N-CSR

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, 2022 - December 31, 2022

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.

12.31.2022

Guggenheim Variable Funds Trust 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	(SMid Cap Value Series)
Series X	(StylePlus—Small Growth Series)
Series Y	(StylePlus—Large Growth Series)
Series Z	(Alpha Opportunity Series)

GuggenheimInvestments.com GVFT-ANN-1222x1223

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	5
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
SERIES A (STYLEPLUS—LARGE CORE SERIES)	9
SERIES B (LARGE CAP VALUE SERIES)	18
SERIES D (WORLD EQUITY INCOME SERIES)	26
SERIES E (TOTAL RETURN BOND SERIES)	35
SERIES F (FLOATING RATE STRATEGIES SERIES)	57
SERIES J (STYLEPLUS—MID GROWTH SERIES)	72
SERIES N (MANAGED ASSET ALLOCATION SERIES)	82
SERIES O (ALL CAP VALUE SERIES)	91
SERIES P (HIGH YIELD SERIES)	101
SERIES Q (SMALL CAP VALUE SERIES)	116
SERIES V (SMID CAP VALUE SERIES)	125
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)	135
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)	145
SERIES Z (ALPHA OPPORTUNITY SERIES)	154
NOTES TO FINANCIAL STATEMENTS	172
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	197
OTHER INFORMATION	198
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	200
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	205

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

December 31, 2022

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“SI”, “GPIM”, or the “Investment Advisers”) are pleased to present the annual shareholder report for funds that are part of the Guggenheim Variable Funds Trust (the “Funds”). This report covers performance of the Funds for the annual period ended December 31, 2022 (the “Reporting Period”).

In December 2022, Guggenheim Partners announced the untimely and unexpected death of Scott Minerd, one of Guggenheim’s Managing Partners and its Global Chief Investment Officer. He joined Guggenheim as a Managing Partner shortly after the firm was formed. He was a frequent commentator on markets and investments, both on television and via social media. He also was one of the designers of the organization, systems and processes that make Guggenheim Investments a strong, robust and scalable leader in the asset management business.

Guggenheim has implemented its succession plan, which is designed to deal with unexpected events. There has been and will continue to be no disruption of service to our clients, no change in the daily management of client portfolios and no change in the process of selecting investment assets, all of which continue to be handled by the longstanding committees and long-tenured investment professionals who, every day, implement our investment processes.

Guggenheim Investments continues to be led by its Co-Presidents, Dina DiLorenzo and David Rone, and by Anne B. Walsh, a Managing Partner and Chief Investment Officer of Guggenheim Partners Investment Management. Ms. Walsh will continue her current role leading the team managing client investments and will assume many of Mr. Minerd’s responsibilities on an interim basis.

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

January 31, 2023

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

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

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 they 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

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

December 31, 2022

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 Funds’ exposure to high yield securities may subject the Funds 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 Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ●The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ●The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ●The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.

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

The 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 may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

The 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’

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

December 31, 2022

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. ● 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. ●The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● Please read the prospectus for more detailed information regarding these and other risks.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) December 31, 2022

Helped by lower energy prices, real economic growth reaccelerated in the fourth quarter of 2022. Amid this continued strong growth, the Federal Reserve (the “Fed”) is explicitly targeting a weaker labor market, and several leading indicators point to rising unemployment by the middle of the year. Consumption also faces headwinds from dwindling excess savings buffers and a sharply negative wealth shock as financial asset and home prices fall. Business investment also appears to be weakening due to the sharp tightening in financial conditions and more challenging outlook for economic growth. The housing sector could subtract further from gross domestic product (“GDP”) as the spike in mortgage rates has adversely impacted demand.

Because private sector balance sheets are generally healthy in the aggregate and the economy lacks major imbalances, we do not expect a particularly deep recession. But the likelihood of a limited monetary and fiscal policy response means the economic recovery could be weak, and certain highly levered companies may suffer.

Moderation in goods prices as supply chains normalize should bring inflation lower over the next several months, and shelter inflation should roll over by mid-2023. Services inflation outside of shelter is the main concern for the Fed, but a softening labor market and cooling wage growth may keep this category contained. As a result, core inflation could fall below 3 percent by the end of the year.

The Fed’s continued rate hike campaign may cause the front end of the yield curve to remain elevated in the near term. But should the economic cycle roll over later this year, Treasury yields may see a significant decline. Weakening corporate earnings growth and an emerging recession would present downside risk to equity returns later in 2023 but, given corporate fundamentals remain solid, high quality fixed income and carefully selected high yield issuers should provide attractive returns.

For the Reporting Period, the S&P 500^® Index* returned -18.11%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -14.45%. The return of the MSCI Emerging Markets Index* was -20.09%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -13.01% return for the Reporting Period, while the Bloomberg U.S. Corporate High Yield Index* returned -11.19%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 1.47% for the Reporting Period.

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

*Index Definitions:

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

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) December 31, 2022

Morningstar Long/Short Equity Category Average represents long-short portfolios which hold sizable stakes in both long and short positions in equities and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. Some funds may simply hedge long stock positions through exchange traded funds or derivatives. At least 75% of the assets are in equity securities or derivatives.

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.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning June 30, 2022 and ending December 31, 2022.

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

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value June 30, 2022	Ending Account Value December 31, 2022	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Series A (StylePlus—Large Core Series)	0.97%	1.63%	$ 1,000.00	$ 1,016.30	$ 4.93
Series B (Large Cap Value Series)	0.77%	7.10%	1,000.00	1,071.00	4.02
Series D (World Equity Income Series)	0.87%	3.95%	1,000.00	1,039.50	4.47
Series E (Total Return Bond Series)	0.92%	(2.97%)	1,000.00	970.30	4.57
Series F (Floating Rate Strategies Series)	1.15%	4.37%	1,000.00	1,043.70	5.92
Series J (StylePlus—Mid Growth Series)	1.00%	5.73%	1,000.00	1,057.30	5.19
Series N (Managed Asset Allocation Series)	0.97%	1.01%	1,000.00	1,010.10	4.91
Series O (All Cap Value Series)	0.85%	7.41%	1,000.00	1,074.10	4.44
Series P (High Yield Series)	1.05%	3.44%	1,000.00	1,034.40	5.38
Series Q (Small Cap Value Series)	1.11%	8.72%	1,000.00	1,087.20	5.84
Series V (SMid Cap Value Series)	0.88%	8.84%	1,000.00	1,088.40	4.63
Series X (StylePlus—Small Growth Series)	1.03%	3.93%	1,000.00	1,039.30	5.29
Series Y (StylePlus—Large Growth Series)	0.94%	(1.75%)	1,000.00	982.50	4.70
Series Z (Alpha Opportunity Series)	1.98%	(1.22%)	1,000.00	987.80	9.92
Table 2. Based on hypothetical 5% return (before expenses)
Series A (StylePlus—Large Core Series)	0.97%	5.00%	$ 1,000.00	$ 1,020.32	$ 4.94
Series B (Large Cap Value Series)	0.77%	5.00%	1,000.00	1,021.32	3.92
Series D (World Equity Income Series)	0.87%	5.00%	1,000.00	1,020.82	4.43
Series E (Total Return Bond Series)	0.92%	5.00%	1,000.00	1,020.57	4.69
Series F (Floating Rate Strategies Series)	1.15%	5.00%	1,000.00	1,019.41	5.85
Series J (StylePlus—Mid Growth Series)	1.00%	5.00%	1,000.00	1,020.16	5.09
Series N (Managed Asset Allocation Series)	0.97%	5.00%	1,000.00	1,020.32	4.94
Series O (All Cap Value Series)	0.85%	5.00%	1,000.00	1,020.92	4.33
Series P (High Yield Series)	1.05%	5.00%	1,000.00	1,019.91	5.35
Series Q (Small Cap Value Series)	1.11%	5.00%	1,000.00	1,019.61	5.65
Series V (SMid Cap Value Series)	0.88%	5.00%	1,000.00	1,020.77	4.48
Series X (StylePlus—Small Growth Series)	1.03%	5.00%	1,000.00	1,020.01	5.24
Series Y (StylePlus—Large Growth Series)	0.94%	5.00%	1,000.00	1,020.47	4.79
Series Z (Alpha Opportunity Series)	1.98%	5.00%	1,000.00	1,015.22	10.06

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	12/31/22
Series A (StylePlus—Large Core Series)	0.87%
Series B (Large Cap Value Series)	0.77%
Series D (World Equity Income Series)	0.86%
Series E (Total Return Bond Series)	0.76%
Series F (Floating Rate Strategies Series)	1.13%
Series J (StylePlus—Mid Growth Series)	0.91%
Series O (All Cap Value Series)	0.85%
Series P (High Yield Series)	1.05%
Series Q (Small Cap Value Series)	1.11%
Series V (SMid Cap Value Series)	0.88%
Series X (StylePlus—Small Growth Series)	1.03%
Series Y (StylePlus—Large Growth Series)	0.88%
Series Z (Alpha Opportunity Series)	1.98%

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 184/365 (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 June 30, 2022 to December 31, 2022.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series A (StylePlus^TM—Large Core Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -20.67%, underperforming the S&P 500 Index (“Index”), the Fund’s benchmark, which returned -18.11% for the same period.

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

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

The Fund underperformed the S&P 500 Index for the Reporting Period by 2.6% net of fees. During this Reporting Period, active equity and active fixed income contributed 0.2% and -0.8% to the Fund’s relative return differential, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: May 1, 1979

Ten Largest Holdings	(% of Total Net Assets)
Guggenheim Strategy Fund III	27.9%
Guggenheim Variable Insurance Strategy Fund III	27.2%
Guggenheim Ultra Short Duration Fund — Institutional Class	13.2%
Guggenheim Strategy Fund II	10.8%
Microsoft Corp.	1.2%
Apple, Inc.	1.2%
Alphabet, Inc. — Class C	0.6%
Exxon Mobil Corp.	0.5%
Visa, Inc. — Class A	0.4%
Home Depot, Inc.	0.4%
Top Ten Total	83.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series A (StylePlus—Large Core Series)	(20.67%)	8.01%	11.89%
S&P 500 Index	(18.11%)	9.42%	12.56%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
COMMON STOCKS† - 19.8%
Technology - 5.2%
Microsoft Corp.		10,019	$	2,402,757
Apple, Inc.		18,333		2,382,007
QUALCOMM, Inc.		4,079		448,445
Applied Materials, Inc.		3,884		378,224
Skyworks Solutions, Inc.		4,143		377,552
NXP Semiconductor N.V.		2,289		361,731
Microchip Technology, Inc.		5,113		359,188
Texas Instruments, Inc.		2,147		354,727
Hewlett Packard Enterprise Co.		21,387		341,337
International Business Machines Corp.		2,306		324,892
KLA Corp.		846		318,967
NetApp, Inc.		5,274		316,756
HP, Inc.		10,930		293,689
Broadcom, Inc.		498		278,447
Seagate Technology Holdings plc		4,868		256,105
Adobe, Inc.*		704		236,917
ON Semiconductor Corp.*		3,388		211,309
Qorvo, Inc.*		2,279		206,569
Micron Technology, Inc.		3,314		165,634
NVIDIA Corp.		984		143,802
Total Technology				10,159,055
Consumer, Non-cyclical - 4.6%
Philip Morris International, Inc.		5,778		584,792
Bristol-Myers Squibb Co.		7,681		552,648
Gilead Sciences, Inc.		6,165		529,265
Quest Diagnostics, Inc.		2,903		454,145
Hershey Co.		1,948		451,098
Pfizer, Inc.		8,702		445,891
Johnson & Johnson		2,473		436,856
Vertex Pharmaceuticals, Inc.*		1,490		430,282
Hologic, Inc.*		5,732		428,811
Incyte Corp.*		5,212		418,628
Altria Group, Inc.		9,113		416,555
Tyson Foods, Inc. — Class A		6,035		375,679
Organon & Co.		13,366		373,312
Amgen, Inc.		1,320		346,685
Merck & Company, Inc.		3,071		340,727
General Mills, Inc.		3,500		293,475
UnitedHealth Group, Inc.		538		285,237
Regeneron Pharmaceuticals, Inc.*		394		284,267
AbbVie, Inc.		1,710		276,353
United Rentals, Inc.*		718		255,192
FleetCor Technologies, Inc.*		1,316		241,723
Campbell Soup Co.		3,720		211,110
Eli Lilly & Co.		556		203,407
Procter & Gamble Co.		827		125,340
Coca-Cola Co.		1,937		123,212
PepsiCo, Inc.		671		121,223
Total Consumer, Non-cyclical				9,005,913
Industrial - 2.7%
Lockheed Martin Corp.		1,116		542,923
Emerson Electric Co.		4,997		480,012
3M Co.		3,937		472,125
General Dynamics Corp.		1,893		469,672
Otis Worldwide Corp.		5,708		446,993
Textron, Inc.		5,908		418,287
Snap-on, Inc.		1,759		401,914
Packaging Corporation of America		3,126		399,847
Sealed Air Corp.		7,939		395,997
Keysight Technologies, Inc.*		2,047		350,180
Masco Corp.		6,800		317,356
Allegion plc		2,562		269,676
Fortune Brands Innovations, Inc.		2,393		136,664
A O Smith Corp.		2,367		135,487
Masterbrand, Inc.*		2,393		18,067
Total Industrial				5,255,200
Consumer, Cyclical - 1.9%
Home Depot, Inc.		2,243		708,474
McDonald’s Corp.		2,404		633,526
Lowe’s Companies, Inc.		2,700		537,948
Yum! Brands, Inc.		3,545		454,044
PACCAR, Inc.		3,784		374,503
NVR, Inc.*		74		341,331
Cummins, Inc.		1,332		322,730
Tesla, Inc.*		1,302		160,380
Bath & Body Works, Inc.		3,337		140,621
Walmart, Inc.		796		112,865
Total Consumer, Cyclical				3,786,422
Energy - 1.7%
Exxon Mobil Corp.		8,900		981,670
Marathon Petroleum Corp.		4,137		481,506
Valero Energy Corp.		3,771		478,389
Occidental Petroleum Corp.		7,011		441,623
Kinder Morgan, Inc.		19,253		348,094
Phillips 66		2,730		284,138
Chevron Corp.		1,581		283,774
Total Energy				3,299,194
Communications - 1.6%
Alphabet, Inc. — Class C*		13,814		1,225,716
Cisco Systems, Inc.		13,380		637,423
Amazon.com, Inc.*		7,483		628,572
VeriSign, Inc.*		1,913		393,007
Meta Platforms, Inc. — Class A*		2,523		303,618
Total Communications				3,188,336
Financial - 1.3%
Visa, Inc. — Class A		3,448		716,356
Mastercard, Inc. — Class A		1,257		437,097
Goldman Sachs Group, Inc.		1,094		375,658
Berkshire Hathaway, Inc. — Class B*		1,152		355,853
JPMorgan Chase & Co.		2,560		343,296
Bank of New York Mellon Corp.		5,426		246,991
Prologis, Inc. REIT		1,126		126,934
Total Financial				2,602,185

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
Basic Materials - 0.6%
LyondellBasell Industries N.V. — Class A		4,432	$	367,989
Dow, Inc.		6,830		344,164
FMC Corp.		1,013		126,422
Mosaic Co.		2,527		110,859
CF Industries Holdings, Inc.		1,194		101,729
Total Basic Materials				1,051,163
Utilities - 0.2%
FirstEnergy Corp.		10,472		439,196
Total Common Stocks
(Cost $39,118,525)				38,786,664
MUTUAL FUNDS† - 79.1%
Guggenheim Strategy Fund III1		2,276,730		54,778,133
Guggenheim Variable Insurance Strategy Fund III1		2,219,814		53,430,927
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,689,258		25,924,450
Guggenheim Strategy Fund II1		876,832		21,079,040
Total Mutual Funds
(Cost $160,401,178)				155,212,550
MONEY MARKET FUND† - 0.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%2		1,137,805		1,137,805
Total Money Market Fund
(Cost $1,137,805)				1,137,805
Total Investments - 99.5%
(Cost $200,657,508)			$	195,137,019
Other Assets & Liabilities, net - 0.5%				977,465
Total Net Assets - 100.0%			$	196,114,484

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		50		Mar 2023	$	9,653,750	$	(92,880	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo Bank, N.A.

S&P 500 Total Return Index

Pay

4.56% (Federal Funds Rate + 0.23%)

At Maturity

06/28/23

18,159

$

148,501,760

$

2,201,633

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES A (STYLEPLUS—LARGE CORE SERIES)

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	38,786,664	$	—	$	—	$	38,786,664
Mutual Funds		155,212,550		—		—		155,212,550
Money Market Fund		1,137,805		—		—		1,137,805
Equity Index Swap Agreements**		—		2,201,633		—		2,201,633
Total Assets	$	195,137,019	$	2,201,633	$	—	$	197,338,652

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	92,880	$	—	$	—	$	92,880

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

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2022, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	16,780,495	$	31,311,810	$	(26,500,000	)	$	(390,779	)	$	(122,486	)	$	21,079,040		876,832	$	497,500
Guggenheim Strategy Fund III		81,097,553		1,819,737		(25,363,135	)		(449,343	)		(2,326,679	)		54,778,133		2,276,730		1,811,531
Guggenheim Ultra Short Duration Fund — Institutional Class		54,253,430		653,311		(28,084,987	)		17,882			(915,186	)		25,924,450		2,689,258		649,369
Guggenheim Variable Insurance Strategy Fund III		67,541,303		1,550,542		(13,377,998	)		(365,472	)		(1,917,448	)		53,430,927		2,219,814		1,541,894
	$	219,672,781	$	35,335,400	$	(93,326,120	)	$	(1,187,712	)	$	(5,281,799	)	$	155,212,550			$	4,500,294

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

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $40,256,330)	$	39,924,469
Investments in affiliated issuers, at value (cost $160,401,178)		155,212,550
Cash		8,777,117
Segregated cash with broker		533,000
Unrealized appreciation on OTC swap agreements		2,201,633
Prepaid expenses		10,513
Receivables:
Dividends		653,067
Interest		7,734
Investment Adviser		14
Total assets		207,320,097
Liabilities:
Segregated cash due to broker		9,910,000
Payable for:
Securities purchased		645,819
Fund shares redeemed		339,702
Management fees		84,894
Distribution and service fees		41,432
Swap settlement		37,062
Variation margin on futures contracts		25,625
Trustees’ fees*		3,255
Fund accounting/administration fees		3,086
Transfer agent/maintenance fees		2,161
Miscellaneous		112,577
Total liabilities		11,205,613
Net assets	$	196,114,484
Net assets consist of:
Paid in capital	$	222,987,335
Total distributable earnings (loss)		(26,872,851	)
Net assets	$	196,114,484
Capital shares outstanding		6,013,841
Net asset value per share	$	32.61

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $767)	$	803,477
Dividends from securities of affiliated issuers		4,500,294
Interest		98,241
Total investment income		5,402,012
Expenses:
Management fees		1,652,040
Distribution and service fees		549,346
Transfer agent/maintenance fees		25,387
Fund accounting/administration fees		128,200
Interest expense		101,058
Professional fees		79,140
Custodian fees		25,496
Line of credit fees		7,000
Trustees’ fees*		10,838
Miscellaneous		22,413
Total expenses		2,600,918
Less:
Expenses reimbursed by Adviser		(7	)
Expenses waived by Adviser		(576,164	)
Earnings credits applied		(5,295	)
Total waived/reimbursed expenses		(581,466	)
Net expenses		2,019,452
Net investment income		3,382,560
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(824,783	)
Investments in affiliated issuers		(1,187,712	)
Swap agreements		(25,002,540	)
Futures contracts		382,826
Net realized loss		(26,632,209	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(7,955,652	)
Investments in affiliated issuers		(5,281,799	)
Swap agreements		(17,777,522	)
Futures contracts		(193,155	)
Net change in unrealized appreciation (depreciation)		(31,208,128	)
Net realized and unrealized loss		(57,840,337	)
Net decrease in net assets resulting from operations	$	(54,457,777	)

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

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

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,382,560		$	1,220,679
Net realized gain (loss) on investments		(26,632,209	)		62,342,705
Net change in unrealized appreciation (depreciation) on investments		(31,208,128	)		(926,499	)
Net increase (decrease) in net assets resulting from operations		(54,457,777	)		62,636,885
Distributions to shareholders		(58,728,698	)		(26,897,830	)
Capital share transactions:
Proceeds from sale of shares		3,989,714			2,897,714
Distributions reinvested		58,728,698			26,897,830
Cost of shares redeemed		(23,388,008	)		(25,651,784	)
Net increase from capital share transactions		39,330,404			4,143,760
Net increase (decrease) in net assets		(73,856,071	)		39,882,815
Net assets:
Beginning of year		269,970,555			230,087,740
End of year	$	196,114,484		$	269,970,555
Capital share activity:
Shares sold		85,664			54,152
Shares issued from reinvestment of distributions		1,731,388			518,662
Shares redeemed		(556,929	)		(478,128	)
Net increase in shares		1,260,123			94,686

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

SERIES A (STYLEPLUS—LARGE CORE SERIES)

FINANCIAL HIGHLIGHTS

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

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	56.79		$	49.39		$	44.24		$	36.80		$	45.50
Income (loss) from investment operations:
Net investment income (loss)a		.64			.26			.38			.68			.83
Net gain (loss) on investments (realized and unrealized)		(11.88	)		13.22			7.46			10.06			(3.10	)
Total from investment operations		(11.24	)		13.48			7.84			10.74			(2.27	)
Less distributions from:
Net investment income		(.27	)		(.41	)		(.74	)		(.91	)		(.75	)
Net realized gains		(12.67	)		(5.67	)		(1.95	)		(2.39	)		(5.68	)
Total distributions		(12.94	)		(6.08	)		(2.69	)		(3.30	)		(6.43	)
Net asset value, end of period	$	32.61		$	56.79		$	49.39		$	44.24		$	36.80
Total Returnb		(20.67	%)		28.48	%		18.78	%		29.97	%		(6.56	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	196,114		$	269,971		$	230,088		$	218,082		$	190,644
Ratios to average net assets:
Net investment income (loss)		1.54	%		0.49	%		0.88	%		1.65	%		1.89	%
Total expensesc		1.18	%		1.14	%		1.22	%		1.27	%		1.26	%
Net expensesd,e,f		0.92	%		0.85	%		0.89	%		0.95	%		0.97	%
Portfolio turnover rate		63	%		34	%		63	%		41	%		45	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.02%

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.87%	0.84%	0.87%	0.89%	0.91%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series B (Large Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -1.32%, outperforming the Russell 1000 Value Index (“Index”), the Fund’s benchmark, which returned -7.54% for the same period.

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

After the market reached record highs at the end of 2021, it came under pressure as the Federal Reserve strove to contain inflation by raising rates and, at the same time, the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the Fund’s holdings well in most sectors. In fact, the Fund produced a very significant positive contribution from its security selection and produced a significant positive contribution from its sector allocation.

The Fund had an overweight relative to its benchmark to the Energy sector throughout the Reporting Period, which contributed the most to the Fund’s outperformance versus its benchmark. The Energy holdings returned over 60% during the Reporting Period, while the overall benchmark returned -7.54%. ConocoPhillips and Marathon Oil, both oil producers, performed extremely well and were up over 65% each, as oil prices improved due to uncertainty stemming from the Russian-Ukraine War and the companies exercised capital discipline throughout 2022. An oil and natural gas service company, Patterson-UTI Energy, was up over 100%, as the company’s oil and natural gas drilling rigs were put to work in the field. Another positive contributor to performance was the Fund’s overweight to the Utilities sector. Constellation Energy, a spin-off from Exelon Corp., fared well, as passage of the Inflation Reduction Act favored companies with nuclear power generation assets. One of the best performers in the Fund was McKesson Corp, within the Health Care sector, as it continued to grow revenue and earnings in its U.S. businesses and divested some of its European businesses.

The Fund’s largest detractor from performance was Micron Technology, one of the largest memory chips makers in the world. The oversupply of memory chips in the market caused prices to fall, hurting the company’s revenue and earnings. Another poor performer for the Fund was Tyson Foods, Inc., a producer and distributor of chicken, beef, and pork. The company has been faced with higher feed, labor, and freight costs that hurt margins and earnings.

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process, which is heavily bottoms up driven.

At the Fund’s year-end, the Fund held an overweight to the Utilities and a similar size underweight to the REITs sector. Both sectors are interest-rate-sensitive, but we favor utilities because of the valuations, profitability, and regulatory nature of their businesses. We are also overweight the Information Technology sector, as we are seeing more attractive opportunities after the sector has significantly underperformed during the past year. We continue to favor the Materials sector, as it trades at attractive valuations, generates free cash flow, and may provide growth opportunities as a result of the government programs and the onshoring of manufacturing. Two sectors the Fund is underweight are the Financials and Health Care sectors. Higher interest rates will benefit the Financials, but a possible looming recession could increase credit costs and depress earnings. Within Health Care, the Fund is primarily underweight Pharmaceuticals, a sector that has performed well but whose earnings and cash flow may disappoint post pandemic.

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

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

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

SERIES B (LARGE CAP VALUE SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Date: May 1, 1979

Ten Largest Holdings	(% of Total Net Assets)
JPMorgan Chase & Co.	3.2%
iShares Russell 1000 Value ETF	3.0%
Chevron Corp.	2.9%
Berkshire Hathaway, Inc. — Class B	2.8%
Johnson & Johnson	2.5%
Bank of America Corp.	2.3%
Humana, Inc.	2.2%
ConocoPhillips	2.0%
OGE Energy Corp.	1.9%
Verizon Communications, Inc.	1.8%
Top Ten Total	24.6%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series B (Large Cap Value Series)	(1.32%)	7.14%	10.53%
Russell 1000 Value Index	(7.54%)	6.67%	10.29%

*

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.

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 94.3%
Consumer, Non-cyclical - 22.3%
Johnson & Johnson		30,481	$	5,384,469
Humana, Inc.		9,178		4,700,880
Quest Diagnostics, Inc.		23,274		3,640,985
Tyson Foods, Inc. — Class A		57,068		3,552,483
Merck & Company, Inc.		29,200		3,239,740
Archer-Daniels-Midland Co.		33,763		3,134,895
Ingredion, Inc.		31,921		3,126,024
J M Smucker Co.		17,762		2,814,566
Medtronic plc		33,173		2,578,206
Bunge Ltd.		24,190		2,413,436
Henry Schein, Inc.*		29,932		2,390,669
Encompass Health Corp.		31,362		1,875,761
HCA Healthcare, Inc.		6,743		1,618,050
Moderna, Inc.*		8,817		1,583,709
Pfizer, Inc.		29,771		1,525,466
McKesson Corp.		4,051		1,519,611
Bristol-Myers Squibb Co.		16,678		1,199,982
Euronet Worldwide, Inc.*		12,016		1,134,070
Total Consumer, Non-cyclical				47,433,002
Financial - 15.4%
JPMorgan Chase & Co.		50,992		6,838,027
Berkshire Hathaway, Inc. — Class B*		18,930		5,847,477
Bank of America Corp.		147,817		4,895,699
Charles Schwab Corp.		34,239		2,850,739
Wells Fargo & Co.		62,015		2,560,599
Mastercard, Inc. — Class A		6,610		2,298,496
Goldman Sachs Group, Inc.		5,570		1,912,627
Voya Financial, Inc.		27,419		1,685,994
STAG Industrial, Inc. REIT		34,679		1,120,479
American Tower Corp. — Class A REIT		4,618		978,369
T. Rowe Price Group, Inc.		8,571		934,753
Gaming and Leisure Properties, Inc. REIT		12,532		652,792
Total Financial				32,576,051
Energy - 9.9%
Chevron Corp.		34,320		6,160,097
ConocoPhillips		35,652		4,206,936
Coterra Energy, Inc. — Class A		91,049		2,237,074
Pioneer Natural Resources Co.		9,045		2,065,787
Marathon Oil Corp.		69,368		1,877,792
Diamondback Energy, Inc.		13,241		1,811,104
Kinder Morgan, Inc.		95,042		1,718,360
Equities Corp.		26,222		887,090
Total Energy				20,964,240
Utilities - 8.8%
OGE Energy Corp.		102,359		4,048,298
Edison International		42,789		2,722,236
Exelon Corp.		61,531		2,659,985
Pinnacle West Capital Corp.		34,050		2,589,162
Duke Energy Corp.		19,722		2,031,169
Black Hills Corp.		26,749		1,881,525
NiSource, Inc.		65,351		1,791,924
PPL Corp.		33,862		989,448
Total Utilities				18,713,747
Industrial - 8.4%
Curtiss-Wright Corp.		20,865		3,484,246
Johnson Controls International plc		46,562		2,979,968
Knight-Swift Transportation Holdings, Inc.		46,371		2,430,304
Valmont Industries, Inc.		6,927		2,290,551
L3Harris Technologies, Inc.		10,969		2,283,856
FedEx Corp.		10,893		1,886,668
Teledyne Technologies, Inc.*		3,621		1,448,074
Advanced Energy Industries, Inc.		12,693		1,088,805
Total Industrial				17,892,472
Communications - 8.3%
Verizon Communications, Inc.		94,596		3,727,082
Alphabet, Inc. — Class A*		41,560		3,666,839
Comcast Corp. — Class A		66,547		2,327,149
Cisco Systems, Inc.		46,985		2,238,366
Walt Disney Co.*		20,667		1,795,549
Fox Corp. — Class B		51,667		1,469,926
Juniper Networks, Inc.		43,590		1,393,136
T-Mobile US, Inc.*		7,508		1,051,120
Total Communications				17,669,167
Technology - 7.9%
Micron Technology, Inc.		69,952		3,496,201
Microsoft Corp.		11,629		2,788,867
Leidos Holdings, Inc.		23,089		2,428,732
KLA Corp.		6,419		2,420,156
Teradyne, Inc.		22,246		1,943,188
Fiserv, Inc.*		17,379		1,756,495
Amdocs Ltd.		15,609		1,418,858
MACOM Technology Solutions Holdings, Inc.*		9,152		576,393
Total Technology				16,828,890
Consumer, Cyclical - 6.8%
Walmart, Inc.		23,914		3,390,766
PACCAR, Inc.		20,253		2,004,439
Delta Air Lines, Inc.*		57,154		1,878,080
Whirlpool Corp.		11,825		1,672,765
Southwest Airlines Co.		47,188		1,588,820
Home Depot, Inc.		4,980		1,572,983
Ralph Lauren Corp. — Class A		11,569		1,222,496
PVH Corp.		14,248		1,005,767
Total Consumer, Cyclical				14,336,116
Basic Materials - 6.5%
Westlake Corp.		30,967		3,175,356
Huntsman Corp.		105,501		2,899,167
Reliance Steel & Aluminum Co.		10,519		2,129,467
Freeport-McMoRan, Inc.		52,034		1,977,292

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
Nucor Corp.		14,162	$	1,866,693
International Flavors & Fragrances, Inc.		6,793		712,178
DuPont de Nemours, Inc.		8,550		586,787
Dow, Inc.		9,877		497,702
Total Basic Materials				13,844,642
Total Common Stocks
(Cost $160,478,523)				200,258,327
EXCHANGE-TRADED FUNDS† - 3.0%
iShares Russell 1000 Value ETF		42,314		6,416,918
Total Exchange-Traded Funds
(Cost $6,435,561)				6,416,918
MONEY MARKET FUND† - 2.7%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%1		5,655,817		5,655,817
Total Money Market Fund
(Cost $5,655,817)				5,655,817
Total Investments - 100.0%
(Cost $172,569,901)			$	212,331,062
Other Assets & Liabilities, net - 0.0%				6,433
Total Net Assets - 100.0%			$	212,337,495

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	200,258,327	$	—	$	—	$	200,258,327
Exchange-Traded Funds		6,416,918		—		—		6,416,918
Money Market Fund		5,655,817		—		—		5,655,817
Total Assets	$	212,331,062	$	—	$	—	$	212,331,062

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

SERIES B (LARGE CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $172,569,901)	$	212,331,062
Cash		26
Prepaid expenses		4,482
Receivables:
Dividends		294,558
Interest		15,754
Total assets		212,645,882
Liabilities:
Payable for:
Fund shares redeemed		141,314
Management fees		77,915
Distribution and service fees		45,776
Professional fees		26,699
Fund accounting/administration fees		3,202
Transfer agent/maintenance fees		2,137
Trustees’ fees*		395
Miscellaneous		10,949
Total liabilities		308,387
Net assets	$	212,337,495
Net assets consist of:
Paid in capital	$	149,349,282
Total distributable earnings (loss)		62,988,213
Net assets	$	212,337,495
Capital shares outstanding		5,148,946
Net asset value per share	$	41.24

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends	$	5,039,370
Interest		94,035
Total investment income		5,133,405
Expenses:
Management fees		1,447,126
Distribution and service fees		556,587
Transfer agent/maintenance fees		25,376
Fund accounting/administration fees		128,795
Professional fees		75,370
Trustees’ fees*		12,219
Line of credit fees		6,106
Custodian fees		5,318
Miscellaneous		24,318
Total expenses		2,281,215
Less:
Expenses waived by Adviser		(543,337	)
Earnings credits applied		(56	)
Total waived expenses		(543,393	)
Net expenses		1,737,822
Net investment income		3,395,583
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		22,517,356
Net realized gain		22,517,356
Net change in unrealized appreciation (depreciation) on:
Investments		(29,032,822	)
Net change in unrealized appreciation (depreciation)		(29,032,822	)
Net realized and unrealized loss		(6,515,466	)
Net decrease in net assets resulting from operations	$	(3,119,883	)

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

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

SERIES B (LARGE CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,395,583		$	2,762,327
Net realized gain on investments		22,517,356			21,610,319
Net change in unrealized appreciation (depreciation) on investments		(29,032,822	)		29,706,269
Net increase (decrease) in net assets resulting from operations		(3,119,883	)		54,078,915
Distributions to shareholders		(22,853,023	)		(4,639,626	)
Capital share transactions:
Proceeds from sale of shares		4,727,951			5,978,283
Distributions reinvested		22,853,023			4,639,626
Cost of shares redeemed		(26,087,637	)		(31,787,831	)
Net increase (decrease) from capital share transactions		1,493,337			(21,169,922	)
Net increase (decrease) in net assets		(24,479,569	)		28,269,367
Net assets:
Beginning of year		236,817,064			208,547,697
End of year	$	212,337,495		$	236,817,064
Capital share activity:
Shares sold		112,131			137,180
Shares issued from reinvestment of distributions		575,788			107,473
Shares redeemed		(598,577	)		(729,396	)
Net increase (decrease) in shares		89,342			(484,743	)

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

SERIES B (LARGE CAP VALUE SERIES)

FINANCIAL HIGHLIGHTS

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

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	46.81		$	37.61		$	40.55		$	36.14		$	43.36
Income (loss) from investment operations:
Net investment income (loss)a		.67			.52			.82			.72			.65
Net gain (loss) on investments (realized and unrealized)		(1.48	)		9.58			(.51	)		6.93			(4.42	)
Total from investment operations		(.81	)		10.10			.31			7.65			(3.77	)
Less distributions from:
Net investment income		(.60	)		(.90	)		(.74	)		(.72	)		(.58	)
Net realized gains		(4.16	)		—	b		(2.51	)		(2.52	)		(2.87	)
Total distributions		(4.76	)		(.90	)		(3.25	)		(3.24	)		(3.45	)
Net asset value, end of period	$	41.24		$	46.81		$	37.61		$	40.55		$	36.14
Total Returnc		(1.32	%)		27.03	%		2.21	%		21.82	%		(9.53	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	212,337		$	236,817		$	208,548		$	226,968		$	207,167
Ratios to average net assets:
Net investment income (loss)		1.53	%		1.20	%		2.40	%		1.86	%		1.54	%
Total expensesd		1.02	%		1.03	%		1.09	%		1.07	%		1.07	%
Net expensese,f		0.78	%		0.79	%		0.79	%		0.80	%		0.80	%
Portfolio turnover rate		25	%		22	%		19	%		32	%		21	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Distributions from realized gains are less than $0.01 per share.
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 years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.78%	0.79%	0.79%	0.80%	0.80%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series D (World Equity Income Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Evan Einstein, Managing Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -9.12%, outperforming by 9.02% the MSCI World (Net) Index (“Index”), the Fund’s benchmark, which returned -18.14% for the same period.

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

The last year was a difficult period for global equity markets. U.S. inflation has been historically high; the Federal Reserve has been increasing interest rates; and war has been destabilizing Europe. The Fund managed to outperform due to its positioning in lower risk and higher relative yield than the benchmark. The Fund’s strategy tends to create a bias toward value-oriented investments, which also tends to contribute to performance in a down market.

The leading contributor to return was security selection, with Health Care and Information Technology sectors leading the outperformance. These sectors were also where the Fund was most underweight relative to the benchmark, which helped in the Technology sector but hurt in the Health Care sector. An overweight in the Energy sector was also a strong positive contributor, but was partially offset by negative selection, a leading drag on return.

From a country perspective, the Fund had its strongest absolute contribution from its holdings in Canada. The holdings in most other countries, including the U.S., were negative for the Reporting Period, ultimately detracting from absolute return. However, the U.S., the largest country weight in the Fund, was the top relative contributor to performance, far outperforming the benchmark. This was also true of other countries, such as Japan and the U.K. where allocations were over 5% and the Fund had positive relative contributions to performance.

The top individual contributors to the Fund were an underweight in Tesla, and overweights in Tourmaline Oil Corp. and defense contractors Northrup Grumman and Lockheed Martin. The biggest detractors were an underweight in UnitedHealth Group, an overweight in Intel Corp, and not owning Eli Lilly.

How did the Fund use derivatives during the Reporting Period?

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

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

Rising interest rates, the reopening of the economy following the pandemic, and a historically wide valuation gap between growth and value sectors were among the factors that saw value stocks solidly outperform growth stocks over the Reporting Period. Compared with the Index, the Fund is positioned more cautiously, as we anticipate continuing market weakness that defined much of the Reporting Period.

The Fund was most overweight in the Energy, Industrials and Materials sectors at the end of the Reporting Period, and most underweight in the Health Care, Information Technology, and Consumer Staples sectors.

The currency hedge ended the Reporting Period with no active positions as the U.S. dollar’s strengthening has taken a breather.

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

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

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

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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 December 31, 2022, the investment diversification of the Fund by Country was as follows:

Country	% of Long-Term Investments
United States		58.5%
Japan		9.1%
Canada		5.9%
Australia		5.2%
United Kingdom		4.9%
Switzerland		2.9%
France		2.4%
Other		11.1%
Total Long-Term Investments		100.0%

Inception Date: April 19, 1984

Ten Largest Holdings	(% of Total Net Assets)
Microsoft Corp.	2.9%
Apple, Inc.	2.8%
Johnson & Johnson	1.7%
Alphabet, Inc. — Class C	1.5%
Home Depot, Inc.	1.4%
Shell plc	1.3%
Novartis AG	1.2%
McDonald’s Corp.	1.2%
Merck & Company, Inc.	1.1%
UnitedHealth Group, Inc.	1.1%
Top Ten Total	16.2%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series D (World Equity Income Series)	(9.12%)	5.64%	7.59%
MSCI World (Net) Index	(18.14%)	6.14%	8.85%

*

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 (Net) 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.

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
COMMON STOCKS† - 99.4%
Financial - 18.9%
Chubb Ltd.		4,934	$	1,088,440
Travelers Companies, Inc.		5,478		1,027,070
ANZ Group Holdings Ltd.*		62,600		1,008,454
MetLife, Inc.		13,653		988,068
Aon plc — Class A		3,266		980,257
Cboe Global Markets, Inc.		7,812		980,172
Banco Bilbao Vizcaya Argentaria S.A.††		160,800		969,046
Westpac Banking Corp.††		60,300		954,674
Principal Financial Group, Inc.		10,940		918,085
AXA S.A.††		32,700		911,351
Banco Santander S.A.††		301,500		901,989
National Australia Bank Ltd.††		44,300		899,482
Japan Real Estate Investment Corp. REIT††		200		878,332
Prudential Financial, Inc.		8,200		815,572
Nippon Building Fund, Inc. REIT††		180		804,809
Willis Towers Watson plc		3,250		794,885
Gaming and Leisure Properties, Inc. REIT		14,800		770,932
AvalonBay Communities, Inc. REIT		4,496		726,194
Aflac, Inc.		9,800		705,012
Truist Financial Corp.		14,800		636,844
Intesa Sanpaolo SpA††		276,400		612,659
DBS Group Holdings Ltd.††		17,800		450,681
Societe Generale S.A.††		15,100		378,961
ORIX Corp.††		23,100		369,700
Mediobanca Banca di Credito Finanziario SpA††		35,200		338,415
Annaly Capital Management, Inc. REIT		15,850		334,118
Marsh & McLennan Companies, Inc.		1,727		285,784
Western Union Co.		18,800		258,876
SEI Investments Co.		4,392		256,054
Credit Agricole S.A.††		20,100		211,549
PNC Financial Services Group, Inc.		1,200		189,528
Total Financial				21,445,993
Consumer, Non-cyclical - 16.7%
Johnson & Johnson		11,211		1,980,423
Novartis AG††		14,600		1,321,577
Merck & Company, Inc.		11,198		1,242,418
UnitedHealth Group, Inc.		2,334		1,237,440
Amgen, Inc.		4,054		1,064,743
J M Smucker Co.		6,622		1,049,322
Imperial Brands plc††		41,800		1,040,738
Becton Dickinson and Co.		3,851		979,310
Colgate-Palmolive Co.		12,169		958,795
AbbVie, Inc.		5,733		926,510
Automatic Data Processing, Inc.		3,751		895,964
Kellogg Co.		11,014		784,637
Gilead Sciences, Inc.		8,700		746,895
AmerisourceBergen Corp. — Class A		4,128		684,051
CVS Health Corp.		6,500		605,735
Dai Nippon Printing Company Ltd.††		30,100		604,608
CSL Ltd.††		2,200		429,002
Kikkoman Corp.††		6,500		342,089
WH Group Ltd.††,1		553,600		322,892
Brambles Ltd.††		36,600		300,153
McKesson Corp.		746		279,840
Unilever plc††		5,500		277,638
Abbott Laboratories		2,500		274,475
Hormel Foods Corp.		4,800		218,640
PepsiCo, Inc.		1,133		204,688
General Mills, Inc.		2,300		192,855
Total Consumer, Non-cyclical				18,965,438
Consumer, Cyclical - 14.2%
Home Depot, Inc.		5,025		1,587,196
McDonald’s Corp.		4,988		1,314,488
Lowe’s Companies, Inc.		5,393		1,074,501
O’Reilly Automotive, Inc.*		1,228		1,036,469
Sumitomo Corp.††		59,600		990,593
Yum! Brands, Inc.		7,600		973,408
Genuine Parts Co.		5,475		949,967
Dollar General Corp.		3,700		911,125
PACCAR, Inc.		9,033		893,996
TJX Companies, Inc.		11,212		892,475
Ferguson plc*		6,403		812,989
Ulta Beauty, Inc.*		1,500		703,605
Aisin Corp.††		22,600		599,152
Canadian Tire Corporation Ltd. — Class A		5,300		554,062
Toromont Industries Ltd.		7,100		512,534
Lear Corp.		3,703		459,246
Hasbro, Inc.		5,818		354,956
Tesla, Inc.*		2,502		308,197
LKQ Corp.		4,400		235,004
Dollarama, Inc.		4,000		234,022
Tractor Supply Co.		1,000		224,970
Darden Restaurants, Inc.		1,500		207,495
Cummins, Inc.		849		205,704
Total Consumer, Cyclical				16,036,154
Technology - 13.8%
Microsoft Corp.		13,726		3,291,769
Apple, Inc.		24,285		3,155,350
Texas Instruments, Inc.		7,290		1,204,454
Broadcom, Inc.		1,716		959,467
Intel Corp.		32,414		856,702
Analog Devices, Inc.		5,127		840,982
Dell Technologies, Inc. — Class C		19,723		793,259
Paychex, Inc.		6,500		751,140
Broadridge Financial Solutions, Inc.		4,891		656,030
Seiko Epson Corp.††		39,800		578,968
Ricoh Company Ltd.††		73,600		560,099
Hewlett Packard Enterprise Co.		32,500		518,700
SCSK Corp.††		29,800		451,010
Jack Henry & Associates, Inc.		2,500		438,900
NXP Semiconductor N.V.		2,125		335,813
Electronic Arts, Inc.		2,000		244,360
Total Technology				15,637,003

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
Industrial - 12.3%
AP Moller - Maersk A/S — Class B††		500	$	1,119,528
General Dynamics Corp.		4,039		1,002,116
Lockheed Martin Corp.		1,968		957,412
Northrop Grumman Corp.		1,696		925,355
Packaging Corporation of America		6,968		891,277
Waste Connections, Inc.		6,709		889,345
Snap-on, Inc.		3,746		855,924
TE Connectivity Ltd.		7,395		848,946
3M Co.		6,790		814,257
Nippon Yusen K.K.††		34,100		803,984
Amcor plc		64,900		772,959
Aurizon Holdings Ltd.††		272,800		691,147
Mitsui OSK Lines Ltd.††		24,400		609,615
Nordson Corp.		2,248		534,395
United Parcel Service, Inc. — Class B		2,800		486,752
Waste Management, Inc.		3,100		486,328
Canadian National Railway Company		3,000		356,485
CCL Industries, Inc. — Class B		7,500		320,490
Illinois Tool Works, Inc.		1,345		296,303
Brother Industries Ltd.††		12,300		185,871
Republic Services, Inc. — Class A		900		116,091
Total Industrial				13,964,580
Energy - 9.7%
Shell plc††		51,000		1,437,360
TotalEnergies SE††		19,500		1,224,715
Eni SpA††		77,900		1,108,274
Repsol S.A.††		53,400		850,412
Suncor Energy, Inc.		26,400		837,708
Equinor ASA††		22,500		808,728
Imperial Oil Ltd.		16,100		784,452
ENEOS Holdings, Inc.††		197,900		673,835
Galp Energia SGPS S.A. — Class B††		46,900		633,041
Parkland Corp.		24,900		546,547
Keyera Corp.		24,700		539,967
Idemitsu Kosan Company Ltd.††		22,600		529,025
Ampol Ltd.††		24,600		472,889
Tourmaline Oil Corp.		6,100		307,896
Exxon Mobil Corp.		2,500		275,750
Total Energy				11,030,599
Communications - 5.6%
Alphabet, Inc. — Class C*		18,666		1,656,234
Amazon.com, Inc.*		13,738		1,153,992
Verizon Communications, Inc.		28,580		1,126,052
Motorola Solutions, Inc.		2,886		743,751
Liberty Global plc — Class C*		30,367		590,031
Cisco Systems, Inc.		10,046		478,591
Telstra Group Ltd.††		124,600		336,986
FactSet Research Systems, Inc.		570		228,690
Total Communications				6,314,327
Basic Materials - 5.2%
Rio Tinto plc††		16,600		1,168,123
LyondellBasell Industries N.V. — Class A		9,630		799,579
South32 Ltd.††		274,800		753,427
International Paper Co.		20,053		694,435
Nippon Steel Corp.††		39,700		688,740
Air Products and Chemicals, Inc.		2,183		672,932
JFE Holdings, Inc.††		53,700		623,018
Nutrien Ltd.		6,500		474,696
Total Basic Materials				5,874,950
Utilities - 3.0%
SSE plc††		32,700		672,313
Duke Energy Corp.		6,100		628,239
EDP - Energias de Portugal S.A.††		116,300		580,035
Southern Co.		7,390		527,720
National Grid plc††		29,100		348,514
Fortis, Inc.		8,500		340,239
Consolidated Edison, Inc.		2,600		247,806
Total Utilities				3,344,866
Total Common Stocks
(Cost $110,865,253)				112,613,910
EXCHANGE-TRADED FUNDS† - 0.1%
iShares MSCI EAFE ETF		914		59,995
SPDR S&P 500 ETF Trust		138		52,775
Total Exchange-Traded Funds
(Cost $119,371)				112,770
MONEY MARKET FUND† - 0.2%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 3.93%2		249,001		249,001
Total Money Market Fund
(Cost $249,001)				249,001
Total Investments - 99.7%
(Cost $111,233,625)			$	112,975,681
Other Assets & Liabilities, net - 0.3%				358,739
Total Net Assets - 100.0%			$	113,334,420

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES D (WORLD EQUITY INCOME SERIES)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	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 $322,892 (cost $325,405), or 0.3% of total net assets.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	79,794,163	$	32,819,747	$	—	$	112,613,910
Exchange-Traded Funds		112,770		—		—		112,770
Money Market Fund		249,001		—		—		249,001
Total Assets	$	80,155,934	$	32,819,747	$	—	$	112,975,681

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

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $111,233,625)	$	112,975,681
Cash		21,571
Prepaid expenses		3,451
Receivables:
Foreign tax reclaims		202,369
Dividends		159,159
Securities sold		153,260
Interest		1,992
Total assets		113,517,483
Liabilities:
Payable for:
Fund shares redeemed		66,471
Management fees		48,409
Professional fees		26,279
Distribution and service fees		24,685
Trustees’ fees*		2,587
Fund accounting/administration fees		2,300
Transfer agent/maintenance fees		2,066
Due to Investment Adviser		357
Miscellaneous		9,909
Total liabilities		183,063
Net assets	$	113,334,420
Net assets consist of:
Paid in capital	$	111,182,330
Total distributable earnings (loss)		2,152,090
Net assets	$	113,334,420
Capital shares outstanding		9,160,986
Net asset value per share	$	12.37

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends (net of foreign withholding tax of $336,219)	$	3,784,661
Interest		12,286
Total investment income		3,796,947
Expenses:
Management fees		849,725
Distribution and service fees		303,472
Transfer agent/maintenance fees		25,148
Fund accounting/administration fees		74,534
Professional fees		44,321
Trustees’ fees*		10,693
Custodian fees		9,031
Line of credit fees		3,494
Miscellaneous		14,803
Recoupment of previously waived fees		357
Total expenses		1,335,578
Less:
Expenses waived by Adviser		(266,589	)
Earnings credits applied		(2	)
Total waived expenses		(266,591	)
Net expenses		1,068,987
Net investment income		2,727,960
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(3,536,615	)
Futures contracts		1,352,842
Foreign currency transactions		482
Net realized loss		(2,183,291	)
Net change in unrealized appreciation (depreciation) on:
Investments		(12,953,737	)
Foreign currency translations		(18,057	)
Net change in unrealized appreciation (depreciation)		(12,971,794	)
Net realized and unrealized loss		(15,155,085	)
Net decrease in net assets resulting from operations	$	(12,427,125	)

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

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

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,727,960		$	2,736,857
Net realized gain (loss) on investments		(2,183,291	)		30,419,122
Net change in unrealized appreciation (depreciation) on investments		(12,971,794	)		(6,816,541	)
Net increase (decrease) in net assets resulting from operations		(12,427,125	)		26,339,438
Distributions to shareholders		(27,160,274	)		(2,031,098	)
Capital share transactions:
Proceeds from sale of shares		5,871,691			5,327,206
Distributions reinvested		27,160,274			2,031,098
Cost of shares redeemed		(18,303,370	)		(19,480,103	)
Net increase (decrease) from capital share transactions		14,728,595			(12,121,799	)
Net increase (decrease) in net assets		(24,858,804	)		12,186,541
Net assets:
Beginning of year		138,193,224			126,006,683
End of year	$	113,334,420		$	138,193,224
Capital share activity:
Shares sold		430,664			320,264
Shares issued from reinvestment of distributions		2,239,099			119,758
Shares redeemed		(1,299,295	)		(1,170,420	)
Net increase (decrease) in shares		1,370,468			(730,398	)

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	17.74		$	14.79		$	14.45		$	12.96		$	14.52
Income (loss) from investment operations:
Net investment income (loss)a		.32			.34			.22			.33			.33
Net gain (loss) on investments (realized and unrealized)		(2.01	)		2.86			.66			2.36			(1.47	)
Total from investment operations		(1.69	)		3.20			.88			2.69			(1.14	)
Less distributions from:
Net investment income		(.36	)		(.25	)		(.40	)		(.40	)		(.42	)
Net realized gains		(3.32	)		—			(.14	)		(.80	)		—
Total distributions		(3.68	)		(.25	)		(.54	)		(1.20	)		(.42	)
Net asset value, end of period	$	12.37		$	17.74		$	14.79		$	14.45		$	12.96
Total Returnb		(9.12	%)		21.74	%		6.65	%		21.40	%		(8.17	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	113,334		$	138,193		$	126,007		$	133,758		$	125,312
Ratios to average net assets:
Net investment income (loss)		2.25	%		2.02	%		1.70	%		2.37	%		2.29	%
Total expensesc		1.10	%		1.15	%		1.20	%		1.19	%		1.17	%
Net expensesd,e		0.88	%		0.89	%		0.89	%		0.90	%		0.90	%
Portfolio turnover rate		140	%		185	%		196	%		139	%		134	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.88%	0.89%	0.89%	0.90%	0.90%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series E (Total Return Bond Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM; Steven H. Brown, CFA, Chief Investment Officer, Total Return and Macro Strategies, and Senior Managing Director of GPIM; Adam J. Bloch, Managing Director and Portfolio Manager of GPIM; and Evan L. Serdensky, Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -16.15%, underperforming the Bloomberg U.S. Aggregate Bond Index (“Index”), the Fund’s benchmark, which returned -13.01% for the same period.

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

Duration was the largest driver of absolute performance, detracting about -14.0%, but contributed about +0.25% to relative performance, primarily from the Fund’s curve positioning The Fund’s bear flattener bias benefited performance, as the rise in front end yields outpaced that of longer maturity yields. Bear flattening refers to the yield curve scenario for bonds in which short-term interest rates rise more rapidly than long-term interest rates.

Performance from spread widening was the largest driver of the Fund’s relative underperformance, detracting roughly -4.00% on a relative basis. The Fund’s overweight allocation to credit drove this underperformance and was broadly distributed across all asset classes. Carry contributed about +4.25% to absolute performance and +1.25% to relative performance.

How did the Fund use derivatives during the Reporting Period?

During the Reporting Period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning and foreign exchange risk. Interest rate swaps, futures, and curve caps detracted from performance, while performance from swaptions was incrementally positive. Options on equities, which functioned as hedges to the Fund’s credit positioning, contributed to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the Reporting Period.

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

Securitized credit, which comprised 32% of the Fund at the end of the Reporting Period, continues to be a significant and expanding asset class allocation within the Fund, particularly given its lagged performance relative to corporates towards the end of 2022. As tail risks have risen across the market, we have increased our allocation to high grade pockets of securitized credit, upgrading credit quality through capital structure seniority and strong structural protections at attractive spreads versus comparably rated corporate credit. A unique opportunity has emerged in securitized credit in that investors are now able to source investments at steep dollar-price discounts, given both the rise in interest rates and widening in credit spreads that have occurred year-to-date. This dynamic presents a compelling total return opportunity as investors are now able to potentially capture not only the traditional yield advantage offered by the sector in the form of higher coupons relative to similarly rated corporates, but also excess returns, should rates fall or spreads tighten. In more normal market environments, the value proposition of much of securitized credit is typically limited to a carry advantage given that prices for many subsectors rarely trade above par due to call structures. To this end, our buying efforts have been concentrated in the secondary market in subsectors such as AA-rated collateralized loan obligations (“CLOs”). In primary markets, we are finding opportunities in the non-agency residential mortgage-backed securities (“RMBS”) sector in senior tranches of non-qualified mortgaged (“non-QM”) deals, which price at discounts to par and have offered yields and spreads comparable to BB-rated corporate credit.

Corporate credit totaled approximately 39% of the Fund with roughly 28% investment grade rated and 11% below investment grade rated. While fundamental credit metrics, such as leverage and interest coverage, generally still show improving or healthy trends across most sectors, we expect these metrics to gradually deteriorate over the next several quarters and for default rates to pick up accordingly. Credit spread valuations are relatively fairly valued, with spreads in the 50^th percentile versus long-term historical ranges. At current valuations, the long-term value across credit assets is compelling, although we expect volatility to remain elevated in the near term. The Fund has taken advantage of dislocations across corporate credit by purchasing high credit quality investment grade corporates at attractive absolute yields, while simultaneously trimming lower grade categories, such as leveraged loans, that performed well on a relative basis over the course of the year and have greater risks going into a potential economic slowdown.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

MANAGERS’ COMMENTARY (Unaudited) (concluded) December 31, 2022

Duration drifted lower throughout the fourth quarter of 2022 as yields fell significantly amid softer inflation data. While we are confident that the combined effects of decelerating inflation and slowing growth should keep interest rates reasonably capped, we also acknowledge that yields have moved materially off their highs and material moves lower in yields will be more difficult amid a Federal Reserve that seems intent on stamping out inflation. Additionally, the Fund added rate hedges that would benefit, should the yield curve steepen amid either the Federal Reserve cutting rates faster than market expectations or long-term inflation expectations rising if the Federal Reserve pivots too early.

Though we expect to see continued volatility as markets grapple with the rapid tightening of financial conditions, at current valuations we see return distributions for fixed income skewed to the upside over the next year. Importantly, examples of market distress and falling inflation expectations are signaling a more benign path for interest rates and thus some moderation in rate volatility, which should prove to be beneficial tailwinds to fixed-income valuations.

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

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

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: April 26, 1985

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	6.0%
U.S. Treasury Notes, 4.13%	4.5%
Guggenheim Total Return Bond Fund — R6-Class	4.4%
U.S. Treasury Notes, 3.88%	3.5%
U.S. Treasury Bonds, 2.00%	2.2%
Octagon Investment Partners 49 Ltd., 5.63%	1.3%
U.S. Treasury Notes, 2.63%	1.2%
U.S. Treasury Bonds — 11/15/52	0.8%
U.S. Treasury Bonds — 02/15/52	0.8%
STORE Master Funding I-VII, 3.96%	0.8%
Top Ten Total	25.5%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series E (Total Return Bond Series)	(16.15%)	0.15%	2.48%
Bloomberg U.S. Aggregate Bond Index	(13.01%)	0.02%	1.06%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	31.1%
AA	7.2%
A	11.6%
BBB	22.2%
BB	5.2%
B	3.6%
CCC	0.4%
CC	1.9%
C	0.1%
NR2	4.8%
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 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.
1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Shares		Value
COMMON STOCKS† - 0.2%
Financial - 0.2%
TPG Pace Beneficial II Corp.*,1		6,675	$	65,582
MSD Acquisition Corp. — Class A*,1		4,876		49,248
AfterNext HealthTech Acquisition Corp. — Class A*,1		4,100		41,082
Conyers Park III Acquisition Corp. — Class A*,1		3,800		37,468
Waverley Capital Acquisition Corp. 1 — Class A*,††,1		3,000		30,060
Acropolis Infrastructure Acquisition Corp. — Class A*,1		2,700		26,757
Blue Whale Acquisition Corp. I — Class A*,1		2,200		21,538
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,1		76,590		7
Total Financial				271,742
Communications - 0.0%
Figs, Inc. — Class A*		1,346		9,059
Vacasa, Inc. — Class A*		3,356		4,228
Total Communications				13,287
Total Common Stocks
(Cost $328,768)				285,029
PREFERRED STOCKS†† - 4.6%
Financial - 4.6%
Equitable Holdings, Inc.
4.95%*		550,000		518,485
4.30%		12,000		212,280
Wells Fargo & Co.
3.90%*		450,000		393,869
4.70%		16,000		294,240
Citigroup, Inc.
3.88%*		600,000		511,500
4.00%*		200,000		174,224
Markel Corp.
6.00%*		660,000		638,550
First Republic Bank
4.25%		23,425		384,873
4.13%		5,325		85,200
4.50%		1,925		33,225
Charles Schwab Corp.
4.00%*		500,000		398,725
MetLife, Inc.
3.85%*		400,000		371,500
Bank of America Corp.
6.13%*		100,000		98,125
4.38%*		100,000		84,693
4.38%		4,775		83,801
4.13%		4,050		67,635
Bank of New York Mellon Corp.
3.75%*		400,000		322,183
W R Berkley Corp.
4.13% due 03/30/61		11,288		200,136
4.25% due 09/30/60		1,845		34,170
JPMorgan Chase & Co.
3.65%*		250,000		214,063
American Financial Group, Inc.
4.50% due 09/15/60		8,968		166,715
Arch Capital Group Ltd.
4.55%		9,510		164,238
Public Storage
4.63%		8,522		162,855
RenaissanceRe Holdings Ltd.
4.20%		7,675		124,565
Goldman Sachs Group, Inc.
3.80%*		150,000		122,205
CNO Financial Group, Inc.
5.13% due 11/25/60		6,000		101,460
Kuvare US Holdings, Inc.
7.00% due 02/17/51*,4		100,000		101,000
Assurant, Inc.
5.25% due 01/15/61		4,000		80,760
Selective Insurance Group, Inc.
4.60%		4,000		67,000
Total Financial				6,212,275
Total Preferred Stocks
(Cost $7,689,418)				6,212,275
WARRANTS† - 0.0%
Conyers Park III Acquisition Corp.
Expiring 08/12/28*,1		1,266		190
Ginkgo Bioworks Holdings, Inc.
Expiring 08/01/26*		684		137
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		900		108
AfterNext HealthTech Acquisition Corp.
Expiring 07/09/23*,1		1,366		102
MSD Acquisition Corp.
Expiring 05/13/23*,1		974		73
Waverley Capital Acquisition Corp.
Expiring 04/30/27*,††,1		1,000		40
Blue Whale Acquisition Corp.
Expiring 07/09/23*,1		550		39
Total Warrants
(Cost $8,824)				689
MUTUAL FUNDS† - 4.3%
Guggenheim Total Return Bond Fund — R6-Class5		253,512		5,884,003
Total Mutual Funds
(Cost $6,730,114)				5,884,003
MONEY MARKET FUND† - 3.4%
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 4.17%6		4,537,271		4,537,271
Total Money Market Fund
(Cost $4,537,271)				4,537,271

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
CORPORATE BONDS†† - 31.8%
Financial - 14.3%
Pershing Square Holdings Ltd.
3.25% due 11/15/304		1,000,000	$	778,570
3.25% due 10/01/31		1,000,000		752,240
Reliance Standard Life Global Funding II
2.75% due 05/07/254		800,000		750,911
Bank of America Corp.
2.59% due 04/29/313		890,000		724,848
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		950,000		709,571
JPMorgan Chase & Co.
5.72% due 09/14/333		300,000		292,816
2.96% due 05/13/313		230,000		189,510
4.49% due 03/24/313		200,000		186,791
Liberty Mutual Group, Inc.
4.30% due 02/01/614		700,000		427,000
3.95% due 05/15/604		280,000		183,381
Wilton RE Ltd.
6.00%3,4,7		700,000		606,109
Macquarie Bank Ltd.
3.05% due 03/03/363,4		450,000		325,488
3.62% due 06/03/304		290,000		234,408
GLP Capital Limited Partnership / GLP Financing II, Inc.
5.30% due 01/15/29		300,000		283,902
4.00% due 01/15/31		290,000		248,762
Citigroup, Inc.
2.57% due 06/03/313		590,000		477,186
Fairfax Financial Holdings Ltd.
3.38% due 03/03/31		450,000		368,699
5.63% due 08/16/324		100,000		93,861
Reinsurance Group of America, Inc.
3.15% due 06/15/30		529,000		449,301
Nippon Life Insurance Co.
2.75% due 01/21/513,4		350,000		280,874
2.90% due 09/16/513,4		200,000		159,966
Fidelity National Financial, Inc.
3.40% due 06/15/30		279,000		235,498
2.45% due 03/15/31		230,000		175,457
Host Hotels & Resorts, LP
3.50% due 09/15/30		435,000		358,992
2.90% due 12/15/31		50,000		38,248
FS KKR Capital Corp.
2.63% due 01/15/27		250,000		208,709
3.25% due 07/15/27		200,000		168,233
Macquarie Group Ltd.
2.87% due 01/14/333,4		250,000		191,796
2.69% due 06/23/323,4		200,000		153,471
Safehold Operating Partnership, LP
2.85% due 01/15/32		271,000		205,674
2.80% due 06/15/31		180,000		138,142
Ares Finance Company II LLC
3.25% due 06/15/304		410,000		338,229
Global Atlantic Finance Co.
4.70% due 10/15/513,4		250,000		190,417
3.13% due 06/15/314		200,000		146,741
Maple Grove Funding Trust I
4.16% due 08/15/514		500,000		335,063
United Wholesale Mortgage LLC
5.50% due 04/15/294		300,000		238,644
5.50% due 11/15/254		100,000		90,062
Iron Mountain, Inc.
4.50% due 02/15/314		261,000		214,526
5.63% due 07/15/324		125,000		108,327
Standard Chartered plc
4.64% due 04/01/313,4		350,000		314,523
National Australia Bank Ltd.
2.99% due 05/21/314		400,000		313,110
Jefferies Financial Group, Inc.
2.75% due 10/15/32		300,000		225,604
2.63% due 10/15/31		100,000		76,284
First American Financial Corp.
4.00% due 05/15/30		360,000		301,486
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		410,000		291,728
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		350,000		267,146
ABN AMRO Bank N.V.
2.47% due 12/13/293,4		300,000		242,588
Belrose Funding Trust
2.33% due 08/15/304		320,000		242,332
UBS Group AG
2.10% due 02/11/323,4		300,000		225,868
Brookfield Finance, Inc.
3.50% due 03/30/51		280,000		177,728
4.70% due 09/20/47		50,000		40,184
Corebridge Financial, Inc.
4.35% due 04/05/424		150,000		123,052
6.88% due 12/15/523,4		100,000		92,404
Toronto-Dominion Bank
8.13% due 10/31/823		200,000		208,000
Bank of Nova Scotia
8.63% due 10/27/823		200,000		207,927
SBA Communications Corp.
3.13% due 02/01/29		250,000		207,873
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		250,000		203,933
Societe Generale S.A.
2.89% due 06/09/323,4		250,000		192,332
Stewart Information Services Corp.
3.60% due 11/15/31		250,000		191,582
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		280,000		189,517
Assurant, Inc.
2.65% due 01/15/32		250,000		184,902

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Westpac Banking Corp.
3.02% due 11/18/363		150,000	$	111,520
2.96% due 11/16/40		100,000		66,026
Intercontinental Exchange, Inc.
2.65% due 09/15/40		250,000		173,385
Trustage Financial Group, Inc.
4.63% due 04/15/324		200,000		172,420
Hunt Companies, Inc.
5.25% due 04/15/294		200,000		168,102
Primerica, Inc.
2.80% due 11/19/31		200,000		162,791
AmFam Holdings, Inc.
2.81% due 03/11/314		200,000		155,394
Americo Life, Inc.
3.45% due 04/15/314		200,000		152,093
LPL Holdings, Inc.
4.00% due 03/15/294		174,000		151,397
Assured Guaranty US Holdings, Inc.
3.15% due 06/15/31		90,000		75,748
3.60% due 09/15/51		100,000		65,066
NFP Corp.
6.88% due 08/15/284		167,000		137,655
KKR Group Finance Company VIII LLC
3.50% due 08/25/504		190,000		127,018
Kemper Corp.
2.40% due 09/30/30		146,000		113,511
Lincoln National Corp.
4.38% due 06/15/50		150,000		111,644
Prudential Financial, Inc.
3.70% due 10/01/503		130,000		109,706
PartnerRe Finance B LLC
4.50% due 10/01/503		110,000		95,183
Kennedy-Wilson, Inc.
4.75% due 03/01/29		112,000		88,765
Apollo Management Holdings, LP
2.65% due 06/05/304		90,000		73,113
Brown & Brown, Inc.
2.38% due 03/15/31		90,000		68,475
Western & Southern Life Insurance Co.
3.75% due 04/28/614		100,000		66,719
Penn Mutual Life Insurance Co.
3.80% due 04/29/614		100,000		65,951
American Equity Investment Life Holding Co.
5.00% due 06/15/27		69,000		65,336
CNO Financial Group, Inc.
5.25% due 05/30/29		50,000		47,635
Home Point Capital, Inc.
5.00% due 02/01/264		53,000		36,649
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		35,000		33,403
Brookfield Finance LLC
3.45% due 04/15/50		50,000		31,580
Total Financial				19,306,811
Consumer, Non-cyclical - 4.1%
CoStar Group, Inc.
2.80% due 07/15/304		740,000		604,350
Altria Group, Inc.
3.70% due 02/04/51		550,000		344,476
3.40% due 05/06/30		170,000		145,308
4.45% due 05/06/50		50,000		35,405
Quanta Services, Inc.
2.90% due 10/01/30		467,000		383,977
BAT Capital Corp.
3.98% due 09/25/50		300,000		196,307
4.70% due 04/02/27		190,000		182,132
DaVita, Inc.
3.75% due 02/15/314		297,000		221,666
4.63% due 06/01/304		113,000		90,900
Johns Hopkins University
2.81% due 01/01/60		500,000		312,193
Children’s Hospital Corp.
2.59% due 02/01/50		500,000		304,342
Global Payments, Inc.
2.90% due 05/15/30		210,000		172,067
2.90% due 11/15/31		140,000		110,400
Smithfield Foods, Inc.
2.63% due 09/13/314		250,000		178,802
3.00% due 10/15/304		110,000		83,753
Medline Borrower, LP
3.88% due 04/01/294		296,000		238,564
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.00% due 05/15/324		200,000		153,370
4.38% due 02/02/524		100,000		70,693
Royalty Pharma plc
3.55% due 09/02/50		310,000		198,107
Becle, SAB de CV
2.50% due 10/14/314		250,000		194,250
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/314		200,000		159,882
Triton Container International Ltd.
3.15% due 06/15/314		200,000		155,692
Spectrum Brands, Inc.
5.75% due 07/15/25		150,000		148,303
California Institute of Technology
3.65% due 09/01/19		225,000		143,311
Universal Health Services, Inc.
2.65% due 10/15/304		150,000		119,381
Transurban Finance Company Pty Ltd.
2.45% due 03/16/314		150,000		117,987
Catalent Pharma Solutions, Inc.
3.13% due 02/15/294		127,000		101,120
TriNet Group, Inc.
3.50% due 03/01/294		117,000		96,197
Triton Container International Limited/ TAL International Container Corp.
3.25% due 03/15/32		100,000		77,205

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Central Garden & Pet Co.
4.13% due 04/30/314		84,000	$	69,537
US Foods, Inc.
6.25% due 04/15/254		70,000		69,267
Tenet Healthcare Corp.
4.63% due 06/15/284		75,000		67,106
Service Corporation International
3.38% due 08/15/30		60,000		48,775
Total Consumer, Non-cyclical				5,594,825
Industrial - 4.0%
Boeing Co.
5.15% due 05/01/30		970,000		946,370
5.71% due 05/01/40		490,000		467,246
5.81% due 05/01/50		490,000		454,316
2.20% due 02/04/26		200,000		181,712
Amsted Industries, Inc.
4.63% due 05/15/304		470,000		400,675
Crown Americas LLC / Crown Americas Capital Corporation VI
4.75% due 02/01/26		400,000		388,300
Stadco LA, LLC
3.75% due 05/15/56†††		500,000		344,600
TD SYNNEX Corp.
2.65% due 08/09/31		250,000		189,359
2.38% due 08/09/28		150,000		121,009
Cellnex Finance Company S.A.
3.88% due 07/07/414		450,000		307,800
Flowserve Corp.
3.50% due 10/01/30		270,000		225,061
2.80% due 01/15/32		100,000		74,905
Owens Corning
3.88% due 06/01/30		320,000		284,332
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		350,000		268,782
Vontier Corp.
2.95% due 04/01/31		350,000		252,899
Weir Group plc
2.20% due 05/13/264		200,000		177,369
GATX Corp.
4.00% due 06/30/30		140,000		124,059
3.50% due 03/15/28		50,000		45,367
Berry Global, Inc.
1.57% due 01/15/26		50,000		44,541
Norfolk Southern Corp.
4.10% due 05/15/21		50,000		34,579
Total Industrial				5,333,281
Consumer, Cyclical - 2.9%
Marriott International, Inc.
4.63% due 06/15/30		340,000		317,259
3.50% due 10/15/32		204,000		169,700
2.85% due 04/15/31		170,000		137,663
2.75% due 10/15/33		100,000		76,291
Warnermedia Holdings, Inc.
4.28% due 03/15/324		400,000		329,506
5.14% due 03/15/524		200,000		145,393
Hyatt Hotels Corp.
5.63% due 04/23/25		220,000		218,302
6.00% due 04/23/30		190,000		185,863
Delta Air Lines, Inc.
7.00% due 05/01/254		367,000		375,052
Hilton Domestic Operating Company, Inc.
3.75% due 05/01/294		393,000		339,945
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		315,020		313,194
Choice Hotels International, Inc.
3.70% due 01/15/31		360,000		305,155
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		300,000		292,674
Ferguson Finance plc
4.65% due 04/20/324		200,000		182,013
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/304		143,000		115,803
3.88% due 01/15/284		55,000		49,200
United Airlines, Inc.
4.38% due 04/15/264		150,000		139,039
British Airways Class A Pass Through Trust
2.90% due 03/15/354		98,402		80,102
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		98,000		72,093
WMG Acquisition Corp.
3.00% due 02/15/314		50,000		39,955
Total Consumer, Cyclical				3,884,202
Communications - 2.5%
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		625,000		486,567
2.25% due 01/15/29		100,000		80,488
3.90% due 06/01/52		50,000		31,391
British Telecommunications plc
4.88% due 11/23/813,4		350,000		275,343
9.63% due 12/15/30		100,000		119,753
Level 3 Financing, Inc.
3.63% due 01/15/294		330,000		241,639
3.75% due 07/15/294		100,000		71,937
CSC Holdings LLC
4.13% due 12/01/304		200,000		141,166
3.38% due 02/15/314		200,000		130,427
Virgin Media Secured Finance plc
4.50% due 08/15/304		300,000		250,627
Cable One, Inc.
4.00% due 11/15/304		300,000		235,415
Paramount Global
4.95% due 05/19/50		320,000		232,774
Vodafone Group plc
4.13% due 06/04/813		250,000		185,553

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		200,000	$	174,821
Rogers Communications, Inc.
4.55% due 03/15/524		200,000		155,057
Altice France S.A.
5.13% due 07/15/294		200,000		149,949
Sirius XM Radio, Inc.
4.13% due 07/01/304		180,000		148,538
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		115,000		96,277
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		114,000		83,756
McGraw-Hill Education, Inc.
5.75% due 08/01/284		72,000		60,507
Lamar Media Corp.
3.63% due 01/15/31		70,000		57,871
Total Communications				3,409,856
Basic Materials - 1.2%
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		460,000		383,891
4.20% due 05/13/504		220,000		155,403
Anglo American Capital plc
5.63% due 04/01/304		200,000		198,547
2.63% due 09/10/304		200,000		162,537
Alcoa Nederland Holding BV
5.50% due 12/15/274		200,000		192,732
Minerals Technologies, Inc.
5.00% due 07/01/284		190,000		169,214
INEOS Quattro Finance 2 plc
3.38% due 01/15/264		150,000		137,813
Yamana Gold, Inc.
2.63% due 08/15/31		150,000		112,008
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		100,000		78,746
Valvoline, Inc.
4.25% due 02/15/304		50,000		48,506
Total Basic Materials				1,639,397
Energy - 1.2%
BP Capital Markets plc
4.88% 3,7		880,000		770,000
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/404		328,000		253,605
2.94% due 09/30/404		144,980		116,404
ITT Holdings LLC
6.50% due 08/01/294		248,000		208,851
Midwest Connector Capital Company LLC
4.63% due 04/01/294		110,000		99,373
NuStar Logistics, LP
5.63% due 04/28/27		100,000		93,506
Parkland Corp.
4.63% due 05/01/304		100,000		82,750
Total Energy				1,624,489
Technology - 1.2%
Broadcom, Inc.
4.93% due 05/15/374		277,000		241,645
2.45% due 02/15/314		300,000		236,286
4.15% due 11/15/30		206,000		184,607
3.19% due 11/15/364		26,000		18,675
Qorvo, Inc.
4.38% due 10/15/29		170,000		150,321
3.38% due 04/01/314		100,000		80,344
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		250,000		206,009
Leidos, Inc.
2.30% due 02/15/31		250,000		191,514
Oracle Corp.
3.95% due 03/25/51		250,000		178,110
Boxer Parent Company, Inc.
7.13% due 10/02/254		100,000		97,251
Twilio, Inc.
3.63% due 03/15/29		38,000		30,871
Total Technology				1,615,633
Utilities - 0.4%
AES Corp.
3.95% due 07/15/304		220,000		194,040
NRG Energy, Inc.
2.45% due 12/02/274		200,000		165,711
Enel Finance America LLC
2.88% due 07/12/414		200,000		119,976
Xcel Energy, Inc.
2.35% due 11/15/31		60,000		47,933
Total Utilities				527,660
Total Corporate Bonds
(Cost $53,282,555)				42,936,154
ASSET-BACKED SECURITIES†† - 20.9%
Collateralized Loan Obligations - 13.1%
Octagon Investment Partners 49 Ltd.
2021-5A B, 5.63% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,4		1,750,000		1,685,494
BXMT Ltd.
2020-FL2 AS, 5.59% (1 Month Term SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38◊,4		1,000,000		980,854
2020-FL3 C, 6.47% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,4		250,000		238,639
Woodmont Trust
2020-7A A1A, 5.98% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,4		1,000,000		990,965
Cerberus Loan Funding XXX, LP
2020-3A A, 5.93% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,4		1,000,000		978,179

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
ABPCI Direct Lending Fund CLO II LLC
2021-1A A1R, 5.84% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,4		1,000,000	$	963,444
Palmer Square Loan Funding Ltd.
2022-1A A2, 5.46% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,4		1,000,000		962,139
LCCM Trust
2021-FL3 A, 5.77% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,4		600,000		575,304
2021-FL3 AS, 6.12% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,4		400,000		376,988
LoanCore Issuer Ltd.
2019-CRE2 AS, 5.82% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,4		480,574		475,366
2021-CRE6 C, 6.62% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,4		500,000		471,654
Golub Capital Partners CLO 36M Ltd.
2018-36A A, 5.83% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,4		850,000		832,412
Dryden 37 Senior Loan Fund
2015-37A Q, due 01/15/314,8		1,000,000		777,266
STWD Ltd.
2019-FL1 B, 6.04% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38◊,4		750,000		733,269
Fortress Credit Opportunities XI CLO Ltd.
2018-11A A1T, 5.38% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,4		750,000		732,562
Golub Capital Partners CLO 33M Ltd.
2021-33A AR2, 6.62% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,4		750,000		698,640
Cerberus Loan Funding XXVI, LP
2021-1A AR, 5.58% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,4		500,000		492,636
THL Credit Lake Shore MM CLO I Ltd.
2021-1A A1R, 5.78% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,4		500,000		487,845
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A A1R, 5.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,4		500,000		486,850
ABPCI Direct Lending Fund CLO I LLC
2021-1A A1A2, 5.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,4		500,000		480,723
Golub Capital Partners CLO 16 Ltd.
2021-16A A1R2, 5.97% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,4		500,000		479,016
KREF
2021-FL2 C, 6.33% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,4		500,000		477,810
HERA Commercial Mortgage Ltd.
2021-FL1 B, 5.94% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,4		500,000		465,515
CHCP Ltd.
2021-FL1 C, 6.54% (1 Month Term SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38◊,4		500,000		463,436
Cerberus Loan Funding XXXIII, LP
2021-3A B, 5.93% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,4		500,000		458,029
Golub Capital Partners CLO 54M L.P
2021-54A C, 7.18% (3 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 08/05/33◊,4		500,000		457,084
Golub Capital Partners CLO 17 Ltd.
2017-17A A1R, 6.01% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,4		250,000		245,948
Cerberus Loan Funding XXXVI, LP
2021-6A A, 5.48% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,4		187,625		186,792
Treman Park CLO Ltd.
2015-1A COM, due 10/20/284,8		162,950		9,749
Copper River CLO Ltd.
2007-1A INC, due 01/20/21†††,8,9		600,000		235
Total Collateralized Loan Obligations				17,664,843
Transport-Aircraft - 1.9%
Lunar Structured Aircraft Portfolio Notes
2021-1, 2.64% due 10/15/464		437,114		350,373
AASET Trust
2021-1A, 2.95% due 11/16/414		410,914		328,209
WAVE LLC
2019-1, 3.60% due 09/15/444		405,249		306,593
JOL Air Ltd.
2019-1, 3.97% due 04/15/444		371,407		303,407
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		373,315		282,270
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		309,520		260,009
Sprite Ltd.
2021-1, 3.75% due 11/15/464		225,380		195,108

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Raspro Trust
2005-1A, 5.17% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,4		196,989	$	194,496
Navigator Aircraft ABS Ltd.
2021-1, 2.77% due 11/15/464		231,399		194,364
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/424		128,071		116,164
Total Transport-Aircraft				2,530,993
Whole Business - 1.7%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		977,500		826,150
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.72% due 06/05/494		495,000		451,102
Wingstop Funding LLC
2022-1A, 3.73% due 03/05/524		498,750		428,634
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/514		492,500		385,236
ServiceMaster Funding LLC
2020-1, 3.34% due 01/30/514		245,625		184,048
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/464		94,500		90,641
Total Whole Business				2,365,811
Net Lease - 1.7%
STORE Master Funding I-VII
2016-1A, 3.96% due 10/20/464		1,099,131		1,016,813
CF Hippolyta Issuer LLC
2022-1A, 6.11% due 08/15/624		246,686		231,662
2020-1, 2.28% due 07/15/604		227,075		198,186
Capital Automotive REIT
2021-1A, 2.76% due 08/15/514		499,271		369,737
CMFT Net Lease Master Issuer LLC
2021-1, 3.44% due 07/20/514		400,000		312,637
CARS-DB4, LP
2020-1A, 3.81% due 02/15/504		248,073		203,246
Total Net Lease				2,332,281
Financial - 1.1%
KKR Core Holding Company LLC
4.00% due 08/12/31†††		540,449		458,890
Madison Avenue Secured Funding Trust
2021-1, 5.07% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,4		450,000		450,000
Oxford Finance Funding
2020-1A, 3.10% due 02/15/284		224,550		222,068
Thunderbird A
5.50% due 03/01/37†††		150,092		146,339
Nassau LLC
2019-1, 3.98% due 08/15/344		150,593		143,247
Lightning A
5.50% due 03/01/37†††		146,745		143,077
Total Financial				1,563,621
Collateralized Debt Obligations - 0.8%
Anchorage Credit Funding 4 Ltd.
2021-4A AR, 2.72% due 04/27/394		750,000		639,337
Anchorage Credit Funding 3 Ltd.
2021-3A A1R, 2.87% due 01/28/394		450,000		393,408
Total Collateralized Debt Obligations				1,032,745
Single Family Residence - 0.3%
FirstKey Homes Trust
2020-SFR2, 4.50% due 10/19/374		150,000		133,120
2020-SFR2, 4.00% due 10/19/374		150,000		131,664
2020-SFR2, 3.37% due 10/19/374		100,000		86,649
Total Single Family Residence				351,433
Infrastructure - 0.2%
VB-S1 Issuer LLC - VBTEL
2022-1A, 4.29% due 02/15/524		250,000		219,378
SBA Tower Trust
6.56% due 01/15/284		55,000		55,086
Total Infrastructure				274,464
Transport-Container - 0.1%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/454		186,134		168,527
Total Asset-Backed Securities
(Cost $30,609,050)				28,284,718
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 17.9%
Residential Mortgage-Backed Securities - 7.7%
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/50◊,4		862,887		824,291
PRPM LLC
2022-1, 3.72% due 02/25/274,10		429,826		401,889
2021-5, 1.79% due 06/25/264,10		410,181		371,410
Legacy Mortgage Asset Trust
2021-GS3, 1.75% due 07/25/614,10		411,360		371,826
2021-GS5, 2.25% due 07/25/674,10		415,120		371,593
FKRT
2.21% due 11/30/58†††,9		750,000		719,910
Ameriquest Mortgage Securities Trust
2006-M3, 4.55% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36◊		2,068,908		673,963
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 4.51% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36◊		1,239,581		664,601
Securitized Asset-Backed Receivables LLC Trust 2007-BR2
2007-BR2, 4.57% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/37◊,4		639,558		533,812

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Home Equity Loan Trust
2007-FRE1, 4.58% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37◊		544,821	$	508,297
Towd Point Revolving Trust
4.83% due 09/25/649		500,000		481,300
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/60◊,4		486,194		464,560
BRAVO Residential Funding Trust
2022-R1, 3.13% due 01/29/704,10		482,709		427,529
Credit Suisse Mortgage Capital Certificates
2021-RPL9, 2.44% (WAC) due 02/25/61◊,4		440,617		403,976
OSAT Trust
2021-RPL1, 2.12% due 05/25/654,10		431,644		398,417
First Franklin Mortgage Loan Trust
2006-FF16, 4.81% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36◊		894,723		384,153
NovaStar Mortgage Funding Trust Series
2007-2, 4.59% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37◊		393,010		378,237
LSTAR Securities Investment Ltd.
2021-1, 5.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,9		230,243		205,305
2021-2, 5.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,9		174,797		171,819
Master Asset-Backed Securities Trust
2006-WMC4, 4.54% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36◊		1,129,305		362,105
NYMT Loan Trust
2022-SP1, 5.25% due 07/25/624,10		337,479		324,912
HarborView Mortgage Loan Trust
2006-14, 4.64% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 01/25/47◊		343,081		292,460
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/4711		1,775,815		209,264
Imperial Fund Mortgage Trust
2022-NQM2, 4.20% (WAC) due 03/25/67◊,4		187,301		166,075
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 2.89% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46◊		205,738		162,427
OBX Trust
2022-NQM9, 6.45% due 09/25/624,10		99,042		98,558
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		37,288		36,802
Morgan Stanley Re-REMIC Trust
2010-R5, 2.18% due 06/26/364		37,456		32,658
Total Residential Mortgage-Backed Securities				10,442,149
Government Agency - 7.4%
Uniform MBS 30 Year
due 02/01/232		8,680,000		8,136,424
Fannie Mae
3.83% due 05/01/49		1,000,000		846,441
2.41% due 12/01/41		1,000,000		681,612
Fannie Mae-Aces
1.47% (WAC) due 03/25/35◊,11		2,664,245		277,964
Total Government Agency				9,942,441
Commercial Mortgage-Backed Securities - 1.5%
BX Commercial Mortgage Trust
2022-LP2, 6.30% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,4		464,195		432,248
2021-VOLT, 6.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,4		350,000		325,489
GS Mortgage Securities Trust
2020-GC45, 0.67% (WAC) due 02/13/53◊,11		9,942,807		323,486
Extended Stay America Trust
2021-ESH, 6.57% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,4		244,048		233,641
Life Mortgage Trust
2021-BMR, 6.67% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,4		245,743		231,868
CFCRE Commercial Mortgage Trust
2016-C3, 0.98% (WAC) due 01/10/48◊,11		5,363,886		130,670
Wells Fargo Commercial Mortgage Trust
2016-NXS5, 1.42% (WAC) due 01/15/59◊,11		3,591,815		115,370
2015-NXS1, 2.63% due 05/15/48		5,823		5,810
Citigroup Commercial Mortgage Trust
2016-GC37, 1.65% (WAC) due 04/10/49◊,11		2,858,644		116,292
COMM Mortgage Trust
2015-CR26, 0.90% (WAC) due 10/10/48◊,11		5,724,212		110,274
Total Commercial Mortgage-Backed Securities				2,025,148
Military Housing - 1.3%
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52†††,4		923,527		914,227
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 4.49% (WAC) due 11/25/55◊,4		916,364		824,103
Total Military Housing				1,738,330
Total Collateralized Mortgage Obligations
(Cost $26,814,166)				24,148,068

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
U.S. GOVERNMENT SECURITIES†† - 15.0%
U.S. Treasury Notes
4.13% due 11/15/32		5,975,000	$	6,097,301
3.88% due 11/30/27		4,800,000		4,773,750
2.63% due 05/31/27		1,710,000		1,611,875
U.S. Treasury Bonds
due 11/15/5212,13		3,400,000		1,106,433
due 02/15/5212,13		3,180,000		1,022,082
due 02/15/4612,13		2,455,000		941,887
due 05/15/4412,13		2,145,000		880,396
due 11/15/4412,13		490,000		195,943
2.00% due 08/15/5115		4,500,000		2,946,445
1.88% due 11/15/51		1,050,000		665,027
Total U.S. Government Securities
(Cost $22,968,477)				20,241,139
SENIOR FLOATING RATE INTERESTS††,◊ - 3.6%
Consumer, Cyclical - 1.0%
MB2 Dental Solutions LLC
10.42% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		442,442		434,505
Zephyr Bidco Ltd.
8.21% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.44%) due 07/23/25		GBP 200,000		197,050
Pacific Bells LLC
9.34% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28		139,872		131,014
MB2 Dental Solutions LLC
10.42% (1 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		121,607		119,426
CNT Holdings I Corp.
7.24% (3 Month Term SOFR + 3.50%, Rate Floor: 4.25%) due 11/08/27		114,947		111,067
Mavis Tire Express Services TopCo Corp.
8.50% (1 Month Term SOFR + 4.00%, Rate Floor: 5.75%) due 05/04/28		113,384		107,958
BGIS (BIFM CA Buyer, Inc.)
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		110,144		104,912
SP PF Buyer LLC
8.88% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		146,947		96,021
New Trojan Parent, Inc.
7.55% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28		98,500		67,719
Total Consumer, Cyclical				1,369,672
Technology - 0.7%
Datix Bidco Ltd.
6.69% (6 Month GBP SONIA + 4.50%, Rate Floor: 5.19%) due 04/28/25†††		GBP 300,000		354,219
Planview Parent, Inc.
8.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		227,550		210,686
RLDatix
8.95% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 04/27/25†††		129,574		126,554
Peraton Corp.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		108,735		105,994
Dun & Bradstreet
7.64% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26		95,092		94,057
Apttus Corp.
8.66% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28		35,572		33,171
Total Technology				924,681
Consumer, Non-cyclical - 0.5%
Quirch Foods Holdings LLC
8.99% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††		197,481		179,708
Mission Veterinary Partners
7.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28†††		148,125		131,831
Southern Veterinary Partners LLC
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		123,695		118,232
HAH Group Holding Co. LLC
9.43% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27		82,332		78,318
National Mentor Holdings, Inc.
8.33% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		93,901		65,365
Del Monte Foods, Inc.
8.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 05/16/29		66,410		64,355
Elanco Animal Health, Inc.
5.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		64,908		62,221
Total Consumer, Non-cyclical				700,030
Industrial - 0.5%
Mileage Plus Holdings LLC
10.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		225,000		231,131
American Bath Group LLC
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27		171,874		150,081
TransDigm, Inc.
6.98% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		126,734		125,033
Air Canada
8.13% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		94,479		93,180
Service Logic Acquisition, Inc.
8.41% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		35,750		33,783
Total Industrial				633,208

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount~		Value
Financial - 0.4%
Higginbotham Insurance Agency, Inc.
9.63% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 11/25/26†††		236,977	$	230,081
Jane Street Group LLC
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		168,038		162,838
HighTower Holding LLC
8.28% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		148,125		135,287
Trans Union LLC
6.63% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28		42,104		41,637
Duff & Phelps
8.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		32,840		30,613
Total Financial				600,456
Communications - 0.2%
Syndigo LLC
8.84% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27		180,853		162,768
Authentic Brands
7.92% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 12/21/28		143,508		138,665
Total Communications				301,433
Utilities - 0.1%
Hamilton Projects Acquiror LLC
9.23% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27		123,223		121,118
Basic Materials - 0.1%
Illuminate Buyer LLC
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		63,448		60,650
GrafTech Finance, Inc.
7.38% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		47,905		47,306
Total Basic Materials				107,956
Energy - 0.1%
ITT Holdings LLC
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		96,775		95,323
Total Senior Floating Rate Interests
(Cost $5,238,061)				4,853,877
FEDERAL AGENCY BONDS†† - 1.3%
Tennessee Valley Authority
4.25% due 09/15/65		1,000,000		861,187
5.38% due 04/01/56		750,000		789,681
Tennessee Valley Authority Principal Strips
due 01/15/4812,13		500,000		134,171
Total Federal Agency Bonds
(Cost $2,556,960)				1,785,039
MUNICIPAL BONDS†† - 0.8%
New York - 0.2%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		300,000		207,009
Port Authority of New York & New Jersey Revenue Bonds
3.14% due 02/15/51		275,000		194,565
Total New York				401,574
Texas - 0.3%
City of San Antonio Texas Electric & Gas Systems Revenue Bonds
2.91% due 02/01/48		500,000		351,917
Illinois - 0.3%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		355,556		348,226
Total Municipal Bonds
(Cost $1,436,552)				1,101,717
COMMERCIAL PAPER†† - 1.9%
McKesson Corp.
4.67% due 01/06/234,14		1,510,000		1,509,021
McCormick & Co, Inc.
4.25% due 01/03/234,14		600,000		599,858
Dollar General Corp.
4.45% due 01/03/234,14		430,000		429,894
Total Commercial Paper
(Cost $2,538,773)				2,538,773

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

	Contracts/ Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.1%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10	USD	3,900,000	$	14,533
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	3,900,000		14,533
Morgan Stanley Capital Services LLC 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	3,900,000		16,529
Barclays Bank plc 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	3,850,000		16,317
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	1,950,000		8,264
Bank of America, N.A. 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	1,900,000		8,052
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10	USD	1,600,000		6,781
Goldman Sachs International 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20	USD	1,600,000		5,962
Total OTC Options Purchased
(Cost $96,418)				90,971
Total Investments - 105.8%
(Cost $164,835,407)			$	142,899,723
Other Assets & Liabilities, net - (5.8)%				(7,833,488	)
Total Net Assets - 100.0%			$	135,066,235

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Interest Rate Futures Contracts Purchased†
3-Month SOFR Futures Contracts		35		Mar 2024	$	8,351,438	$	(22,377	)

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value			Upfront Premiums Paid		Unrealized Depreciation**
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	3.45%		Annually	09/26/32		$	1,700,000	$	(15,160	)	$	305	$	(15,465	)
BofA Securities, Inc.	CME	Pay	U.S. Secured Overnight Financing Rate	2.78%		Annually	07/18/27			9,000,000		(377,477	)		209		(377,686	)
											$	(392,637	)	$	514	$	(393,151	)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

Barclays Bank plc

GBP

Sell

466,000

577,495 USD

01/17/23

$

13,935

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at December 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Security is unsettled and does not have stated effective rate.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $60,394,627 (cost $68,838,023), or 44.7% of total net assets.
5	Affiliated issuer.
6	Rate indicated is the 7-day yield as of December 31, 2022.
7	Perpetual maturity.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
9	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $1,578,569 (cost $1,655,033), or 1.2% of total net assets — See Note 9.
10	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at December 31, 2022. See table below for additional step information for each security.
11	Security is an interest-only strip.
12	Zero coupon rate security.
13	Security is a principal-only strip.
14	Rate indicated is the effective yield at the time of purchase.
15	All or a portion of this security is pledged as interest rate swap collateral at December 31, 2022.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	REIT — Real Estate Investment Trust
	SOFR — Secured Overnight Financing Rate
	SONIA — Sterling Overnight Index Average
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	254,962	$	30,060	$	7	$	285,029
Preferred Stocks		—		6,212,275		—		6,212,275
Warrants		649		40		—		689
Mutual Funds		5,884,003		—		—		5,884,003
Money Market Fund		4,537,271		—		—		4,537,271
Corporate Bonds		—		42,591,554		344,600		42,936,154
Asset-Backed Securities		—		27,086,177		1,198,541		28,284,718
Collateralized Mortgage Obligations		—		22,513,931		1,634,137		24,148,068
U.S. Government Securities		—		20,241,139		—		20,241,139
Senior Floating Rate Interests		—		3,277,553		1,576,324		4,853,877
Federal Agency Bonds		—		1,785,039		—		1,785,039
Municipal Bonds		—		1,101,717		—		1,101,717
Commercial Paper		—		2,538,773		—		2,538,773
Options Purchased		—		90,971		—		90,971
Forward Foreign Currency Exchange Contracts**		—		13,935		—		13,935
Total Assets	$	10,676,885	$	127,483,164	$	4,753,609	$	142,913,658

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Interest Rate Futures Contracts**	$	22,377	$	—	$	—	$	22,377
Interest Rate Swap Agreements**		—		393,151		—		393,151
Unfunded Loan Commitments (Note 8)		—		—		1,569		1,569
Total Liabilities	$	22,377	$	393,151	$	1,569	$	417,097

** 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 December 31, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	748,306	Yield Analysis		Yield		6.2%-6.8%		6.6%
Asset-Backed Securities		450,000	Third Party Pricing		Broker Quote		—		—
Asset-Backed Securities		235	Model Price		Purchase Price		—		—
Collateralized Mortgage Obligations		914,227	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Collateralized Mortgage Obligations		719,910	Model Price		Market Comparable Yields		7.7%		—
Common Stocks		7	Model Price		Liquidation Value		—		—
Corporate Bonds		344,600	Option adjusted spread off prior month end broker quote		Broker Quote		—		—
Senior Floating Rate Interests		1,264,785	Yield Analysis		Yield		10.2%-10.9%		10.6%
Senior Floating Rate Interests		311,539	Third Party Pricing		Broker Quote		—		—
Total Assets	$	4,753,609
Liabilities:
Unfunded Loan Commitments	$	1,569	Model Price		Purchase Price		—		—

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

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

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

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

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended December 31, 2022, the Fund had securities with a total value of $582,073 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $1,764,142 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2022:

	Assets																	Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Common Stocks		Total Assets			Unfunded Loan Commitments
Beginning Balance	$	357,878		$	2,953,298		$	2,552,806		$	1,609,782		$	—	$	7,473,764		$	(4,803	)
Purchases/(Receipts)		736,837			—			—			660,774			—		1,397,611			4,200
(Sales, maturities and paydowns)/Fundings		(259,551	)		(24,262	)		(1,081,161	)		(384,973	)		—		(1,749,947	)		422
Amortization of premiums/discounts		—			(6,486	)		—			2,801			—		(3,685	)		(1,227	)
Total realized gains (losses) included in earnings		—			—			(218,838	)		(10,882	)		—		(229,720	)		292
Total change in unrealized appreciation (depreciation) included in earnings		(86,858	)		(464,310	)		(302,098	)		(99,079	)		—		(952,345	)		(453	)
Transfers into Level 3		450,235			—			—			131,831			7		582,073			—
Transfers out of Level 3		—			(824,103	)		(606,109	)		(333,930	)		—		(1,764,142	)		—
Ending Balance	$	1,198,541		$	1,634,137		$	344,600		$	1,576,324		$	7	$	4,753,609		$	(1,569	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2022	$	(86,712	)	$	(209,459	)	$	(149,727	)	$	(76,459	)	$	—	$	(522,357	)	$	(760	)

Step Coupon Bonds

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

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2022-R1, 3.13% due 01/29/70		6.13	%		01/30/25		—			—
Legacy Mortgage Asset Trust 2021-GS3, 1.75% due 07/25/61		4.75	%		05/26/24		5.75	%		05/26/25
Legacy Mortgage Asset Trust 2021-GS5, 2.25% due 07/25/67		5.25	%		11/26/24		6.25	%		11/26/25
NYMT Loan Trust 2022-SP1, 5.25% due 07/25/62		8.25	%		07/01/25		9.25	%		07/01/26
OBX Trust 2022-NQM9, 6.45% due 09/25/62		7.45	%		11/01/26		—			—
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		5.12	%		06/26/24		6.12	%		06/26/25
PRPM LLC 2022-1, 3.72% due 02/25/27		6.72	%		02/25/25		7.72	%		02/25/26
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES E (TOTAL RETURN BOND SERIES)

Affiliated Transactions

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

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Total Return Bond Fund — R6-Class	$	6,967,697	$	238,606	$	—	$	—	$	(1,322,300	)	$	5,884,003		253,512	$	238,084

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

SERIES E (TOTAL RETURN BOND SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $158,105,293)	$	137,015,720
Investments in affiliated issuers, at value (cost $6,730,114)		5,884,003
Cash		882,773
Segregated cash with broker		26,183
Unamortized upfront premiums paid on interest rate swap agreements		514
Unrealized appreciation on forward foreign currency exchange contracts		13,935
Prepaid expenses		4,639
Receivables:
Interest		925,295
Securities sold		444,697
Fund shares sold		120,346
Dividends		25,160
Foreign tax reclaims		1,518
Total assets		145,344,783
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $809)		1,569
Foreign currency, at value (proceeds $2)		2
Payable for:
Securities purchased		9,110,592
Fund shares redeemed		997,999
Management fees		39,178
Distribution and service fees		28,291
Variation margin on interest rate swap agreements		7,136
Variation margin on futures contracts		6,125
Fund accounting/administration fees		4,005
Transfer agent/maintenance fees		2,084
Trustees’ fees*		559
Miscellaneous		81,008
Total liabilities		10,278,548
Net assets	$	135,066,235
Net assets consist of:
Paid in capital	$	159,663,743
Total distributable earnings (loss)		(24,597,508	)
Net assets	$	135,066,235
Capital shares outstanding		9,671,737
Net asset value per share	$	13.97

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	177,996
Dividends from securities of affiliated issuers		238,084
Interest (net of foreign withholding tax of $2,777)		6,113,757
Total investment income		6,529,837
Expenses:
Management fees		579,896
Distribution and service fees		370,787
Transfer agent/maintenance fees		25,228
Interest expense		127,685
Fund accounting/administration fees		89,509
Professional fees		84,053
Custodian fees		22,444
Trustees’ fees*		11,979
Line of credit fees		9,613
Miscellaneous		20,732
Total expenses		1,341,926
Less:
Expenses waived by Adviser		(76,067	)
Earnings credits applied		(2,171	)
Total waived expenses		(78,238	)
Net expenses		1,263,688
Net investment income		5,266,149
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(6,168,757	)
Investments sold short		292
Swap agreements		(708,205	)
Options purchased		510,118
Options written		(225,076	)
Forward foreign currency exchange contracts		89,353
Foreign currency transactions		(1,007	)
Net realized loss		(6,503,282	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(24,960,927	)
Investments in affiliated issuers		(1,322,300	)
Swap agreements		(246,347	)
Futures contracts		(22,377	)
Options purchased		24,833
Options written		(2,596	)
Forward foreign currency exchange contracts		(12,437	)
Foreign currency translations		(14	)
Net change in unrealized appreciation (depreciation)		(26,542,165	)
Net realized and unrealized loss		(33,045,447	)
Net decrease in net assets resulting from operations	$	(27,779,298	)

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

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

SERIES E (TOTAL RETURN BOND SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,266,149		$	4,295,792
Net realized gain (loss) on investments		(6,503,282	)		2,645,106
Net change in unrealized appreciation (depreciation) on investments		(26,542,165	)		(7,755,610	)
Net decrease in net assets resulting from operations		(27,779,298	)		(814,712	)
Distributions to shareholders		(4,733,547	)		(7,668,530	)
Capital share transactions:
Proceeds from sale of shares		30,323,241			44,222,719
Distributions reinvested		4,733,547			7,668,530
Cost of shares redeemed		(41,680,379	)		(46,308,753	)
Net increase (decrease) from capital share transactions		(6,623,591	)		5,582,496
Net decrease in net assets		(39,136,436	)		(2,900,746	)
Net assets:
Beginning of year		174,202,671			177,103,417
End of year	$	135,066,235		$	174,202,671
Capital share activity:
Shares sold		1,979,951			2,514,664
Shares issued from reinvestment of distributions		323,330			441,990
Shares redeemed		(2,743,296	)		(2,633,591	)
Net increase (decrease) in shares		(440,015	)		323,063

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	17.23		$	18.09		$	16.13		$	15.85		$	16.40
Income (loss) from investment operations:
Net investment income (loss)a		.53			.44			.39			.38			.46
Net gain (loss) on investments (realized and unrealized)		(3.29	)		(.51	)		1.88			.34			(.29	)
Total from investment operations		(2.76	)		(.07	)		2.27			.72			.17
Less distributions from:
Net investment income		(.46	)		(.30	)		(.31	)		(.44	)		(.72	)
Net realized gains		(.04	)		(.49	)		—			—			—
Total distributions		(.50	)		(.79	)		(.31	)		(.44	)		(.72	)
Net asset value, end of period	$	13.97		$	17.23		$	18.09		$	16.13		$	15.85
Total Returnb		(16.15	%)		(0.43	%)		14.21	%		4.49	%		1.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	135,066		$	174,203		$	177,103		$	128,209		$	122,850
Ratios to average net assets:
Net investment income (loss)		3.54	%		2.51	%		2.27	%		2.33	%		2.85	%
Total expensesc		0.90	%		0.85	%		0.88	%		0.94	%		0.92	%
Net expensesd,e,f		0.85	%		0.78	%		0.78	%		0.78	%		0.78	%
Portfolio turnover rate		51	%		84	%		123	%		54	%		30	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.00%*

* Less than 0.01%.

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.76%	0.78%	0.77%	0.77%	0.77%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series F (Floating Rate Strategies Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -0.85%, outperforming the Credit Suisse Leveraged Loan Index (“Index”), the Fund’s benchmark, which returned -1.06% for the same period.

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

Leveraged credit finished the Reporting Period with positive returns in the fourth quarter, closing out a choppy and generally negative year for the asset class. The Index significantly outperformed comparable indexes for high-yield and investment-grade bonds, as well as the S&P 500, due to the floating rate coupon of its components providing insulation from rate moves.

For the Reporting Period, loan issuance hit a 12-year low at $226 billion, -63% from 2021’s record levels, as market volatility and rising new issue yields discouraged many prospective issuers from tapping the market. On the demand side, collateralized loan obligations (“CLO”) issuance of $128 billion for the year was robust, in line with 2018 for the second highest year on record besides 2021. Retail flows were down -$13.5 billion for 2022. For the Reporting Period, measurable demand (CLO issuance and net retail flows) exceeded net supply (new issuance less refinancing volume) by $52.2 billion, as CLO issuance outpaced sluggish supply.

The primary driver of relative return for the Reporting Period was credit selection, namely in B and CCC credits (or, said differently, in avoiding of some of the worst-performing names in the benchmark). From a sector point of view, credit selection in the Consumer Non-Cyclicals, Consumer Cyclicals, and Capital Goods sectors were the strongest segments on a relative basis to the benchmark, although an overweight to Consumer Non-Cyclicals slightly detracted from performance. By rating, the Fund had an up-in-quality bias for the Reporting Period, underweight the CCC and defaulted issuer segments, which both also contributed to performance.

How did the Fund use derivatives during the Reporting Period?

The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had a positive impact on performance for the Reporting Period.

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

If defaults continue to rise, loan market spreads will likely widen further from current elevated levels, presenting a market that is oversold relative to the underlying fundamentals. We think this could pose an interesting opportunity to add credits selectively that we view as trading cheap relative to their underlying fundamentals, albeit with continued caution regarding cyclical businesses with higher leverage.

The portfolio remains positioned up in quality, underweight the benchmark in both CCCs and in exposure to distressed issuers (names trading below 80). We remain focused on the secondary given the slow start to primary volume in 2023 but will seek to take advantage of new issues if and when volume picks up.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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)
SPDR Blackstone Senior Loan ETF	3.6%
Reynolds Group Holdings, Inc., 7.63%	1.0%
Agiliti, 6.88%	1.0%
White Cap Supply Holdings LLC, 8.07%	1.0%
AmWINS Group, Inc., 6.63%	1.0%
Station Casinos LLC, 6.64%	1.0%
TransDigm, Inc., 6.98%	1.0%
Diamond BC BV, 7.16%	1.0%
HUB International Ltd., 7.33%	1.0%
KDC US Holdings, Inc., 8.13%	1.0%
Top Ten Total	12.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	Since Inception (04/24/13)
Series F (Floating Rate Strategies Series)	(0.85%)	1.64%	2.64%
Credit Suisse Leveraged Loan Index	(1.06%)	3.24%	3.59%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
BBB	8.0%
BB	28.0%
B	53.0%
CCC	1.4%
NR2	0.2%
Other Instruments	9.4%
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.
1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Shares		Value
COMMON STOCKS††† - 0.0%
Industrial - 0.0%
BP Holdco LLC*,1		11,609	$	7,040
Vector Phoenix Holdings, LP*		11,609		2,774
API Heat Transfer Parent LLC*		292,731		29
Total Industrial				9,843
Total Common Stocks
(Cost $88,564)				9,843
PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
API Heat Transfer Intermediate*		36		—
Total Preferred Stocks
(Cost $28,949)				—
EXCHANGE-TRADED FUNDS† - 3.6%
SPDR Blackstone Senior Loan ETF		41,700		1,705,530
Total Exchange-Traded Funds
(Cost $1,760,867)				1,705,530
MONEY MARKET FUND† - 6.1%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 3.82%2		2,964,932		2,964,932
Total Money Market Fund
(Cost $2,964,932)				2,964,932

	Face Amount~
SENIOR FLOATING RATE INTERESTS††,◊ - 93.4%
Industrial - 22.5%
Reynolds Group Holdings, Inc.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26		490,000	483,414
White Cap Supply Holdings LLC
8.07% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 10/19/27		498,744	481,467
TransDigm, Inc.
6.98% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		483,769	478,065
Brown Group Holding LLC
6.88% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 06/07/28		480,363	470,823
TricorBraun Holdings, Inc.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		494,045	470,321
Arcline FM Holdings LLC
9.48% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28		478,938	454,191
Cushman & Wakefield US Borrower LLC
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		439,824	428,987
Anchor Packaging LLC
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/18/26		448,837	428,078
Atlantic Aviation
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/22/28		398,992	392,944
Hunter Douglas, Inc.
7.86% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/26/29		447,750	392,180
PECF USS Intermediate Holding III Corp.
8.63% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28		466,082	387,300
Park River Holdings, Inc.
6.99% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		444,343	387,134
LTI Holdings, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25		386,908	369,617
Engineered Machinery Holdings, Inc.
8.48% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/19/28		346,500	334,806
FCG Acquisitions, Inc
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/31/28		344,127	326,490
WP CPP Holdings LLC
8.17% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/30/25		369,756	320,368
STS Operating, Inc. (SunSource)
8.63% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		297,133	282,895
Charter Next Generation, Inc.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		280,185	271,693
Summit Materials LLC
7.61% (3 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 12/09/27		260,000	259,675
Savage Enterprises LLC
due 09/15/28		250,000	247,500
BWAY Holding Co.
7.37% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		251,452	245,201
USIC Holding, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28		248,371	236,618
Aegion Corp.
9.13% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28		248,115	230,953
Pelican Products, Inc.
8.71% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28		245,362	218,372
American Bath Group LLC
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/23/27		247,307	215,948
Gates Global LLC
7.82% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 11/16/29		209,475	207,642

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount~		Value
Pro Mach Group, Inc.
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		198,056	$	192,312
DG Investment Intermediate Holdings 2, Inc.
7.82% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28		197,007		188,141
Titan Acquisition Ltd. (Husky)
8.15% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		190,499		177,551
API Heat Transfer
14.67% (3 Month USD LIBOR) (in-kind rate was 14.67%) due 01/01/24†††,3		229,132		116,857
14.67% (3 Month USD LIBOR) (in-kind rate was 14.67%) due 10/02/23†††,3		40,880		34,748
Berlin Packaging LLC
7.91% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/13/28		148,125		142,224
Mileage Plus Holdings LLC
10.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		135,450		139,141
US Farathane LLC
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24		148,206		133,386
Griffon Corporation
7.01% ((3 Month Term SOFR + 2.50%) and (Commercial Prime Lending Rate + 1.50%), Rate Floor: 3.00%) due 01/24/29		123,500		121,108
Air Canada
8.13% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		99,500		98,132
CPG International LLC
6.92% (6 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 04/28/29		100,000		97,000
DXP Enterprises, Inc.
9.95% (6 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 12/23/27		99,746		94,634
TK Elevator Midco GmbH
6.87% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		97,772		93,923
Protective Industrial Products, Inc.
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27		99,244		90,312
United Airlines, Inc.
8.11% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		79,814		78,661
Osmose Utility Services, Inc.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28		73,385		69,546
Total Industrial				10,890,358
Consumer, Non-cyclical - 19.2%
Agiliti
6.88% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/04/26		494,859		481,869
KDC US Holdings, Inc.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 12/22/25		494,859		476,405
Medline Borrower LP
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 10/23/28		496,250		470,931
Medical Solutions Parent Holdings, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/01/28		496,630		464,245
Bombardier Recreational Products, Inc.
6.38% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		477,021		460,922
Grifols Worldwide Operations USA, Inc.
6.38% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27		465,476		449,379
VC GB Holdings I Corp.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28		495,000		444,881
Elanco Animal Health, Inc.
5.87% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		453,893		435,097
Froneri US, Inc.
6.63% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		397,024		385,720
Resonetics LLC
8.41% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28		396,985		377,136
US Foods, Inc.
6.38% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/14/26		375,375		371,107
Triton Water Holdings, Inc.
8.23% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28		394,001		365,041
Hearthside Group Holdings LLC
8.07% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25		378,327		334,630
National Mentor Holdings, Inc.
8.33% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		425,298		296,054
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		17,906		12,465
IQVIA Holdings, Inc.
6.48% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25		250,000		248,595
Perrigo Investments LLC
6.92% (1 Month Term SOFR + 2.50%, Rate Floor: 3.00%) due 04/20/29		248,750		246,884
Del Monte Foods, Inc.
8.67% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 05/16/29		250,000		242,265
Mamba Purchaser, Inc.
7.89% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 10/16/28		249,372		237,631

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount~		Value
HAH Group Holding Co. LLC
9.43% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 10/29/27		248,735	$	236,608
Energizer Holdings, Inc.
6.63% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		241,143		236,019
Kronos Acquisition Holdings, Inc.
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		246,492		233,860
Dermatology Intermediate Holdings III, Inc.
8.57% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29†††		234,777		228,321
Mission Veterinary Partners
7.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28†††		246,875		219,719
Reynolds Consumer Products LLC
6.13% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/04/27		220,468		218,435
Sigma Holding BV (Flora Food)
5.90% (6 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/02/25		238,750		215,443
Weber-Stephen Products LLC
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27		248,455		208,702
Chefs’ Warehouse, Inc.
9.17% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 08/23/29		199,500		197,256
Osmosis Holdings Australia II Pty Ltd.
7.97% (1 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 07/30/28		99,500		93,572
7.84% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 07/31/28		84,972		79,874
8.09% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/31/28		7,389		6,946
Pearl Intermediate Parent LLC
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 02/14/25		148,087		138,765
TGP Holdings LLC
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		107,195		85,220
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		6,982		5,551
Endo Luxembourg Finance Company I SARL
13.50% (Commercial Prime Lending Rate + 6.00%, Rate Floor: 7.75%) due 03/27/28		98,750		78,753
Aveanna Healthcare LLC
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 07/17/28		11,292		8,780
Total Consumer, Non-cyclical				9,293,081
Consumer, Cyclical - 16.0%
Station Casinos LLC
6.64% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.50%) due 02/08/27		493,579		480,983
Fertitta Entertainment LLC
8.32% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29		497,494		472,062
Stars Group (Amaya)
6.98% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		444,375		437,523
Packers Holdings LLC
7.54% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		497,510		433,147
First Brands Group LLC
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 7.00%) due 03/30/27		442,372		417,599
Dealer Tire, LLC
8.82% (1 Month Term SOFR + 4.50%, Rate Floor: 0.50%) due 12/14/27		415,625		409,598
American Tire Distributors, Inc.
10.61% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28		447,750		407,452
Power Solutions (Panther)
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		400,000		391,168
1011778 BC Unlimited Liability Co.
6.14% ((1 Month USD LIBOR + 1.75%) and (3 Month USD LIBOR + 1.75%), Rate Floor: 1.75%) due 11/19/26		363,676		356,857
PetSmart LLC
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		345,625		337,524
Hilton Worldwide Finance LLC
6.17% (1 Month Term SOFR + 1.75%, Rate Floor: 2.75%) due 06/22/26		250,000		249,005
PCI Gaming Authority, Inc.
6.88% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/29/26		250,000		248,125
Petco Health And Wellness Company, Inc.
8.09% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/03/28		254,353		246,590
Congruex Group LLC
9.99% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29		248,750		241,288
Thevelia US LLC
8.73% (3 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 06/18/29		248,750		240,044
Scientific Games Holdings, LP
7.10% (3 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 04/04/29		249,375		237,412
BGIS (BIFM CA Buyer, Inc.)
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		248,711		236,898
CCRR Parent, Inc.
8.14% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28		249,365		236,792
Galaxy US Opco, Inc.
9.07% (1 Month Term SOFR + 4.75%, Rate Floor: 5.25%) due 04/30/29		250,000		225,625

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount~		Value
Eagle Parent Corp.
8.83% (3 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 04/02/29		223,313	$	218,846
Eyemart Express LLC
5.00% (1 Month USD LIBOR + 3.00%, Rate Floor: 4.00%) due 08/31/27		250,000		212,500
New Trojan Parent, Inc.
7.55% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28		248,737		171,007
Go Daddy Operating Company LLC
7.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 11/09/29		150,000		149,604
Mavis Tire Express Services TopCo Corp.
8.50% (1 Month Term SOFR + 4.00%, Rate Floor: 5.75%) due 05/04/28		147,750		140,679
Michaels Stores, Inc.
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 04/14/28		161,033		138,579
Entain Holdings (Gibraltar) Ltd.
8.18% (3 Month Term SOFR + 3.60%, Rate Floor: 0.50%) due 10/31/29		100,000		99,417
Rent-A-Center, Inc.
7.69% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		98,250		94,443
WIRB - Copernicus Group, Inc.
8.38% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27		98,734		89,354
WW International, Inc.
7.89% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28		94,500		53,392
EG Finco Ltd.
8.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25		37,184		35,023
Total Consumer, Cyclical				7,708,536
Financial - 11.1%
AmWINS Group, Inc.
6.63% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28		490,745		481,391
HUB International Ltd.
7.33% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.15%) due 04/25/25		482,323		476,497
NFP Corp.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		480,500		458,791
Trans Union LLC
6.13% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/13/26		439,150		432,484
FleetCor Technologies Operating Company LLC
6.13% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/28/28		394,992		390,426
Virtu Financial
7.42% (1 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 01/13/29		400,000		388,600
Teneo Holdings LLC
9.67% (1 Month Term SOFR + 5.25%, Rate Floor: 6.25%) due 07/11/25		382,038		366,757
Jane Street Group LLC
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		278,274		269,665
Focus Financial Partners, LLC
7.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 06/30/28		249,375		246,051
Claros Mortgage Trust, Inc.
8.92% (1 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/10/26		248,744		245,324
Citadel Securities, LP
6.94% (1 Month Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28		246,250		241,140
Apollo Commercial Real Estate Finance, Inc.
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/15/26		249,354		238,133
Aretec Group, Inc.
8.67% (1 Month Term SOFR + 4.25%, Rate Floor: 5.25%) due 10/01/25		240,000		234,120
USI, Inc.
8.33% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 11/22/29		209,421		207,178
Apex Group Treasury LLC
9.33% (1 Month Term SOFR + 5.00%, Rate Floor: 5.50%) due 07/27/28		200,000		194,000
Franchise Group, Inc.
8.69% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		199,776		191,785
Starwood Property Mortgage LLC
7.57% (1 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 11/18/27		123,000		120,963
Blackstone Mortgage Trust, Inc.
7.82% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 05/09/29†††		99,500		97,261
Duff & Phelps
8.07% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 04/09/27		99,237		92,508
Total Financial				5,373,074
Communications - 11.0%
CSC Holdings LLC
due 01/17/28		691,578		649,406
WMG Acquisition Corp.
6.51% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28		450,000		444,186
SFR Group S.A.
7.77% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26		471,438		435,688
Playtika Holding Corp.
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		444,361		423,303
Ziggo Financing Partnership
6.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		400,000		389,376

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount~		Value
Telenet Financing USD LLC
6.32% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		400,000	$	388,600
Level 3 Financing, Inc.
6.13% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		387,478		370,526
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		345,625		324,563
Zayo Group Holdings, Inc.
7.38% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		401,527		324,116
Virgin Media Bristol LLC
6.82% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		250,406		245,846
SBA Senior Finance II LLC
6.14% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/11/25		245,863		244,771
Internet Brands, Inc.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/13/24		242,218		234,985
Xplornet Communications, Inc.
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28		296,250		229,099
Flight Bidco, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		248,701		228,417
Radiate Holdco LLC
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/25/26		248,744		201,147
Cengage Learning Acquisitions, Inc.
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		205,952		184,778
Total Communications				5,318,807
Technology - 9.3%
Emerald TopCo, Inc. (Press Ganey)
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		500,533		457,362
Boxer Parent Company, Inc.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		463,433		442,949
Athenahealth Group, Inc.
7.82% (1 Month Term SOFR + 3.50%, Rate Floor: 4.00%) due 02/15/29		425,399		383,012
due 02/15/29		18,116		18,047
Polaris Newco LLC
8.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		321,958		293,098
Peraton Corp.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		289,384		282,088
Conair Holdings LLC
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		326,768		273,260
Entegris, Inc.
7.52% ((1 Month Term SOFR + 3.00%) and (3 Month Term SOFR + 3.00%), Rate Floor: 3.00%) due 07/06/29		250,000		249,062
Navicure, Inc.
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26		249,359		244,579
Atlas CC Acquisition Corp.
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		289,507		242,566
Imprivata, Inc.
8.57% (1 Month Term SOFR + 4.25%, Rate Floor: 4.75%) due 12/01/27		248,750		239,345
Ascend Learning LLC
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/11/28		247,500		233,578
CoreLogic, Inc.
7.94% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 06/02/28		272,548		226,555
VT TopCo, Inc.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25		233,202		225,430
Sabre GLBL, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27		147,750		134,084
9.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.50%) due 06/30/28		90,046		82,787
Project Ruby Ultimate Parent Corp.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		196,500		185,376
Park Place Technologies, LLC
9.42% (1 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 11/10/27		174,114		163,594
CDK Global, Inc.
9.08% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 07/06/29		100,000		98,977
DCert Buyer, Inc.
8.70% (6 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/16/26		29,923		28,865
Total Technology				4,504,614
Basic Materials - 3.4%
Diamond BC BV
7.16% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 09/29/28		495,000		477,675
Messer Industries USA, Inc.
7.23% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26		410,001		405,901
CTEC III GmbH
5.70% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/16/29		EUR 400,000		402,031

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount~		Value
INEOS Ltd.
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26		147,750	$	144,906
Axalta Coating Systems Dutch Holding B B.V.
7.51% (3 Month Term SOFR + 3.00%, Rate Floor: 3.50%) due 12/07/29		100,000		100,000
W.R. Grace Holdings LLC
8.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 09/22/28		99,000		96,958
Total Basic Materials				1,627,471
Energy - 0.5%
TransMontaigne Operating Company LP
7.87% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 11/17/28		248,744		243,458
Utilities - 0.4%
UGI Energy Services, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/13/26		99,742		99,261
Granite Generation LLC
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26		85,786		83,145
Total Utilities				182,406
Total Senior Floating Rate Interests
(Cost $47,356,137)				45,141,805
Total Investments - 103.1%
(Cost $52,199,449)			$	49,822,110
Other Assets & Liabilities, net - (3.1)%				(1,483,292	)
Total Net Assets - 100.0%			$	48,338,818

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Depreciation

Barclays Bank plc

EUR

Sell

388,000

413,354 USD

01/17/23

$

(2,596

)

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs,unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at December 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of December 31, 2022.
3	Payment-in-kind security.
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	—	$	—	$	9,843		$	9,843
Preferred Stocks		—		—		—	*		—
Exchange-Traded Funds		1,705,530		—		—			1,705,530
Money Market Fund		2,964,932		—		—			2,964,932
Senior Floating Rate Interests		—		44,444,899		696,906			45,141,805
Total Assets	$	4,670,462	$	44,444,899	$	706,749		$	49,822,110

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	2,596	$	—	$	2,596
Unfunded Loan Commitments (Note 8)		—		—		7,934		7,934
Total Liabilities	$	—	$	2,596	$	7,934	$	10,530

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

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

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

Category	Ending Balance at December 31, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Common Stocks	$	9,814	Enterprise Value		Valuation Multiple		2.7x-11.8x		5.3x
Common Stocks		29	Model Price		Liquidation Value		—		—
Senior Floating Rate Interests		151,605	Model Price		Purchase Price		—		—
Senior Floating Rate Interests		545,301	Third Party Pricing		Broker Quote		—		—
Total Assets	$	706,749
Liabilities:
Unfunded Loan Commitments	$	7,934	Model Price		Purchase Price		—		—

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

Significant changes in a quote, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

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

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2022:

	Assets									Liabilities
	Senior Floating Rate Interests			Common Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	88,644		$	11,406		$	100,050		$	(1,735	)
Purchases/(Receipts)		616,935			—			616,935			(1,257	)
(Sales, maturities and paydowns)/Fundings		(4,636	)		—			(4,636	)		1,885
Amortization of premiums/discounts		(8,944	)		—			(8,944	)		306
Total realized gains (losses) included in earnings		6			—			6			(153	)
Total change in unrealized appreciation (depreciation) included in earnings		4,901			(1,563	)		3,338			(6,980	)
Transfers into Level 3		—			—			—			—
Transfers out of Level 3		—			—			—			—
Ending Balance	$	696,906		$	9,843		$	706,749		$	(7,934	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2022	$	(5,020	)	$	(1,563	)	$	(6,583	)	$	(6,014	)

Affiliated Transactions

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

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES F (FLOATING RATE STRATEGIES SERIES)

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22
Common Stocks
BP Holdco LLC *	$	8,184	$	—	$	—	$	—	$	(1,144	)	$	7,040		11,609

* Non-income producing security.

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

SERIES F (FLOATING RATE STRATEGIES SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $52,195,350)	$	49,815,070
Investments in affiliated issuers, at value (cost $4,099)		7,040
Foreign currency, at value (cost 8,443)		8,529
Cash		123,745
Prepaid expenses		4,153
Receivables:
Securities sold		301,276
Interest		161,829
Fund shares sold		78,246
Total assets		50,499,888
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $1,921)		7,934
Unrealized depreciation on forward foreign currency exchange contracts		2,596
Payable for:
Securities purchased		2,038,188
Fund shares redeemed		25,835
Management fees		19,342
Distribution and service fees		9,998
Transfer agent/maintenance fees		2,146
Trustees’ fees*		2,001
Fund accounting/administration fees		1,723
Miscellaneous		51,307
Total liabilities		2,161,070
Net assets	$	48,338,818
Net assets consist of:
Paid in capital	$	53,002,433
Total distributable earnings (loss)		(4,663,615	)
Net assets	$	48,338,818
Capital shares outstanding		2,047,384
Net asset value per share	$	23.61

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends	$	64,855
Interest from securities of unaffiliated issuers		2,376,199
Total investment income		2,441,054
Expenses:
Management fees		307,310
Distribution and service fees		117,869
Transfer agent/maintenance fees		25,369
Professional fees		64,828
Fund accounting/administration fees		34,355
Custodian fees		14,325
Trustees’ fees*		11,543
Line of credit fees		10,940
Miscellaneous		14,196
Total expenses		600,735
Less:
Expenses reimbursed by Adviser:		(1,179	)
Expenses waived by Adviser		(51,332	)
Earnings credits applied		(944	)
Total waived expenses		(53,455	)
Net expenses		547,280
Net investment income		1,893,774
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(464,171	)
Forward foreign currency exchange contracts		8,645
Foreign currency transactions		26,214
Net realized loss		(429,312	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,014,086	)
Investments in affiliated issuers		(1,144	)
Forward foreign currency exchange contracts		(2,596	)
Foreign currency translations		114
Net change in unrealized appreciation (depreciation)		(2,017,712	)
Net realized and unrealized loss		(2,447,024	)
Net decrease in net assets resulting from operations	$	(553,250	)

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

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

SERIES F (FLOATING RATE STRATEGIES SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,893,774		$	1,070,948
Net realized loss on investments		(429,312	)		(8,680	)
Net change in unrealized appreciation (depreciation) on investments		(2,017,712	)		17,167
Net increase (decrease) in net assets resulting from operations		(553,250	)		1,079,435
Distributions to shareholders		(1,070,948	)		(1,106,221	)
Capital share transactions:
Proceeds from sale of shares		41,718,376			24,874,622
Distributions reinvested		1,070,948			1,106,221
Cost of shares redeemed		(43,594,800	)		(16,189,276	)
Net increase (decrease) from capital share transactions		(805,476	)		9,791,567
Net increase (decrease) in net assets		(2,429,674	)		9,764,781
Net assets:
Beginning of year		50,768,492			41,003,711
End of year	$	48,338,818		$	50,768,492
Capital share activity:
Shares sold		1,752,818			1,018,724
Shares issued from reinvestment of distributions		46,402			45,844
Shares redeemed		(1,832,795	)		(663,701	)
Net increase (decrease) in shares		(33,575	)		400,867

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	24.40		$	24.41		$	25.96		$	25.30		$	26.26
Income (loss) from investment operations:
Net investment income (loss)a		.95			.58			.68			1.06			1.01
Net gain (loss) on investments (realized and unrealized)		(1.18	)		.02			(.74	)		.85			(1.21	)
Total from investment operations		(.23	)		.60			(.06	)		1.91			(.20	)
Less distributions from:
Net investment income		(.56	)		(.61	)		(1.49	)		(1.25	)		(.76	)
Total distributions		(.56	)		(.61	)		(1.49	)		(1.25	)		(.76	)
Net asset value, end of period	$	23.61		$	24.40		$	24.41		$	25.96		$	25.30
Total Returnb		(0.85	%)		2.50	%		0.01	%		7.60	%		(0.84	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	48,339		$	50,768		$	41,004		$	46,047		$	58,798
Ratios to average net assets:
Net investment income (loss)		4.01	%		2.36	%		2.81	%		4.10	%		3.85	%
Total expenses		1.27	%		1.34	%		1.47	%		1.38	%		1.26	%
Net expensesc,d,e		1.16	%		1.17	%		1.23	%		1.21	%		1.16	%
Portfolio turnover rate		68	%		56	%		60	%		28	%		80	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
d	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.00%*

* Less than 0.01%.

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
1.14%	1.14%	1.15%	1.15%	1.15%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series J (StylePlus^TM—Mid Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -27.78%, underperforming the Russell Midcap Growth Index (“Index”), the Fund’s benchmark, which returned -26.72% for the same period.

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

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

For the Reporting Period, the Fund underperformed the Russell Mid Growth Index by 1.1% net of fees. During this Reporting Period, active equity and active fixed income contributed +1.8% and -0.8% to the Fund’s relative return differential, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

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

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

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

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: October 1, 1992

Ten Largest Holdings	(% of Total Net Assets)
Guggenheim Strategy Fund III	29.7%
Guggenheim Variable Insurance Strategy Fund III	27.4%
Guggenheim Strategy Fund II	18.1%
Guggenheim Ultra Short Duration Fund — Institutional Class	1.9%
Steel Dynamics, Inc.	0.3%
United Therapeutics Corp.	0.3%
Builders FirstSource, Inc.	0.3%
Fair Isaac Corp.	0.3%
Olin Corp.	0.3%
Lincoln Electric Holdings, Inc.	0.3%
Top Ten Total	78.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series J (StylePlus—Mid Growth Series)	(27.78%)	5.98%	10.32%
Russell Midcap Growth Index	(26.72%)	7.64%	11.41%

*

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.

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 19.6%
Industrial - 5.1%
Builders FirstSource, Inc.*		6,870	$	445,726
Lincoln Electric Holdings, Inc.		2,893		418,010
Eagle Materials, Inc.		3,056		405,990
Carlisle Companies, Inc.		1,715		404,140
Donaldson Company, Inc.		6,568		386,658
Louisiana-Pacific Corp.		6,338		375,210
Simpson Manufacturing Company, Inc.		3,769		334,159
Toro Co.		2,644		299,301
Acuity Brands, Inc.		1,804		298,760
Littelfuse, Inc.		1,219		268,424
UFP Industries, Inc.		3,374		267,389
Mueller Industries, Inc.		4,321		254,939
nVent Electric plc		5,718		219,971
Hubbell, Inc.		907		212,855
Axon Enterprise, Inc.*		1,226		203,430
Middleby Corp.*		1,368		183,175
Sealed Air Corp.		3,644		181,763
TopBuild Corp.*		1,159		181,372
Masco Corp.		3,696		172,492
Jabil, Inc.		2,174		148,267
EMCOR Group, Inc.		987		146,184
Trex Company, Inc.*		3,420		144,769
Esab Corp.		3,070		144,044
Universal Display Corp.		1,288		139,156
Lennox International, Inc.		567		135,643
Graco, Inc.		1,959		131,762
Fortune Brands Innovations, Inc.		2,176		124,271
AECOM		1,376		116,864
Curtiss-Wright Corp.		695		116,058
AGCO Corp.		673		93,338
Otis Worldwide Corp.		1,131		88,569
Applied Industrial Technologies, Inc.		686		86,457
Silgan Holdings, Inc.		1,656		85,847
Knight-Swift Transportation Holdings, Inc.		1,580		82,808
Owens Corning		940		80,182
Masterbrand, Inc.*		2,176		16,429
Total Industrial				7,394,412
Technology - 4.1%
Fair Isaac Corp.*		718		429,798
Cirrus Logic, Inc.*		4,428		329,797
Lattice Semiconductor Corp.*		4,881		316,679
Power Integrations, Inc.		4,252		304,953
CommVault Systems, Inc.*		4,837		303,957
Genpact Ltd.		6,554		303,581
Synaptics, Inc.*		2,579		245,418
ACI Worldwide, Inc.*		10,356		238,188
ExlService Holdings, Inc.*		1,382		234,152
Concentrix Corp.		1,700		226,372
Dynatrace, Inc.*		5,830		223,289
Diodes, Inc.*		2,904		221,111
Maximus, Inc.		2,806		205,764
MACOM Technology Solutions Holdings, Inc.*		3,203		201,725
Lumentum Holdings, Inc.*		3,588		187,186
Qualys, Inc.*		1,646		184,731
Rambus, Inc.*		4,978		178,312
Teradata Corp.*		5,122		172,407
Qorvo, Inc.*		1,502		136,141
NetApp, Inc.		2,216		133,093
Manhattan Associates, Inc.*		1,076		130,626
Microchip Technology, Inc.		1,728		121,392
HP, Inc.		4,359		117,126
SiTime Corp.*		1,133		115,136
Amkor Technology, Inc.		4,595		110,188
Skyworks Solutions, Inc.		1,205		109,812
NXP Semiconductor N.V.		611		96,556
Onto Innovation, Inc.*		1,353		92,126
ON Semiconductor Corp.*		1,443		90,000
Seagate Technology Holdings plc		1,703		89,595
CACI International, Inc. — Class A*		287		86,270
Total Technology				5,935,481
Consumer, Non-cyclical - 3.1%
United Therapeutics Corp.*		1,605		446,334
Neurocrine Biosciences, Inc.*		2,947		351,990
Halozyme Therapeutics, Inc.*		6,042		343,790
Quest Diagnostics, Inc.		1,975		308,969
Darling Ingredients, Inc.*		4,804		300,682
Hologic, Inc.*		3,931		294,078
Exelixis, Inc.*		13,698		219,716
Shockwave Medical, Inc.*		1,048		215,479
Jazz Pharmaceuticals plc*		1,317		209,811
QuidelOrtho Corp.*		2,305		197,469
Repligen Corp.*		1,111		188,104
Service Corporation International		2,568		177,551
Medpace Holdings, Inc.*		822		174,601
H&R Block, Inc.		4,691		171,268
Globus Medical, Inc. — Class A*		2,251		167,182
Incyte Corp.*		1,774		142,488
Masimo Corp.*		676		100,014
Bruker Corp.		1,372		93,776
LHC Group, Inc.*		524		84,726
Acadia Healthcare Company, Inc.*		1,017		83,719
Lantheus Holdings, Inc.*		1,590		81,027
AMN Healthcare Services, Inc.*		769		79,069
Total Consumer, Non-cyclical				4,431,843
Consumer, Cyclical - 2.8%
Wyndham Hotels & Resorts, Inc.		4,759		339,364
Brunswick Corp.		4,387		316,215
Boyd Gaming Corp.		5,537		301,933
Yum! Brands, Inc.		2,112		270,505
Crocs, Inc.*		2,291		248,413
Tempur Sealy International, Inc.		6,897		236,774
AutoNation, Inc.*		2,107		226,081
Watsco, Inc.		884		220,470
Williams-Sonoma, Inc.		1,855		213,177
Churchill Downs, Inc.		945		199,801
Deckers Outdoor Corp.*		474		189,202
Academy Sports & Outdoors, Inc.		3,482		182,944
Wingstop, Inc.		1,280		176,154
Casey’s General Stores, Inc.		714		160,186

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
Asbury Automotive Group, Inc.*		816	$	146,268
YETI Holdings, Inc.*		2,872		118,642
Murphy USA, Inc.		412		115,170
Polaris, Inc.		1,107		111,807
Mattel, Inc.*		6,095		108,735
Choice Hotels International, Inc.		742		83,579
BJ’s Wholesale Club Holdings, Inc.*		1,257		83,163
Total Consumer, Cyclical				4,048,583
Financial - 1.6%
Cathay General Bancorp		7,107		289,883
Evercore, Inc. — Class A		2,568		280,117
Wintrust Financial Corp.		2,829		239,107
Ameris Bancorp		4,907		231,316
Interactive Brokers Group, Inc. — Class A		3,001		217,122
Annaly Capital Management, Inc. REIT		9,876		208,186
United Community Banks, Inc.		4,792		161,970
First Horizon Corp.		5,893		144,378
Kinsale Capital Group, Inc.		515		134,683
Selective Insurance Group, Inc.		1,003		88,876
RenaissanceRe Holdings Ltd.		480		88,430
CubeSmart REIT		2,075		83,519
Jefferies Financial Group, Inc.		2,391		81,964
Rexford Industrial Realty, Inc. REIT		1,083		59,175
Total Financial				2,308,726
Energy - 1.4%
Antero Midstream Corp.		35,999		388,429
DT Midstream, Inc.		6,164		340,623
PDC Energy, Inc.		4,946		313,972
NOV, Inc.		9,926		207,354
ONEOK, Inc.		2,914		191,450
Targa Resources Corp.		2,542		186,837
Matador Resources Co.		3,200		183,168
Occidental Petroleum Corp.		2,291		144,310
Southwestern Energy Co.*		21,475		125,629
Total Energy				2,081,772
Basic Materials - 1.1%
Steel Dynamics, Inc.		4,636		452,937
Olin Corp.		7,924		419,497
Reliance Steel & Aluminum Co.		1,438		291,109
Ingevity Corp.*		3,845		270,842
RPM International, Inc.		1,145		111,580
Total Basic Materials				1,545,965
Utilities - 0.2%
OGE Energy Corp.		3,690		145,939
National Fuel Gas Co.		1,502		95,077
Essential Utilities, Inc.		1,817		86,725
Total Utilities				327,741
Communications - 0.2%
Calix, Inc.*		1,714		117,289
Nexstar Media Group, Inc. — Class A		659		115,345
VeriSign, Inc.*		446		91,626
Total Communications				324,260
Total Common Stocks
(Cost $28,422,354)				28,398,783
MUTUAL FUNDS† - 77.1%
Guggenheim Strategy Fund III1		1,794,029		43,164,347
Guggenheim Variable Insurance Strategy Fund III1		1,653,693		39,804,396
Guggenheim Strategy Fund II1		1,092,465		26,262,849
Guggenheim Ultra Short Duration Fund — Institutional Class1		280,618		2,705,158
Total Mutual Funds
(Cost $115,135,786)				111,936,750
MONEY MARKET FUND† - 1.7%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%2		2,498,810		2,498,810
Total Money Market Fund
(Cost $2,498,810)				2,498,810
Total Investments - 98.4%
(Cost $146,056,950)			$	142,834,343
Other Assets & Liabilities, net - 1.6%				2,338,729
Total Net Assets - 100.0%			$	145,173,072

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
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		5		Mar 2023	$	965,375	$	(40,819	)
S&P MidCap 400 Index Mini Futures Contracts		16		Mar 2023		3,909,280		(50,600	)
NASDAQ-100 Index Mini Futures Contracts		4		Mar 2023		881,840		(64,671	)
					$	5,756,495	$	(156,090	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo Bank, N.A.

Russell MidCap Growth Index

Pay

4.54% (Federal Funds Rate + 0.21%)

At Maturity

06/28/23

27,817

$

113,894,203

$

2,109,057

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	28,398,783	$	—	$	—	$	28,398,783
Mutual Funds		111,936,750		—		—		111,936,750
Money Market Fund		2,498,810		—		—		2,498,810
Equity Index Swap Agreements**		—		2,109,057		—		2,109,057
Total Assets	$	142,834,343	$	2,109,057	$	—	$	144,943,400

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	156,090	$	—	$	—	$	156,090

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

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES J (STYLEPLUS—MID GROWTH SERIES)

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2022, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	31,106,522	$	66,542,147	$	(70,406,849	)	$	(955,413	)	$	(23,558	)	$	26,262,849		1,092,465	$	793,742
Guggenheim Strategy Fund III		58,441,099		4,422,133		(17,531,958	)		(466,356	)		(1,700,571	)		43,164,347		1,794,029		1,415,053
Guggenheim Ultra Short Duration Fund — Institutional Class		18,802,104		66,116		(16,074,987	)		(102,954	)		14,879			2,705,158		280,618		66,355
Guggenheim Variable Insurance Strategy Fund III		45,644,872		5,131,003		(9,382,998	)		(219,354	)		(1,369,127	)		39,804,396		1,653,693		1,123,921
	$	153,994,597	$	76,161,399	$	(113,396,792	)	$	(1,744,077	)	$	(3,078,377	)	$	111,936,750			$	3,399,071

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

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $30,921,164)	$	30,897,593
Investments in affiliated issuers, at value (cost $115,135,786)		111,936,750
Cash		6,974,505
Segregated cash with broker		333,800
Unrealized appreciation on OTC swap agreements		2,109,057
Prepaid expenses		3,826
Receivables:
Dividends		482,176
Fund shares sold		22,398
Interest		17,714
Investment Adviser		109
Total assets		152,777,928
Liabilities:
Segregated cash due to broker		6,870,000
Payable for:
Securities purchased		481,488
Management fees		68,443
Distribution and service fees		30,707
Swap settlement		28,196
Variation margin on futures contracts		23,663
Fund shares redeemed		15,051
Fund accounting/administration fees		2,599
Trustees’ fees*		2,560
Transfer agent/maintenance fees		2,076
Miscellaneous		80,073
Total liabilities		7,604,856
Net assets	$	145,173,072
Net assets consist of:
Paid in capital	$	193,712,349
Total distributable earnings (loss)		(48,539,277	)
Net assets	$	145,173,072
Capital shares outstanding		3,942,593
Net asset value per share	$	36.82

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $167)	$	339,404
Dividends from securities of affiliated issuers		3,399,071
Interest		70,541
Total investment income		3,809,016
Expenses:
Management fees		1,203,500
Distribution and service fees		400,174
Transfer agent/maintenance fees		25,187
Fund accounting/administration fees		95,713
Interest expense		67,768
Professional fees		47,258
Custodian fees		15,059
Trustees’ fees*		13,258
Line of credit fees		4,854
Miscellaneous		22,819
Total expenses		1,895,590
Less:
Expenses waived by Adviser		(355,014	)
Earnings credits applied		(4,313	)
Total waived expenses		(359,327	)
Net expenses		1,536,263
Net investment income		2,272,753
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(3,631,367	)
Investments in affiliated issuers		(1,744,077	)
Swap agreements		(43,923,527	)
Futures contracts		(106,387	)
Net realized loss		(49,405,358	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,808,921	)
Investments in affiliated issuers		(3,078,377	)
Swap agreements		(2,943,839	)
Futures contracts		(223,296	)
Net change in unrealized appreciation (depreciation)		(9,054,433	)
Net realized and unrealized loss		(58,459,791	)
Net decrease in net assets resulting from operations	$	(56,187,038	)

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

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

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,272,753		$	602,667
Net realized gain (loss) on investments		(49,405,358	)		47,983,165
Net change in unrealized appreciation (depreciation) on investments		(9,054,433	)		(23,362,414	)
Net increase (decrease) in net assets resulting from operations		(56,187,038	)		25,223,418
Distributions to shareholders		(43,841,105	)		(27,830,332	)
Capital share transactions:
Proceeds from sale of shares		16,227,294			7,094,590
Distributions reinvested		43,841,105			27,830,332
Cost of shares redeemed		(13,494,617	)		(24,610,575	)
Net increase from capital share transactions		46,573,782			10,314,347
Net increase (decrease) in net assets		(53,454,361	)		7,707,433
Net assets:
Beginning of year		198,627,433			190,920,000
End of year	$	145,173,072		$	198,627,433
Capital share activity:
Shares sold		285,794			92,701
Shares issued from reinvestment of distributions		1,157,674			400,552
Shares redeemed		(291,950	)		(336,867	)
Net increase in shares		1,151,518			156,386

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

SERIES J (STYLEPLUS—MID GROWTH SERIES)

FINANCIAL HIGHLIGHTS

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

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	71.17		$	72.46		$	58.49		$	48.75		$	59.82
Income (loss) from investment operations:
Net investment income (loss)a		.66			.22			.39			.79			.97
Net gain (loss) on investments (realized and unrealized)		(20.02	)		9.44			17.43			14.90			(4.08	)
Total from investment operations		(19.36	)		9.66			17.82			15.69			(3.11	)
Less distributions from:
Net investment income		(.20	)		(.40	)		(.84	)		(.49	)		(.83	)
Net realized gains		(14.79	)		(10.55	)		(3.01	)		(5.46	)		(7.13	)
Total distributions		(14.99	)		(10.95	)		(3.85	)		(5.95	)		(7.96	)
Net asset value, end of period	$	36.82		$	71.17		$	72.46		$	58.49		$	48.75
Total Returnb		(27.78	%)		13.69	%		32.10	%		32.70	%		(7.10	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	145,173		$	198,627		$	190,920		$	157,675		$	137,116
Ratios to average net assets:
Net investment income (loss)		1.42	%		0.30	%		0.66	%		1.39	%		1.64	%
Total expensesc		1.18	%		1.16	%		1.22	%		1.30	%		1.28	%
Net expensesd,e		0.96	%		0.89	%		0.89	%		1.00	%		1.01	%
Portfolio turnover rate		87	%		60	%		71	%		57	%		66	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.91%	0.87%	0.88%	0.92%	0.94%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series N (Managed Asset Allocation Series, or the “Fund”) is managed by a team of seasoned professionals, including Michael P. Byrum, CFA, Senior Managing Director and Portfolio Manager; and Matthew Wu, Ph.D., CFA, Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -16.57%, underperforming the weighted benchmark that is 60% S&P 500^® Index and 40% Bloomberg U.S. Aggregate Bond Index, which returned -15.79%. The S&P 500 Index returned -18.11% over the year and the Bloomberg U.S. Aggregate Bond Index returned -13.01% for the same period.

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

The year 2022 started with high inflation, with CPI year-over-year above 7%. Russia’s invasion into Ukraine made the inflation situation even worse. The Federal Reserve was clearly behind the curve and applied tightening policies in an aggressive way, comparable to what it did in the early 1980s. Essentially, all financial assets fell, with the bond markets seeing their worst performance in decades. Within equity, investors’ risk aversion sentiment punished international markets even more.

Our tactical models correctly overweighted U.S. equity and underweighted international equity for the first ten months in the Reporting Period. Within U.S. equity, we overweighted large cap and underweighted small cap. The models also successfully captured a few short-term opportunities in currency markets.

In the meantime, interest rate increases hurt our cash strategies funds.

In terms of absolute returns, the biggest detractors were iBoxx Investment Grade Corporate Bond ETFs, S&P 500 Index futures and ETFs, and Russell 2000 Index futures and ETFs.

How did the Fund use derivatives during the Reporting Period?

We have used index and bond futures to replicate benchmark exposures and traded them when we found it less expensive than trading ETFs.

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

At the end of the Reporting Period, we continued to position the portfolio holdings to closely replicate most of the benchmark’s exposures. The financial markets are not as overvalued as a year ago, while the debate about monetary policy’s direction will continue as the inflation numbers show initial evidence of easing. Also in dispute is the impact of China’s reopening. Therefore, markets are expected to continue to be volatile, which may generate short-term opportunities for our models to capture.

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

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

82 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: June 1, 1995

Ten Largest Holdings	(% of Total Net Assets)
Vanguard S&P 500 ETF	22.0%
Schwab U.S. Aggregate Bond ETF	14.9%
SPDR S&P 500 ETF Trust	11.2%
iShares MSCI EAFE ETF	6.5%
iShares iBoxx $ Investment Grade Corporate Bond ETF	6.2%
iShares Core S&P Mid-Cap ETF	6.1%
iShares 7-10 Year Treasury Bond ETF	5.5%
iShares 1-3 Year Treasury Bond ETF	4.8%
Guggenheim Strategy Fund II	4.3%
Guggenheim Variable Insurance Strategy Fund III	3.0%
Top Ten Total	84.5%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 83

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series N (Managed Asset Allocation Series)	(16.57%)	3.65%	6.08%
S&P 500 Index	(18.11%)	9.42%	12.56%
Blended Index**	(15.79%)	5.96%	8.08%
Bloomberg U.S. Aggregate Bond Index	(13.01%)	0.02%	1.06%

*	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 the Bloomberg U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns.
**	Blended index is 60% S&P 500 Index and 40% Bloomberg 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.

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES N (MANAGED ASSET ALLOCATION SERIES)

	Shares		Value
EXCHANGE-TRADED FUNDS† - 81.5%
Vanguard S&P 500 ETF		22,530	$	7,915,690
Schwab U.S. Aggregate Bond ETF		117,462		5,362,140
SPDR S&P 500 ETF Trust		10,501		4,015,897
iShares MSCI EAFE ETF		35,262		2,314,598
iShares iBoxx $ Investment Grade Corporate Bond ETF		21,221		2,237,330
iShares Core S&P Mid-Cap ETF		9,114		2,204,586
iShares 7-10 Year Treasury Bond ETF		20,726		1,985,136
iShares 1-3 Year Treasury Bond ETF		21,409		1,737,769
iShares Russell 1000 Value ETF		4,533		687,430
iShares TIPS Bond ETF		3,987		424,376
iShares iBoxx High Yield Corporate Bond ETF		5,736		422,342
iShares Core S&P 500 ETF		2		768
Total Exchange-Traded Funds
(Cost $24,428,980)				29,308,062
MUTUAL FUNDS† - 13.0%
Guggenheim Strategy Fund II1		63,901		1,536,185
Guggenheim Variable Insurance Strategy Fund III1		45,729		1,100,686
Guggenheim Strategy Fund III1		42,900		1,032,163
Guggenheim Ultra Short Duration Fund — Institutional Class1		105,191		1,014,044
Total Mutual Funds
(Cost $4,857,790)				4,683,078
MONEY MARKET FUND† - 4.5%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%2		1,630,605		1,630,605
Total Money Market Fund
(Cost $1,630,605)				1,630,605

	Face Amount
U.S. TREASURY BILLS†† - 1.0%
U.S. Treasury Bills
3.79% due 01/17/233,4	$	334,000		333,522
Total U.S. Treasury Bills
(Cost $333,423)				333,522
Total Investments - 100.0%
(Cost $31,250,798)			$	35,955,267
Other Assets & Liabilities, net - 0.0%				14,070
Total Net Assets - 100.0%			$	35,969,337

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Interest Rate Futures Contracts Purchased†
U.S. Treasury 2 Year Note Futures Contracts		2		Mar 2023	$	410,000	$	372
U.S. Treasury 10 Year Note Futures Contracts		7		Mar 2023		784,875		(3,293	)
					$	1,194,875	$	(2,921	)
Currency Futures Contracts Purchased†
British Pound Futures Contracts		5		Mar 2023	$	378,437	$	(3,263	)
Equity Futures Contracts Purchased†
Russell 2000 Index Mini Futures Contracts		17		Mar 2023		1,505,605		(42,343	)
MSCI EAFE Index Futures Contracts		32		Mar 2023		3,118,560		(60,189	)
					$	4,624,165	$	(102,532	)
Equity Futures Contracts Sold Short†
NASDAQ-100 Index Mini Futures Contracts		2		Mar 2023		440,920		29,419
DAX Index Futures Contracts		1		Mar 2023		372,202		13,191
Nikkei 225 (CME) Index Futures Contracts		1		Mar 2023		128,850		9,397
S&P MidCap 400 Index Mini Futures Contracts		1		Mar 2023		244,330		758
FTSE 100 Index Futures Contracts††		1		Mar 2023		90,411		(104	)
S&P 500 Index Mini Futures Contracts		1		Mar 2023		193,075		(2,694	)
					$	1,469,788	$	49,967
Currency Futures Contracts Sold Short†
Euro FX Futures Contracts		3		Mar 2023	$	403,481	$	(2,464	)

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES N (MANAGED ASSET ALLOCATION SERIES)

**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of December 31, 2022.
3	All or a portion of this security is pledged as futures collateral at December 31, 2022.
4	Rate indicated is the effective yield at the time of purchase.
	CME — Chicago Mercantile Exchange
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	29,308,062	$	—	$	—	$	29,308,062
Mutual Funds		4,683,078		—		—		4,683,078
Money Market Fund		1,630,605		—		—		1,630,605
U.S. Treasury Bills		—		333,522		—		333,522
Equity Futures Contracts**		52,765		—		—		52,765
Interest Rate Futures Contracts**		372		—		—		372
Total Assets	$	35,674,882	$	333,522	$	—	$	36,008,404

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	105,226	$	104	$	—	$	105,330
Currency Futures Contracts**		5,727		—		—		5,727
Interest Rate Futures Contracts**		3,293		—		—		3,293
Total Liabilities	$	114,246	$	104	$	—	$	114,350

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

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES N (MANAGED ASSET ALLOCATION SERIES)

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2022, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126822000340/gugg84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	1,891,803	$	—	$	(300,000	)	$	(3,155	)	$	(52,463	)	$	1,536,185		63,901	$	44,281
Guggenheim Strategy Fund III		1,784,985		—		(700,000	)		(10,060	)		(42,762	)		1,032,163		42,900		33,628
Guggenheim Ultra Short Duration Fund — Institutional Class		1,043,498		—		—			—			(29,454	)		1,014,044		105,191		23,026
Guggenheim Variable Insurance Strategy Fund III		1,853,627		—		(700,000	)		(12,209	)		(40,732	)		1,100,686		45,729		33,306
	$	6,573,913	$	—	$	(1,700,000	)	$	(25,424	)	$	(165,411	)	$	4,683,078			$	134,241

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

SERIES N (MANAGED ASSET ALLOCATION SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $26,393,008)	$	31,272,189
Investments in affiliated issuers, at value (cost $4,857,790)		4,683,078
Cash		57,661
Prepaid expenses		2,437
Receivables:
Dividends		37,104
Interest		5,998
Fund shares sold		618
Total assets		36,059,085
Liabilities:
Payable for:
Variation margin on futures contracts		29,432
Professional fees		27,359
Management fees		12,293
Distribution and service fees		7,818
Fund shares redeemed		4,106
Fund accounting/administration fees		2,547
Transfer agent/maintenance fees		2,081
Trustees’ fees*		1,258
Miscellaneous		2,854
Total liabilities		89,748
Net assets	$	35,969,337
Net assets consist of:
Paid in capital	$	30,562,750
Total distributable earnings (loss)		5,406,587
Net assets	$	35,969,337
Capital shares outstanding		1,384,675
Net asset value per share	$	25.98

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	668,886
Dividends from securities of affiliated issuers		134,241
Interest		26,228
Total investment income		829,355
Expenses:
Management fees		157,682
Distribution and service fees		98,551
Transfer agent/maintenance fees		25,255
Professional fees		41,709
Fund accounting/administration fees		30,347
Trustees’ fees*		9,089
Custodian fees		2,595
Line of credit fees		1,189
Miscellaneous		10,358
Total expenses		376,775
Less:
Expenses waived by Adviser		(2,555	)
Earnings credits applied		(40	)
Total waived expenses		(2,595	)
Net expenses		374,180
Net investment income		455,175
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,785,242
Investments in affiliated issuers		(25,424	)
Futures contracts		(1,120,296	)
Foreign currency transactions		(822	)
Net realized gain		638,700
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(8,372,824	)
Investments in affiliated issuers		(165,411	)
Futures contracts		(181,268	)
Foreign currency translations		23
Net change in unrealized appreciation (depreciation)		(8,719,480	)
Net realized and unrealized loss		(8,080,780	)
Net decrease in net assets resulting from operations	$	(7,625,605	)

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

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

SERIES N (MANAGED ASSET ALLOCATION SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	455,175		$	319,709
Net realized gain on investments		638,700			4,219,532
Net change in unrealized appreciation (depreciation) on investments		(8,719,480	)		935,032
Net increase (decrease) in net assets resulting from operations		(7,625,605	)		5,474,273
Distributions to shareholders		(4,049,453	)		(3,475,814	)
Capital share transactions:
Proceeds from sale of shares		612,413			1,389,917
Distributions reinvested		4,049,453			3,475,814
Cost of shares redeemed		(4,025,591	)		(5,528,955	)
Net increase (decrease) from capital share transactions		636,275			(663,224	)
Net increase (decrease) in net assets		(11,038,783	)		1,335,235
Net assets:
Beginning of year		47,008,120			45,672,885
End of year	$	35,969,337		$	47,008,120
Capital share activity:
Shares sold		20,795			40,195
Shares issued from reinvestment of distributions		152,178			103,632
Shares redeemed		(138,118	)		(160,933	)
Net increase (decrease) in shares		34,855			(17,106	)

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	34.83		$	33.41		$	32.05		$	27.34		$	31.68
Income (loss) from investment operations:
Net investment income (loss)a		.33			.24			.24			.44			.47
Net gain (loss) on investments (realized and unrealized)		(6.03	)		3.83			3.52			5.02			(2.08	)
Total from investment operations		(5.70	)		4.07			3.76			5.46			(1.61	)
Less distributions from:
Net investment income		(.25	)		(.25	)		(.49	)		(.51	)		(.44	)
Net realized gains		(2.90	)		(2.40	)		(1.91	)		(.24	)		(2.29	)
Total distributions		(3.15	)		(2.65	)		(2.40	)		(.75	)		(2.73	)
Net asset value, end of period	$	25.98		$	34.83		$	33.41		$	32.05		$	27.34
Total Returnb		(16.57	%)		12.47	%		12.59	%		20.11	%		(5.73	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,969		$	47,008		$	45,673		$	46,219		$	42,636
Ratios to average net assets:
Net investment income (loss)		1.15	%		0.68	%		0.77	%		1.45	%		1.53	%
Total expensesc		0.96	%		0.94	%		1.01	%		1.01	%		0.99	%
Net expensesd		0.95	%		0.94	%		1.00	%		1.00	%		0.99	%
Portfolio turnover rate		1	%		26	%		6	%		14	%		4	%

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

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series O (All Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -1.17%, outperforming the Russell 3000 Value Index (“Index”), the Fund’s benchmark, which returned -7.98% for the same period.

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

After the market reached record highs at the end of 2021, it came under pressure as the Federal Reserve (the “Fed”) strove to contain inflation by raising rates and, at the same time, the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus toward quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund produced a significant positive contribution from both its security selection and its sector allocation.

The Fund had an overweight to the Energy sector throughout the Reporting Period, which contributed the most to the Fund’s outperformance versus its benchmark. The Energy holdings returned over 62% during the Reporting Period, while the overall benchmark recorded an 8% loss. A focus on oil and gas exploration and development companies was a key to success. EQT Corp., a natural gas producer, was up over 50%, as natural gas prices spiked as a result of the Russian-Ukraine War and Europe’s supply of natural gas being curtailed. ConocoPhillips and Marathon Oil, both oil producers, performed extremely well and were up over 65% each, as oil prices improved due to uncertainty stemming from the Russian-Ukraine War and the companies exercised capital discipline throughout 2022. An oil and natural gas service company, Patterson-UTI Energy, was up over 100%, as the company’s oil and natural gas drilling rigs were put to work in the field.

Stock selection within the Financials sector was equally as significant for the Fund during the year. The Fund’s holdings in this sector dropped 0.2% versus a 10.5% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 42% after receiving a take-over offer from Toronto-Dominion Bank. Allegheny Corporation (primarily a reinsurance company) received a merger offer from Berkshire Hathaway and gained more than 27%. Another significant contributor, UNUM Group, gained more than 73%. UNUM, a supplemental disability and health insurance company, benefited from lower COVID-related disability claims and strong payroll growth, given the strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term-care book of business benefited from higher interest rates during the year.

Another positive contributor to performance was the Fund’s overweight to the Utilities sector. Constellation Energy, a spin-off from Exelon Corp, fared well and was up over 75%, as passage of the Inflation Reduction Act favored companies with nuclear power generation assets.

Although the Fund was underweight the Health Care sector, the fourth best-performing sector, stock selection was a significant contributor, as the Fund’s holdings were up 8.1%. One of the best performers within this sector was McKesson Corp, up over 50%. The company continued to grow revenue and earnings in its U.S. businesses and divested some of its European businesses. The best overall performer for the Fund this year was in Health Care, as Prothena Corp. gained over 150%. Positive results from a competitor’s Alzeimer’s drug trial portend similar positive results for the company’s own Alzeimer’s drug trial.

The Fund’s largest detractor from performance was Micron Technology, one of the largest memory chips makers in the world. The oversupply of memory chips in the market caused prices to fall, hurting the company’s revenue and earnings. Another poor performer for the Fund was Tyson Foods, Inc., a producer and distributor of chicken, beef, and pork. The company has been faced with higher feed, labor, and freight costs that hurt margins and earnings.

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process, which is heavily bottoms up driven.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 91

MANAGERS’ COMMENTARY (Unaudited)(concluded) December 31, 2022

The Fund’s largest overweights are in the Information Technology, Industrials, and Materials sectors. In Information Technology, we see more attractive opportunities after the sector significantly underperformed during 2022. Among the Industrials holdings, opportunities appear abundant especially among construction & engineering companies, truckers, airlines, building products and distributors. In Materials, we can find many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from low-cost North American natural gas feedstock costs. The strategy also has an overweighting among steel companies, as they trade at attractive valuations, generate free cash flow, and may provide growth opportunities as a result of government programs and the onshoring of manufacturing.

At the end of the Reporting Period, the Fund held an overweight to the Utilities and a similar size underweight to the REITs sector. Both sectors are interest-rate-sensitive, but we favor utilities because of the valuations, profitability, and regulatory nature of their businesses.

The Fund is underweight Financials, Health Care, and Consumer Discretionary sectors. Higher interest rates will benefit the Financials, but a possible looming recession could increase credit costs and depress earnings. Within Health Care, the Fund is primarily underweight Pharmaceuticals, a sector that has performed well, but whose earnings and cash flow may disappoint post pandemic. Finally, in Consumer Discretionary, many companies appear to be operating at near-peak profitability levels just as consumer spending is nearing an inflection point or plateauing at best.

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

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

92 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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)
Chevron Corp.	2.7%
JPMorgan Chase & Co.	2.4%
Berkshire Hathaway, Inc. — Class B	2.2%
Pioneer Natural Resources Co.	2.0%
Johnson & Johnson	1.9%
OGE Energy Corp.	1.9%
Ingredion, Inc.	1.6%
Bunge Ltd.	1.6%
Bank of America Corp.	1.6%
Westlake Corp.	1.5%
Top Ten Total	19.4%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series O (All Cap Value Series)	(1.17%)	7.17%	10.52%
Russell 3000 Value Index	(7.98%)	6.50%	10.16%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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.

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 97.7%
Consumer, Non-cyclical - 19.5%
Johnson & Johnson		10,119	$	1,787,521
Ingredion, Inc.		15,668		1,534,367
Bunge Ltd.		15,296		1,526,082
Quest Diagnostics, Inc.		8,541		1,336,154
Euronet Worldwide, Inc.*		12,325		1,163,233
Henry Schein, Inc.*		13,673		1,092,062
Merck & Company, Inc.		9,829		1,090,528
Tyson Foods, Inc. — Class A		16,562		1,030,984
Archer-Daniels-Midland Co.		10,876		1,009,837
Humana, Inc.		1,823		933,722
Encompass Health Corp.		13,794		825,019
J M Smucker Co.		4,784		758,073
Medtronic plc		9,686		752,796
Moderna, Inc.*		3,118		560,055
McKesson Corp.		1,423		533,796
HCA Healthcare, Inc.		1,707		409,612
Pfizer, Inc.		7,912		405,411
Bristol-Myers Squibb Co.		5,239		376,946
Integer Holdings Corp.*		4,278		292,872
Central Garden & Pet Co. — Class A*		7,922		283,608
Azenta, Inc.*		2,750		160,105
ICF International, Inc.		1,592		157,688
Jazz Pharmaceuticals plc*		640		101,958
Ironwood Pharmaceuticals, Inc. — Class A*		8,172		101,251
Pacira BioSciences, Inc.*		2,272		87,722
Total Consumer, Non-cyclical				18,311,402
Financial - 19.5%
JPMorgan Chase & Co.		16,798		2,252,612
Berkshire Hathaway, Inc. — Class B*		6,640		2,051,096
Bank of America Corp.		45,454		1,505,437
BOK Financial Corp.		9,094		943,866
Charles Schwab Corp.		10,274		855,413
Unum Group		18,643		764,922
Voya Financial, Inc.		11,903		731,916
Wells Fargo & Co.		17,301		714,358
Mastercard, Inc. — Class A		2,031		706,240
Prosperity Bancshares, Inc.		9,109		662,042
First Merchants Corp.		13,604		559,260
Goldman Sachs Group, Inc.		1,527		524,341
STAG Industrial, Inc. REIT		15,226		491,952
Physicians Realty Trust REIT		29,711		429,918
Texas Capital Bancshares, Inc.*		6,699		404,017
Gaming and Leisure Properties, Inc. REIT		7,190		374,527
Old Republic International Corp.		14,148		341,674
Alexandria Real Estate Equities, Inc. REIT		2,133		310,714
American Tower Corp. — Class A REIT		1,450		307,197
Axis Capital Holdings Ltd.		5,505		298,206
Hancock Whitney Corp.		6,119		296,098
Sun Communities, Inc. REIT		2,052		293,436
T. Rowe Price Group, Inc.		2,640		287,918
Stifel Financial Corp.		4,680		273,172
Old National Bancorp		15,146		272,325
Apple Hospitality REIT, Inc.		15,426		243,422
First American Financial Corp.		4,603		240,921
Trustmark Corp.		5,229		182,544
SVB Financial Group*		775		178,359
Wintrust Financial Corp.		1,986		167,857
United Bankshares, Inc.		4,125		167,021
First Hawaiian, Inc.		6,166		160,563
VICI Properties, Inc. REIT		4,779		154,840
United Community Banks, Inc.		4,420		149,396
Heritage Insurance Holdings, Inc.*		6,962		12,532
Total Financial				18,310,112
Industrial - 12.2%
Johnson Controls International plc		19,318		1,236,352
Valmont Industries, Inc.		3,396		1,122,955
Knight-Swift Transportation Holdings, Inc.		21,358		1,119,373
Teledyne Technologies, Inc.*		1,590		635,857
FedEx Corp.		3,213		556,491
L3Harris Technologies, Inc.		2,536		528,021
Advanced Energy Industries, Inc.		5,649		484,571
Graphic Packaging Holding Co.		20,768		462,088
Kirby Corp.*		6,945		446,911
Littelfuse, Inc.		1,841		405,388
MDU Resources Group, Inc.		13,111		397,788
Curtiss-Wright Corp.		2,348		392,093
Terex Corp.		8,905		380,422
Arcosa, Inc.		6,519		354,243
Altra Industrial Motion Corp.		5,805		346,849
Enovis Corp.*		5,089		272,363
Daseke, Inc.*		45,933		261,359
GATX Corp.		2,150		228,631
PGT Innovations, Inc.*		12,485		224,230
Mercury Systems, Inc.*		4,933		220,702
Park Aerospace Corp.		14,655		196,523
Plexus Corp.*		1,806		185,891
Summit Materials, Inc. — Class A*		6,366		180,731
Sonoco Products Co.		2,930		177,880
Esab Corp.		3,380		158,590
EnerSys		2,114		156,098
Stoneridge, Inc.*		6,430		138,631
Coherent Corp.*		3,098		108,740
AZEK Company, Inc.*		4,251		86,380
Total Industrial				11,466,151
Energy - 9.6%
Chevron Corp.		14,038		2,519,681
Pioneer Natural Resources Co.		8,092		1,848,132
ConocoPhillips		12,079		1,425,322
Coterra Energy, Inc. — Class A		29,092		714,791
Kinder Morgan, Inc.		36,763		664,675
Marathon Oil Corp.		24,310		658,072
Diamondback Energy, Inc.		3,889		531,937
Patterson-UTI Energy, Inc.		21,280		358,355
Equities Corp.		9,599		324,734
Total Energy				9,045,699

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
Utilities - 7.9%
OGE Energy Corp.		44,999	$	1,779,710
Pinnacle West Capital Corp.		16,818		1,278,841
Edison International		15,015		955,254
Exelon Corp.		20,760		897,455
Black Hills Corp.		12,525		881,009
Duke Energy Corp.		5,623		579,113
NiSource, Inc.		18,936		519,225
PPL Corp.		9,865		288,255
Spire, Inc.		3,327		229,097
Total Utilities				7,407,959
Technology - 7.8%
Micron Technology, Inc.		23,004		1,149,740
Leidos Holdings, Inc.		10,336		1,087,244
Teradyne, Inc.		11,150		973,952
Microsoft Corp.		3,160		757,831
KLA Corp.		1,826		688,457
Evolent Health, Inc. — Class A*		22,593		634,412
Fiserv, Inc.*		5,115		516,973
Science Applications International Corp.		4,099		454,702
Amdocs Ltd.		4,891		444,592
MACOM Technology Solutions Holdings, Inc.*		4,023		253,368
Silicon Laboratories, Inc.*		1,684		228,468
Power Integrations, Inc.		2,155		154,557
Total Technology				7,344,296
Consumer, Cyclical - 7.7%
Walmart, Inc.		8,159		1,156,865
Whirlpool Corp.		4,317		610,683
Ralph Lauren Corp. — Class A		5,600		591,752
PACCAR, Inc.		5,968		590,653
Delta Air Lines, Inc.*		17,521		575,740
H&E Equipment Services, Inc.		11,692		530,817
MSC Industrial Direct Company, Inc. — Class A		6,117		499,759
Southwest Airlines Co.		14,749		496,599
Home Depot, Inc.		1,560		492,741
PVH Corp.		6,578		464,341
Methode Electronics, Inc.		7,815		346,752
Alaska Air Group, Inc.*		5,933		254,763
UniFirst Corp.		918		177,165
Marriott Vacations Worldwide Corp.		1,054		141,858
Leggett & Platt, Inc.		4,193		135,140
Meritage Homes Corp.*		1,010		93,122
Lakeland Industries, Inc.*		6,577		87,474
Total Consumer, Cyclical				7,246,224
Communications - 7.0%
Alphabet, Inc. — Class A*		14,120		1,245,808
Verizon Communications, Inc.		27,789		1,094,887
Comcast Corp. — Class A		22,453		785,181
Fox Corp. — Class B		24,211		688,803
Cisco Systems, Inc.		14,121		672,724
Walt Disney Co.*		6,367		553,165
Juniper Networks, Inc.		13,304		425,196
Ciena Corp.*		7,281		371,185
T-Mobile US, Inc.*		2,640		369,600
Infinera Corp.*		49,770		335,450
Total Communications				6,541,999
Basic Materials - 6.5%
Westlake Corp.		13,907		1,426,024
Huntsman Corp.		45,965		1,263,118
Reliance Steel & Aluminum Co.		5,239		1,060,583
Nucor Corp.		4,515		595,122
Freeport-McMoRan, Inc.		15,267		580,146
Ashland, Inc.		2,721		292,589
Avient Corp.		8,639		291,653
International Flavors & Fragrances, Inc.		1,983		207,898
DuPont de Nemours, Inc.		2,496		171,300
Dow, Inc.		3,272		164,876
Total Basic Materials				6,053,309
Total Common Stocks
(Cost $74,801,783)				91,727,151
RIGHTS† - 0.0%
Basic Materials - 0.0%
Pan American Silver Corp.*		40,146		22,923
Total Rights
(Cost $—)				22,923
MONEY MARKET FUND† - 2.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%1		2,139,137		2,139,137
Total Money Market Fund
(Cost $2,139,137)				2,139,137
Total Investments - 100.0%
(Cost $76,940,920)			$	93,889,211
Other Assets & Liabilities, net - 0.0%				22,795
Total Net Assets - 100.0%			$	93,912,006

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of December 31, 2022.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES O (ALL CAP VALUE SERIES)

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	91,727,151	$	—	$	—	$	91,727,151
Rights		22,923		—		—		22,923
Money Market Fund		2,139,137		—		—		2,139,137
Total Assets	$	93,889,211	$	—	$	—	$	93,889,211

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

SERIES O (ALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $76,940,920)	$	93,889,211
Cash		1,175
Prepaid expenses		3,172
Receivables:
Dividends		133,132
Interest		6,939
Total assets		94,033,629
Liabilities:
Payable for:
Management fees		36,729
Fund shares redeemed		33,311
Professional fees		23,070
Distribution and service fees		20,226
Transfer agent/maintenance fees		2,145
Fund accounting/administration fees		2,102
Trustees’ fees*		255
Miscellaneous		3,785
Total liabilities		121,623
Net assets	$	93,912,006
Net assets consist of:
Paid in capital	$	67,820,826
Total distributable earnings (loss)		26,091,180
Net assets	$	93,912,006
Capital shares outstanding		2,806,049
Net asset value per share	$	33.47

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends	$	2,210,610
Interest		50,326
Total investment income		2,260,936
Expenses:
Management fees		683,744
Distribution and service fees		244,193
Transfer agent/maintenance fees		25,458
Fund accounting/administration fees		61,571
Professional fees		34,531
Trustees’ fees*		9,749
Line of credit fees		2,678
Custodian fees		2,563
Miscellaneous		22,431
Total expenses		1,086,918
Less:
Expenses waived by Adviser		(246,297	)
Earnings credits applied		(57	)
Total waived expenses		(246,354	)
Net expenses		840,564
Net investment income		1,420,372
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		8,505,286
Net realized gain		8,505,286
Net change in unrealized appreciation (depreciation) on:
Investments		(11,219,630	)
Net change in unrealized appreciation (depreciation)		(11,219,630	)
Net realized and unrealized loss		(2,714,344	)
Net decrease in net assets resulting from operations	$	(1,293,972	)

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

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

SERIES O (ALL CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,420,372		$	1,081,242
Net realized gain on investments		8,505,286			11,358,520
Net change in unrealized appreciation (depreciation) on investments		(11,219,630	)		11,215,836
Net increase (decrease) in net assets resulting from operations		(1,293,972	)		23,655,598
Distributions to shareholders		(11,376,268	)		(2,332,442	)
Capital share transactions:
Proceeds from sale of shares		3,180,810			3,847,533
Distributions reinvested		11,376,268			2,332,442
Cost of shares redeemed		(11,109,259	)		(16,029,758	)
Net increase (decrease) from capital share transactions		3,447,819			(9,849,783	)
Net increase (decrease) in net assets		(9,222,421	)		11,473,373
Net assets:
Beginning of year		103,134,427			91,661,054
End of year	$	93,912,006		$	103,134,427
Capital share activity:
Shares sold		87,562			103,312
Shares issued from reinvestment of distributions		353,740			65,298
Shares redeemed		(312,170	)		(442,874	)
Net increase (decrease) in shares		129,132			(274,264	)

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	38.53		$	31.06		$	32.89		$	29.31		$	35.97
Income (loss) from investment operations:
Net investment income (loss)a		.52			.38			.56			.51			.43
Net gain (loss) on investments (realized and unrealized)		(1.15	)		7.93			(.33	)		6.19			(3.83	)
Total from investment operations		(.63	)		8.31			.23			6.70			(3.40	)
Less distributions from:
Net investment income		(.43	)		(.65	)		(.52	)		(.49	)		(.40	)
Net realized gains		(4.00	)		(.19	)		(1.54	)		(2.63	)		(2.86	)
Total distributions		(4.43	)		(.84	)		(2.06	)		(3.12	)		(3.26	)
Net asset value, end of period	$	33.47		$	38.53		$	31.06		$	32.89		$	29.31
Total Returnb		(1.17	%)		26.95	%		1.88	%		23.74	%		(10.62	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	93,912		$	103,134		$	91,661		$	107,634		$	100,916
Ratios to average net assets:
Net investment income (loss)		1.45	%		1.06	%		2.03	%		1.62	%		1.23	%
Total expensesc		1.11	%		1.13	%		1.21	%		1.18	%		1.17	%
Net expensesd,e		0.86	%		0.87	%		0.87	%		0.88	%		0.88	%
Portfolio turnover rate		30	%		26	%		22	%		33	%		36	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.86%	0.87%	0.87%	0.88%	0.88%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series P (High Yield Series, or the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM and Thomas J. Hauser, Senior Managing Director and Portfolio Manager of GPIM. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -9.70%, outperforming the Bloomberg U.S. Corporate High Yield Index (“Index”), the Fund’s benchmark, which returned -11.19% for the same period.

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

The Reporting Period was significantly impacted by challenging macroeconomics. The Index returned -11.19% over the year, amid the sharp rise in interest rates, due to the ongoing conflict in Ukraine, elevated inflation, and the potential for recession. The high-yield market experienced outflows from observable sources during the year, which pressured trading levels. All sectors and rating categories generated negative returns, while interest rates continued to climb as the Federal Reserve attempted to rein in inflation.

Bottom-up fundamental credit analysis continues to be the main driver of the Fund’s positioning and performance. The largest contributing sectors to performance were Technology and Consumer Non-Cyclicals, where the Fund benefited from strong security selection relative to the benchmark. An up-in-quality bias for the Reporting Period drove an overweight to single B rated issuers and underweight to CCC rated issuers, which both contributed to outperformance. The Fund’s larger allocation to bank loans was a meaningful contributor to performance due to their insulation from the selloff in interest rates. The Fund’s underweight to Energy, which was the top performing sector, slightly detracted from performance for the Reporting Period.

How did the Fund use derivatives during the Reporting Period?

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

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

The Fund’s largest exposure is to high-yield bonds followed by a meaningful exposure to bank loans. We continue to evaluate the relative value between high yield bonds and bank loans, potentially looking to shift the allocation as the relationship changes.

The Fund remains cautious given heightened risk of default and recession. As such, the Fund continues to avoid highly levered industries and companies with high capital expenditure needs that could impair cash flow, and instead focuses on companies with recurring revenue streams, strong cash flows, and high-quality margins. Even with heightened credit risk and rising risk of recession, we think current yields offer opportunities to find credits that are trading cheap relative to their fundamentals and risk of default/loss.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 101

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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)
iShares iBoxx High Yield Corporate Bond ETF	1.3%
Terraform Global Operating, LP, 6.13%	1.2%
Carpenter Technology Corp., 6.38%	1.2%
FAGE International S.A. / FAGE USA Dairy Industry, Inc., 5.63%	1.2%
Hunt Companies, Inc., 5.25%	1.2%
Jefferies Finance LLC / JFIN Company-Issuer Corp., 5.00%	1.1%
GrafTech Finance, Inc., 4.63%	1.1%
CPI CG, Inc., 8.63%	1.1%
Artera Services LLC, 9.03%	1.0%
NFP Corp., 6.88%	1.0%
Top Ten Total	11.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

102 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series P (High Yield Series)	(9.70%)	1.30%	3.48%
Bloomberg U.S. Corporate High Yield Index	(11.19%)	2.31%	4.03%

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
A	0.5%
BBB	4.5%
BB	48.3%
B	32.9%
CCC	5.9%
NR2	1.8%
Other Instruments	6.1%
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 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.
1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 103

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Shares		Value
COMMON STOCKS† - 1.1%
Utilities - 0.6%
TexGen Power LLC*,††		7,929	$	206,154
Financial - 0.3%
TPG Pace Beneficial II Corp.*,1		5,510		54,136
Acropolis Infrastructure
Acquisition Corp. — Class A*,1		4,900		48,559
MSD Acquisition Corp. — Class A*,1		84		848
Total Diversified				103,543
Energy - 0.1%
Legacy Reserves, Inc.*,†††		1,969		17,229
Permian Production Partners LLC†††		9,124		7,482
Bruin E&P Partnership Units*,†††		6,071		136
Total Energy				24,847
Consumer, Non-cyclical - 0.1%
Cengage Learning Holdings II, Inc.*,††		2,107		23,573
MEDIQ, Inc.*,†††		92		—
Total Consumer, Non-cyclical				23,573
Industrial - 0.0%
BP Holdco LLC*,†††,2		523		317
Vector Phoenix Holdings, LP*,†††		523		125
Total Industrial				442
Consumer, Cyclical - 0.0%
Chorus Aviation, Inc.*		3		7
Total Common Stocks
(Cost $305,101)				358,566
PREFERRED STOCKS†† - 1.1%
Financial - 1.1%
American Equity Investment Life Holding Co.
5.95%		6,000		120,660
Charles Schwab Corp.
4.00%*		150,000		119,618
Arch Capital Group Ltd.
4.55%		6,000		103,620
Total Financial				343,898
Industrial - 0.0%
U.S. Shipping Corp.*,†††		24,529		2
Total Preferred Stocks
(Cost $1,075,000)				343,900
WARRANTS† - 0.0%
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		1,632		196
MSD Acquisition Corp.
Expiring 05/13/23*,1		16		1
Total Warrants
(Cost $1,365)				197
EXCHANGE-TRADED FUNDS† - 1.3%
iShares iBoxx High Yield Corporate Bond ETF		5,600		412,328
Total Exchange-Traded Funds
(Cost $417,384)				412,328
MONEY MARKET FUND† - 2.5%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%4		811,908		811,908
Total Money Market Fund
(Cost $811,908)				811,908

	Face Amount~
CORPORATE BONDS†† - 80.6%
Communications - 14.6%
Altice France S.A.
5.50% due 10/15/295		325,000	247,822
8.13% due 02/01/275		200,000	182,176
5.13% due 07/15/295		175,000	131,205
CCO Holdings LLC / CCO Holdings Capital Corp.
6.38% due 09/01/295		250,000	234,935
4.25% due 02/01/315		150,000	120,317
4.50% due 06/01/335		125,000	95,904
4.25% due 01/15/345		100,000	73,804
McGraw-Hill Education, Inc.
5.75% due 08/01/285		375,000	315,139
8.00% due 08/01/295		175,000	144,719
Level 3 Financing, Inc.
4.25% due 07/01/285		300,000	236,310
3.63% due 01/15/295		300,000	219,673
VZ Secured Financing BV
5.00% due 01/15/325		375,000	304,733
Cengage Learning, Inc.
9.50% due 06/15/245		290,000	276,588
LCPR Senior Secured Financing DAC
6.75% due 10/15/275		270,000	252,450
Virgin Media Finance plc
5.00% due 07/15/305		275,000	220,567
CSC Holdings LLC
4.13% due 12/01/305		200,000	141,166
3.38% due 02/15/315		75,000	48,910
AMC Networks, Inc.
4.25% due 02/15/29		300,000	186,929
Sirius XM Radio, Inc.
3.88% due 09/01/315		125,000	97,521
4.13% due 07/01/305		100,000	82,521
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		200,000	180,000
UPC Broadband Finco BV
4.88% due 07/15/315		200,000	166,359
Vmed O2 UK Financing I plc
4.25% due 01/31/315		200,000	161,903

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
TripAdvisor, Inc.
7.00% due 07/15/255		125,000	$	123,504
Cogent Communications Group, Inc.
7.00% due 06/15/275		125,000		122,491
Match Group Holdings II LLC
3.63% due 10/01/315		150,000		115,030
CSC Holdings LLC
4.63% due 12/01/30†††,5		200,000		107,635
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/295		75,000		62,789
Cable One, Inc.
4.00% due 11/15/305		75,000		58,854
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.25% due 01/15/295		25,000		20,743
Total Communications				4,732,697
Consumer, Non-cyclical - 14.2%
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/265		410,000		380,332
CPI CG, Inc.
8.63% due 03/15/265		351,000		344,920
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/285		375,000		313,575
Rent-A-Center, Inc.
6.38% due 02/15/295,6		375,000		303,356
Tenet Healthcare Corp.
6.13% due 06/15/305		250,000		238,200
4.38% due 01/15/305		75,000		64,918
Albertsons Companies Incorporated / Safeway Inc / New Albertsons Limited Partnership / Albertsons LLC
5.88% due 02/15/285		225,000		213,903
Darling Ingredients, Inc.
6.00% due 06/15/305		200,000		195,500
Sabre GLBL, Inc.
7.38% due 09/01/255		147,000		141,273
9.25% due 04/15/255		50,000		49,806
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/265		179,000		174,972
Grifols Escrow Issuer S.A.
4.75% due 10/15/285		200,000		172,694
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/275		200,000		172,637
Par Pharmaceutical, Inc.
due 04/01/275,7		225,000		170,994
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/295		200,000		167,940
DaVita, Inc.
4.63% due 06/01/305		200,000		160,885
Bausch Health Companies, Inc.
4.88% due 06/01/285		225,000		143,109
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/275		107,000		88,007
5.00% due 12/31/265		50,000		43,250
Castor S.p.A.
7.30% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,5	EUR	125,000		129,319
WW International, Inc.
4.50% due 04/15/295		250,000		124,897
BCP V Modular Services Finance II plc
4.75% due 10/30/285	EUR	125,000		111,786
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
due 04/01/295,7		125,000		94,829
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/265		100,000		89,000
Post Holdings, Inc.
4.63% due 04/15/305		75,000		64,706
5.63% due 01/15/285		25,000		23,534
Service Corporation International
3.38% due 08/15/30		100,000		81,291
Medline Borrower, LP
5.25% due 10/01/295		100,000		79,427
Central Garden & Pet Co.
4.13% due 04/30/315		75,000		62,087
GXO Logistics, Inc.
2.65% due 07/15/31		50,000		36,918
1.65% due 07/15/26		25,000		21,404
Garden Spinco Corp.
8.63% due 07/20/305		50,000		53,000
Nathan’s Famous, Inc.
6.63% due 11/01/255		52,000		50,570
Ingles Markets, Inc.
4.00% due 06/15/315		25,000		21,026
Total Consumer, Non-cyclical				4,584,065
Financial - 12.9%
Iron Mountain, Inc.
5.63% due 07/15/325		275,000		238,320
4.88% due 09/15/295		120,000		104,664
5.25% due 07/15/305		75,000		65,175
Hunt Companies, Inc.
5.25% due 04/15/295		450,000		378,231
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/285		450,000		367,079
United Wholesale Mortgage LLC
5.50% due 04/15/295		225,000		178,983
5.75% due 06/15/275		200,000		172,178
NFP Corp.
6.88% due 08/15/285		393,000		323,942
OneMain Finance Corp.
3.88% due 09/15/28		175,000		139,164
4.00% due 09/15/30		75,000		55,960
6.63% due 01/15/28		50,000		46,042

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Greystar Real Estate Partners LLC
5.75% due 12/01/255		200,000	$	195,450
Kennedy-Wilson, Inc.
5.00% due 03/01/31		150,000		112,911
4.75% due 03/01/29		100,000		79,255
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/285		200,000		190,872
USI, Inc.
6.88% due 05/01/255		175,000		168,585
Iron Mountain Information Management Services, Inc.
5.00% due 07/15/325		200,000		166,140
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/315		200,000		152,655
Wilton Re Finance LLC
5.88% due 03/30/333,5		150,000		148,425
Assurant, Inc.
7.00% due 03/27/483		150,000		145,280
HUB International Ltd.
7.00% due 05/01/265		100,000		97,899
5.63% due 12/01/295		50,000		43,669
SLM Corp.
3.13% due 11/02/26		150,000		127,567
Jones Deslauriers Insurance Management, Inc.
10.50% due 12/15/305		125,000		123,107
Starwood Property Trust, Inc.
4.38% due 01/15/275		125,000		109,384
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		100,000		85,780
AmWINS Group, Inc.
4.88% due 06/30/295		100,000		84,815
Liberty Mutual Group, Inc.
4.30% due 02/01/615		100,000		61,000
Home Point Capital, Inc.
5.00% due 02/01/265		13,000		8,989
Total Financial				4,171,521
Consumer, Cyclical - 10.2%
Crocs, Inc.
4.25% due 03/15/295		300,000		254,130
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/265		265,000		239,825
Clarios Global Limited Partnership / Clarios US Finance Co.
6.25% due 05/15/265		200,000		195,501
JB Poindexter & Company, Inc.
7.13% due 04/15/265		200,000		193,000
Aramark Services, Inc.
5.00% due 02/01/285		200,000		186,587
Wolverine World Wide, Inc.
4.00% due 08/15/295		225,000		170,451
Allison Transmission, Inc.
3.75% due 01/30/315		200,000		164,500
Station Casinos LLC
4.63% due 12/01/315		200,000		160,435
Penn Entertainment, Inc.
4.13% due 07/01/295		200,000		158,001
Scotts Miracle-Gro Co.
4.38% due 02/01/32		200,000		150,740
CD&R Smokey Buyer, Inc.
6.75% due 07/15/255		175,000		150,171
Newell Brands, Inc.
4.45% due 04/01/26		150,000		141,119
Yum! Brands, Inc.
4.75% due 01/15/305		150,000		137,625
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/315		150,000		127,497
Tempur Sealy International, Inc.
3.88% due 10/15/315		150,000		117,754
United Airlines, Inc.
4.63% due 04/15/295		125,000		108,837
Wabash National Corp.
4.50% due 10/15/285		125,000		106,448
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/305		125,000		105,587
Hanesbrands, Inc.
4.88% due 05/15/265		100,000		89,357
Air Canada
3.88% due 08/15/265		100,000		88,573
Michaels Companies, Inc.
5.25% due 05/01/285		100,000		80,453
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
5.38% due 04/01/265		75,000		68,224
Asbury Automotive Group, Inc.
5.00% due 02/15/325		75,000		61,702
Superior Plus, LP
4.25% due 05/18/285	CAD	75,000		48,207
Total Consumer, Cyclical				3,304,724
Industrial - 9.7%
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/285		350,000		323,379
5.25% due 07/15/285		150,000		133,195
GrafTech Finance, Inc.
4.63% due 12/15/285		430,000		353,126
Artera Services LLC
9.03% due 12/04/255		400,000		333,236
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/265		275,000		250,703
Mauser Packaging Solutions Holding Co.
5.50% due 04/15/245		100,000		97,235
7.25% due 04/15/255		100,000		92,471
8.50% due 04/15/245		25,000		24,499

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Ball Corp.
3.13% due 09/15/31		125,000	$	100,391
6.88% due 03/15/28		75,000		77,038
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/295		225,000		174,915
Masonite International Corp.
5.38% due 02/01/285		175,000		161,807
Amsted Industries, Inc.
4.63% due 05/15/305		175,000		149,188
Builders FirstSource, Inc.
6.38% due 06/15/325		125,000		117,406
4.25% due 02/01/325		25,000		20,268
Standard Industries, Inc.
4.38% due 07/15/305		150,000		122,239
TransDigm, Inc.
8.00% due 12/15/255		100,000		101,479
EnerSys
4.38% due 12/15/275		100,000		90,000
Harsco Corp.
5.75% due 07/31/275		100,000		78,957
Advanced Drainage Systems, Inc.
6.38% due 06/15/305		75,000		72,874
Howmet Aerospace, Inc.
5.95% due 02/01/37		75,000		72,806
Arcosa, Inc.
4.38% due 04/15/295		75,000		65,038
Stericycle, Inc.
5.38% due 07/15/245		50,000		49,254
Hillenbrand, Inc.
3.75% due 03/01/31		50,000		41,000
MIWD Holdco II LLC / MIWD Finance Corp.
5.50% due 02/01/305		25,000		19,904
Total Industrial				3,122,408
Energy - 7.2%
Parkland Corp.
4.63% due 05/01/305		250,000		206,875
4.50% due 10/01/295		225,000		187,485
NuStar Logistics, LP
5.63% due 04/28/27		200,000		187,012
6.38% due 10/01/30		100,000		92,466
6.00% due 06/01/26		75,000		72,218
CVR Energy, Inc.
5.75% due 02/15/285		325,000		282,912
5.25% due 02/15/255		25,000		23,000
ITT Holdings LLC
6.50% due 08/01/295		325,000		273,696
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/26		225,000		213,666
6.88% due 01/15/29		50,000		45,803
Holly Energy Partners Limited Partnership / Holly Energy Finance Corp.
6.38% due 04/15/275		175,000		171,936
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.63% due 05/01/275		175,000		162,750
EnLink Midstream LLC
6.50% due 09/01/305		150,000		148,455
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		150,000		129,000
Kinetik Holdings, LP
5.88% due 06/15/305		75,000		70,334
Southwestern Energy Co.
5.38% due 02/01/29		50,000		46,353
Basic Energy Services, Inc.
due 10/15/23†††,7		168,000		5,040
Total Energy				2,319,001
Basic Materials - 7.0%
Carpenter Technology Corp.
6.38% due 07/15/28		400,000		380,412
7.63% due 03/15/30		125,000		125,298
Minerals Technologies, Inc.
5.00% due 07/01/285		275,000		244,915
SCIL IV LLC / SCIL USA Holdings LLC
5.38% due 11/01/265		275,000		233,062
Compass Minerals International, Inc.
6.75% due 12/01/275		200,000		192,000
SK Invictus Intermediate II SARL
5.00% due 10/30/295		225,000		184,500
WR Grace Holdings LLC
4.88% due 06/15/275		200,000		177,226
Kaiser Aluminum Corp.
4.63% due 03/01/285		110,000		95,989
4.50% due 06/01/315		75,000		60,281
Clearwater Paper Corp.
4.75% due 08/15/285		175,000		153,768
Valvoline, Inc.
3.63% due 06/15/315		125,000		102,566
4.25% due 02/15/305		25,000		24,253
Diamond BC BV
4.63% due 10/01/295		150,000		120,375
Ingevity Corp.
3.88% due 11/01/285		100,000		85,987
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.
9.00% due 07/01/285		100,000		83,723
Mirabela Nickel Ltd.
due 06/24/19†††,7,8		390,085		7,802
Total Basic Materials				2,272,157
Technology - 3.2%
Central Parent Incorporated / CDK Global Inc
7.25% due 06/15/295		200,000		195,624
Boxer Parent Company, Inc.
7.13% due 10/02/255		200,000		194,502
NCR Corp.
6.13% due 09/01/295		200,000		187,011

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Qorvo, Inc.
3.38% due 04/01/315		200,000	$	160,688
Entegris Escrow Corp.
4.75% due 04/15/295		100,000		91,194
MSCI, Inc.
3.88% due 02/15/315		100,000		83,143
Fair Isaac Corp.
4.00% due 06/15/285		75,000		68,063
CDW LLC / CDW Finance Corp.
3.57% due 12/01/31		50,000		41,202
Total Technology				1,021,427
Utilities - 1.6%
Terraform Global Operating, LP
6.13% due 03/01/265		420,000		393,750
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.50% due 05/20/25		75,000		72,062
Clearway Energy Operating LLC
4.75% due 03/15/285		75,000		69,221
Total Utilities				535,033
Total Corporate Bonds
(Cost $30,240,304)				26,063,033
SENIOR FLOATING RATE INTERESTS††,◊ - 12.0%
Consumer, Cyclical - 3.3%
American Tire Distributors, Inc.
10.61% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.00%) due 10/20/28		174,125		158,454
PetSmart LLC
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		148,125		144,653
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
8.88% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		185,680		128,584
First Brands Group LLC
7.94% (3 Month Term SOFR + 5.00%, Rate Floor: 7.00%) due 03/30/27		113,062		106,730
Apro LLC
7.92% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26		98,250		95,138
Congruex Group LLC
9.99% (3 Month Term SOFR + 5.75%, Rate Floor: 6.50%) due 05/03/29		85,746		83,174
CCRR Parent, Inc.
8.14% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28		73,688		69,972
Holding SOCOTEC
8.73% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/30/28		74,250		69,609
FR Refuel LLC
9.19% (3 Month Term SOFR + 4.50%, Rate Floor: 5.25%) due 11/08/28		67,103		64,083
Flutter Financing B.V.
8.09% (3 Month Term SOFR + 3.25%, Rate Floor: 3.75%) due 07/24/28		49,875		49,591
Rent-A-Center, Inc.
7.69% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		49,125		47,221
Sweetwater Sound
8.69% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 08/07/28		48,749		45,093
Fertitta Entertainment LLC
8.32% (1 Month Term SOFR + 4.00%, Rate Floor: 4.50%) due 01/27/29		13,697		12,997
Total Consumer, Cyclical				1,075,299
Industrial - 2.5%
Arcline FM Holdings LLC
9.48% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28		172,813		163,883
Dispatch Terra Acquisition LLC
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28		147,873		124,214
Pelican Products, Inc.
8.71% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/29/28		114,935		102,292
Michael Baker International LLC
9.38% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 12/01/28†††		74,250		71,651
Aegion Corp.
9.13% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28		74,062		68,939
PECF USS Intermediate Holding III Corp.
8.63% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 12/15/28		74,374		61,803
Air Canada
8.13% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		49,750		49,066
United Airlines, Inc.
8.11% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		49,125		48,416
Osmose Utility Services, Inc.
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28		49,874		47,265
US Farathane LLC
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/23/24		48,667		43,800
YAK MAT (YAK ACCESS LLC)
13.64% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		150,000		15,750
Total Industrial				797,079
Consumer, Non-cyclical - 1.8%
Women’s Care Holdings, Inc.
7.87% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		96,902		90,422
Quirch Foods Holdings LLC
8.99% (1 Month Term SOFR + 4.50%, Rate Floor: 5.50%) due 10/27/27†††		98,000		89,180

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

	Face Amount~		Value
Gibson Brands, Inc.
9.13% (3 Month Term SOFR + 5.00%, Rate Floor: 5.75%) due 08/11/28†††		96,525	$	70,463
Blue Ribbon LLC
10.12% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		93,750		69,492
National Mentor Holdings, Inc.
8.33% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28		93,901		65,365
Osmosis Holdings Australia II Pty Ltd.
7.84% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 07/31/28		63,729		59,905
8.09% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 07/31/28		5,542		5,209
Confluent Health LLC
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 11/30/28		68,801		58,252
Mission Veterinary Partners
7.37% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28†††		49,623		44,165
Kronos Acquisition Holdings, Inc.
10.51% (3 Month Term SOFR + 6.00%, Rate Floor: 7.00%) due 12/22/26		24,688		23,762
TGP Holdings LLC
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		22,080		17,554
7.63% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/29/28		1,449		1,152
Total Consumer, Non-cyclical				594,921
Technology - 1.5%
Datix Bidco Ltd.
6.69% (6 Month GBP SONIA + 4.50%, Rate Floor: 5.19%) due 04/28/25†††	GBP	150,000		177,110
9.94% (6 Month GBP SONIA + 7.75%, Rate Floor: 8.44%) due 04/27/26†††	GBP	75,000		88,809
Peraton Corp.
8.13% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		176,161		171,720
Atlas CC Acquisition Corp.
8.98% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		73,875		61,896
Total Technology				499,535
Communications - 1.1%
Xplornet Communications, Inc.
8.38% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 10/02/28		123,438		95,458
Playtika Holding Corp.
7.13% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		98,500		93,832
Cengage Learning Acquisitions, Inc.
7.81% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		74,063		66,448
McGraw Hill LLC
8.32% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		48,863		45,886
Flight Bidco, Inc.
7.88% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		49,740		45,683
Total Communications				347,307
Financial - 1.0%
Franchise Group, Inc.
8.69% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		99,888		95,892
Citadel Securities, LP
7.44% (1 Month Term SOFR + 3.00%, Rate Floor: 3.00%) due 02/02/28		95,000		93,842
Claros Mortgage Trust, Inc.
8.92% (1 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 08/10/26		91,080		89,828
Eisner Advisory Group
9.69% (1 Month Term SOFR + 5.25%, Rate Floor: 6.00%) due 07/28/28		49,375		46,413
Total Financial				325,975
Basic Materials - 0.7%
LTI Holdings, Inc.
9.13% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 07/24/26		99,368		94,648
NIC Acquisition Corp.
8.48% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		98,497		70,819
Ascend Performance Materials Operations LLC
8.83% (6 Month Term SOFR + 4.75%, Rate Floor: 5.50%) due 08/27/26		49,621		46,607
Total Basic Materials				212,074
Energy - 0.1%
Permian Production Partners LLC
12.39% (1 Month USD LIBOR + 6.00%, Rate Floor: 10.39%) (in-kind rate was 2.00%) due 11/24/25†††,9		18,427		18,335
Total Senior Floating Rate Interests
(Cost $4,384,936)				3,870,525
Total Investments - 98.6%
(Cost $37,235,998)			$	31,860,457
Other Assets & Liabilities, net - 1.4%				457,657
Total Net Assets - 100.0%			$	32,318,114

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Barclays Bank plc

GBP

Sell

223,000

276,355 USD

01/17/23

$

6,668

Bank of America, N.A.

CAD

Sell

65,000

47,957 USD

01/17/23

(68

)

Barclays Bank plc

EUR

Sell

230,000

245,029 USD

01/17/23

(1,539

)

$

5,061

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
◊	Variable rate security. Rate indicated is the rate effective at December 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4	Rate indicated is the 7-day yield as of December 31, 2022.
5	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $22,763,104 (cost $26,036,288), or 70.4% of total net assets.
6	All or a portion of this has been physically segregated or earmarked in connection with reverse repurchase agreements. At December 31, 2022, the total market value of segregated or earmarked security was $303,356 — See Note 11.
7	Security is in default of interest and/or principal obligations.
8	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $7,802 (cost $353,909), or 0.0% of total net assets — See Note 9.
9	Payment-in-kind security.
	CAD — Canadian Dollar
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	SOFR — Secured Overnight Financing Rate
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	103,550	$	229,727	$	25,289	$	358,566
Preferred Stocks		—		343,898		2		343,900
Warrants		197		—		—		197
Exchange-Traded Funds		412,328		—		—		412,328
Money Market Fund		811,908		—		—		811,908
Corporate Bonds		—		25,942,556		120,477		26,063,033
Senior Floating Rate Interests		—		3,310,812		559,713		3,870,525
Forward Foreign Currency Exchange Contracts**		—		6,668		—		6,668
Total Assets	$	1,327,983	$	29,833,661	$	705,481	$	31,867,125

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	1,607	$	—	$	1,607
Unfunded Loan Commitments (Note 8)		—		—		1,511		1,511
Total Liabilities	$	—	$	1,607	$	1,511	$	3,118

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $238,240 are categorized as Level 2 within the disclosure hierarchy — See Note 11.

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 December 31, 2022			Valuation Technique		Unobservable Inputs		Input Range		Weighted Average*
Assets:
Common Stocks	$	25,153	Enterprise Value		Valuation Multiple		2.7x-11.8x		2.7x
Common Stocks		136	Model Price		Liquidation Value		—		—
Corporate Bonds		107,635	Third Party Pricing		Vendor Price		—		—
Corporate Bonds		12,842	Third Party Pricing		Broker Quote		—		—
Preferred Stocks		2	Model Price		Purchase Price		—		—
Senior Floating Rate Interests		293,794	Third Party Pricing		Broker Quote		—		—
Senior Floating Rate Interests		265,919	Yield Analysis		Yield		10.2% - 13.3%		11.2%
Total Assets	$	705,481
Liabilities:
Unfunded Loan Commitments	$	1,511	Model Price		Purchase Price		—		—

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

Significant changes in a quote, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 111

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES P (HIGH YIELD SERIES)

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

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended December 31, 2022, the Fund had securities with a total value of $186,440 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $352,865 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2022:

	Assets													Liabilities
	Corporate Bonds		Senior Floating Rate Interests			Common Stocks			Preferred Stocks		Total Assets			Unfunded Loan Commitments
Beginning Balance	$	—	$	673,373		$	209,563		$	2	$	882,938		$	(169	)
Purchases/(Receipts)		—		49,764			—			—		49,764			(534	)
(Sales, maturities and paydowns)/Fundings		—		(26,445	)		—			—		(26,445	)		692
Amortization of premiums/discounts		—		6,412			—			—		6,412			48
Total realized gains (losses) included in earnings		—		(237	)		—			—		(237	)		(8	)
Total change in unrealized appreciation (depreciation) included in earnings		—		(62,406	)		21,880			—		(40,526	)		(1,540	)
Transfers into Level 3		120,477		65,963			—			—		186,440			—
Transfers out of Level 3		—		(146,711	)		(206,154	)		—		(352,865	)		—
Ending Balance	$	120,477	$	559,713		$	25,289		$	2	$	705,481		$	(1,511	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at December 31, 2022	$	—	$	(59,853	)	$	74		$	—	$	(59,779	)	$	(1,202	)

Affiliated Transactions

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

Security Name	Value 12/31/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22
Common Stocks
BP Holdco LLC *	$	368	$	—	$	—	$	—	$	(51	)	$	317		523

* Non-income producing security.

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

SERIES P (HIGH YIELD SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $37,235,813)	$	31,860,140
Investments in affiliated issuers, at value (cost $185)		317
Cash		27,812
Unrealized appreciation on forward foreign currency exchange contracts		6,668
Prepaid expenses		2,611
Receivables:
Interest		508,884
Securities sold		227,671
Fund shares sold		784
Foreign tax reclaims		367
Total assets		32,635,254
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $353)		1,511
Reverse repurchase agreements (Note 11)		238,240
Unrealized depreciation on forward foreign currency exchange contracts		1,607
Payable for:
Professional fees		39,209
Distribution and service fees		6,769
Management fees		5,624
Fund shares redeemed		4,870
Transfer agent/maintenance fees		2,127
Fund accounting/administration fees		1,543
Trustees’ fees*		1,379
Securities purchased		20
Miscellaneous		14,241
Total liabilities		317,140
Net assets	$	32,318,114
Net assets consist of:
Paid in capital	$	44,738,844
Total distributable earnings (loss)		(12,420,730	)
Net assets	$	32,318,114
Capital shares outstanding		1,392,453
Net asset value per share	$	23.21

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from unaffiliated issuers	$	44,570
Interest from unaffiliated issuers		2,157,682
Total investment income		2,202,252
Expenses:
Management fees		211,162
Distribution and service fees		87,760
Transfer agent/maintenance fees		25,380
Professional fees		63,392
Fund accounting/administration fees		28,430
Trustees’ fees*		11,140
Custodian fees		8,923
Interest expense		3,886
Line of credit fees		2,243
Miscellaneous		8,880
Total expenses		451,196
Less:
Expenses reimbursed by Adviser		(2,583	)
Expenses waived by Adviser		(71,901	)
Earnings credits applied		(727	)
Total waived/reimbursed expenses		(75,211	)
Net expenses		375,985
Net investment income		1,826,267
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(1,106,066	)
Investments in unaffiliated issuers sold short		(281	)
Swap agreements		39,182
Forward foreign currency exchange contracts		53,140
Foreign currency transactions		(1,852	)
Net realized loss		(1,015,877	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,783,023	)
Investments in affiliated issuers		(51	)
Forward foreign currency exchange contracts		16,944
Foreign currency translations		(8	)
Net change in unrealized appreciation (depreciation)		(4,766,138	)
Net realized and unrealized loss		(5,782,015	)
Net decrease in net assets resulting from operations	$	(3,955,748	)

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

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

SERIES P (HIGH YIELD SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,826,267		$	2,152,479
Net realized gain (loss) on investments		(1,015,877	)		1,302,748
Net change in unrealized appreciation (depreciation) on investments		(4,766,138	)		(978,489	)
Net increase (decrease) in net assets resulting from operations		(3,955,748	)		2,476,738
Distributions to shareholders		(2,232,635	)		(2,204,042	)
Capital share transactions:
Proceeds from sale of shares		9,470,895			90,239,472
Distributions reinvested		2,232,635			2,204,042
Cost of shares redeemed		(17,788,963	)		(93,277,254	)
Net decrease from capital share transactions		(6,085,433	)		(833,740	)
Net decrease in net assets		(12,273,816	)		(561,044	)
Net assets:
Beginning of year		44,591,930			45,152,974
End of year	$	32,318,114		$	44,591,930
Capital share activity:
Shares sold		390,216			3,257,017
Shares issued from reinvestment of distributions		95,986			81,180
Shares redeemed		(712,105	)		(3,362,102	)
Net decrease in shares		(225,903	)		(23,905	)

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	27.55		$	27.49		$	28.39		$	27.51		$	31.13
Income (loss) from investment operations:
Net investment income (loss)a		1.28			1.30			1.37			1.68			1.79
Net gain (loss) on investments (realized and unrealized)		(3.95	)		.18			(.21	)		1.45			(2.99	)
Total from investment operations		(2.67	)		1.48			1.16			3.13			(1.20	)
Less distributions from:
Net investment income		(1.67	)		(1.42	)		(2.06	)		(2.25	)		(2.42	)
Total distributions		(1.67	)		(1.42	)		(2.06	)		(2.25	)		(2.42	)
Net asset value, end of period	$	23.21		$	27.55		$	27.49		$	28.39		$	27.51
Total Returnb		(9.70	%)		5.41	%		4.64	%		11.59	%		(4.16	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	32,318		$	44,592		$	45,153		$	54,288		$	52,504
Ratios to average net assets:
Net investment income (loss)		5.19	%		4.70	%		5.13	%		5.89	%		5.98	%
Total expensesc		1.28	%		1.28	%		1.38	%		1.31	%		1.42	%
Net expensesd,e,f		1.07	%		1.08	%		1.12	%		1.10	%		1.26	%
Portfolio turnover rate		33	%		76	%		84	%		58	%		51	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.00%*

* Less than 0.01%.

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
1.05%	1.06%	1.07%	1.07%	1.07%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 115

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series Q (Small Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -3.74%, outperforming the Russell 2000 Value Index (“Index”), the Fund’s benchmark, which returned -14.48% for the same period.

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

After the market reached record highs at the end of 2021, it came under pressure as the Federal Reserve (the “Fed”) strove to contain inflation by raising rates, and at the same time, the market had to deal with the uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund produced a very significant positive contribution from its security selection and produced a significant positive contribution from its sector allocation.

Stock selection within the Financials sector was the most significant positive sector during the year. The Fund’s holdings in this sector were down 1.9% versus a 12.1% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 42% after receiving a take-over offer from Toronto-Dominion Bank. Another significant contributor, UNUM Group, gained more than 70%. UNUM, a supplemental disability and health insurance company, benefited from lower COVID-related disability claims and strong payroll growth given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term-care book of business benefited from the higher fixed income rates brought about during the year.

During the year, Industrials was the second most significant positive contributor. Valmont Industries, which designs and manufactures poles, towers and structures for lighting, communication, and utility markets, gained more than 30%, as infrastructure spending on these segments helped the company grow revenues and earnings. Science Applications International Corporation returned 35%% for the year. This IT and consulting services provider to the government gained because of increased defense spending by the government due to the Russian-Ukraine war.

The third most significant contributor during the year was within the Information Technology sector. Sanmina Corporation, an electronics contract manufacturer, was up 59% while the sector was down 27%. The company benefited by increased demand in their cloud and communications end markets.

Finally, another strong contributor to the Fund’s performance was in the Energy sector. The slight energy overweighting was magnified by the significant outperformance the sector recorded. Energy was only one of two sectors that posted positive returns during the year and dwarfed the returns elsewhere by advancing 60%. The Fund’s holdings in this sector gained more than 62%. A focus on oil and gas exploration and development companies was a key to success. EQT Corp, a natural gas producer, was up over 65%, as natural gas prices spiked as a result of the Russian-Ukraine War and Europe’s supply of natural gas being curtailed. Pioneer Natural Resources, a Permian oil producer, performed extremely well as oil prices improved and the company exercised capital discipline throughout 2022. Additionally, an oil and natural gas service company, Patterson-UTI Energy, was up over 100% as the company’s oil and natural gas drilling rigs were put to work in the field.

The Fund’s largest detractor from performance was its holding in a Medicare health insurance broker, GoHealth, which was down around 70% for the year. A more intense competitive environment resulted in higher rate of insurance coverage changes and lower retention, which delayed a positive cashflow environment indefinitely. This holding has been sold out of the Fund.

Another negative contributor to the Fund’s performance was Daseke Inc., down around 43% for the year. The trucking company specializes in flatbed trailers, and the market was worried about an economic slowdown hurting demand.

116 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) December 31, 2022

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process which is heavily bottoms up driven.

The Fund’s largest overweights are in the Industrials, Information Technology, and Materials sectors. Among the Industrials holdings, opportunities appear abundant especially among distributors, aerospace & defense, construction, and trucking. Among Information Technology, the strategy has exposure to financial processing companies, semiconductors, communications equipment, and electronic components companies that we believe have ample growth and improving profitability opportunities. In Materials, we can find many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from beneficial, low cost North American natural gas feedstock costs. The strategy also has an overweighting among packaging companies.

The strategy’s largest underweighting can be found in Health Care, primarily to the biotechnology and pharmaceuticals sub-industries. Many of these companies do not possess the quality attributes of balance sheet strength and positive earnings and cashflow that we desire. Another larger underweight for the Fund is the Consumer Discretionary sector. Generally, in this sector, many companies appear to be operating at near-peak profitability levels just as consumer spending is nearing an inflection point or plateauing at best. Finally, the Fund is underweight the REITs sector. Among property REITs we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 117

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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)
Pioneer Natural Resources Co.	3.4%
iShares Russell 2000 Value ETF	2.5%
SPDR S&P Biotech ETF	1.9%
Prosperity Bancshares, Inc.	1.9%
BOK Financial Corp.	1.9%
OGE Energy Corp.	1.9%
H&E Equipment Services, Inc.	1.7%
Unum Group	1.6%
Black Hills Corp.	1.6%
Rush Enterprises, Inc. — Class A	1.6%
Top Ten Total	20.0%
“Ten Largest Holdings” excludes any temporary cash investments.

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series Q (Small Cap Value Series)	(3.74%)	5.19%	7.85%
Russell 2000 Value Index	(14.48%)	4.13%	8.48%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 93.6%
Financial - 29.4%
Prosperity Bancshares, Inc.		17,100	$	1,242,828
BOK Financial Corp.		11,964		1,241,744
Unum Group		25,288		1,037,567
First Merchants Corp.		21,923		901,254
Hanmi Financial Corp.		35,569		880,333
Cathay General Bancorp		21,370		871,682
Hancock Whitney Corp.		17,715		857,229
Texas Capital Bancshares, Inc.*		13,731		828,117
Physicians Realty Trust REIT		54,266		785,229
CNO Financial Group, Inc.		31,438		718,358
Old Republic International Corp.		29,318		708,030
LXP Industrial Trust REIT		67,059		671,931
Axis Capital Holdings Ltd.		12,130		657,082
Stifel Financial Corp.		10,167		593,448
Banc of California, Inc.		37,010		589,569
Old National Bancorp		30,698		551,950
STAG Industrial, Inc. REIT		17,048		550,821
MGIC Investment Corp.		39,769		516,997
Simmons First National Corp. — Class A		23,197		500,591
First American Financial Corp.		9,429		493,514
Apple Hospitality REIT, Inc.		30,185		476,319
Independent Bank Group, Inc.		7,348		441,468
Trustmark Corp.		10,996		383,870
Sunstone Hotel Investors, Inc. REIT		35,434		342,293
First Hawaiian, Inc.		12,966		337,635
Wintrust Financial Corp.		3,881		328,022
United Bankshares, Inc.		8,031		325,175
Stewart Information Services Corp.		7,572		323,551
United Community Banks, Inc.		8,606		290,883
Piedmont Office Realty Trust, Inc. — Class A REIT		22,755		208,663
RMR Group, Inc. — Class A		7,220		203,965
Heritage Insurance Holdings, Inc.*		24,180		43,524
Total Financial				18,903,642
Industrial - 22.7%
Curtiss-Wright Corp.		5,763		962,364
Graphic Packaging Holding Co.		39,961		889,132
GATX Corp.		7,873		837,215
Valmont Industries, Inc.		2,518		832,627
Mercury Systems, Inc.*		18,276		817,668
MDU Resources Group, Inc.		26,414		801,401
Kirby Corp.*		12,130		780,565
Altra Industrial Motion Corp.		12,814		765,636
Knight-Swift Transportation Holdings, Inc.		13,527		708,950
Terex Corp.		16,114		688,390
Littelfuse, Inc.		2,931		645,406
Arcosa, Inc.		11,657		633,441
Moog, Inc. — Class A		6,196		543,761
Daseke, Inc.*		94,908		540,027
Enovis Corp.*		9,240		494,525
Belden, Inc.		5,787		416,085
PGT Innovations, Inc.*		21,399		384,326
Park Aerospace Corp.		28,528		382,561
Summit Materials, Inc. — Class A*		12,916		366,685
Sonoco Products Co.		5,696		345,804
EnerSys		4,571		337,523
Esab Corp.		6,348		297,848
Stoneridge, Inc.*		13,470		290,413
Advanced Energy Industries, Inc.		3,261		279,729
Coherent Corp.*		6,131		215,198
Smith-Midland Corp.*		9,338		191,429
AZEK Company, Inc.*		8,528		173,289
Total Industrial				14,621,998
Consumer, Cyclical - 11.7%
H&E Equipment Services, Inc.		24,579		1,115,887
Rush Enterprises, Inc. — Class A		19,655		1,027,563
MSC Industrial Direct Company, Inc. — Class A		11,510		940,367
Meritage Homes Corp.*		8,962		826,296
Methode Electronics, Inc.		17,885		793,557
Alaska Air Group, Inc.*		17,426		748,273
UniFirst Corp.		1,795		346,417
Hawaiian Holdings, Inc.*		31,086		318,942
Marriott Vacations Worldwide Corp.		2,255		303,501
Leggett & Platt, Inc.		8,870		285,880
Lakeland Industries, Inc.*		21,184		281,747
Whirlpool Corp.		1,956		276,696
Macy’s, Inc.		13,170		271,961
Total Consumer, Cyclical				7,537,087
Consumer, Non-cyclical - 7.9%
Euronet Worldwide, Inc.*		10,865		1,025,438
Encompass Health Corp.		15,794		944,639
Ingredion, Inc.		8,376		820,262
Central Garden & Pet Co. — Class A*		15,598		558,408
Azenta, Inc.*		5,523		321,549
ICF International, Inc.		3,175		314,484
Perdoceo Education Corp.*		20,801		289,134
Jazz Pharmaceuticals plc*		1,337		212,998
Ironwood Pharmaceuticals, Inc. — Class A*		16,911		209,527
Integer Holdings Corp.*		2,929		200,520
Pacira BioSciences, Inc.*		4,408		170,193
Total Consumer, Non-cyclical				5,067,152
Utilities - 6.1%
OGE Energy Corp.		30,576		1,209,281
Black Hills Corp.		14,699		1,033,928
Spire, Inc.		7,249		499,166
Avista Corp.		9,559		423,846
ALLETE, Inc.		5,769		372,158
Pinnacle West Capital Corp.		4,642		352,978
Total Utilities				3,891,357
Energy - 5.4%
Pioneer Natural Resources Co.		9,473		2,163,538
CNX Resources Corp.*		40,226		677,406
Patterson-UTI Energy, Inc.		19,446		327,471

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
Ranger Oil Corp. — Class A		8,056	$	325,704
Total Energy				3,494,119
Technology - 4.1%
Science Applications International Corp.		7,631		846,507
MACOM Technology Solutions Holdings, Inc.*		8,201		516,499
Conduent, Inc.*		95,977		388,707
Silicon Laboratories, Inc.*		2,327		315,704
Power Integrations, Inc.		4,139		296,849
Amkor Technology, Inc.		12,311		295,218
Total Technology				2,659,484
Basic Materials - 3.8%
Huntsman Corp.		28,622		786,533
Ashland, Inc.		6,259		673,030
Avient Corp.		17,177		579,895
Commercial Metals Co.		8,977		433,589
Total Basic Materials				2,473,047
Communications - 2.5%
Ciena Corp.*		15,160		772,857
Infinera Corp.*		80,707		543,965
Gray Television, Inc.		25,944		290,313
Total Communications				1,607,135
Total Common Stocks
(Cost $54,725,313)				60,255,021
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,1		116,667		—
Total Convertible Preferred Stocks
(Cost $111,410)				—
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.*		81,258		46,398
Total Rights
(Cost $—)				46,398
EXCHANGE-TRADED FUNDS† - 4.4%
iShares Russell 2000 Value ETF		11,483		1,592,348
SPDR S&P Biotech ETF*		15,110		1,254,130
Total Exchange-Traded Funds
(Cost $2,513,295)				2,846,478
MONEY MARKET FUND† - 1.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%2		882,865		882,865
Total Money Market Fund
(Cost $882,865)				882,865
Total Investments - 99.5%
(Cost $58,232,883)			$	64,030,762
Other Assets & Liabilities, net - 0.5%				353,014
Total Net Assets - 100.0%			$	64,383,776

*	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	PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	60,255,021	$	—	$	—		$	60,255,021
Convertible Preferred Stocks		—		—		—	*		—
Rights		46,398		—		—			46,398
Exchange-Traded Funds		2,846,478		—		—			2,846,478
Money Market Fund		882,865		—		—			882,865
Total Assets	$	64,030,762	$	—	$	—		$	64,030,762

* Security has a market value of $0.

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

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $58,232,883)	$	64,030,762
Cash		4,148
Prepaid expenses		2,891
Receivables:
Securities sold		351,557
Dividends		87,155
Interest		4,266
Fund shares sold		128
Total assets		64,480,907
Liabilities:
Payable for:
Management fees		33,661
Professional fees		19,104
Fund shares redeemed		18,186
Distribution and service fees		13,788
Fund accounting/administration fees		2,101
Transfer agent/maintenance fees		2,078
Trustees’ fees*		1,629
Miscellaneous		6,584
Total liabilities		97,131
Net assets	$	64,383,776
Net assets consist of:
Paid in capital	$	53,893,498
Total distributable earnings (loss)		10,490,278
Net assets	$	64,383,776
Capital shares outstanding		1,522,557
Net asset value per share	$	42.29

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends	$	1,524,142
Interest		20,022
Total investment income		1,544,164
Expenses:
Management fees		505,296
Distribution and service fees		168,432
Transfer agent/maintenance fees		25,229
Fund accounting/administration fees		45,627
Professional fees		42,262
Trustees’ fees*		10,755
Custodian fees		4,087
Line of credit fees		1,806
Miscellaneous		11,459
Total expenses		814,953
Less:
Expenses reimbursed by Adviser:		(307	)
Expenses waived by Adviser		(59,679	)
Earnings credits applied		(13	)
Total waived/reimbursed expenses		(59,999	)
Net expenses		754,954
Net investment income		789,210
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		4,703,199
Net realized gain		4,703,199
Net change in unrealized appreciation (depreciation) on:
Investments		(8,393,736	)
Net change in unrealized appreciation (depreciation)		(8,393,736	)
Net realized and unrealized loss		(3,690,537	)
Net decrease in net assets resulting from operations	$	(2,901,327	)

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

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

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	789,210		$	454,119
Net realized gain on investments		4,703,199			7,938,808
Net change in unrealized appreciation (depreciation) on investments		(8,393,736	)		8,020,621
Net increase (decrease) in net assets resulting from operations		(2,901,327	)		16,413,548
Distributions to shareholders		(3,785,119	)		(557,150	)
Capital share transactions:
Proceeds from sale of shares		5,461,906			8,061,437
Distributions reinvested		3,785,119			557,150
Cost of shares redeemed		(12,013,440	)		(15,056,587	)
Net decrease from capital share transactions		(2,766,415	)		(6,438,000	)
Net increase (decrease) in net assets		(9,452,861	)		9,418,398
Net assets:
Beginning of year		73,836,637			64,418,239
End of year	$	64,383,776		$	73,836,637
Capital share activity:
Shares sold		124,259			179,207
Shares issued from reinvestment of distributions		93,460			12,764
Shares redeemed		(276,335	)		(338,001	)
Net decrease in shares		(58,616	)		(146,030	)

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

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	46.70		$	37.30		$	41.39		$	36.18		$	45.89
Income (loss) from investment operations:
Net investment income (loss)a		.51			.27			.32			.32			.30
Net gain (loss) on investments (realized and unrealized)		(2.37	)		9.47			(1.36	)		7.62			(5.28	)
Total from investment operations		(1.86	)		9.74			(1.04	)		7.94			(4.98	)
Less distributions from:
Net investment income		(.31	)		(.34	)		(.37	)		(.33	)		(.16	)
Net realized gains		(2.24	)		—			(2.68	)		(2.40	)		(4.57	)
Total distributions		(2.55	)		(.34	)		(3.05	)		(2.73	)		(4.73	)
Net asset value, end of period	$	42.29		$	46.70		$	37.30		$	41.39		$	36.18
Total Returnb		(3.74	%)		26.18	%		(0.97	%)		22.58	%		(12.66	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	64,384		$	73,837		$	64,418		$	74,015		$	68,349
Ratios to average net assets:
Net investment income (loss)		1.17	%		0.61	%		0.97	%		0.80	%		0.68	%
Total expensesc		1.21	%		1.21	%		1.29	%		1.29	%		1.26	%
Net expensesd,e		1.12	%		1.13	%		1.14	%		1.14	%		1.14	%
Portfolio turnover rate		38	%		32	%		32	%		54	%		37	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
1.12%	1.13%	1.13%	1.14%	1.14%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series V (SMid Cap Value Series, or the “Fund”) is managed by a team of seasoned professionals, led by James Schier, CFA, Senior Managing Director and Portfolio Manager; David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -1.86%, outperforming the Russell 2500 Value Index (“Index”), the Fund’s benchmark, which returned -13.08% for the same period.

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

After the market reached record highs at the end of 2021, it came under pressure as the Federal Reserve (the “Fed”) strove to contain inflation by raising rates and, at the same time, there was uncertainty over the Ukraine invasion. The Fund’s general focus towards quality companies (those with better balance sheets than peers) that meet our valuation parameters tended to position the holdings well in most sectors. In fact, the Fund produced a very significant positive contribution from its security selection and produced a significant positive contribution from its sector allocation. Stock selection relative to the benchmark was positive in all eleven sectors.

Stock selection within the Financials sector was the most significant positive contributor during the year. The Fund’s holdings in this sector gained 7.9% versus a 10.8% decline in the benchmark. First Horizon (a regional bank based in Memphis) gained 42% after receiving a take-over offer from Toronto-Dominion Bank. Allegheny Corporation (primarily a reinsurance company) received a merger offer from Berkshire Hathaway and gained more than 27%. Another significant contributor, UNUM Group, gained more than 73%. UNUM, a supplemental disability and health insurance company benefitted from lower COVID-related disability claims and strong payroll growth, given strong employment levels throughout the year. In addition, the reserves set aside for the closed long-term-care book of business benefited from higher fixed interest rates during the year.

During the year, Industrials was the second-most significant positive contributor. Valmont Industries, which designs and manufactures poles, towers and structures for lighting, communication, and utility markets, gained more than 30%, as infrastructure spending on these segments helped the company grow revenues and earnings. Science Applications International Corporation returned 35% for the year. This IT and consulting services provider to the government gained because of increased defense spending due to the Russian-Ukraine war.

Health care selection was the third most significant positive development as holdings in this sector increased 3.5% versus down 21.9% in the benchmark. Evolent Health Inc gained more than 2%. Evolent, a software company that develops cost-effective, high quality health care delivery and payment models, has had a successful year in booking new clients. The best performer in this sector for the Fund was Prothena Corp., up over 150%. Positive results from a competitor’s Alzeimer’s drug trial portend similar positive results for the company’s own Alzeimer’s drug trial.

The fourth most significant attribute in the year was the Energy sector. The slight overweighting of around 1% was magnified by the significant outperformance the sector recorded. Energy was the only sector that posted positive returns during the year and dwarfed the returns elsewhere in advancing almost 52%. The Fund’s holdings in this sector gained more than 67%. A focus on oil and gas exploration and development companies was a key to success. EQT Corp., a natural gas producer, was up over 65%, as natural gas prices spiked as a result of the Russian-Ukraine War and Europe’s supply of natural gas being curtailed. Pioneer Natural Resources, a Permian oil producer, performed extremely well as oil prices improved and the company exercised capital discipline throughout 2022. Additionally, an oil and natural gas service company, Patterson-UTI Energy, was up over 100% as the company’s oil and natural gas drilling rigs were put to work in the field.

The Fund’s largest detractor from performance was its holding in a Medicare health insurance broker, GoHealth, which was down around 70% for the year. A more intense competitive environment resulted in higher rate of insurance coverage changes and lower retention, which delayed a positive cashflow environment indefinitely. This holding has been sold out of the Fund.

Another negative contributor to the Fund’s performance was Daseke Inc., down around 43% for the year. The trucking company specializes in flatbed trailers, and the market was worried about an economic slowdown hurting demand.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 125

MANAGERS’ COMMENTARY (Unaudited)(concluded) December 31, 2022

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

The market outlook is unusually cloudy. In addition to the geopolitical uncertainty that appears to be potentially significant, the market must contend with a hawkish Federal Reserve. Together, this provides a challenging environment for economic growth. All of this, however, does not change our process, which is heavily bottoms up driven.

The Fund’s largest overweightings can be found in the Industrials, Materials and Consumer Staples sectors. Among the Industrials holdings, opportunities appear abundant especially among truckers, building products and distributors. In Materials, we can find many self-help situations in the chemical industry (opportunities companies possess to generate earnings growth that are not dependent on general macroeconomic conditions; these opportunities could include cost cutting, asset redeployment, or share repurchases). Many of these companies also benefit from low cost North American natural gas feedstock costs. The strategy also has an overweighting among packaging companies. Among Consumer Staples, the strategy has a significant presence in agricultural products, with weightings in Bunge and Ingredion.

The strategy’s largest underweighting can be found in Consumer Discretionary (4% versus 11%), Financials (18% versus 22%), and REITS (6% versus 11%). Generally, in Consumer Discretionary, many companies appear to be operating at near-peak profitability levels just as consumer spending is nearing an inflection point or plateauing at best. Among Financials, the strategy’s weighting is among insurance and banks but lacks exposure among more market sensitive sub-industries such as exchanges, asset managers, and mortgage REITs. Among property REITs, we are generally leery of overall leverage levels among companies that must roll over debt at ever higher interest rates.

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

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

126 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

SERIES V (SMID 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)
Pioneer Natural Resources Co.	4.3%
Bunge Ltd.	2.5%
Unum Group	2.4%
Ingredion, Inc.	2.2%
Prosperity Bancshares, Inc.	2.0%
OGE Energy Corp.	1.9%
Evolent Health, Inc. — Class A	1.8%
BOK Financial Corp.	1.7%
H&E Equipment Services, Inc.	1.7%
Pinnacle West Capital Corp.	1.6%
Top Ten Total	22.1%
“Ten Largest Holdings” excludes any temporary cash investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 127

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series V (SMid Cap Value Series)	(1.86%)	6.91%	9.70%
Russell 2500 Value Index	(13.08%)	4.75%	8.93%

*

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.

128 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES V (SMID CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 98.3%
Financial - 23.8%
Unum Group		96,805	$	3,971,909
Prosperity Bancshares, Inc.		46,351		3,368,791
BOK Financial Corp.		27,458		2,849,866
Physicians Realty Trust REIT		164,446		2,379,534
First Merchants Corp.		56,292		2,314,164
Texas Capital Bancshares, Inc.*		35,000		2,110,850
Old Republic International Corp.		75,587		1,825,426
Alexandria Real Estate Equities, Inc. REIT		11,382		1,658,016
Axis Capital Holdings Ltd.		29,809		1,614,754
Stifel Financial Corp.		26,146		1,526,142
Sun Communities, Inc. REIT		10,576		1,512,368
Old National Bancorp		79,106		1,422,326
Voya Financial, Inc.		21,525		1,323,572
Apple Hospitality REIT, Inc.		82,613		1,303,633
First American Financial Corp.		24,171		1,265,110
Gaming and Leisure Properties, Inc. REIT		19,571		1,019,453
Trustmark Corp.		27,785		969,974
SVB Financial Group*		3,895		896,395
Hancock Whitney Corp.		18,175		879,488
STAG Industrial, Inc. REIT		26,463		855,019
First Hawaiian, Inc.		32,761		853,097
Wintrust Financial Corp.		10,005		845,623
United Bankshares, Inc.		20,753		840,289
VICI Properties, Inc. REIT		24,514		794,254
United Community Banks, Inc.		22,235		751,543
Heritage Insurance Holdings, Inc.*		61,534		110,761
Total Financial				39,262,357
Industrial - 23.4%
Curtiss-Wright Corp.		16,040		2,678,520
Graphic Packaging Holding Co.		119,885		2,667,441
Kirby Corp.*		38,649		2,487,063
Valmont Industries, Inc.		7,478		2,472,750
Littelfuse, Inc.		10,214		2,249,123
Knight-Swift Transportation Holdings, Inc.		42,599		2,232,614
Johnson Controls International plc		32,961		2,109,504
MDU Resources Group, Inc.		67,949		2,061,573
Terex Corp.		47,683		2,037,018
Arcosa, Inc.		34,542		1,877,012
Enovis Corp.*		27,084		1,449,536
Daseke, Inc.*		244,873		1,393,327
GATX Corp.		11,670		1,240,988
PGT Innovations, Inc.*		68,573		1,231,571
Mercury Systems, Inc.*		26,161		1,170,443
Teledyne Technologies, Inc.*		2,786		1,114,149
Plexus Corp.*		9,638		992,040
Park Aerospace Corp.		73,696		988,263
Altra Industrial Motion Corp.		14,968		894,338
Sonoco Products Co.		14,545		883,027
Advanced Energy Industries, Inc.		10,258		879,931
EnerSys		11,333		836,828
Esab Corp.		17,760		833,299
Stoneridge, Inc.*		34,863		751,646
Coherent Corp.*		15,702		551,140
AZEK Company, Inc.*		22,006		447,162
Total Industrial				38,530,306
Consumer, Non-cyclical - 13.3%
Bunge Ltd.		40,835		4,074,108
Ingredion, Inc.		36,948		3,618,318
Euronet Worldwide, Inc.*		28,040		2,646,415
Encompass Health Corp.		40,473		2,420,690
Henry Schein, Inc.*		25,168		2,010,168
Integer Holdings Corp.*		22,585		1,546,169
Central Garden & Pet Co. — Class A*		43,114		1,543,481
Quest Diagnostics, Inc.		6,475		1,012,949
Azenta, Inc.*		14,247		829,460
ICF International, Inc.		8,167		808,942
Jazz Pharmaceuticals plc*		3,354		534,326
Ironwood Pharmaceuticals, Inc. — Class A*		42,997		532,733
Pacira BioSciences, Inc.*		11,211		432,856
Total Consumer, Non-cyclical				22,010,615
Consumer, Cyclical - 9.1%
H&E Equipment Services, Inc.		61,426		2,788,740
MSC Industrial Direct Company, Inc. — Class A		32,069		2,620,037
Methode Electronics, Inc.		43,794		1,943,140
Ralph Lauren Corp. — Class A		13,536		1,430,349
Alaska Air Group, Inc.*		32,117		1,379,104
UniFirst Corp.		4,638		895,088
PVH Corp.		11,908		840,586
Marriott Vacations Worldwide Corp.		5,658		761,510
Leggett & Platt, Inc.		22,402		722,017
Whirlpool Corp.		5,059		715,646
Lakeland Industries, Inc.*		35,963		478,308
Meritage Homes Corp.*		5,181		477,688
Total Consumer, Cyclical				15,052,213
Technology - 7.9%
Evolent Health, Inc. — Class A*		104,193		2,925,740
Science Applications International Corp.		23,262		2,580,453
Teradyne, Inc.		25,467		2,224,542
Leidos Holdings, Inc.		19,309		2,031,114
MACOM Technology Solutions Holdings, Inc.*		21,155		1,332,342
Silicon Laboratories, Inc.*		8,862		1,202,308
Power Integrations, Inc.		10,709		768,049
Total Technology				13,064,548
Basic Materials - 6.8%
Westlake Corp.		23,085		2,367,136
Huntsman Corp.		80,652		2,216,317
Reliance Steel & Aluminum Co.		9,765		1,976,826
Ashland, Inc.		17,628		1,895,539
Avient Corp.		46,496		1,569,705
Nucor Corp.		9,527		1,255,754
Total Basic Materials				11,281,277

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES V (SMID CAP VALUE SERIES)

	Shares		Value
Energy - 5.9%
Pioneer Natural Resources Co.		30,929	$	7,063,874
Diamondback Energy, Inc.		6,961		952,126
Kinder Morgan, Inc.		47,986		867,587
Patterson-UTI Energy, Inc.		49,799		838,615
HydroGen Corp.*,1,†††		672,346		1
Total Energy				9,722,203
Utilities - 4.9%
OGE Energy Corp.		78,870		3,119,309
Pinnacle West Capital Corp.		35,510		2,700,180
Black Hills Corp.		22,184		1,560,423
Spire, Inc.		9,347		643,634
Total Utilities				8,023,546
Communications - 3.2%
Ciena Corp.*		38,843		1,980,216
Infinera Corp.*		262,869		1,771,737
Fox Corp. — Class B		53,446		1,520,539
Total Communications				5,272,492
Total Common Stocks
(Cost $142,739,437)				162,219,557
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,2		308,333		1
Total Convertible Preferred Stocks
(Cost $294,438)				1
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.*		220,317		125,801
Total Rights
(Cost $—)				125,801
MONEY MARKET FUND† - 1.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%3		2,671,868		2,671,868
Total Money Market Fund
(Cost $2,671,868)				2,671,868
Total Investments - 100.0%
(Cost $145,705,743)			$	165,017,227
Other Assets & Liabilities, net - 0.0%				50,938
Total Net Assets - 100.0%			$	165,068,165

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer.
2	PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
3	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	162,219,556	$	—	$	1	$	162,219,557
Convertible Preferred Stocks		—		—		1		1
Rights		125,801		—		—		125,801
Money Market Fund		2,671,868		—		—		2,671,868
Total Assets	$	165,017,225	$	—	$	2	$	165,017,227

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES V (SMID CAP VALUE SERIES)

Affiliated Transactions

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

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 12/31/22		Shares 12/31/22		Investment Income
Common Stock
HydroGen Corp.*	$	1	$	—	$	—	$	—	$	—	$	1		672,346	$	—

* Non-income producing security.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 131

SERIES V (SMID CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $143,134,168)	$	165,017,226
Investments in affiliated issuers, at value (cost $2,571,575)		1
Cash		6,099
Prepaid expenses		4,026
Receivables:
Dividends		226,484
Interest		7,519
Total assets		165,261,355
Liabilities:
Payable for:
Management fees		78,152
Fund shares redeemed		47,252
Distribution and service fees		35,469
Professional fees		18,067
Fund accounting/administration fees		2,761
Transfer agent/maintenance fees		2,526
Trustees’ fees*		256
Due to Investment Adviser		116
Miscellaneous		8,591
Total liabilities		193,190
Net assets	$	165,068,165
Net assets consist of:
Paid in capital	$	132,130,095
Total distributable earnings (loss)		32,938,070
Net assets	$	165,068,165
Capital shares outstanding		2,303,527
Net asset value per share	$	71.66

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers	$	3,804,496
Interest		55,080
Total investment income		3,859,576
Expenses:
Management fees		1,288,014
Distribution and service fees		429,338
Transfer agent/maintenance fees		24,939
Fund accounting/administration fees		101,395
Professional fees		62,692
Trustees’ fees*		8,807
Custodian fees		5,161
Line of credit fees		4,605
Miscellaneous		10,544
Recoupment of previously waived fees		116
Total expenses		1,935,611
Less:
Expenses waived by Adviser		(406,069	)
Earnings credits applied		(243	)
Total waived expenses		(406,312	)
Net expenses		1,529,299
Net investment income		2,330,277
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		13,613,515
Net realized gain		13,613,515
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(19,694,434	)
Net change in unrealized appreciation (depreciation)		(19,694,434	)
Net realized and unrealized loss		(6,080,919	)
Net decrease in net assets resulting from operations	$	(3,750,642	)

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

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

SERIES V (SMID CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,330,277		$	1,441,071
Net realized gain on investments		13,613,515			23,340,393
Net change in unrealized appreciation (depreciation) on investments		(19,694,434	)		14,828,004
Net increase (decrease) in net assets resulting from operations		(3,750,642	)		39,609,468
Distributions to shareholders		(20,034,393	)		(3,140,125	)
Capital share transactions:
Proceeds from sale of shares		3,018,349			5,172,278
Distributions reinvested		20,034,393			3,140,125
Cost of shares redeemed		(21,572,513	)		(29,848,950	)
Net increase (decrease) from capital share transactions		1,480,229			(21,536,547	)
Net increase (decrease) in net assets		(22,304,806	)		14,932,796
Net assets:
Beginning of year		187,372,971			172,440,175
End of year	$	165,068,165		$	187,372,971
Capital share activity:
Shares sold		39,400			64,686
Shares issued from reinvestment of distributions		293,201			40,140
Shares redeemed		(283,522	)		(374,637	)
Net increase (decrease) in shares		49,079			(269,811	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 133

SERIES V (SMID 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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	83.11		$	68.31		$	69.18		$	61.70		$	82.36
Income (loss) from investment operations:
Net investment income (loss)a		1.03			.61			1.21			.68			.53
Net gain (loss) on investments (realized and unrealized)		(3.04	)		15.53			1.10	f		15.01			(9.07	)
Total from investment operations		(2.01	)		16.14			2.31			15.69			(8.54	)
Less distributions from:
Net investment income		(.70	)		(1.34	)		(.77	)		(.64	)		(.49	)
Net realized gains		(8.74	)		—			(2.41	)		(7.57	)		(11.63	)
Total distributions		(9.44	)		(1.34	)		(3.18	)		(8.21	)		(12.12	)
Net asset value, end of period	$	71.66		$	83.11		$	68.31		$	69.18		$	61.70
Total Returnb		(1.86	%)		23.75	%		4.30	%		26.70	%		(12.97	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	165,068		$	187,373		$	172,440		$	195,207		$	176,113
Ratios to average net assets:
Net investment income (loss)		1.36	%		0.76	%		2.05	%		1.01	%		0.68	%
Total expensesc		1.13	%		1.14	%		1.22	%		1.19	%		1.19	%
Net expensesd,e		0.89	%		0.90	%		0.90	%		0.91	%		0.91	%
Portfolio turnover rate		40	%		34	%		38	%		41	%		65	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.89%	0.90%	0.90%	0.91%	0.91%

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

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series X (StylePlus^TM—Small Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -26.61%, underperforming the Russell 2000 Growth Index (“Index”), the Fund’s benchmark, which returned -26.36% for the same period.

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

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

For the Reporting Period, the Fund underperformed the Russell 2000 Growth Index by 0.3% net of fees. During this Reporting Period, active equity and active fixed income contributed +2.3% and -0.7% to the Fund’s relative return differential, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 135

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: October 15, 1997

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund III	30.8%
Guggenheim Variable Insurance Strategy Fund III	28.1%
Guggenheim Strategy Fund II	10.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	1.2%
UFP Industries, Inc.	0.4%
Mueller Industries, Inc.	0.4%
Albany International Corp. — Class A	0.3%
AMN Healthcare Services, Inc.	0.3%
Diodes, Inc.	0.3%
Rambus, Inc.	0.3%
Top Ten Total	72.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

136 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series X (StylePlus—Small Growth Series)	(26.61%)	3.05%	9.37%
Russell 2000 Growth Index	(26.36%)	3.51%	9.20%

*

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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 137

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 25.0%
Industrial - 5.8%
UFP Industries, Inc.		1,332	$	105,484
Mueller Industries, Inc.		1,457		85,963
Albany International Corp. — Class A		816		80,449
Advanced Energy Industries, Inc.		814		69,825
Standex International Corp.		670		68,615
Park Aerospace Corp.		4,570		61,284
Hillenbrand, Inc.		1,372		58,543
Fabrinet*		454		58,212
Dorian LPG Ltd.		3,034		57,494
Comfort Systems USA, Inc.		499		57,425
Applied Industrial Technologies, Inc.		437		55,075
Encore Wire Corp.		377		51,860
PGT Innovations, Inc.*		2,851		51,204
Sturm Ruger & Company, Inc.		1,007		50,974
Eagle Materials, Inc.		375		49,819
OSI Systems, Inc.*		568		45,167
Matson, Inc.		701		43,820
Simpson Manufacturing Company, Inc.		458		40,606
Louisiana-Pacific Corp.		616		36,467
Lindsay Corp.		217		35,339
Acuity Brands, Inc.		213		35,275
Boise Cascade Co.		496		34,060
Insteel Industries, Inc.		1,204		33,134
Myers Industries, Inc.		1,464		32,545
CTS Corp.		683		26,924
Griffon Corp.		529		18,933
EnPro Industries, Inc.		173		18,803
Arcosa, Inc.		331		17,986
Plexus Corp.*		174		17,910
Total Industrial				1,399,195
Consumer, Non-cyclical - 4.5%
AMN Healthcare Services, Inc.*		775		79,685
Prestige Consumer Healthcare, Inc.*		1,189		74,431
Cytokinetics, Inc.*		1,479		67,768
EVERTEC, Inc.		1,974		63,918
Ironwood Pharmaceuticals, Inc. — Class A*		4,667		57,824
Alarm.com Holdings, Inc.*		1,136		56,209
Supernus Pharmaceuticals, Inc.*		1,418		50,580
Xencor, Inc.*		1,705		44,398
Innoviva, Inc.*		3,298		43,698
Catalyst Pharmaceuticals, Inc.*		2,271		42,241
USANA Health Sciences, Inc.*		752		40,006
Vir Biotechnology, Inc.*		1,558		39,433
Collegium Pharmaceutical, Inc.*		1,473		34,174
Pacira BioSciences, Inc.*		885		34,170
Varex Imaging Corp.*		1,590		32,277
Medifast, Inc.		273		31,491
Dynavax Technologies Corp.*		2,775		29,526
Corcept Therapeutics, Inc.*		1,398		28,393
Fulgent Genetics, Inc.*		941		28,023
Amphastar Pharmaceuticals, Inc.*		925		25,919
Vanda Pharmaceuticals, Inc.*		3,326		24,579
Eagle Pharmaceuticals, Inc.*		822		24,027
Arcus Biosciences, Inc.*		1,148		23,741
REGENXBIO, Inc.*		939		21,297
Hostess Brands, Inc.*		916		20,555
Ensign Group, Inc.		193		18,260
Exelixis, Inc.*		1,129		18,109
Merit Medical Systems, Inc.*		255		18,008
Cal-Maine Foods, Inc.		316		17,206
Total Consumer, Non-cyclical				1,089,946
Technology - 4.3%
Diodes, Inc.*		1,046		79,642
Rambus, Inc.*		2,141		76,691
Axcelis Technologies, Inc.*		803		63,726
Kulicke & Soffa Industries, Inc.		1,403		62,097
Progress Software Corp.		1,212		61,145
Onto Innovation, Inc.*		878		59,783
SPS Commerce, Inc.*		459		58,949
Veeco Instruments, Inc.*		2,518		46,784
CSG Systems International, Inc.		742		42,442
MaxLinear, Inc. — Class A*		1,104		37,481
Synaptics, Inc.*		392		37,303
Avid Technology, Inc.*		1,355		36,030
Cohu, Inc.*		1,110		35,576
Ultra Clean Holdings, Inc.*		1,065		35,305
Cirrus Logic, Inc.*		455		33,888
TTEC Holdings, Inc.		759		33,495
Agilysys, Inc.*		403		31,894
SMART Global Holdings, Inc.*		1,876		27,915
Digital Turbine, Inc.*		1,825		27,813
CEVA, Inc.*		1,012		25,887
Veradigm, Inc.*		1,304		23,003
ACI Worldwide, Inc.*		904		20,792
Alpha & Omega Semiconductor Ltd.*		690		19,713
Teradata Corp.*		564		18,984
CommVault Systems, Inc.*		293		18,412
NetScout Systems, Inc.*		550		17,880
Total Technology				1,032,630
Consumer, Cyclical - 3.7%
Wyndham Hotels & Resorts, Inc.		895		63,823
Methode Electronics, Inc.		1,101		48,851
GMS, Inc.*		975		48,555
Asbury Automotive Group, Inc.*		251		44,992
Oxford Industries, Inc.		481		44,820
Installed Building Products, Inc.		523		44,769
Academy Sports & Outdoors, Inc.		850		44,659
Buckle, Inc.		895		40,588
Patrick Industries, Inc.		667		40,420
Sally Beauty Holdings, Inc.*		3,224		40,365
Cavco Industries, Inc.*		175		39,594
LCI Industries		398		36,795
Winnebago Industries, Inc.		683		35,994
Jack in the Box, Inc.		481		32,819
Dine Brands Global, Inc.		469		30,297
Children’s Place, Inc.*		830		30,229
Movado Group, Inc.		913		29,444

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
Shoe Carnival, Inc.		1,199	$	28,668
Six Flags Entertainment Corp.*		1,194		27,760
Golden Entertainment, Inc.*		689		25,769
Boyd Gaming Corp.		446		24,320
Steven Madden Ltd.		737		23,554
Sleep Number Corp.*		808		20,992
Vista Outdoor, Inc.*		801		19,520
UniFirst Corp.		100		19,299
AutoNation, Inc.*		174		18,670
Total Consumer, Cyclical				905,566
Financial - 3.1%
Preferred Bank/Los Angeles CA		1,011		75,441
National Bank Holdings Corp. — Class A		1,641		69,037
Hanmi Financial Corp.		2,444		60,489
Central Pacific Financial Corp.		2,975		60,333
First BanCorp		4,622		58,792
Southside Bancshares, Inc.		1,591		57,260
Brightsphere Investment Group, Inc.		2,690		55,360
FB Financial Corp.		1,461		52,800
Hilltop Holdings, Inc.		1,320		39,613
Ameris Bancorp		829		39,079
Virtus Investment Partners, Inc.		160		30,631
CVB Financial Corp.		953		24,540
Dime Community Bancshares, Inc.		730		23,236
Enova International, Inc.*		514		19,722
First Hawaiian, Inc.		739		19,244
NBT Bancorp, Inc.		438		19,018
Agree Realty Corp. REIT		259		18,371
Mr Cooper Group, Inc.*		448		17,978
Triumph Financial, Inc.*		345		16,860
Total Financial				757,804
Communications - 1.2%
Extreme Networks, Inc.*		3,016		55,223
HealthStream, Inc.*		1,728		42,923
InterDigital, Inc.		800		39,584
Viavi Solutions, Inc.*		3,481		36,585
A10 Networks, Inc.		2,090		34,757
Harmonic, Inc.*		2,652		34,741
Perficient, Inc.*		373		26,047
ADTRAN Holdings, Inc.		1,047		19,673
Total Communications				289,533
Energy - 1.2%
SM Energy Co.		1,960		68,267
Antero Midstream Corp.		5,757		62,118
DT Midstream, Inc.		1,087		60,068
Civitas Resources, Inc.		663		38,407
Helmerich & Payne, Inc.		389		19,283
Patterson-UTI Energy, Inc.		1,108		18,659
Laredo Petroleum, Inc.*		357		18,357
Total Energy				285,159
Basic Materials - 1.0%
HB Fuller Co.		825		59,086
Livent Corp.*		2,863		56,888
Balchem Corp.		416		50,798
Ingevity Corp.*		502		35,361
AdvanSix, Inc.		877		33,344
Innospec, Inc.		179		18,412
Total Basic Materials				253,889
Utilities - 0.2%
South Jersey Industries, Inc.		1,036		36,809
SJW Group		237		19,242
Total Utilities				56,051
Health Care - 0.0%
Ligand Pharmaceuticals Inc*,††		89		—
Ligand Pharmaceuticals Inc*,††		89		—
Total Health Care				—
Total Common Stocks
(Cost $6,249,452)				6,069,773
MUTUAL FUNDS† - 70.7%
Guggenheim Strategy Fund III1		310,680		7,474,966
Guggenheim Variable Insurance Strategy Fund III1		283,678		6,828,127
Guggenheim Strategy Fund II1		107,648		2,587,860
Guggenheim Ultra Short Duration Fund — Institutional Class1		29,925		288,481
Total Mutual Funds
(Cost $17,688,941)				17,179,434
MONEY MARKET FUND† - 2.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 3.90%2		579,212		579,212
Total Money Market Fund
(Cost $579,212)				579,212
Total Investments - 98.1%
(Cost $24,517,605)			$	23,828,419
Other Assets & Liabilities, net - 1.9%				464,312
Total Net Assets - 100.0%			$	24,292,731

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 139

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
Russell 2000 Index Mini Futures Contracts		4		Mar 2023	$	354,260	$	(12,605	)
S&P MidCap 400 Index Mini Futures Contracts		2		Mar 2023		488,660		(14,358	)
					$	842,920	$	(26,963	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo Bank, N.A.

Russell 2000 Growth Index

Pay

4.31% (Federal Funds Rate - 0.02%)

At Maturity

06/28/23

2,276

$

17,965,970

$

455,885

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	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 December 31, 2022 (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	$	6,069,773	$	—	*	$	—	$	6,069,773
Mutual Funds		17,179,434		—			—		17,179,434
Money Market Fund		579,212		—			—		579,212
Equity Index Swap Agreements**		—		455,885			—		455,885
Total Assets	$	23,828,419	$	455,885		$	—	$	24,284,304

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	26,963	$	—	$	—	$	26,963

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

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

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2022, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	6,675,169	$	7,535,898	$	(11,487,950	)	$	(138,996	)	$	3,739		$	2,587,860		107,648	$	107,792
Guggenheim Strategy Fund III		9,233,350		739,610		(2,146,772	)		(65,944	)		(285,278	)		7,474,966		310,680		238,379
Guggenheim Ultra Short Duration Fund — Institutional Class		3,333,685		7,697		(3,041,984	)		(19,829	)		8,912			288,481		29,925		7,789
Guggenheim Variable Insurance Strategy Fund III		8,963,296		948,438		(2,787,978	)		(61,913	)		(233,716	)		6,828,127		283,678		197,355
	$	28,205,500	$	9,231,643	$	(19,464,684	)	$	(286,682	)	$	(506,343	)	$	17,179,434			$	551,315

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 141

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $6,828,664)	$	6,648,985
Investments in affiliated issuers, at value (cost $17,688,941)		17,179,434
Cash		134,271
Segregated cash with broker		51,000
Unrealized appreciation on OTC swap agreements		455,885
Prepaid expenses		2,339
Receivables:
Dividends		79,169
Fund shares sold		10,024
Interest		2,591
Total assets		24,563,698
Liabilities:
Segregated cash due to broker		120,000
Payable for:
Securities purchased		75,458
Professional fees		22,749
Fund shares redeemed		17,411
Management fees		5,573
Distribution and service fees		5,140
Swap settlement		4,193
Variation margin on futures contracts		3,700
Transfer agent/maintenance fees		2,075
Fund accounting/administration fees		1,471
Trustees’ fees*		678
Miscellaneous		12,519
Total liabilities		270,967
Net assets	$	24,292,731
Net assets consist of:
Paid in capital	$	33,164,880
Total distributable earnings (loss)		(8,872,149	)
Net assets	$	24,292,731
Capital shares outstanding		1,085,306
Net asset value per share	$	22.38

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $279)	$	94,057
Dividends from securities of affiliated issuers		551,315
Interest		2,666
Total investment income		648,038
Expenses:
Management fees		208,377
Distribution and service fees		69,293
Transfer agent/maintenance fees		25,209
Professional fees		38,332
Fund accounting/administration fees		26,717
Trustees’ fees*		10,051
Custodian fees		9,457
Line of credit fees		813
Miscellaneous		8,858
Total expenses		397,107
Less:
Expenses reimbursed by Adviser:		(778	)
Expenses waived by Adviser		(105,856	)
Earnings credits applied		(841	)
Total waived/reimbursed expenses		(107,475	)
Net expenses		289,632
Net investment income		358,406
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(153,306	)
Investments in affiliated issuers		(286,682	)
Swap agreements		(8,395,894	)
Futures contracts		(88,803	)
Net realized loss		(8,924,685	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,121,138	)
Investments in affiliated issuers		(506,343	)
Swap agreements		555,481
Futures contracts		(52,827	)
Net change in unrealized appreciation (depreciation)		(1,124,827	)
Net realized and unrealized loss		(10,049,512	)
Net decrease in net assets resulting from operations	$	(9,691,106	)

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

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

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	358,406		$	84,462
Net realized gain (loss) on investments		(8,924,685	)		9,676,123
Net change in unrealized appreciation (depreciation) on investments		(1,124,827	)		(7,232,395	)
Net increase (decrease) in net assets resulting from operations		(9,691,106	)		2,528,190
Distributions to shareholders		(8,952,911	)		(1,474,151	)
Capital share transactions:
Proceeds from sale of shares		613,968			971,520
Distributions reinvested		8,952,911			1,474,151
Cost of shares redeemed		(3,640,657	)		(4,478,015	)
Net increase (decrease) from capital share transactions		5,926,222			(2,032,344	)
Net decrease in net assets		(12,717,795	)		(978,305	)
Net assets:
Beginning of year		37,010,526			37,988,831
End of year	$	24,292,731		$	37,010,526
Capital share activity:
Shares sold		21,194			20,250
Shares issued from reinvestment of distributions		382,440			32,292
Shares redeemed		(122,777	)		(93,977	)
Net increase (decrease) in shares		280,857			(41,435	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 143

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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	46.01		$	44.91		$	34.53		$	30.87		$	40.19
Income (loss) from investment operations:
Net investment income (loss)a		.38			.10			.17			.42			.56
Net gain (loss) on investments (realized and unrealized)		(12.10	)		2.82			10.65			7.28			(3.33	)
Total from investment operations		(11.72	)		2.92			10.82			7.70			(2.77	)
Less distributions from:
Net investment income		(.11	)		(.19	)		(.44	)		(.22	)		(.43	)
Net realized gains		(11.80	)		(1.63	)		—			(3.82	)		(6.12	)
Total distributions		(11.91	)		(1.82	)		(.44	)		(4.04	)		(6.55	)
Net asset value, end of period	$	22.38		$	46.01		$	44.91		$	34.53		$	30.87
Total Returnb		(26.61	%)		6.54	%		31.82	%		25.68	%		(10.30	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24,293		$	37,011		$	37,989		$	33,036		$	28,644
Ratios to average net assets:
Net investment income (loss)		1.29	%		0.22	%		0.49	%		1.24	%		1.42	%
Total expensesc		1.43	%		1.39	%		1.50	%		1.62	%		1.47	%
Net expensesd,e,f		1.05	%		1.00	%		1.02	%		1.11	%		1.12	%
Portfolio turnover rate		73	%		64	%		86	%		59	%		65	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.00%*

* Less than 0.01%.

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
1.04%	1.00%	1.01%	1.03%	1.06%

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

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series Y (StylePlus^TM—Large Growth Series, or the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Qi Yan, Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -30.69%, underperforming the Russell 1000 Growth Index (“Index”), the Fund’s benchmark, which returned -29.14% for the same period.

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

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

For the Reporting Period, the Fund underperformed the Russell 1000 Growth Index by 1.6% net of fees. During this Reporting Period, active equity and active fixed income contributed +1.2% and -0.8% to the Fund’s relative return differential, respectively. The remainder resulted from equity index swap cost, implementation shortfall and Fund’s expenses.

How did the Fund use derivatives during the Reporting Period?

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 145

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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

Inception Date: May 3, 1999

Ten Largest Holdings	(% of Total Net Assets)
Guggenheim Strategy Fund III	27.7%
Guggenheim Variable Insurance Strategy Fund III	26.8%
Guggenheim Strategy Fund II	12.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	10.1%
Apple, Inc.	2.3%
Alphabet, Inc. — Class C	1.4%
Microsoft Corp.	1.1%
Visa, Inc. — Class A	0.6%
Exxon Mobil Corp.	0.5%
Pfizer, Inc.	0.5%
Top Ten Total	83.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

146 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series Y (StylePlus—Large Growth Series)	(30.69%)	9.52%	13.27%
Russell 1000 Growth Index	(29.14%)	10.96%	14.10%

*

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 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 147

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 21.3%
Technology - 6.4%
Apple, Inc.		6,511	$	845,974
Microsoft Corp.		1,689		405,056
QUALCOMM, Inc.		1,273		139,953
Applied Materials, Inc.		1,108		107,897
NVIDIA Corp.		721		105,367
KLA Corp.		226		85,209
NXP Semiconductor N.V.		536		84,704
Microchip Technology, Inc.		1,131		79,453
ON Semiconductor Corp.*		1,224		76,341
Qorvo, Inc.*		812		73,600
Skyworks Solutions, Inc.		794		72,357
Seagate Technology Holdings plc		1,356		71,339
Broadcom, Inc.		124		69,332
NetApp, Inc.		1,105		66,367
HP, Inc.		2,247		60,377
Adobe, Inc.*		74		24,903
Total Technology				2,368,229
Consumer, Non-cyclical - 5.6%
Pfizer, Inc.		3,548		181,799
AbbVie, Inc.		1,065		172,115
UnitedHealth Group, Inc.		299		158,524
Regeneron Pharmaceuticals, Inc.*		166		119,767
Amgen, Inc.		413		108,470
Merck & Company, Inc.		960		106,512
Johnson & Johnson		593		104,753
Vertex Pharmaceuticals, Inc.*		344		99,340
Quest Diagnostics, Inc.		592		92,612
Hershey Co.		396		91,702
Hologic, Inc.*		1,206		90,221
PepsiCo, Inc.		475		85,813
Incyte Corp.*		1,060		85,139
Procter & Gamble Co.		536		81,236
Molina Healthcare, Inc.*		231		76,281
United Rentals, Inc.*		214		76,060
Coca-Cola Co.		1,170		74,424
Eli Lilly & Co.		186		68,046
Elevance Health, Inc.		111		56,940
Gilead Sciences, Inc.		584		50,137
Bristol-Myers Squibb Co.		648		46,624
Thermo Fisher Scientific, Inc.		55		30,288
Danaher Corp.		90		23,888
Total Consumer, Non-cyclical				2,080,691
Communications - 2.3%
Alphabet, Inc. — Class C*		6,029		534,953
Amazon.com, Inc.*		1,253		105,252
VeriSign, Inc.*		442		90,805
Cisco Systems, Inc.		1,686		80,321
Meta Platforms, Inc. — Class A*		335		40,314
Total Communications				851,645
Energy - 2.0%
Exxon Mobil Corp.		1,767		194,900
Chevron Corp.		817		146,643
ONEOK, Inc.		1,363		89,549
Occidental Petroleum Corp.		1,408		88,690
APA Corp.		1,895		88,459
Targa Resources Corp.		1,188		87,318
ConocoPhillips		359		42,362
Total Energy				737,921
Consumer, Cyclical - 1.9%
McDonald’s Corp.		485		127,812
AutoZone, Inc.*		40		98,647
Lowe’s Companies, Inc.		493		98,225
Yum! Brands, Inc.		724		92,730
Tesla, Inc.*		704		86,719
Home Depot, Inc.		230		72,648
NVR, Inc.*		15		69,189
Bath & Body Works, Inc.		1,430		60,260
Total Consumer, Cyclical				706,230
Industrial - 1.6%
Nordson Corp.		367		87,243
Pentair plc		1,868		84,023
A O Smith Corp.		1,439		82,368
Sealed Air Corp.		1,627		81,155
Otis Worldwide Corp.		954		74,708
Fortune Brands Innovations, Inc.		1,163		66,419
Masco Corp.		1,390		64,871
Caterpillar, Inc.		105		25,154
Lockheed Martin Corp.		50		24,324
Masterbrand, Inc.*		1,163		8,781
Total Industrial				599,046
Financial - 1.1%
Visa, Inc. — Class A		1,114		231,444
Mastercard, Inc. — Class A		263		91,453
Goldman Sachs Group, Inc.		110		37,772
Prologis, Inc. REIT		300		33,819
Progressive Corp.		190		24,645
Total Financial				419,133
Basic Materials - 0.4%
CF Industries Holdings, Inc.		878		74,806
Nucor Corp.		373		49,165
Total Basic Materials				123,971
Total Common Stocks
(Cost $8,213,149)				7,886,866

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
MUTUAL FUNDS† - 77.2%
Guggenheim Strategy Fund III1		427,250	$	10,279,629
Guggenheim Variable Insurance Strategy Fund III1		412,593		9,931,120
Guggenheim Strategy Fund II1		193,491		4,651,513
Guggenheim Ultra Short Duration Fund — Institutional Class1		388,217		3,742,412
Total Mutual Funds
(Cost $29,486,971)				28,604,674
Total Investments - 98.5%
(Cost $37,700,120)			$	36,491,540
Other Assets & Liabilities, net - 1.5%				569,436
Total Net Assets - 100.0%			$	37,060,976

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Equity Futures Contracts Purchased†
NASDAQ-100 Index Mini Futures Contracts		2		Mar 2023	$	440,920	$	(32,336	)
S&P 500 Index Mini Futures Contracts		4		Mar 2023		772,300		(32,655	)
					$	1,213,220	$	(64,991	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Equity Index Swap Agreements††

Wells Fargo Bank, N.A.

Russell 1000 Growth Index

Pay

4.56% (Federal Funds Rate + 0.23%)

At Maturity

06/28/23

12,763

$

27,966,668

$

532,587

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 149

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	7,886,866	$	—	$	—	$	7,886,866
Mutual Funds		28,604,674		—		—		28,604,674
Equity Index Swap Agreements**		—		532,587		—		532,587
Total Assets	$	36,491,540	$	532,587	$	—	$	37,024,127

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	64,991	$	—	$	—	$	64,991

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

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2022, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000182126822000340/gug84768.htm. The Fund may invest in certain of the underlying series of Guggenheim Funds Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended December 31, 2022, in which the company is an affiliated issuer, were as follows:

Security Name	Value 12/31/21		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 12/31/22		Shares 12/31/22		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	8,709,839	$	11,246,699	$	(15,090,906	)	$	(192,372	)	$	(21,747	)	$	4,651,513		193,491	$	155,158
Guggenheim Strategy Fund III		14,184,016		2,568,946		(5,930,252	)		(165,742	)		(377,339	)		10,279,629		427,250		349,331
Guggenheim Ultra Short Duration Fund — Institutional Class		9,222,929		87,109		(5,456,983	)		(31,221	)		(79,422	)		3,742,412		388,217		86,649
Guggenheim Variable Insurance Strategy Fund III		12,887,874		285,221		(2,821,955	)		(63,097	)		(356,923	)		9,931,120		412,593		283,630
	$	45,004,658	$	14,187,975	$	(29,300,096	)	$	(452,432	)	$	(835,431	)	$	28,604,674			$	874,768

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

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments in unaffiliated issuers, at value (cost $8,213,149)	$	7,886,866
Investments in affiliated issuers, at value (cost $29,486,971)		28,604,674
Cash		369,856
Segregated cash with broker		78,000
Unrealized appreciation on OTC swap agreements		532,587
Prepaid expenses		2,465
Receivables:
Dividends		115,007
Fund shares sold		11,857
Interest		4,989
Total assets		37,606,301
Liabilities:
Segregated cash due to broker		350,000
Payable for:
Securities purchased		119,379
Management fees		9,992
Distribution and service fees		7,881
Swap settlement		6,950
Fund shares redeemed		3,897
Variation margin on futures contracts		2,440
Transfer agent/maintenance fees		2,189
Fund accounting/administration fees		1,592
Trustees’ fees*		590
Miscellaneous		40,415
Total liabilities		545,325
Net assets	$	37,060,976
Net assets consist of:
Paid in capital	$	47,050,246
Total distributable earnings (loss)		(9,989,270	)
Net assets	$	37,060,976
Capital shares outstanding		2,693,016
Net asset value per share	$	13.76

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $251)	$	92,995
Dividends from securities of affiliated issuers		874,768
Interest		19,955
Total investment income		987,718
Expenses:
Management fees		284,371
Distribution and service fees		109,119
Transfer agent/maintenance fees		25,409
Professional fees		41,166
Fund accounting/administration fees		32,812
Interest expense		11,042
Custodian fees		8,881
Trustees’ fees*		7,393
Line of credit fees		1,366
Miscellaneous		7,769
Total expenses		529,328
Less:
Expenses reimbursed by Adviser:		(3	)
Expenses waived by Adviser		(128,545	)
Earnings credits applied		(1,360	)
Total waived/reimbursed expenses		(129,908	)
Net expenses		399,420
Net investment income		588,298
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		364,926
Investments in affiliated issuers		(452,432	)
Swap agreements		(9,485,398	)
Futures contracts		(185,509	)
Net realized loss		(9,758,413	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,982,044	)
Investments in affiliated issuers		(835,431	)
Swap agreements		(4,210,414	)
Futures contracts		(89,990	)
Net change in unrealized appreciation (depreciation)		(8,117,879	)
Net realized and unrealized loss		(17,876,292	)
Net decrease in net assets resulting from operations	$	(17,287,994	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 151

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	588,298		$	181,755
Net realized gain (loss) on investments		(9,758,413	)		11,923,708
Net change in unrealized appreciation (depreciation) on investments		(8,117,879	)		1,024,676
Net increase (decrease) in net assets resulting from operations		(17,287,994	)		13,130,139
Distributions to shareholders		(10,472,266	)		(11,035,296	)
Capital share transactions:
Proceeds from sale of shares		2,650,703			3,689,459
Distributions reinvested		10,472,266			11,035,296
Cost of shares redeemed		(6,278,669	)		(8,320,164	)
Net increase from capital share transactions		6,844,300			6,404,591
Net increase (decrease) in net assets		(20,915,960	)		8,499,434
Net assets:
Beginning of year		57,976,936			49,477,502
End of year	$	37,060,976		$	57,976,936
Capital share activity:
Shares sold		134,492			141,529
Shares issued from reinvestment of distributions		690,327			457,516
Shares redeemed		(329,923	)		(319,534	)
Net increase in shares		494,896			279,511

152 | THE GUGGENHEIM FUNDS 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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	26.38		$	25.79		$	19.82		$	16.47		$	20.30
Income (loss) from investment operations:
Net investment income (loss)a		.24			.09			.16			.28			.34
Net gain (loss) on investments (realized and unrealized)		(7.87	)		6.51			7.07			5.13			(.63	)
Total from investment operations		(7.63	)		6.60			7.23			5.41			(.29	)
Less distributions from:
Net investment income		(.09	)		(.17	)		(.28	)		(.38	)		(.34	)
Net realized gains		(4.90	)		(5.84	)		(.98	)		(1.68	)		(3.20	)
Total distributions		(4.99	)		(6.01	)		(1.26	)		(2.06	)		(3.54	)
Net asset value, end of period	$	13.76		$	26.38		$	25.79		$	19.82		$	16.47
Total Returnb		(30.69	%)		27.77	%		37.87	%		33.92	%		(3.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,061		$	57,977		$	49,478		$	40,187		$	31,737
Ratios to average net assets:
Net investment income (loss)		1.34	%		0.34	%		0.73	%		1.51	%		1.70	%
Total expensesc		1.21	%		1.20	%		1.29	%		1.44	%		1.38	%
Net expensesd,e,f		0.92	%		0.88	%		0.88	%		0.97	%		1.02	%
Portfolio turnover rate		65	%		40	%		66	%		47	%		59	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
—	—	—	—	0.00%*

* Less than 0.01%.

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

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
0.89%	0.87%	0.88%	0.90%	0.93%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 153

MANAGERS’ COMMENTARY (Unaudited) December 31, 2022

To Our Shareholders

The Series Z (Alpha Opportunity Series) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance for the 12-month period ended December 31, 2022 (the “Reporting Period”).

For the Reporting Period, the Fund provided a total return of -8.53%, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index (“Index”), the Fund’s benchmark, which returned 1.47% for the same period.

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

For the Reporting Period, the broad market reversed its ‘reopening’ excitement and began a steady bear market. Economic ramifications of the Covid pandemic continued–as supply constraints and worker shortages drove inflation steadily higher. Despite rebounding demand and consumers flush with money, many industries and service companies could not keep enough parts or employees, causing shortages and driving wages higher. Exacerbating the underlying inflation was the sudden war in Ukraine and continued rolling China Covid-related shutdowns. Both were human tragedies in their own rights. And both threw supply chains into more chaos. The Federal Reserve board went completely all in with interest rate increases to halt the inflation at a pace not seen in 40 years. The rapid and steady rise in rates led to a coordinated drop in stocks and bonds. As the year closed out, the lagged effects of rising rates began hitting corporate earnings, led to numerous layoff announcements, and rising fears of an inevitable recession in 2023.

Within equity markets, the most expensive and smaller cap names all suffered more than the broad averages.

The Fund had a return of -8.5%. The overall market decline contributed about -1.2% drag based on our net long exposure. The realized beta (sensitivity of daily returns to broad stock benchmark moves) was about 0.19 for the year, lower than most long/short managers.

Overall fundamental style positioning worked in the Fund’s favor by about +5.7% attribution. Value names had a good year vis-à-vis expensive growth. Our Value style positioning paid off by about +11.5% for the year. With the value of far off and riskier earnings discounted at higher rates, there was more pain for expensive growth. A bias towards High Quality positions did not pay off as expected in a down year. With rate moves a bigger factor than economic drag this year, higher quality names suffered the earnings discount math as much or more than lower-earnings quality companies.

Industry tilts totaled a moderate -1.1% drag for the year. A net short in Energy during the early part of the year caused substantial damage when oil and gas prices spiked during the Ukraine war. On the plus side, the Fund’s net short in Real Estate was a positive contributor, as that sector suffered from both fundamental and rate-related risks.

Security selection (the impact of returns within style and industry groups) was a large drag (-9%) for the Reporting Period. For example, within the Real Estate sector, short names in the hotel group outperformed the sector while a few long positions in the office group underperformed–leading to negative selection.

How did the Fund use derivatives during the Reporting Period?

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

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

At Reporting Period end, the Fund held about 146% of assets in long securities, and 96% short, for a net-dollar exposure of 49%. Because the long side exposure holds higher quality and more defensive sectors, while the short side focuses on higher risk names, the actual expected net ‘beta’ of the fund is in the 0.15 to 0.25 range.

154 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) December 31, 2022

The Fund maintains its style bias towards cheaper valuation names. Our bias towards higher profitability and low stock volatility remains, but at reduced levels from last year as those factors have paid off significantly and look less underpriced than usual. The Fund’s short position in the Growth names has also shrunk as those names declined rapidly last year; we are now closer to neutral on this factor bias. The Fund remains biased to small cap size, a shift that first began about a year ago. While small caps are generally riskier than their large cap brethren, the additional risk looks to be compensated with a much wider expected return based on fundamentals and valuations.

From an industry perspective, the Fund’s largest net long sectors are Healthcare and IT, with our names mostly focused on cheaper and higher cash flow generating groups within those otherwise growth-oriented sectors. The largest net short exposures are Real Estate, and Commercial Services. Notably, the Fund has flipped to a net long exposure to Energy and Materials, while cutting back on weights in Staples and Utilities. With considerable moves in relative stock prices and changing fundamentals, the dynamic industry weight reallocation was substantial this year.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 155

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2022

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)
Quest Diagnostics, Inc.	1.0%
Ironwood Pharmaceuticals, Inc. — Class A	1.0%
Marathon Petroleum Corp.	1.0%
Preferred Bank/Los Angeles CA	1.0%
Exxon Mobil Corp.	1.0%
FirstEnergy Corp.	1.0%
OGE Energy Corp.	1.0%
Coca-Cola Co.	1.0%
Black Hills Corp.	1.0%
Hologic, Inc.	1.0%
Top Ten Total	10.0%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

156 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2022

Cumulative Fund Performance*^,†

Average Annual Returns*^,†

Periods Ended December 31, 2022

	1 Year	5 Year	10 Year
Series Z (Alpha Opportunity Series)	(8.53%)	(2.08%)	3.79%
Morningstar Long/Short Equity Category Average	(7.67%)	2.13%	3.81%
ICE BofA 3-Month U.S. Treasury Bill Index	1.47%	1.27%	0.77%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA 3-Month U.S. Treasury Bill Index 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 157

SCHEDULE OF INVESTMENTS	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
COMMON STOCKS† - 93.9%
Consumer, Non-cyclical - 22.5%
Quest Diagnostics, Inc.		240	$	37,389
Ironwood Pharmaceuticals, Inc. — Class A*		2,974		36,848
Coca-Cola Co.		563		35,813
Hologic, Inc.*,1		476		35,610
John B Sanfilippo & Son, Inc.		437		35,537
Hershey Co.		153		35,430
Perdoceo Education Corp.*,1		2,340		32,526
IDEXX Laboratories, Inc.*		79		32,229
Bristol-Myers Squibb Co.1		442		31,802
Prestige Consumer Healthcare, Inc.*		469		29,359
Danaher Corp.		105		27,869
Altria Group, Inc.1		580		26,512
USANA Health Sciences, Inc.*		495		26,334
Royalty Pharma plc — Class A		666		26,320
Varex Imaging Corp.*		1,290		26,187
Tyson Foods, Inc. — Class A1		417		25,958
Post Holdings, Inc.*,1		271		24,460
Triton International Ltd.		321		22,078
EVERTEC, Inc.1		659		21,339
Monster Beverage Corp.*		206		20,915
Jazz Pharmaceuticals plc*,1		119		18,958
United Therapeutics Corp.*,1		67		18,632
Globus Medical, Inc. — Class A*		249		18,493
Gilead Sciences, Inc.		212		18,200
Supernus Pharmaceuticals, Inc.*,1		497		17,728
Vertex Pharmaceuticals, Inc.*,1		59		17,038
Eagle Pharmaceuticals, Inc.*		540		15,784
Incyte Corp.*,1		178		14,297
Lamb Weston Holdings, Inc.1		152		13,583
Innoviva, Inc.*		1,022		13,542
Inter Parfums, Inc.		105		10,135
Regeneron Pharmaceuticals, Inc.*		14		10,101
Vanda Pharmaceuticals, Inc.*,1		1,320		9,755
Quanex Building Products Corp.		404		9,567
Exelixis, Inc.*		587		9,415
Amphastar Pharmaceuticals, Inc.*,1		336		9,414
Eli Lilly & Co.		20		7,317
Total Consumer, Non-cyclical				822,474
Industrial - 15.3%
Donaldson Company, Inc.		599		35,263
Textron, Inc.1		498		35,259
Graco, Inc.		521		35,042
Standex International Corp.1		334		34,205
Snap-on, Inc.1		148		33,816
Emerson Electric Co.		346		33,237
Eagle Materials, Inc.1		238		31,618
Albany International Corp. — Class A1		318		31,352
Louisiana-Pacific Corp.1		491		29,067
Vishay Intertechnology, Inc.1		1,250		26,963
General Dynamics Corp.1		108		26,796
Lockheed Martin Corp.		54		26,270
Sturm Ruger & Company, Inc.1		455		23,032
Advanced Energy Industries, Inc.1		254		21,788
Acuity Brands, Inc.1		131		21,695
Mueller Industries, Inc.1		309		18,231
Sealed Air Corp.		353		17,608
Dorian LPG Ltd.		925		17,529
AMETEK, Inc.		111		15,509
3M Co.		109		13,071
Otis Worldwide Corp.		139		10,885
OSI Systems, Inc.*		131		10,417
PGT Innovations, Inc.*		566		10,166
Total Industrial				558,819
Consumer, Cyclical - 12.0%
Wyndham Hotels & Resorts, Inc.		495		35,299
Columbia Sportswear Co.		402		35,207
Yum! Brands, Inc.		274		35,094
GMS, Inc.*,1		589		29,332
Home Depot, Inc.		89		28,112
Brunswick Corp.1		387		27,895
Allison Transmission Holdings, Inc.1		645		26,832
MSC Industrial Direct Company, Inc. — Class A		273		22,304
Methode Electronics, Inc.1		460		20,410
Buckle, Inc.1		445		20,181
Starbucks Corp.1		161		15,971
Boyd Gaming Corp.1		278		15,159
Steven Madden Ltd.		444		14,190
Academy Sports & Outdoors, Inc.1		268		14,081
Haverty Furniture Companies, Inc.		446		13,335
Oxford Industries, Inc.		137		12,766
Lowe’s Companies, Inc.		62		12,353
Patrick Industries, Inc.		190		11,514
Williams-Sonoma, Inc.		97		11,147
Group 1 Automotive, Inc.		58		10,461
Watsco, Inc.		41		10,225
Winnebago Industries, Inc.		161		8,485
Ethan Allen Interiors, Inc.		302		7,979
Total Consumer, Cyclical				438,332
Financial - 11.3%
Preferred Bank/Los Angeles CA		488		36,467
Heritage Financial Corp.		1,148		35,175
Hope Bancorp, Inc.		2,710		34,715
National Bank Holdings Corp. — Class A1		825		34,708
S&T Bancorp, Inc.		1,005		34,351
Renasant Corp.		912		34,282
TowneBank		1,086		33,492
Evercore, Inc. — Class A		198		21,598
International Bancshares Corp.1		394		18,029
Office Properties Income Trust REIT		1,185		15,820
Central Pacific Financial Corp.1		721		14,622
BankUnited, Inc.1		426		14,471
Stewart Information Services Corp.		323		13,802
Virtus Investment Partners, Inc.		61		11,678
Hilltop Holdings, Inc.		369		11,074
Marcus & Millichap, Inc.		318		10,955
Bread Financial Holdings, Inc.1		269		10,131

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
Visa, Inc. — Class A		47	$	9,765
PennyMac Financial Services, Inc.1		161		9,122
NMI Holdings, Inc. — Class A*,1		367		7,670
Total Financial				411,927
Energy - 8.6%
Marathon Petroleum Corp.1		313		36,430
Exxon Mobil Corp.1		330		36,399
Antero Midstream Corp.1		3,189		34,409
DT Midstream, Inc.1		601		33,211
Kinder Morgan, Inc.1		1,827		33,032
Valero Energy Corp.		181		22,962
Williams Companies, Inc.1		605		19,905
Phillips 66		178		18,526
CVR Energy, Inc.1		555		17,394
Occidental Petroleum Corp.		218		13,732
REX American Resources Corp.*		367		11,693
SunCoke Energy, Inc.1		1,315		11,348
Par Pacific Holdings, Inc.*		388		9,021
Equitrans Midstream Corp.1		1,265		8,476
ONEOK, Inc.1		126		8,278
Total Energy				314,816
Technology - 8.2%
Cirrus Logic, Inc.*,1		467		34,782
Applied Materials, Inc.		286		27,851
Synopsys, Inc.*		85		27,140
Microsoft Corp.		94		22,543
Dropbox, Inc. — Class A*		889		19,896
Maximus, Inc.		218		15,986
Diodes, Inc.*,1		166		12,639
Teradata Corp.*		361		12,151
NetScout Systems, Inc.*,1		345		11,216
Synaptics, Inc.*,1		116		11,039
Avid Technology, Inc.*		407		10,822
Apple, Inc.		81		10,524
Adobe, Inc.*		30		10,096
QUALCOMM, Inc.1		90		9,895
Rambus, Inc.*,1		261		9,349
NetApp, Inc.		155		9,309
Kulicke & Soffa Industries, Inc.		200		8,852
Axcelis Technologies, Inc.*,1		111		8,809
CSG Systems International, Inc.1		147		8,408
Veeco Instruments, Inc.*		442		8,212
ACI Worldwide, Inc.*,1		345		7,935
Total Technology				297,454
Utilities - 6.9%
FirstEnergy Corp.		866		36,320
OGE Energy Corp.		906		35,832
Black Hills Corp.		508		35,733
UGI Corp.1		882		32,696
MGE Energy, Inc.1		363		25,555
Chesapeake Utilities Corp.1		186		21,981
Clearway Energy, Inc. — Class C		623		19,855
ONE Gas, Inc.		262		19,839
Otter Tail Corp.1		257		15,089
National Fuel Gas Co.1		152		9,621
Total Utilities				252,521
Communications - 4.6%
Verizon Communications, Inc.1		832		32,781
T-Mobile US, Inc.*,1		204		28,560
Gogo, Inc.*,1		1,732		25,564
Meta Platforms, Inc. — Class A*,1		194		23,346
Cisco Systems, Inc.1		396		18,866
VeriSign, Inc.*		72		14,792
InterDigital, Inc.1		278		13,755
Alphabet, Inc. — Class C*		118		10,470
Total Communications				168,134
Basic Materials - 4.5%
Minerals Technologies, Inc.1		402		24,409
Balchem Corp.1		183		22,346
Huntsman Corp.1		717		19,703
NewMarket Corp.1		56		17,422
Olin Corp.		288		15,247
LyondellBasell Industries N.V. — Class A1		178		14,779
FMC Corp.1		92		11,482
AdvanSix, Inc.1		264		10,037
Ingevity Corp.*		142		10,003
American Vanguard Corp.1		433		9,400
Westlake Corp.		88		9,024
Total Basic Materials				163,852
Total Common Stocks
(Cost $3,459,812)				3,428,329
MONEY MARKET FUND† - 1.3%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 3.93%2		48,920		48,920
Total Money Market Fund
(Cost $48,920)				48,920
Total Investments - 95.2%
(Cost $3,508,732)			$	3,477,249
Other Assets & Liabilities, net - 4.8%				173,917
Total Net Assets - 100.0%			$	3,651,166

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 159

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Type	Financing Rate	Payment Frequency		Maturity Date		Notional Amount		Value and Unrealized Appreciation
Centrally Cleared Custom Basket Swap Agreements††
Goldman Sachs International	GS Equity Custom Basket	Pay	4.78% (Federal Funds Rate + 0.45%)		At Maturity		05/06/24	$	909,207	$	8,712
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Pay	4.73% (Federal Funds Rate + 0.40%)		At Maturity		02/01/24		907,144		7,623
								$	1,816,351	$	16,335
OTC Custom Basket Swap Agreements Sold Short††
Goldman Sachs International	GS Equity Custom Basket	Receive	4.13% (Federal Funds Rate - 0.20%)		At Maturity		05/06/24	$	1,741,111	$	89,689
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Receive	4.03% (Federal Funds Rate - 0.30%)		At Maturity		02/01/24		1,754,398		88,943
								$	3,495,509	$	178,632

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Consumer, Cyclical
Home Depot, Inc.		23		0.80	%	$	863
GMS, Inc.		156		0.86	%		783
Academy Sports & Outdoors, Inc.		70		0.41	%		686
Buckle, Inc.		117		0.58	%		629
Allison Transmission Holdings, Inc.		170		0.78	%		623
Patrick Industries, Inc.		33		0.22	%		489
Methode Electronics, Inc.		121		0.59	%		440
Haverty Furniture Companies, Inc.		118		0.39	%		202
Group 1 Automotive, Inc.		15		0.30	%		167
Starbucks Corp.		42		0.46	%		166
Ethan Allen Interiors, Inc.		80		0.23	%		(42	)
Wyndham Hotels & Resorts, Inc.		131		1.03	%		(83	)
Watsco, Inc.		11		0.30	%		(116	)
Boyd Gaming Corp.		73		0.44	%		(121	)
Lowe’s Companies, Inc.		16		0.35	%		(129	)
Columbia Sportswear Co.		106		1.02	%		(176	)
Yum! Brands, Inc.		72		1.02	%		(180	)
Winnebago Industries, Inc.		42		0.24	%		(187	)
MSC Industrial Direct Company, Inc. — Class A		72		0.65	%		(201	)
Oxford Industries, Inc.		36		0.37	%		(220	)
Steven Madden Ltd.		117		0.41	%		(286	)
Brunswick Corp.		102		0.81	%		(311	)
Williams-Sonoma, Inc.		25		0.32	%		(338	)
Total Consumer, Cyclical							2,658
Technology
Rambus, Inc.		69		0.27	%		1,1001
Axcelis Technologies, Inc.		29		0.25	%		445
CSG Systems International, Inc.		39		0.25	%		416
Diodes, Inc.		44		0.37	%		356
QUALCOMM, Inc.		23		0.28	%		116
Maximus, Inc.		57		0.46	%		45
Adobe, Inc.		8		0.30	%		24
Dropbox, Inc. — Class A		235		0.58	%		(37	)
Teradata Corp.		95		0.35	%		(41	)
Apple, Inc.		21		0.30	%		(106	)
Veeco Instruments, Inc.		117		0.24	%		(115	)
Synaptics, Inc.		30		0.31	%		(116	)
Kulicke & Soffa Industries, Inc.		52		0.25	%		(182	)
Avid Technology, Inc.		107		0.31	%		(197	)
NetScout Systems, Inc.		91		0.33	%		(206	)
NetApp, Inc.		41		0.27	%		(230	)
Cirrus Logic, Inc.		123		1.01	%		(237	)
Microsoft Corp.		25		0.66	%		(243	)
Synopsys, Inc.		22		0.77	%		(294	)
ACI Worldwide, Inc.		91		0.23	%		(322	)
Applied Materials, Inc.		75		0.81	%		(664	)
Total Technology							(488	)
Industrial
Standex International Corp.		88		0.99	%		1,160
Dorian LPG Ltd.		245		0.51	%		1,095
Snap-on, Inc.		39		0.98	%		773
Louisiana-Pacific Corp.		130		0.85	%		681
Vishay Intertechnology, Inc.		330		0.78	%		617
Albany International Corp. — Class A		84		0.91	%		589
Eagle Materials, Inc.		63		0.92	%		559
Emerson Electric Co.		91		0.96	%		503
Textron, Inc.		132		1.03	%		339
Lockheed Martin Corp.		14		0.75	%		132

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Advanced Energy Industries, Inc.		67		0.63	%	$	125
Donaldson Company, Inc.		158		1.03	%		92
OSI Systems, Inc.		34		0.30	%		47
Otis Worldwide Corp.		37		0.32	%		(4	)
General Dynamics Corp.		28		0.77	%		(13	)
AMETEK, Inc.		29		0.45	%		(91	)
3M Co.		28		0.37	%		(136	)
Graco, Inc.		138		1.02	%		(240	)
Mueller Industries, Inc.		82		0.53	%		(269	)
Sealed Air Corp.		93		0.51	%		(298	)
Acuity Brands, Inc.		34		0.62	%		(522	)
PGT Innovations, Inc.		150		0.30	%		(739	)
Sturm Ruger & Company, Inc.		120		0.67	%		(1,532	)
Total Industrial							2,868
Basic Materials
FMC Corp.		24		0.33	%		310
Westlake Corp.		23		0.26	%		280
American Vanguard Corp.		114		0.27	%		89
NewMarket Corp.		14		0.48	%		66
Olin Corp.		76		0.44	%		(167	)
Ingevity Corp.		37		0.29	%		(198	)
LyondellBasell Industries N.V. — Class A		47		0.43	%		(230	)
AdvanSix, Inc.		69		0.29	%		(231	)
Minerals Technologies, Inc.		106		0.71	%		(307	)
Huntsman Corp.		189		0.57	%		(455	)
Balchem Corp.		48		0.65	%		(461	)
Total Basic Materials							(1,304	)
Financial
S&T Bancorp, Inc.		266		1.00	%		1,594
Renasant Corp.		241		1.00	%		990
Preferred Bank/Los Angeles CA		129		1.06	%		984
TowneBank		287		0.98	%		880
Associated Banc-Corp.		264		0.67	%		807
PennyMac Financial Services, Inc.		42		0.26	%		392
Virtus Investment Partners, Inc.		16		0.34	%		383
NMI Holdings, Inc. — Class A		97		0.22	%		242
International Bancshares Corp.		104		0.52	%		207
Evercore, Inc. — Class A		52		0.63	%		204
Bread Financial Holdings, Inc.		71		0.29	%		184
National Bank Holdings Corp. — Class A		218		1.01	%		167
Hilltop Holdings, Inc.		97		0.32	%		160
Visa, Inc. — Class A		12		0.27	%		(82	)
Marcus & Millichap, Inc.		84		0.32	%		(170	)
Hope Bancorp, Inc.		717		1.01	%		(383	)
BankUnited, Inc.		112		0.42	%		(454	)
Heritage Financial Corp.		304		1.03	%		(976	)
Central Pacific Financial Corp.		191		0.43	%		(1,051	)
Stewart Information Services Corp.		85		0.40	%		(1,164	)
Office Properties Income Trust		313		0.46	%		(2,295	)
Total Financial							619
Communications
Cisco Systems, Inc.		104		0.55	%		585
T-Mobile US, Inc.		54		0.83	%		317
VeriSign, Inc.		19		0.43	%		155
Alphabet, Inc. — Class C		31		0.30	%		(255	)
Meta Platforms, Inc. — Class A		51		0.68	%		(683	)
Gogo, Inc.		458		0.75	%		(822	)
InterDigital, Inc.		73		0.40	%		(1,068	)
Verizon Communications, Inc.		220		0.96	%		(1,070	)
Total Communications							(2,841	)
Consumer, Non-cyclical
Perdoceo Education Corp.		619		0.95	%		1,981
Ironwood Pharmaceuticals, Inc. — Class A		787		1.07	%		1,168
Bristol-Myers Squibb Co.		117		0.93	%		1,028
United Therapeutics Corp.		17		0.52	%		1,002
Vertex Pharmaceuticals, Inc.		15		0.48	%		937
Coca-Cola Co.		149		1.04	%		718
Regeneron Pharmaceuticals, Inc.		3		0.24	%		714
Hologic, Inc.		126		1.04	%		709
Amphastar Pharmaceuticals, Inc.		89		0.27	%		700
Jazz Pharmaceuticals plc		31		0.54	%		616
Incyte Corp.		47		0.42	%		504
Quest Diagnostics, Inc.		63		1.09	%		467
Triton International Ltd.		85		0.64	%		458
Supernus Pharmaceuticals, Inc.		131		0.52	%		367
Altria Group, Inc.		153		0.77	%		328
Eli Lilly & Co.		5		0.20	%		276
Post Holdings, Inc.		71		0.71	%		255
Innoviva, Inc.		270		0.39	%		207
Lamb Weston Holdings, Inc.		40		0.39	%		154
Prestige Consumer Healthcare, Inc.		124		0.86	%		122

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 161

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Quanex Building Products Corp.		107		0.28	%	$	115
Globus Medical, Inc. — Class A		66		0.54	%		111
John B Sanfilippo & Son, Inc.		115		1.03	%		2
Monster Beverage Corp.		54		0.60	%		(31	)
Hershey Co.		40		1.02	%		(61	)
Inter Parfums, Inc.		28		0.30	%		(67	)
Danaher Corp.		28		0.82	%		(79	)
Gilead Sciences, Inc.		56		0.53	%		(123	)
Exelixis, Inc.		155		0.27	%		(161	)
IDEXX Laboratories, Inc.		21		0.94	%		(268	)
Varex Imaging Corp.		341		0.76	%		(399	)
EVERTEC, Inc.		174		0.62	%		(591	)
Royalty Pharma plc — Class A		176		0.77	%		(594	)
Eagle Pharmaceuticals, Inc.		142		0.46	%		(1,442	)
Tyson Foods, Inc. — Class A		110		0.75	%		(2,414	)
Vanda Pharmaceuticals, Inc.		349		0.28	%		(2,469	)
USANA Health Sciences, Inc.		131		0.77	%		(2,868	)
Total Consumer, Non-cyclical							1,372
Energy
Marathon Petroleum Corp.		82		1.05	%		1,342
Exxon Mobil Corp.		87		1.06	%		1,018
Phillips 66		47		0.54	%		854
Valero Energy Corp.		47		0.66	%		682
Antero Midstream Corp.		844		1.00	%		559
Par Pacific Holdings, Inc.		102		0.26	%		409
REX American Resources Corp.		97		0.34	%		255
Kinder Morgan, Inc.		483		0.96	%		194
ONEOK, Inc.		33		0.24	%		189
SunCoke Energy, Inc.		348		0.33	%		157
Equitrans Midstream Corp.		335		0.25	%		9
Williams Companies, Inc.		160		0.58	%		(58	)
DT Midstream, Inc.		159		0.97	%		(168	)
Occidental Petroleum Corp.		57		0.40	%		(448	)
CVR Energy, Inc.		146		0.50	%		(542	)
Total Energy							4,452
Utilities
FirstEnergy Corp.		229		1.06	%		964
ONE Gas, Inc.		69		0.58	%		181
UGI Corp.		233		0.95	%		70
Black Hills Corp.		134		1.04	%		28
National Fuel Gas Co.		40		0.28	%		12
OGE Energy Corp.		240		1.05	%		2
Chesapeake Utilities Corp.		49		0.64	%		(8	)
Otter Tail Corp.		68		0.44	%		(219	)
Clearway Energy, Inc. — Class C		165		0.58	%		(359	)
MGE Energy, Inc.		96		0.74	%		(384	)
Total Utilities							287
Total MS Equity Long Custom Basket							7,623
MS EQUITY SHORT CUSTOM BASKET
Consumer, Non-cyclical
Viad Corp.		271		(0.38	)%		5,984
ASGN, Inc.		127		(0.59	)%		5,342
Equifax, Inc.		135		(1.50	)%		4,716
Healthcare Services Group, Inc.		825		(0.56	)%		3,982
FTI Consulting, Inc.		109		(0.99	)%		1,932
CoStar Group, Inc.		235		(1.04	)%		1,741
TransUnion		408		(1.32	)%		1,500
Driven Brands Holdings, Inc.		670		(1.04	)%		1,337
Patterson Companies, Inc.		268		(0.43	)%		712
Rollins, Inc.		215		(0.45	)%		671
GXO Logistics, Inc.		172		(0.42	)%		386
ABM Industries, Inc.		546		(1.38	)%		(312	)
Quanta Services, Inc.		67		(0.54	)%		(693	)
Cintas Corp.		60		(1.54	)%		(1,584	)
ICU Medical, Inc.		149		(1.34	)%		(3,209	)
Total Consumer, Non-cyclical							22,505
Utilities
AES Corp.		329		(0.54	)%		(116	)
Vistra Corp.		516		(0.68	)%		(190	)
Public Service Enterprise Group, Inc.		450		(1.57	)%		(736	)
Exelon Corp.		613		(1.51	)%		(1,025	)
Edison International		419		(1.52	)%		(2,049	)
Total Utilities							(4,116	)
Basic Materials
Alcoa Corp.		198		(0.51	)%		367
Freeport-McMoRan, Inc.		265		(0.57	)%		252
ATI, Inc.		277		(0.47	)%		193
Total Basic Materials							812
Financial
Signature Bank		76		(0.50	)%		11,153
Invitation Homes, Inc.		475		(0.80	)%		6,095
Welltower, Inc.		187		(0.70	)%		4,608
Sun Communities, Inc.		192		(1.56	)%		4,528
Equinix, Inc.		32		(1.19	)%		4,112
Crown Castle, Inc.		87		(0.67	)%		4,099
Americold Realty Trust, Inc.		489		(0.79	)%		3,613
Bank of America Corp.		782		(1.48	)%		3,162
KKR & Company, Inc. — Class A		355		(0.94	)%		3,017

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Ares Management Corp. — Class A		289		(1.13	)%	$	2,812
Kennedy-Wilson Holdings, Inc.		1,161		(1.04	)%		2,222
Digital Realty Trust, Inc.		119		(0.68	)%		2,082
American Tower Corp. — Class A		125		(1.51	)%		2,031
Equitable Holdings, Inc.		876		(1.43	)%		2,020
Raymond James Financial, Inc.		236		(1.44	)%		2,015
Ryman Hospitality Properties, Inc.		227		(1.06	)%		1,743
Independence Realty Trust, Inc.		640		(0.62	)%		1,719
Assurant, Inc.		85		(0.61	)%		1,632
Host Hotels & Resorts, Inc.		641		(0.59	)%		1,062
Pebblebrook Hotel Trust		429		(0.33	)%		933
Alexandria Real Estate Equities, Inc.		181		(1.50	)%		886
Kite Realty Group Trust		1,019		(1.22	)%		814
Ventas, Inc.		244		(0.63	)%		810
KeyCorp		1,161		(1.15	)%		809
Northern Trust Corp.		305		(1.54	)%		720
Wells Fargo & Co.		237		(0.56	)%		717
UDR, Inc.		674		(1.49	)%		515
Principal Financial Group, Inc.		94		(0.45	)%		484
Kimco Realty Corp.		902		(1.09	)%		446
Iron Mountain, Inc.		431		(1.22	)%		340
Howard Hughes Corp.		408		(1.78	)%		218
Citigroup, Inc.		414		(1.07	)%		142
Cboe Global Markets, Inc.		82		(0.59	)%		141
Willis Towers Watson plc		55		(0.77	)%		122
Cullen/Frost Bankers, Inc.		64		(0.49	)%		(139	)
Progressive Corp.		209		(1.55	)%		(204	)
Cincinnati Financial Corp.		78		(0.46	)%		(251	)
American International Group, Inc.		194		(0.70	)%		(376	)
TFS Financial Corp.		737		(0.61	)%		(511	)
Intercontinental Exchange, Inc.		162		(0.95	)%		(615	)
BlackRock, Inc. — Class A		22		(0.89	)%		(795	)
Arthur J Gallagher & Co.		52		(0.56	)%		(1,018	)
CBRE Group, Inc. — Class A		180		(0.79	)%		(1,180	)
First Republic Bank		162		(1.13	)%		(1,319	)
Invesco Ltd.		969		(0.99	)%		(1,405	)
Allstate Corp.		172		(1.33	)%		(1,548	)
Apollo Global Management, Inc.		421		(1.53	)%		(2,059	)
Total Financial							60,402
Consumer, Cyclical
MillerKnoll, Inc.		468		(0.56	)%		7,597
CarMax, Inc.		165		(0.57	)%		3,720
American Airlines Group, Inc.		690		(0.50	)%		3,619
Hawaiian Holdings, Inc.		615		(0.36	)%		2,105
Live Nation Entertainment, Inc.		147		(0.58	)%		564
Floor & Decor Holdings, Inc. — Class A		93		(0.37	)%		500
Delta Air Lines, Inc.		685		(1.28	)%		(200	)
Walgreens Boots Alliance, Inc.		432		(0.92	)%		(202	)
Copart, Inc.		414		(1.44	)%		(672	)
Madison Square Garden Sports Corp. — Class A		61		(0.64	)%		(2,542	)
Total Consumer, Cyclical							14,489
Industrial
Stanley Black & Decker, Inc.		124		(0.53	)%		5,724
Stericycle, Inc.		129		(0.37	)%		3,134
Waste Management, Inc.		163		(1.46	)%		2,157
TD SYNNEX Corp.		277		(1.50	)%		987
Kirby Corp.		141		(0.52	)%		574
Jacobs Solutions, Inc.		225		(1.54	)%		349
J.B. Hunt Transport Services, Inc.		43		(0.43	)%		(146	)
Norfolk Southern Corp.		39		(0.55	)%		(557	)
TransDigm Group, Inc.		9		(0.32	)%		(754	)
FedEx Corp.		52		(0.51	)%		(934	)
Boeing Co.		49		(0.53	)%		(1,223	)
MSA Safety, Inc.		156		(1.28	)%		(3,475	)
Casella Waste Systems, Inc. — Class A		213		(0.96	)%		(3,627	)
Total Industrial							2,209
Energy
NOV, Inc.		501		(0.60	)%		1,124
Helmerich & Payne, Inc.		177		(0.50	)%		(64	)
Patterson-UTI Energy, Inc.		789		(0.76	)%		(202	)
Halliburton Co.		729		(1.64	)%		(793	)
Liberty Energy, Inc. — Class A		603		(0.55	)%		(1,244	)
ChampionX Corp.		185		(0.31	)%		(1,311	)
Hess Corp.		120		(0.97	)%		(1,853	)
Valaris Ltd.		198		(0.76	)%		(3,268	)
Schlumberger Ltd.		248		(0.76	)%		(3,786	)
EOG Resources, Inc.		194		(1.43	)%		(4,325	)
Total Energy							(15,722	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 163

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Communications
IAC, Inc.		288		(0.73	)%	$	3,364
Walt Disney Co.		225		(1.11	)%		2,623
Warner Bros Discovery, Inc.		927		(0.50	)%		2,200
Paramount Global — Class B		576		(0.55	)%		1,532
Uber Technologies, Inc.		556		(0.78	)%		628
Interpublic Group of Companies, Inc.		561		(1.07	)%		(2,153	)
Total Communications							8,194
Technology
Take-Two Interactive Software, Inc.		169		(1.00	)%		460
Science Applications International Corp.		206		(1.30	)%		(290	)
Total Technology							170
Total MS Equity Short Custom Basket							88,943
GS EQUITY LONG CUSTOM BASKET
Consumer, Cyclical
Patrick Industries, Inc.		67		0.45	%		985
Home Depot, Inc.		23		0.80	%		871
GMS, Inc.		156		0.85	%		761
Academy Sports & Outdoors, Inc.		70		0.40	%		693
Buckle, Inc.		117		0.58	%		634
Allison Transmission Holdings, Inc.		170		0.78	%		616
Methode Electronics, Inc.		121		0.59	%		442
Haverty Furniture Companies, Inc.		118		0.39	%		199
Group 1 Automotive, Inc.		15		0.30	%		183
Starbucks Corp.		42		0.46	%		166
Ethan Allen Interiors, Inc.		80		0.23	%		(37	)
Watsco, Inc.		11		0.30	%		(95	)
Wyndham Hotels & Resorts, Inc.		131		1.03	%		(98	)
Boyd Gaming Corp.		73		0.44	%		(114	)
Lowe’s Companies, Inc.		16		0.35	%		(132	)
Winnebago Industries, Inc.		42		0.24	%		(168	)
Yum! Brands, Inc.		72		1.01	%		(179	)
Columbia Sportswear Co.		106		1.02	%		(186	)
MSC Industrial Direct Company, Inc. — Class A		72		0.65	%		(202	)
Oxford Industries, Inc.		36		0.37	%		(248	)
Brunswick Corp.		102		0.81	%		(291	)
Steven Madden Ltd.		117		0.41	%		(294	)
Williams-Sonoma, Inc.		25		0.32	%		(317	)
Total Consumer, Cyclical							3,189
Technology
Rambus, Inc.		69		0.27	%		1,099
Axcelis Technologies, Inc.		29		0.25	%		454
CSG Systems International, Inc.		39		0.25	%		411
Diodes, Inc.		44		0.37	%		355
QUALCOMM, Inc.		23		0.28	%		119
Maximus, Inc.		57		0.46	%		55
Adobe, Inc.		8		0.30	%		20
Teradata Corp.		95		0.35	%		(42	)
Dropbox, Inc. — Class A		235		0.58	%		(53	)
Apple, Inc.		21		0.30	%		(104	)
Synaptics, Inc.		30		0.31	%		(109	)
Veeco Instruments, Inc.		117		0.24	%		(113	)
Kulicke & Soffa Industries, Inc.		52		0.25	%		(182	)
NetScout Systems, Inc.		91		0.33	%		(184	)
Avid Technology, Inc.		107		0.31	%		(217	)
NetApp, Inc.		41		0.27	%		(231	)
Cirrus Logic, Inc.		123		1.01	%		(246	)
Microsoft Corp.		25		0.66	%		(247	)
Synopsys, Inc.		22		0.77	%		(299	)
ACI Worldwide, Inc.		91		0.23	%		(318	)
Applied Materials, Inc.		75		0.80	%		(681	)
Total Technology							(513	)
Industrial
Standex International Corp.		88		0.99	%		1,146
Dorian LPG Ltd.		245		0.51	%		1,106
Snap-on, Inc.		39		0.98	%		770
Louisiana-Pacific Corp.		130		0.85	%		727
Vishay Intertechnology, Inc.		330		0.78	%		614
Albany International Corp. — Class A		84		0.91	%		590
Eagle Materials, Inc.		63		0.92	%		561
Emerson Electric Co.		91		0.96	%		508
Textron, Inc.		132		1.03	%		414
Lockheed Martin Corp.		14		0.75	%		143
Advanced Energy Industries, Inc.		67		0.63	%		140
Donaldson Company, Inc.		158		1.02	%		102
OSI Systems, Inc.		34		0.30	%		44
General Dynamics Corp.		28		0.76	%		2
Otis Worldwide Corp.		37		0.32	%		(5	)
AMETEK, Inc.		29		0.45	%		(93	)
3M Co.		28		0.37	%		(139	)
Graco, Inc.		138		1.02	%		(245	)
Mueller Industries, Inc.		82		0.53	%		(271	)
Sealed Air Corp.		93		0.51	%		(300	)
Acuity Brands, Inc.		34		0.62	%		(510	)
PGT Innovations, Inc.		150		0.30	%		(737	)

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Sturm Ruger & Company, Inc.		120		0.67	%	$	(1,581	)
Total Industrial							2,986
Basic Materials
FMC Corp.		24		0.33	%		322
Westlake Corp.		23		0.26	%		273
American Vanguard Corp.		114		0.27	%		84
NewMarket Corp.		14		0.48	%		74
Olin Corp.		76		0.44	%		(169	)
Ingevity Corp.		37		0.29	%		(200	)
LyondellBasell Industries N.V. — Class A		47		0.43	%		(229	)
AdvanSix, Inc.		69		0.29	%		(234	)
Minerals Technologies, Inc.		106		0.71	%		(300	)
Huntsman Corp.		189		0.57	%		(463	)
Balchem Corp.		48		0.64	%		(465	)
Total Basic Materials							(1,307	)
Financial
S&T Bancorp, Inc.		266		1.00	%		1,588
Renasant Corp.		241		1.00	%		987
Preferred Bank/Los Angeles CA		129		1.06	%		984
TowneBank		287		0.97	%		922
Associated Banc-Corp.		264		0.67	%		824
PennyMac Financial Services, Inc.		42		0.26	%		396
Virtus Investment Partners, Inc.		16		0.34	%		377
Evercore, Inc. — Class A		52		0.62	%		254
NMI Holdings, Inc. — Class A		97		0.22	%		246
International Bancshares Corp.		104		0.52	%		208
Bread Financial Holdings, Inc.		71		0.29	%		195
National Bank Holdings Corp. — Class A		218		1.01	%		192
Hilltop Holdings, Inc.		97		0.32	%		161
Visa, Inc. — Class A		12		0.27	%		(86	)
Marcus & Millichap, Inc.		84		0.32	%		(173	)
Hope Bancorp, Inc.		717		1.01	%		(380	)
BankUnited, Inc.		112		0.42	%		(450	)
Heritage Financial Corp.		304		1.02	%		(988	)
Central Pacific Financial Corp.		191		0.43	%		(1,054	)
Stewart Information Services Corp.		85		0.40	%		(1,166	)
Office Properties Income Trust		313		0.46	%		(2,291	)
Total Financial							746
Communications
Cisco Systems, Inc.		104		0.54	%		595
T-Mobile US, Inc.		54		0.83	%		311
VeriSign, Inc.		19		0.43	%		157
Alphabet, Inc. — Class C		31		0.30	%		(255	)
Meta Platforms, Inc. — Class A		51		0.67	%		(683	)
Gogo, Inc.		458		0.74	%		(695	)
InterDigital, Inc.		73		0.40	%		(1,070	)
Verizon Communications, Inc.		220		0.95	%		(1,081	)
Total Communications							(2,721	)
Consumer, Non-cyclical
Perdoceo Education Corp.		619		0.95	%		1,977
Ironwood Pharmaceuticals, Inc. — Class A		787		1.07	%		1,153
Bristol-Myers Squibb Co.		117		0.93	%		1,030
United Therapeutics Corp.		17		0.52	%		1,002
Vertex Pharmaceuticals, Inc.		15		0.48	%		935
Coca-Cola Co.		149		1.04	%		732
Regeneron Pharmaceuticals, Inc.		3		0.24	%		714
Hologic, Inc.		126		1.04	%		711
Amphastar Pharmaceuticals, Inc.		89		0.27	%		700
Jazz Pharmaceuticals plc		31		0.54	%		635
Incyte Corp.		47		0.42	%		521
Quest Diagnostics, Inc.		63		1.08	%		460
Triton International Ltd.		85		0.64	%		459
Altria Group, Inc.		153		0.77	%		327
Supernus Pharmaceuticals, Inc.		131		0.51	%		319
Eli Lilly & Co.		5		0.20	%		276
Post Holdings, Inc.		71		0.70	%		270
Innoviva, Inc.		270		0.39	%		211
Lamb Weston Holdings, Inc.		40		0.39	%		157
Prestige Consumer Healthcare, Inc.		124		0.85	%		121
Quanex Building Products Corp.		107		0.28	%		113
Globus Medical, Inc. — Class A		66		0.54	%		91
John B Sanfilippo & Son, Inc.		115		1.03	%		1
Monster Beverage Corp.		54		0.60	%		(38	)
Hershey Co.		40		1.02	%		(53	)
Inter Parfums, Inc.		28		0.30	%		(62	)
Danaher Corp.		28		0.82	%		(93	)
Gilead Sciences, Inc.		56		0.53	%		(131	)
Exelixis, Inc.		155		0.27	%		(151	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 165

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
IDEXX Laboratories, Inc.		21		0.94	%	$	(276	)
Varex Imaging Corp.		341		0.76	%		(376	)
Royalty Pharma plc — Class A		176		0.77	%		(569	)
EVERTEC, Inc.		174		0.62	%		(580	)
Eagle Pharmaceuticals, Inc.		142		0.46	%		(1,470	)
Tyson Foods, Inc. — Class A		110		0.75	%		(2,410	)
Vanda Pharmaceuticals, Inc.		349		0.28	%		(2,475	)
USANA Health Sciences, Inc.		131		0.77	%		(2,882	)
Total Consumer, Non-cyclical							1,349
Energy
Marathon Petroleum Corp.		82		1.05	%		1,361
Exxon Mobil Corp.		87		1.06	%		1,045
Phillips 66		47		0.54	%		860
Valero Energy Corp.		47		0.66	%		692
Antero Midstream Corp.		844		1.00	%		574
Par Pacific Holdings, Inc.		102		0.26	%		414
REX American Resources Corp.		97		0.34	%		270
Kinder Morgan, Inc.		483		0.96	%		207
ONEOK, Inc.		33		0.24	%		192
SunCoke Energy, Inc.		348		0.33	%		156
Equitrans Midstream Corp.		335		0.25	%		4
Williams Companies, Inc.		160		0.58	%		(51	)
DT Midstream, Inc.		159		0.97	%		(157	)
Occidental Petroleum Corp.		57		0.39	%		(411	)
CVR Energy, Inc.		146		0.50	%		(526	)
Total Energy							4,630
Utilities
FirstEnergy Corp.		229		1.06	%		1,020
ONE Gas, Inc.		69		0.57	%		189
UGI Corp.		233		0.95	%		86
OGE Energy Corp.		240		1.04	%		22
National Fuel Gas Co.		40		0.28	%		18
Black Hills Corp.		134		1.04	%		11
Chesapeake Utilities Corp.		49		0.64	%		(18	)
Otter Tail Corp.		68		0.44	%		(224	)
Clearway Energy, Inc. — Class C		165		0.58	%		(360	)
MGE Energy, Inc.		96		0.74	%		(391	)
Total Utilities							353
Total GS Equity Long Custom Basket							8,712
GS EQUITY SHORT CUSTOM BASKET
Consumer, Non-cyclical
Viad Corp.		271		(0.38	)%		5,987
ASGN, Inc.		127		(0.59	)%		5,330
Equifax, Inc.		135		(1.51	)%		4,725
Healthcare Services Group, Inc.		825		(0.57	)%		4,025
FTI Consulting, Inc.		109		(0.99	)%		2,045
CoStar Group, Inc.		235		(1.04	)%		1,700
TransUnion		408		(1.33	)%		1,432
Driven Brands Holdings, Inc.		670		(1.05	)%		1,376
Patterson Companies, Inc.		268		(0.43	)%		688
Rollins, Inc.		215		(0.45	)%		661
GXO Logistics, Inc.		172		(0.42	)%		384
ABM Industries, Inc.		546		(1.39	)%		(317	)
Quanta Services, Inc.		67		(0.55	)%		(682	)
Cintas Corp.		60		(1.56	)%		(1,671	)
ICU Medical, Inc.		149		(1.35	)%		(3,231	)
Total Consumer, Non-cyclical							22,452
Utilities
AES Corp.		329		(0.54	)%		(99	)
Vistra Corp.		516		(0.69	)%		(232	)
Public Service Enterprise Group, Inc.		450		(1.58	)%		(630	)
Exelon Corp.		613		(1.52	)%		(1,044	)
Edison International		419		(1.53	)%		(2,197	)
Total Utilities							(4,202	)
Basic Materials
Alcoa Corp.		198		(0.52	)%		402
Freeport-McMoRan, Inc.		265		(0.58	)%		257
ATI, Inc.		277		(0.48	)%		223
Total Basic Materials							882
Financial
Signature Bank		76		(0.50	)%		11,143
Invitation Homes, Inc.		475		(0.81	)%		6,089
Welltower, Inc.		187		(0.70	)%		4,613
Sun Communities, Inc.		192		(1.58	)%		4,512
Crown Castle, Inc.		87		(0.68	)%		4,101
Equinix, Inc.		32		(1.20	)%		4,082
Americold Realty Trust, Inc.		489		(0.80	)%		3,591
Bank of America Corp.		782		(1.49	)%		3,156
KKR & Company, Inc. — Class A		355		(0.95	)%		3,033
Howard Hughes Corp.		234		(1.03	)%		2,863
Ares Management Corp. — Class A		289		(1.14	)%		2,813
Kennedy-Wilson Holdings, Inc.		1,161		(1.05	)%		2,213
American Tower Corp. — Class A		125		(1.52	)%		2,086
Digital Realty Trust, Inc.		119		(0.69	)%		2,067
Equitable Holdings, Inc.		876		(1.44	)%		1,976
Raymond James Financial, Inc.		236		(1.45	)%		1,976
Ryman Hospitality Properties, Inc.		227		(1.07	)%		1,737

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

SCHEDULE OF INVESTMENTS (continued)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Independence Realty Trust, Inc.		640		(0.62	)%	$	1,705
Assurant, Inc.		85		(0.61	)%		1,631
Host Hotels & Resorts, Inc.		641		(0.59	)%		1,085
Pebblebrook Hotel Trust		429		(0.33	)%		942
Kite Realty Group Trust		1,019		(1.23	)%		827
Ventas, Inc.		244		(0.63	)%		763
Alexandria Real Estate Equities, Inc.		181		(1.51	)%		743
Wells Fargo & Co.		237		(0.56	)%		714
KeyCorp		1,161		(1.16	)%		700
Northern Trust Corp.		305		(1.55	)%		589
UDR, Inc.		674		(1.50	)%		513
Principal Financial Group, Inc.		94		(0.45	)%		488
Kimco Realty Corp.		902		(1.10	)%		388
Iron Mountain, Inc.		431		(1.23	)%		337
Citigroup, Inc.		414		(1.08	)%		174
Cboe Global Markets, Inc.		82		(0.59	)%		152
Willis Towers Watson plc		55		(0.77	)%		148
Cullen/Frost Bankers, Inc.		64		(0.49	)%		(139	)
Progressive Corp.		209		(1.56	)%		(220	)
Cincinnati Financial Corp.		78		(0.46	)%		(314	)
American International Group, Inc.		194		(0.70	)%		(356	)
TFS Financial Corp.		737		(0.61	)%		(509	)
Intercontinental Exchange, Inc.		162		(0.95	)%		(646	)
BlackRock, Inc. — Class A		22		(0.90	)%		(799	)
Arthur J Gallagher & Co.		52		(0.56	)%		(1,003	)
CBRE Group, Inc. — Class A		180		(0.80	)%		(1,290	)
First Republic Bank		162		(1.13	)%		(1,374	)
Invesco Ltd.		969		(1.00	)%		(1,436	)
Allstate Corp.		172		(1.34	)%		(1,547	)
Apollo Global Management, Inc.		421		(1.54	)%		(2,086	)
Total Financial							62,231
Consumer, Cyclical
MillerKnoll, Inc.		468		(0.56	)%		7,593
CarMax, Inc.		165		(0.58	)%		3,712
American Airlines Group, Inc.		690		(0.50	)%		3,631
Hawaiian Holdings, Inc.		615		(0.36	)%		2,090
Live Nation Entertainment, Inc.		147		(0.59	)%		587
Floor & Decor Holdings, Inc. — Class A		93		(0.37	)%		502
Delta Air Lines, Inc.		685		(1.29	)%		(219	)
Walgreens Boots Alliance, Inc.		432		(0.93	)%		(309	)
Copart, Inc.		414		(1.45	)%		(821	)
Madison Square Garden Sports Corp. — Class A		61		(0.64	)%		(2,601	)
Total Consumer, Cyclical							14,165
Industrial
Stanley Black & Decker, Inc.		124		(0.54	)%		5,710
Stericycle, Inc.		129		(0.37	)%		3,132
Waste Management, Inc.		163		(1.47	)%		2,146
TD SYNNEX Corp.		277		(1.51	)%		961
Kirby Corp.		141		(0.52	)%		614
Jacobs Solutions, Inc.		225		(1.55	)%		275
J.B. Hunt Transport Services, Inc.		43		(0.43	)%		(177	)
Norfolk Southern Corp.		39		(0.55	)%		(562	)
TransDigm Group, Inc.		9		(0.33	)%		(737	)
FedEx Corp.		52		(0.52	)%		(948	)
Boeing Co.		49		(0.54	)%		(1,243	)
MSA Safety, Inc.		156		(1.29	)%		(3,399	)
Casella Waste Systems, Inc. — Class A		213		(0.97	)%		(3,630	)
Total Industrial							2,142
Energy
NOV, Inc.		501		(0.60	)%		1,133
Helmerich & Payne, Inc.		177		(0.50	)%		(59	)
Patterson-UTI Energy, Inc.		789		(0.76	)%		(164	)
Halliburton Co.		729		(1.65	)%		(887	)
Liberty Energy, Inc. — Class A		603		(0.55	)%		(1,283	)
ChampionX Corp.		185		(0.31	)%		(1,297	)
Hess Corp.		120		(0.98	)%		(1,836	)
Valaris Ltd.		198		(0.77	)%		(3,295	)
Schlumberger Ltd.		248		(0.76	)%		(3,805	)
EOG Resources, Inc.		194		(1.44	)%		(4,416	)
Total Energy							(15,909	)
Communications
IAC, Inc.		288		(0.73	)%		3,218
Walt Disney Co.		225		(1.12	)%		2,577
Warner Bros Discovery, Inc.		927		(0.50	)%		2,093
Paramount Global — Class B		576		(0.56	)%		1,557
Uber Technologies, Inc.		556		(0.79	)%		647
Interpublic Group of Companies, Inc.		561		(1.07	)%		(2,334	)
Total Communications							7,758
Technology
Take-Two Interactive Software, Inc.		169		(1.01	)%		501
Science Applications International Corp.		206		(1.31	)%		(331	)
Total Technology							170
Total GS Equity Short Custom Basket							89,689

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 167

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2022
SERIES Z (ALPHA OPPORTUNITY SERIES)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as equity index swap collateral at December 31, 2022.
2	Rate indicated is the 7-day yield as of December 31, 2022.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at December 31, 2022 (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	$	3,428,329	$	—	$	—	$	3,428,329
Money Market Fund		48,920		—		—		48,920
Equity Custom Basket Swap Agreements**		—		194,967		—		194,967
Total Assets	$	3,477,249	$	194,967	$	—	$	3,672,216

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

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

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2022

Assets:
Investments, at value (cost $3,508,732)	$	3,477,249
Unrealized appreciation on OTC swap agreements		194,967
Prepaid expenses		2,152
Receivables:
Investment Adviser		12,430
Dividends		4,859
Interest		259
Total assets		3,691,916
Liabilities:
Overdraft due to custodian bank		527
Payable for:
Professional fees		29,484
Transfer agent/maintenance fees		2,040
Swap settlement		1,443
Fund accounting/administration fees		1,300
Trustees’ fees*		974
Distribution and service fees		762
Fund shares redeemed		302
Miscellaneous		3,918
Total liabilities		40,750
Net assets	$	3,651,166
Net assets consist of:
Paid in capital	$	5,021,884
Total distributable earnings (loss)		(1,370,718	)
Net assets	$	3,651,166
Capital shares outstanding		239,034
Net asset value per share	$	15.27

STATEMENT OF OPERATIONS

Year Ended December 31, 2022

Investment Income:
Dividends	$	81,156
Interest		1,352
Other income		82
Total investment income		82,590
Expenses:
Management fees		35,181
Distribution and service fees		9,747
Transfer agent/maintenance fees		25,091
Professional fees		42,954
Fund accounting/administration fees		22,229
Custodian fees		12,897
Trustees’ fees*		11,413
Line of credit fees		108
Miscellaneous		13,540
Total expenses		173,160
Less:
Expenses reimbursed by Adviser		(59,659	)
Expenses waived by Adviser		(35,552	)
Total waived/reimbursed expenses		(95,211	)
Net expenses		77,949
Net investment income		4,641
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(231,203	)
Swap agreements		32,877
Net realized loss		(198,326	)
Net change in unrealized appreciation (depreciation) on:
Investments		(321,360	)
Swap agreements		139,551
Net change in unrealized appreciation (depreciation)		(181,809	)
Net realized and unrealized loss		(380,135	)
Net decrease in net assets resulting from operations	$	(375,494	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 169

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2022			Year Ended December 31, 2021
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	4,641		$	15,946
Net realized gain (loss) on investments		(198,326	)		228,457
Net change in unrealized appreciation (depreciation) on investments		(181,809	)		331,685
Net increase (decrease) in net assets resulting from operations		(375,494	)		576,088
Distributions to shareholders		(15,376	)		(28,089	)
Capital share transactions:
Proceeds from sale of shares		107,955			50,760
Distributions reinvested		15,376			28,089
Cost of shares redeemed		(576,477	)		(667,050	)
Net decrease from capital share transactions		(453,146	)		(588,201	)
Net decrease in net assets		(844,016	)		(40,202	)
Net assets:
Beginning of year		4,495,182			4,535,384
End of year	$	3,651,166		$	4,495,182
Capital share activity:
Shares sold		6,933			3,202
Shares issued from reinvestment of distributions		988			1,805
Shares redeemed		(37,088	)		(42,689	)
Net decrease in shares		(29,167	)		(37,682	)

170 | THE GUGGENHEIM FUNDS 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.

	Year Ended December 31, 2022			Year Ended December 31, 2021			Year Ended December 31, 2020			Year Ended December 31, 2019			Year Ended December 31, 2018
Per Share Data
Net asset value, beginning of period	$	16.76		$	14.83		$	14.87		$	15.27		$	20.05
Income (loss) from investment operations:
Net investment income (loss)a		.02			.06			.06			.07			.04
Net gain (loss) on investments (realized and unrealized)		(1.45	)		1.97			(.01	)		(.45	)		(2.28	)
Total from investment operations		(1.43	)		2.03			.05			(.38	)		(2.24	)
Less distributions from:
Net investment income		(.06	)		(.10	)		(.09	)		(.02	)		—
Net realized gains		—			—			—			—			(2.54	)
Total distributions		(.06	)		(.10	)		(.09	)		(.02	)		(2.54	)
Net asset value, end of period	$	15.27		$	16.76		$	14.83		$	14.87		$	15.27
Total Returnb		(8.53	%)		13.81	%		0.27	%		(2.45	%)		(11.57	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,651		$	4,495		$	4,535		$	6,229		$	8,056
Ratios to average net assets:
Net investment income (loss)		0.12	%		0.35	%		0.41	%		0.44	%		0.22	%
Total expensesc		4.43	%		4.58	%		3.98	%		3.52	%		2.47	%
Net expensesd,e		1.99	%		2.01	%		2.01	%		2.00	%		1.99	%
Portfolio turnover rate		294	%		204	%		171	%		172	%		219	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	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.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

12/31/22	12/31/21	12/31/20	12/31/19	12/31/18
1.99%	2.00%	2.00%	2.00%	1.99%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 171

NOTES TO FINANCIAL STATEMENTS

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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At December 31, 2022, the Trust consisted of fourteen funds.The Trust offers shares of the funds to insurance companies for their variable annunity and variable life insurance contracts.

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

Fund Name	Investment Company Type
Series A (StylePlus—Large Core Series)	Diversified
Series B (Large Cap Value Series)	Diversified
Series D (World Equity Income Series)	Diversified
Series E (Total Return Bond Series)	Diversified
Series F (Floating Rate Strategies Series)	Diversified
Series J (StylePlus—Mid Growth Series)	Diversified
Series N (Managed Asset Allocation Series)	Diversified
Series O (All Cap Value Series)	Diversified
Series P (High Yield Series)	Diversified
Series Q (Small Cap Value Series)	Diversified
Series V (SMid Cap Value Series)	Diversified
Series X (StylePlus—Small Growth Series)	Diversified
Series Y (StylePlus—Large Growth Series)	Diversified
Series Z (Alpha Opportunity Series)	Diversified

Security Investors, LLC (“SI” or the “Adviser”) and Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. GPIM provides advisory services to Series F (Floating Rate Strategies Series) and SI 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.

Pursuant to an investment Sub-Advisory Agreement between Security Investors, LLC (“SI”) and Guggenheim Partners Advisors, LLC (“GPA”), that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment subadvisory services to Series E (Total Return Bond Series) (“Series E”) and Series P (High Yield Series) (“Series P”). Pursuant to an investment Sub-Advisory Agreement between GPIM and GPA that was in effect during a portion of the Reporting Period, GPA was engaged to provide investment sub-advisory services to Series F (Floating Rate Strategies Series) (“Series F”). GPA operated as an investment sub-advisor to these Funds from April 29, 2022 to December 22, 2022.

GPA, under the oversight of the Board, SI and GPIM, assisted SI and GPIM, as applicable, in the supervision and direction of the investment strategies of Series E, Series F and Series P in accordance with their investment policies. As compensation for its services, SI and GPIM, as applicable, paid GPA a fee, payable monthly, in an amount equal to 0.005% of the average daily net assets of Series E, Series F and Series P.

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”) adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith and became effective September 8, 2022. Rule 2a-5 also defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

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

172 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

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

Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ official closing price, which may not necessarily represent the last sale price.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include 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 Designee Procedures, the Adviser is authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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

U.S. Government securities are valued by independent pricing services, the last traded fill price, or at the reported bid price at the close of business.

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from 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. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using an independent pricing service.

Repurchase agreements are generally valued at amortized cost, provided such amounts approximate market value.

CLOs, CDOs, MBS, ABS, and other structured finance securities are generally valued using a pricing service.

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

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

The value of futures contracts are valued on the basis of the last sale price at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by a Fund is valued on the basis of the last sale price on the primary exchange on which the swap is traded.

The value of swap agreements entered into by a Fund is generally valued using an evaluated price provided by a third party pricing vendor.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 173

NOTES TO FINANCIAL STATEMENTS (continued)

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

Investments for which market quotations are not readily available are fair-valued as determined in good faith by the Adviser. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

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

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Trust invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the one-month or three-month London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Funds’ Schedules of Investments.

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

(d) Interest on When-Issued Securities

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

(e) Short Sales

When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(f) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount

174 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

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

The Fund may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities in anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the options. The swaptions are forward premium swaptions which have extended settlement dates.

(g) 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.

(h) Swap Agreements

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

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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

(i) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(j) Currency Translations

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

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

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 175

NOTES TO FINANCIAL STATEMENTS (continued)

(k) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of December 31, 2022, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(l) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

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

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

(m) Distributions

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.

(n) 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.

(o) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended December 31, 2022, are disclosed in the Statements of Operations.

(p) 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 4.33% at December 31, 2022.

(q) 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.

(r) Special Purpose Acquisition Companies

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be

176 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Funds invest will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

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 GUGGENHEIM FUNDS ANNUAL REPORT | 177

NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the Funds’ use and volume of call/put options purchased on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Series E (Total Return Bond Series)	Duration, Hedge	$	40,133,333	$	3,451,202

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Funds’ use and volume of call/put options written on a monthly basis:

		Average Notional Amount
Fund	Use	Call		Put
Series E (Total Return Bond Series)	Hedge	$	3,492	$	3,509,181

Futures Contracts

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.

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

		Average Notional Amount
Fund	Use	Long		Short
Series A (StylePlus—Large Core Series)	Index exposure	$	3,841,429	$	—
Series D (World Equity Income Series)	Hedge		—		9,635,324
Series E (Total Return Bond Series)	Duration, Hedge		695,953		—
Series J (StylePlus—Mid Growth Series)	Index exposure		3,759,180		—
Series N (Managed Asset Allocation Series)	Index exposure, Speculation		8,526,404		1,530,109
Series X (StylePlus—Small Growth Series)	Index exposure		424,140		—
Series Y (StylePlus—Large Growth Series)	Index exposure		628,568		—

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

178 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

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

		Average Notional Amount
Fund	Use	Long		Short
Series A (StylePlus—Large Core Series)	Index exposure	$	175,190,652	$	—
Series J (StylePlus—Mid Growth Series)	Index exposure		127,994,090		—
Series X (StylePlus—Small Growth Series)	Index exposure		20,915,016		—
Series Y (StylePlus—Large Growth Series)	Index exposure		33,985,003		—

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

		Average Notional Amount
Fund	Use	Long		Short
Series Z (Alpha Opportunity Series)	Hedge, Leverage	$	1,866,186	$	3,531,557

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

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

		Average Notional Amount
Fund	Use	Pay Floating Rate		Receive Floating Rate
Series E (Total Return Bond Series)	Duration, Hedge	$	8,900,000	$	491,667

Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 179

NOTES TO FINANCIAL STATEMENTS (continued)

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

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

		Average Notional Amount
Fund	Use	Protection Sold		Protection Purchased
Series P (High Yield Series)	Index exposure	$	—	$	232,167

Forward Foreign Currency Exchange Contracts

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

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

The following table represents the Funds’ use and volume of forward foreign currency exchange contracts on a monthly basis:

		Average Value
Fund	Use	Purchased		Sold
Series E (Total Return Bond Series)	Hedge, Income	$	—	$	597,139
Series F (Floating Rate Strategies Series)	Hedge		—		225,877
Series P (High Yield Series)	Hedge		8,532		626,753

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 December 31, 2022:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency/Equity/Interest rate futures contracts	—	Variation margin on futures contracts
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Equity/Interest rate swap contracts	Unrealized appreciation on OTC swap agreements Unamortized upfront premiums paid on interest rate swap agreements	— Variation margin on interest rate swap agreements
Interest rate option contracts	Investments in unaffiliated issuers, at value	—

180 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at December 31, 2022:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Futures Interest Rate Risk*		Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at December 31, 2022
Series A (StylePlus—Large Core Series)	$	—	$	2,201,633	$	—	$	—	$	—		—	$	—	$	2,201,633
Series E (Total Return Bond Series)		—		—		—		—		—		13,935		90,971		104,906
Series J (StylePlus—Mid Growth Series)		—		2,109,057		—		—		—		—		—		2,109,057
Series N (Managed Asset Allocation Series)		52,765		—		—		372		—		—		—		53,137
Series P (High Yield Series)		—		—		—		—		—		6,668		—		6,668
Series X (StylePlus—Small Growth Series)		—		455,885		—		—		—		—		—		455,885
Series Y (StylePlus—Large Growth Series)		—		532,587		—		—		—		—		—		532,587
Series Z (Alpha Opportunity Series)		—		194,967		—		—		—		—		—		194,967

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Futures Interest Rate Risk*		Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at December 31, 2022
Series A (StylePlus—Large Core Series)	$	92,880	$	—	$	—	$	—	$	—		—	$	—	$	92,880
Series E (Total Return Bond Series)		—		—		—		22,377		393,151		—		—		415,528
Series F (Floating Rate Strategies Series)		—		—		—		—		—		2,596		—		2,596
Series J (StylePlus—Mid Growth Series)		156,090		—		—		—		—		—		—		156,090
Series N (Managed Asset Allocation Series)		105,330		—		5,727		3,293		—		—		—		114,350
Series P (High Yield Series)		—		—		—		—		—		1,607		—		1,607
Series X (StylePlus—Small Growth Series)		26,963		—		—		—		—		—		—		26,963
Series Y (StylePlus—Large Growth Series)		64,991		—		—		—		—		—		—		64,991

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedules of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statements of Assets and Liabilities.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 181

NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended December 31, 2022:

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

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended December 31, 2022:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Foreign Currency Exchange Risk		Futures Interest Rate Risk			Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk			Options Written Interest Rate Risk			Total
Series A (StylePlus—Large Core Series)	$	382,826		$	(25,002,540	)	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	(24,619,714	)
Series D (World Equity Income Series)		—			—			1,352,842		—			—			—		—			—		—		—			—			1,352,842
Series E (Total Return Bond Series)		—			—			—		—			(708,205	)		—		(221,272	)		672,913		89,353		(162,795	)		(3,804	)		(333,810	)
Series F (Floating Rate Strategies Series)		—			—			—		—			—			—		—			—		8,645		—			—			8,645
Series J (StylePlus—Mid Growth Series)		(106,387	)		(43,923,527	)		—		—			—			—		—			—		—		—			—			(44,029,914	)
Series N (Managed Asset Allocation Series)		(851,760	)		—			77,989		(346,525	)		—			—		—			—		—		—			—			(1,120,296	)
Series P (High Yield Series)		—			—			—		—			—			39,182		—			—		53,140		—			—			92,322
Series X (StylePlus—Small Growth Series)		(88,803	)		(8,395,894	)		—		—			—			—		—			—		—		—			—			(8,484,697	)
Series Y (StylePlus—Large Growth Series)		(185,509	)		(9,485,398	)		—		—			—			—		—			—		—		—			—			(9,670,907	)
Series Z (Alpha Opportunity Series)		—			32,877			—		—			—			—		—			—		—		—			—			32,877

182 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk			Swaps Equity Risk			Futures Foreign Currency Exchange Risk			Futures Interest Rate Risk			Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk			Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk		Options Written Interest Rate Risk		Total
Series A (StylePlus—Large Core Series)	$	(193,155	)	$	(17,777,522	)	$	—		$	—		$	—		$	—	$	—		$	—	$	—		$	—	$	—	$	(17,970,677	)
Series E (Total Return Bond Series)		—			—			—			(22,377	)		(246,347	)		—		(2,596	)		—		(12,437	)		24,833		—		(258,924	)
Series F (Floating Rate Strategies Series)		—			—			—			—			—			—		—			—		(2,596	)		—		—		(2,596	)
Series J (StylePlus—Mid Growth Series)		(223,296	)		(2,943,839	)		—			—			—			—		—			—		—			—		—		(3,167,135	)
Series N (Managed Asset Allocation Series)		(155,837	)		—			(5,727	)		(19,704	)		—			—		—			—		—			—		—		(181,268	)
Series P (High Yield Series)		—			—			—			—			—			—		—			—		16,944			—		—		16,944
Series X (StylePlus—Small Growth Series)		(52,827	)		555,481			—			—			—			—		—			—		—			—		—		502,654
Series Y (StylePlus—Large Growth Series)		(89,990	)		(4,210,414	)		—			—			—			—		—			—		—			—		—		(4,300,404	)
Series Z (Alpha Opportunity Series)		—			139,551			—			—			—			—		—			—		—			—		—		139,551

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

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.

Foreign Investments

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

The Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and

THE GUGGENHEIM FUNDS ANNUAL REPORT | 183

NOTES TO FINANCIAL STATEMENTS (continued)

costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Funds.

Note 3 – Offsetting

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

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

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

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

184 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Series A (StylePlus—Large Core Series)	Swap equity contracts	$	2,201,633	$	—	$	2,201,633	$	—		$	(2,201,633	)	$	—
Series E (Total Return Bond Series)	Forward foreign currency exchange contracts		13,935		—		13,935		—			—			13,935
Series E (Total Return Bond Series)	Options purchased		90,971		—		90,971		—			—			90,971
Series J (StylePlus—Mid Growth Series)	Swap equity contracts		2,109,057		—		2,109,057		—			(2,109,057	)		—
Series P (High Yield Series)	Forward foreign currency exchange contracts		6,668		—		6,668		(1,539	)		—			5,129
Series X (StylePlus—Small Growth Series)	Swap equity contracts		455,885		—		455,885		—			(120,000	)		335,885
Series Y (StylePlus—Large Growth Series)	Swap equity contracts		532,587		—		532,587		—			(350,000	)		182,587
Series Z (Alpha Opportunity Series)	Custom basket swap agreements		194,967		—		194,967		—			—			194,967

								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 F (Floating Rate Strategies Series)	Forward foreign currency exchange contracts	$	2,596	$	—	$	2,596	$	—		$	—	$	2,596
Series P (High Yield Series)	Forward foreign currency exchange contracts		1,607		—		1,607		(1,539	)		—		68

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 185

NOTES TO FINANCIAL STATEMENTS (continued)

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of December 31, 2022.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Series A (StylePlus—Large Core Series)	Morgan Stanley Capital Services LLC	Futures contracts	$	533,000	$	—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		9,910,000
Series A (StylePlus—Large Core Series) Total				533,000		9,910,000
Series E (Total Return Bond Series)	BofA Securities, Inc.	Futures contracts, Interest rate		26,183		—
		swap agreements
Series E (Total Return Bond Series) Total				26,183		—
Series J (StylePlus—Mid Growth Series)	Morgan Stanley Capital Services LLC	Futures contracts		333,800		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		6,870,000
Series J (StylePlus—Mid Growth Series) Total				333,800		6,870,000
Series X (StylePlus—Small Growth Series)	Morgan Stanley Capital Services LLC	Futures contracts		51,000		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		120,000
Series X (StylePlus—Small Growth Series) Total				51,000		120,000
Series Y (StylePlus—Large Growth Series)	Morgan Stanley Capital Services LLC	Futures contracts		78,000		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		350,000
Series Y (StylePlus—Large Growth Series) Total				78,000		350,000

Note 4 – Fair Value Measurement

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

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

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

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

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

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

186 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

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

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

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
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	%1
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 (SMid 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	%

¹ The Series F management fee is subject to a 0.05% reduction on assets over $5 billion.

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

The Board has adopted a Distribution and Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act that allows those Funds to pay distribution and shareholder services fees to GFD. The Funds will pay distribution and shareholder services fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD may, in turn, pay all or a portion of the proceeds from the distribution and shareholder services fees to insurance companies or their affiliates and qualified plan administrators (“intermediaries”) for services they provide on behalf of the Funds to current and prospective variable contract owners and qualified plan participants that invest in the Funds through the intermediaries.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 187

NOTES TO FINANCIAL STATEMENTS (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 or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
Series A (StylePlus—Large Core Series)		0.91	%		05/01/17		05/01/23
Series B (Large Cap Value Series)		0.80	%		05/01/17		05/01/23
Series D (World Equity Income Series)		0.90	%		05/01/17		05/01/23
Series E (Total Return Bond Series)		0.81	%		11/30/12		05/01/23
Series F (Floating Rate Strategies Series)		1.15	%		04/22/13		05/01/23
Series J (StylePlus—Mid Growth Series)		0.94	%		05/01/17		05/01/23
Series O (All Cap Value Series)		0.88	%		05/01/17		05/01/23
Series P (High Yield Series)		1.07	%		10/20/14		05/01/23
Series Q (Small Cap Value Series)		1.14	%		05/01/17		05/01/23
Series V (Mid Cap Value Series)		0.91	%		05/01/17		05/01/23
Series X (StylePlus—Small Growth Series)		1.06	%		05/01/17		05/01/23
Series Y (StylePlus—Large Growth Series)		0.93	%		05/01/17		05/01/23
Series Z (Alpha Opportunity Series)		2.00	%		05/31/17		05/01/23

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At December 31, 2022, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended December 31, 2022, are presented in the following table:

Fund	2023		2024		2025		Total
Series A (StylePlus - Large Core Series)	$	609,622	$	578,663	$	468,020	$	1,656,305
Series B (Large Cap Value Series)		569,190		555,924		510,071		1,635,185
Series D (World Equity Income Series)		358,470		347,403		248,699		954,572
Series E (Total Return Bond Series)		102,283		72,779		23,524		198,586
Series F (Floating Rate Strategies Series)		97,708		76,984		45,284		219,976
Series J (StylePlus—Mid Growth Series)		445,780		434,128		323,149		1,203,057
Series O (All Cap Value Series)		288,584		268,200		231,664		788,448
Series P (High Yield Series)		111,843		90,246		69,351		271,440
Series Q (Small Cap Value Series)		89,756		58,292		49,991		198,039
Series V (SMid Cap Value Series)		493,187		452,499		380,378		1,326,064
Series X (StylePlus - Small Growth Series)		130,501		130,621		101,526		362,648
Series Y (StylePlus - Large Growth Series)		153,061		141,551		112,263		406,875
Series Z (Alpha Opportunity Series)		101,516		116,608		94,632		312,756

For the year ended December 31, 2022, GI recouped amounts from the Funds as follows:

Series D (World Equity Income Series)	$	357
Series V (SMid Cap Value Series)		116

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended December 31, 2022, the following Funds waived fees related to investments in affiliated funds:

188 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Amount Waived
Series A (StylePlus—Large Core Series)	$	76,176
Series E (Total Return Bond Series)		30,978
Series J (StylePlus—Mid Growth Series)		8,401
Series N (Managed Asset Allocation Series)		2,555
Series X (StylePlus—Small Growth Series)		1,095
Series Y (StylePlus—Large Growth Series)		10,044

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

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

Note 6 – Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

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

The tax character of distributions paid during the year ended December 31, 2022 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Series A (StylePlus—Large Core Series)	$	58,472,857	$	255,841	$	58,728,698
Series B (Large Cap Value Series)		4,798,469		18,054,554		22,853,023
Series D (World Equity Income Series)		20,247,249		6,913,025		27,160,274
Series E (Total Return Bond Series)		4,733,547		—		4,733,547
Series F (Floating Rate Strategies Series)		1,070,948		—		1,070,948
Series J (StylePlus—Mid Growth Series)		43,841,105		—		43,841,105
Series N (Managed Asset Allocation Series)		646,522		3,402,931		4,049,453
Series O (All Cap Value Series)		2,554,745		8,821,523		11,376,268
Series P (High Yield Series)		2,232,635		—		2,232,635
Series Q (Small Cap Value Series)		1,548,297		2,236,822		3,785,119
Series V (SMid Cap Value Series)		5,184,491		14,849,902		20,034,393
Series X (StylePlus—Small Growth Series)		8,871,970		80,941		8,952,911
Series Y (StylePlus—Large Growth Series)		10,472,266		—		10,472,266
Series Z (Alpha Opportunity Series)		15,376		—		15,376

THE GUGGENHEIM FUNDS ANNUAL REPORT | 189

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended December 31, 2021 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Series A (StylePlus—Large Core Series)	$	26,897,830	$	—	$	26,897,830
Series B (Large Cap Value Series)		4,627,125		12,501		4,639,626
Series D (World Equity Income Series)		2,031,098		—		2,031,098
Series E (Total Return Bond Series)		5,202,765		2,465,765		7,668,530
Series F (Floating Rate Strategies Series)		1,106,221		—		1,106,221
Series J (StylePlus—Mid Growth Series)		27,828,628		1,704		27,830,332
Series N (Managed Asset Allocation Series)		900,457		2,575,357		3,475,814
Series O (All Cap Value Series)		1,808,620		523,822		2,332,442
Series P (High Yield Series)		2,204,042		—		2,204,042
Series Q (Small Cap Value Series)		557,150		—		557,150
Series V (SMid Cap Value Series)		3,140,125		—		3,140,125
Series X (StylePlus—Small Growth Series)		1,474,151		—		1,474,151
Series Y (StylePlus—Large Growth Series)		11,035,296		—		11,035,296
Series Z (Alpha Opportunity Series)		28,089		—		28,089

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

The tax components of distributable earnings/(loss) as of December 31, 2022 were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Total
Series A (StylePlus—Large Core Series)	$	3,382,560	$	—	$	(3,989,881	)	$	(26,265,530	)	$	(26,872,851	)
Series B (Large Cap Value Series)		4,407,354		18,825,451		39,755,408			—			62,988,213
Series D (World Equity Income Series)		2,905,783		—		1,014,509			(1,768,202	)		2,152,090
Series E (Total Return Bond Series)		5,285,384		—		(23,365,015	)		(6,517,877	)		(24,597,508	)
Series F (Floating Rate Strategies Series)		1,926,037		—		(2,481,330	)		(4,108,322	)		(4,663,615	)
Series J (StylePlus—Mid Growth Series)		2,282,488		—		(2,185,770	)		(48,635,995	)		(48,539,277	)
Series N (Managed Asset Allocation Series)		454,353		278,651		4,673,583			—			5,406,587
Series O (All Cap Value Series)		1,921,683		7,227,915		16,941,582			—			26,091,180
Series P (High Yield Series)		1,782,949		—		(5,433,179	)		(8,770,500	)		(12,420,730	)
Series Q (Small Cap Value Series)		993,511		3,714,694		5,782,073			—			10,490,278
Series V (SMid Cap Value Series)		2,722,940		10,931,977		19,283,153			—			32,938,070
Series X (StylePlus—Small Growth Series)		360,089		—		(363,741	)		(8,868,497	)		(8,872,149	)
Series Y (StylePlus—Large Growth Series)		586,728		—		(924,845	)		(9,651,153	)		(9,989,270	)
Series Z (Alpha Opportunity Series)		6,021		—		129,399			(1,506,138	)		(1,370,718	)

190 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of December 31, 2022, capital loss carryforwards for the Funds were as follows:

	Unlimited
Fund	Short-Term			Long-Term			Total Capital Loss Carryforward
Series A (StylePlus—Large Core Series)	$	(26,265,530	)	$	—		$	(26,265,530	)
Series D (World Equity Income Series)		(1,768,202	)		—			(1,768,202	)
Series E (Total Return Bond Series)		(3,541,456	)		(2,892,209	)		(6,433,665	)
Series F (Floating Rate Strategies Series)		(646,378	)		(3,461,944	)		(4,108,322	)
Series J (StylePlus—Mid Growth Series)		(47,715,485	)		(920,510	)		(48,635,995	)
Series P (High Yield Series)		(228,457	)		(8,542,043	)		(8,770,500	)
Series X (StylePlus—Small Growth Series)		(261,439	)		(8,607,058	)		(8,868,497	)
Series Y (StylePlus—Large Growth Series)		(9,651,153	)		—			(9,651,153	)
Series Z (Alpha Opportunity Series)		(1,506,138	)		—			(1,506,138	)

For the year ended December 31, 2022, there were no capital loss carryforward amounts utilized.

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

The following adjustments were made on the Statements of Assets and Liabilities as of December 31, 2022 for permanent book/tax differences:

Fund	Paid In Capital			Total Distributable Earnings/(Loss)
Series B (Large Cap Value Series)	$	2,663,805		$	(2,663,805	)
Series J (StylePlus—Mid Growth Series)		(1,440	)		1,440
Series N (Managed Asset Allocation Series)		201,222			(201,222	)
Series O (All Cap Value Series)		773,074			(773,074	)
Series Q (Small Cap Value Series)		824,610			(824,610	)
Series V (SMid Cap Value Series)		2,265,819			(2,265,819	)
Series Z (Alpha Opportunity Series)		13			(13	)

THE GUGGENHEIM FUNDS ANNUAL REPORT | 191

NOTES TO FINANCIAL STATEMENTS (continued)

At December 31, 2022, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
Series A (StylePlus—Large Core Series)	$	201,328,533	$	3,930,225	$	(7,920,106	)	$	(3,989,881	)
Series B (Large Cap Value Series)		172,575,654		47,099,788		(7,344,380	)		39,755,408
Series D (World Equity Income Series)		111,946,438		8,726,668		(7,697,425	)		1,029,243
Series E (Total Return Bond Series)		165,870,851		39,781		(23,404,060	)		(23,364,279	)
Series F (Floating Rate Strategies Series)		52,297,542		36,557		(2,511,989	)		(2,475,432	)
Series J (StylePlus—Mid Growth Series)		147,129,170		3,351,720		(5,537,490	)		(2,185,770	)
Series N (Managed Asset Allocation Series)		31,281,687		6,830,686		(2,157,106	)		4,673,580
Series O (All Cap Value Series)		76,947,629		20,697,810		(3,756,228	)		16,941,582
Series P (High Yield Series)		37,292,503		141,560		(5,573,606	)		(5,432,046	)
Series Q (Small Cap Value Series)		58,248,689		10,520,124		(4,738,051	)		5,782,073
Series V (SMid Cap Value Series)		145,734,074		29,681,231		(10,398,078	)		19,283,153
Series X (StylePlus—Small Growth Series)		24,648,045		756,211		(1,119,952	)		(363,741	)
Series Y (StylePlus—Large Growth Series)		37,948,972		808,793		(1,733,638	)		(924,845	)
Series Z (Alpha Opportunity Series)		3,542,817		309,145		(179,746	)		129,399

Note 7 – Securities Transactions

For the year ended December 31, 2022, 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)	$	135,655,418	$	193,203,479
Series B (Large Cap Value Series)		54,475,827		70,900,395
Series D (World Equity Income Series)		169,119,475		176,869,162
Series E (Total Return Bond Series)		14,966,210		37,991,594
Series F (Floating Rate Strategies Series)		30,857,639		31,151,755
Series J (StylePlus—Mid Growth Series)		134,890,194		171,994,901
Series N (Managed Asset Allocation Series)		300,196		5,691,996
Series O (All Cap Value Series)		27,991,953		33,623,210
Series P (High Yield Series)		11,351,141		18,170,141
Series Q (Small Cap Value Series)		24,803,169		29,638,877
Series V (SMid Cap Value Series)		66,475,505		79,877,522
Series X (StylePlus—Small Growth Series)		19,527,496		29,701,800
Series Y (StylePlus—Large Growth Series)		27,575,088		42,666,562
Series Z (Alpha Opportunity Series)		10,865,558		11,260,264

For the year ended December 31, 2022, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Series E (Total Return Bond Series)	$	58,124,941	$	49,878,257

192 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended December 31, 2022, 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)	$	—	$	540,013	$	(78,720	)
Series P (High Yield Series)		281,688		2,299,422		(43,850	)

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of December 31, 2022. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of December 31, 2022, were as follows:

Fund	Borrower	Maturity Date		Face Amount		Value
Series E (Total Return Bond Series)
	Higginbotham Insurance Agency, Inc.		11/25/26	$	53,904	$	1,569
	Lightning A		03/01/37		253,255		—
	Thunderbird A		03/01/37		249,909		—
				$	557,068	$	1,569
Series F (Floating Rate Strategies Series)
	Athenahealth Group, Inc.		02/15/29		54,348		5,415
	Dermatology Intermediate Holdings III, Inc.		04/02/29		4,212		116
	Osmosis Holdings Australia II Pty Ltd.		07/31/28		7,407		444
	TGP Holdings LLC		06/29/28		7,018		1,439
	VT TopCo, Inc.		08/01/25		15,613		520
				$	88,598	$	7,934
Series P (High Yield Series)
	Confluent Health LLC		11/30/28		5,731		879
	Osmosis Holdings Australia II Pty Ltd.		07/31/28		5,556		333
	TGP Holdings LLC		06/29/28		1,456		299
				$	12,743	$	1,511

THE GUGGENHEIM FUNDS ANNUAL REPORT | 193

NOTES TO FINANCIAL STATEMENTS (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 INC, (WAC) due 01/20/211		05/09/14	$	—	$	235
	FKRT
	2.21% due 11/30/58		09/24/21		749,997		719,910
	LSTAR Securities Investment Ltd.
	2021-1 5.92% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/262		02/04/21		230,243		205,305
	LSTAR Securities Investment Ltd.
	2021-2 5.82% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/262		03/17/21		174,797		171,819
	Towd Point Revolving Trust
	4.83% due 09/25/64		03/17/22		499,996		481,300
				$	1,655,033	$	1,578,569
Series P (High Yield Series)
	Mirabela Nickel Ltd.
	due 06/24/193		12/31/13		353,909		7,802
				$	353,909	$	7,802

1	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
2	Variable rate security. Rate indicated is the rate effective at December 31, 2022. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
3	Security is in default of interest and/or principal obligations.

Note 10 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through September 30, 2022, at which time a new line of credit was entered into in the amount of $1,150,000,000. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, SOFR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Funds is at an annualized rate of 0.15% of the average daily amount of their allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statements of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended December 31, 2022.

Note 11 – 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.

194 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended December 31, 2022, the following Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at December 31, 2022		Average Balance Outstanding		Average Interest Rate
Series E (Total Return Bond Series)		339	$	—	$	10,277,294		1.34	%
Series P (High Yield Series)		365		238,240		705,126		(0.26	%)

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets and Liabilites in conformity with U.S. GAAP:

								Gross Amounts Not Offset in the Statement of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Series P (High Yield Series)	Reverse Repurchase Agreements	$	238,240	$	—	$	238,240	$	(238,240	)	$	—	$	—

As of December 31, 2022, Series P (High Yield Series) had $238,240, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Fund	Counterparty	Interest Rate		Maturity Date	Face Value
Series P (High Yield Series)	Goldman Sachs & Co. LLC	2.25%*	Open Maturity		$	238,240

* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set of reference rate and spread. Rate indicated is the rate effective at December 31, 2022.

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year end, aggregated by asset class of the related collateral pledged by the Fund:

Fund		Asset Type	Continuous		Total
Series P (High Yield Series)	Corporate Bonds		$	238,240	$	238,240
Gross amount of recognized liabilities for reverse repurchase agreements			$	238,240	$	238,240

Note 12 – Market Risks

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 195

NOTES TO FINANCIAL STATEMENTS (concluded)

foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Funds’ investments and performance of the Funds.

Note 13 – Subsequent Events

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

196 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Variable Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Guggenheim Variable Funds Trust (the “Trust”) (comprising Series A (Style Plus—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 (Style Plus—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 (SMid Cap Value Series), Series X (Style Plus—Small Growth Series), Series Y (Style Plus—Large Growth Series) and Series Z (Alpha Opportunity Series) (collectively referred to as the “Funds”)), including the schedules of investments, as of December 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Guggenheim Variable Funds Trust at December 31, 2022, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian, transfer agent, paying agents, brokers; when replies were not received from brokers or paying agents, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
February 24, 2023

THE GUGGENHEIM FUNDS ANNUAL REPORT | 197

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

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

In January 2023, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2022.

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

Of the taxable ordinary income distributions paid during the fiscal year ended December 31, 2022, the following Funds had the corresponding percentages qualify for the dividends received deduction for corporations.

Fund	Dividend Received Deduction
Series A (StylePlus—Large Core Series)		1.07	%
Series B (Large Cap Value Series)		91.11	%
Series D (World Equity Income Series)		9.77	%
Series E (Total Return Bond Series)		2.40	%
Series F (Floating Rate Strategies Series)		1.90	%
Series J (StylePlus—Mid Growth Series)		0.47	%
Series N (Managed Asset Allocation Series)		18.59	%
Series O (All Cap Value Series)		72.23	%
Series P (High Yield Series)		1.98	%
Series Q (Small Cap Value Series)		78.23	%
Series V (SMid Cap Value Series)		53.98	%
Series X (StylePlus—Small Growth Series)		0.71	%
Series Y (StylePlus—Large Growth Series)		1.43	%
Series Z (Alpha Opportunity Series)		100.00	%

With respect to the taxable year ended December 31, 2022, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Series A (StylePlus—Large Core Series)	$	255,841	$	—
Series B (Large Cap Value Series)		18,054,554		2,663,805
Series D (World Equity Income Series)		6,913,025		—
Series N (Managed Asset Allocation Series)		3,402,931		201,222
Series O (All Cap Value Series)		8,821,523		773,074
Series Q (Small Cap Value Series)		2,236,822		824,610
Series V (SMid Cap Value Series)		14,849,902		2,265,819
Series X (StylePlus—Small Growth Series)		80,941		—

Delivery of Shareholder Reports

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

You may elect to receive paper copies of all future shareholder reports free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper may apply to all portfolio companies available under your contract.

198 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(concluded)

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Funds’ voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 199

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	155	Current: Advent Convertible and Income Fund (2005-present); Purpose Investments Funds (2013-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021).
Angela Brock-Kyle (1959)	Trustee	Since 2016	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present); Director, Mutual Fund Directors Forum (2022-present). Former: Senior Leader, TIAA (1987-2012).	154	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Infinity Property & Casualty Corp. (2014-2018).
Thomas F. Lydon, Jr. (1960)	Trustee and Chair of the Contracts Review Committee	Since 2019 (Trustee) Since 2020 (Chair of the Contracts Review Committee)	Current: President, Global Trends Investments (1996-present); Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present); Director, GDX Index Partners, LLC (2021-present); Vice Chairman, VettaFi (2022-present).	154	Current: US Global Investors, Inc. (GROW) (1995-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); Harvest Volatility Edge Trust (3) (2017-2019).

200 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	155	Current: Advent Convertible and Income Fund (2003-present); PPM Funds (2) (2018-present); NorthShore-Edward-Elmhurst Health (2012-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	154	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: Fiduciary/Claymore Energy Infrastructure Fund (2019-2022); Guggenheim Enhanced Equity Income Fund (2019-2021); Guggenheim Credit Allocation Fund (2019-2021); SSGA Master Trust (1) (2018-2020).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 201

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2004-2022); Guggenheim Enhanced Equity Income Fund (2005-2021); Guggenheim Credit Allocation Fund (2013-2021); Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020).
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	154	Former: Fiduciary/Claymore Energy Infrastructure Fund (2018-2022); Guggenheim Enhanced Equity Income Fund (2018-2021); Guggenheim Credit Allocation Fund (2018-2021).

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Energy & Income Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager.

202 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President, Mutual Fund Boards, Guggenheim Investments (2022-present); President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member, Guggenheim Partners Investment Funds plc (2022-present); Board Member, Guggenheim Global Investments plc (2022-present); Board Member, Guggenheim Partners Fund Management (Europe) Limited (2018-present). Former: Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-2022); Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Chairman of North American Executive Committee and Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2022	Current: Managing Director, Guggenheim Investments (2004-present); Chief Financial Officer, Chief Accounting Officer, and Treasurer, certain other funds in the Fund Complex (2022-present). Former: Assistant Treasurer, certain other funds in the Fund Complex (2006-2022); Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014).
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 203

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

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Director, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

204 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

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

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 205

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.

206 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

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

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

International Visitors

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

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

We’ll Keep You Informed

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 207

This page intentionally left blank.

This page intentionally left blank.

This page intentionally left blank.

This page intentionally left blank.

This page intentionally left blank.

This page intentionally left blank.

Item 2.      Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.

Item 3.      Audit Committee Financial Expert.

The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Sandra G. Sponem. Ms. Sponem is “independent,” meaning that she is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and she does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in her capacity as a Board or committee member).

(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.)

Item 4.      Principal Accountant Fees and Services.

(a)         Audit Fees. The aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended December 31, 2022 and December 31, 2021 were $345,583 and $335,517, respectively.

(b)         Audit-Related Fees. The aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item for the fiscal years ended December 31, 2022 and December 31, 2021 were $0 and $0, respectively.

The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended December 31, 2022 and December 31, 2021 were $0 and $0, respectively.

(c)        Tax Fees. The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2022 and December 31, 2021 were $95,548 and $86,828, respectively. These services consisted of [(i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations].

(d)        All Other Fees. The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended December 31, 2022 and December 31, 2021 were $0 and $0, respectively.

(e)        Audit Committee Pre-Approval Policies and Procedures.

(1) Audit Committee pre-approval policies and procedures:

To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:

1. Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter, attached hereto as Appendix B (collectively, “Identified Services”).

(b) The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.

(c) For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee.

(d) For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.

(e) All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form attached as Appendix C hereto. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee.

(f) The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services as set forth in Appendix B under which pre-approval was obtained).

2. Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next regularly scheduled Committee meeting.

(b) For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.

a. Pre-Approval Requirements

i. Categories of Services to be Reviewed and Considered for Pre-Approval

1. Audit Services

a. Annual financial statement audits

b. Seed audits (related to new product filings, as required)

c. SEC and regulatory filings and consents

2. Audit-Related Services

a. Accounting consultations

b. Fund merger/reorganization support services

c. Other accounting related matters

d. Agreed upon procedures reports

e. Attestation reports

f. Other internal control reports

3. Tax Services

a. Recurring tax services:

i. Preparation of Federal and state income tax returns, including extensions

ii. Preparation of calculations of taxable income, including fiscal year tax designations

iii. Preparation of annual Federal excise tax returns (if applicable)

iv. Preparation of calendar year excise distribution calculations

v. Calculation of tax equalization on an as-needed basis

vi. Preparation of monthly/quarterly estimates of tax undistributed position for closed-end funds

vii. Preparation of the estimated excise distribution calculations on an as-needed basis

viii. Preparation of calendar year shareholder reporting designations on Form 1099

ix. Preparation of quarterly Federal, state and local and franchise tax estimated tax payments on an as-needed basis

x. Preparation of state apportionment calculations to properly allocate Fund taxable income among the states for state tax filing purposes

xi. Assistance with management’s identification of passive foreign investment companies (PFICs) for tax purposes

b. Permissible non-recurring tax services upon request:

i. Assistance with determining ownership changes which impact a Fund’s utilization of loss carryforwards

ii. Assistance with corporate actions and tax treatment of complex securities and structured products

iii. Assistance with IRS ruling requests and calculation of deficiency dividends

iv. Conduct training sessions for the Adviser’s internal tax resources

v. Assistance with Federal, state, local and international tax planning and advice regarding the tax consequences of proposed or actual transactions

vi. Tax services related to amendments to Federal, state and local returns and sales and use tax compliance

vii. RIC qualification reviews

viii. Tax distribution analysis and planning

ix. Tax authority examination services

x. Tax appeals support services

xi. Tax accounting methods studies

xii. Fund merger, reorganization and liquidation support services

xiii. Tax compliance, planning and advice services and related projects

xiv. Assistance with out of state residency status

xv. Provision of tax compliance services in India for Funds with direct investments in India

B. Pre-Approval Not Required

Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Trust pursuant to Section V.B.2 is not required, if:

1. the aggregate amount of all non-audit services provided to the Trust is no more than 5% of the total fees paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided;

2. the services were not recognized by Trust management at the time of the engagement as non-audit services; and

3. such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

Under Section 10A(h)(i)(1)(B) of the Exchange Act and Rule 2-01 under Regulation S-X (Section (c)(7)), pre-approval of non-audit services for the Adviser (or any affiliate of the Adviser providing ongoing services to the Trust) pursuant to Section V.B.3 is not required, if:

1.       the aggregate amount of all non-audit services provided is no more than 5% of the total fees paid to the Trust’s independent auditors by the Trust, the Adviser and any “control affiliate” of the Adviser providing ongoing services to the Trust during the fiscal year in which the non-audit services are provided;

2.       the services were not recognized by Trust management at the time of the engagement as non-audit services; and

3.       such services are promptly brought to the attention of the Audit Committee by Trust management and the Committee approves them (which may be by delegation) prior to the completion of the audit.

(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)        Not applicable.

(g)        Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $95,548 and $86,828, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h)        Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.

Item 5.      Audit Committee of Listed Registrants.

Not applicable.

Item 6.      Investments.

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 Managers of Closed-end Management Investment Companies

Not applicable

Item 9.      Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10.    Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.

Item 11.    Controls and Procedures.

(a)        The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)        The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12.    Disclosure of Securities Lending Activities for Closed End Management Investment Companies.

Not Applicable

Item 13.    Exhibits.

(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.

(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the 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	March 6, 2023

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Brian Binder
	Brian Binder, President and Chief Executive Officer
Date	March 6, 2023
By (Signature and Title)*	/s/ James M. Howley
	James M. Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	March 6, 2023

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH

EXHIBIT (a)(1)

APPENDIX A

CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND

SENIOR FINANCIAL OFFICERS

I. Covered Officers/Purpose of the Code

This code of ethics (the “Code”) is applicable to Guggenheim Funds (each a “Company” and together the “Companies,” each set forth in Exhibit A) and applies to the Companies’ President/CEO (Principal Executive Officer), and CFO/Treasurer (Principal Financial Officer) (the “Covered Officers”) for the purpose of promoting:

● honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

● full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the Securities and Exchange Commission (“SEC”) and in other public communications made by the Company;

● compliance with applicable laws and governmental rules and regulations;

● the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

● accountability for adherence to the Code.

Covered Officers are expected to dedicate their best efforts to advancing the Trust’s interests and to use objective and unbiased standards when making decisions that affect the Trust, while being sensitive to situations that may give rise to actual conflicts of interest, as well as apparent conflicts of interest.

II. Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest

Overview. A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his or her service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with the Company.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (“Investment Company Act”) and the Investment Advisers Act of 1940 (“Investment Advisers Act”). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Company because of their status as “affiliated persons” of the Company. The Company’s and the investment adviser’s compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or result from, the contractual relationship between the Company and the investment adviser of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Company or for the adviser, or for both), be involved in establishing policies and implementing decisions that will have different effects on the adviser and the Company. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the adviser and is consistent with the performance by the Covered Officers of their duties as officers of the Company. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds’ Boards of Trustees (“Boards”) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this code.

EXHIBIT (a)(1)

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company.

*             *             *

Each Covered Officer must:

● not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Company whereby the Covered Officer would benefit personally to the detriment of the Company;

● not cause the Company to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Company;

● report at least annually his or her affiliations or other relationships which may give rise to conflicts of interest with the Funds (provided that annual completion of the Funds’ Trustees and Officers Questionnaire shall satisfy the requirements of this bullet point).

There are some conflict of interest situations that should always be discussed with the Secretary of the Funds (the "Secretary"), or other senior legal officer, if material. Examples of these include:¹

● service as a director on the board of any public company;

● the receipt of any non-de minimus gifts;

● the receipt of any entertainment from any company with which the Company has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

● any ownership interest in, or any consulting or employment relationship with, any of the Company’s service providers, other than its investment adviser, principal underwriter, administrator or any affiliated person thereof;

● a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

III. Disclosure and Compliance

● Each Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Company;

● each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Company to others, whether within or outside the Company, including to the Company’s directors and auditors, and to governmental regulators and self-regulatory organizations;

● each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and the adviser with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds; and

¹ Any activity or relationship that would present a conflict for a Covered Officer would likely also present a conflict for the Covered Officer if a member of the Covered Officer’s family engages in such an activity or has such a relationship.

EXHIBIT (a)(1)

● it is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

IV. Reporting and Accountability

Each Covered Officer must:

● upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he or she has received, read, and understands the Code;

● annually thereafter affirm to the Board that he or she has complied with the requirements of the Code;

● not retaliate against any other Covered Officer or any employee of the Funds or their affiliated persons for reports of potential violations that are made in good faith; and

● notify the Secretary promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Secretary, or other designated senior legal officer of the Funds’ investment adviser, is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation.² However, any approvals or waivers³ sought by the President/ CEO will be considered by the Audit Committee of the Funds (the “Committee”). The Chairman of the Audit Committee of the Trust is authorized and encouraged to consult, as appropriate, with the Chairman of the Board of Trustees of the Trust, the Independent Trustees or the Board of Trustees of the Trust and/or with counsel to the Trust, the Investment Adviser(s) or the Independent Trustees.

The Independent Trustees are responsible for granting waivers of this Code of Ethics, as appropriate. Any changes to or waivers of this Code of Ethics will be disclosed on Form N-CSR³ to the extent required by Securities and Exchange Commission rules.

The Funds will follow these procedures in investigating and enforcing this Code:

● the Secretary or other designated senior legal officer will take all appropriate action to investigate any potential violations reported to him or her;

● if, after such investigation, the Secretary believes that no violation has occurred, the Secretary is not required to take any further action;

● any matter that the Secretary believes is a violation will be reported to the Committee;

● if the Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer as an officer of the Funds;

² The Secretary or other designated senior legal officer is authorized to consult, as appropriate, with counsel to the Company and counsel to the Independent Trustees, and is encouraged to do so.

³ Item 2 of Form N-CSR defines “waiver” as “the approval by the registrant of a material departure from a provision of the code of ethics” and “implicit waiver,” which must also be disclosed, as “the registrant’s failure to take action within a reasonable period of time regarding a material departure from a provision of the code of ethics that has been made known to an executive officer” of the registrant.

EXHIBIT (a)(1)

● the Board will be responsible for granting waivers, as appropriate; and

● any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

V. Other Policies and Procedures

This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds’ adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Funds’ and their investment adviser’s and principal underwriter’s codes of ethics under Rule 17j-1 under the Investment Company Act are separate requirements applying to the Covered Officers and others, and are not part of this Code.

VI. Amendments

Any amendments to this Code must be approved or ratified by a majority vote of the Board, including a majority of independent directors/trustees.

VII Confidentiality

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Board and its counsel, the Funds’ counsel, the Adviser and its counsel and any other advisers, consultants or counsel retained by the Board of Trustees.

VIII. Internal Use

The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance, or legal conclusion.

EXHIBIT (a)(1)

Exhibit A - Covered Entities

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (“GBAB”)

Guggenheim Active Allocation Fund (“GUG”)

Guggenheim Strategic Opportunities Fund (“GOF”)

Guggenheim Energy & Income Fund (“XGEIX”)

Guggenheim Funds Trust (“GFT” and its series, the “Open-End Funds”)

Guggenheim Variable Funds Trust (“GVGT” and its series, the “Variable Insurance Funds”)

Guggenheim Strategy Funds Trust (“GSFT”)

Transparent Value Trust

Rydex Series Funds

Rydex Dynamic Funds

Rydex Variable Trust

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 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: March 6, 2023	/s/ Brian Binder
	Brian Binder
	President and Chief Executive Officer

EX.-13(a)(2)(ii)

CERTIFICATION

I, James M. Howley, 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 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: March 6, 2023	/s/ James M. Howley
	James M. Howley,
	Chief Financial Officer, Chief Accounting Officer, and Treasurer Chief

EX-99.906 CERT

EX.-13(b)

CERTIFICATION

I, Brian E. Binder, President and Chief Executive Officer, and I, James M. Howley, Chief Financial Officer, Chief Accounting Officer and Treasurer of Guggenheim Variable Funds Trust (the “Registrant”) each 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.

Date: March 6, 2023 

/s/ Brian E. Binder

Brian E. Binder

President and Chief Executive Officer

Date: March 6, 2023 

/s/ James M. Howley

James M. Howley

Chief Financial Officer, Chief Accounting Officer and Treasurer