Month USD LIBOR + 4.50%) due 06/26/20			93,169		93,285
Total Senior Floating Rate Interests
(Cost $2,411,976)					2,342,406
MUNICIPAL BONDS†† - 0.9%
California - 0.5%
Cypress School District General Obligation Unlimited
due 08/01/489			1,000,000		264,970
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/469			700,000		228,963
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/379			400,000		188,152
Total California					682,085

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Illinois - 0.4%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		400,000	$	437,000
Total Municipal Bonds
(Cost $1,102,009)				1,119,085

	Contracts
OTC OPTIONS PURCHASED†† - 0.0%
Call options on:
Bank of America Merrill Lynch iShares MSCI Emerging Markets ETF Expiring January 2019 with strike price of $55.00 (Notional Value $3,306,079)		763		5,341
Bank of America Merrill Lynch S&P 500 Index Expiring January 2019 with strike price of $3,000.00 (Notional Value $4,621,229)		17		17,765
Total OTC Options Purchased
(Cost $214,107)				23,106
Total Investments - 99.1%
(Cost $120,264,530)			$	118,777,341
Other Assets & Liabilities, net - 0.9%				1,100,420
Total Net Assets - 100.0%			$	119,877,761

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate	Payment Frequency	Maturity Date	Notional Amount		Market Value		Premiums Paid		Unrealized Appreciation**
BofA Merrill Lynch	CME	Receive	3-Month USD-LIBOR	2.82%	Quarterly	04/13/28	$	12,110,000	$	146,288	$	52,654	$	93,634
BofA Merrill Lynch	CME	Receive	3-Month USD-LIBOR	2.59%	Quarterly	11/13/47		700,000		55,334		305		55,029
BofA Merrill Lynch	CME	Receive	3-Month USD-LIBOR	2.77%	Quarterly	04/13/25		5,100,000		46,819		8,950		37,869
BofA Merrill Lynch	CME	Receive	3-Month USD-LIBOR	2.69%	Quarterly	04/13/21		9,490,000		41,661		2,067		39,594
BofA Merrill Lynch	CME	Receive	3-Month USD-LIBOR	2.73%	Quarterly	04/13/23		4,400,000		32,825		5,402		27,423
									$	322,927	$	69,378	$	253,549

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell	Currency	Settlement Date	Settlement Value		Value at June 30, 2018		Net Unrealized Appreciation
Goldman Sachs	224,000,000	JPY	07/09/18	$	2,095,985	$	2,024,143	$	71,842
Goldman Sachs	570,000	EUR	09/14/18		701,275		669,501		31,774
Citigroup	1,708,500	ILS	10/31/18		487,822		471,707		16,115
Morgan Stanley	81,000,000	HUF	07/25/18		300,729		287,791		12,938
Goldman Sachs	1,065,300	ILS	10/31/18		302,870		294,123		8,747
Morgan Stanley	32,000,000	JPY	09/04/18		292,753		290,342		2,411
Goldman Sachs	10,800,000	JPY	07/20/18		99,310		97,667		1,643
								$	145,470

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††

Counterparty	Contracts to Buy	Currency	Settlement Date	Settlement Value		Value at June 30, 2018		Net Unrealized Depreciation
Goldman Sachs	570,000	EUR	09/14/18	$	669,667	$	669,500	$	(167	)

^~ The face amount is denominated in U.S. dollars unless otherwise indicated.

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.

^††† Value determined based on Level 3 inputs — See Note 4.

¹ Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

² Perpetual maturity.

³ Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $2,745,349 (cost $3,699,006), or 2.3% of total net assets — See Note 9.

⁴ Affiliated issuer.

⁵ Rate indicated is the 7 day yield as of June 30, 2018.

⁶ Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $46,563,665 (cost $46,086,638), or 38.8% of total net assets.

⁷ Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

⁸ Security is an interest-only strip. Rate indicated is effective yield at June 30, 2018.

⁹ Zero coupon rate security.

¹⁰ Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

¹¹ On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

BofA — Bank of America

CME — Chicago Mercantile Exchange

CMT — Constant Maturity Treasury

EUR — Euro

HUF — Hungarian Forint

ILS — Israeli New Shekel

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

OTC — Over the counter

REMIC — Real Estate Mortgage Investment Conduit

USD — United States Dollar

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Unit Investment Trusts	$	60,344	$	—	$	—	$	60,344
Preferred Stocks		—		180,171		938,988		1,119,159
Mutual Funds		11,344,742		—		—		11,344,742
Money Market Fund		1,342,539		—		—		1,342,539
Asset-Backed Securities		—		39,538,419		—		39,538,419
Collateralized Mortgage Obligations		—		36,043,760		—		36,043,760
U.S. Government Securities		—		10,776,375		—		10,776,375
Corporate Bonds		—		5,368,698		517,408		5,886,106
Federal Agency Bonds		—		5,726,199		—		5,726,199
Foreign Government Debt		—		3,455,101		—		3,455,101
Senior Floating Rate Interests		—		2,342,406		—		2,342,406
Municipal Bonds		—		1,119,085		—		1,119,085
Options Purchased		—		23,106		—		23,106
Interest Rate Swap Agreements*		—		253,549		—		253,549
Forward Foreign Currency Exchange Contracts*		—		145,470		—		145,470
Total Assets	$	12,747,625	$	104,972,339	$	1,456,396	$	119,176,360

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts*	$	—	$	167	$	—	$	167

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

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

Category	Ending Balance at June 30, 2018		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average
Assets:
Corporate Bonds	$	517,408	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		_		_
Preferred Stocks		938,988	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		_		_
Total Assets	$	1,456,396

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

For the period ended June 30, 2018, the Fund had securities with a total value of $135,776 transfer out of Level 3 into Level 2 due to changes in the securities valuation methods based on availability of vendor prices. There were no other securities that transferred between levels.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES E (TOTAL RETURN BOND SERIES)

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, 2018:

	Assets
	Asset-Backed Securities			Corporate Bonds			Preferred Stocks		Total
Beginning Balance	$	155,587		$	534,191		$	916,580	$	1,606,358
(Sales, maturities and paydowns)		(17,268	)		—			—		(17,268	)
Amortization of discount/premiums		—			(120	)		—		(120	)
Total change in unrealized appreciation or (depreciation) included in earnings		(2,543	)		(16,663	)		22,408		3,202
Transfers out of Level 3		(135,776	)		—			—		(135,776	)
Ending Balance	$	—		$	517,408		$	938,988	$	1,456,396
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2018	$	—		$	(16,663	)	$	22,408	$	5,745

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Depreciation			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Floating Rate Strategies Fund - Institutional Class	$	202,861	$	4,460	$	—		$	—	$	(1,903	)	$	205,418		7,971	$	4,458
Guggenheim Strategy Fund I		2,433,392		30,112		—			—		(1,962	)		2,461,542		98,304		30,038
Guggenheim Limited Duration Fund - Institutional Class		2,911,685		32,026		—			—		(10,628	)		2,933,083		118,796		31,951
Guggenheim Total Return Bond Fund - Institutional Class		6,193,398		86,247		(460,000	)		8,417		(83,363	)		5,744,699		213,558		86,300
	$	11,741,336	$	152,845	$	(460,000	)	$	8,417	$	(97,856	)	$	11,344,742			$	152,747

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

SERIES E (TOTAL RETURN BOND SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $109,046,131)	$	107,432,599
Investments in affiliated issuers, at value(cost $11,218,399)		11,344,742
Segregated cash with broker		859,726
Unamortized upfront premiums paid on interest rate swaps		69,378
Unrealized appreciation on forward foreign currency exchange contracts		145,470
Prepaid expenses		2,711
Receivables:
Interest		372,941
Securities sold		88,425
Fund shares sold		87,188
Dividends		26,106
Variation margin on swap agreements		23
Total assets		120,429,309
Liabilities:
Overdraft due to custodian bank		1,943
Segregated cash due to broker		395,184
Unrealized depreciation on forward foreign currency exchange contracts		167
Payable for:
Securities purchased		38,265
Distribution and service fees		24,685
Management fees		24,632
Swap settlement		23,460
Fund shares redeemed		8,241
Fund accounting/administration fees		7,900
Transfer agent/maintenance fees		2,527
Trustees’ fees*		357
Miscellaneous		24,187
Total liabilities		551,548
Commitments and contingent liabilities (Note 13)		—
Net assets	$	119,877,761
Net assets consist of:
Paid in capital	$	114,833,750
Undistributed net investment income		7,094,551
Accumulated net realized loss on investments		(962,203	)
Net unrealized depreciation on investments		(1,088,337	)
Net assets	$	119,877,761
Capital shares outstanding		7,272,143
Net asset value per share	$	16.48

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers	$	33,429
Dividends from securities of affiliated issuers		152,747
Interest		2,151,459
Total investment income		2,337,635
Expenses:
Management fees		238,561
Distribution and service fees		152,924
Recoupment of previously waived fees		13
Transfer agent/maintenance fees		12,681
Fund accounting/administration fees		48,936
Custodian fees		9,545
Trustees’ fees*		8,461
Interest expense		911
Line of credit fees		3,566
Miscellaneous		61,492
Total expenses		537,090
Less:
Expenses waived by Adviser		(63,148	)
Net expenses		473,942
Net investment income		1,863,693
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(54,159	)
Investments in affiliated issuers		8,417
Swap agreements		1,251,301
Foreign currency transactions		50,026
Forward foreign currency exchange contracts		(59,881	)
Net realized gain		1,195,704
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,287,435	)
Investments in affiliated issuers		(97,856	)
Swap agreements		(102,435	)
Options purchased		(191,001	)
Forward foreign currency exchange contracts		128,379
Net change in unrealized appreciation(depreciation)		(2,550,348	)
Net realized and unrealized loss		(1,354,644	)
Net increase in net assets resulting from operations	$	509,049

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

38 | 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 June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,863,693		$	4,649,080
Net realized gain on investments		1,195,704			761,054
Net change in unrealized appreciation (depreciation) on investments		(2,550,348	)		2,571,247
Net increase in net assets resulting from operations		509,049			7,981,381
Distributions to shareholders from:
Net investment income		—			(5,311,377	)
Total distributions to shareholders		—			(5,311,377	)
Capital share transactions:
Proceeds from sale of shares		12,713,758			39,888,049
Distributions reinvested		—			5,311,377
Cost of shares redeemed		(23,844,293	)		(31,412,776	)
Net increase (decrease) from capital share transactions		(11,130,535	)		13,786,650
Net increase (decrease) in net assets		(10,621,486	)		16,456,654
Net assets:
Beginning of period		130,499,247			114,042,593
End of period	$	119,877,761		$	130,499,247
Undistributed net investment income at end of period	$	7,094,551		$	5,230,858
Capital share activity:
Shares sold		777,992			2,439,034
Shares issued from reinvestment of distributions		—			331,547
Shares redeemed		(1,461,887	)		(1,919,717	)
Net increase (decrease) in shares		(683,895	)		850,864

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	16.40		$	16.05		$	15.68		$	15.89		$	14.70		$	14.45
Income (loss) from investment operations:
Net investment income (loss)b		.25			.61			.66			.67			.58			.54
Net gain (loss) on investments (realized and unrealized)		(.17	)		.45			.41			(.50	)		.61			(.29	)
Total from investment operations		.08			1.06			1.07			.17			1.19			.25
Less distributions from:
Net investment income		—			(.71	)		(.70	)		(.38	)		—			—
Total distributions		—			(.71	)		(.70	)		(.38	)		—			—
Net asset value, end of period	$	16.48		$	16.40		$	16.05		$	15.68		$	15.89		$	14.70
Total Returnc		0.49	%		6.72	%		6.83	%		1.15	%		8.10	%		1.73	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	119,878		$	130,499		$	114,043		$	111,974		$	127,650		$	94,123
Ratios to average net assets:
Net investment income (loss)		3.05	%		3.76	%		4.13	%		4.19	%		3.72	%		3.69	%
Total expensesd		0.88	%		0.99	%		1.02	%		1.05	%		1.05	%		1.07	%
Net expensese,f,g		0.77	%		0.81	%		0.83	%		0.83	%		0.85	%		0.87	%
Portfolio turnover rate		18	%		76	%		88	%		85	%		62	%		109	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the period would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.77%	0.77%	0.78%	0.78%	0.79%	0.81%

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.00%*	N/A	N/A	N/A	N/A	N/A

^* Less than 0.01%.

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

SERIES F (FLOATING RATE STRATEGIES SERIES)

OBJECTIVE: Seeks to provide a high level of current income while maximizing total return.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Date: April 24, 2013

Ten Largest Holdings (% of Total Net Assets)
Invictus MD Strategies Corp. 5.10%	1.6%
Safe Fleet Holdings LLC 4.99%	1.3%
Northstar Financial Services LLC 5.59%	1.0%
Realogy Group LLC 4.30%	1.0%
Blackhawk Network 5.07%	1.0%
Zodiac Pool Solutions LLC 2.25%	1.0%
Reece Ltd. 2.00%	1.0%
Berlin Packaging LLC 5.04%	1.0%
Unitymedia Finance LLC 4.07%	1.0%
WMG Acquisition Corp. 4.22%	1.0%
Top Ten Total	10.9%

“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) June 30, 2018

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	Since Inception (04/24/13)
Series F (Floating Rate Strategies Series)	1.03%	3.03%	3.83%	3.57%
Credit Suisse Leveraged Loan Index	2.39%	4.68%	4.24%	4.06%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
BBB	4.0%
BB	31.8%
B	53.9%
CCC	1.1%
NR2	0.0%3
Other Instruments	9.2%
Total Investments	100.0%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

¹ Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poors (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

² NR securities do not necessarily indicate low credit quality.

³ Value of securities is less than 0.1% of total investments.

42 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Shares		Value
MONEY MARKET FUND† - 9.7%
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares 1.70%2		6,765,703	$	6,765,703
Total Money Market Fund
(Cost $6,765,703)				6,765,703

	Face Amount
SENIOR FLOATING RATE INTERESTS††,4 - 95.8%
Industrial - 21.2%
Zodiac Pool Solutions LLC
2.25% (3 Month USD LIBOR + 2.25%) due 03/07/25	$	700,000	696,794
8.00% (Commercial Prime Lending Rate + 3.00%) due 12/20/23		375,922	375,453
Reece Ltd.
2.00% (3 Month USD LIBOR + 2.00%) due 05/31/25		700,000	696,500
Berlin Packaging LLC
5.04% (1 Month USD LIBOR + 3.00%) due 11/07/25		700,000	695,275
Kuehg Corp. - Kindercare
6.08% (3 Month USD LIBOR + 3.75%) due 08/12/22		672,475	669,953
Southwire Co.
4.09% (1 Month USD LIBOR + 2.00%) due 05/19/25		650,000	648,915
Flex Acquisition Company, Inc.
5.31% (3 Month USD LIBOR + 3.00%) due 12/29/23		495,000	492,446
3.25% (3 Month USD LIBOR + 3.25%) due 06/21/25		150,000	149,562
TransDigm Group, Inc.
4.59% (1 Month USD LIBOR + 2.50%) due 05/31/25		624,096	618,735
Engineered Machinery Holdings, Inc.
5.58% (3 Month USD LIBOR + 3.25%) due 07/19/24		559,771	556,625
ProAmpac PG Borrower LLC
5.61% (1 Month USD LIBOR + 3.50% and 3 Month USD LIBOR + 3.50%) due 11/20/23		527,623	524,162
Charter Nex US, Inc.
5.09% (1 Month USD LIBOR + 3.00%) due 05/16/24		521,994	518,993
GYP Holdings III Corp.
4.84% (1 Month USD LIBOR + 2.75% and 2 Month USD LIBOR + 2.75%) due 06/01/25		509,831	505,585
Reynolds Group Holdings, Inc.
4.84% (1 Month USD LIBOR + 2.75%) due 02/05/23		491,269	489,765
Pregis Holding I Corp.
5.83% (3 Month USD LIBOR + 3.50%) due 05/20/21		488,701	485,955
Hillman Group, Inc.
5.83% (3 Month USD LIBOR + 3.50%) due 05/30/25		457,554	455,554
Vectra Co.
5.34% (1 Month USD LIBOR + 3.25%) due 03/08/25		450,000	446,998
BWAY Holding Co.
5.59% (3 Month USD LIBOR + 3.25%) due 04/03/24		446,625	443,905
CHI Overhead Doors, Inc.
5.34% (1 Month USD LIBOR + 3.25%) due 07/29/22		439,237	440,151
Engility Corp.
4.84% (1 Month USD LIBOR + 2.75% and 3 Month USD LIBOR + 5.00%) due 08/14/23		392,858	391,813
Filtration Group Corp.
5.09% (3 Month USD LIBOR + 3.00%) due 03/29/25		350,000	349,650
CPG International LLC
6.25% (6 Month USD LIBOR + 3.75%) due 05/05/24		349,116	348,533
Thermasys Corp.
6.34% (3 Month USD LIBOR + 4.00%) due 05/03/19		352,500	341,044
WP CPP Holdings LLC
6.28% (3 Month USD LIBOR + 3.75%) due 04/30/25		300,000	301,050
DAE Aviation
5.84% (1 Month USD LIBOR + 3.75%) due 07/07/22		297,704	297,829
Springs Window Fashions
6.32% (3 Month USD LIBOR + 4.25%) due 06/15/25		200,000	200,750
10.57% (3 Month USD LIBOR + 8.50%) due 06/15/26		100,000	96,000
VC GB Holdings, Inc.
5.09% (1 Month USD LIBOR + 3.00%) due 02/28/24		271,671	270,992
American Bath Group LLC
6.58% (3 Month USD LIBOR + 4.25%) due 09/30/23		268,856	269,865
Hayward Industries, Inc.
5.59% (1 Month USD LIBOR + 3.50%) due 08/05/24		262,883	263,049
Travelport Finance
4.83% (3 Month USD LIBOR + 2.50%) due 03/17/25		250,000	248,875

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
RBS Global, Inc.
4.34% (1 Month USD LIBOR + 2.25%) due 08/21/24	$	249,008	$	248,542
Beacon Roofing Supply, Inc.
4.28% (1 Month USD LIBOR + 2.25%) due 01/02/25		250,000		248,230
Wrangler Buyer Corp.
4.84% (1 Month USD LIBOR + 2.75%) due 09/28/24		199,499		198,900
Titan Acquisition Ltd. (Husky)
5.09% (1 Month USD LIBOR + 3.00%) due 03/28/25		199,500		196,234
Arctic Long Carriers
6.59% (1 Month USD LIBOR + 4.50%) due 05/18/23		173,250		173,467
Bioplan USA, Inc.
6.84% (1 Month USD LIBOR + 4.75%) due 09/23/21		175,437		163,156
Argo Merchants
6.08% (3 Month USD LIBOR + 3.75%) due 12/06/24		124,392		124,548
Nielsen Finance LLC
4.05% (1 Month USD LIBOR + 2.00%) due 10/04/23		98,505		98,359
2.00% (3 Month USD LIBOR + 2.00%) due 10/04/23		10,000		9,985
Total Industrial				14,752,197
Consumer, Non-cyclical - 17.4%
Nomad Foods Lux S.A.R.L
4.32% (1 Month USD LIBOR + 2.25%) due 05/15/24		544,500		541,777
5.31% (3 Month USD LIBOR + 3.25%) due 05/15/24		155,500		154,723
BRP, Inc.
4.09% (1 Month USD LIBOR + 2.00%) due 05/23/25		700,000		693,525
Examworks Group, Inc.
5.34% (1 Month USD LIBOR + 3.25%) due 07/27/23		648,375		648,103
CHG Healthcare Services, Inc.
5.36% (3 Month USD LIBOR + 3.00%) due 06/07/23		632,840		633,036
JBS USA Lux SA
4.83% (3 Month USD LIBOR + 2.50%) due 10/30/22		598,485		593,398
Sterigenics-Norion Holdings
5.33% (3 Month USD LIBOR + 3.00%) due 05/15/22		555,779		553,695
Aspen Dental
5.34% (1 Month USD LIBOR + 3.25%) due 04/30/25		550,000		548,284
CHG PPC Parent LLC
4.84% (1 Month USD LIBOR + 2.75%) due 03/31/25		550,000		547,250
Endo Luxembourg Finance Co.
6.38% (1 Month USD LIBOR + 4.25%) due 04/29/24		547,365		545,997
Hearthside Group Holdings LLC
5.09% (1 Month USD LIBOR + 3.00%) due 05/23/25		550,000		544,280
Post Holdings, Inc.
4.10% (1 Month USD LIBOR + 2.00%) due 05/24/24		495,000		491,664
Albertson’s LLC
5.34% (3 Month USD LIBOR + 3.00%) due 12/21/22		493,762		488,919
DJO Finance LLC
5.45% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%) due 06/08/20		486,250		483,517
Equian LLC
5.33% (1 Month USD LIBOR + 3.25%) due 05/20/24		446,246		444,385
PPDI (Pharmaceutical Product Development, Inc.)
4.59% (1 Month USD LIBOR + 2.50%) due 08/18/22		442,025		439,431
NVA Holdings, Inc
4.84% (1 Month USD LIBOR + 2.75%) due 02/03/25		399,000		397,504
CPI Holdco LLC
5.59% (1 Month USD LIBOR + 3.50%) due 03/21/24		395,001		396,483
Lineage Logistics LLC
5.09% (1 Month USD LIBOR + 3.00%) due 02/27/25		399,000		396,007
Reddy Ice Holdings, Inc.
7.88% (3 Month USD LIBOR + 5.50% and Commercial Prime Lending Rate + 4.50%) due 05/01/19		380,952		378,286
American Tire Distributors, Inc.
6.34% (1 Month USD LIBOR + 4.25%) due 09/01/21		483,530		312,631
Smart & Final Stores LLC
5.59% (1 Month USD LIBOR + 3.50%) due 11/15/22		317,900		309,952
IQVIA Holdings, Inc.
4.08% (3 Month USD LIBOR + 1.75%) due 06/07/25		300,000		297,000
Diamond (BC) B.V.
5.10% (2 Month USD LIBOR + 3.00%) due 09/06/24		297,750		291,795
Sigma Holding BV (Flora Food)
3.00% (3 Month USD LIBOR + 3.00%) due 03/07/25		250,000		247,345
BCPE Eagle Buyer LLC
6.34% (1 Month USD LIBOR + 4.25%) due 03/18/24		198,492		187,575

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
Authentic Brands
5.59% (1 Month USD LIBOR + 3.50%) due 09/27/24	$	173,688	$	172,963
Immucor, Inc.
7.09% (1 Month USD LIBOR + 5.00%) due 06/15/21		148,500		150,047
Acadia Healthcare Co., Inc.
4.59% (1 Month USD LIBOR + 2.50%) due 02/16/23		95,172		95,309
CTI Foods Holding Co. LLC
9.35% (1 Month USD LIBOR + 7.25%) due 06/28/21		80,000		59,500
Valeant Pharmaceuticals International, Inc.
4.98% (1 Month USD LIBOR + 3.00%) due 06/01/25		47,812		47,618
Total Consumer, Non-cyclical				12,091,999
Technology - 15.7%
Blackhawk Network
5.07% (3 Month USD LIBOR + 3.00%) due 06/15/25		700,000		697,375
Micron Technology, Inc.
3.85% (1 Month USD LIBOR + 1.75%) due 04/26/22		392,982		393,572
4.10% (1 Month USD LIBOR + 2.00%) due 05/29/25		300,000		299,376
SS&C Technologies, Inc.
4.59% (1 Month USD LIBOR + 2.50%) due 04/16/25		669,235		668,860
Flexera Software LLC
5.35% (1 Month USD LIBOR + 3.25%) due 02/26/25		548,625		546,398
Press Ganey Holdings, Inc.
4.84% (1 Month USD LIBOR + 2.75%) due 10/23/23		542,373		541,017
Informatica LLC
5.34% (1 Month USD LIBOR + 3.25%) due 08/05/22		497,493		497,762
Sabre GLBL, Inc.
4.09% (1 Month USD LIBOR + 2.00%) due 02/22/24		497,500		496,177
TIBCO Software, Inc.
5.60% (1 Month USD LIBOR + 3.50%) due 12/04/20		493,734		493,270
Peak 10 Holding Corp.
5.83% (3 Month USD LIBOR + 3.50%) due 08/01/24		496,250		489,893
Misys Ltd.
5.81% (3 Month USD LIBOR + 3.50%) due 06/13/24		496,250		487,015
Ipreo Holdings
5.09% (1 Month USD LIBOR + 3.00%) due 08/06/21		483,813		483,208
Solera LLC
4.84% (1 Month USD LIBOR + 2.75%) due 03/03/23		479,640		476,522
AVSC Holding Corp.
5.24% (1 Month USD LIBOR + 3.25%) due 03/03/25		468,825		463,354
Kronos, Inc.
5.36% (3 Month USD LIBOR + 3.00%) due 11/01/23		444,395		443,204
LANDesk Group, Inc.
6.35% (1 Month USD LIBOR + 4.25%) due 01/20/24		424,920		420,407
Optiv, Inc.
5.31% (1 Month USD LIBOR + 3.25%) due 02/01/24		415,461		402,997
Advanced Computer Software
6.78% (1 Month USD LIBOR + 4.75%) due 05/31/24		400,000		401,000
Go Daddy Operating Company LLC
4.34% (1 Month USD LIBOR + 2.25%) due 02/15/24		296,678		294,930
Aspect Software, Inc.
12.59% (1 Month USD LIBOR + 10.50%) due 05/25/203		315,034		292,194
Seattle Spnco
4.84% (1 Month USD LIBOR + 2.75%) due 06/21/24		260,653		259,188
Internet Brands, Inc.
5.84% (1 Month USD LIBOR + 3.75%) due 09/13/24		253,722		253,476
Greenway Health LLC
6.08% (3 Month USD LIBOR + 3.75%) due 02/16/24		199,496		199,123
EIG Investors Corp.
6.07% (3 Month USD LIBOR + 3.75%) due 02/09/23		172,274		171,916
Cypress Intermediate Holdings III, Inc.
5.10% (1 Month USD LIBOR + 3.00%) due 04/29/24		168,076		167,536
Ascend Learning LLC
5.09% (1 Month USD LIBOR + 3.00%) due 07/12/24		148,875		148,317
Project Accelerate Parent, LLC
6.25% (1 Month USD LIBOR + 4.25%) due 01/02/25		124,688		124,606
Cvent, Inc.
5.84% (1 Month USD LIBOR + 3.75%) due 11/29/24		99,750		99,501
MA Financeco LLC
4.59% (1 Month USD LIBOR + 2.50%) due 11/19/21		99,750		99,251
Infor (US), Inc.
4.84% (1 Month USD LIBOR + 2.75%) due 02/01/22		69,899		69,497
Miami Escrow Borrower LLC
4.84% (1 Month USD LIBOR + 2.75%) due 06/21/24		38,597		38,380

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
CPI Acquisition, Inc.
6.36% (3 Month USD LIBOR + 4.50%) due 08/17/22	$	41,839	$	24,476
Total Technology				10,943,798
Consumer, Cyclical - 15.4%
Safe Fleet Holdings LLC
4.99% (1 Month USD LIBOR + 3.00%) due 02/03/25		900,000		890,442
Realogy Group LLC
4.30% (1 Month USD LIBOR + 2.25%) due 02/08/25		700,000		697,816
Packers Sanitation Services, Inc.
5.27% (1 Month USD LIBOR + 3.25%) due 12/04/24		597,249		593,021
AlixPartners, LLP
4.84% (1 Month USD LIBOR + 2.75%) due 04/04/24		593,198		592,160
Learning Care Group (US), Inc.
5.49% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%) due 03/13/25		550,000		546,563
USIC Holding, Inc.
5.34% (3 Month USD LIBOR + 3.50%) due 12/08/23		498,762		497,305
Crown Finance US, Inc.
4.59% (1 Month USD LIBOR + 2.50%) due 02/28/25		498,750		494,655
Greektown Holdings LLC
5.09% (1 Month USD LIBOR + 3.00%) due 04/25/24		495,000		492,733
Equinox Holdings, Inc.
5.09% (1 Month USD LIBOR + 3.00%) due 03/08/24		493,769		492,658
Gates Global LLC
5.08% (3 Month USD LIBOR + 2.75%) due 04/01/24		467,933		467,180
DG Investment Intermediate Holdings 2, Inc.
5.09% (1 Month USD LIBOR + 3.00%) due 02/03/25		464,194		460,712
Navistar Inc.
5.53% (1 Month USD LIBOR + 3.50%) due 11/06/24		448,875		448,597
Mavis Tire Express Services Corp.
5.33% (1 Month USD LIBOR + 3.25%) due 03/20/25		391,316		387,403
Burlington Stores, Inc.
4.60% (1 Month USD LIBOR + 2.50%) due 11/17/24		344,285		344,715
Eldorado Resorts, Inc.
4.38% (2 Month USD LIBOR + 2.25%) due 04/17/24		329,914		328,472
National Vision, Inc.
4.84% (1 Month USD LIBOR + 2.75%) due 11/20/24		307,065		306,297
Amaya Holdings B.V.
3.50% (3 Month USD LIBOR + 3.50%) due 07/29/25		300,000		299,250
EG Finco Ltd.
6.33% (3 Month USD LIBOR + 4.00%) due 02/07/25		299,250		296,407
Petco Animal Supplies, Inc.
5.61% (3 Month USD LIBOR + 3.25%) due 01/26/23		354,467		255,216
Talbots, Inc.
6.59% (1 Month USD LIBOR + 4.50%) due 03/19/20		219,114		215,417
Truck Hero, Inc.
5.84% (1 Month USD LIBOR + 3.75%) due 04/22/24		200,000		199,666
Samsonite IP Holdings S.A.R.L.
3.84% (1 Month USD LIBOR + 1.75%) due 04/25/25		200,000		197,416
1-800 Contacts
5.35% (1 Month USD LIBOR + 3.25%) due 01/22/23		195,523		190,635
Wyndham Hotels & Resorts, Inc.
3.73% (3 Month USD LIBOR + 1.75%) due 05/30/25		150,000		149,625
Amaya Holdings B.V.
5.09% (1 Month USD LIBOR + 3.00%) due 04/06/25		149,625		149,326
GVC Holdings plc
4.60% (1 Month USD LIBOR + 2.50%) due 03/29/24		149,625		149,158
Life Time Fitness, Inc.
5.06% (3 Month USD LIBOR + 2.75%) due 06/10/22		139,648		138,845
Sears Roebuck Acceptance Corp.
6.51% (1 Month USD LIBOR + 4.50%) due 01/18/19		139,053		138,242
Leslie’s Poolmart, Inc.
5.59% (1 Month USD LIBOR + 3.50%) due 08/16/23		129,350		129,091
Penn Engineering & Manufacturing Corp.
4.84% (1 Month USD LIBOR + 2.75%) due 06/27/24		99,250		99,126
Belk, Inc.
7.09% (3 Month USD LIBOR + 4.75%) due 12/12/22		98,696		76,119
Total Consumer, Cyclical				10,724,268
Communications - 11.9%
Unitymedia Finance LLC
4.07% (1 Month USD LIBOR + 2.00%) due 06/01/23		700,000		694,603
WMG Acquisition Corp.
4.22% (1 Month USD LIBOR + 2.13%) due 11/01/23		700,000		694,085

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
Telenet Financing USD LLC
4.32% (1 Month USD LIBOR + 2.25%) due 08/15/26	$	700,000	$	692,706
NAI Entertainment Holdings LLC
4.60% (1 Month USD LIBOR + 2.50%) due 05/08/25		650,000		645,938
GTT Communications, Inc.
4.88% (3 Month USD LIBOR + 2.75%) due 05/31/25		650,000		639,763
Neustar, Inc.
5.59% (1 Month USD LIBOR + 3.50%) due 08/08/24		548,618		548,618
CSC Holdings, LLC
4.32% (1 Month USD LIBOR + 2.25%) due 07/17/25		522,844		518,922
Altice US Finance I Corp.
4.34% (1 Month USD LIBOR + 2.25%) due 07/28/25		495,000		490,981
SFR Group S.A.
5.35% (3 Month USD LIBOR + 3.00%) due 01/31/26		493,769		484,777
Cengage Learning Acquisitions, Inc.
6.34% (1 Month USD LIBOR + 4.25%) due 06/07/23		525,869		481,827
Mcgraw-Hill Global Education Holdings LLC
6.09% (1 Month USD LIBOR + 4.00%) due 05/04/22		492,183		480,700
Ziggo Secured Finance BV
4.57% (1 Month USD LIBOR + 2.50%) due 04/15/25		450,000		444,658
Radiate HoldCo LLC
5.09% (1 Month USD LIBOR + 3.00%) due 02/01/24		324,980		320,053
Sprint Communications, Inc.
4.63% (1 Month USD LIBOR + 2.50%) due 02/02/24		296,250		294,644
Univision Communications, Inc.
4.84% (1 Month USD LIBOR + 2.75%) due 03/15/24		257,912		248,993
Virgin Media Bristol LLC
4.57% (1 Month USD LIBOR + 2.50%) due 01/15/26		250,000		247,970
Charter Communications Operating, LLC
4.10% (1 Month USD LIBOR + 2.00%) due 04/30/25		199,000		198,564
Market Track LLC
6.58% (3 Month USD LIBOR + 4.25% and Commercial Prime Lending Rate + 3.25%) due 06/05/24		198,500		197,508
Total Communications				8,325,310
Financial - 6.7%
Northstar Financial Services LLC
5.59% (1 Month USD LIBOR + 3.50%) due 05/25/25		700,000		698,831
National Financial Partners Corp.
5.09% (1 Month USD LIBOR + 3.00%) due 01/08/24		601,394		596,884
LPL Holdings, Inc.
4.49% (1 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%) due 09/23/24		496,256		493,155
Geo Group, Inc.
4.10% (1 Month USD LIBOR + 2.00%) due 03/22/24		493,750		491,074
York Risk Services
5.84% (1 Month USD LIBOR + 3.75%) due 10/01/21		482,456		467,119
Capital Automotive L.P.
4.60% (1 Month USD LIBOR + 2.50%) due 03/25/24		365,209		362,926
USI, Inc.
5.33% (3 Month USD LIBOR + 3.00%) due 05/16/24		358,700		356,279
American Stock Transfer & Trust
8.50% (3 Month USD LIBOR + 4.50%) due 06/26/20		279,506		279,855
iStar, Inc.
2.75% (3 Month USD LIBOR + 2.75%) due 06/19/23		250,000		249,062
HUB International Ltd.
5.36% (2 Month USD LIBOR + 3.00%) due 04/25/25		250,000		248,320
HarbourVest Partners LP
4.34% (1 Month USD LIBOR + 2.25%) due 03/03/25		207,321		206,388
Corporate Capital Trust
5.38% (1 Month USD LIBOR + 3.25%) due 05/20/19		191,500		191,500
Total Financial				4,641,393
Basic Materials - 6.0%
Invictus MD Strategies Corp.
5.10% (2 Month USD LIBOR + 3.00%) due 03/28/25		1,097,250		1,095,879
HB Fuller Co.
4.08% (1 Month USD LIBOR + 2.00%) due 10/20/24		694,012		688,154
Alpha 3 B.V.
5.33% (3 Month USD LIBOR + 3.00%) due 01/31/24		606,250		602,716
GrafTech Finance, Inc.
5.50% (1 Month USD LIBOR + 3.50%) due 02/12/25		580,000		576,015
PQ Corp.
4.59% (1 Month USD LIBOR + 2.50%) due 02/08/25		443,261		441,045
Nexeo Solutions LLC
5.58% (3 Month USD LIBOR + 3.25%) due 06/09/23		367,549		367,395

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
PMHC II, Inc. (Prince)
5.90% (3 Month USD LIBOR + 3.50%) due 03/29/25	$	199,500	$	199,334
WR Grace & Co.
4.08% (3 Month USD LIBOR + 1.75%) due 04/03/25		200,000		199,208
Total Basic Materials				4,169,746
Energy - 1.2%
Houston Fuel Oil Terminal Company
2.75% (3 Month USD LIBOR + 2.75%) due 06/19/25		450,000		448,313
Ultra Petroleum, Inc.
5.09% (1 Month USD LIBOR + 3.00%) due 04/12/24		400,000		367,752
Total Energy				816,065
Utilities - 0.3%
Stonewall
7.83% (3 Month USD LIBOR + 5.50%) due 11/13/21		218,151		216,515
Total Senior Floating Rate Interests
(Cost $67,469,980)				66,681,291
CORPORATE BONDS††† - 0.0%
Basic Materials - 0.0%
New Day Aluminum
10.00% due 10/28/201		2,750		2,750
Total Corporate Bonds
(Cost $229)				2,750
Total Investments - 105.5%
(Cost $74,235,912)			$	73,449,744
Other Assets & Liabilities, net - (5.5)%				(3,809,055	)
Total Net Assets - 100.0%			$	69,640,689

* Non-income producing security.

^† 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 — See Note 4.

¹ Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $2,750, (cost $229) or less than 0.1% of total net assets.

² Rate indicated is the 7 day yield as of June 30, 2018.

³ Affiliated issuer.

⁴ Variable rate security. Rate indicated is rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

plc — Public Limited Company

LIBOR— London Interbank Offered Rate

USD — United States Dollar

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES F (FLOATING RATE STRATEGIES SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Money Market Fund	$	6,765,703	$	—	$	—	$	6,765,703
Senior Floating Rate Interests		—		66,681,291		—		66,681,291
Corporate Bonds		—		—		2,750		2,750
Total Assets	$	6,765,703	$	66,681,291	$	2,750	$	73,449,744
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Unfunded Loan Commitments (Note 8)	$	—	$	847	$	—*	$	847

* Security has a market value of $0.

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

For the period ended June 30, 2018, there were no transfers between levels.

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Depreciation			Value 06/30/18		Shares 06/30/18		Investment Income
Senior Floating Rate Interests
Aspect Software, Inc. 12.59% (1 Month USD LIBOR + 10.50%) due 05/25/201	$	314,391	$	—	$	(4,145	)	$	—	$	(18,052	)	$	292,194		315,034	$	19,676

¹ Variable rate security. Rate indicated is rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

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

SERIES F (FLOATING RATE STRATEGIES SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $73,920,878)	$	73,157,550
Investments in affiliated issuers, at value (cost $315,034)		292,194
Cash		172,913
Prepaid expenses		1,649
Receivables:
Securities sold		1,486,940
Interest		175,793
Fund shares sold		114,837
Total assets		75,401,876
Liabilities:
Unfunded loan commitments, at value (Note 8) (proceeds $293)		847
Payable for:
Securities purchased		5,373,952
Fund shares redeemed		313,298
Management fees		31,012
Distribution and service fees		14,474
Fund accounting/administration fees		4,631
Transfer agent/maintenance fees		2,098
Recoupment of previously waived expenses		343
Trustees’ fees*		178
Miscellaneous		20,354
Total liabilities		5,761,187
Commitments and contingent liabilities (Note 13)		—
Net assets	$	69,640,689
Net assets consist of:
Paid in capital	$	67,803,037
Undistributed net investment income		3,186,076
Accumulated net realized loss on investments		(561,702	)
Net unrealized depreciation on investments		(786,722	)
Net assets	$	69,640,689
Capital shares outstanding		2,624,974
Net asset value per share	$	26.53

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Interest from securities of affiliated issuers	$	19,676
Interest from securities of unaffiliated issuers		1,411,808
Total investment income		1,431,484
Expenses:
Management fees		195,813
Distribution and service fees		75,312
Recoupment of previously waived fees		1,430
Transfer agent/maintenance fees		12,461
Fund accounting/administration fees		24,100
Professional fees		20,603
Custodian fees		12,350
Trustees’ fees*		4,624
Line of credit fees		438
Miscellaneous		27,822
Total expenses		374,953
Less:
Expenses waived by Adviser		(26,615	)
Net expenses		348,338
Net investment income		1,083,146
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(89,829	)
Net realized loss		(89,829	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(451,355	)
Investments in affiliated issuers		(18,052	)
Net change in unrealized appreciation (depreciation)		(469,407	)
Net realized and unrealized loss		(559,236	)
Net increase in net assets resulting from operations	$	523,910

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

50 | 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 June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,083,146		$	1,816,616
Net realized gain (loss) on investments		(89,829	)		70,347
Net change in unrealized appreciation (depreciation) on investments		(469,407	)		(110,372	)
Net increase in net assets resulting from operations		523,910			1,776,591
Distributions to shareholders from:
Net investment income		—			(1,683,851	)
Total distributions to shareholders		—			(1,683,851	)
Capital share transactions:
Proceeds from sale of shares		30,871,133			31,537,727
Distributions reinvested		—			1,683,851
Cost of shares redeemed		(12,792,639	)		(35,521,219	)
Net increase (decrease) from capital share transactions		18,078,494			(2,299,641	)
Net increase (decrease) in net assets		18,602,404			(2,206,901	)
Net assets:
Beginning of period		51,038,285			53,245,186
End of period	$	69,640,689		$	51,038,285
Undistributed net investment income at end of period	$	3,186,076		$	2,102,930
Capital share activity:
Shares sold		1,164,190			1,198,589
Shares issued from reinvestment of distributions		—			65,190
Shares redeemed		(482,881	)		(1,350,894	)
Net increase (decrease) in shares		681,309			(87,115	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Period Ended December 31, 2013b
Per Share Data
Net asset value, beginning of period	$	26.26		$	26.22		$	25.72		$	26.24		$	25.61		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.47			.91			1.05			.97			.95			.49
Net gain (loss) on investments (realized and unrealized)		(.20	)		(.02	)		1.09			(.77	)		(.32	)		.12
Total from investment operations		.27			.89			2.14			.20			.63			.61
Less distributions from:
Net investment income		—			(.85	)		(1.56	)		(.67	)		—			—
Net realized gains		—			—			(.08	)		(.05	)		—			—
Total distributions		—			(.85	)		(1.64	)		(.72	)		—			—
Net asset value, end of period	$	26.53		$	26.26		$	26.22		$	25.72		$	26.24		$	25.61
Total Returnd		1.03	%		3.46	%		8.56	%		0.73	%		2.38	%		2.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	69,641		$	51,038		$	53,245		$	48,598		$	45,837		$	46,343
Ratios to average net assets:
Net investment income (loss)		3.60	%		3.44	%		4.06	%		3.66	%		3.65	%		2.81	%
Total expenses		1.24	%		1.28	%		1.22	%		1.27	%		1.24	%		1.35	%f
Net expensese,g,h		1.16	%		1.18	%		1.18	%		1.17	%		1.16	%		1.17	%
Portfolio turnover rate		24	%		57	%		71	%		73	%		90	%		53	%

^a Unaudited figures for the period ended June 30, 2018. 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

^f Due to limited length of Fund operations, ratios for this period may not be indicative of future performance.

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

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
1.15%	1.15%	1.15%	1.15%	1.15%	1.15%

^h The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.00%*	0.01%	N/A	N/A	N/A	N/A

* Less than 0.01%.

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.

Inception Date: October 1, 1992

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	32.7%
Guggenheim Strategy Fund III	29.5%
Guggenheim Strategy Fund II	13.5%
Guggenheim Strategy Fund I	1.5%
NetApp, Inc.	0.4%
Clorox Co.	0.3%
Citrix Systems, Inc.	0.3%
Waters Corp.	0.3%
Omnicom Group, Inc.	0.3%
Hershey Co.	0.3%
Top Ten Total	79.1%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series J (StylePlus—Mid Growth Series)	4.20%	16.67%	13.73%	9.63%
Russell Midcap Growth Index	5.40%	18.52%	13.37%	10.45%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 53

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 20.2%
Consumer, Non-cyclical - 6.2%
Clorox Co.		4,047	$	547,357
Hershey Co.		5,138		478,142
Kellogg Co.		6,196		432,914
Varian Medical Systems, Inc.*		3,470		394,609
United Rentals, Inc.*		2,594		382,926
Total System Services, Inc.		4,397		371,634
US Foods Holding Corp.*		9,662		365,417
Sysco Corp.		5,288		361,118
Performance Food Group Co.*		9,782		358,999
CoreLogic, Inc.*		6,897		357,954
Kimberly-Clark Corp.		3,361		354,047
Baxter International, Inc.		4,648		343,208
Zoetis, Inc.		4,017		342,208
Vector Group Ltd.		17,421		332,393
Herbalife Nutrition Ltd.*		6,023		323,556
ResMed, Inc.		3,048		315,712
Western Union Co.		14,737		299,603
Edwards Lifesciences Corp.*		2,035		296,235
McCormick & Company, Inc.		2,518		292,315
Hill-Rom Holdings, Inc.		3,202		279,663
Centene Corp.*		1,952		240,506
McKesson Corp.		1,745		232,783
Quanta Services, Inc.*		6,682		223,179
Humana, Inc.		647		192,567
Monster Beverage Corp.*		3,165		181,354
AmerisourceBergen Corp. — Class A		2,113		180,175
Constellation Brands, Inc. — Class A		788		172,470
Euronet Worldwide, Inc.*		1,983		166,116
Alexion Pharmaceuticals, Inc.*		1,314		163,133
Brown-Forman Corp. — Class B		3,223		157,959
Square, Inc. — Class A*		2,301		141,834
Molina Healthcare, Inc.*		1,407		137,801
Sabre Corp.		5,515		135,890
Charles River Laboratories International, Inc.*		1,203		135,049
Avis Budget Group, Inc.*		3,865		125,613
Catalent, Inc.*		2,850		119,386
Sprouts Farmers Market, Inc.*		5,395		119,068
Align Technology, Inc.*		295		100,931
Cardinal Health, Inc.		1,961		95,756
Nektar Therapeutics*		1,960		95,707
Total Consumer, Non-cyclical				10,347,287
Technology - 4.7%
NetApp, Inc.		7,644		600,283
Citrix Systems, Inc.*		4,876		511,200
Lam Research Corp.		2,764		477,757
Analog Devices, Inc.		4,104		393,656
Fidelity National Information Services, Inc.		3,590		380,648
Dell Technologies Inc. — Class V*		4,209		355,997
ON Semiconductor Corp.*		15,705		349,201
Teradyne, Inc.		8,549		325,461
Autodesk, Inc.*		2,477		324,710
Fiserv, Inc.*		4,273		316,587
Skyworks Solutions, Inc.		3,176		306,960
KLA-Tencor Corp.		2,944		301,848
Microchip Technology, Inc.		2,830		257,389
ServiceNow, Inc.*		1,339		230,937
Maxim Integrated Products, Inc.		3,877		227,425
Synopsys, Inc.*		2,647		226,504
Cypress Semiconductor Corp.		12,733		198,380
Zebra Technologies Corp. — Class A*		1,383		198,114
Akamai Technologies, Inc.*		2,272		166,379
MAXIMUS, Inc.		2,438		151,424
Xilinx, Inc.		2,274		148,401
First Data Corp. — Class A*		6,627		138,703
MKS Instruments, Inc.		1,296		124,027
Paychex, Inc.		1,790		122,346
Tableau Software, Inc. — Class A*		1,194		116,713
NCR Corp.*		3,861		115,753
SS&C Technologies Holdings, Inc.		2,009		104,267
Broadridge Financial Solutions, Inc.		903		103,935
Teradata Corp.*		2,561		102,824
Fortinet, Inc.*		1,638		102,261
Workday, Inc. — Class A*		829		100,408
Atlassian Corp. plc — Class A*		1,586		99,157
Splunk, Inc.*		988		97,921
Red Hat, Inc.*		605		81,294
Total Technology				7,858,870
Industrial - 4.0%
Waters Corp.*		2,499		483,781
Rockwell Automation, Inc.		2,388		396,957
Ingersoll-Rand plc		4,244		380,814
Cummins, Inc.		2,591		344,603
Spirit AeroSystems Holdings, Inc. — Class A		3,879		333,245
XPO Logistics, Inc.*		3,195		320,075
Roper Technologies, Inc.		1,145		315,917
Textron, Inc.		4,620		304,504
Xylem, Inc.		4,487		302,334
Parker-Hannifin Corp.		1,886		293,933
Masco Corp.		7,733		289,369
Huntington Ingalls Industries, Inc.		1,332		288,764
Genesee & Wyoming, Inc. — Class A*		3,458		281,205
Expeditors International of Washington, Inc.		3,793		277,268
Hubbell, Inc.		2,571		271,858
Barnes Group, Inc.		3,912		230,417
EMCOR Group, Inc.		2,721		207,286
TransDigm Group, Inc.		497		171,535
Fortune Brands Home & Security, Inc.		3,004		161,285
Werner Enterprises, Inc.		4,039		151,664
MasTec, Inc.*		2,917		148,038
Amphenol Corp. — Class A		1,497		130,464
Rexnord Corp.*		4,349		126,382
Coherent, Inc.*		786		122,946
FLIR Systems, Inc.		2,152		111,839

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
Harris Corp.		708	$	102,334
Total Industrial				6,548,817
Consumer, Cyclical - 2.7%
Southwest Airlines Co.		6,871		349,596
Lear Corp.		1,737		322,752
Live Nation Entertainment, Inc.*		6,617		321,388
HD Supply Holdings, Inc.*		7,177		307,821
Delta Air Lines, Inc.		5,135		254,388
Allison Transmission Holdings, Inc.		6,050		244,964
Lions Gate Entertainment Corp. — Class A		9,243		229,411
Nu Skin Enterprises, Inc. — Class A		2,630		205,640
PulteGroup, Inc.		6,122		176,008
WW Grainger, Inc.		569		175,480
Toll Brothers, Inc.		4,309		159,390
Dollar Tree, Inc.*		1,843		156,655
Hanesbrands, Inc.		6,782		149,340
Best Buy Company, Inc.		1,957		145,953
Skechers U.S.A., Inc. — Class A*		3,652		109,596
Hasbro, Inc.		1,151		106,249
Ross Stores, Inc.		1,225		103,819
AutoZone, Inc.*		153		102,652
Burlington Stores, Inc.*		670		100,855
Lennar Corp. — Class A		1,920		100,800
Hilton Worldwide Holdings, Inc.		1,253		99,187
Wynn Resorts Ltd.		584		97,727
Chipotle Mexican Grill, Inc. — Class A*		223		96,196
NVR, Inc.*		32		95,051
Aptiv plc		1,029		94,287
Dana, Inc.		4,603		92,935
Under Armour, Inc. — Class C*		3,164		66,697
Total Consumer, Cyclical				4,464,837
Communications - 2.1%
Omnicom Group, Inc.		6,327		482,560
Motorola Solutions, Inc.		3,302		384,254
Twitter, Inc.*		7,376		322,110
AMC Networks, Inc. — Class A*		5,140		319,708
eBay, Inc.*		8,658		313,939
CDW Corp.		3,857		311,607
Palo Alto Networks, Inc.*		1,174		241,222
F5 Networks, Inc.*		1,322		227,979
Interpublic Group of Companies, Inc.		9,596		224,930
CBS Corp. — Class B		3,070		172,596
Nexstar Media Group, Inc. — Class A		1,493		109,586
GoDaddy, Inc. — Class A*		1,455		102,723
Expedia Group, Inc.		843		101,320
InterDigital, Inc.		1,250		101,125
GrubHub, Inc.*		930		97,566
Total Communications				3,513,225
Energy - 0.2%
ONEOK, Inc.		2,826		197,340
Cheniere Energy, Inc.*		3,017		196,678
Total Energy				394,018
Financial - 0.2%
Alliance Data Systems Corp.		1,099		256,287
Basic Materials - 0.1%
Univar, Inc.*		5,297		138,993
Total Common Stocks
(Cost $32,805,681)				33,522,334
MUTUAL FUNDS† - 77.2%
Guggenheim Variable Insurance Strategy Fund III1		2,166,123		54,304,706
Guggenheim Strategy Fund III1		1,962,605		49,045,498
Guggenheim Strategy Fund II1		897,290		22,423,267
Guggenheim Strategy Fund I1		101,511		2,541,839
Total Mutual Funds
(Cost $127,912,513)				128,315,310
MONEY MARKET FUND† - 2.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class, 1.68%2		3,634,419		3,634,419
Total Money Market Fund
(Cost $3,634,419)				3,634,419
Total Investments - 99.6%
(Cost $164,352,613)			$	165,472,063
Other Assets & Liabilities, net - 0.4%				639,812
Total Net Assets - 100.0%			$	166,111,875

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES J (STYLEPLUS—MID GROWTH SERIES)

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		13		Sep 2018	$	1,768,488	$	(41,570	)
NASDAQ-100 Index Mini Futures Contracts		13		Sep 2018		1,836,185		(58,040	)
S&P MidCap 400 Index Mini Futures Contracts		28		Sep 2018		5,477,080		(124,601	)
					$	9,081,753	$	(224,211	)

Total Return Swap Agreements

Counterparty

Index

Financing Rate Pay

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Deutsche Bank

Russell Midcap Growth Index

2.18

%

At Maturity

07/02/18

121,929

$

124,050,565

$

6,493,646

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Affiliated issuer.

² Rate indicated is the 7 day yield as of June 30, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	33,522,334	$	—	$	—	$	33,522,334
Mutual Funds		128,315,310		—		—		128,315,310
Money Market Fund		3,634,419		—		—		3,634,419
Equity Index Swap Agreements*		—		6,493,646		—		6,493,646
Total Assets	$	165,472,063	$	6,493,646	$	—	$	171,965,709
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts*	$	224,211	$	—	$	—	$	224,211

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES J (STYLEPLUS—MID GROWTH SERIES)

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Depreciation			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Strategy Fund I	$	17,247,482	$	10,048,576	$	(24,752,044	)	$	34,749	$	(36,924	)	$	2,541,839		101,511	$	149,228
Guggenheim Strategy Fund II		26,707,218		334,012		(4,599,989	)		22,354		(40,328	)		22,423,267		897,290		333,478
Guggenheim Strategy Fund III		48,500,456		604,017		—			—		(58,975	)		49,045,498		1,962,605		602,175
Guggenheim Variable Insurance Strategy Fund III		50,752,162		5,639,854		(1,999,993	)		7,968		(95,285	)		54,304,706		2,166,123		715,762
	$	143,207,318	$	16,626,459	$	(31,352,026	)	$	65,071	$	(231,512	)	$	128,315,310			$	1,800,643

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

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $36,440,100)	$	37,156,753
Investments in affiliated issuers, at value (cost $127,912,513)		128,315,310
Segregated cash with broker		358,200
Unrealized appreciation on swap agreements		6,493,646
Prepaid expenses		2,430
Receivables:
Securities sold		630,000
Dividends		360,270
Interest		11,616
Variation margin on futures contracts		6,868
Fund shares sold		165
Total assets		173,335,258
Liabilities:
Overdraft due to custodian bank		627,749
Segregated cash due to broker		5,700,000
Payable for:
Securities purchased		353,641
Swap settlement		311,626
Management fees		74,115
Fund shares redeemed		64,993
Distribution and service fees		37,588
Fund accounting/administration fees		12,028
Transfer agent/maintenance fees		2,362
Trustees’ fees*		350
Miscellaneous		38,931
Total liabilities		7,223,383
Commitments and contingent liabilities (Note 13)		—
Net assets	$	166,111,875
Net assets consist of:
Paid in capital	$	124,749,595
Undistributed net investment income		3,416,814
Accumulated net realized gain on investments		30,556,581
Net unrealized appreciation on investments		7,388,885
Net assets	$	166,111,875
Capital shares outstanding		2,665,091
Net asset value per share	$	62.33

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $261)	$	242,340
Dividends from securities of affiliated issuers		1,800,643
Interest		35,486
Total investment income		2,078,469
Expenses:
Management fees		703,076
Distribution and service fees:		234,359
Transfer agent/maintenance fees		12,748
Fund accounting/administration fees		74,996
Custodian fees		12,464
Trustees’ fees*		9,482
Line of credit fees		4,082
Miscellaneous		57,758
Total expenses		1,108,965
Less:
Expenses waived by Adviser		(234,821	)
Net expenses		874,144
Net investment income		1,204,325
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		2,506,933
Investments in affiliated issuers		65,071
Swap agreements		8,896,223
Futures contracts		269,562
Net realized gain		11,737,789
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,960,246	)
Investments in affiliated issuers		(231,512	)
Swap agreements		(1,837,616	)
Futures contracts		(231,584	)
Net change in unrealized appreciation (depreciation)		(4,260,958	)
Net realized and unrealized gain		7,476,831
Net increase in net assets resulting from operations	$	8,681,156

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

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

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,204,325		$	2,211,533
Net realized gain on investments		11,737,789			25,960,711
Net change in unrealized appreciation (depreciation) on investments		(4,260,958	)		10,897,324
Net increase in net assets resulting from operations		8,681,156			39,069,568
Distributions to shareholders from:
Net investment income		—			(1,631,486	)
Total distributions to shareholders		—			(1,631,486	)
Capital share transactions:
Proceeds from sale of shares		3,632,176			7,756,999
Distributions reinvested		—			1,631,486
Cost of shares redeemed		(34,098,534	)		(25,743,335	)
Net decrease from capital share transactions		(30,466,358	)		(16,354,850	)
Net increase (decrease) in net assets		(21,785,202	)		21,083,232
Net assets:
Beginning of period		187,897,077			166,813,845
End of period	$	166,111,875		$	187,897,077
Undistributed net investment income at end of period	$	3,416,814		$	2,212,489
Capital share activity:
Shares sold		58,672			144,774
Shares issued from reinvestment of distributions		—			30,146
Shares redeemed		(534,593	)		(478,624	)
Net decrease in shares		(475,921	)		(303,704	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	59.82		$	48.43		$	45.15		$	49.12		$	43.45		$	33.29
Income (loss) from investment operations:
Net investment income (loss)b		.39			.67			.52			.31			.49			.06
Net gain (loss) on investments (realized and unrealized)		2.12			11.22			3.37			(.10	)		5.18			10.10
Total from investment operations		2.51			11.89			3.89			.21			5.67			10.16
Less distributions from:
Net investment income		—			(.50	)		(.33	)		(.56	)		—			—
Net realized gains		—			—			(.28	)		(3.62	)		—			—
Total distributions		—			(.50	)		(.61	)		(4.18	)		—			—
Net asset value, end of period	$	62.33		$	59.82		$	48.43		$	45.15		$	49.12		$	43.45
Total Returnc		4.20	%		24.67	%		8.65	%		(0.08	%)		13.05	%		30.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	166,112		$	187,897		$	166,814		$	148,009		$	163,066		$	157,131
Ratios to average net assets:
Net investment income (loss)		1.28	%		1.25	%		1.14	%		0.63	%		1.06	%		0.17	%
Total expensesd		1.18	%		1.14	%		0.98	%		0.97	%		0.98	%		0.98	%
Net expensese,f		0.94	%		0.94	%		0.95	%		0.97	%		0.96	%		0.98	%
Portfolio turnover rate		34	%		49	%		57	%		70	%		100	%		245	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expense that are excluded from the expense limitation agreement. Excluding these expenses, the expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.94%	0.92%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

SERIES N (MANAGED ASSET ALLOCATION SERIES)

OBJECTIVE: Seeks to provide 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.

Inception Date: June 1, 1995

Ten Largest Holdings (% of Total Net Assets)
Vanguard S&P 500 ETF	17.0%
SPDR S&P 500 ETF Trust	16.6%
iShares Core U.S. Aggregate Bond ETF	15.6%
Guggenheim Variable Insurance Strategy Fund III	15.0%
Guggenheim Strategy Fund III	10.7%
iShares iBoxx $ Investment Grade Corporate Bond ETF	7.8%
iShares Core S&P Mid-Capital ETF	6.0%
Guggenheim Strategy Fund II	3.7%
iShares MSCI EAFE ETF	3.5%
Guggenheim Strategy Fund I	2.1%
Top Ten Total	98.0%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series N (Managed Asset Allocation Series)	0.00%	6.81%	7.78%	6.44%
Blended Index**	1.00%	8.34%	8.97%	7.84%
S&P 500 Index	2.65%	14.37%	13.42%	10.17%
Bloomberg Barclays U.S. Aggregate Bond Index	(1.62%)	(0.40%)	2.27%	3.72%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and Bloomberg Barclays U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns.

** The Blended Index is 60% S&P 500 Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 61

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES N (MANAGED ASSET ALLOCATION SERIES)

	Shares		Value
EXCHANGE-TRADED FUNDS† - 66.4%
Vanguard S&P 500 ETF		32,632	$	8,142,010
SPDR S&P 500 ETF Trust		29,266		7,939,281
iShares Core U.S. Aggregate Bond ETF		70,247		7,468,661
iShares iBoxx $ Investment Grade Corporate Bond ETF		32,507		3,724,327
iShares Core S&P Mid-Capital ETF		14,684		2,860,150
iShares MSCI EAFE ETF		24,928		1,669,428
iShares Core S&P 500 ETF		2		546
Total Exchange-Traded Funds
(Cost $22,655,220)				31,804,403
MUTUAL FUNDS† - 31.5%
Guggenheim Variable Insurance Strategy Fund III1		287,346		7,203,764
Guggenheim Strategy Fund III1		205,544		5,136,538
Guggenheim Strategy Fund II1		70,237		1,755,233
Guggenheim Strategy Fund I1		39,418		987,022
Total Mutual Funds
(Cost $15,033,279)				15,082,557
MONEY MARKET FUND† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Class 1.68%2		68,236		68,236
Total Money Market Fund
(Cost $68,236)				68,236

	Face Amount
U.S. TREASURY BILLS†† - 1.1%
U.S. Treasury Bill
1.72% due 07/12/183,4,5	$	540,000		539,748
Total U.S. Treasury Bill
(Cost $539,706)				539,748
Total Investments - 99.2%
(Cost $38,296,441)			$	47,494,944
Other Assets & Liabilities, net - 0.8%				398,074
Total Net Assets - 100.0%			$	47,893,018

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation/ (Depreciation)**
Interest Rate Futures Contracts Purchased†
U.S. Treasury 10 Year Note Futures Contracts		58		Sep 2018	$	6,969,969	$	36,165
U.S. Treasury 2 Year Note Futures Contracts		18		Sep 2018		3,813,187		(871	)
					$	10,783,156	$	35,294
Equity Futures Contracts Purchased†
SPI 200 Index Futures Contracts		1		Sep 2018	$	114,296	$	212
FTSE 100 Index Futures Contracts		2		Sep 2018		199,704		130
DAX Index Futures Contracts		1		Sep 2018		358,156		1
Dow Jones Industrial Average Index Mini Futures Contracts		1		Sep 2018		121,300		(2,224	)
S&P MidCap 400 Index Mini Futures Contracts		1		Sep 2018		195,610		(5,222	)
CAC 40 10 Euro Index Futures Contracts		5		Jul 2018		309,377		(8,936	)
Russell 2000 Index Mini Futures Contracts		26		Sep 2018		2,140,710		(33,970	)
S&P 500 Index Mini Futures Contracts		12		Sep 2018		1,632,450		(35,958	)
MSCI EAFE Index Mini Futures Contracts		61		Sep 2018		5,963,665		(204,236	)
					$	11,035,268	$	(290,203	)
Equity Futures Contracts Sold Short†
Nikkei 225 (CME) Index Futures Contracts		2		Sep 2018	$	222,650	$	2,443
Hang Seng Index Futures Contracts††		1		Jul 2018		182,284		864
Amsterdam Index Futures Contracts		3		Jul 2018		384,633		29
S&P/TSX 60 IX Index Futures Contracts		1		Sep 2018		146,627		(154	)
					$	936,194	$	3,182
Currency Futures Contracts Sold Short†
Japanese Yen Futures Contracts		1		Sep 2018	$	113,494	$	341

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES N (MANAGED ASSET ALLOCATION SERIES)

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Affiliated issuer.

² Rate indicated is the 7 day yield as of June 30, 2018.

³ Rate indicated is the effective yield at the time of purchase.

⁴ Zero coupon rate security.

⁵ All or a portion of this security is pledged as futures collateral at June 30, 2018.

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Exchange-Traded Funds	$	31,804,403	$	—	$	—	$	31,804,403
Mutual Funds		15,082,557		—		—		15,082,557
Money Market Fund		68,236		—		—		68,236
U.S. Treasury Bill		—		539,748		—		539,748
Interest Rate Futures Contracts*		36,165		—		—		36,165
Equity Futures Contracts*		2,815		864		—		3,679
Currency Futures Contracts*		341		—		—		341
Total Assets	$	46,994,517	$	540,612	$	—	$	47,535,129

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts*	$	290,700	$	—	$	—	$	290,700
Interest Rate Futures Contracts*		871		—		—		871
Total Liabilities	$	291,571	$	—	$	—	$	291,571

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES N (MANAGED ASSET ALLOCATION SERIES)

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Depreciation			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Strategy Fund I	$	975,735	$	12,074	$	—		$	—	$	(787	)	$	987,022		39,418	$	12,045
Guggenheim Strategy Fund II		1,734,496		22,143		—			—		(1,406	)		1,755,233		70,237		22,082
Guggenheim Strategy Fund III		3,884,546		1,258,645		—			—		(6,653	)		5,136,538		205,544		58,393
Guggenheim Variable Insurance Strategy Fund III		8,705,430		110,449		(1,600,000	)		7,649		(19,764	)		7,203,764		287,346		110,010
	$	15,300,207	$	1,403,311	$	(1,600,000	)	$	7,649	$	(28,610	)	$	15,082,557			$	202,530

64 | 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, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $23,263,162)	$	32,412,387
Investments in affiliated issuers, at value (cost $15,033,279)		15,082,557
Cash		21,610
Segregated cash with broker		10,579
Prepaid expenses		742
Receivables:
Securities sold		299,585
Dividends		128,211
Variation margin on futures contracts		36,693
Interest		342
Fund shares sold		330
Total assets		47,993,036
Liabilities:
Foreign currency, at value (cost $2,215)		2,229
Payable for:
Securities purchased		41,075
Management fees		16,303
Distribution and service fees		10,190
Direct shareholders expense		7,721
Fund shares redeemed		5,260
Fund accounting/administration fees		3,261
Transfer agent/maintenance fees		2,368
Trustees’ fees*		305
Miscellaneous		11,306
Total liabilities		100,018
Commitments and contingent liabilities (Note 13)		—
Net assets	$	47,893,018
Net assets consist of:
Paid in capital	$	33,282,631
Undistributed net investment income		994,919
Accumulated net realized gain on investments		4,668,365
Net unrealized appreciation on investments		8,947,103
Net assets	$	47,893,018
Capital shares outstanding		1,511,810
Net asset value per share	$	31.68

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers	$	348,330
Dividends from securities of affiliated issuers		202,530
Interest		8,134
Total investment income		558,994
Expenses:
Management fees		100,813
Distribution and service fees		63,008
Transfer agent/maintenance fees		12,618
Fund accounting/administration fees		20,163
Professional fees		13,884
Printing expenses		13,254
Trustees’ fees*		4,463
Custodian fees		1,395
Line of credit fees		850
Miscellaneous		4,478
Total expenses		234,926
Net investment income		324,068
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,157,143
Investments in affiliated issuers		7,649
Futures contracts		178,092
Foreign currency transactions		(588	)
Net realized gain		1,342,296
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,269,056	)
Investments in affiliated issuers		(28,610	)
Futures contracts		(360,587	)
Foreign currency translations		(22	)
Net change in unrealized appreciation (depreciation)		(1,658,275	)
Net realized and unrealized loss		(315,979	)
Net increase in net assets resulting from operations	$	8,089

* 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 | 65

SERIES N (MANAGED ASSET ALLOCATION SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	324,068		$	671,191
Net realized gain on investments		1,342,296			3,715,662
Net change in unrealized appreciation (depreciation) on investments		(1,658,275	)		2,587,455
Net increase in net assets resulting from operations		8,089			6,974,308
Distributions to shareholders from:
Net investment income		—			(765,756	)
Net realized gains		—			(1,098,079	)
Total distributions to shareholders		—			(1,863,835	)
Capital share transactions:
Proceeds from sale of shares		2,051,889			2,133,618
Distributions reinvested		—			1,863,835
Cost of shares redeemed		(5,247,115	)		(10,867,437	)
Net decrease from capital share transactions		(3,195,226	)		(6,869,984	)
Net decrease in net assets		(3,187,137	)		(1,759,511	)
Net assets:
Beginning of period		51,080,155			52,839,666
End of period	$	47,893,018		$	51,080,155
Undistributed net investment income at end of period	$	994,919		$	670,851
Capital share activity:
Shares sold		64,120			69,813
Shares issued from reinvestment of distributions		—			62,107
Shares redeemed		(164,911	)		(357,732	)
Net decrease in shares		(100,791	)		(225,812	)

66 | 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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	31.68		$	28.74		$	27.43		$	27.67		$	25.93		$	22.68
Income (loss) from investment operations:
Net investment income (loss)b		.20			.39			.40			.32			.23			.08
Net gain (loss) on investments (realized and unrealized)		(.20	)		3.68			1.78			(.28	)		1.51			3.17
Total from investment operations		—			4.07			2.18			.04			1.74			3.25
Less distributions from:
Net investment income		—			(.46	)		(.33	)		(.28	)		—			—
Net realized gains		—			(.67	)		(.54	)		—			—			—
Total distributions		—			(1.13	)		(.87	)		(.28	)		—			—
Net asset value, end of period	$	31.68		$	31.68		$	28.74		$	27.43		$	27.67		$	25.93
Total Returnc		0.00	%		14.39	%		8.01	%		0.11	%		6.71	%		14.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	47,893		$	51,080		$	52,840		$	52,629		$	60,319		$	65,375
Ratios to average net assets:
Net investment income (loss)		1.29	%		1.29	%		1.42	%		1.14	%		0.87	%		0.32	%
Total expensesd		0.93	%		0.98	%		0.92	%		0.94	%		0.93	%		1.07	%
Portfolio turnover rate		3	%		1	%		6	%		3	%		14	%		3	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 | 67

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.	2.9%
Chevron Corp.	2.6%
Bank of America Corp.	2.2%
Exxon Mobil Corp.	2.1%
Berkshire Hathaway, Inc. — Class B	1.8%
Intel Corp.	1.7%
Citigroup, Inc.	1.6%
Cisco Systems, Inc.	1.6%
Zions Bancorporation	1.5%
Merck & Company, Inc.	1.4%
Top Ten Total	19.4%

“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 Month‡	1 Year	5 Year	10 Year
Series O (All Cap Value Series)	0.78%	11.66%	10.84%	9.04%
Russell 3000 Value Index	(1.16%)	7.25%	10.40%	8.60%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 3000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

68 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 97.6%
Financial - 28.4%
JPMorgan Chase & Co.		33,517	$	3,492,471
Bank of America Corp.		91,972		2,592,691
Berkshire Hathaway, Inc. — Class B*		11,247		2,099,253
Citigroup, Inc.		29,478		1,972,668
Zions Bancorporation		33,481		1,764,114
Wells Fargo & Co.		30,904		1,713,318
BB&T Corp.		24,364		1,228,920
SunTrust Banks, Inc.		15,951		1,053,085
KeyCorp		52,349		1,022,899
Allstate Corp.		8,262		754,073
Huntington Bancshares, Inc.		48,966		722,738
Charles Schwab Corp.		14,070		718,977
Welltower, Inc. REIT		11,465		718,741
Wintrust Financial Corp.		8,134		708,065
Jefferies Financial Group, Inc.		30,643		696,822
Piedmont Office Realty Trust, Inc. — Class A REIT		33,639		670,425
Principal Financial Group, Inc.		12,297		651,126
Liberty Property Trust REIT		14,377		637,332
Equity Commonwealth REIT*		19,615		617,873
Morgan Stanley		13,028		617,527
Omega Healthcare Investors, Inc. REIT		19,280		597,680
Alleghany Corp.		895		514,598
Loews Corp.		10,075		486,421
Umpqua Holdings Corp.		21,084		476,288
Alliance Data Systems Corp.		1,943		453,107
Regions Financial Corp.		25,276		449,407
Alexandria Real Estate Equities, Inc. REIT		3,552		448,156
Prosperity Bancshares, Inc.		6,157		420,892
Realogy Holdings Corp.		17,081		389,447
Voya Financial, Inc.		8,048		378,256
First Horizon National Corp.		21,002		374,676
Sun Communities, Inc. REIT		3,748		366,854
Cousins Properties, Inc. REIT		36,967		358,210
T. Rowe Price Group, Inc.		3,041		353,030
American International Group, Inc.		6,054		320,983
CoreCivic, Inc. REIT		12,899		308,157
National Storage Affiliates Trust REIT		9,797		301,944
IBERIABANK Corp.		3,916		296,833
Pinnacle Financial Partners, Inc.		4,691		287,793
LaSalle Hotel Properties REIT		7,619		260,798
Redwood Trust, Inc. REIT		14,098		232,194
Radian Group, Inc.		13,795		223,755
Camden Property Trust REIT		2,443		222,631
Federated Investors, Inc. — Class B		9,468		220,794
Lexington Realty Trust REIT		24,463		213,562
Howard Hughes Corp.*		1,567		207,627
Physicians Realty Trust REIT		11,879		189,351
American National Insurance Co.		676		80,843
Hilltop Holdings, Inc.		3,395		74,928
Customers Bancorp, Inc.*		698		19,809
Total Financial				33,982,142
Consumer, Non-cyclical - 19.6%
Merck & Company, Inc.		28,455		1,727,219
Pfizer, Inc.		46,591		1,690,321
Hormel Foods Corp.		44,982		1,673,780
Johnson & Johnson		11,497		1,395,046
Bunge Ltd.		16,852		1,174,753
Amgen, Inc.		5,822		1,074,683
Procter & Gamble Co.		13,024		1,016,653
UnitedHealth Group, Inc.		3,298		809,131
HCA Healthcare, Inc.		7,630		782,838
Quest Diagnostics, Inc.		6,758		742,974
Tyson Foods, Inc. — Class A		9,842		677,622
Archer-Daniels-Midland Co.		14,304		655,553
Zimmer Biomet Holdings, Inc.		5,837		650,475
Express Scripts Holding Co.*		8,360		645,476
CVS Health Corp.		9,374		603,217
Humana, Inc.		1,852		551,211
United Therapeutics Corp.*		4,738		536,104
Ingredion, Inc.		4,775		528,593
DaVita, Inc.*		6,941		481,983
Emergent BioSolutions, Inc.*		9,459		477,585
AmerisourceBergen Corp. — Class A		4,951		422,172
Conagra Brands, Inc.		11,615		415,004
Eagle Pharmaceuticals, Inc.*		5,374		406,597
Medtronic plc		4,628		396,203
Encompass Health Corp.		5,387		364,808
Myriad Genetics, Inc.*		9,535		356,323
Central Garden & Pet Co. — Class A*		8,346		337,763
Premier, Inc. — Class A*		9,167		333,495
Euronet Worldwide, Inc.*		3,409		285,572
Mylan N.V.*		7,695		278,097
Philip Morris International, Inc.		3,118		251,747
US Foods Holding Corp.*		5,992		226,617
Hostess Brands, Inc.*		16,594		225,678
SP Plus Corp.*		5,599		208,283
Perrigo Company plc		2,563		186,868
Fresh Del Monte Produce, Inc.		4,098		182,566
Patterson Companies, Inc.		7,141		161,887
ACCO Brands Corp.		11,684		161,823
Sanderson Farms, Inc.		978		102,837
Inovio Pharmaceuticals, Inc.*		25,751		100,944
MoneyGram International, Inc.*		12,151		81,290
Lannett Company, Inc.*		4,895		66,572
Total Consumer, Non-cyclical				23,448,363
Energy - 12.4%
Chevron Corp.		24,806		3,136,223
Exxon Mobil Corp.		30,780		2,546,429
Hess Corp.		22,671		1,516,463
Kinder Morgan, Inc.		80,227		1,417,611
Whiting Petroleum Corp.*		25,364		1,337,190
Range Resources Corp.		70,480		1,179,130
Marathon Oil Corp.		51,739		1,079,276
Oasis Petroleum, Inc.*		48,201		625,167
Diamondback Energy, Inc.		4,509		593,249
Antero Resources Corp.*		22,487		480,098
Rowan Companies plc — Class A*		27,254		442,060

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
MRC Global, Inc.*		12,443	$	269,640
Cimarex Energy Co.		2,173		221,081
Total Energy				14,843,617
Industrial - 8.7%
Carlisle Companies, Inc.		9,174		993,636
WestRock Co.		16,904		963,866
Corning, Inc.		34,866		959,164
Republic Services, Inc. — Class A		12,145		830,232
Owens Corning		8,955		567,478
General Electric Co.		39,208		533,621
Eaton Corporation plc		6,391		477,663
Crane Co.		5,196		416,356
Jabil, Inc.		14,430		399,134
FLIR Systems, Inc.		7,049		366,337
Timken Co.		7,048		306,940
ITT, Inc.		5,326		278,390
Scorpio Tankers, Inc.		99,025		278,260
Honeywell International, Inc.		1,687		243,012
Hub Group, Inc. — Class A*		4,876		242,825
KLX, Inc.*		3,276		235,544
AAR Corp.		4,967		230,916
Greenbrier Companies, Inc.		4,282		225,875
Jacobs Engineering Group, Inc.		3,524		223,739
Park Electrochemical Corp.		9,552		221,511
GasLog Ltd.		11,406		217,855
Snap-on, Inc.		1,340		215,365
Rexnord Corp.*		7,211		209,552
Huntington Ingalls Industries, Inc.		964		208,986
Celadon Group, Inc.*		66,481		198,778
Kirby Corp.*		1,659		138,692
Astec Industries, Inc.		1,791		107,102
Plexus Corp.*		1,388		82,641
Total Industrial				10,373,470
Utilities - 7.6%
Ameren Corp.		23,564		1,433,869
OGE Energy Corp.		35,149		1,237,596
Exelon Corp.		24,912		1,061,251
Public Service Enterprise Group, Inc.		18,280		989,679
Pinnacle West Capital Corp.		11,666		939,813
Duke Energy Corp.		11,867		938,442
Edison International		13,828		874,898
Portland General Electric Co.		9,436		403,483
Black Hills Corp.		6,164		377,299
AES Corp.		26,360		353,488
ONE Gas, Inc.		3,460		258,600
Southwest Gas Holdings, Inc.		2,954		225,302
Total Utilities				9,093,720
Consumer, Cyclical - 7.0%
Walmart, Inc.		10,632		910,631
DR Horton, Inc.		20,844		854,604
Southwest Airlines Co.		15,677		797,646
PVH Corp.		4,725		707,427
Lear Corp.		3,747		696,230
UniFirst Corp.		3,647		645,154
JetBlue Airways Corp.*		31,602		599,806
PACCAR, Inc.		5,968		369,777
Carnival Corp.		6,416		367,701
Acushnet Holdings Corp.		13,323		325,880
Caleres, Inc.		8,849		304,317
Goodyear Tire & Rubber Co.		12,177		283,603
Macy’s, Inc.		7,047		263,769
GMS, Inc.*		9,680		262,231
Newell Brands, Inc.		9,343		240,956
LCI Industries		2,598		234,210
Unifi, Inc.*		5,569		176,537
Movado Group, Inc.		3,547		171,320
Genesco, Inc.*		2,554		101,394
Total Consumer, Cyclical				8,313,193
Technology - 5.1%
Intel Corp.		41,511		2,063,512
Apple, Inc.		3,820		707,120
Cray, Inc.*		24,636		606,046
VMware, Inc. — Class A*		4,024		591,407
Xerox Corp.		24,618		590,832
Conduent, Inc.*		19,345		351,499
Super Micro Computer, Inc.*		11,954		282,712
Qorvo, Inc.*		3,398		272,417
QUALCOMM, Inc.		4,700		263,764
Maxwell Technologies, Inc.*		45,380		235,976
Oracle Corp.		4,202		185,140
Total Technology				6,150,425
Basic Materials - 4.5%
Nucor Corp.		20,291		1,268,188
Reliance Steel & Aluminum Co.		13,408		1,173,736
Steel Dynamics, Inc.		14,339		658,877
DowDuPont, Inc.		9,817		647,137
Cabot Corp.		10,312		636,972
Freeport-McMoRan, Inc.		20,221		349,015
Alcoa Corp.*		4,648		217,898
Ashland Global Holdings, Inc.		2,724		212,962
Tahoe Resources, Inc.*		40,146		197,518
Total Basic Materials				5,362,303
Communications - 4.3%
Cisco Systems, Inc.		43,196		1,858,724
Verizon Communications, Inc.		23,544		1,184,499
AT&T, Inc.		22,943		736,700
Ciena Corp.*		19,300		511,643
Finisar Corp.*		17,049		306,882
Acacia Communications, Inc.*		8,746		304,448
Viavi Solutions, Inc.*		29,156		298,557
Total Communications				5,201,453
Total Common Stocks
(Cost $94,102,953)				116,768,686

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
MONEY MARKET FUND† - 2.6%
Dreyfus Treasury Prime Cash Management Fund — Institutional Class 1.68%1		3,072,202	$	3,072,202
Total Money Market Fund
(Cost $3,072,202)				3,072,202
Total Investments - 100.2%
(Cost $97,175,155)			$	119,840,888
Other Assets & Liabilities, net - (0.2)%				(253,046	)
Total Net Assets - 100.0%			$	119,587,842

* 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, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	116,768,686	$	—	$	—	$	116,768,686
Money Market Fund		3,072,202		—		—		3,072,202
Total Assets	$	119,840,888	$	—	$	—	$	119,840,888

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SERIES O (ALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments, at value (cost $97,175,155)	$	119,840,888
Prepaid expenses		1,798
Receivables:
Securities sold		937,687
Dividends		114,286
Interest		1,711
Total assets		120,896,370
Liabilities:
Payable for:
Securities purchased		1,026,590
Fund shares redeemed		149,771
Management fees		44,573
Distribution and service fees		25,542
Fund accounting/administration fees		8,174
Transfer agent/maintenance fees		2,355
Trustees’ fees*		493
Miscellaneous		51,030
Total liabilities		1,308,528
Commitments and contingent liabilities (Note 13)		—
Net assets	$	119,587,842
Net assets consist of:
Paid in capital	$	78,140,805
Undistributed net investment income		2,031,546
Accumulated net realized gain on investments		16,749,758
Net unrealized appreciation on investments		22,665,733
Net assets	$	119,587,842
Capital shares outstanding		3,299,112
Net asset value per share	$	36.25

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends	$	1,256,844
Interest		11,351
Total investment income		1,268,195
Expenses:
Management fees		444,118
Distribution and service fees		158,613
Transfer agent/maintenance fees		12,553
Fund accounting/administration fees		50,757
Printing expenses		35,426
Trustees’ fees*		4,464
Custodian fees		4,338
Line of credit fees		2,590
Miscellaneous		21,542
Total expenses		734,401
Less:
Expenses waived by Adviser		(177,759	)
Net expenses		556,642
Net investment income		711,553
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		7,567,048
Net realized gain		7,567,048
Net change in unrealized appreciation (depreciation) on:
Investments		(7,200,101	)
Net change in unrealized appreciation (depreciation)		(7,200,101	)
Net realized and unrealized gain		366,947
Net increase in net assets resulting from operations	$	1,078,500

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

72 | 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 June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	711,553		$	881,214
Net realized gain on investments		7,567,048			11,334,170
Net change in unrealized appreciation (depreciation) on investments		(7,200,101	)		5,628,145
Net increase in net assets resulting from operations		1,078,500			17,843,529
Distributions to shareholders from:
Net investment income		—			(1,377,356	)
Net realized gains		—			(8,869,647	)
Total distributions to shareholders		—			(10,247,003	)
Capital share transactions:
Proceeds from sale of shares		1,731,339			9,056,833
Distributions reinvested		—			10,247,003
Cost of shares redeemed		(15,992,870	)		(22,496,351	)
Net decrease from capital share transactions		(14,261,531	)		(3,192,515	)
Net increase (decrease) in net assets		(13,183,031	)		4,404,011
Net assets:
Beginning of period		132,770,873			128,366,862
End of period	$	119,587,842		$	132,770,873
Undistributed net investment income at end of period	$	2,031,546		$	1,319,993
Capital share activity:
Shares sold		47,742			261,539
Shares issued from reinvestment of distributions		—			312,504
Shares redeemed		(439,757	)		(653,261	)
Net decrease in shares		(392,015	)		(79,218	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	35.97		$	34.05		$	29.30		$	35.35		$	32.85		$	24.66
Income (loss) from investment operations:
Net investment income (loss)b		.20			.24			.45			.43			.31			.24
Net gain (loss) on investments (realized and unrealized)		.08			4.51			6.01			(1.80	)		2.19			7.95
Total from investment operations		.28			4.75			6.46			(1.37	)		2.50			8.19
Less distributions from:
Net investment income		—			(.38	)		(.48	)		(.33	)		(—	)c		—
Net realized gains		—			(2.45	)		(1.23	)		(4.35	)		—			—
Total distributions		—			(2.83	)		(1.71	)		(4.68	)		(—	)c		—
Net asset value, end of period	$	36.25		$	35.97		$	34.05		$	29.30		$	35.35		$	32.85
Total Returnd		0.78	%		14.77	%		22.71	%		(4.70	%)		7.61	%		33.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	119,588		$	132,771		$	128,367		$	120,113		$	147,317		$	153,702
Ratios to average net assets:
Net investment income (loss)		1.12	%		0.69	%		1.48	%		1.33	%		0.92	%		0.81	%
Total expenses		1.16	%		1.11	%		0.90	%		0.92	%		0.89	%		0.90	%
Net expensese,f,g		0.88	%		0.89	%		0.90	%		0.92	%		0.89	%		0.90	%
Portfolio turnover rate		16	%		33	%		47	%		39	%		49	%		22	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

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

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.88%	0.88%	N/A	N/A	N/A	N/A

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
N/A	0.00%*	N/A	N/A	N/A	N/A

* Less than 0.01%.

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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)
Vector Group Ltd., 6.13%	2.1%
LBC Tank Terminals Holding Netherlands BV, 6.88%	2.0%
MDC Partners, Inc., 6.50%	1.9%
FBM Finance, Inc., 8.25%	1.9%
Unit Corp., 6.63%	1.8%
Altice France S.A., 7.38%	1.7%
EIG Investors Corp., 10.88%	1.6%
Eldorado Gold Corp., 6.13%	1.6%
Grinding Media Inc. / MC Grinding Media Canada Inc., 7.38%	1.6%
Valeant Pharmaceuticals International, Inc., 7.00%	1.5%
Top Ten Total	17.7%

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 75

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) June 30, 2018

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series P (High Yield Series)	(0.96%)	1.59%	4.96%	7.82%
Bloomberg Barclays U.S. Corporate High Yield Index	0.16%	2.62%	5.51%	8.19%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
A	0.6%
B	38.1%
BB	42.1%
BBB	4.0%
CCC	8.3%
NR2	2.7%
Other Instruments	4.2%
Total Investments	100.0%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

¹ Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poors (“S&P”), or Fitch, which are all 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. Security ratings are determined at the time of purchase and may change thereafter.

² NR securities do not necessarily indicate low credit quality.

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

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

	Shares		Value
COMMON STOCKS† - 0.9%
Energy - 0.4%
SandRidge Energy, Inc.*		14,596	$	258,933
Approach Resources, Inc.*		6,367		15,535
Titan Energy LLC*		10,783		3,235
Comstock Resources, Inc.*		1		11
Total Energy				277,714
Utilities - 0.4%
TexGen Power LLC*,†††		7,929		273,550
Communications - 0.1%
Cengage Learning Acquisitions, Inc.*,††		2,107		19,972
Aimia, Inc.*		5		9
Total Communications				19,981
Technology - 0.0%
Aspect Software, Inc.*,†††,1,2		37		751
Total Technology				751
Financial - 0.0%
Jefferies Financial Group, Inc.		247		5,617
Adelphia Recovery Trust†††,1		5,270		—
Total Financial				5,617
Consumer, Non-cyclical - 0.0%
Crimson Wine Group Ltd.*		24		222
MEDIQ, Inc.*,†††,1		92		—
Total Consumer, Non-cyclical				222
Consumer, Cyclical - 0.0%
Delta Air Lines, Inc.		1		50
Chorus Aviation, Inc.		3		16
Total Consumer, Cyclical				66
Total Common Stocks
(Cost $2,261,493)				577,901
PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
U.S. Shipping Corp. *,1		24,529		3
Total Preferred Stocks
(Cost $625,000)				3
WARRANTS††† - 0.0%
Aspect Software Inc.1,2		1,294		203
Total Warrants
(Cost $—)				203
EXCHANGE-TRADED FUNDS† - 2.0%
SPDR Bloomberg Barclays High Yield Bond ETF		26,350		934,898
iShares iBoxx $ High Yield Corporate Bond ETF		4,500		382,860
Total Exchange-Traded Funds
(Cost $1,372,954)				1,317,758
MONEY MARKET FUND† - 1.6%
Dreyfus Treasury Prime Cash Management Institutional — Shares 1.68%3		1,068,009		1,068,009
Total Money Market Fund
(Cost $1,068,009)				1,068,009

	Face Amount~
CORPORATE BONDS†† - 85.7%
Financial - 18.1%
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/204		655,000	658,098
7.50% due 04/15/214		400,000	406,000
6.88% due 04/15/224		400,000	399,000
7.25% due 08/15/244		400,000	392,000
FBM Finance, Inc.
8.25% due 08/15/214,5		1,200,000	1,249,500
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		750,000	731,250
Kennedy-Wilson, Inc.
5.88% due 04/01/24		730,000	708,100
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		700,000	700,875
Citigroup, Inc.
6.30% 6,7		650,000	659,692
Quicken Loans, Inc.
5.25% due 01/15/284		650,000	599,495
Lincoln Finance Ltd.
7.38% due 04/15/214		550,000	567,806
Hunt Companies, Inc.
6.25% due 02/15/264		575,000	536,188
GEO Group, Inc.
6.00% due 04/15/265		250,000	242,500
5.88% due 10/15/24		200,000	197,000
Wilton Re Finance LLC
5.88% due 03/30/334,7		400,000	420,234
Greystar Real Estate Partners LLC
5.75% due 12/01/254		375,000	363,750
CoreCivic, Inc.
4.75% due 10/15/27		400,000	363,000
LoanCore Capital Markets LLC / JLC Finance Corp.
6.88% due 06/01/204		350,000	354,375
AmWINS Group, Inc.
7.75% due 07/01/264		350,000	350,000
American Equity Investment Life Holding Co.
5.00% due 06/15/27		350,000	341,585
EPR Properties
5.75% due 08/15/22		300,000	314,560
Oxford Finance LLC / Oxford Finance Company-Issuer II, Inc.
6.38% due 12/15/224		300,000	304,500

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

		Face Amount~		Value
NFP Corp.
6.88% due 07/15/254			300,000	$	294,000
HUB International Ltd.
7.00% due 05/01/264			275,000		271,562
Goldman Sachs Group, Inc.
5.30% 6,7			250,000		244,375
USIS Merger Sub, Inc.
6.88% due 05/01/254			225,000		223,875
Assurant, Inc.
7.00% due 03/27/487			200,000		201,885
CIT Group, Inc.
6.13% due 03/09/28			50,000		51,375
Total Financial					12,146,580
Communications - 18.1%
Altice France S.A.
7.38% due 05/01/264,5			1,175,000		1,148,798
6.00% due 05/15/224			200,000		200,710
MDC Partners, Inc.
6.50% due 05/01/244			1,475,000		1,279,563
CCO Holdings LLC / CCO Holdings Capital Corp.
5.13% due 05/01/27			800,000		748,500
5.00% due 02/01/28			425,000		388,875
EIG Investors Corp.
10.88% due 02/01/24			1,000,000		1,101,500
Cengage Learning, Inc.
9.50% due 06/15/244			1,175,000		989,938
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
7.88% due 05/15/244			1,050,000		971,250
DISH DBS Corp.
5.88% due 11/15/245			1,000,000		846,250
7.75% due 07/01/26			125,000		109,531
CSC Holdings LLC
5.25% due 06/01/24			650,000		614,250
5.50% due 04/15/274			150,000		143,250
Level 3 Financing, Inc.
5.25% due 03/15/26			250,000		237,775
5.38% due 01/15/24			200,000		195,900
5.38% due 08/15/22			150,000		150,000
5.38% due 05/01/25			100,000		96,250
Virgin Media Secured Finance plc
5.00% due 04/15/27			450,000		579,130
UPCB Finance VII Ltd.	GBP
3.63% due 06/15/29	EUR		450,000		507,214
Telenet Finance Lux Note
3.50% due 03/01/28	EUR		400,000		441,560
Inmarsat Finance plc
4.88% due 05/15/224			425,000		417,562
Zayo Group LLC / Zayo Capital, Inc.
5.75% due 01/15/274			350,000		343,875
Charter Communications Operating LLC
4.20% due 03/15/28			225,000		210,640
Ziggo Bond Finance BV
5.88% due 01/15/254			200,000		186,878
Ziggo BV
5.50% due 01/15/274			200,000		186,820
Total Communications					12,096,019
Energy - 13.0%
Unit Corp.
6.63% due 05/15/21			1,225,000		1,221,937
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
9.25% due 12/15/214			980,000		960,400
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.63% due 12/01/21			605,000		480,975
8.00% due 12/01/20			410,000		348,500
Indigo Natural Resources LLC
6.88% due 02/15/264			850,000		820,250
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25			675,000		712,125
Moss Creek Resources Holdings, Inc.
7.50% due 01/15/264			650,000		637,000
PDC Energy, Inc.
5.75% due 05/15/264			450,000		445,500
6.13% due 09/15/24			50,000		51,000
Comstock Resources, Inc.
10.00% due 03/15/20			400,000		418,000
Covey Park Energy LLC / Covey Park Finance Corp.
7.50% due 05/15/254			350,000		357,000
Parkland Fuel Corp.
6.00% due 04/01/264			350,000		344,750
Pattern Energy Group, Inc.
5.88% due 02/01/244			325,000		325,000
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.75% due 04/15/25			275,000		261,250
Callon Petroleum Co.
6.13% due 10/01/24			250,000		253,125
Cheniere Corpus Christi Holdings LLC
5.88% due 03/31/25			200,000		208,000
CNX Resources Corp.
5.88% due 04/15/22			200,000		201,038
SRC Energy, Inc.
6.25% due 12/01/254			200,000		199,750
Jagged Peak Energy LLC
5.88% due 05/01/264			150,000		147,000
NuStar Logistics, LP
5.63% due 04/28/27			150,000		145,125
Trinidad Drilling Ltd.
6.63% due 02/15/254			150,000		144,375
Schahin II Finance Co. SPV Ltd.
5.88% due 09/25/228,9			173,733		24,323
Total Energy					8,706,423

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

		Face Amount~		Value
Consumer, Non-cyclical - 12.3%
Vector Group Ltd.
6.13% due 02/01/254,5			1,450,000	$	1,401,063
Valeant Pharmaceuticals International, Inc.
7.00% due 03/15/244			950,000		996,027
5.50% due 11/01/254			200,000		197,100
6.50% due 03/15/224,5			150,000		155,250
Great Lakes Dredge & Dock Corp.
8.00% due 05/15/22			900,000		920,250
Midas Intermediate Holdco II LLC
7.88% due 10/01/224			775,000		747,875
FAGE International S.A./ FAGE USA Dairy Industry, Inc.
5.63% due 08/15/264			660,000		607,200
Albertsons Companies, Inc.
6.09% (3 Month USD LIBOR + 3.75%) due 01/15/244,10			500,000		501,250
Post Holdings, Inc.
5.63% due 01/15/284			500,000		468,750
Avantor, Inc.
6.00% due 10/01/244			200,000		197,840
4.75% due 10/01/24	EUR		100,000		117,066
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
5.88% due 10/15/244			300,000		292,500
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/219			300,000		291,750
Graham Holdings Co.
5.75% due 06/01/264			250,000		252,500
Beverages & More, Inc.
11.50% due 06/15/224			250,000		215,000
Flexi-Van Leasing, Inc.
10.00% due 02/15/234			225,000		212,625
Acadia Healthcare Company, Inc.
6.50% due 03/01/24			200,000		205,000
Carriage Services, Inc.
6.63% due 06/01/264			200,000		202,750
Endo Finance LLC / Endo Finco, Inc.
5.38% due 01/15/234			125,000		100,000
7.25% due 01/15/224,5			75,000		69,000
Albertsons Companies LLC / Safeway Incorporated / New Albertsons Limited Partnership / Albertson’s LLC
5.75% due 03/15/25			100,000		88,500
Total Consumer, Non-cyclical					8,239,296
Consumer, Cyclical - 10.2%
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC
5.88% due 05/15/214			650,000		653,250
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/254			550,000		540,375
AMC Entertainment Holdings, Inc.
6.13% due 05/15/275			375,000		363,750
5.88% due 11/15/265			150,000		144,375
Carrols Restaurant Group, Inc.
8.00% due 05/01/22			450,000		468,000
Nathan’s Famous, Inc.
6.63% due 11/01/254			450,000		454,500
Ferrellgas, LP / Ferrellgas Finance Corp.
6.75% due 01/15/22			500,000		452,500
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/235			450,000		391,500
Suburban Propane Partners, LP / Suburban Energy Finance Corp.
5.50% due 06/01/24			350,000		339,500
VOC Escrow Ltd.
5.00% due 02/15/284			350,000		330,649
Delphi Technologies plc
5.00% due 10/01/254			340,000		324,275
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27			300,000		280,500
Pinnacle Bidco plc
6.38% due 02/15/25	GBP		200,000		265,437
Titan International, Inc.
6.50% due 11/30/234			250,000		249,375
Hilton Domestic Operating Company, Inc.
5.13% due 05/01/264			250,000		245,625
JB Poindexter & Company, Inc.
7.13% due 04/15/264			225,000		230,625
Williams Scotsman International, Inc.
7.88% due 12/15/224			210,000		217,350
MGM Resorts International
5.75% due 06/15/25			200,000		199,690
Lennar Corp.
5.00% due 06/15/27			170,000		162,775
L Brands, Inc.
7.60% due 07/15/37			175,000		159,250
Wyndham Hotels & Resorts, Inc.
5.38% due 04/15/264			125,000		124,062
Wabash National Corp.
5.50% due 10/01/254			115,000		110,400
Allison Transmission, Inc.
4.75% due 10/01/274			100,000		93,250
American Tire Distributors, Inc.
10.25% due 03/01/224			350,000		77,000
Total Consumer, Cyclical					6,878,013
Industrial - 5.8%
Grinding Media Inc. / MC Grinding Media Canada Inc.
7.38% due 12/15/234			1,050,000		1,094,625
Standard Industries, Inc.
4.75% due 01/15/284			650,000		596,375
Cleaver-Brooks, Inc.
7.88% due 03/01/234			400,000		412,000
Tutor Perini Corp.
6.88% due 05/01/254			299,000		299,374

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

		Face Amount~		Value
LKQ European Holdings BV
4.13% due 04/01/28	EUR		250,000	$	287,929
BWX Technologies, Inc.
5.38% due 07/15/264			250,000		253,125
Jeld-Wen, Inc.
4.88% due 12/15/274			250,000		232,500
Novelis Corp.
5.88% due 09/30/264,5			220,000		210,650
Itron, Inc.
5.00% due 01/15/264			150,000		142,455
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
7.25% due 05/15/244			125,000		130,000
New Enterprise Stone & Lime Company, Inc.
6.25% due 03/15/264,5			75,000		75,750
Wrangler Buyer Corp.
6.00% due 10/01/254			80,000		75,600
Kratos Defense & Security Solutions, Inc.
6.50% due 11/30/254			50,000		51,875
Total Industrial					3,862,258
Utilities - 3.7%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234,5			1,325,000		1,338,250
Terraform Global Operating LLC
6.13% due 03/01/264			625,000		617,187
AmeriGas Partners, LP / AmeriGas Finance Corp.
5.75% due 05/20/27			350,000		332,500
Superior Plus Limited Partnership / Superior General Partner, Inc.
7.00% due 07/15/264			200,000		201,500
Total Utilities					2,489,437
Basic Materials - 3.6%
Eldorado Gold Corp.
6.13% due 12/15/204,5			1,140,000		1,100,100
Big River Steel LLC / BRS Finance Corp.
7.25% due 09/01/254			400,000		411,040
Clearwater Paper Corp.
5.38% due 02/01/254			225,000		203,906
4.50% due 02/01/23			150,000		140,250
Yamana Gold, Inc.
4.95% due 07/15/24			300,000		299,673
Alcoa Nederland Holding BV
6.13% due 05/15/284			150,000		150,937
Mirabela Nickel Ltd.
9.50% due 06/24/198			390,085		85,819
Total Basic Materials					2,391,725
Technology - 0.9%
Infor US, Inc.
5.75% due 08/15/204			350,000		354,375
CDK Global, Inc.
5.88% due 06/15/26			150,000		152,850
Ascend Learning LLC
6.88% due 08/01/254			100,000		100,875
Total Technology					608,100
Total Corporate Bonds
(Cost $59,520,518)					57,417,851
SENIOR FLOATING RATE INTERESTS††,10 - 17.5%
Industrial - 5.5%
Pregis Holding I Corp.
5.83% (3 Month USD LIBOR + 3.50%) due 05/20/21			738,052		733,904
CPG International LLC
6.25% (6 Month USD LIBOR + 3.75%) due 05/05/24			485,890		485,079
Springs Window Fashions
6.32% (3 Month USD LIBOR + 4.25%) due 06/15/25			275,000		276,031
10.57% (3 Month USD LIBOR + 8.50%) due 06/15/26			150,000		144,000
Zodiac Pool Solutions LLC
8.00% (Commercial Prime Lending Rate + 3.00%) due 12/20/23			375,922		375,453
Hardware Holdings LLC
8.59% (1 Month USD LIBOR + 6.50%) due 03/30/20†††,1			275,625		259,777
Resource Label Group LLC
10.80% (3 Month USD LIBOR + 8.50%) due 11/26/23			250,000		247,500
Advanced Integration Technology LP
7.22% (3 Month USD LIBOR + 4.75%) due 04/03/23			223,508		222,949
Diversitech Holdings, Inc.
9.84% (3 Month USD LIBOR + 7.50%) due 06/02/25			200,000		201,500
Arctic Long Carriers
6.59% (1 Month USD LIBOR + 4.50%) due 05/18/23			198,000		198,248
TransDigm Group, Inc.
4.59% (1 Month USD LIBOR + 2.50%) due 05/31/25			199,500		197,786
ILPEA Parent, Inc.
6.85% (1 Month USD LIBOR + 4.75%) due 03/02/23			170,217		170,430
Argo Merchants
6.08% (3 Month USD LIBOR + 3.75%) due 12/06/24			149,271		149,457
Total Industrial					3,662,114
Consumer, Non-cyclical - 3.5%
IHC Holding Corp.
8.84% (1 Month USD LIBOR + 6.75%) due 04/30/21†††,1			520,654		516,961
Reddy Ice Holdings, Inc.
11.83% (3 Month USD LIBOR + 9.50%) due 11/01/19			530,000		502,837

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Immucor, Inc.
7.09% (1 Month USD LIBOR + 5.00%) due 06/15/21		346,500	$	350,111
Endo Luxembourg Finance Co.
6.38% (1 Month USD LIBOR + 4.25%) due 04/29/24		346,500		345,634
CTI Foods Holding Co. LLC
9.35% (1 Month USD LIBOR + 7.25%) due 06/28/21		300,000		223,125
Avantor, Inc.
6.09% (1 Month USD LIBOR + 4.00%) due 11/21/24		149,250		149,872
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
6.81% (3 Month USD LIBOR + 4.50%) due 04/03/25		149,625		149,625
Give and Go Prepared Foods Corp.
6.58% (3 Month USD LIBOR + 4.25%) due 07/29/23		129,025		120,961
Total Consumer, Non-cyclical				2,359,126
Consumer, Cyclical - 3.0%
BBB Industries, LLC
6.39% (1 Month USD LIBOR + 4.00% and Commercial Prime Lending Rate + 3.00%) due 11/04/19†††,1		465,000		447,491
6.59% (1 Month USD LIBOR + 4.50%) due 11/03/21		283,343		283,343
4.50% (3 Month USD LIBOR + 4.50%) due 06/26/25		150,000		148,875
Acosta, Inc.
5.56% (1 Month USD LIBOR + 3.25%) due 09/26/19		377,778		283,805
5.48% (3 Month USD LIBOR + 3.25%) due 09/26/19		111,111		83,472
Blue Nile, Inc.
8.59% (1 Month USD LIBOR + 6.50%) due 02/17/23		213,750		214,819
Amaya Holdings B.V.
3.50% (3 Month USD LIBOR + 3.50%) due 07/29/25		200,000		199,500
Truck Hero, Inc.
5.84% (1 Month USD LIBOR + 3.75%) due 04/22/24		150,000		149,749
Belk, Inc.
7.09% (3 Month USD LIBOR + 4.75%) due 12/12/22		145,847		112,484
Sears Roebuck Acceptance Corp.
6.51% (1 Month USD LIBOR + 3.50%) due 01/18/19		49,512		49,224
Mavis Tire Express Services Corp.
5.33% (1 Month USD LIBOR + 3.25%) due 03/20/25		48,001		47,521
Total Consumer, Cyclical				2,020,283
Communications - 2.2%
Cengage Learning Acquisitions, Inc.
6.34% (1 Month USD LIBOR + 4.25%) due 06/07/23		489,347		448,364
Unitymedia Finance LLC
4.07% (1 Month USD LIBOR + 2.00%) due 06/01/23		250,000		248,072
Mcgraw-Hill Global Education Holdings LLC
6.09% (1 Month USD LIBOR + 4.00%) due 05/04/22		247,455		241,682
GTT Communications, Inc.
4.88% (3 Month USD LIBOR + 2.75%) due 05/31/25		200,000		196,850
Imagine Print Solutions LLC
6.85% (1 Month USD LIBOR + 4.75%) due 06/21/22		197,500		181,700
Flight Bidco, Inc.
3.50% (3 Month USD LIBOR + 3.50%) due 06/07/25		150,000		149,438
Total Communications				1,466,106
Technology - 1.7%
Misys Ltd.
5.81% (3 Month USD LIBOR + 3.50%) due 06/13/24		545,875		535,716
Planview, Inc.
7.34% (1 Month USD LIBOR + 5.25%) due 01/27/23†††,1		345,625		342,545
Greenway Health LLC
6.08% (3 Month USD LIBOR + 3.75%) due 02/16/24		149,622		149,343
OEConnection LLC
6.10% (3 Month USD LIBOR + 4.00%) due 11/22/24		107,814		107,544
Aspect Software, Inc.
12.59% (1 Month USD LIBOR + 10.50%) due 05/25/202		14,467		13,418
Total Technology				1,148,566
Financial - 0.8%
York Risk Services
5.84% (1 Month USD LIBOR + 3.75%) due 10/01/21		366,667		355,010
iStar, Inc.
2.75% (3 Month USD LIBOR + 2.75%) due 06/19/23		150,000		149,438
Total Financial				504,448
Utilities - 0.5%
Invenergy Thermal Operating I, LLC
7.83% (3 Month USD LIBOR + 5.50%) due 10/19/22		364,149		360,507

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Energy - 0.3%
Permian Production Partners
8.09% (1 Month USD LIBOR + 6.00%) due 05/20/24		200,000	$	197,000
Total Senior Floating Rate Interests
(Cost $11,940,254)				11,718,150
SENIOR FIXED RATE INTERESTS†† - 0.4%
Energy - 0.1%
YAK MAT (YAK ACCESS LLC)
10.00% due 06/13/26		100,000		93,000
Total Senior Fixed Rate Interests
(Cost $93,000)				93,000
Total Investments - 107.8%
(Cost $76,881,228)			$	72,192,875
Other Assets & Liabilities, net - (7.8)%				(5,193,411	)
Total Net Assets - 100.0%			$	66,999,464

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty		Contracts to Sell		Currency	Settlement Date		Settlement Value		Value at June 30, 2018		Net Unrealized Appreciation
JPMorgan Chase & Co.	656,000		GBP			07/16/18	$	881,173	$	866,354	$	14,819
Goldman Sachs	1,199,000		EUR			07/16/18		1,415,348		1,401,554		13,794
JPMorgan Chase & Co.	615,000		CAD			07/16/18		474,719		467,986		6,733
											$	35,346

^~ The face amount is denominated in U.S. dollars unless otherwise indicated.

* Non-income producing security.

^† Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.

^†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.

^††† Value determined based on Level 3 inputs — See Note 4.

¹ Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $1,567,731, (cost $3,392,256) or 2.3% of total net assets.

² Affiliated issuer.

³ Rate indicated is the 7 day yield as of June 30, 2018.

⁴ Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $37,828,642 (cost $39,022,170), or 56.5% of total net assets.

⁵ All or a portion of these securities have been physically segregated or earmarked in connection with reverse repurchase agreements and/or unfunded loan commitments. As of June 30, 2018, the total market value of segregated or earmarked securities was $8,372,985.

⁶ Perpetual maturity.

⁷ Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

⁸ Security is in default of interest and/or principal obligations.

⁹ Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $316,073 (cost $414,097), or 0.5% of total net assets — See Note 9.

¹⁰ Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

USD — United States Dollar

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	283,628	$	19,972	$	274,301	$	577,901
Preferred Stocks		—		—		3		3
Warrants		—		—		203		203
Exchange-Traded Funds		1,317,758		—		—		1,317,758
Money Market Fund		1,068,009		—		—		1,068,009
Corporate Bonds		—		57,417,851		—		57,417,851
Senior Floating Rate Interests		—		10,151,376		1,566,774		11,718,150
Senior Fixed Rate Interests		—		93,000		—		93,000
Forward Foreign Currency Exchange Contracts*		—		35,346		—		35,346
Total Assets	$	2,669,395	$	67,717,545	$	1,841,281	$	72,228,221

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Unfunded Loan Commitments (Note 8)	$	—	$	127,210	$	64,890	$	192,100

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

The Fund may hold assets and /or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, reverse repurchase agreements of $7,398,926 are categorized as Level 2 within the disclosure hierarchy.

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

Category	Ending Balance at June 30, 2018		Valuation Technique	Unobservable Inputs	Input Range			Weighted Average
Assets
Common Stocks	$	273,550	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote		—			—
Common Stocks		751	Enterprise Value	Valuation Multiple		8.9x			—
Senior Floating Rate Interests		859,506	Yield Analysis	Yield		7.6%-9.1	%		8.5	%
Senior Floating Rate Interests		447,491	Model Price	Purchase Price		—			—
Senior Floating Rate Interests		259,777	Enterprise Value	Valuation Multiple		9.1x			—
Total Assets	$	1,841,075
Liabilities
Unfunded Loan Commitments	$	64,890	Model Price	Purchase Price		—			—

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

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

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES P (HIGH YIELD SERIES)

For the period ended June 30, 2018, the Fund had securities with a total value of $259,783 transfer out of Level 2 into Level 3 and securities (assets) with a total value of $367,277 and securities (liabilities) with a total value of $127,138 transfer out of Level 3 into Level 2 due to changes in the security valuation methods based on availability of vendor prices. There were no other securities that transferred between levels.

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, 2018:

	Assets														Liabilities
	Senior Floating Rate Interests			Warrants		Common Stocks			Preferred Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	2,239,189		$	—	$	228,015		$	—		$	2,467,204		$	(186,495	)
Purchases/(Receipts)		696,286			—		257,490			—			953,776			(73,179	)
(Sales, maturities and paydowns)/Fundings		(1,236,876	)		—		—			—			(1,236,876	)		128,656
Amortization of discount/premiums		32,639			—		—			—			32,639			—
Total realized gains or losses included in earnings		15,538			—		—			—			15,538			182,499
Total change in unrealized appreciation (depreciation) included in earnings		(72,505	)		203		(211,204	)		—			(283,506	)		(243,509	)
Transfers into Level 3		259,780			—		—			3			259,783			—
Transfers out of Level 3		(367,277	)		—		—			—			(367,277	)		127,138
Ending Balance	$	1,566,774		$	203	$	274,301		$	3		$	1,841,281		$	(64,890	)
Net Change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at June 30, 2018	$	29,616		$	203	$	(211,204	)	$	(25,753	)	$	(207,138	)	$	(18,419	)

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Appreciation/ (Depreciation)			Value 06/30/18		Shares 06/30/18		Investment Income
Common Stocks
Aspect Software Parent, Inc.1,2	$	228,015	$	—	$	—		$	—	$	(227,264	)	$	751		37	$	—
Senior Floating Rate Interests
Aspect Software, Inc. 12.59% (1 Month USD LIBOR + 10.50%) due 05/25/203		14,155		283		(328	)		142		(834	)		13,418		14,467		1,169
Warrants
Aspect Software, Inc.2		—		—		—			—		203			203		1,294		—
	$	242,170	$	283	$	(328	)	$	142	$	(227,895	)	$	14,372			$	1,169

¹ Non-income producing security.

² Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of affiliated fair valued securities amounts to $954 (cost $922,558) or less than 0.1% of total net assets.

³ Variable rate security. Rate indicated is rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

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

SERIES P (HIGH YIELD SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $75,944,203)	$	72,178,503
Investments in affiliated issuers, at value (cost $937,025)		14,372
Foreign currency, at value (cost $9,471)		9,524
Cash		11,826
Unrealized appreciation on forward foreign currency exchange contracts		35,346
Prepaid expenses		2,585
Receivables:
Securities sold		3,064,233
Interest		1,016,320
Foreign tax reclaims		1,250
Fund shares sold		367
Total assets		76,334,326
Liabilities:
Unfunded loan commitments, at value (Note 8) (proceeds $301,882)		192,100
Reverse Repurchase Agreements		7,398,926
Payable for:
Securities purchased		1,642,009
Management fees		25,807
Distribution and service fees		14,088
Fund shares redeemed		10,579
Fund accounting/administration fees		4,508
Transfer agent/maintenance fees		2,319
Trustees’ fees*		242
Miscellaneous		44,284
Total liabilities		9,334,862
Commitments and contingent liabilities (Note 13)		—
Net assets	$	66,999,464
Net assets consist of:
Paid in capital	$	66,860,152
Undistributed net investment income		7,901,634
Accumulated net realized loss on investments		(3,218,139	)
Net unrealized depreciation on investments		(4,544,183	)
Net assets	$	66,999,464
Capital shares outstanding		2,173,267
Net asset value per share	$	30.83

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers	$	28,448
Interest from securities of affiliated issuers		1,169
Interest from securities of unaffiliated issuers		2,591,892
Total investment income		2,621,509
Expenses:
Management fees		218,449
Distribution and service fees		91,020
Transfer agent/maintenance fees		12,593
Interest on reverse repurchase agreements		73,957
Fund accounting/administration fees		29,127
Custodian fees		15,161
Trustees’ fees*		5,195
Line of credit fees		2,567
Miscellaneous		46,802
Total expenses		494,871
Less:
Expenses waived by Adviser		(35,829	)
Net expenses		459,042
Net investment income		2,162,467
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(931,008	)
Investments in affiliated issuers		142
Foreign currency transactions		31,173
Forward foreign currency exchange contracts		5,885
Net realized loss		(893,808	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,913,211	)
Investments in affiliated issuers		(227,895	)
Foreign currency translations		(313	)
Forward foreign currency exchange contracts		68,675
Net change in unrealized appreciation (depreciation)		(2,072,744	)
Net realized and unrealized loss		(2,966,552	)
Net decrease in net assets resulting from operations	$	(804,085	)

* 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 | 85

SERIES P (HIGH YIELD SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,162,467		$	5,134,441
Net realized gain (loss) on investments		(893,808	)		1,378,907
Net change in unrealized appreciation (depreciation) on investments		(2,072,744	)		(1,192,572	)
Net increase (decrease) in net assets resulting from operations		(804,085	)		5,320,776
Distributions to shareholders from:
Net investment income		—			(4,444,487	)
Total distributions to shareholders		—			(4,444,487	)
Capital share transactions:
Proceeds from sale of shares		15,057,846			48,625,417
Distributions reinvested		—			4,444,487
Cost of shares redeemed		(26,525,920	)		(70,434,661	)
Net decrease from capital share transactions		(11,468,074	)		(17,364,757	)
Net decrease in net assets		(12,272,159	)		(16,488,468	)
Net assets:
Beginning of period		79,271,623			95,760,091
End of period	$	66,999,464		$	79,271,623
Undistributed net investment income at end of period	$	7,901,634		$	5,739,167
Capital share activity:
Shares sold		484,494			1,555,665
Shares issued from reinvestment of distributions		—			145,769
Shares redeemed		(857,816	)		(2,261,824	)
Net decrease in shares		(373,322	)		(560,390	)

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

SERIES P (HIGH YIELD SERIES)

STATEMENT OF CASH FLOWS (Unaudited)

Period Ended June 30, 2018

Cash Flows from Operating Activities:
Net Decrease in net assets resulting from operations	$	(804,085	)
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
Net Cash Provided by Operating and Investing Activities:
Net change in unrealized (appreciation) depreciation on investments		2,141,106
Net change in unrealized (appreciation) depreciation on forward foreign currency exchange contracts		(68,675	)
Net realized loss on investments		930,866
Net realized gain on forward foreign currency exchange contracts		(5,885	)
Net accretion of bond discount and amortization of bond premium		(64,338	)
Purchase of long-term investments		(22,873,324	)
Paydowns received on mortgage and asset-backed securities		2,517,095
Proceeds from sale of long-term investments		30,935,855
Net purchases of short-term investments		835,355
Other payments		18,238
Decrease in interest receivable		21,011
Increase in securities sold receivable		(2,377,183	)
Decrease in foreign tax reclaims receivable		52
Increase in prepaid expenses		4,119
Increase in securities purchased payable		979,238
Commitment fees received and repayments of unfunded commitments		73,179
Unfunded Loan commitment fundings		(128,656	)
Increase in transfer agent/maintenance fees payable		207
Decrease in Fund accounting/administration fees payable		(951	)
Decrease in distribution and service fees payable		(2,970	)
Decrease in trustees' fees* payable		(31	)
Decrease in management fees payable		(6,941	)
Decrease in recoupment of previously waived expenses payable		(3	)
Increase in miscellaneous payable		9,570
Net Cash Provided by Operating and Investing Activities		12,132,849
Cash Flows From Financing Activities:
Proceeds from sales of shares		15,077,175
Cost of shares redeemed		(26,562,908	)
Proceeds from reverse repurchase agreements		44,488,257
Payments made on reverse repurchase agreements		(45,316,231	)
Net Cash Used in Financing Activities		(12,313,707	)
Net decrease in cash		(180,858	)
Cash at Beginning of Period (including foreign currency)		202,208
Cash at End of Period (including foreign currency)	$	21,350
Supplemental Disclosure of Cash Flow Information:
Cash paid during the period for interest	$	130,343

* 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 | 87

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	31.13		$	30.82		$	28.63		$	33.87		$	33.02		$	30.75
Income (loss) from investment operations:
Net investment income (loss)b		.91			1.81			1.91			2.17			2.23			2.20
Net gain (loss) on investments (realized and unrealized)		(1.21	)		.09			2.93			(3.23	)		(1.38	)		.07
Total from investment operations		(.30	)		1.90			4.84			(1.06	)		.85			2.27
Less distributions from:
Net investment income		—			(1.59	)		(2.65	)		(3.49	)		—			—
Net realized gains		—			—			—			(.69	)		—			—
Total distributions		—			(1.59	)		(2.65	)		(4.18	)		—			—
Net asset value, end of period	$	30.83		$	31.13		$	30.82		$	28.63		$	33.87		$	33.02
Total Returnc		(0.96	%)		6.23	%		17.52	%		(3.95	%)		2.51	%		7.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	66,999		$	79,272		$	95,760		$	66,908		$	79,192		$	123,983
Ratios to average net assets:
Net investment income (loss)		5.94	%		5.79	%		6.46	%		6.69	%		6.50	%		6.86	%
Total expensesd		1.36	%		1.40	%		1.17	%		1.19	%		1.09	%		1.07	%
Net expensese,g		1.26	%f		1.33	%f		1.13	%f		1.15	%f		1.08	%f		1.07	%
Portfolio turnover rate		30	%		76	%		84	%		101	%		90	%		100	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14
1.07%	1.07%	1.07%	1.07%	0.97%

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
N/A	0.02%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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)
Portland General Electric Co.	1.7%
UniFirst Corp.	1.7%
Berkshire Hills Bancorp, Inc.	1.7%
Rowan Companies plc — Class A	1.6%
Wintrust Financial Corp.	1.6%
First Citizens BancShares, Inc. — Class A	1.5%
Spire, Inc.	1.5%
Umpqua Holdings Corp.	1.5%
Cathay General Bancorp	1.5%
Viavi Solutions, Inc.	1.5%
Top Ten Total	15.8%

“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series Q (Small Cap Value Series)	3.60%	7.64%	8.27%	8.70%
Russell 2000 Value Index	5.44%	13.10%	11.18%	9.88%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 89

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 97.3%
Financial - 38.5%
Berkshire Hills Bancorp, Inc.		36,336	$	1,475,242
Wintrust Financial Corp.		16,226		1,412,473
First Citizens BancShares, Inc. — Class A		3,341		1,347,425
Umpqua Holdings Corp.		59,098		1,335,024
Cathay General Bancorp		32,715		1,324,630
Fulton Financial Corp.		75,492		1,245,618
BancorpSouth Bank		37,033		1,220,237
Federal Agricultural Mortgage Corp. — Class C		12,962		1,159,840
Argo Group International Holdings Ltd.		18,749		1,090,254
Trustmark Corp.		31,400		1,024,582
Hanmi Financial Corp.		35,569		1,008,381
Beneficial Bancorp, Inc.		60,591		981,574
Redwood Trust, Inc. REIT		58,416		962,112
TriCo Bancshares		25,632		959,918
Hersha Hospitality Trust REIT		44,246		949,077
Investors Bancorp, Inc.		71,084		909,164
Radian Group, Inc.		55,810		905,238
Tier REIT, Inc.		36,937		878,362
MBIA, Inc.*		84,775		766,366
RLJ Lodging Trust REIT		33,967		748,972
Valley National Bancorp		61,085		742,794
Flagstar Bancorp, Inc.*		21,032		720,556
Cousins Properties, Inc. REIT		69,436		672,835
iStar, Inc. REIT*		60,533		653,151
Invesco Mortgage Capital, Inc. REIT		40,987		651,693
Old National Bancorp		34,150		635,190
LaSalle Hotel Properties REIT		17,957		614,668
Hancock Whitney Corp.		13,170		614,381
Genworth Financial, Inc. — Class A*		130,931		589,190
Sunstone Hotel Investors, Inc. REIT		35,434		588,913
MB Financial, Inc.		12,038		562,175
Cohen & Steers, Inc.		11,554		481,917
Summit Hotel Properties, Inc. REIT		33,367		477,482
Cowen, Inc. — Class A*		34,461		477,285
Equity Commonwealth REIT*		14,912		469,728
Lexington Realty Trust REIT		53,590		467,841
Physicians Realty Trust REIT		26,383		420,545
1st Source Corp.		7,566		404,251
IBERIABANK Corp.		5,106		387,035
Washington Federal, Inc.		11,777		385,108
Stifel Financial Corp.		7,323		382,627
Hilltop Holdings, Inc.		16,467		363,427
Customers Bancorp, Inc.*		11,808		335,111
ARMOUR Residential REIT, Inc.		10,698		244,021
Total Financial				34,046,413
Industrial - 13.2%
GATX Corp.		13,329		989,412
Louisiana-Pacific Corp.		35,517		966,773
Plexus Corp.*		16,048		955,498
Trinseo S.A.		12,217		866,796
TriMas Corp.*		28,534		838,900
KEMET Corp.*		28,322		683,976
Marten Transport Ltd.		27,509		645,086
Matson, Inc.		16,525		634,230
ITT, Inc.		11,612		606,959
GasLog Ltd.		31,633		604,190
Crane Co.		7,418		594,404
Methode Electronics, Inc.		14,324		577,257
Worthington Industries, Inc.		13,316		558,872
Greenbrier Companies, Inc.		9,871		520,695
Sanmina Corp.*		16,812		492,592
Esterline Technologies Corp.*		6,081		448,778
Argan, Inc.		9,780		400,491
Scorpio Tankers, Inc.		111,905		314,453
Total Industrial				11,699,362
Consumer, Cyclical - 13.1%
UniFirst Corp.		8,412		1,488,083
International Speedway Corp. — Class A		27,705		1,238,413
Hawaiian Holdings, Inc.		31,086		1,117,542
Wabash National Corp.		51,568		962,259
MDC Holdings, Inc.		31,019		954,455
Meritage Homes Corp.*		20,089		882,912
Tenneco, Inc.		17,087		751,144
Cooper Tire & Rubber Co.		26,380		693,794
Century Communities, Inc.*		18,859		595,001
Asbury Automotive Group, Inc.*		8,581		588,228
Unifi, Inc.*		16,681		528,788
La-Z-Boy, Inc.		14,519		444,281
Deckers Outdoor Corp.*		3,772		425,821
Cheesecake Factory, Inc.		6,513		358,606
Caleres, Inc.		10,015		344,416
DSW, Inc. — Class A		9,821		253,578
Total Consumer, Cyclical				11,627,321
Consumer, Non-cyclical - 10.8%
Encompass Health Corp.		14,281		967,109
AMN Healthcare Services, Inc.*		12,646		741,055
Fresh Del Monte Produce, Inc.		16,491		734,674
FTI Consulting, Inc.*		12,137		734,046
Dean Foods Co.		68,927		724,423
Emergent BioSolutions, Inc.*		13,790		696,257
Lannett Company, Inc.*		46,372		630,659
Navigant Consulting, Inc.*		28,245		625,344
Premier, Inc. — Class A*		17,104		622,244
Carriage Services, Inc. — Class A		21,174		519,822
Innoviva, Inc.*		37,424		516,451
AMAG Pharmaceuticals, Inc.*		25,754		502,203
Boston Beer Company, Inc. — Class A*		1,593		477,422
Cambrex Corp.*		8,909		465,941
Universal Corp.		6,815		450,131
Community Health Systems, Inc.*		59,825		198,619
Total Consumer, Non-cyclical				9,606,400
Utilities - 8.2%
Portland General Electric Co.		35,024		1,497,626
Spire, Inc.		18,968		1,340,089
PNM Resources, Inc.		31,014		1,206,445
Black Hills Corp.		17,554		1,074,480

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
ONE Gas, Inc.		10,567	$	789,778
ALLETE, Inc.		6,868		531,652
Ormat Technologies, Inc.		8,423		448,020
Southwest Gas Holdings, Inc.		4,971		379,138
Total Utilities				7,267,228
Energy - 5.1%
Rowan Companies plc — Class A*		87,273		1,415,568
Oasis Petroleum, Inc.*		93,398		1,211,372
MRC Global, Inc.*		25,687		556,637
Laredo Petroleum, Inc.*		54,921		528,340
Oceaneering International, Inc.		19,049		484,988
Gulfport Energy Corp.*		24,215		304,383
Total Energy				4,501,288
Communications - 4.5%
Viavi Solutions, Inc.*		126,007		1,290,312
Ciena Corp.*		31,207		827,297
Scholastic Corp.		12,148		538,278
NeoPhotonics Corp.*		83,001		517,096
InterDigital, Inc.		5,712		462,101
Finisar Corp.*		17,215		309,870
Total Communications				3,944,954
Technology - 2.7%
Cray, Inc.*		25,686		631,876
ManTech International Corp. — Class A		10,148		544,339
Photronics, Inc.*		64,554		514,818
MicroStrategy, Inc. — Class A*		3,836		490,049
InnerWorkings, Inc.*		26,879		233,578
Total Technology				2,414,660
Basic Materials - 1.2%
Kaiser Aluminum Corp.		10,158		1,057,549
Total Common Stocks
(Cost $75,066,026)				86,165,175
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,1,2		116,667		34
Total Convertible Preferred Stocks
(Cost $111,409)				34
MONEY MARKET FUND† - 2.7%
Dreyfus Treasury Prime Cash Management Fund — Institutional Class 1.68%3		2,401,129		2,401,129
Total Money Market Fund
(Cost $2,401,129)				2,401,129
Total Investments - 100.0%
(Cost $77,578,564)			$	88,566,338
Other Assets & Liabilities, net - 0.0%				(29,388	)
Total Net Assets - 100.0%			$	88,536,950

* 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 Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $34, (cost $111,409) or less than 0.01% of total net assets.

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, 2018.

plc — Public Limited Company

REIT — Real Estate Investment Trust

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES Q (SMALL CAP VALUE SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	86,165,175	$	—	$	—	$	86,165,175
Convertible Preferred Stocks		—		—		34		34
Money Market Fund		2,401,129		—		—		2,401,129
Total Assets	$	88,566,304	$	—	$	34	$	88,566,338

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments, at value (cost $77,578,564)	$	88,566,338
Cash		5,963
Prepaid expenses		1,497
Receivables:
Dividends		124,081
Fund shares sold		4,502
Interest		3,650
Total assets		88,706,031
Liabilities:
Payable for:
Fund shares redeemed		64,454
Management fees		50,203
Distribution and service fees		19,371
Direct shareholders expense		11,525
Fund accounting/administration fees		6,199
Transfer agent/maintenance fees		2,163
Trustees’ fees*		186
Miscellaneous		14,980
Total liabilities		169,081
Commitments and contingent liabilities (Note 13)		—
Net assets	$	88,536,950
Net assets consist of:
Paid in capital	$	63,895,358
Undistributed net investment income		559,886
Accumulated net realized gain on investments		13,093,932
Net unrealized appreciation on investments		10,987,774
Net assets	$	88,536,950
Capital shares outstanding		1,862,537
Net asset value per share	$	47.54

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends	$	781,403
Interest		13,423
Total investment income		794,826
Expenses:
Management fees		356,605
Distribution and service fees:		118,868
Transfer agent/maintenance fees		12,579
Fund accounting/administration fees		38,038
Trustees’ fees*		6,433
Custodian fees		2,384
Line of credit fees		2,098
Miscellaneous		43,026
Total expenses		580,031
Less:
Expenses waived by Adviser		(39,669	)
Net expenses		540,362
Net investment income		254,464
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,736,198
Net realized gain		4,736,198
Net change in unrealized appreciation (depreciation) on:
Investments		(1,550,679	)
Net change in unrealized appreciation (depreciation)		(1,550,679	)
Net realized and unrealized gain		3,185,519
Net increase in net assets resulting from operations	$	3,439,983

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

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

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	254,464		$	108,409
Net realized gain on investments		4,736,198			9,859,160
Net change in unrealized appreciation (depreciation) on investments		(1,550,679	)		(6,613,838	)
Net increase in net assets resulting from operations		3,439,983			3,353,731
Distributions to shareholders from:
Net investment income		—			(370,808	)
Net realized gains		—			(3,397,089	)
Total distributions to shareholders		—			(3,767,897	)
Capital share transactions:
Proceeds from sale of shares		3,554,850			12,755,388
Distributions reinvested		—			3,767,897
Cost of shares redeemed		(17,183,935	)		(23,686,702	)
Net decrease from capital share transactions		(13,629,085	)		(7,163,417	)
Net decrease in net assets		(10,189,102	)		(7,577,583	)
Net assets:
Beginning of period		98,726,052			106,303,635
End of period	$	88,536,950		$	98,726,052
Undistributed net investment income at end of period	$	559,886		$	305,422
Capital share activity:
Shares sold		75,503			277,428
Shares issued from reinvestment of distributions		—			85,035
Shares redeemed		(364,101	)		(521,418	)
Net decrease in shares		(288,598	)		(158,955	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	45.89		$	46.02		$	39.71		$	51.73		$	52.46		$	38.35
Income (loss) from investment operations:
Net investment income (loss)b		.12			.05			.21			.12			.08			.01
Net gain (loss) on investments (realized and unrealized)		1.53			1.58			9.76			(2.87	)		(.80	)		14.10
Total from investment operations		1.65			1.63			9.97			(2.75	)		(.72	)		14.11
Less distributions from:
Net investment income		—			(.17	)		(.05	)		—			(.01	)		—
Net realized gains		—			(1.59	)		(3.61	)		(9.27	)		—			—
Total distributions		—			(1.76	)		(3.66	)		(9.27	)		(.01	)		—
Net asset value, end of period	$	47.54		$	45.89		$	46.02		$	39.71		$	51.73		$	52.46
Total Returnc		3.60	%		3.70	%		26.60	%		(6.62	%)		(1.38	%)		36.79	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	88,537		$	98,726		$	106,304		$	89,757		$	115,933		$	139,943
Ratios to average net assets:
Net investment income (loss)		0.54	%		0.11	%		0.52	%		0.26	%		0.15	%		0.02	%
Total expensesd		1.22	%		1.23	%		1.16	%		1.19	%		1.16	%		1.16	%
Net expensese,f,g		1.14	%		1.14	%		1.16	%		1.19	%		1.16	%		1.16	%
Portfolio turnover rate		5	%		32	%		68	%		57	%		50	%		30	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods ended would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
1.14%	1.12%	N/A	N/A	N/A	N/A

^g The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
N/A	0.01%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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)
Zions Bancorporation	1.9%
KeyCorp	1.9%
PVH Corp.	1.9%
Hormel Foods Corp.	1.8%
Huntington Bancshares, Inc.	1.8%
OGE Energy Corp.	1.7%
Wintrust Financial Corp.	1.7%
UniFirst Corp.	1.7%
Cray, Inc.	1.5%
Oasis Petroleum, Inc.	1.5%
Top Ten Total	17.4%

“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series V (Mid Cap Value Series)	4.33%	15.02%	10.30%	10.46%
Russell 2500 Value Index	3.00%	11.49%	10.78%	10.10%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

96 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES V (MID CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 95.8%
Financial - 26.1%
Zions Bancorporation		83,634	$	4,406,675
KeyCorp		222,823		4,353,961
Huntington Bancshares, Inc.		268,388		3,961,407
Wintrust Financial Corp.		43,415		3,779,276
Equity Commonwealth REIT*		100,532		3,166,758
Alleghany Corp.		4,962		2,853,001
Umpqua Holdings Corp.		121,778		2,750,965
Alexandria Real Estate Equities, Inc. REIT		20,494		2,585,728
Alliance Data Systems Corp.		10,750		2,506,900
Prosperity Bancshares, Inc.		34,529		2,360,402
Sun Communities, Inc. REIT		23,698		2,319,560
Voya Financial, Inc.		46,021		2,162,987
First Horizon National Corp.		120,194		2,144,261
Cousins Properties, Inc. REIT		216,182		2,094,804
National Storage Affiliates Trust REIT		59,234		1,825,592
CoreCivic, Inc. REIT		72,850		1,740,386
IBERIABANK Corp.		22,009		1,668,282
Pinnacle Financial Partners, Inc.		25,483		1,563,382
Redwood Trust, Inc. REIT		84,906		1,398,402
Camden Property Trust REIT		13,652		1,244,107
Radian Group, Inc.		74,555		1,209,282
Lexington Realty Trust REIT		135,179		1,180,113
Federal Agricultural Mortgage Corp. — Class C		12,634		1,130,490
Howard Hughes Corp.*		8,070		1,069,275
Physicians Realty Trust REIT		66,577		1,061,237
BankUnited, Inc.		25,901		1,058,056
American National Insurance Co.		5,001		598,070
Hilltop Holdings, Inc.		25,225		556,716
Customers Bancorp, Inc.*		5,494		155,920
Total Financial				58,905,995
Consumer, Non-cyclical - 15.0%
Hormel Foods Corp.		109,100		4,059,611
Bunge Ltd.		47,837		3,334,717
Ingredion, Inc.		25,850		2,861,595
Emergent BioSolutions, Inc.*		53,207		2,686,421
Eagle Pharmaceuticals, Inc.*		31,039		2,348,411
Premier, Inc. — Class A*		57,590		2,095,124
Myriad Genetics, Inc.*		54,510		2,037,039
Encompass Health Corp.		30,052		2,035,121
Central Garden & Pet Co. — Class A*		46,112		1,866,153
Euronet Worldwide, Inc.*		21,831		1,828,783
US Foods Holding Corp.*		33,943		1,283,725
SP Plus Corp.*		30,957		1,151,600
Hostess Brands, Inc.*		83,802		1,139,707
Fresh Del Monte Produce, Inc.		23,911		1,065,235
Perrigo Company plc		14,218		1,036,634
ACCO Brands Corp.		64,326		890,915
Quest Diagnostics, Inc.		6,409		704,606
Sanderson Farms, Inc.		5,420		569,913
Inovio Pharmaceuticals, Inc.*		141,243		553,673
MoneyGram International, Inc.*		67,593		452,197
Total Consumer, Non-cyclical				34,001,180
Industrial - 14.0%
Crane Co.		31,473		2,521,931
FLIR Systems, Inc.		46,683		2,426,116
Carlisle Companies, Inc.		20,705		2,242,559
WestRock Co.		34,088		1,943,698
Scorpio Tankers, Inc.		564,402		1,585,970
ITT, Inc.		29,446		1,539,142
Gentex Corp.		66,420		1,528,988
Hub Group, Inc. — Class A*		25,383		1,264,074
Park Electrochemical Corp.		53,500		1,240,665
KLX, Inc.*		17,054		1,226,183
Greenbrier Companies, Inc.		23,057		1,216,257
Corning, Inc.		43,993		1,210,247
AAR Corp.		25,668		1,193,305
Jacobs Engineering Group, Inc.		18,711		1,187,961
GasLog Ltd.		62,120		1,186,492
Snap-on, Inc.		7,217		1,159,916
Rexnord Corp.*		38,972		1,132,526
Huntington Ingalls Industries, Inc.		5,020		1,088,286
Celadon Group, Inc.*		350,970		1,049,400
Kirby Corp.*		9,262		774,303
Plexus Corp.*		10,264		611,119
Valmont Industries, Inc.		3,973		598,930
Astec Industries, Inc.		9,826		587,595
TriMas Corp.*		19,656		577,886
Oshkosh Corp.		8,195		576,272
Total Industrial				31,669,821
Utilities - 10.0%
OGE Energy Corp.		109,636		3,860,283
Ameren Corp.		50,333		3,062,763
Portland General Electric Co.		58,679		2,509,114
Pinnacle West Capital Corp.		28,023		2,257,533
AES Corp.		166,449		2,232,081
UGI Corp.		41,401		2,155,750
Black Hills Corp.		34,927		2,137,882
Edison International		26,107		1,651,790
ONE Gas, Inc.		20,367		1,522,230
Southwest Gas Holdings, Inc.		16,025		1,222,227
Total Utilities				22,611,653
Consumer, Cyclical - 9.9%
PVH Corp.		28,577		4,278,548
UniFirst Corp.		21,125		3,737,013
DR Horton, Inc.		68,680		2,815,880
Acushnet Holdings Corp.		71,588		1,751,043
Caleres, Inc.		50,867		1,749,316
GMS, Inc.*		51,387		1,392,074
Newell Brands, Inc.		48,871		1,260,383
LCI Industries		13,576		1,223,876
JetBlue Airways Corp.*		57,988		1,100,612
Unifi, Inc.*		30,757		974,997
Movado Group, Inc.		19,651		949,143
Genesco, Inc.*		14,144		561,517

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES V (MID CAP VALUE SERIES)

	Shares		Value
Goodyear Tire & Rubber Co.		23,393	$	544,823
Total Consumer, Cyclical				22,339,225
Energy - 8.7%
Oasis Petroleum, Inc.*		260,550		3,379,334
Whiting Petroleum Corp.*		58,054		3,060,607
Hess Corp.		43,670		2,921,086
Rowan Companies plc — Class A*		149,735		2,428,702
Range Resources Corp.		131,607		2,201,785
Kinder Morgan, Inc.		103,029		1,820,522
MRC Global, Inc.*		67,242		1,457,134
Cimarex Energy Co.		12,225		1,243,771
Antero Resources Corp.*		31,643		675,578
Gulfport Energy Corp.*		40,709		511,712
HydroGen Corp.*,†††,1,2		672,346		1
Total Energy				19,700,232
Technology - 4.5%
Cray, Inc.*		139,535		3,432,561
Conduent, Inc.*		110,588		2,009,384
Super Micro Computer, Inc.*		80,132		1,895,122
Maxwell Technologies, Inc.*		285,110		1,482,572
Qorvo, Inc.*		15,916		1,275,986
Total Technology				10,095,625
Basic Materials - 3.9%
Reliance Steel & Aluminum Co.		32,148		2,814,236
Nucor Corp.		42,355		2,647,188
Ashland Global Holdings, Inc.		14,691		1,148,542
Alcoa Corp.*		23,190		1,087,147
Tahoe Resources, Inc.		220,317		1,083,960
Total Basic Materials				8,781,073
Communications - 3.7%
Ciena Corp.*		110,897		2,939,880
Acacia Communications, Inc.*		56,719		1,974,388
Finisar Corp.*		95,489		1,718,802
Viavi Solutions, Inc.*		163,328		1,672,479
Total Communications				8,305,549
Total Common Stocks
(Cost $188,999,925)				216,410,353
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,1,3		308,333		90
Total Convertible Preferred Stocks
(Cost $294,438)				90
MONEY MARKET FUND† - 4.4%
Dreyfus Treasury Prime Cash Management Fund — Institutional Class 1.68%4		10,063,120		10,063,120
Total Money Market Fund
(Cost $10,063,120)				10,063,120
Total Investments - 100.2%
(Cost $199,357,483)			$	226,473,563
Other Assets & Liabilities, net - (0.2)%				(453,685	)
Total Net Assets - 100.0%			$	226,019,878

* 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 Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $91, (cost $2,866,013) or less than 0.1% of total net assets.

² Affiliated issuer.

³ 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.

⁴ Rate indicated is the 7 day yield as of June 30, 2018.

plc — Public Limited Company

REIT — Real Estate Investment Trust

See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES V (MID CAP VALUE SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	216,410,352	$	—	$	1	$	216,410,353
Convertible Preferred Stocks		—		—		90		90
Money Market Fund		10,063,120		—		—		10,063,120
Total Assets	$	226,473,472	$	—	$	91	$	226,473,563

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

For the period ended June 30, 2018, there were no transfers between levels.

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions		Realized Gain		Change in Unrealized Appreciation		Value 06/30/18		Shares 06/30/18		Investment Income
Common Stocks
HydroGen Corp.*,1	$	1	$	—	$	—	$	—	$	—	$	1		672,346	$	—

* Non-income producing security.

¹ Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $1 (cost $2,571,575) or less than 0.1% of total net assets.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 99

SERIES V (MID CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $196,785,908)	$	226,473,562
Investments in affiliated issuers, at value (cost $2,571,575)		1
Prepaid expenses		3,402
Receivables:
Securities sold		367,468
Dividends		282,612
Interest		10,906
Fund shares sold		400
Total assets		227,138,351
Liabilities:
Payable for:
Securities purchased		533,186
Fund shares redeemed		180,015
Management fees		97,057
Distribution and service fees		48,452
Fund accounting/administration fees		15,505
Trustees’ fees*		3,517
Transfer agent/maintenance fees		3,297
Miscellaneous (Note 11)		237,444
Total liabilities		1,118,473
Commitments and contingent liabilities (Note 13)		—
Net assets	$	226,019,878
Net assets consist of:
Paid in capital	$	144,288,017
Undistributed net investment income		1,927,662
Accumulated net realized gain on investments		52,688,119
Net unrealized appreciation on investments		27,116,080
Net assets	$	226,019,878
Capital shares outstanding		2,630,382
Net asset value per share	$	85.93

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers	$	1,624,536
Interest		46,794
Total investment income		1,671,330
Expenses:
Management fees		881,516
Distribution and service fees		293,839
Transfer agent/maintenance fees		12,579
Fund accounting/administration fees		94,029
Custodian fees		7,270
Trustees’ fees*		5,455
Line of credit fees		5,248
Miscellaneous		62,394
Total expenses		1,362,330
Less:
Expenses waived by Adviser		(295,450	)
Net expenses		1,066,880
Net investment income		604,450
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		23,025,278
Net realized gain		23,025,278
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(13,506,734	)
Net change in unrealized appreciation (depreciation)		(13,506,734	)
Net realized and unrealized gain		9,518,544
Net increase in net assets resulting from operations	$	10,122,994

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

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

SERIES V (MID CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	604,450		$	(507,633	)
Net realized gain on investments		23,025,278			35,109,314
Net change in unrealized appreciation (depreciation) on investments		(13,506,734	)		(3,908,779	)
Net increase in net assets resulting from operations		10,122,994			30,692,902
Distributions to shareholders from:
Net investment income		—			(1,588,785	)
Net realized gains		—			(4,492,755	)
Total distributions to shareholders		—			(6,081,540	)
Capital share transactions:
Proceeds from sale of shares		1,783,582			4,406,300
Distributions reinvested		—			6,081,540
Cost of shares redeemed		(28,103,956	)		(40,943,633	)
Net decrease from capital share transactions		(26,320,374	)		(30,455,793	)
Net decrease in net assets		(16,197,380	)		(5,844,431	)
Net assets:
Beginning of period		242,217,258			248,061,689
End of period	$	226,019,878		$	242,217,258
Undistributed net investment income at end of period	$	1,927,662		$	1,323,212
Capital share activity:
Shares sold		21,377			57,350
Shares issued from reinvestment of distributions		—			80,401
Shares redeemed		(331,960	)		(533,345	)
Net decrease in shares		(310,583	)		(395,594	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	82.36		$	74.35		$	65.74		$	84.22		$	83.46		$	62.60
Income (loss) from investment operations:
Net investment income (loss)b		.21			(.16	)		.99			.71			.53			.36
Net gain (loss) on investments (realized and unrealized)		3.36			10.16			15.50			(5.42	)		.23			20.50
Total from investment operations		3.57			10.00			16.49			(4.71	)		.76			20.86
Less distributions from:
Net investment income		—			(.52	)		(.68	)		(.51	)		(—	)c		—
Net realized gains		—			(1.47	)		(7.20	)		(13.26	)		—			—
Total distributions		—			(1.99	)		(7.88	)		(13.77	)		(—	)c		—
Net asset value, end of period	$	85.93		$	82.36		$	74.35		$	65.74		$	84.22		$	83.46
Total Returnd		4.33	%		13.71	%		26.75	%		(6.79	%)		0.91	%		33.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	226,020		$	242,217		$	248,062		$	207,393		$	264,495		$	302,166
Ratios to average net assets:
Net investment income (loss)		0.51	%		(0.21	%)		1.46	%		0.94	%		0.62	%		0.48	%
Total expenses		1.16	%		1.10	%		0.93	%		0.95	%		0.93	%		0.93	%
Net expensese,f		0.91	%		0.91	%		0.93	%		0.95	%		0.93	%		0.93	%
Portfolio turnover rate		30	%		54	%		60	%		50	%		53	%		22	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.91%	0.89%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.

Inception Date: October 15, 1997

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	31.5%
Guggenheim Strategy Fund III	29.8%
Guggenheim Strategy Fund II	11.1%
Guggenheim Strategy Fund I	5.4%
Performance Food Group Co.	0.3%
MAXIMUS, Inc.	0.3%
Nexstar Media Group, Inc. — Class A	0.3%
j2 Global, Inc.	0.3%
Integrated Device Technology, Inc.	0.3%
ACI Worldwide, Inc.	0.1%
Top Ten Total	79.4%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series X (StylePlus—Small Growth Series)	8.78%	21.25%	14.72%	11.07%
Russell 2000 Growth Index	9.70%	21.86%	13.65%	11.24%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 103

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 20.2%
Consumer, Non-cyclical - 7.7%
Performance Food Group Co.*		2,909	$	106,760
Calavo Growers, Inc.		918		88,266
John B Sanfilippo & Son, Inc.		1,167		86,883
Boston Beer Company, Inc. — Class A*		276		82,717
Vector Group Ltd.		4,254		81,166
Tootsie Roll Industries, Inc.		2,597		80,118
Inter Parfums, Inc.		1,461		78,164
Horizon Pharma plc*		4,581		75,861
Travelport Worldwide Ltd.		4,069		75,439
Cal-Maine Foods, Inc.*		1,525		69,921
Loxo Oncology, Inc.*		387		67,137
Integer Holdings Corp.*		936		60,512
LivaNova plc*		602		60,092
Emergent BioSolutions, Inc.*		1,122		56,650
USANA Health Sciences, Inc.*		489		56,382
NuVasive, Inc.*		1,076		56,081
Central Garden & Pet Co. — Class A*		1,354		54,796
Globus Medical, Inc. — Class A*		991		50,006
FibroGen, Inc.*		798		49,955
Wright Medical Group N.V.*		1,871		48,571
Coca-Cola Bottling Company Consolidated		347		46,890
Varex Imaging Corp.*		1,248		46,288
CONMED Corp.		631		46,189
Endo International plc*		4,869		45,915
Ligand Pharmaceuticals, Inc. — Class B*		215		44,541
Avis Budget Group, Inc.*		1,354		44,005
Central Garden & Pet Co.*		983		42,741
Primo Water Corp.*		2,355		41,189
Tenet Healthcare Corp.*		1,196		40,150
iRhythm Technologies, Inc.*		492		39,916
Acorda Therapeutics, Inc.*		1,369		39,290
Cardtronics plc — Class A*		1,601		38,712
Xencor, Inc.*		1,008		37,306
B&G Foods, Inc.		1,240		37,076
Innoviva, Inc.*		2,592		35,770
Ironwood Pharmaceuticals, Inc. — Class A*		1,866		35,678
Nevro Corp.*		441		35,214
Amicus Therapeutics, Inc.*		2,250		35,145
Medpace Holdings, Inc.*		813		34,959
EVERTEC, Inc.		1,582		34,567
Ultragenyx Pharmaceutical, Inc.*		430		33,054
Blueprint Medicines Corp.*		517		32,819
Array BioPharma, Inc.*		1,919		32,201
Supernus Pharmaceuticals, Inc.*		538		32,199
Orthofix International N.V.*		560		31,819
Immunomedics, Inc.*		1,330		31,481
National Beverage Corp.*		288		30,787
Cambrex Corp.*		586		30,648
Natus Medical, Inc.*		859		29,636
Medicines Co.*		801		29,397
Amneal Pharmaceuticals, Inc.*		1,769		29,029
Myriad Genetics, Inc.*		761		28,439
Syneos Health, Inc.*		589		27,624
Puma Biotechnology, Inc.*		461		27,268
Haemonetics Corp.*		294		26,366
Insmed, Inc.*		1,108		26,204
Turning Point Brands, Inc.		816		26,031
BioSpecifics Technologies Corp.*		563		25,256
Halozyme Therapeutics, Inc.*		1,490		25,136
Akebia Therapeutics, Inc.*		2,493		24,880
Depomed, Inc.*		3,444		22,972
CytomX Therapeutics, Inc.*		970		22,174
MoneyGram International, Inc.*		3,141		21,013
Total Consumer, Non-cyclical				2,833,451
Industrial - 5.3%
Forward Air Corp.		1,489		87,970
EMCOR Group, Inc.		1,111		84,636
Hillenbrand, Inc.		1,777		83,786
Methode Electronics, Inc.		1,882		75,845
Kaman Corp.		1,060		73,872
Watts Water Technologies, Inc. — Class A		891		69,854
EnerSys		888		66,280
Primoris Services Corp.		2,427		66,087
Barnes Group, Inc.		1,102		64,908
Rexnord Corp.*		2,164		62,886
Generac Holdings, Inc.*		1,201		62,128
Aerojet Rocketdyne Holdings, Inc.*		2,064		60,867
Heartland Express, Inc.		3,273		60,714
JELD-WEN Holding, Inc.*		1,866		53,349
Moog, Inc. — Class A		665		51,843
Builders FirstSource, Inc.*		2,813		51,450
Granite Construction, Inc.		920		51,207
Kennametal, Inc.		1,367		49,075
ArcBest Corp.		1,065		48,671
MasTec, Inc.*		919		46,639
Itron, Inc.*		765		45,938
Air Transport Services Group, Inc.*		1,988		44,909
Actuant Corp. — Class A		1,433		42,058
Saia, Inc.*		519		41,961
Harsco Corp.*		1,841		40,686
Columbus McKinnon Corp.		856		37,116
Rogers Corp.*		331		36,893
Advanced Energy Industries, Inc.*		635		36,887
Masonite International Corp.*		488		35,063
Milacron Holdings Corp.*		1,833		34,699
OSI Systems, Inc.*		441		34,103
Dycom Industries, Inc.*		350		33,079
Werner Enterprises, Inc.		836		31,392
Apogee Enterprises, Inc.		624		30,058
NCI Building Systems, Inc.*		1,399		29,379
Echo Global Logistics, Inc.*		947		27,700
Continental Building Products, Inc.*		767		24,199
Global Brass & Copper Holdings, Inc.		767		24,045
Armstrong Flooring, Inc.*		1,707		23,966
YRC Worldwide, Inc.*		2,063		20,733
Total Industrial				1,946,931

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
Technology - 3.2%
MAXIMUS, Inc.		1,694	$	105,214
j2 Global, Inc.		1,141		98,822
Integrated Device Technology, Inc.*		3,069		97,840
ACI Worldwide, Inc.*		3,809		93,968
CSG Systems International, Inc.		2,075		84,805
Diodes, Inc.*		2,015		69,457
TTEC Holdings, Inc.		1,876		64,816
Cirrus Logic, Inc.*		1,603		61,443
Progress Software Corp.		1,441		55,940
CommVault Systems, Inc.*		844		55,577
Quality Systems, Inc.*		2,840		55,380
Entegris, Inc.		1,540		52,206
Science Applications International Corp.		597		48,315
HubSpot, Inc.*		370		46,398
Unisys Corp.*		3,262		42,080
Envestnet, Inc.*		486		26,706
Silicon Laboratories, Inc.*		260		25,896
Allscripts Healthcare Solutions, Inc.*		1,952		23,424
Syntel, Inc.*		708		22,720
Xperi Corp.		1,143		18,402
Total Technology				1,149,409
Communications - 2.1%
Nexstar Media Group, Inc. — Class A		1,390		102,026
New York Times Co. — Class A		3,523		91,246
InterDigital, Inc.		1,035		83,732
Perficient, Inc.*		2,689		70,909
World Wrestling Entertainment, Inc. — Class A		791		57,600
Blucora, Inc.*		1,295		47,915
Viavi Solutions, Inc.*		4,055		41,523
Endurance International Group Holdings, Inc.*		3,757		37,382
Web.com Group, Inc.*		1,395		36,061
ePlus, Inc.*		360		33,876
CalAmp Corp.*		1,296		30,365
NETGEAR, Inc.*		464		29,000
Entravision Communications Corp. — Class A		5,251		26,255
Stamps.com, Inc.*		103		26,064
NIC, Inc.		1,648		25,627
Shutterfly, Inc.*		239		21,517
Plantronics, Inc.		278		21,198
Total Communications				782,296
Consumer, Cyclical - 1.5%
Dana, Inc.		2,684		54,190
Eros International plc*		3,870		50,310
IMAX Corp.*		2,190		48,508
Boyd Gaming Corp.		1,276		44,226
KB Home		1,364		37,156
Allegiant Travel Co. — Class A		261		36,266
BMC Stock Holdings, Inc.*		1,517		31,630
Brinker International, Inc.		647		30,797
Meritor, Inc.*		1,327		27,296
Scientific Games Corp. — Class A*		527		25,902
RH*		181		25,286
Churchill Downs, Inc.		78		23,127
American Eagle Outfitters, Inc.		961		22,343
Taylor Morrison Home Corp. — Class A*		1,062		22,068
Deckers Outdoor Corp.*		195		22,014
Tailored Brands, Inc.		771		19,676
Beacon Roofing Supply, Inc.*		444		18,923
Tenneco, Inc.		378		16,617
Total Consumer, Cyclical				556,335
Energy - 0.4%
Delek US Holdings, Inc.		1,309		65,673
Par Pacific Holdings, Inc.*		3,659		63,593
CVR Energy, Inc.		785		29,037
Total Energy				158,303
Total Common Stocks
(Cost $7,048,461)				7,426,725
MUTUAL FUNDS† - 77.8%
Guggenheim Variable Insurance Strategy Fund III1		460,591		11,547,013
Guggenheim Strategy Fund III1		437,184		10,925,227
Guggenheim Strategy Fund II1		162,444		4,059,468
Guggenheim Strategy Fund I1		79,677		1,995,119
Total Mutual Funds
(Cost $28,442,677)				28,526,827
MONEY MARKET FUND† - 1.6%
Dreyfus Treasury Prime Cash Management Fund — Institutional Class 1.68%2		576,712		576,712
Total Money Market Fund
(Cost $576,712)				576,712
Total Investments - 99.6%
(Cost $36,067,850)			$	36,530,264
Other Assets & Liabilities, net - 0.4%				143,031
Total Net Assets - 100.0%			$	36,673,295

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P MidCap 400 Index Mini Futures Contracts		6		Sep 2018	$	1,173,660	$	(26,645	)
Russell 2000 Index Mini Futures Contracts		17		Sep 2018		1,399,695		(40,118	)
					$	2,573,355	$	(66,763	)

Total Return Swap Agreements

Counterparty

Index

Financing Rate Pay

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Deutsche Bank

Russell 2000 Growth Index

1.96

%

At Maturity

07/02/18

25,906

$

26,812,969

$

2,436,573

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Affiliated issuer.

² Rate indicated is the 7 day yield as of June 30, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	7,426,725	$	—	$	—	$	7,426,725
Mutual Funds		28,526,827		—		—		28,526,827
Money Market Fund		576,712		—		—		576,712
Equity Index Swap Agreements*		—		2,436,573		—		2,436,573
Total Assets	$	36,530,264	$	2,436,573	$	—	$	38,966,837
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts*	$	66,763	$	—	$	—	$	66,763

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Appreciation (Depreciation)			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Strategy Fund I	$	3,804,188	$	581,015	$	(2,388,710	)	$	7,905	$	(9,279	)	$	1,995,119		79,677	$	36,045
Guggenheim Strategy Fund II		4,594,307		403,553		(934,999	)		5,504		(8,897	)		4,059,468		162,444		53,464
Guggenheim Strategy Fund III		10,803,816		134,549		—			—		(13,138	)		10,925,227		437,184		134,138
Guggenheim Variable Insurance Strategy Fund III		9,706,847		1,858,910		—			—		(18,744	)		11,547,013		460,591		147,011
	$	28,909,158	$	2,978,027	$	(3,323,709	)	$	13,409	$	(50,058	)	$	28,526,827			$	370,658

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

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $7,625,173)	$	8,003,437
Investments in affiliated issuers, at value (cost $28,442,677)		28,526,827
Segregated cash with broker		98,550
Unrealized appreciation on swap agreements		2,436,573
Prepaid expenses		995
Receivables:
Dividends		74,333
Interest		2,579
Fund shares sold		91
Total assets		39,143,385
Liabilities:
Segregated cash due to broker		2,210,000
Payable for:
Swap settlement		76,654
Securities purchased		75,239
Fund shares redeemed		57,356
Management fees		15,279
Distribution and service fees		8,105
Fund accounting/administration fees		2,593
Transfer agent/maintenance fees		2,286
Variation margin on futures contracts		2,200
Trustees’ fees*		178
Miscellaneous		20,200
Total liabilities		2,470,090
Commitments and contingent liabilities (Note 13)		—
Net assets	$	36,673,295
Net assets consist of:
Paid in capital	$	26,088,528
Undistributed net investment income		550,491
Accumulated net realized gain on investments		7,202,052
Net unrealized appreciation on investments		2,832,224
Net assets	$	36,673,295
Capital shares outstanding		838,781
Net asset value per share	$	43.72

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $115)	$	23,887
Dividends from securities of affiliated issuers		370,658
Interest		342
Total investment income		394,887
Expenses:
Management fees		147,508
Distribution and service fees:		49,169
Transfer agent/maintenance fees		12,566
Fund accounting/administration fees		15,734
Trustees’ fees*		6,011
Custodian fees		4,711
Line of credit fees		726
Miscellaneous		27,288
Total expenses		263,713
Less:
Expenses waived by Adviser		(57,412	)
Net expenses		206,301
Net investment income		188,586
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		952,093
Investments in affiliated issuers		13,409
Swap agreements		1,049,320
Futures contracts		88,447
Net realized gain		2,103,269
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(260,051	)
Investments in affiliated issuers		(50,058	)
Swap agreements		1,562,909
Futures contracts		(76,377	)
Net change in unrealized appreciation (depreciation)		1,176,423
Net realized and unrealized gain		3,279,692
Net increase in net assets resulting from operations	$	3,468,278

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

108 | 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 June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	188,586		$	360,787
Net realized gain on investments		2,103,269			6,820,362
Net change in unrealized appreciation (depreciation) on investments		1,176,423			199,630
Net increase in net assets resulting from operations		3,468,278			7,380,779
Distributions to shareholders from:
Net investment income		—			(267,944	)
Total distributions to shareholders		—			(267,944	)
Capital share transactions:
Proceeds from sale of shares		984,464			3,220,199
Distributions reinvested		—			267,944
Cost of shares redeemed		(7,338,977	)		(5,257,634	)
Net decrease from capital share transactions		(6,354,513	)		(1,769,491	)
Net increase (decrease) in net assets		(2,886,235	)		5,343,344
Net assets:
Beginning of period		39,559,530			34,216,186
End of period	$	36,673,295		$	39,559,530
Undistributed net investment income at end of period	$	550,491		$	361,905
Capital share activity:
Shares sold		23,445			89,564
Shares issued from reinvestment of distributions		—			7,333
Shares redeemed		(168,866	)		(146,945	)
Net decrease in shares		(145,421	)		(50,048	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 109

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	40.19		$	33.08		$	31.03		$	31.77		$	29.20		$	20.66
Income (loss) from investment operations:
Net investment income (loss)b		.20			.36			.25			.10			.22			(.05	)
Net gain (loss) on investments (realized and unrealized)		3.33			7.02			3.74			(.47	)		2.35			8.59
Total from investment operations		3.53			7.38			3.99			(.37	)		2.57			8.54
Less distributions from:
Net investment income		—			(.27	)		(.13	)		(.27	)		—			—
Net realized gains		—			—			(1.81	)		(.10	)		—			—
Total distributions		—			(.27	)		(1.94	)		(.37	)		—			—
Net asset value, end of period	$	43.72		$	40.19		$	33.08		$	31.03		$	31.77		$	29.20
Total Returnc		8.78	%		22.38	%		13.45	%		(1.29	%)		8.80	%		41.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,673		$	39,560		$	34,216		$	38,601		$	37,005		$	38,586
Ratios to average net assets:
Net investment income (loss)		0.96	%		0.99	%		0.83	%		0.32	%		0.74	%		(0.21	%)
Total expensesd		1.34	%		1.37	%		1.23	%		1.21	%		1.26	%		1.23	%
Net expensese,f		1.06	%		1.10	%		1.23	%		1.21	%		1.24	%		1.23	%
Portfolio turnover rate		34	%		50	%		76	%		79	%		102	%		255	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation and agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
1.06%	1.09%	N/A	N/A	N/A	N/A

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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.

Inception Date: May 3, 1999

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	32.6%
Guggenheim Strategy Fund III	32.5%
Guggenheim Strategy Fund II	9.6%
Guggenheim Strategy Fund I	4.0%
Apple, Inc.	1.4%
Microsoft Corp.	1.0%
Amazon.com, Inc.	0.9%
Alphabet, Inc. — Class C	0.9%
Facebook, Inc. — Class A	0.6%
PepsiCo, Inc.	0.4%
Top Ten Total	83.9%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series Y (StylePlus—Large Growth Series)	6.11%	21.40%	16.91%	9.90%
Russell 1000 Growth Index	7.25%	22.51%	16.36%	11.83%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 111

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 20.1%
Consumer, Non-cyclical - 5.9%
PepsiCo, Inc.		1,474	$	160,474
Coca-Cola Co.		3,493		153,203
Amgen, Inc.		787		145,273
Altria Group, Inc.		2,462		139,817
Gilead Sciences, Inc.		1,657		117,382
AbbVie, Inc.		1,236		114,515
Bristol-Myers Squibb Co.		1,831		101,328
Sysco Corp.		1,466		100,113
Biogen, Inc.*		343		99,552
Kimberly-Clark Corp.		928		97,755
Johnson & Johnson		663		80,449
US Foods Holding Corp.*		2,117		80,065
Kellogg Co.		1,134		79,233
UnitedHealth Group, Inc.		314		77,037
Herbalife Nutrition Ltd.*		1,424		76,497
CoreLogic, Inc.*		1,282		66,536
Western Union Co.		3,020		61,397
United Rentals, Inc.*		413		60,967
Quanta Services, Inc.*		1,797		60,020
McKesson Corp.		413		55,094
Celgene Corp.*		603		47,890
Humana, Inc.		151		44,942
Sabre Corp.		1,790		44,105
Sprouts Farmers Market, Inc.*		1,486		32,796
Centene Corp.*		231		28,462
Stryker Corp.		143		24,147
Molina Healthcare, Inc.*		245		23,995
CVS Health Corp.		349		22,458
Cardinal Health, Inc.		434		21,192
Total Consumer, Non-cyclical				2,216,694
Technology - 5.7%
Apple, Inc.		2,819		521,825
Microsoft Corp.		3,660		360,913
International Business Machines Corp.		917		128,105
Cognizant Technology Solutions Corp. — Class A		1,300		102,687
NetApp, Inc.		1,174		92,194
Applied Materials, Inc.		1,848		85,359
Citrix Systems, Inc.*		809		84,816
Broadcom, Inc.		320		77,645
Oracle Corp.		1,758		77,457
Dell Technologies Incorporated Class V — Class V*		903		76,376
Teradyne, Inc.		2,005		76,330
ON Semiconductor Corp.*		3,345		74,376
Lam Research Corp.		429		74,153
Micron Technology, Inc.*		1,133		59,415
KLA-Tencor Corp.		437		44,806
Skyworks Solutions, Inc.		457		44,169
Zebra Technologies Corp. — Class A*		235		33,664
MKS Instruments, Inc.		322		30,815
NCR Corp.*		1,027		30,789
NVIDIA Corp.		121		28,665
Adobe Systems, Inc.*		92		22,430
Cypress Semiconductor Corp.		1,342		20,908
Total Technology				2,147,897
Communications - 3.3%
Amazon.com, Inc.*		200		339,960
Alphabet, Inc. — Class C*		304		339,158
Facebook, Inc. — Class A*		1,103		214,335
Omnicom Group, Inc.		1,117		85,194
Motorola Solutions, Inc.		687		79,946
eBay, Inc.*		1,592		57,726
CDW Corp.		650		52,513
AMC Networks, Inc. — Class A*		620		38,564
Netflix, Inc.*		85		33,271
Walt Disney Co.		223		23,373
Total Communications				1,264,040
Industrial - 2.8%
Union Pacific Corp.		923		130,771
Lockheed Martin Corp.		382		112,854
Honeywell International, Inc.		681		98,098
Caterpillar, Inc.		706		95,783
Spirit AeroSystems Holdings, Inc. — Class A		935		80,326
Huntington Ingalls Industries, Inc.		336		72,841
Ingersoll-Rand plc		749		67,208
Boeing Co.		186		62,405
Textron, Inc.		937		61,758
Cummins, Inc.		464		61,712
Parker-Hannifin Corp.		369		57,508
Northrop Grumman Corp.		131		40,309
Hubbell, Inc.		313		33,097
Genesee & Wyoming, Inc. — Class A*		388		31,552
Raytheon Co.		111		21,443
Xylem, Inc.		317		21,359
Total Industrial				1,049,024
Consumer, Cyclical - 1.9%
Southwest Airlines Co.		1,746		88,837
Lions Gate Entertainment Corp. — Class A		3,018		74,907
Home Depot, Inc.		363		70,821
Delta Air Lines, Inc.		1,234		61,132
Lear Corp.		310		57,601
Allison Transmission Holdings, Inc.		1,378		55,795
HD Supply Holdings, Inc.*		967		41,475
PulteGroup, Inc.		1,312		37,720
Nu Skin Enterprises, Inc. — Class A		480		37,531
Live Nation Entertainment, Inc.*		746		36,233
Costco Wholesale Corp.		113		23,615
Lowe’s Companies, Inc.		232		22,172
Yum! Brands, Inc.		280		21,902
Marriott International, Inc. — Class A		166		21,016
NVR, Inc.*		7		20,793
NIKE, Inc. — Class B		209		16,653
Chipotle Mexican Grill, Inc. — Class A*		33		14,235
Total Consumer, Cyclical				702,438

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
Financial - 0.3%
Visa, Inc. — Class A		598	$	79,205
Mastercard, Inc. — Class A		234		45,986
Total Financial				125,191
Basic Materials - 0.2%
Univar, Inc.*		1,860		48,806
Praxair, Inc.		143		22,616
Total Basic Materials				71,422
Total Common Stocks
(Cost $6,948,854)				7,576,706
MUTUAL FUNDS† - 78.7%
Guggenheim Variable Insurance Strategy Fund III1		490,515		12,297,216
Guggenheim Strategy Fund III1		491,031		12,270,868
Guggenheim Strategy Fund II1		144,296		3,605,957
Guggenheim Strategy Fund I1		60,420		1,512,908
Total Mutual Funds
(Cost $29,619,985)				29,686,949
MONEY MARKET FUND† - 0.9%
Dreyfus Treasury Prime Cash Management Fund — Institutional Class, 1.68%2		334,221		334,221
Total Money Market Fund
(Cost $334,221)				334,221
Total Investments - 99.7%
(Cost $36,903,060)			$	37,597,876
Other Assets & Liabilities, net - 0.3%				127,470
Total Net Assets - 100.0%			$	37,725,346

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
S&P 500 Index Mini Futures Contracts		1		Sep 2018	$	136,038	$	(3,599	)
NASDAQ-100 Index Mini Futures Contracts		1		Sep 2018		141,245		(4,721	)
					$	277,283	$	(8,320	)

Total Return Swap Agreements

Counterparty

Index

Financing Rate Pay

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo

Russell 1000 Growth Index

2.16

%

At Maturity

07/02/18

20,571

$

29,639,417

$

2,168,471

* Non-income producing security.

** Includes cumulative appreciation (depreciation). Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

^† Value determined based on Level 1 inputs — See Note 4.

^{† †} Value determined based on Level 2 inputs — See Note 4.

¹ Affiliated issuer.

² Rate indicated is the 7 day yield as of June 30, 2018.

plc — Public Limited Company

See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 113

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	7,576,706	$	—	$	—	$	7,576,706
Mutual Funds		29,686,949		—		—		29,686,949
Money Market Fund		334,221		—		—		334,221
Equity Index Swap Agreements*		—		2,168,471		—		2,168,471
Total Assets	$	37,597,876	$	2,168,471	$	—	$	39,766,347
Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts*	$	8,320	$	—	$	—	$	8,320

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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 Guggenheim Investments ("GI"), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.

Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:

Security Name	Value 12/31/17		Additions		Reductions			Realized Gain		Change in Unrealized Appreciation (Depreciation)			Value 06/30/18		Shares 06/30/18		Investment Income
Mutual Funds
Guggenheim Strategy Fund I	$	4,517,430	$	1,286,008	$	(4,288,605	)	$	14,599	$	(16,524	)	$	1,512,908		60,420	$	36,115
Guggenheim Strategy Fund II		6,940,957		77,881		(3,409,986	)		17,744		(20,639	)		3,605,957		144,296		77,930
Guggenheim Strategy Fund III		14,261,267		174,359		(2,149,994	)		10,678		(25,442	)		12,270,868		491,031		174,001
Guggenheim Variable Insurance Strategy Fund III		12,792,600		2,525,880		(2,999,977	)		14,345		(35,632	)		12,297,216		490,515		190,043
	$	38,512,254	$	4,064,128	$	(12,848,562	)	$	57,366	$	(98,237	)	$	29,686,949			$	478,089

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

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments in unaffiliated issuers, at value (cost $7,283,075)	$	7,910,927
Investments in affiliated issuers, at value (cost $29,619,985)		29,686,949
Segregated cash with broker		11,400
Unrealized appreciation on swap agreements		2,168,471
Prepaid expenses		1,094
Receivables:
Fund shares sold		102,407
Dividends		89,996
Interest		3,777
Variation margin on futures contracts		98
Total assets		39,975,119
Liabilities:
Overdraft due to custodian bank		249,831
Segregated cash due to broker		1,750,000
Payable for:
Securities purchased		86,521
Fund shares redeemed		77,717
Swap settlement		45,552
Management fees		13,078
Distribution and service fees		9,222
Fund accounting/administration fees		2,951
Transfer agent/maintenance fees		2,324
Trustees’ fees*		123
Miscellaneous		12,454
Total liabilities		2,249,773
Commitments and contingent liabilities (Note 13)		—
Net assets	$	37,725,346
Net assets consist of:
Paid in capital	$	24,540,802
Undistributed net investment income		909,224
Accumulated net realized gain on investments		9,420,353
Net unrealized appreciation on investments		2,854,967
Net assets	$	37,725,346
Capital shares outstanding		1,751,639
Net asset value per share	$	21.54

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $63)	$	66,731
Dividends from securities of affiliated issuers		478,089
Interest		12,916
Total investment income		557,736
Expenses:
Management fees		156,022
Distribution and service fees		60,009
Transfer agent/maintenance fees		12,694
Interest expense		22,248
Fund accounting/administration fees		19,203
Trustees’ fees*		4,418
Custodian fees		3,395
Line of credit fees		904
Miscellaneous		30,021
Total expenses		308,914
Less:
Expenses waived by Adviser		(63,925	)
Net expenses		244,989
Net investment income		312,747
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		603,041
Investments in affiliated issuers		57,366
Swap agreements		3,225,536
Futures contracts		21,720
Net realized gain		3,907,663
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(352,982	)
Investments in affiliated issuers		(98,237	)
Swap agreements		(517,007	)
Futures contracts		(10,178	)
Net change in unrealized appreciation (depreciation)		(978,404	)
Net realized and unrealized gain		2,929,259
Net increase in net assets resulting from operations	$	3,242,006

* 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 | 115

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	312,747		$	596,477
Net realized gain on investments		3,907,663			7,742,154
Net change in unrealized appreciation (depreciation) on investments		(978,404	)		3,128,375
Net increase in net assets resulting from operations		3,242,006			11,467,006
Distributions to shareholders from:
Net investment income		—			(436,012	)
Total distributions to shareholders		—			(436,012	)
Capital share transactions:
Proceeds from sale of shares		2,580,988			6,762,793
Distributions reinvested		—			436,012
Cost of shares redeemed		(16,270,410	)		(8,622,204	)
Net decrease from capital share transactions		(13,689,422	)		(1,423,399	)
Net increase (decrease) in net assets		(10,447,416	)		9,607,595
Net assets:
Beginning of period		48,172,762			38,565,167
End of period	$	37,725,346		$	48,172,762
Undistributed net investment income at end of period	$	909,224		$	596,477
Capital share activity:
Shares sold		122,550			369,962
Shares issued from reinvestment of distributions		—			23,957
Shares redeemed		(744,494	)		(468,889	)
Net decrease in shares		(621,944	)		(74,970	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	20.30		$	15.75		$	15.11		$	15.58		$	13.52		$	10.54
Income (loss) from investment operations:
Net investment income (loss)b		.14			.25			.17			.08			.15			.04
Net gain (loss) on investments (realized and unrealized)		1.10			4.48			1.13			.79			1.91			2.94
Total from investment operations		1.24			4.73			1.30			.87			2.06			2.98
Less distributions from:
Net investment income		—			(.18	)		(.08	)		(.17	)		—			—
Net realized gains		—			—			(.58	)		(1.17	)		—			—
Total distributions		—			(.18	)		(.66	)		(1.34	)		—			—
Net asset value, end of period	$	21.54		$	20.30		$	15.75		$	15.11		$	15.58		$	13.52
Total Returnc		6.11	%		30.11	%		8.72	%		5.49	%		15.24	%		28.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,725		$	48,173		$	38,565		$	40,178		$	36,942		$	40,417
Ratios to average net assets:
Net investment income (loss)		1.30	%		1.36	%		1.14	%		0.52	%		1.05	%		0.33	%
Total expensesd		1.29	%		1.20	%		1.04	%		1.15	%		1.18	%		1.10	%
Net expensese,f		1.02	%		0.97	%		1.04	%		1.15	%		1.16	%		1.10	%
Portfolio turnover rate		29	%		43	%		42	%		65	%		96	%		247	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 and reimbursements, as applicable.

^f Net expenses may include expenses that are excluded from the expense limitation agreement and affiliated fee waivers. Excluding these expenses, the net expense ratios for the periods would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
0.93%	0.97%	N/A	N/A	N/A	N/A

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 117

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) June 30, 2018

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)
Kimberly-Clark Corp.	1.2%
National Fuel Gas Co.	1.2%
Portland General Electric Co.	1.1%
Regal Beloit Corp.	1.1%
Ingredion, Inc.	1.1%
Senior Housing Properties Trust	1.1%
PNM Resources, Inc.	1.0%
El Paso Electric Co.	1.0%
Archer-Daniels-Midland Co.	1.0%
Amgen, Inc.	1.0%
Top Ten Total	10.8%

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

Average Annual Returns*^,†

Periods Ended June 30, 2018

	6 month‡	1 Year	5 Year	10 Year
Series Z (Alpha Opportunity Series)	(9.18%)	(2.98%)	5.88%	6.10%
Morningstar Long/Short Equity Category Average	(0.39%)	5.63%	4.15%	4.41%
S&P 500 Index	2.65%	14.37%	13.42%	10.17%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.81%	1.36%	0.42%	0.35%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index, ICE BofA Merill Lynch 3-Month U.S. Treasury Bill Index, and Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns.

^† Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

^‡ 6 month returns are not annualized.

118 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

SCHEDULE OF INVESTMENTS (Unaudited)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
COMMON STOCKS† - 103.0%
Consumer, Non-cyclical - 33.0%
Kimberly-Clark Corp.1		1,077	$	113,451
Ingredion, Inc.		943		104,390
Archer-Daniels-Midland Co.1		1,969		90,239
Amgen, Inc.		482		88,973
Tyson Foods, Inc. — Class A1		1,204		82,895
Molson Coors Brewing Co. — Class B1		1,202		81,784
Pfizer, Inc.1		2,254		81,775
Edgewell Personal Care Co.*		1,602		80,837
CVS Health Corp.1		1,121		72,136
Medtronic plc1		824		70,543
Kraft Heinz Co.1		1,117		70,170
McKesson Corp.1		511		68,168
Cardinal Health, Inc.1		1,389		67,825
Procter & Gamble Co.1		781		60,965
Western Union Co.		2,970		60,380
Gilead Sciences, Inc.1		850		60,214
JM Smucker Co.1		555		59,651
US Foods Holding Corp.*		1,417		53,591
Zimmer Biomet Holdings, Inc.1		472		52,600
Conagra Brands, Inc.1		1,437		51,344
STERIS plc		487		51,140
Pilgrim’s Pride Corp.*		2,520		50,728
Eli Lilly & Co.1		586		50,003
Biogen, Inc.*,1		172		49,921
Johnson & Johnson1		407		49,385
Merck & Company, Inc.1		788		47,832
Boston Beer Company, Inc. — Class A*		150		44,955
Travelport Worldwide Ltd.		2,350		43,569
CoreLogic, Inc.*		819		42,506
Charles River Laboratories International, Inc.*		363		40,750
PepsiCo, Inc.1		364		39,629
Sanderson Farms, Inc.		371		39,011
Danaher Corp.1		382		37,696
Mylan N.V.*,1		1,005		36,321
United Therapeutics Corp.*		317		35,869
Prestige Brands Holdings, Inc.*		912		35,003
Darling Ingredients, Inc.*		1,752		34,830
Abbott Laboratories1		558		34,032
Colgate-Palmolive Co.1		507		32,858
Bristol-Myers Squibb Co.1		592		32,761
Performance Food Group Co.*		856		31,415
Altria Group, Inc.1		542		30,780
Quanta Services, Inc.*		908		30,327
Hill-Rom Holdings, Inc.		344		30,045
Kellogg Co.1		429		29,974
TreeHouse Foods, Inc.*		570		29,931
Baxter International, Inc.1		399		29,462
Allergan plc1		173		28,843
United Natural Foods, Inc.*		665		28,369
Dean Foods Co.		2,648		27,830
Celgene Corp.*,1		348		27,638
Sabre Corp.		1,109		27,326
United Rentals, Inc.*,1		183		27,015
Perrigo Company plc1		368		26,831
Kroger Co.1		922		26,231
Hologic, Inc.*,1		653		25,957
Regeneron Pharmaceuticals, Inc.*,1		72		24,839
Zoetis, Inc.1		281		23,938
Humana, Inc.1		80		23,811
Thermo Fisher Scientific, Inc.1		113		23,407
Philip Morris International, Inc.1		287		23,173
Sysco Corp.1		339		23,150
WellCare Health Plans, Inc.*,1		93		22,900
Cardtronics plc — Class A*		913		22,076
ResMed, Inc.1		208		21,544
Varian Medical Systems, Inc.*,1		182		20,697
Bruker Corp.		691		20,066
Church & Dwight Company, Inc.1		299		15,895
Lamb Weston Holdings, Inc.		227		15,552
Hershey Co.1		162		15,076
Total Consumer, Non-cyclical				3,054,828
Industrial - 18.9%
Regal Beloit Corp.		1,290		105,522
Genesee & Wyoming, Inc. — Class A*		1,064		86,525
Greenbrier Companies, Inc.		1,470		77,543
EMCOR Group, Inc.		925		70,467
AECOM*		2,127		70,255
Cummins, Inc.1		510		67,830
Kansas City Southern1		569		60,291
Snap-on, Inc.		367		58,984
EnerSys		672		50,158
Eaton Corporation plc1		648		48,431
Masco Corp.1		1,109		41,499
Arrow Electronics, Inc.*		544		40,952
Norfolk Southern Corp.1		267		40,282
Jabil, Inc.		1,451		40,135
Parker-Hannifin Corp.1		255		39,742
Dover Corp.1		536		39,235
Pentair plc		907		38,166
AGCO Corp.		612		37,161
Trinity Industries, Inc.		1,069		36,624
Vishay Intertechnology, Inc.		1,574		36,517
FedEx Corp.1		154		34,967
Benchmark Electronics, Inc.		1,184		34,514
Crane Co.		428		34,296
Union Pacific Corp.1		236		33,436
Gibraltar Industries, Inc.*		856		32,100
Owens Corning		453		28,707
Oshkosh Corp.		383		26,932
Acuity Brands, Inc.		232		26,882
Avnet, Inc.		626		26,849
Spirit AeroSystems Holdings, Inc. — Class A1		308		26,460
TE Connectivity Ltd.1		284		25,577
Belden, Inc.		416		25,426
Louisiana-Pacific Corp.		919		25,015
Mettler-Toledo International, Inc.*,1		43		24,881
Rexnord Corp.*		851		24,730
KBR, Inc.		1,319		23,636

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 119

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
Waters Corp.*,1		122	$	23,618
Fluor Corp.		448		21,853
Corning, Inc.1		787		21,650
CSX Corp.1		335		21,366
Werner Enterprises, Inc.		569		21,366
Tech Data Corp.*		257		21,105
Coherent, Inc.*		133		20,804
J.B. Hunt Transport Services, Inc.1		170		20,664
Owens-Illinois, Inc.*		1,206		20,273
Caterpillar, Inc.1		143		19,401
Total Industrial				1,752,827
Technology - 10.9%
HP, Inc.1		3,065		69,545
Convergys Corp.		2,670		65,255
Skyworks Solutions, Inc.1		525		50,741
Cirrus Logic, Inc.*		1,269		48,641
DXC Technology Co.1		594		47,882
Cognizant Technology Solutions Corp. — Class A1		549		43,365
International Business Machines Corp.1		295		41,211
MAXIMUS, Inc.		630		39,129
Fidelity National Information Services, Inc.1		344		36,474
CA, Inc.1		1,021		36,399
ON Semiconductor Corp.*,1		1,615		35,910
Teradyne, Inc.		816		31,065
Amdocs Ltd.		441		29,190
Intel Corp.1		585		29,080
Dell Technologies Incorporated Class V — Class V*,1		314		26,558
Apple, Inc.1		143		26,471
Microsoft Corp.1		249		24,554
Oracle Corp.1		541		23,837
Paychex, Inc.1		347		23,717
Applied Materials, Inc.1		510		23,557
Lam Research Corp.1		136		23,508
Kulicke & Soffa Industries, Inc.		985		23,463
Accenture plc — Class A1		142		23,230
NetApp, Inc.1		294		23,088
Broadridge Financial Solutions, Inc.1		200		23,020
Western Digital Corp.1		296		22,913
Fiserv, Inc.*,1		309		22,894
Seagate Technology plc1		391		22,080
Broadcom, Inc.1		88		21,352
Leidos Holdings, Inc.		361		21,299
KLA-Tencor Corp.1		197		20,198
Icad, Inc.*		3,893		11,874
Total Technology				1,011,500
Utilities - 10.0%
National Fuel Gas Co.		2,042		108,144
Portland General Electric Co.		2,471		105,660
PNM Resources, Inc.		2,479		96,433
El Paso Electric Co.		1,608		95,033
Exelon Corp.1		2,051		87,373
Ameren Corp.1		1,407		85,616
UGI Corp.		1,486		77,376
Consolidated Edison, Inc.1		940		73,301
AES Corp.		3,189		42,765
Pinnacle West Capital Corp.		522		42,052
FirstEnergy Corp.1		876		31,457
Entergy Corp.1		365		29,488
PG&E Corp.1		668		28,430
OGE Energy Corp.		705		24,823
Total Utilities				927,951
Communications - 9.6%
Verizon Communications, Inc.1		1,676		84,320
Telephone & Data Systems, Inc.		2,786		76,392
News Corp. — Class A		3,870		59,985
InterDigital, Inc.		677		54,769
TEGNA, Inc.		4,710		51,104
Omnicom Group, Inc.1		628		47,898
Vonage Holdings Corp.*		3,040		39,186
Comcast Corp. — Class A1		1,186		38,913
Cisco Systems, Inc.1		896		38,555
Juniper Networks, Inc.1		1,295		35,509
Gray Television, Inc.*		2,243		35,439
Gannett Company, Inc.		3,286		35,160
AMC Networks, Inc. — Class A*		555		34,521
ARRIS International plc*		1,368		33,441
Motorola Solutions, Inc.1		260		30,256
New Media Investment Group, Inc.		1,529		28,256
MSG Networks, Inc. — Class A*		1,081		25,890
Scholastic Corp.		584		25,877
F5 Networks, Inc.*,1		139		23,971
ORBCOMM, Inc.*		2,301		23,240
Interpublic Group of Companies, Inc.		951		22,291
CDW Corp.1		269		21,732
Alphabet, Inc. — Class C*,1		19		21,197
Total Communications				887,902
Financial - 9.1%
Senior Housing Properties Trust REIT		5,555		100,490
VEREIT, Inc. REIT		10,012		74,489
Apartment Investment & Management Co. — Class A REIT		1,297		54,863
Ventas, Inc. REIT1		899		51,198
Allstate Corp.1		549		50,107
JPMorgan Chase & Co.1		462		48,140
Equity Commonwealth REIT*		1,437		45,266
Park Hotels & Resorts, Inc. REIT		1,429		43,770
Cousins Properties, Inc. REIT		4,077		39,506
Travelers Companies, Inc.1		314		38,415
Visa, Inc. — Class A1		270		35,761
Principal Financial Group, Inc.1		658		34,841
Prudential Financial, Inc.1		364		34,038
Host Hotels & Resorts, Inc. REIT1		1,587		33,438
Aflac, Inc.1		769		33,082
Brandywine Realty Trust REIT		1,951		32,933
Summit Hotel Properties, Inc. REIT		2,030		29,049
Bank of America Corp.1		871		24,554
CBRE Group, Inc. — Class A*,1		490		23,393

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
Franklin Resources, Inc.1		655	$	20,993
Irish Bank Resolution Corporation Ltd.*,†††,2		16,638		—
Total Financial				848,326
Consumer, Cyclical - 6.2%
Allison Transmission Holdings, Inc.		1,748		70,776
Southwest Airlines Co.1		1,247		63,447
PACCAR, Inc.1		883		54,711
JetBlue Airways Corp.*		2,629		49,898
Copa Holdings S.A. — Class A		507		47,972
Lions Gate Entertainment Corp. — Class A		1,882		46,711
Delta Air Lines, Inc.1		838		41,515
Meritor, Inc.*		1,791		36,841
Lear Corp.1		153		28,429
Walgreens Boots Alliance, Inc.1		467		28,027
Casey’s General Stores, Inc.		246		25,850
Alaska Air Group, Inc.1		404		24,398
Yum! Brands, Inc.1		268		20,963
General Motors Co.1		505		19,897
Tailored Brands, Inc.		577		14,725
Total Consumer, Cyclical				574,160
Energy - 3.6%
Chevron Corp.1		657		83,064
Exxon Mobil Corp.1		757		62,627
Valero Energy Corp.1		519		57,521
ConocoPhillips1		375		26,107
Occidental Petroleum Corp.1		310		25,941
Williams Companies, Inc.1		879		23,830
Phillips 661		202		22,687
HollyFrontier Corp.1		224		15,328
PBF Energy, Inc. — Class A		346		14,508
Total Energy				331,613
Basic Materials - 1.7%
Domtar Corp.		676		32,272
LyondellBasell Industries N.V. — Class A1		287		31,527
Huntsman Corp.		846		24,703
International Paper Co.1		442		23,020
Newmont Mining Corp.1		575		21,683
Alcoa Corp.*		452		21,190
Total Basic Materials				154,395
Total Common Stocks
(Cost $9,539,552)				9,543,502
MONEY MARKET FUND† - 11.8%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Class 1.72%3		1,090,411		1,090,411
Total Money Market Fund
(Cost $1,090,411)				1,090,411
Total Investments - 114.8%
(Cost $10,629,963)			$	10,633,913
Other Assets & Liabilities, net - (14.8)%				(1,371,380	)
Total Net Assets - 100.0%			$	9,262,533

Total Return Swap Agreements

Counterparty

Index

Financing Rate Pay (Receive)

Payment Frequency

Maturity Date

Notional Amount

Value and Unrealized Appreciation/ Depreciation

OTC Custom Basket Swap Agreements Sold Short††

Morgan Stanley

Alpha Opportunity Portfolio Short Custom Basket Swap4

(1.53

%)

At Maturity

02/01/19

$

9,577,568

$

(609,956

)

OTC Custom Basket Swap Agreements††

Morgan Stanley

Alpha Opportunity Portfolio Long Custom Basket Swap5

2.34

%

At Maturity

02/01/19

2,235,192

6,175

	Shares		Percentage Value			Unrealized Appreciation
CUSTOM BASKET OF LONG SECURITIES5
Boston Beer Company, Inc. — Class A*		35		76.5	%	$	4,724
El Paso Electric Co.		377		60.7	%		3,751
Archer-Daniels-Midland Co.		462		49.6	%		3,060
Senior Housing Properties Trust		1,304		45.6	%		2,817
UGI Corp.		349		45.5	%		2,809
Genesee & Wyoming, Inc. — Class A*		249		42.7	%		2,638
Regal Beloit Corp.		303		40.1	%		2,477
Travelport Worldwide Ltd.		551		38.0	%		2,345
Valero Energy Corp.		121		36.7	%		2,268
Cisco Systems, Inc.		210		35.3	%		2,180
Chevron Corp.		154		33.0	%		2,036
Ameren Corp.		330		31.9	%		1,968
TreeHouse Foods, Inc.*		134		31.4	%		1,938
Gray Television, Inc.*		526		31.1	%		1,922
Telephone & Data Systems, Inc.		654		29.9	%		1,847
Exelon Corp.		481		29.2	%		1,805
PNM Resources, Inc.		582		29.2	%		1,804

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 121

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Value			Unrealized Appreciation
Vishay Intertechnology, Inc.		369		28.5	%	$	1,762
Amgen, Inc.		113		25.6	%		1,580
Exxon Mobil Corp.		177		24.3	%		1,499
Portland General Electric Co.		580		23.3	%		1,438
US Foods Holding Corp.*		332		23.3	%		1,436
Allison Transmission Holdings, Inc.		410		22.0	%		1,358
EMCOR Group, Inc.		217		21.9	%		1,351
National Fuel Gas Co.		479		21.6	%		1,334
Kroger Co.		216		21.5	%		1,330
Dean Foods Co.		621		21.3	%		1,315
Occidental Petroleum Corp.		72		21.2	%		1,308
Dell Technologies Incorporated Class V — Class V*		73		20.9	%		1,290
VEREIT, Inc.		2,351		20.8	%		1,281
Park Hotels & Resorts, Inc.		335		20.4	%		1,257
AMC Networks, Inc. — Class A*		130		19.4	%		1,198
Procter & Gamble Co.		183		19.2	%		1,186
NetApp, Inc.		69		19.1	%		1,182
Medtronic plc		193		19.1	%		1,181
Performance Food Group Co.*		201		18.1	%		1,121
CoreLogic, Inc.*		192		18.0	%		1,113
Merck & Company, Inc.		185		17.9	%		1,107
Verizon Communications, Inc.		393		17.7	%		1,095
WellCare Health Plans, Inc.*		21		17.5	%		1,078
Snap-on, Inc.		86		17.3	%		1,070
AES Corp.		749		14.0	%		866
KBR, Inc.		309		13.3	%		823
Jabil, Inc.		340		13.2	%		815
Prestige Brands Holdings, Inc.*		214		13.0	%		800
Norfolk Southern Corp.		62		12.8	%		788
F5 Networks, Inc.*		32		12.6	%		777
STERIS plc		114		12.6	%		776
Teradyne, Inc.		191		12.2	%		753
Pinnacle West Capital Corp.		122		10.8	%		669
Convergys Corp.		626		10.6	%		654
Skyworks Solutions, Inc.		123		10.0	%		617
Fidelity National Information Services, Inc.		80		9.8	%		602
EnerSys		157		9.0	%		557
Kraft Heinz Co.		262		8.8	%		544
PG&E Corp.		156		8.7	%		534
Allergan plc		40		8.1	%		500
Bristol-Myers Squibb Co.		139		8.0	%		492
Consolidated Edison, Inc.		220		7.9	%		491
Ventas, Inc.		211		7.9	%		488
Motorola Solutions, Inc.		61		7.8	%		483
Summit Hotel Properties, Inc.		476		7.7	%		474
Juniper Networks, Inc.		304		7.7	%		473
Regeneron Pharmaceuticals, Inc.*		16		7.6	%		469
Union Pacific Corp.		55		7.6	%		467
Darling Ingredients, Inc.*		411		7.1	%		440
New Media Investment Group, Inc.		359		6.9	%		425
Gannett Company, Inc.		771		6.8	%		420
Domtar Corp.		158		6.8	%		420
Gibraltar Industries, Inc.*		201		6.7	%		412
Avnet, Inc.		147		6.4	%		393
Western Union Co.		697		6.0	%		368
Vonage Holdings Corp.*		713		5.9	%		365
FirstEnergy Corp.		205		5.8	%		358
Charles River Laboratories International, Inc.*		85		5.8	%		355
Entergy Corp.		85		5.6	%		344
Brandywine Realty Trust		458		5.5	%		343
PepsiCo, Inc.		85		5.4	%		335
Kellogg Co.		100		5.2	%		324
Casey's General Stores, Inc.		57		4.9	%		300
CSX Corp.		78		4.7	%		290
Sabre Corp.		260		4.5	%		280
Cardtronics plc — Class A*		214		4.3	%		266
Church & Dwight Company, Inc.		70		3.8	%		237
Greenbrier Companies, Inc.		345		3.6	%		224
Apartment Investment & Management Co. — Class A		304		3.6	%		224
Equity Commonwealth*		337		3.2	%		200
J.B. Hunt Transport Services, Inc.		40		3.2	%		199
Interpublic Group of Companies, Inc.		223		2.8	%		173
Colgate-Palmolive Co.		119		2.7	%		170
Humana, Inc.		18		2.7	%		167
Sysco Corp.		79		2.6	%		162
Lamb Weston Holdings, Inc.		53		2.3	%		139
Eaton Corporation plc		152		2.1	%		128
MSG Networks, Inc. — Class A*		253		1.8	%		114
OGE Energy Corp.		165		1.8	%		108
ConocoPhillips		88		1.5	%		93
Edgewell Personal Care Co.*		376		1.3	%		83
Acuity Brands, Inc.		54		1.1	%		69
Cognizant Technology Solutions Corp. — Class A		128		1.1	%		67
Altria Group, Inc.		127		1.0	%		63
Kulicke & Soffa Industries, Inc.		231		0.6	%		36
Hershey Co.		38		0.6	%		36
Accenture plc — Class A		33		0.5	%		32
LyondellBasell Industries N.V. — Class A		67		0.3	%		17
Philip Morris International, Inc.		67		0.0	%		2
Broadridge Financial Solutions, Inc.		47		0.0	%		1
ORBCOMM, Inc.*		540		0.0	%		—

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Value			Unrealized Depreciation
CA, Inc.		239		(0.0	%)	$	(1	)
Rexnord Corp.*		199		(0.1	%)		(9	)
Cousins Properties, Inc.		957		(0.1	%)		(9	)
Hologic, Inc.*		153		(0.2	%)		(12	)
Trinity Industries, Inc.		251		(0.8	%)		(51	)
CBRE Group, Inc. — Class A*		115		(1.0	%)		(60	)
United Natural Foods, Inc.*		156		(1.2	%)		(76	)
Paychex, Inc.		81		(1.4	%)		(85	)
Johnson & Johnson		95		(1.4	%)		(86	)
Scholastic Corp.		137		(1.5	%)		(90	)
TEGNA, Inc.		1,106		(1.7	%)		(105	)
Eli Lilly & Co.		137		(2.0	%)		(123	)
Omnicom Group, Inc.		147		(2.0	%)		(124	)
Host Hotels & Resorts, Inc.		372		(2.1	%)		(132	)
Mettler-Toledo International, Inc.*		10		(2.2	%)		(133	)
Baxter International, Inc.		93		(2.2	%)		(135	)
Werner Enterprises, Inc.		133		(2.3	%)		(141	)
Alcoa Corp.*		106		(2.3	%)		(142	)
Alphabet, Inc. — Class C*		4		(2.4	%)		(151	)
Waters Corp.*		28		(2.5	%)		(154	)
ResMed, Inc.		49		(2.6	%)		(159	)
Visa, Inc. — Class A		63		(2.6	%)		(163	)
Microsoft Corp.		58		(2.7	%)		(165	)
Leidos Holdings, Inc.		84		(2.8	%)		(170	)
Zoetis, Inc.		66		(2.8	%)		(173	)
Fiserv, Inc.*		72		(2.8	%)		(176	)
Newmont Mining Corp.		135		(2.9	%)		(179	)
Allstate Corp.		129		(2.9	%)		(180	)
Phillips 66		47		(3.0	%)		(188	)
Franklin Resources, Inc.		153		(3.1	%)		(190	)
Apple, Inc.		33		(3.1	%)		(193	)
United Therapeutics Corp.*		74		(3.2	%)		(195	)
CDW Corp.		63		(3.2	%)		(199	)
Conagra Brands, Inc.		359		(3.3	%)		(204	)
Williams Companies, Inc.		206		(3.4	%)		(207	)
Comcast Corp. — Class A		278		(3.5	%)		(218	)
Oshkosh Corp.		90		(3.5	%)		(219	)
Kansas City Southern		133		(3.6	%)		(223	)
Thermo Fisher Scientific, Inc.		26		(3.6	%)		(225	)
Seagate Technology plc		91		(3.9	%)		(239	)
Louisiana-Pacific Corp.		215		(4.0	%)		(244	)
Abbott Laboratories		131		(4.0	%)		(246	)
Corning, Inc.		184		(4.0	%)		(248	)
HollyFrontier Corp.		52		(4.2	%)		(256	)
Gilead Sciences, Inc.		199		(4.2	%)		(259	)
Bank of America Corp.		204		(4.3	%)		(267	)
Oracle Corp.		127		(4.7	%)		(288	)
Caterpillar, Inc.		33		(4.9	%)		(302	)
Pentair plc		213		(4.9	%)		(304	)
Benchmark Electronics, Inc.		278		(5.1	%)		(313	)
Yum! Brands, Inc.		63		(5.2	%)		(321	)
Pfizer, Inc.		529		(5.3	%)		(325	)
Quanta Services, Inc.*		213		(5.6	%)		(344	)
Danaher Corp.		89		(5.6	%)		(345	)
Amdocs Ltd.		103		(6.1	%)		(376	)
Varian Medical Systems, Inc.*		42		(6.1	%)		(377	)
Dover Corp.		125		(6.3	%)		(390	)
Walgreens Boots Alliance, Inc.		109		(6.4	%)		(395	)
Hill-Rom Holdings, Inc.		80		(6.5	%)		(402	)
Alaska Air Group, Inc.		94		(6.7	%)		(415	)
JPMorgan Chase & Co.		108		(6.9	%)		(426	)
Spirit AeroSystems Holdings, Inc. — Class A		72		(7.0	%)		(435	)
JetBlue Airways Corp.*		617		(7.1	%)		(439	)
Delta Air Lines, Inc.		196		(7.2	%)		(442	)
Applied Materials, Inc.		119		(7.2	%)		(444	)
PBF Energy, Inc. — Class A		81		(7.4	%)		(458	)
ARRIS International plc*		321		(7.6	%)		(469	)
Arrow Electronics, Inc.*		127		(7.6	%)		(470	)
Aflac, Inc.		180		(7.7	%)		(474	)
KLA-Tencor Corp.		46		(7.8	%)		(482	)
Travelers Companies, Inc.		73		(7.8	%)		(484	)
General Motors Co.		118		(7.9	%)		(486	)
International Paper Co.		103		(8.1	%)		(497	)
Broadcom, Inc.		20		(8.2	%)		(505	)
Bruker Corp.		162		(8.5	%)		(523	)
Meritor, Inc.*		420		(8.7	%)		(539	)
Lam Research Corp.		31		(8.8	%)		(545	)
Tailored Brands, Inc.		101		(9.2	%)		(571	)
Lear Corp.		36		(9.8	%)		(602	)
Lions Gate Entertainment Corp. — Class A		442		(9.8	%)		(607	)
TE Connectivity Ltd.		66		(9.9	%)		(613	)
Masco Corp.		260		(10.3	%)		(635	)
Zimmer Biomet Holdings, Inc.		111		(10.7	%)		(663	)
Celgene Corp.*		81		(10.9	%)		(671	)
MAXIMUS, Inc.		148		(11.1	%)		(687	)
Icad, Inc.*		1,576		(11.6	%)		(717	)
InterDigital, Inc.		159		(11.7	%)		(724	)
United Rentals, Inc.*		43		(11.8	%)		(726	)
Perrigo Company plc		86		(12.1	%)		(746	)
Western Digital Corp.		69		(12.1	%)		(747	)
Huntsman Corp.		198		(12.5	%)		(774	)
HP, Inc.		719		(12.6	%)		(780	)
Intel Corp.		137		(12.7	%)		(782	)
ON Semiconductor Corp.*		379		(12.7	%)		(785	)
Parker-Hannifin Corp.		60		(12.8	%)		(790	)
News Corp. — Class A		908		(13.8	%)		(854	)
Kimberly-Clark Corp.		253		(14.2	%)		(874	)
JM Smucker Co.		130		(14.2	%)		(880	)
Mylan N.V.*		236		(14.9	%)		(917	)
Fluor Corp.		105		(15.2	%)		(941	)
CVS Health Corp.		263		(15.5	%)		(957	)
AGCO Corp.		143		(16.6	%)		(1,025	)
International Business Machines Corp.		69		(17.9	%)		(1,105	)
Crane Co.		100		(19.2	%)		(1,184	)
Belden, Inc.		97		(19.8	%)		(1,223	)
Prudential Financial, Inc.		85		(20.7	%)		(1,278	)
DXC Technology Co.		139		(21.0	%)		(1,297	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 123

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares			Percentage Value			Unrealized Appreciation (Depreciation)
AECOM*		499			(21.2	%)	$	(1,307	)
FedEx Corp.		36			(21.2	%)		(1,309	)
Tech Data Corp.*		60			(22.0	%)		(1,361	)
Cirrus Logic, Inc.*		298			(22.8	%)		(1,409	)
Owens-Illinois, Inc.*		283			(22.9	%)		(1,414	)
Principal Financial Group, Inc.		154			(24.7	%)		(1,523	)
Sanderson Farms, Inc.		87			(25.4	%)		(1,569	)
Biogen, Inc.*		40			(25.5	%)		(1,577	)
Coherent, Inc.*		31			(26.0	%)		(1,607	)
Tyson Foods, Inc. — Class A		282			(27.8	%)		(1,716	)
PACCAR, Inc.		207			(32.8	%)		(2,024	)
Owens Corning		106			(33.5	%)		(2,069	)
McKesson Corp.		120			(34.5	%)		(2,131	)
Southwest Airlines Co.		292			(35.1	%)		(2,169	)
Pilgrim's Pride Corp.*		591			(52.8	%)		(3,262	)
Molson Coors Brewing Co. — Class B		282			(53.5	%)		(3,301	)
Copa Holdings S.A. — Class A		119			(54.4	%)		(3,358	)
Cummins, Inc.		119			(57.2	%)		(3,533	)
Ingredion, Inc.		221			(72.3	%)		(4,466	)
Cardinal Health, Inc.		326			(76.1	%)		(4,699	)
Total Custom Basket of Long Securities								6,175
CUSTOM BASKET OF SHORT SECURITIES4
Healthcare Services Group, Inc.		(1,899	)		(2.0	%)		11,978
Albemarle Corp.		(290	)		(1.9	%)		11,830
ABM Industries, Inc.		(2,376	)		(1.8	%)		10,737
NewMarket Corp.		(291	)		(1.7	%)		10,235
Goldman Sachs Group, Inc.		(370	)		(1.6	%)		9,599
LendingTree, Inc.*		(104	)		(1.1	%)		6,740
National Instruments Corp.		(977	)		(1.1	%)		6,510
Sensient Technologies Corp.		(568	)		(0.9	%)		5,686
Charles Schwab Corp.		(1,117	)		(0.6	%)		3,662
Nucor Corp.		(548	)		(0.5	%)		3,219
Robert Half International, Inc.		(627	)		(0.5	%)		2,951
Texas Capital Bancshares, Inc.*		(366	)		(0.5	%)		2,885
Marriott International, Inc. — Class A		(231	)		(0.5	%)		2,852
Halliburton Co.		(958	)		(0.4	%)		2,667
SEI Investments Co.		(449	)		(0.4	%)		2,574
Workday, Inc. — Class A*		(232	)		(0.4	%)		2,503
Compass Minerals International, Inc.		(1,100	)		(0.4	%)		2,453
Camden Property Trust		(728	)		(0.4	%)		2,279
First Horizon National Corp.		(1,911	)		(0.4	%)		2,227
Pinnacle Financial Partners, Inc.		(799	)		(0.3	%)		2,123
Capitol Federal Financial, Inc.		(6,292	)		(0.3	%)		2,111
Ball Corp.		(717	)		(0.3	%)		2,046
Air Products & Chemicals, Inc.		(189	)		(0.3	%)		1,845
Sterling Bancorp		(1,723	)		(0.3	%)		1,788
Valley National Bancorp		(3,843	)		(0.3	%)		1,745
Markel Corp.*		(115	)		(0.3	%)		1,570
Palo Alto Networks, Inc.*		(134	)		(0.2	%)		1,519
Martin Marietta Materials, Inc.		(199	)		(0.2	%)		1,427
Sealed Air Corp.		(861	)		(0.2	%)		1,414
FireEye, Inc.*		(1,586	)		(0.2	%)		1,410
salesforce.com, Inc.*		(528	)		(0.2	%)		1,406
Summit Materials, Inc. — Class A*		(1,016	)		(0.2	%)		1,333
People's United Financial, Inc.		(1,539	)		(0.2	%)		1,321
Mosaic Co.		(936	)		(0.2	%)		1,305
New York Community Bancorp, Inc.		(2,341	)		(0.2	%)		1,221
BB&T Corp.		(581	)		(0.2	%)		1,201
McDonald's Corp.		(221	)		(0.2	%)		1,192
Avery Dennison Corp.		(272	)		(0.2	%)		1,083
Aon plc		(201	)		(0.2	%)		1,077
Huntington Bancshares, Inc.		(1,822	)		(0.2	%)		1,061
RenaissanceRe Holdings Ltd.		(310	)		(0.2	%)		976
JBG SMITH Properties		(799	)		(0.1	%)		876
TripAdvisor, Inc.*		(473	)		(0.1	%)		833
Associated Banc-Corp.		(1,234	)		(0.1	%)		759
Schlumberger Ltd.		(539	)		(0.1	%)		718
Investors Bancorp, Inc.		(3,799	)		(0.1	%)		713
Wendy's Co.		(3,441	)		(0.1	%)		698
Waste Management, Inc.		(360	)		(0.1	%)		671
Nielsen Holdings plc		(877	)		(0.1	%)		421
MarketAxess Holdings, Inc.		(236	)		(0.1	%)		394
Intercontinental Exchange, Inc.		(366	)		(0.1	%)		349
Washington Federal, Inc.		(858	)		(0.1	%)		343
Duke Energy Corp.		(381	)		(0.0	%)		309
Charter Communications, Inc. — Class A*		(127	)		(0.0	%)		161
Alleghany Corp.		(48	)		(0.0	%)		146
Crown Castle International Corp.		(647	)		(0.0	%)		104
Aramark		(1,847	)		(0.0	%)		45
Royal Gold, Inc.		(299	)		0.0	%		(26	)
IBERIABANK Corp.		(395	)		0.0	%		(44	)
First Republic Bank		(689	)		0.0	%		(51	)
Platform Specialty Products Corp.*		(2,286	)		0.0	%		(54	)
PPG Industries, Inc.		(268	)		0.0	%		(73	)
WR Grace & Co.		(762	)		0.0	%		(114	)
Essex Property Trust, Inc.		(178	)		0.0	%		(193	)
ServiceNow, Inc.*		(179	)		0.0	%		(268	)
Vulcan Materials Co.		(476	)		0.1	%		(352	)
Republic Services, Inc. — Class A		(431	)		0.1	%		(354	)
Multi-Color Corp.		(569	)		0.1	%		(409	)
Signature Bank*		(236	)		0.1	%		(455	)
AptarGroup, Inc.		(701	)		0.1	%		(499	)
KAR Auction Services, Inc.		(722	)		0.1	%		(508	)

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

SCHEDULE OF INVESTMENTS (Unaudited)(continued)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares			Percentage Value			Unrealized Depreciation
Everest Re Group Ltd.		(122	)		0.1	%	$	(560	)
Marsh & McLennan Companies, Inc.		(338	)		0.1	%		(572	)
Commercial Metals Co.		(2,780	)		0.1	%		(719	)
MSA Safety, Inc.		(641	)		0.1	%		(768	)
Allegheny Technologies, Inc.*		(2,207	)		0.2	%		(976	)
Equifax, Inc.		(250	)		0.2	%		(1,000	)
National Oilwell Varco, Inc.		(912	)		0.2	%		(1,215	)
NiSource, Inc.		(1,317	)		0.2	%		(1,334	)
Sherwin-Williams Co.		(178	)		0.2	%		(1,476	)
Dominion Energy, Inc.		(1,060	)		0.2	%		(1,480	)
Equinix, Inc.		(115	)		0.2	%		(1,486	)
Tesla, Inc.*		(54	)		0.2	%		(1,496	)
Texas Roadhouse, Inc. — Class A		(455	)		0.3	%		(1,545	)
Alexandria Real Estate Equities, Inc.		(715	)		0.3	%		(1,589	)
Invitation Homes, Inc.		(2,555	)		0.3	%		(1,712	)
Vornado Realty Trust		(870	)		0.3	%		(1,794	)
DTE Energy Co.		(288	)		0.3	%		(1,944	)
Costco Wholesale Corp.		(135	)		0.3	%		(2,000	)
Terreno Realty Corp.		(2,669	)		0.3	%		(2,014	)
Amazon.com, Inc.*		(18	)		0.3	%		(2,071	)
Extraction Oil & Gas, Inc.*		(2,582	)		0.3	%		(2,072	)
American Tower Corp. — Class A		(344	)		0.4	%		(2,182	)
Alliant Energy Corp.		(821	)		0.4	%		(2,283	)
WEC Energy Group, Inc.		(467	)		0.4	%		(2,311	)
Realty Income Corp.		(836	)		0.4	%		(2,334	)
Cannae Holdings, Inc.*		(2,168	)		0.4	%		(2,368	)
Eversource Energy		(529	)		0.4	%		(2,524	)
Douglas Emmett, Inc.		(1,780	)		0.4	%		(2,530	)
Parsley Energy, Inc. — Class A*		(990	)		0.4	%		(2,627	)
IHS Markit Ltd.*		(2,598	)		0.4	%		(2,630	)
Equity LifeStyle Properties, Inc.		(1,108	)		0.4	%		(2,656	)
Eaton Vance Corp.		(573	)		0.4	%		(2,696	)
Federal Realty Investment Trust		(237	)		0.4	%		(2,711	)
Glacier Bancorp, Inc.		(810	)		0.5	%		(2,758	)
TransDigm Group, Inc.		(122	)		0.5	%		(3,090	)
AvalonBay Communities, Inc.		(227	)		0.5	%		(3,113	)
FactSet Research Systems, Inc.		(214	)		0.5	%		(3,255	)
Boston Properties, Inc.		(612	)		0.6	%		(3,491	)
SBA Communications Corp.*		(315	)		0.6	%		(3,570	)
Equity Residential		(452	)		0.6	%		(3,666	)
HCP, Inc.		(1,817	)		0.6	%		(3,672	)
RPM International, Inc.		(541	)		0.7	%		(3,974	)
Ellie Mae, Inc.*		(248	)		0.7	%		(4,016	)
Booking Holdings, Inc.*		(21	)		0.7	%		(4,126	)
Gartner, Inc.*		(348	)		0.7	%		(4,171	)
Ashland Global Holdings, Inc.		(569	)		0.7	%		(4,243	)
Covanta Holding Corp.		(8,472	)		0.7	%		(4,277	)
Hudson Pacific Properties, Inc.		(1,406	)		0.7	%		(4,323	)
CyrusOne, Inc.		(912	)		0.7	%		(4,323	)
Rexford Industrial Realty, Inc.		(2,071	)		0.7	%		(4,476	)
SL Green Realty Corp.		(554	)		0.7	%		(4,536	)
Redwood Trust, Inc.		(2,511	)		0.7	%		(4,565	)
American Water Works Company, Inc.		(804	)		0.8	%		(4,770	)
Digital Realty Trust, Inc.		(705	)		0.8	%		(4,903	)
Diamondback Energy, Inc.		(294	)		0.8	%		(5,052	)
Howard Hughes Corp.*		(551	)		0.8	%		(5,098	)
American Campus Communities, Inc.		(1,668	)		0.8	%		(5,111	)
South Jersey Industries, Inc.		(1,222	)		0.8	%		(5,122	)
Pegasystems, Inc.		(682	)		0.8	%		(5,127	)
Healthcare Trust of America, Inc. — Class A		(4,058	)		0.9	%		(5,342	)
White Mountains Insurance Group Ltd.		(78	)		0.9	%		(5,782	)
Cornerstone OnDemand, Inc.*		(644	)		1.0	%		(5,839	)
Axis Capital Holdings Ltd.		(1,235	)		1.0	%		(5,914	)
Under Armour, Inc. — Class A*		(1,532	)		1.0	%		(6,105	)
PriceSmart, Inc.		(892	)		1.0	%		(6,206	)
Public Storage		(298	)		1.2	%		(7,077	)
Tyler Technologies, Inc.*		(218	)		1.2	%		(7,311	)
SPS Commerce, Inc.*		(528	)		1.2	%		(7,324	)
Ultimate Software Group, Inc.*		(149	)		1.2	%		(7,590	)
Southern Copper Corp.		(2,148	)		1.3	%		(7,625	)
Duke Realty Corp.		(2,086	)		1.3	%		(8,077	)
Hess Corp.		(958	)		1.4	%		(8,471	)
RLI Corp.		(1,237	)		1.4	%		(8,624	)
Sun Communities, Inc.		(1,257	)		1.4	%		(8,631	)
Pool Corp.		(270	)		1.4	%		(8,710	)
WD-40 Co.		(219	)		1.4	%		(8,807	)
HB Fuller Co.		(2,490	)		1.5	%		(8,916	)
Moody's Corp.		(370	)		1.5	%		(8,993	)
Monolithic Power Systems, Inc.		(437	)		1.5	%		(9,094	)
Kilroy Realty Corp.		(931	)		1.5	%		(9,359	)
Vail Resorts, Inc.		(147	)		1.5	%		(9,392	)
Semtech Corp.*		(696	)		1.6	%		(9,466	)
Retail Opportunity Investments Corp.		(4,326	)		1.6	%		(9,514	)
UDR, Inc.		(2,340	)		1.6	%		(9,799	)
Tetra Tech, Inc.		(1,187	)		1.7	%		(10,117	)
Ingevity Corp.*		(473	)		1.7	%		(10,586	)
CarMax, Inc.*		(1,223	)		1.7	%		(10,660	)
Ollie's Bargain Outlet Holdings, Inc.*		(369	)		1.8	%		(10,735	)
EastGroup Properties, Inc.		(848	)		1.8	%		(10,969	)
PTC, Inc.*		(345	)		1.8	%		(11,245	)
Mobile Mini, Inc.		(2,431	)		1.9	%		(11,645	)
MSCI, Inc. — Class A		(314	)		2.0	%		(11,864	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 125

SCHEDULE OF INVESTMENTS (Unaudited)(concluded)	June 30, 2018
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares			Percentage Value			Unrealized Depreciation
FMC Corp.		(670	)		2.1	%	$	(12,518	)
Balchem Corp.		(1,040	)		2.1	%		(12,529	)
Crocs, Inc.*		(1,426	)		2.4	%		(14,354	)
TransUnion		(859	)		2.4	%		(14,829	)
Shake Shack, Inc. — Class A*		(574	)		2.4	%		(14,844	)
ASGN, Inc.*		(1,556	)		2.5	%		(15,282	)
Ecolab, Inc.		(860	)		2.6	%		(15,569	)
Insperity, Inc.		(527	)		3.1	%		(18,919	)
Rollins, Inc.		(2,611	)		3.3	%		(20,268	)
Verisk Analytics, Inc. — Class A*		(1,260	)		3.5	%		(21,165	)
Exponent, Inc.		(2,257	)		3.9	%		(23,540	)
Cintas Corp.		(703	)		4.0	%		(24,511	)
Team, Inc.*		(2,723	)		4.5	%		(27,424	)
Copart, Inc.*		(1,348	)		4.5	%		(27,645	)
CoStar Group, Inc.*		(326	)		5.3	%		(32,168	)
Total Custom Basket of Short Securities								(609,956	)

* 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 custom basket swap collateral at June 30, 2018.

² Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $101,261) or 0.0% of total net assets.

³ Rate indicated is the 7 day yield as of June 30, 2018.

⁴ Total Return based on the return of the custom short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018.

⁵ Total Return based on the return of the custom long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018.

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, 2018 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	9,543,502	$	—	$	—*	$	9,543,502
Money Market Fund		1,090,411		—		—		1,090,411
Custom Basket Swap Agreements**		—		6,175		—		6,175
Total Assets	$	10,633,913	$	6,175	$	—	$	10,640,088

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Custom Basket Swap Agreements**	$	—	$	609,956	$	—	$	609,956

* Security has a market value of $0.

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

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

For the period ended June 30, 2018, there were no transfers between levels.

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

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
June 30, 2018
Assets:
Investments, at value (cost $10,629,963)	$	10,633,913
Unrealized appreciation on swap agreements		6,175
Prepaid expenses		665
Receivables:
Dividends		15,615
Interest		791
Fund shares sold		70
Total assets		10,657,229
Liabilities:
Overdraft due to custodian bank		921
Unrealized depreciation on swap agreements		609,956
Payable for:
Swap settlement		746,982
Transfer agent/maintenance fees		4,143
Fund shares redeemed		2,208
Management fees		2,124
Distribution and service fees		2,052
Trustees’ fees*		258
Miscellaneous		26,052
Total liabilities		1,394,696
Commitments and contingent liabilities (Note 13)		—
Net assets	$	9,262,533
Net assets consist of:
Paid in capital	$	9,037,662
Undistributed net investment income		10,479
Accumulated net realized gain on investments		814,223
Net unrealized depreciation on investments		(599,831	)
Net assets	$	9,262,533
Capital shares outstanding		508,711
Net asset value per share	$	18.21

STATEMENT OF OPERATIONS (Unaudited)
Period Ended June 30, 2018
Investment Income:
Dividends (net of foreign withholding tax of $74)	$	119,337
Interest		3,028
Total investment income		122,365
Expenses:
Management fees		51,023
Distribution and service fees		14,173
Transfer agent/maintenance fees		12,332
Professional fees		17,259
Fund accounting/administration fees		12,397
Trustees’ fees*		6,761
Custodian fees		5,455
Line of credit fees		45
Miscellaneous		5,758
Total expenses		125,203
Less:
Expenses reimbursed by Adviser		(523	)
Expenses waived by Adviser		(12,794	)
Total waived expenses		(13,317	)
Net expenses		111,886
Net investment income		10,479
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		816,041
Swap agreements		(1,218,301	)
Net realized loss		(402,260	)
Net change in unrealized appreciation (depreciation) on:
Investments		(802,321	)
Swap agreements		116,492
Net change in unrealized appreciation (depreciation)		(685,829	)
Net realized and unrealized loss		(1,088,089	)
Net decrease in net assets resulting from operations	$	(1,077,610	)

* 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 | 127

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended June 30, 2018 (Unaudited)			Year Ended December 31, 2017
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	10,479		$	(28,603	)
Net realized gain (loss) on investments		(402,260	)		1,207,189
Net change in unrealized appreciation (depreciation) on investments		(685,829	)		(306,349	)
Net increase (decrease) in net assets resulting from operations		(1,077,610	)		872,237
Capital share transactions:
Proceeds from sale of shares		64,513			233,931
Cost of shares redeemed		(2,041,015	)		(1,981,860	)
Net decrease from capital share transactions		(1,976,502	)		(1,747,929	)
Net decrease in net assets		(3,054,112	)		(875,692	)
Net assets:
Beginning of period		12,316,645			13,192,337
End of period	$	9,262,533		$	12,316,645
Undistributed net investment income at end of period	$	10,479		$	—
Capital share activity:
Shares sold		3,283			12,271
Shares redeemed		(108,775	)		(103,565	)
Net decrease in shares		(105,492	)		(91,294	)

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

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 June 30, 2018a			Year Ended December 31, 2017			Year Ended December 31, 2016			Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Per Share Data
Net asset value, beginning of period	$	20.05		$	18.70		$	16.59		$	27.33		$	25.00		$	19.55
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.04	)		(.21	)		(.43	)		(.43	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		(1.86	)		1.39			2.32			(.69	)		2.76			5.60
Total from investment operations		(1.84	)		1.35			2.11			(1.12	)		2.33			5.45
Less distributions from:
Net realized gains		—			—			—			(9.62	)		—			—
Total distributions		—			—			—			(9.62	)		—			—
Net asset value, end of period	$	18.21		$	20.05		$	18.70		$	16.59		$	27.33		$	25.00
Total Returnc		(9.18	%)		7.22	%		12.79	%		(4.69	%)		9.36	%		27.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,263		$	12,317		$	13,192		$	12,548		$	15,611		$	16,707
Ratios to average net assets:
Net investment income (loss)		0.18	%		(0.23	%)		(1.18	%)		(2.03	%)		(1.65	%)		(0.69	%)
Total expenses		2.21	%		2.48	%		2.92	%		3.54	%		2.71	%		3.03	%
Net expensesd,e		2.00	%		2.22	%f		2.92	%		3.46	%		2.33	%		2.44	%
Portfolio turnover rate		141	%		182	%		198	%		446	%		—			548	%

^a Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c 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 Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

^e Net expenses may include expenses that are excluded from the expense limitation agreements. Excluding those amounts, the net expense ratios for the periods presented would be:

06/30/18	12/31/17	12/31/16	12/31/15	12/31/14	12/31/13
2.00%	2.13%	2.35%	2.35%	2.32%	2.35%

^f The portion of the ratio of net expenses to average net assets attributable to recoupments of prior fee reductions of expense reimbursements is 0.15%.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT | 129

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 1 – Organization 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, 2018, the Trust consisted of fourteen 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 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 of which is a diversified investment company.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Partners Investment Management, LLC provides advisory services to Series F (Floating Rate Strategies Series) and Security Investors, LLC provides advisory services to the remaining Funds covered in this report. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

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

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

The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.

(a) Valuation of Investments

The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.

Valuations of the Funds’ securities 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 sale 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 U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors

130 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds (“ETFs”) and closed-end investment companies (“CEFs”) are valued at their last quoted sale 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. Money market funds are valued at their NAV.

Typically, loans are valued using information provided by an independent third party pricing service which uses broker quotes. If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unrealiable, such investment is fair valued by the Valuation Committee.

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.

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 value of interest rate swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined using the spread priced off the previous day’s Chicago Mercantile Exchange (“CME”) price.

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

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

Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.

In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

(c) Senior Loans

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 131

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

European banks, such as the one-month or three-month London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments. The interest rate indicated is the rate in effect at June 30, 2018.

(d) Interests in Securities

The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

(e) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

(f) Futures Contracts

Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(g) Swap Agreements

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

(h) Forward Foreign Currency Exchange Contracts

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.

(i) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(j) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as 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

132 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to 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.

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

(k) Distributions

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.

(l) Expenses

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.

(m) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. For the period ended June 30, 2018, there were no earnings credits received.

(n) Cash

The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.91% at June 30, 2018.

(o) Currency Translations

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

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

(p) Indemnifications

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 133

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 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 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.

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

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

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

Speculation: the use of an instrument to express macro-economic and other investment views.

For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use and volume of call/put options purchased on a quarterly basis:

Fund	Use	Average Number of Contracts		Average Notional Amount
Series E (Total Return Bond Series)	Duration, Hedge		780	$	8,050,276

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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 Fund’s use and volume of futures on a quarterly basis:

		Average Notional Amount
Fund	Use	Long		Short
Series A (StylePlus—Large Core Series)	Index exposure	$	4,929,594	$	—
Series D (World Equity Income Series)	Hedge		—		22,777,781
Series J (StylePlus—Mid Growth Series)	Index exposure		4,540,876		—
Series N (Managed Asset Allocation Series)	Index exposure, Speculation		22,837,520		982,612
Series X (StylePlus—Small Growth Series)	Index exposure		2,012,500		—
Series Y (StylePlus—Large Growth Series)	Index exposure		864,464		—

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 and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. 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. For Funds utilizing interest rate swaps, the exchange bears the risk of loss.

Total return swaps and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as 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 Amount
Fund	Use	Long		Short
Series A (StylePlus—Large Core Series)	Index exposure	$	179,843,300	$	—
Series J (StylePlus—Mid Growth Series)	Index exposure		137,158,487		—
Series X (StylePlus—Small Growth Series)	Index exposure		32,466,258		—
Series Y (StylePlus—Large Growth Series)	Index exposure		33,879,482		—
Series Z (Alpha Opportunity Series)	Hedge, Leverage		2,664,630		10,504,824

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 135

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

The following table represents the Fund’s use and volume of interest rate swaps, based on floating rate type, on a quarterly basis:

				Average Notional Amount
Fund	Use	Pay		Receive
Series E (Total Return Bond Series)	Duration, Hedge	$	—	$	35,825,000

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Fund’s use, and volume of forward foreign currency exchange contracts on a quarterly basis:

		Average Value
Fund	Use	Purchased		Sold
Series E (Total Return Bond Series)	Hedge, Income	$	2,067,637	$	334,750
Series P (High Yield Series)	Hedge		2,628,243		—

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, 2018:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate contracts	Variation margin on swap agreements
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
	Investments in unaffiliated issuers, at value
	Variation margin on futures contracts	Variation margin on futures contracts
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
	Variation margin on futures contracts	Variation margin on futures contracts

136 | 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, 2018:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Currency Risk*		Futures Interest Rate Risk*		Swaps Interest Rate Risk*		Options Purchased Equity Risk		Forward Foreign Currency Exchange Contracts Risk		Total Value at June 30, 2018
Series A (StylePlus—Large Core Series)	$	—	$	8,451,050	$	—	$	—	$	—	$	—	$	—	$	8,451,050
Series D (World Equity Income Series)		—		—		351,078		—		—		—		—		351,078
Series E (Total Return Bond Series)		—		—		—		—		253,549		23,106		145,470		422,125
Series J (StylePlus—Mid Growth Series)		—		6,493,646		—		—		—		—		—		6,493,646
Series N (Managed Asset Allocation Series)		3,679		—		341		36,165		—		—		—		40,185
Series P (High Yield Series)		—		—		—		—		—		—		35,346		35,346
Series X (StylePlus—Small Growth Series)		—		2,436,573		—		—		—		—		—		2,436,573
Series Y (StylePlus—Large Growth Series)		—		2,168,471		—		—		—		—		—		2,168,471
Series Z (Alpha Opportunity Series)		—		6,175		—		—		—		—		—		6,175

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Currency Risk*		Futures Interest Rate Risk*		Swaps Interest Rate Risk*		Options Purchased Equity Risk		Forward Foreign Currency Exchange Contracts Risk		Total Value at June 30, 2018
Series A (StylePlus—Large Core Series)	$	171,860	$	—	$	—	$	—	$	—	$	—	$	—	$	171,860
Series D (World Equity Income Series)		—		—		15,031		—		—		—		—		15,031
Series E (Total Return Bond Series)		—		—		—		—		—		—		167		167
Series J (StylePlus—Mid Growth Series)		224,211		—		—		—		—		—		—		224,211
Series N (Managed Asset Allocation Series)		290,700		—		—		871		—		—		—		291,571
Series X (StylePlus—Small Growth Series)		66,763		—		—		—		—		—		—		66,763
Series Y (StylePlus—Large Growth Series)		8,320		—		—		—		—		—		—		8,320
Series Z (Alpha Opportunity Series)		—		609,956		—		—		—		—		—		609,956

* Includes cumulative appreciation (depreciation) of futures contracts and interest rate swap agreements as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 137

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2018:

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

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, 2018:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk		Swaps Equity Risk			Futures Currency Risk			Futures Interest Rate Risk			Swaps Interest Rate Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk			Total
Series A (StylePlus—Large Core Series)	$	136,691	$	6,089,606		$	—		$	—		$	—	$	—	$	—		$	6,226,297
Series D (World Equity Income Series)				—			(261,668	)		—			—		—		—			(261,668	)
Series E (Total Return Bond Series)		—		—			—			—			1,251,301		—		(59,881	)		1,191,420
Series J (StylePlus—Mid Growth Series)		269,562		8,896,223			—			—			—		—		—			9,165,785
Series N (Managed Asset Allocation Series)		480,060		—			(9,539	)		(292,429	)		—		—		—			178,092
Series P (High Yield Series)		—		—			—			—			—		—		5,885			5,885
Series X (StylePlus—Small Growth Series)		88,447		1,049,320			—			—			—		—		—			1,137,767
Series Y (StylePlus—Large Growth Series)		21,720		3,225,536			—			—			—		—		—			3,247,256
Series Z (Alpha Opportunity Series)		—		(1,218,301	)		—			—			—		—		—			(1,218,301	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Currency Risk		Futures Interest Rate Risk		Swaps Interest Rate Risk			Options Purchased Equity Risk			Forward Foreign Currency Exchange Risk		Total
Series A (StylePlus—Large Core Series)	$	(184,432	)	$	(2,433,124	)	$	—	$	—	$	—		$	—		$	—	$	(2,617,556	)
Series D (World Equity Income Series)		—			—			336,047		—		—			—			—		336,047
Series E (Total Return Bond Series)		—			—			—		—		(102,435	)		(191,001	)		128,379		(165,057	)
Series J (StylePlus—Mid Growth Series)		(231,584	)		(1,837,616	)		—		—		—			—			—		(2,069,200	)
Series N (Managed Asset Allocation Series)		(448,600	)		—			712		87,301		—			—			—		(360,587	)
Series P (High Yield Series)		—			—			—		—		—			—			68,675		68,675
Series X (StylePlus—Small Growth Series)		(76,377	)		1,562,909			—		—		—			—			—		1,486,532
Series Y (StylePlus—Large Growth Series)		(10,178	)		(517,007	)		—		—		—			—			—		(527,185	)
Series Z (Alpha Opportunity Series)		—			116,492			—		—		—			—			—		116,492

In conjunction with the use of 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 repurchase agreements allocated to the Funds.

138 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

Note 3 – Offsetting

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

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

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 139

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present derivative financial instruments that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Series A (StylePlus—Large Core Series)	Swap equity contracts	$	8,451,050	$	—	$	8,451,050	$	—		$	(6,480,000	)	$	1,971,050
Series E (Total Return Bond Series)	Options contracts		23,106		—		23,106		—			—			23,106
	Forward foreign currency exchange contracts		145,470		—		145,470		(167	)		(110,000	)		35,303
Series J (StylePlus—Mid Growth Series)	Swap equity contracts		6,493,646		—		6,493,646		—			(5,700,000	)		793,646
Series P (High Yield Series)	Forward foreign currency exchange contracts		35,346		—		35,346		—			—			35,346
Series X (StylePlus—Small Growth Series)	Swap equity contracts		2,436,573		—		2,436,573		—			(2,210,000	)		226,573
Series Y (StylePlus—Large Growth Series)	Swap equity contracts		2,168,471		—		2,168,471		—			(1,750,000	)		418,471
Series Z (Alpha Opportunity Series)	Swap equity contracts		6,175		—		6,175		(6,175	)		—			—

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Series E (Total Return Bond Series)	Forward foreign currency exchange contracts	$	167	$	—	$	167	$	(167	)	$	—	$	—
Series Z (Alpha Opportunity Series)	Swap equity contracts		609,956		—		609,956		(609,956	)		—		—

¹ Exchange-traded, centrally cleared derivatives and listed options are excluded from these reported amounts.

140 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The following table presents deposits held by others in connection with derivative investments as of June 30, 2018. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Series A (StylePlus—Large Core Series)	Morgan Stanley	Futures contracts	$	308,000	$	—
	Wells Fargo	Total Return Swap agreements		—		6,480,000
Series A (StylePlus—Large Core Series) Total				308,000		6,480,000
Series D (World Equity Income Series)	Bank of America Merrill Lynch	Futures contracts		597,000		—
Series D (World Equity Income Series) Total				597,000		—
Series E (Total Return Bond Series)	Goldman Sachs Group	Forward Foreign Currency Exchange contracts		—		110,000
	Bank of America Merrill Lynch	Interest Rate Swaps agreements		859,726		285,184
Series E (Total Return Bond Series) Total				859,726		395,184
Series J (StylePlus—Mid Growth Series)	Deutsche Bank	Total Return Swap agreements		—		5,700,000
	Morgan Stanley	Futures contracts		358,200		—
Series J (StylePlus—Mid Growth Series) Total				358,200		5,700,000
Series N (Managed Asset Allocation Series)	Goldman Sachs Group	Futures contracts		10,579		—
Series N (Managed Asset Allocation Series) Total				10,579		—
Series X (StylePlus—Small Growth Series)	Deutsche Bank	Total Return Swap agreements		—		2,210,000
	Morgan Stanley	Futures contracts		98,550		—
Series X (StylePlus—Small Growth Series) Total				98,550		2,210,000
Series Y (StylePlus—Large Growth Series)	Morgan Stanley	Futures contracts		11,400		—
	Wells Fargo	Total Return Swap agreements		—		1,750,000
Series Y (StylePlus—Large Growth Series) Total				11,400		1,750,000

Note 4 – Fair Value Measurement

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

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

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

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

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

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. A significant portion of the Funds’ assets and liabilities are categorized as Level 2, as indicated in this report.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 141

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
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)	0.39%
Series F (Floating Rate Strategies Series)	0.65%
Series J (StylePlus—Mid Growth Series)	0.75%
Series N (Managed Asset Allocation Series)	0.40%
Series O (All Cap Value Series)	0.70%
Series P (High Yield Series)	0.60%
Series Q (Small Cap Value Series)	0.75%
Series V (Mid Cap Value Series)	0.75%
Series X (StylePlus—Small Growth Series)	0.75%
Series Y (StylePlus—Large Growth Series)	0.65%
Series Z (Alpha Opportunity Series)	0.90%

The Board has 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.

142 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Contractual expense limitation agreements 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:

	Limit	Effective Date	Contract End Date
Series A (StylePlus—Large Core Series)	0.91%	05/01/17	05/01/22
Series B (Large Cap Value Series)	0.80%	05/01/17	05/01/22
Series D (World Equity Income Series)	0.90%	05/01/17	05/01/22
Series E (Total Return Bond Series)	0.81%	11/30/12	05/01/19
Series F (Floating Rate Strategies Series)	1.15%	04/22/13	05/01/19
Series J (StylePlus—Mid Growth Series)	0.94%	05/01/17	05/01/22
Series O (All Cap Value Series)	0.88%	05/01/17	05/01/22
Series P (High Yield Series)	1.07%	10/20/14	05/01/19
Series Q (Small Cap Value Series)	1.14%	05/01/17	05/01/22
Series V (Mid Cap Value Series)	0.91%	05/01/17	05/01/22
Series X (StylePlus—Small Growth Series)	1.06%	05/01/17	05/01/22
Series Y (StylePlus—Large Growth Series)	0.93%	05/01/17	05/01/22
Series Z (Alpha Opportunity Series)	2.00%	05/31/17	05/01/22

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At June 30, 2018, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2018		Expires 2019		Expires 2020		Expires 2021		Total
Series A (StylePlus—Large Core Series)	$	—	$	—	$	491,586	$	298,250	$	789,836
Series B (Large Cap Value Series)		—		—		555,470		305,493		860,963
Series D (World Equity Income Series)		—		—		359,114		196,688		555,802
Series E (Total Return Bond Series)		120,004		182,326		188,079		42,241		532,650
Series F (Floating Rate Strategies Series)		36,298		18,770		52,478		26,615		134,161
Series J (StylePlus—Mid Growth Series)		—		—		342,729		234,821		577,551
Series O (All Cap Value Series)		—		—		272,422		177,759		450,181
Series P (High Yield Series)		13,375		30,120		59,723		35,829		139,047
Series Q (Small Cap Value Series)		—		—		88,099		39,669		127,768
Series V (Mid Cap Value Series)		—		—		448,055		295,450		743,505
Series X (StylePlus—Small Growth Series)		—		—		95,770		57,412		153,182
Series Y (StylePlus—Large Growth Series)		—		—		98,362		63,925		162,287
Series Z (Alpha Opportunity Series)		11,875		—		33,178		13,317		58,370

For the period ended June 30, 2018, GI recouped amounts from the Funds as follows:

Fund	Amount
Series A (StylePlus—Large Core Series)	$	2,658
Series E (Total Return Bond Series)		13
Series F (Floating Rate Strategies Series)		1,430

GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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, 2018, the Series E (Total Return Bond Series) Fund waived $20,907 related to investments in affiliated funds.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 143

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

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

MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Trust’s custodian. As custodian, BNY is responsible for the custody of the Trust’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management subject to certain minimum monthly fees and out of pocket expenses.

Note 6 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At June 30, 2018, the cost of securities for Federal income tax purposes, the aggregate gross unrealized apprecation for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all securities for which there was an excess of tax cost over value were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Series A (StylePlus—Large Core Series)	$	216,528,494	$	11,503,633	$	(1,693,770	)	$	9,809,863
Series B (Large Cap Value Series)		192,349,507		55,440,268		(5,315,687	)		50,124,581
Series D (World Equity Income Series)		138,070,834		12,773,282		(5,497,928	)		7,275,354
Series E (Total Return Bond Series)		120,344,342		3,111,791		(4,279,940	)		(1,168,149	)
Series F (Floating Rate Strategies Series)		74,235,922		47,562		(833,740	)		(786,178	)
Series J (StylePlus—Mid Growth Series)		164,358,795		8,734,534		(1,351,831	)		7,382,703
Series N (Managed Asset Allocation Series)		38,328,649		9,662,595		(747,686	)		8,914,909
Series O (All Cap Value Series)		97,388,179		25,551,868		(3,099,159	)		22,452,709
Series P (High Yield Series)		76,893,622		494,692		(5,160,093	)		(4,665,401	)
Series Q (Small Cap Value Series)		77,709,031		16,550,458		(5,693,151	)		10,857,307
Series V (Mid Cap Value Series)		199,615,397		36,160,024		(9,301,858	)		26,858,166
Series X (StylePlus—Small Growth Series)		36,068,613		3,176,777		(345,316	)		2,831,461
Series Y (StylePlus—Large Growth Series)		36,910,131		3,052,464		(204,568	)		2,847,896
Series Z (Alpha Opportunity Series)		10,748,598		407,790		(1,126,256	)		(718,466	)

144 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 7 – Securities Transactions

For the period ended June 30, 2018, 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)	$	59,406,128	$	90,802,334
Series B (Large Cap Value Series)		24,027,266		49,079,395
Series D (World Equity Income Series)		89,277,044		103,328,812
Series E (Total Return Bond Series)		17,837,501		26,160,908
Series F (Floating Rate Strategies Series)		33,559,591		13,483,741
Series J (StylePlus—Mid Growth Series)		61,789,089		81,639,294
Series N (Managed Asset Allocation Series)		1,403,312		4,250,640
Series O (All Cap Value Series)		19,829,328		34,361,559
Series P (High Yield Series)		22,873,324		30,935,855
Series Q (Small Cap Value Series)		4,917,993		18,562,511
Series V (Mid Cap Value Series)		69,442,627		100,579,181
Series X (StylePlus—Small Growth Series)		12,823,736		14,971,928
Series Y (StylePlus—Large Growth Series)		13,059,451		22,574,476
Series Z (Alpha Opportunity Series)		16,606,056		19,891,599

For the period ended June 30, 2018, the cost of purchases and proceeds from the sales of government securities were as follows:

Fund	Purchases		Sales
Series E (Total Return Bond Series)	$	3,469,680	$	3,247,359

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, 2018, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Fund	Purchases		Sales		Realized Gain
Series E (Total Return Bond Series)	$	103,750	$	115,895		970
Series F (Floating Rate Strategies Seies)		97,823		—		—
Series P (High Yield Seies)		1,593,172		5,228,749		103,383

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of June 30, 2018. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 145

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

The unfunded loan commitments as of June 30, 2018, were as follows:

Fund	Borrower	Maturity Date		Face Amount		Value
Series F (Floating Rate Strategies Series)
	Albertson's LLC		08/18/18	$	100,000	$	—*
	BBB Industries, LLC		11/08/18		700,000		—*
	Convergint Technologies		02/03/25		34,677		260
	Hillman Group, Inc.		05/15/25		142,446		—*
	Lumentum Holdings, Inc.		09/07/18		300,000		—*
	Mavis Tire Express Services Corp.		03/20/25		58,676		587
	Amaya Holdings B.V.		10/21/19		600,000		—*
				$	1,935,799	$	847
Series P (High Yield Series)
	Acosta, Inc.		09/26/19	$	511,111	$	127,138
	Advantage Sales & Marketing LLC		07/25/19		900,000		24,662
	Albertson’s LLC		08/18/18		200,000		—*
	BBB Industries, LLC		11/08/18		1,460,000		11,673
	Epicor Software		06/01/20		600,000		28,555
	Lumentum Holdings, Inc.		09/07/18		550,000		—*
	Mavis Tire Express Services Corp.		03/20/25		7,197		72
	Amaya Holdings B.V.		10/21/19		1,000,000		—*
				$	5,228,308	$	192,100

* Security has a market value of $0.

146 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Fund	Restricted Securities	Acquisition Date		Cost		Value
Series E (Total Return Bond Series)	Copper River CLO Ltd.
	2007-1A, due 01/20/213		05/09/14	$	702,000	$	71,977
	Mid-Atlantic Military Family Communities LLC
	5.30% due 8/01/50		10/07/16		909,051		858,253
	Pacific Northwest Communities LLC
	5.91% due 06/15/50		05/22/14		400,000		420,174
	Turbine Engines Securitization Ltd.
	2013-1A, 5.13% due 12/13/48		11/27/13		482,159		455,957
	Woodbourne Capital Trust I, 3.90%
	(1 month USD LIBOR + 2.50%)*,1,2		01/20/06		301,449		234,747
	Woodbourne Capital Trust II, 3.90%
	(1 month USD LIBOR + 2.50%)*,1,2		01/20/06		301,449		234,747
	Woodbourne Capital Trust III, 3.91%
	(1 month USD LIBOR + 2.50%)*,1,2		01/20/06		301,449		234,747
	Woodbourne Capital Trust IV, 3.91%
	(1 month USD LIBOR + 2.50%)*,1,2		01/20/06		301,449		234,747
				$	3,699,006	$	2,745,349
Series P (High Yield Series)	KeHE Distributors LLC / KeHE Finance Corp.
	7.63% due 8/15/21		08/07/13	$	302,660	$	291,750
	Schahin II Finance Co. SPV Ltd.
	5.88% due 9/25/224		03/12/15		111,437		24,323
				$	414,097	$	316,073

^* Non-income producing security.

¹ Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

² Perpetual maturity.

³ Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

⁴ Security is in default of interest and/or principal obligations.

Note 10 – Line of Credit

The Trust, with the exception of certain affiliated funds, secured a 364-day committed, $1,000,000,000 line of credit from Citibank, N.A., which was in place through October 6, 2017, at which time the line of credit was renewed, with an increased commitment amount to $1,065,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 1.91% at June 30, 2018, plus 1/2 of 1%. The Funds that participate in the line of credit paid upfront costs of $982,952 to renew the line of credit.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their unused commitment amount. The Funds did not have any borrowings under this agreement as of and for the period ended June 30, 2018.

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 147

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

In addition, Series E (Total Return Bond Series) and Series F (Floating Rate Strategies 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 1 month LIBOR plus 0.90%. The Funds did not have any borrowings under this agreement at or during the period ended June 30, 2018.

Note 11 – Other Liabilities

Series A (StylePlus—Large Core Series) and Series V (Mid Cap Value Series) (the “Funds”) 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, 2018.

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, 2018 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.

Note 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, 2018, the following Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at June 30, 2018		Average Balance Outstanding		Average Interest Rate
Series E (Total Return Bond Series)		13	$	—*	$	1,382,212		1.85	%
Series P (High Yield Series)		181		7,398,926		7,309,292		2.04	%

* As of June 30, 2018, Series E (Total Return Bond Series) did not have any open reverse repurchase agreements.

For financial reporting purposes, the Funds do not offset secured financing transactions that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of Liabilities in conformity with U.S. GAAP:

								Gross Amounts Not Offset in the Statement of Asset and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Series P (High Yield Series)	Reverse repurchase agreements	$	7,398,926	$	—	$	7,398,926	$	(7,398,926	)	$	—	$	—

148 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued)

As of June 30, 2018, there was $7,398,926 in reverse repurchase agreements outstanding. As of June 30, 2018, Series P (High Yield Series) had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Interest Rate			Maturity Dates		Face Value
Barclays Bank plc		(0.25)% - (0.10)	%*		Open Maturity	$	765,077
Barclays Bank plc		2.64	%		07/25/18		1,155,071
BNP Paribas		2.62	%		07/16/18		4,787,485
JPMorgan Chase & Co.		2.25% - 1.50	%*		07/18/18		271,413
Bank of America Merrill Lynch		2.54	%		07/20/18		419,880
						$	7,398,926

* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at June 30, 2018.

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 Funds:

Fund	Overnight and Continuous		Up to 30 days		31-90 days		Greater than 90 days		Total
Series P (High Yield Series)
Corporate Bonds	$	765,077	$	6,633,849	$	—	$	—	$	7,398,926
Gross amount of recognized liabilities for reverse repurchase agreements	$	765,077	$	6,633,849	$	—	$	—	$	7,398,926

Note 13 – 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 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

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Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed a response to plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”

On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.

On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.

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.

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Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

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

Sector Classification

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

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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 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”) ●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 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”)

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Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global 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 of the Trust (the “GPIM-Advised Fund” 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.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

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”), the Advisers regularly provide investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio.

Each of the Advisory Agreements continues 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 26, 2018 (the “April Meeting”) and on May 22, 2018 (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”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the 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 Guggenheim is an ongoing one, the Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports. The Committee noted that although FUSE’s process typically results in the identification for each Fund of a universe of similar funds for performance comparisons and a narrower group of similar funds from the universe based on asset levels for comparative fee and expense data evaluation (i.e., the peer group), the peer group constituent funds identified by FUSE for two Funds—Series F and Series V—were the same as the performance universe constituent funds due to each Fund’s investment strategy. In addition, for Series Z, the Committee took into account that FUSE included non-variable insurance funds in the peer group due to the limited number of comparable variable insurance 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. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and weighed the factors and standards discussed with Independent Legal Counsel.

¹ 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.”

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Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of 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 qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee considered Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee noted certain changes to the organization, including those in connection with the sale of Guggenheim’s exchange-traded fund business to Invesco Ltd., and considered Guggenheim’s commitment to focusing on, and investing resources in support of, the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act. In this connection, the Committee considered enhancements to the organization’s compliance processes and programs, including in response to certain examination findings from the staff of the Securities and Exchange Commission.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in monitoring and coordinating compliance responsibilities with the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds, including the OCFO’s resources, personnel and services provided.

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”). The Committee received the audited consolidated financial statements of GPIMH as supplemental information. [(Thereafter, the Committee received the audited consolidated financial statements of GPIM.)]

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 obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2017, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods for those Funds that were recently launched, as well as in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund.

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In this connection, the Committee made the following observations:

Series A (StylePlus—Large Core Series): The Fund’s returns ranked in the 8th and 2nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series D (World Equity Income Series): The Fund’s returns ranked in the 70th and 72nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively. The Committee considered that the Fund implemented a strategy change and a new portfolio management team in August 2013, noting the Adviser’s statement that the Fund has experienced notable improvement as a result, but underperformed its peer funds in 2017. In this regard, the Committee considered the Adviser’s explanation that the Fund’s defensive investment approach contributed to its underperformance, with the Fund’s exposure to lower-volatility, higher-yielding equity securities detracting from performance as growth stocks performed strongly in 2017.

Series E (Total Return Bond Series): The Fund’s returns ranked in the 1st percentile of its performance universe for both the five-year and three-year periods ended December 31, 2017, exceeding its performance universe median for both of these periods.

Series F (Floating Rate Strategies Series): The Committee noted the Fund’s inception date of April 24, 2013, and observed that the Fund’s returns ranked in the 1st and 33rd percentiles of its performance universe for the three-year and one-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series J (StylePlus—Mid Growth Series): The Fund’s returns ranked in the 31st and 38th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series N (Managed Asset Allocation Series): The Fund’s returns ranked in the 65th and 33rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively.

Series P (High Yield Series): The Fund’s returns ranked in the 10th and 9th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series X (StylePlus—Small Growth Series): The Fund’s returns ranked in the 16th and 39th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series Y (StylePlus—Large Growth Series): The Fund’s returns ranked in the 27th and 19th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series Z (Alpha Opportunity Series): The Fund’s returns ranked in the 15th and 47th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

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’s returns ranked in the 33rd and 18th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series O (All Cap Value Series): The Fund’s returns ranked in the 35th and 15th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, exceeding its performance universe median for both of these periods.

Series Q (Small Cap Value Series): The Fund’s returns ranked in the 94th and 88th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively, underperforming its performance universe median for both of these periods. The Committee noted measures taken by the Adviser to remedy longer-term relative underperformance with respect to the Value Funds strategy, including strategy enhancements such as implementation of a refined stock selection process and additional risk controls to enforce the strategy’s sell discipline. In this connection, the Committee noted the Adviser’s statement that, although these measures led to improved performance in 2016, the Fund underperformed its peer funds in 2017, ranking in the 88th percentile of its performance universe. The Committee

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considered the Adviser’s explanation that several factors detracted from performance, including its industry weightings, particularly with respect to information technology, industrials and healthcare, and its preference for value stocks over growth stocks as growth stocks performed strongly in 2017. The Committee also considered the steps being taken to improve the Fund’s performance.

Series V (Mid Cap Value Series): The Fund’s returns ranked in the 67th and 22nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2017, respectively.

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

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser and made the following observations:

Series A (StylePlus—Large Core Series): The Fund’s contractual advisory fee ranks in the third quartile (64th percentile) of its peer group. The Fund’s net effective management fee² ranks in the second quartile (29th percentile) of its peer group. The Fund’s total net expense ratio ranks in the first quartile (21st percentile) of its peer group.

Series B (Large Cap Value Series): The Fund’s contractual advisory fee is equal to the median (50th percentile) of its peer group. The Fund’s net effective management fee and total net expense ratio each rank in the first quartile (7th and 1st percentiles, respectively) of its peer group.

Series D (World Equity Income Series): The Fund’s contractual advisory fee ranks in the second quartile (29th percentile) of its peer group. The Fund’s net effective management fee and total net expense ratio each rank in the first quartile (each 7th percentile) of its peer group.

Series E (Total Return Bond Series): The Fund’s contractual advisory fee and total net expense ratio each rank in the first quartile (7th and 21st percentiles, respectively) of its peer group. The Fund’s net effective management fee ranks in the second quartile (29th percentile) of its peer group. The Committee considered that, effective November 20, 2017, the Board approved a reduction in the Fund’s contractual advisory fee to 0.39%, reduced from an advisory fee of 0.50% on average daily net assets up to $5 billion and 0.45% in excess of $5 billion.

² The “net effective management fee” represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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Series F (Floating Rate Strategies Series): The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (each 83rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. The Committee also considered that, effective May 1, 2017, the Board approved an additional breakpoint, reducing the Fund’s advisory fee by 0.05% on assets over $5 billion. In addition, the Committee considered the Fund’s strong investment performance.

Series J (StylePlus—Mid Growth Series): The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the first quartile (19th, 13th and 6th percentiles, respectively) of its peer group.

Series N (Managed Asset Allocation Series): The Fund’s contractual advisory fee and total net expense ratio each rank in the first quartile (1st and 25th percentiles, respectively) of its peer group. The Fund’s net effective management fee ranks in the second quartile (33rd percentile) of its peer group. The Committee considered that, effective May 1, 2017, the Board approved a reduction in the Fund’s contractual advisory fee from 0.65% to 0.40%.

Series O (All Cap Value Series): The Fund’s contractual advisory fee ranks in the third quartile (67th percentile) of its peer group. The Fund’s net effective management fee ranks in the second quartile (27th percentile) of its peer group. The Fund’s total net expense ratio ranks in the first quartile (13th percentile) of its peer group.

Series P (High Yield Series): The Fund’s contractual advisory fee ranks in the first quartile (21st percentile) of its peer group. The Fund’s net effective management fee ranks in the second quartile (36th percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (79th percentile) of its peer group. The Committee considered the Fund’s strong investment performance.

Series Q (Small Cap Value Series): The Fund’s contractual advisory fee ranks in the first quartile (18th percentile) of its peer group. The Fund’s net effective management fee ranks in the second quartile (27th percentile) of its peer group. The Fund’s total net expense ratio ranks in the third quartile (55th percentile) of its peer group. The Committee considered that, effective May 1, 2017, the Board approved a reduction in the Fund’s contractual advisory fee from 0.95% to 0.75%.

Series V (Mid Cap Value Series): The Fund’s contractual advisory fee ranks in the second quartile (33rd percentile) of its peer group. The Fund’s net effective management fee and total net expense ratio each rank in the first quartile (22nd and 11th percentiles, respectively) of its peer group.

Series X (StylePlus—Small Growth Series): The Fund’s contractual advisory fee and net effective management fee each rank in the first quartile (1st and 7th percentiles, respectively) of its peer group. The Fund’s total net expense ratio ranks in the second quartile (29th percentile) of its peer group. The Committee considered that, effective May 1, 2017, the Board approved a reduction in the Fund’s contractual advisory fee from 0.85% to 0.75%.

Series Y (StylePlus—Large Growth Series): The Fund’s contractual advisory fee and total net expense ratio each rank in the second quartile (36th and 29th percentiles, respectively) of its peer group. The Fund’s net effective management fee ranks in the first quartile (21st percentile) of its peer group. The Committee considered that, effective May 1, 2017, the Board approved a reduction in the Fund’s contractual advisory fee from 0.75% to 0.65%.

Series Z (Alpha Opportunities Series): The Fund’s contractual advisory fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s net effective management fee and total net expense ratio each rank in the third quartile (60th and 73rd percentiles, respectively) of its peer group. The Committee considered that, effective May 31, 2017, the Board approved a reduction in the Fund’s contractual advisory fee from 1.25% to 0.90%.

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, 2017, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2016. 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.

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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. The Committee considered all of the foregoing in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and 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 Guggenheim’s statement that, although the Adviser may have benefited from arrangements in the past whereby an affiliate received commissions for executing portfolio transactions on behalf of the Funds, it is not Guggenheim’s current practice to execute Fund portfolio transactions through its affiliate. In addition, the Committee 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 statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.

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

As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including expense limitations and/or 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 also took into account the contractual advisory fee reductions for multiple Funds and the advisory fee breakpoint with respect to Series F that were offered by the Adviser and approved by the Board and went into effect in 2017.

The Committee determined that 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 each 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 for an additional annual term.

Thereafter, on May 23, 2018, the Board, including all of the Independent Trustees, approved the renewal of each Advisory Agreement for an additional annual term.

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 157

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	49	Current: Trustee, Purpose Investments Inc. (2014-Present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016).
Donald A. Chubb, Jr. (1946)	Trustee and Chairman of the Valuation Oversight Committee	Since 1994	Current: Retired. Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017).	48	Former: Midland Care, Inc. (2011-2016).
Jerry B. Farley (1946)	Trustee and Chairman of the Audit Committee	Since 2005	Current: President, Washburn University (1997-present).	48	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).	48	Current: Zincore Metals, Inc. (2009-present). Former: Axiom Gold and Silver Corp. (2011-2012).
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Momkus LLC (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	49	Current: PPM Funds Board (February 2018-present); Edward-Elmhurst Healthcare System (2012-present); Western Asset Inflation-Linked Opportunities & Income Fund (2004-present); Western Asset Inflation-Linked Income Fund (2003-present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016).

158 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INDEPENDENT TRUSTEES - concluded
Maynard F. Oliverius (1943)	Trustee	Since 1998	Current: Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	48	Current: Robert J. Dole Institute of Politics (2016-present); Stormont-Vail Foundation (2013-present); University of Minnesota MHA Alumni Philanthropy Committee (2009-present); Fort Hays State University Foundation (1999-present). Former: Topeka Community Foundation (2009-2014).
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council (2003-present) and Executive Committee (2016-present), Independent Directors Council. 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).	48	Current: Western Asset Inflation-Linked Opportunities & Income Fund (2004-present); Western Asset Inflation- Linked Income Fund (2003-present). Former: Managed Duration Investment Grade Municipal Fund (2003-2016); Bennett Group of Funds (2011-2013).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 159

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees
INTERESTED TRUSTEE
Amy J. Lee*** (1961)	Trustee, Vice President and Chief Legal Officer	Since February 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer (2017-February 2018); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	158	None.

* The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.

** Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.

*** This Trustee is deemed to be an "interested person" of the Funds under the 1940 Act by reason of her position with the Funds' Investment Manager and/or the parent of the Investment Manager.

160 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since February 2018	Current: President and Chief Executive Officer, certain other funds in the Fund Complex (February 2018-present); President and Chief Executive Officer, Guggenheim Funds Investment Advisors, LLC and Security Investors, LLC (January 2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (January 2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-January 2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Keith D. Kemp (1960)	Assistant Treasurer	Since 2016	Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present). Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present). Assistant Treasurer, certain other funds in the Fund complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009).

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 161

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

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
Adam J. Nelson (1979)	Assistant Treasurer	Since 2015	Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: 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).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

* The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.

** Each officer serves an indefinite term, until his or her successor is duly elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.

162 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

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

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 163

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

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

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

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

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

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

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

Opt-Out Provisions and Your Data Choices

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

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

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

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

164 | THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

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

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

International Visitors

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

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

We’ll Keep You Informed

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

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

THE GUGGENHEIM FUNDS SEMI-ANNUAL REPORT 165

Item 2. Code of Ethics.

Not required at this time.

Item 3. Audit Committee Financial Expert.

Not required at this time.

Item 4. Principal Accountant Fees and Services.

Not required at this time.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Mangers of Closed-end Management Investment Companies

Not applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.

Item 11. Controls and Procedures.

(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms..

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s last 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. Disclosure of Securities Lending Activities for Closed End Management Investment Companies.

Not Applicable

Item 13. Exhibits.

(a)(1) Not applicable.

(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.

(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	Guggenheim Variable Funds Trust
By (Signature and Title)*	/s/ Brian Binder
	Brian Binder, President and Chief Executive Officer
Date	September 7, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Brian Binder
	Brian Binder, President and Chief Executive Officer
Date	September 7, 2018
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	September 7, 2018

^* Print the name and title of each signing officer under his or her signature.

EX-99.CERT

EX.-13(a)(2)(i)

CERTIFICATION

I, Brian Binder, certify that:

1. I have reviewed this report on Form N-CSR of Guggenheim Variable Funds Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 7, 2018	/s/ Brian Binder
	Brian Binder President and Chief Executive Officer

EX.-13(a)(2)(ii)

CERTIFICATION

I, John L. Sullivan, certify that:

1. I have reviewed this report on Form N-CSR of Guggenheim Variable Funds Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: September 7, 2018	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer

EX-99.906 CERT

EX. 12(b)(i)

CERTIFICATION

I, Brian Binder, President of Guggenheim Variable Funds Trust (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

Dated: September 7, 2018	/s/ Brian Binder
	Brian Binder, President and Chief Executive Officer

EX. 12(b)(ii)

CERTIFICATION

I, John L. Sullivan, Treasurer of Guggenheim Variable Funds Trust (the “Registrant”), certify that:

1. The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

Dated: September 7, 2018	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer