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- 01136

Guggenheim Funds Trust
(Exact name of registrant as specified in charter)

702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)

Amy J. Lee

Guggenheim Funds Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: October 1, 2020 - September 30, 2021

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

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

Item 1. Reports to Stockholders.

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

9.30.2021

Guggenheim Funds Annual Report

Guggenheim Funds Trust-Equity

Guggenheim Alpha Opportunity Fund

Guggenheim Large Cap Value Fund

Guggenheim Market Neutral Real Estate Fund

Guggenheim Risk Managed Real Estate Fund

Guggenheim Small Cap Value Fund

Guggenheim StylePlus—Large Core Fund

Guggenheim StylePlus—Mid Growth Fund

Guggenheim World Equity Income Fund

GuggenheimInvestments.com SBE-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	5
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
ALPHA OPPORTUNITY FUND	10
LARGE CAP VALUE FUND	30
MARKET NEUTRAL REAL ESTATE FUND	41
RISK MANAGED REAL ESTATE FUND	53
SMALL CAP VALUE FUND	72
STYLEPLUS—LARGE CORE FUND	83
STYLEPLUS—MID GROWTH FUND	95
WORLD EQUITY INCOME FUND	106
NOTES TO FINANCIAL STATEMENTS	117
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	132
OTHER INFORMATION	133
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	142
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	147
LIQUIDITY RISK MANAGEMENT PROGRAM	150

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 2021.

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for each Fund.

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

Sincerely,

Security Investors, LLC,

Guggenheim Partners Investment Management, LLC,

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

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September 30, 2021

Alpha Opportunity Fund 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. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. In general, bond prices rise when interest rates fall and vice versa. 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.

Large Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means an investor could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. The Fund is subject to risk that large-capitalization stocks may underperform other segments of the equity market or the equity markets as a whole. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. The Fund’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). 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. 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.

Market Neutral Real Estate Fund may not be suitable for all investors. ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options, and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. This strategy may not be suitable for all investors. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● 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. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Risk Managed Real Estate Fund 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 ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. This strategy may not be suitable for all investors. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● 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. ● You may have a gain or loss when you sell you shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

Small Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investing in securities of small-capitalization companies may involve a greater risk of loss and more abrupt fluctuations in market price than investments in larger-capitalization companies. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

September 30, 2021

economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). The Fund may invest in restricted securities which may involve financial and liquidity risk. You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

StylePlus—Large Core Fund 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. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down.● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

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

World Equity Income Fund 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 risk). Additionally, the Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. ●The Fund’s use of leverage, through instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ●The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ●The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. 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.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.

The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

*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.

FTSE NAREIT Equity REITs Total Return Index (“FNRE”) is one of the FTSE NAREIT U.S. Real Estate Index Series that contains all Equity REITs not designated as Timber REITs or Infrastructure REITs. FTSE NAREIT U.S. Real Estate Index Series is designed to present investors with a comprehensive family of REIT performance indexes that spans the commercial real estate space across the U.S. economy. The index series provides investors with exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets. The National Association of Real Estate Investment Trusts (NAREIT) is the trade association for REITs and publicly traded real estate companies with an interest in the U.S. property and investment markets.

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

Morningstar Long/Short Equity Category Average is the average return of funds Morningstar places in a given category based on their portfolio statistics and compositions over the past three years. Long-short portfolios hold sizeable stakes in both long and short positions in equities, exchange traded funds, and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. At least 75% of the assets are in equity securities or derivatives, and funds in the category will typically have beta values to relevant benchmarks of between 0.3 and 0.8 over a three-year period.

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

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

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

Russell 1000^® Value Index is a measure of the performance 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 2000^® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

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

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

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

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.

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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Alpha Opportunity Fund
A-Class	1.77%	(3.89%)	$ 1,000.00	$ 961.10	$ 8.70
C-Class	2.52%	(4.25%)	1,000.00	957.50	12.37
P-Class	1.77%	(3.91%)	1,000.00	960.90	8.70
Institutional Class	1.52%	(3.75%)	1,000.00	962.50	7.48
Large Cap Value Fund
A-Class	1.14%	3.73%	1,000.00	1,037.30	5.82
C-Class	1.89%	3.34%	1,000.00	1,033.40	9.63
P-Class	1.14%	3.74%	1,000.00	1,037.40	5.82
Institutional Class	0.89%	3.85%	1,000.00	1,038.50	4.55
Market Neutral Real Estate Fund
A-Class	1.64%	0.26%	1,000.00	1,002.60	8.23
C-Class	2.39%	(0.15%)	1,000.00	998.50	11.97
P-Class	1.64%	0.26%	1,000.00	1,002.60	8.23
Institutional Class	1.39%	0.40%	1,000.00	1,004.00	6.98
Risk Managed Real Estate Fund
A-Class	1.45%	12.31%	1,000.00	1,123.10	7.72
C-Class	2.25%	11.84%	1,000.00	1,118.40	11.95
P-Class	1.51%	12.27%	1,000.00	1,122.70	8.04
Institutional Class	1.14%	12.48%	1,000.00	1,124.80	6.07
Small Cap Value Fund
A-Class	1.31%	0.38%	1,000.00	1,003.80	6.58
C-Class	2.06%	0.00%	1,000.00	1,000.00	10.33
P-Class	1.31%	0.38%	1,000.00	1,003.80	6.58
Institutional Class	1.06%	0.49%	1,000.00	1,004.90	5.33
StylePlus—Large Core Fund
A-Class	1.14%	8.62%	1,000.00	1,086.20	5.96
C-Class	2.07%	8.09%	1,000.00	1,080.90	10.80
P-Class	1.29%	8.54%	1,000.00	1,085.40	6.74
Institutional Class	0.95%	8.70%	1,000.00	1,087.00	4.97
StylePlus—Mid Growth Fund
A-Class	1.26%	8.12%	1,000.00	1,081.20	6.57
C-Class	2.22%	7.62%	1,000.00	1,076.20	11.55
P-Class	1.36%	8.05%	1,000.00	1,080.50	7.09
Institutional Class	1.12%	8.17%	1,000.00	1,081.70	5.84
World Equity Income Fund
A-Class	1.21%	2.43%	1,000.00	1,024.30	6.14
C-Class	1.96%	2.13%	1,000.00	1,021.30	9.93
P-Class	1.21%	2.45%	1,000.00	1,024.50	6.14
Institutional Class	0.96%	2.57%	1,000.00	1,025.70	4.87

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Alpha Opportunity Fund
A-Class	1.77%	5.00%	$ 1,000.00	$ 1,016.19	$ 8.95
C-Class	2.52%	5.00%	1,000.00	1,012.43	12.71
P-Class	1.77%	5.00%	1,000.00	1,016.19	8.95
Institutional Class	1.52%	5.00%	1,000.00	1,017.45	7.69
Large Cap Value Fund
A-Class	1.14%	5.00%	1,000.00	1,019.35	5.77
C-Class	1.89%	5.00%	1,000.00	1,015.59	9.55
P-Class	1.14%	5.00%	1,000.00	1,019.35	5.77
Institutional Class	0.89%	5.00%	1,000.00	1,020.61	4.51
Market Neutral Real Estate Fund
A-Class	1.64%	5.00%	1,000.00	1,016.85	8.29
C-Class	2.39%	5.00%	1,000.00	1,013.09	12.06
P-Class	1.64%	5.00%	1,000.00	1,016.85	8.29
Institutional Class	1.39%	5.00%	1,000.00	1,018.10	7.03
Risk Managed Real Estate Fund
A-Class	1.45%	5.00%	1,000.00	1,017.80	7.33
C-Class	2.25%	5.00%	1,000.00	1,013.79	11.36
P-Class	1.51%	5.00%	1,000.00	1,017.50	7.64
Institutional Class	1.14%	5.00%	1,000.00	1,019.35	5.77
Small Cap Value Fund
A-Class	1.31%	5.00%	1,000.00	1,018.50	6.63
C-Class	2.06%	5.00%	1,000.00	1,014.74	10.40
P-Class	1.31%	5.00%	1,000.00	1,018.50	6.63
Institutional Class	1.06%	5.00%	1,000.00	1,019.75	5.37
StylePlus—Large Core Fund
A-Class	1.14%	5.00%	1,000.00	1,019.35	5.77
C-Class	2.07%	5.00%	1,000.00	1,014.69	10.45
P-Class	1.29%	5.00%	1,000.00	1,018.60	6.53
Institutional Class	0.95%	5.00%	1,000.00	1,020.31	4.81
StylePlus—Mid Growth Fund
A-Class	1.26%	5.00%	1,000.00	1,018.75	6.38
C-Class	2.22%	5.00%	1,000.00	1,013.94	11.21
P-Class	1.36%	5.00%	1,000.00	1,018.25	6.88
Institutional Class	1.12%	5.00%	1,000.00	1,019.45	5.67
World Equity Income Fund
A-Class	1.21%	5.00%	1,000.00	1,019.00	6.12
C-Class	1.96%	5.00%	1,000.00	1,015.24	9.90
P-Class	1.21%	5.00%	1,000.00	1,019.00	6.12
Institutional Class	0.96%	5.00%	1,000.00	1,020.26	4.86

1	This ratio represents annualized net expenses, which may include short dividend and interest expense. Excluding these expenses, the operating expense ratio for the Risk Managed Real Estate Fund would be 1.21%, 2.04%, 1.29% and 0.92% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest, if any.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

Dear Shareholder:

Guggenheim Alpha Opportunity Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the paragraphs below, the team discusses the performance of the Fund for the fiscal year period ended September 30, 2021.

For the one year period ended September 30, 2021, Guggenheim Alpha Opportunity Fund returned 8.17%¹, compared with the 0.07% return of its benchmark, the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index.

Investment Approach

The Fund is managed as an opportunistic long/short strategy, looking to invest in areas of the market where stock prices look priced at a discount vis-à-vis their company fundamentals and risks, while shorting areas of the market that look overpriced or are not compensating for risks appropriately. The strategy philosophy is founded in part on the academic view that markets are primarily efficient–investors require higher compensation for characteristics that increase the riskiness of future cash flows (such as being very small, or having lots of economic sensitivity in the business). Academics have noted that companies exhibiting certain risk factors have on average outperformed safer firms as the ‘risk premium’ leads to better performance. However, unlike most academic research in this field, the Fund’s managers do not believe that those historic risk premia are constant. We believe that investors’ perceptions of what is risky can change substantially over time. Investors can harbor exaggerated fears about the latest economic crisis, or become exuberant about the latest hot technology while completely ignoring the risks involved.

The Fund’s strategy is to quantitatively compute what forward looking compensation level is embedded in a large universe of stocks and ascertain what broad groups are being overvalued or undervalued. The Fund’s portfolio is adaptive to changing market dynamics and aims to buy a highly diversified set of names with those undervalued factors, and short a highly diversified set of stocks with overvalued characteristics.

The Fund will ordinarily hold simultaneous long and short positions in equity securities or securities markets that provide exposure up to a level equal to 150% of the Fund’s net assets for both the long and short positions. The Fund intends to maintain a low overall net exposure (the difference between the notional value of long positions and the notional value of short positions), typically varying between 50% net long and 30% net short, in order to maintain low correlation to traditional equity markets and lower-than-market volatility, and seek to provide consistent absolute return. The overall net exposure will change as market opportunities change, and may, based on the Fund’s view of current market conditions, be outside this range.

Derivatives in form of swaps are used by the Fund to take short positions as well as long exposure above 100% of NAV (that is, to take leverage). The swaps detracted from performance for the period.

Performance Review

The Fund’s return was achieved during a strong post-COVID recovery period. Early in the fiscal year, the first COVID vaccine data was released with great efficacy results, unleashing a huge rebound in the worst hit pandemic shutdown impacted companies. The Presidential and Congressional election results also fueled the manic bullish environment. Despite the Democratic party win, typically considered the more unfriendly party for businesses, this year’s removal of erratic and unorthodox leadership seemed to stoke a collective sigh of relief. Further, a strong emphasis on COVID control and heavy stimulus on the Democratic platform fed the rally in beaten down cyclical industries.

In early 2021, the nature of the bull market shifted. Inflationary bottlenecks began expanding, driving interest rates to steadily climb from their rock-bottom levels. As the level of rates rose, particularly in longer maturity bonds, the shift in stock returns also began morphing. The ‘discount rate’ that investment analysts apply to far off profit streams began rising, which lowered the net present value of companies whose profits will come way in the future. That rate curve shift led to expensive growth names retracing while allowing value names with economic sensitivity to thrive. That environment was conducive to the Fund’s style positioning, leading to strong returns through April. After the point, the rate move stalled and then reversed in late spring and through the Delta-impacted summer, causing a partial reversal of those style moves.

When all was said and done, the bond markets ended the year flat or slightly negative, with the broad stock market (S&P 500 index) surging +30.0%.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

At period end, the Fund held about 146% of assets in long securities, and 83% short, for a net-dollar exposure of 63%. The net exposure averaged 46% during the year. The current higher dollar exposure is achieved with a focus on low beta and low volatility stocks in the long side, offset by higher risk names on the short side. The realized net beta (sensitivity of daily Fund returns to the S&P 500 index) averaged around 0.26 during the year, a level far less than most long/short equity managers.

Fund long positions (on a standalone unlevered basis) averaged a return of 35.8% for the year, while short positions returned 41.2% on a standalone basis. Short positions outperformed the long names. While those names did part of their job in hedging out short term market fluctuation risks, they were not successful in providing additional alpha this year.

Digging deeper into the attribution for the year, the Fund’s net market and size bias added about 8.5% of attributable return. The Fund’s fundamental style tilts added about 2.4%. The Fund’s tilts towards value and high free cash flow names provided most of that alpha, with a focus on higher profitability names detracting from the total as so many risky and marginal companies recovered strongly during the bull rush. Sector positioning detracted by about 4.4%, with key pain points being net shorts in Energy and Real Estate as both those sectors have had robust recoveries tracking high expectations of improving fundamentals.

Stock selection, after controlling for the style and sector tilts described above, was a benefit of 4.3%. Selection within the Technology sector was a big contributor, with cheaper and more profitable longs in the hardware and semiconductor groups performing well while shorts some low profitable cloud/software names fell. Selection within REITs also were contributors, with names in the short book underperforming the sector peers.

Positioning

The Fund maintains its style bias towards cheaper valuation names, higher profitability companies, and firms with low leverage and low stock volatility. However, due to the quite-expensive valuations afforded high growth names, the Fund is slightly short the growth factor. In recent months the portfolio has shifted its size bias towards small caps (after years of being large cap focused). While small caps are generally more risky than their large cap brethren, the additional risk is now being compensated with a much wider expected return based on fundamentals and valuations.

From an industry perspective, the Fund’s largest net long sectors are Financials, Healthcare, Consumer Discretionary, and Technology. After being short the Financials sector for a few years, the Fund has flipped that view this year. The largest net short exposures are Real Estate, Energy, Transportation, and Commercial Services.

During 2020 and entering 2021, the portfolio managers had been keeping a close eye on the ‘COVID risk’ inherent in certain narrow industries that most directly suffered or benefited from the pandemic. This is known as a transient factor, which is a little more difficult for traditional quant techniques to identify due to the uniqueness of the risk factor and lack of historic precedent. Our goal was to avoid being inadvertently exposed to this unpredictable risk that was not part of our quant modeling. This approach played a role in the Fund avoiding substantial losses and volatility in 2020. As the world slowly moves past COVID closure periods, we are moving back toward more unconstrained exposures driven by the typical fundamentals driven process. Higher expectations are being built into businesses that were affected by the pandemic. Travel related names are a great example as their debt levels skyrocketed to fill big losses. Meanwhile, stock prices have recovered to almost pre-pandemic levels. This is leading to total enterprise values that exceed pre-pandemic levels, whereas actual overall sales and profitability will likely level out at lower levels due to a shift in business travel patterns.

We also observe markets that seem to be priced for ‘transitory’ inflation. If inflation instead persists at high rates–it will break a multi-decade trend of disinflation and cause dramatic impact across asset classes. Rates would need to rise substantially, leaving a more lasting impact on the Value style that would work in the Fund’s favor, not to mention the cascading impact across yield priced asset classes and highly leveraged companies.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

ALPHA OPPORTUNITY FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	July 7, 2003
C-Class	July 7, 2003
P-Class	May 1, 2015
Institutional Class	November 7, 2008

Ten Largest Holdings (% of Total Net Assets)
Innoviva, Inc.	1.1%
Gentex Corp.	1.1%
Enstar Group Ltd.	1.0%
AutoZone, Inc.	1.0%
Synchrony Financial	1.0%
National Fuel Gas Co.	1.0%
CSG Systems International, Inc.	1.0%
Safety Insurance Group, Inc.	1.0%
Omnicom Group, Inc.	1.0%
Gilead Sciences, Inc.	1.0%
Top Ten Total	10.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	8.17%	0.93%	7.36%
A-Class Shares with sales charge‡	3.04%	(0.05%)	6.84%
C-Class Shares	7.37%	0.14%	6.53%
C-Class Shares with CDSC§	6.37%	0.14%	6.53%
Institutional Class Shares	8.46%	1.34%	7.79%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	1.16%	0.63%
S&P 500 Index	30.00%	16.90%	16.63%
S&P 500 Index Blended**	0.07%	3.18%	9.57%
Morningstar Long/Short Equity Category Average	15.64%	5.21%	5.35%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	8.17%	0.98%	0.75%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	1.16%	0.95%
S&P 500 Index	30.00%	16.90%	13.98%
S&P 500 Index Blended**	0.07%	3.18%	3.42%
Morningstar Long/Short Equity Category Average	15.64%	5.21%	3.31%

*	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 Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500 Index, and the Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
**	Effective March 13, 2017, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmark is the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index. The Fund’s performance was previously compared to the S&P 500 Index. The S&P 500 Index-Blended uses performance data for the S&P 500 Index from 09/30/11 to 03/12/17, and the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill index from 03/13/17 to 09/30/21.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

SCHEDULE OF INVESTMENTS	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 93.7%
Consumer, Non-cyclical - 20.2%
Innoviva, Inc.*		22,710	$	379,484
Gilead Sciences, Inc.1		4,866		339,890
John B Sanfilippo & Son, Inc.1		4,125		337,095
H&R Block, Inc.1		13,445		336,125
Quest Diagnostics, Inc.		2,218		322,297
Bristol-Myers Squibb Co.1		5,323		314,962
USANA Health Sciences, Inc.*		3,032		279,550
EVERTEC, Inc.		5,801		265,222
Eagle Pharmaceuticals, Inc.*,1		4,679		260,995
Hologic, Inc.*,1		3,430		253,168
Amgen, Inc.1		1,148		244,122
Perdoceo Education Corp.*		22,730		240,029
Bio-Rad Laboratories, Inc. — Class A*,1		310		231,245
Philip Morris International, Inc.		2,343		222,093
United Therapeutics Corp.*,1		1,036		191,225
Merck & Company, Inc.1		2,488		186,874
Coherus Biosciences, Inc.*		11,498		184,773
Vanda Pharmaceuticals, Inc.*		10,485		179,713
Prestige Consumer Healthcare, Inc.*,1		3,117		174,895
PerkinElmer, Inc.		958		166,012
Blueprint Medicines Corp.*		1,543		158,636
Corcept Therapeutics, Inc.*		8,030		158,030
Incyte Corp.*,1		2,183		150,147
Herbalife Nutrition Ltd.*		3,283		139,134
Amphastar Pharmaceuticals, Inc.*		6,966		132,424
Vector Group Ltd.1		9,136		116,484
Molson Coors Beverage Co. — Class B1		2,491		115,533
Exelixis, Inc.*		5,403		114,219
McKesson Corp.		567		113,048
Laboratory Corporation of America Holdings*		370		104,133
Regeneron Pharmaceuticals, Inc.*,1		168		101,670
Pfizer, Inc.		2,328		100,127
Vertex Pharmaceuticals, Inc.*		533		96,681
Bruker Corp.		1,191		93,017
Grand Canyon Education, Inc.*		994		87,432
Sage Therapeutics, Inc.*		1,904		84,366
Enanta Pharmaceuticals, Inc.*		1,471		83,567
Total Consumer, Non-cyclical				7,058,417
Financial - 19.1%
Enstar Group Ltd.*		1,543		362,188
Synchrony Financial1		7,286		356,140
Safety Insurance Group, Inc.1		4,344		344,262
Mercury General Corp.1		6,037		336,080
Goldman Sachs Group, Inc.1		849		320,948
Old Republic International Corp.1		13,728		317,529
Evercore, Inc. — Class A1		2,302		307,708
Hanover Insurance Group, Inc.1		2,277		295,145
Raymond James Financial, Inc.		3,170		292,481
Stewart Information Services Corp.		4,497		284,480
AMERISAFE, Inc.1		4,579		257,157
OneMain Holdings, Inc.		3,810		210,807
Piper Sandler Cos.		1,468		203,259
BankUnited, Inc.		4,731		197,850
Allstate Corp.1		1,531		194,912
Discover Financial Services1		1,569		192,752
Houlihan Lokey, Inc.1		1,992		183,463
Interactive Brokers Group, Inc. — Class A		2,893		180,350
Brandywine Realty Trust REIT1		12,560		168,555
Arch Capital Group Ltd.*,1		4,329		165,281
Essent Group Ltd.1		3,644		160,372
Everest Re Group Ltd.		562		140,938
Federated Hermes, Inc. — Class B		4,301		139,783
Affiliated Managers Group, Inc.		914		138,096
Radian Group, Inc.		5,867		133,298
Janus Henderson Group plc		3,220		133,083
SEI Investments Co.		2,093		124,115
Markel Corp.*		93		111,147
Jefferies Financial Group, Inc.		2,953		109,645
First American Financial Corp.		1,439		96,485
MGIC Investment Corp.		5,884		88,025
Artisan Partners Asset Management, Inc. — Class A		1,574		77,000
Industrial Logistics Properties Trust REIT		2,527		64,211
Total Financial				6,687,545
Consumer, Cyclical - 14.4%
Gentex Corp.1		11,329		373,630
AutoZone, Inc.*,1		213		361,672
Yum! Brands, Inc.1		2,561		313,236
Cummins, Inc.1		1,307		293,500
Allison Transmission Holdings, Inc.1		7,435		262,604
AutoNation, Inc.*,1		1,967		239,502
Brunswick Corp.1		2,456		233,983
Buckle, Inc.		5,327		210,896
Whirlpool Corp.		1,016		207,122
Polaris, Inc.		1,694		202,704
Dolby Laboratories, Inc. — Class A1		2,251		198,088
Autoliv, Inc.		2,158		184,984
Acushnet Holdings Corp.		3,946		184,278
MSC Industrial Direct Company, Inc. — Class A1		2,115		169,602
Dick’s Sporting Goods, Inc.1		1,405		168,277
Carter’s, Inc.		1,702		165,502
Gentherm, Inc.*,1		1,859		150,449
Foot Locker, Inc.		3,112		142,094
Sleep Number Corp.*		1,448		135,359
Big Lots, Inc.		2,726		118,199
Zumiez, Inc.*		2,920		116,099
NVR, Inc.*		23		110,264
WW Grainger, Inc.1		244		95,907
Hibbett, Inc.		1,265		89,486
Jack in the Box, Inc.		892		86,818
MarineMax, Inc.*		1,604		77,826
Williams-Sonoma, Inc.		426		75,543
Tri Pointe Homes, Inc.*		3,545		74,516
Total Consumer, Cyclical				5,042,140

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Value
Industrial - 13.3%
Snap-on, Inc.1		1,542	$	322,201
Toro Co.1		3,231		314,732
MDU Resources Group, Inc.1		10,077		298,985
Sturm Ruger & Company, Inc.1		3,839		283,241
Watts Water Technologies, Inc. — Class A1		1,560		262,220
Donaldson Company, Inc.1		4,521		259,551
Worthington Industries, Inc.		4,885		257,439
Huntington Ingalls Industries, Inc.		1,227		236,884
Eagle Materials, Inc.1		1,509		197,920
OSI Systems, Inc.*,1		1,955		185,334
Keysight Technologies, Inc.*		1,124		184,662
Vishay Intertechnology, Inc.1		9,077		182,357
Owens Corning1		1,666		142,443
3M Co.1		756		132,617
Boise Cascade Co.		2,337		126,151
A O Smith Corp.		2,011		122,812
Louisiana-Pacific Corp.		1,886		115,744
Mueller Industries, Inc.		2,739		112,573
Lincoln Electric Holdings, Inc.1		853		109,858
Timken Co.		1,561		102,121
Oshkosh Corp.1		918		93,976
Waters Corp.*		263		93,970
Albany International Corp. — Class A		1,163		89,400
Acuity Brands, Inc.		510		88,419
Hillenbrand, Inc.		1,992		84,959
Sanmina Corp.*		2,185		84,210
Pentair plc		1,156		83,960
AGCO Corp.1		660		80,870
Total Industrial				4,649,609
Technology - 9.1%
CSG Systems International, Inc.1		7,208		347,426
Progress Software Corp.		6,899		339,362
Cirrus Logic, Inc.*		3,798		312,765
Rambus, Inc.*,1		13,923		309,091
NetApp, Inc.1		3,338		299,619
Oracle Corp.		2,571		224,011
HP, Inc.		6,348		173,681
Qorvo, Inc.*		987		165,017
Lumentum Holdings, Inc.*		1,876		156,721
Intel Corp.		2,745		146,254
Seagate Technology Holdings plc		1,593		131,454
Xperi Holding Corp.		6,256		117,863
Dropbox, Inc. — Class A*		3,796		110,919
Texas Instruments, Inc.		549		105,523
Kulicke & Soffa Industries, Inc.		1,487		86,662
ExlService Holdings, Inc.*		692		85,199
CommVault Systems, Inc.*		877		66,047
Total Technology				3,177,614
Utilities - 7.8%
National Fuel Gas Co.1		6,715		352,672
IDACORP, Inc.1		3,057		316,033
Chesapeake Utilities Corp.1		2,484		298,204
UGI Corp.1		6,967		296,933
MGE Energy, Inc.1		4,027		295,984
American States Water Co.1		3,238		276,914
CMS Energy Corp.1		4,348		259,706
DTE Energy Co.1		2,070		231,240
Southern Co.1		2,485		153,995
Public Service Enterprise Group, Inc.1		2,505		152,554
Sempra Energy1		787		99,556
Total Utilities				2,733,791
Communications - 7.7%
Omnicom Group, Inc.1		4,735		343,098
Viavi Solutions, Inc.*,1		20,706		325,912
Cisco Systems, Inc.1		5,913		321,845
TEGNA, Inc.		15,104		297,851
Juniper Networks, Inc.1		5,519		151,883
Yelp, Inc. — Class A*		4,036		150,301
Cogent Communications Holdings, Inc.		1,978		140,121
InterDigital, Inc.		2,025		137,335
VeriSign, Inc.*,1		600		123,006
F5 Networks, Inc.*		578		114,895
Nexstar Media Group, Inc. — Class A		754		114,578
World Wrestling Entertainment, Inc. — Class A		1,971		110,888
Arista Networks, Inc.*		287		98,625
Fox Corp. — Class A		2,108		84,552
Telephone & Data Systems, Inc.		4,303		83,909
Ciena Corp.*		1,457		74,817
Total Communications				2,673,616
Basic Materials - 1.6%
Nucor Corp.		1,573		154,925
NewMarket Corp.		426		144,316
Reliance Steel & Aluminum Co.		747		106,387
Ingevity Corp.*		1,111		79,292
Royal Gold, Inc.		632		60,350
Total Basic Materials				545,270
Energy - 0.5%
Equitrans Midstream Corp.		9,581		97,151
Antero Midstream Corp.		8,432		87,862
Total Energy				185,013
Total Common Stocks
(Cost $32,196,155)				32,753,015
MONEY MARKET FUND† - 9.1%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		3,173,294		3,173,294
Total Money Market Fund
(Cost $3,173,294)				3,173,294
Total Investments - 102.8%
(Cost $35,369,449)			$	35,926,309
Other Assets & Liabilities, net - (2.8)%				(974,160	)
Total Net Assets - 100.0%			$	34,952,149

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

Custom Basket Swap Agreements
Counterparty	Reference Obligation	Type	Financing Rate	Payment Frequency		Maturity Date		Notional Amount		Value and Unrealized Depreciation
OTC Custom Basket Swap Agreements††
Goldman Sachs International	GS Equity Custom Basket	Pay	0.53% (Federal Funds Rate + 0.45%)		At Maturity		05/06/24	$	8,995,067	$	(89,026	)
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Pay	0.48% (Federal Funds Rate + 0.40%)		At Maturity		02/01/24		9,160,691		(101,538	)
								$	18,155,758	$	(190,564	)
OTC Custom Basket Swap Agreements Sold Short††
Goldman Sachs International	GS Equity Custom Basket	Pay	(0.12)% (Federal Funds Rate - 0.20%)		At Maturity		05/06/24	$	14,434,448	$	(36,530	)
Morgan Stanley Capital Services LLC	MS Equity Custom Basket	Pay	(0.22)% (Federal Funds Rate - 0.30%)		At Maturity		02/01/24		14,434,448		(45,817	)
								$	28,868,896	$	(82,347	)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY LONG CUSTOM BASKET
Industrial
Watts Water Technologies, Inc. — Class A		438		0.77	%	$	9,720
Acuity Brands, Inc.		143		0.24	%		6,700
Waters Corp.		73		0.25	%		5,767
AGCO Corp.		185		0.22	%		3,115
Lincoln Electric Holdings, Inc.		240		0.34	%		2,199
Pentair plc		325		0.26	%		1,424
Louisiana-Pacific Corp.		530		0.36	%		494
Owens Corning		468		0.44	%		98
Albany International Corp. — Class A		327		0.27	%		(166	)
Oshkosh Corp.		258		0.29	%		(177	)
Keysight Technologies, Inc.		316		0.57	%		(458	)
Sanmina Corp.		614		0.26	%		(1,134	)
Mueller Industries, Inc.		770		0.35	%		(1,453	)
OSI Systems, Inc.		550		0.57	%		(1,607	)
3M Co.		212		0.41	%		(2,153	)
Snap-on, Inc.		433		0.99	%		(2,460	)
Hillenbrand, Inc.		560		0.26	%		(2,777	)
Sturm Ruger & Company, Inc.		1,079		0.87	%		(2,886	)
Huntington Ingalls Industries, Inc.		345		0.73	%		(3,732	)
Boise Cascade Co.		657		0.39	%		(3,953	)
Timken Co.		439		0.31	%		(4,462	)
Vishay Intertechnology, Inc.		2,553		0.56	%		(4,886	)
A O Smith Corp.		565		0.38	%		(4,956	)
Donaldson Company, Inc.		1,271		0.80	%		(5,770	)
Worthington Industries, Inc.		1,374		0.79	%		(7,659	)
Eagle Materials, Inc.		424		0.61	%		(8,091	)
Toro Co.		908		0.97	%		(8,515	)
MDU Resources Group, Inc.		2,834		0.92	%		(9,313	)
Total Industrial							(47,091	)
Financial
Synchrony Financial		2,049		1.09	%		6,029
Houlihan Lokey, Inc.		560		0.56	%		5,563
Allstate Corp.		430		0.60	%		5,045
Jefferies Financial Group, Inc.		830		0.34	%		4,235
Raymond James Financial, Inc.		891		0.90	%		3,277
Stewart Information Services Corp.		1,264		0.87	%		2,407
Janus Henderson Group plc		905		0.41	%		1,596
MGIC Investment Corp.		1,655		0.27	%		925
First American Financial Corp.		404		0.30	%		370
Enstar Group Ltd.		373		0.96	%		232
Federated Hermes, Inc. — Class B		1,209		0.43	%		82
Markel Corp.		26		0.34	%		(249	)
Discover Financial Services		441		0.59	%		(264	)
Safety Insurance Group, Inc.		1,221		1.06	%		(308	)
Radian Group, Inc.		1,650		0.41	%		(389	)
Everest Re Group Ltd.		158		0.43	%		(554	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Arch Capital Group Ltd.		1,217		0.51	%	$	(1,023	)
Industrial Logistics Properties Trust		710		0.20	%		(1,126	)
SEI Investments Co.		588		0.38	%		(1,400	)
BankUnited, Inc.		1,330		0.61	%		(1,680	)
Artisan Partners Asset Management, Inc. — Class A		442		0.24	%		(1,682	)
Interactive Brokers Group, Inc. — Class A		813		0.55	%		(2,012	)
Piper Sandler Cos.		413		0.62	%		(2,247	)
AMERISAFE, Inc.		1,287		0.79	%		(2,558	)
Essent Group Ltd.		1,024		0.49	%		(2,617	)
OneMain Holdings, Inc.		1,071		0.65	%		(2,762	)
Brandywine Realty Trust		3,532		0.52	%		(2,794	)
Affiliated Managers Group, Inc.		257		0.42	%		(3,113	)
Evercore, Inc. — Class A		647		0.94	%		(3,792	)
Hanover Insurance Group, Inc.		640		0.91	%		(5,241	)
Mercury General Corp.		1,698		1.03	%		(6,802	)
Old Republic International Corp.		3,861		0.97	%		(9,801	)
Goldman Sachs Group, Inc.		476		1.96	%		(15,987	)
Total Financial							(38,640	)
Consumer, Cyclical
AutoZone, Inc.		60		1.11	%		20,036
AutoNation, Inc.		553		0.74	%		15,291
Gentherm, Inc.		523		0.46	%		9,309
Dick’s Sporting Goods, Inc.		395		0.52	%		3,707
Brunswick Corp.		691		0.72	%		1,354
Yum! Brands, Inc.		720		0.96	%		1,038
Sleep Number Corp.		407		0.42	%		524
Gentex Corp.		3,186		1.15	%		475
MarineMax, Inc.		451		0.24	%		(157	)
NVR, Inc.		6		0.31	%		(190	)
Buckle, Inc.		1,498		0.65	%		(355	)
Williams-Sonoma, Inc.		119		0.23	%		(478	)
Zumiez, Inc.		821		0.36	%		(669	)
Tri Pointe Homes, Inc.		997		0.23	%		(1,287	)
Polaris, Inc.		476		0.62	%		(1,969	)
WW Grainger, Inc.		68		0.29	%		(2,649	)
Carter’s, Inc.		478		0.51	%		(2,692	)
Jack in the Box, Inc.		251		0.27	%		(2,878	)
MSC Industrial Direct Company, Inc. — Class A		595		0.52	%		(2,983	)
Big Lots, Inc.		766		0.36	%		(3,342	)
Autoliv, Inc.		607		0.57	%		(3,376	)
Acushnet Holdings Corp.		1,109		0.57	%		(3,832	)
Cummins, Inc.		367		0.90	%		(4,567	)
Dolby Laboratories, Inc. — Class A		633		0.61	%		(5,575	)
Whirlpool Corp.		285		0.63	%		(6,403	)
Allison Transmission Holdings, Inc.		2,091		0.81	%		(8,034	)
Hibbett, Inc.		356		0.27	%		(9,701	)
Foot Locker, Inc.		875		0.44	%		(10,351	)
Total Consumer, Cyclical							(19,754	)
Energy
Equitrans Midstream Corp.		2,694		0.30	%		2,629
Antero Midstream Corp.		2,371		0.27	%		(40	)
Total Energy							2,589
Consumer, Non-cyclical
Innoviva, Inc.		6,387		1.17	%		15,122
Eagle Pharmaceuticals, Inc.		1,316		0.80	%		13,352
Bio-Rad Laboratories, Inc. — Class A		87		0.71	%		11,002
McKesson Corp.		159		0.35	%		7,085
Enanta Pharmaceuticals, Inc.		413		0.26	%		6,165
Blueprint Medicines Corp.		434		0.49	%		5,891
Regeneron Pharmaceuticals, Inc.		47		0.31	%		5,577
Prestige Consumer Healthcare, Inc.		876		0.54	%		4,740
Pfizer, Inc.		654		0.31	%		4,593
Coherus Biosciences, Inc.		3,233		0.57	%		4,545
United Therapeutics Corp.		291		0.59	%		4,147
Molson Coors Beverage Co. — Class B		700		0.35	%		3,861
H&R Block, Inc.		3,781		1.03	%		2,568
PerkinElmer, Inc.		269		0.51	%		2,147
Gilead Sciences, Inc.		1,368		1.04	%		1,906
Hologic, Inc.		964		0.78	%		834
Vector Group Ltd.		761		0.11	%		790
Exelixis, Inc.		1,519		0.35	%		428
Merck & Company, Inc.		699		0.57	%		410
Vanda Pharmaceuticals, Inc.		2,949		0.55	%		(850	)
EVERTEC, Inc.		1,631		0.81	%		(976	)
Quest Diagnostics, Inc.		623		0.99	%		(1,091	)
Sage Therapeutics, Inc.		535		0.26	%		(1,140	)
Grand Canyon Education, Inc.		279		0.27	%		(1,338	)
Perdoceo Education Corp.		6,393		0.74	%		(1,688	)
Bruker Corp.		335		0.29	%		(1,787	)
Amphastar Pharmaceuticals, Inc.		1,959		0.41	%		(2,160	)
Vertex Pharmaceuticals, Inc.		149		0.30	%		(2,327	)
Laboratory Corporation of America Holdings		104		0.32	%		(2,535	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Corcept Therapeutics, Inc.		2,258		0.49	%	$	(4,448	)
USANA Health Sciences, Inc.		852		0.86	%		(5,469	)
Amgen, Inc.		322		0.75	%		(5,550	)
John B Sanfilippo & Son, Inc.		1,160		1.03	%		(5,578	)
Philip Morris International, Inc.		659		0.68	%		(7,125	)
Incyte Corp.		614		0.46	%		(7,202	)
Bristol-Myers Squibb Co.		1,497		0.97	%		(7,857	)
Herbalife Nutrition Ltd.		923		0.43	%		(9,080	)
Total Consumer, Non-cyclical							26,962
Communications
Juniper Networks, Inc.		1,552		0.47	%		3,265
Cisco Systems, Inc.		1,663		0.99	%		2,545
Fox Corp. — Class A		593		0.26	%		1,478
Ciena Corp.		409		0.23	%		1,061
F5 Networks, Inc.		162		0.35	%		953
VeriSign, Inc.		168		0.38	%		642
Nexstar Media Group, Inc. — Class A		212		0.35	%		510
World Wrestling Entertainment, Inc. — Class A		554		0.34	%		(579	)
Arista Networks, Inc.		80		0.30	%		(1,611	)
Yelp, Inc. — Class A		1,135		0.46	%		(1,842	)
InterDigital, Inc.		569		0.42	%		(2,192	)
Viavi Solutions, Inc.		5,823		1.00	%		(2,442	)
Cogent Communications Holdings, Inc.		556		0.43	%		(3,108	)
Telephone & Data Systems, Inc.		1,210		0.26	%		(4,616	)
Omnicom Group, Inc.		1,331		1.05	%		(6,120	)
Total Communications							(12,056	)
Technology
NetApp, Inc.		938		0.92	%		7,172
Seagate Technology Holdings plc		448		0.40	%		6,337
CSG Systems International, Inc.		2,027		1.07	%		5,115
Texas Instruments, Inc.		154		0.32	%		4,754
Progress Software Corp.		1,940		1.04	%		4,118
ExlService Holdings, Inc.		194		0.26	%		3,145
Cirrus Logic, Inc.		1,068		0.96	%		674
HP, Inc.		1,785		0.53	%		(194	)
Intel Corp.		772		0.45	%		(201	)
Rambus, Inc.		3,916		0.95	%		(305	)
Lumentum Holdings, Inc.		527		0.48	%		(425	)
CommVault Systems, Inc.		246		0.20	%		(2,123	)
Oracle Corp.		723		0.69	%		(2,167	)
Dropbox, Inc. — Class A		1,067		0.34	%		(3,393	)
Xperi Holding Corp.		1,759		0.36	%		(3,552	)
Qorvo, Inc.		277		0.51	%		(5,386	)
Kulicke & Soffa Industries, Inc.		418		0.27	%		(6,371	)
Total Technology							7,198
Utilities
IDACORP, Inc.		859		0.97	%		3,657
Public Service Enterprise Group, Inc.		704		0.47	%		2,844
American States Water Co.		910		0.85	%		1,688
Southern Co.		698		0.47	%		1,613
Sempra Energy		221		0.31	%		(426	)
UGI Corp.		1,959		0.91	%		(589	)
National Fuel Gas Co.		1,888		1.08	%		(1,143	)
Chesapeake Utilities Corp.		698		0.91	%		(1,422	)
CMS Energy Corp.		1,223		0.80	%		(1,559	)
DTE Energy Co.		487		0.59	%		(1,664	)
MGE Energy, Inc.		1,132		0.91	%		(3,903	)
Total Utilities							(904	)
Basic Materials
NewMarket Corp.		119		0.44	%		576
Royal Gold, Inc.		177		0.18	%		(3,178	)
Ingevity Corp.		312		0.24	%		(3,605	)
Reliance Steel & Aluminum Co.		210		0.33	%		(6,402	)
Nucor Corp.		442		0.48	%		(7,233	)
Total Basic Materials							(19,842	)
Total MS Equity Long Custom Basket						$	(101,538	)
MS EQUITY SHORT CUSTOM BASKET
Financial
Americold Realty Trust		7,330		(1.47	)%	$	65,754
Digital Realty Trust, Inc.		1,556		(1.56	)%		20,506
JBG SMITH Properties		5,348		(1.10	)%		18,553
Safehold, Inc.		1,164		(0.58	)%		15,610
Crown Castle International Corp.		413		(0.50	)%		8,625
CyrusOne, Inc.		1,662		(0.89	)%		6,054
Ventas, Inc.		1,215		(0.46	)%		5,760
Equitable Holdings, Inc.		4,124		(0.85	)%		4,892
Welltower, Inc.		3,134		(1.79	)%		3,608
Apartment Income REIT Corp.		1,056		(0.36	)%		3,300
State Street Corp.		2,967		(1.74	)%		2,930
Alexandria Real Estate Equities, Inc.		893		(1.18	)%		1,945
Host Hotels & Resorts, Inc.		16,657		(1.88	)%		719
Healthpeak Properties, Inc.		4,632		(1.07	)%		79
Wells Fargo & Co.		1,980		(0.64	)%		(1,868	)
Lincoln National Corp.		1,902		(0.91	)%		(2,101	)
Sunstone Hotel Investors, Inc.		16,180		(1.34	)%		(3,692	)
Outfront Media, Inc.		4,822		(0.84	)%		(3,863	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Pebblebrook Hotel Trust		5,851		(0.91	)%	$	(4,398	)
Apple Hospitality REIT, Inc.		5,126		(0.56	)%		(4,919	)
Bank of America Corp.		6,705		(1.97	)%		(5,889	)
JPMorgan Chase & Co.		1,714		(1.94	)%		(6,794	)
Howard Hughes Corp.		1,467		(0.89	)%		(8,627	)
Comerica, Inc.		1,285		(0.72	)%		(8,802	)
Western Alliance Bancorporation		1,334		(1.01	)%		(14,792	)
UDR, Inc.		4,443		(1.63	)%		(15,734	)
Rayonier, Inc.		3,354		(0.83	)%		(15,838	)
Equinix, Inc.		315		(1.72	)%		(23,040	)
First Republic Bank		783		(1.05	)%		(28,637	)
Rexford Industrial Realty, Inc.		2,834		(1.11	)%		(52,929	)
Sun Communities, Inc.		1,283		(1.65	)%		(64,913	)
Total Financial							(108,501	)
Industrial
Stericycle, Inc.		3,902		(1.84	)%		21,122
Jacobs Engineering Group, Inc.		2,018		(1.85	)%		14,289
US Ecology, Inc.		2,290		(0.51	)%		11,666
Harsco Corp.		6,485		(0.76	)%		8,088
Boeing Co.		1,043		(1.59	)%		5,962
TransDigm Group, Inc.		151		(0.65	)%		1,165
General Electric Co.		646		(0.46	)%		(753	)
Waste Management, Inc.		1,766		(1.83	)%		(22,248	)
Republic Services, Inc. — Class A		2,181		(1.81	)%		(23,387	)
Tetra Tech, Inc.		689		(0.71	)%		(39,425	)
Casella Waste Systems, Inc. — Class A		3,129		(1.65	)%		(63,068	)
Total Industrial							(86,589	)
Utilities
ONE Gas, Inc.		3,038		(1.33	)%		42,577
Atmos Energy Corp.		2,798		(1.71	)%		34,985
Edison International		4,651		(1.79	)%		11,443
CenterPoint Energy, Inc.		2,908		(0.50	)%		3,700
Total Utilities							92,705
Consumer, Non-cyclical
Teladoc Health, Inc.		1,282		(1.13	)%		22,726
ManpowerGroup, Inc.		1,633		(1.22	)%		18,045
Brink’s Co.		984		(0.43	)%		12,660
Guardant Health, Inc.		1,307		(1.13	)%		2,484
CoStar Group, Inc.		3,155		(1.88	)%		(5	)
Sysco Corp.		1,017		(0.55	)%		(1,075	)
Total Consumer, Non-cyclical							54,835
Energy
Schlumberger N.V.		5,122		(1.05	)%		27,217
Sunrun, Inc.		1,545		(0.47	)%		2,582
Helmerich & Payne, Inc.		2,031		(0.39	)%		(1,257	)
Phillips 66		3,934		(1.91	)%		(2,352	)
NOV, Inc.		4,152		(0.38	)%		(4,306	)
Hess Corp.		859		(0.46	)%		(7,017	)
Patterson-UTI Energy, Inc.		11,297		(0.70	)%		(14,116	)
Pioneer Natural Resources Co.		1,836		(2.12	)%		(18,474	)
Valero Energy Corp.		4,218		(2.06	)%		(25,534	)
Devon Energy Corp.		2,704		(0.67	)%		(27,593	)
Diamondback Energy, Inc.		1,530		(1.00	)%		(29,647	)
Range Resources Corp.		5,647		(0.89	)%		(30,322	)
Halliburton Co.		12,406		(1.86	)%		(30,887	)
Total Energy							(161,706	)
Consumer, Cyclical
United Airlines Holdings, Inc.		5,882		(1.94	)%		26,783
JetBlue Airways Corp.		15,403		(1.63	)%		25,057
Freshpet, Inc.		832		(0.82	)%		15,406
DraftKings, Inc. — Class A		1,081		(0.36	)%		13,433
Spirit Airlines, Inc.		3,574		(0.64	)%		6,642
Alaska Air Group, Inc.		3,264		(1.33	)%		5,429
Delta Air Lines, Inc.		6,738		(1.99	)%		1,730
Southwest Airlines Co.		4,436		(1.58	)%		(8,829	)
American Airlines Group, Inc.		13,918		(1.98	)%		(15,347	)
Royal Caribbean Cruises Ltd.		1,632		(1.01	)%		(16,117	)
Total Consumer, Cyclical							54,187
Communications
Okta, Inc.		614		(1.01	)%		13,131
Uber Technologies, Inc.		3,256		(1.01	)%		8,746
Chewy, Inc. — Class A		730		(0.34	)%		6,428
Anaplan, Inc.		1,246		(0.53	)%		2,128
Lyft, Inc. — Class A		2,530		(0.94	)%		(14,350	)
Total Communications							16,083
Technology
Clarivate plc		6,056		(0.92	)%		28,354
Coupa Software, Inc.		477		(0.72	)%		22,567
DocuSign, Inc.		233		(0.42	)%		12,251
Twilio, Inc. — Class A		174		(0.38	)%		8,386
Splunk, Inc.		610		(0.61	)%		8,355
Everbridge, Inc.		479		(0.50	)%		7,403
KBR, Inc.		6,877		(1.88	)%		4,291
Zscaler, Inc.		285		(0.52	)%		(196	)
Smartsheet, Inc. — Class A		814		(0.39	)%		(4,660	)
Ceridian HCM Holding, Inc.		805		(0.63	)%		(18,514	)
Total Technology							68,237
Basic Materials
International Flavors & Fragrances, Inc.		1,601		(1.48	)%		24,932
Total MS Equity Short Custom Basket						$	(45,817	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
GS EQUITY LONG CUSTOM BASKET
Industrial
Watts Water Technologies, Inc. — Class A		438		0.84	%	$	9,775
Acuity Brands, Inc.		143		0.29	%		6,742
Waters Corp.		73		0.29	%		5,762
AGCO Corp.		185		0.25	%		3,111
Lincoln Electric Holdings, Inc.		240		0.34	%		2,154
Pentair plc		325		0.26	%		1,407
Louisiana-Pacific Corp.		530		0.36	%		471
Owens Corning		468		0.44	%		109
Albany International Corp. — Class A		327		0.28	%		(172	)
Oshkosh Corp.		258		0.29	%		(176	)
Keysight Technologies, Inc.		316		0.58	%		(452	)
Sanmina Corp.		614		0.26	%		(1,133	)
Mueller Industries, Inc.		770		0.35	%		(1,479	)
OSI Systems, Inc.		550		0.58	%		(1,609	)
3M Co.		212		0.41	%		(2,104	)
Snap-on, Inc.		433		1.01	%		(2,656	)
Hillenbrand, Inc.		560		0.27	%		(2,778	)
Sturm Ruger & Company, Inc.		1,079		0.89	%		(2,909	)
Huntington Ingalls Industries, Inc.		345		0.74	%		(3,769	)
Boise Cascade Co.		657		0.39	%		(4,022	)
Timken Co.		439		0.32	%		(4,397	)
Vishay Intertechnology, Inc.		2,553		0.57	%		(4,917	)
A O Smith Corp.		565		0.38	%		(4,977	)
Donaldson Company, Inc.		1,271		0.81	%		(5,815	)
Worthington Industries, Inc.		1,374		0.80	%		(7,837	)
Eagle Materials, Inc.		424		0.62	%		(8,195	)
Toro Co.		908		0.98	%		(8,595	)
MDU Resources Group, Inc.		2,834		0.93	%		(9,332	)
Total Industrial							(47,793	)
Consumer, Cyclical
AutoZone, Inc.		60		1.13	%		20,003
AutoNation, Inc.		553		0.75	%		15,288
Gentherm, Inc.		523		0.47	%		9,340
Dick’s Sporting Goods, Inc.		395		0.53	%		3,690
Brunswick Corp.		691		0.73	%		1,281
Yum! Brands, Inc.		720		0.98	%		1,097
Sleep Number Corp.		407		0.42	%		549
Gentex Corp.		3,186		1.17	%		455
NVR, Inc.		6		0.32	%		(171	)
MarineMax, Inc.		451		0.24	%		(176	)
Buckle, Inc.		1,498		0.66	%		(462	)
Williams-Sonoma, Inc.		119		0.23	%		(496	)
Zumiez, Inc.		821		0.36	%		(1,084	)
Tri Pointe Homes, Inc.		997		0.23	%		(1,312	)
Polaris, Inc.		476		0.63	%		(1,947	)
WW Grainger, Inc.		68		0.30	%		(2,612	)
Carter’s, Inc.		478		0.52	%		(2,671	)
Jack in the Box, Inc.		251		0.27	%		(2,744	)
MSC Industrial Direct Company, Inc. — Class A		595		0.53	%		(3,002	)
Autoliv, Inc.		607		0.58	%		(3,422	)
Big Lots, Inc.		766		0.37	%		(3,482	)
Acushnet Holdings Corp.		1,109		0.58	%		(3,808	)
Cummins, Inc.		367		0.92	%		(4,538	)
Dolby Laboratories, Inc. — Class A		633		0.62	%		(5,538	)
Whirlpool Corp.		285		0.65	%		(6,387	)
Allison Transmission Holdings, Inc.		2,091		0.82	%		(8,222	)
Hibbett, Inc.		356		0.28	%		(9,741	)
Foot Locker, Inc.		875		0.44	%		(10,365	)
Total Consumer, Cyclical							(20,477	)
Consumer, Non-cyclical
Innoviva, Inc.		6,387		1.19	%		15,134
Eagle Pharmaceuticals, Inc.		1,316		0.82	%		13,092
Bio-Rad Laboratories, Inc. — Class A		87		0.72	%		10,968
Enanta Pharmaceuticals, Inc.		413		0.26	%		6,169
Blueprint Medicines Corp.		434		0.50	%		5,890
McKesson Corp.		159		0.35	%		5,873
Regeneron Pharmaceuticals, Inc.		47		0.32	%		5,572
Prestige Consumer Healthcare, Inc.		876		0.55	%		4,744
Coherus Biosciences, Inc.		3,233		0.58	%		4,599
Pfizer, Inc.		654		0.31	%		4,237
United Therapeutics Corp.		291		0.60	%		4,217
Molson Coors Beverage Co. — Class B		700		0.36	%		3,861
H&R Block, Inc.		3,781		1.05	%		2,619
PerkinElmer, Inc.		269		0.52	%		2,152
Gilead Sciences, Inc.		1,368		1.06	%		1,952
Hologic, Inc.		964		0.79	%		834
Vector Group Ltd.		761		0.11	%		787
Exelixis, Inc.		1,519		0.36	%		441
Merck & Company, Inc.		699		0.58	%		435
Vanda Pharmaceuticals, Inc.		2,949		0.56	%		(951	)
Quest Diagnostics, Inc.		623		1.01	%		(1,010	)
EVERTEC, Inc.		1,631		0.83	%		(1,096	)
Sage Therapeutics, Inc.		535		0.26	%		(1,321	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Grand Canyon Education, Inc.		279		0.27	%	$	(1,326	)
Perdoceo Education Corp.		6,393		0.75	%		(1,778	)
Bruker Corp.		335		0.29	%		(1,786	)
Amphastar Pharmaceuticals, Inc.		1,959		0.41	%		(2,194	)
Vertex Pharmaceuticals, Inc.		149		0.30	%		(2,233	)
Laboratory Corporation of America Holdings		104		0.33	%		(2,439	)
Corcept Therapeutics, Inc.		2,258		0.49	%		(4,569	)
Amgen, Inc.		322		0.76	%		(4,995	)
USANA Health Sciences, Inc.		852		0.87	%		(5,461	)
John B Sanfilippo & Son, Inc.		1,160		1.05	%		(5,640	)
Philip Morris International, Inc.		659		0.69	%		(7,042	)
Incyte Corp.		614		0.47	%		(7,169	)
Bristol-Myers Squibb Co.		1,497		0.98	%		(7,779	)
Herbalife Nutrition Ltd.		923		0.43	%		(9,026	)
Total Consumer, Non-cyclical							25,761
Utilities
IDACORP, Inc.		859		0.99	%		3,779
Public Service Enterprise Group, Inc.		704		0.48	%		2,847
American States Water Co.		910		0.87	%		1,621
Southern Co.		698		0.48	%		1,568
Sempra Energy		221		0.31	%		(417	)
UGI Corp.		1,959		0.93	%		(608	)
National Fuel Gas Co.		1,888		1.10	%		(1,206	)
CMS Energy Corp.		1,223		0.81	%		(1,381	)
DTE Energy Co.		487		0.60	%		(1,463	)
Chesapeake Utilities Corp.		698		0.93	%		(1,471	)
MGE Energy, Inc.		1,132		0.92	%		(3,958	)
Total Utilities							(689	)
Communications
Juniper Networks, Inc.		1,552		0.47	%		3,340
Cisco Systems, Inc.		1,663		1.01	%		2,560
Fox Corp. — Class A		593		0.26	%		1,467
Ciena Corp.		409		0.23	%		1,088
F5 Networks, Inc.		162		0.36	%		932
VeriSign, Inc.		168		0.38	%		650
Nexstar Media Group, Inc. — Class A		212		0.36	%		491
World Wrestling Entertainment, Inc. — Class A		554		0.35	%		(561	)
Arista Networks, Inc.		80		0.31	%		(1,631	)
Yelp, Inc. — Class A		1,135		0.47	%		(1,754	)
InterDigital, Inc.		569		0.43	%		(2,188	)
Viavi Solutions, Inc.		5,823		1.02	%		(2,547	)
Cogent Communications Holdings, Inc.		556		0.44	%		(3,089	)
Telephone & Data Systems, Inc.		1,210		0.26	%		(4,654	)
Omnicom Group, Inc.		1,331		1.07	%		(6,090	)
Total Communications							(11,986	)
Financial
Synchrony Financial		2,049		1.11	%		5,974
Houlihan Lokey, Inc.		560		0.57	%		5,657
Allstate Corp.		430		0.61	%		5,043
Jefferies Financial Group, Inc.		830		0.34	%		4,154
Raymond James Financial, Inc.		891		0.91	%		3,201
Stewart Information Services Corp.		1,264		0.89	%		2,424
Janus Henderson Group plc		905		0.42	%		1,606
MGIC Investment Corp.		1,655		0.28	%		856
Enstar Group Ltd.		434		1.13	%		831
First American Financial Corp.		404		0.30	%		371
Federated Hermes, Inc. — Class B		1,209		0.44	%		140
Markel Corp.		26		0.35	%		(283	)
Safety Insurance Group, Inc.		1,221		1.08	%		(305	)
Discover Financial Services		441		0.60	%		(325	)
Radian Group, Inc.		1,650		0.42	%		(453	)
Everest Re Group Ltd.		158		0.44	%		(566	)
Arch Capital Group Ltd.		1,217		0.52	%		(1,052	)
Industrial Logistics Properties Trust		710		0.20	%		(1,119	)
SEI Investments Co.		588		0.39	%		(1,406	)
Artisan Partners Asset Management, Inc. — Class A		442		0.24	%		(1,691	)
BankUnited, Inc.		1,330		0.62	%		(1,796	)
Interactive Brokers Group, Inc. — Class A		813		0.56	%		(2,057	)
Piper Sandler Cos.		413		0.64	%		(2,220	)
AMERISAFE, Inc.		1,287		0.80	%		(2,563	)
Essent Group Ltd.		1,024		0.50	%		(2,708	)
OneMain Holdings, Inc.		1,071		0.66	%		(2,784	)
Brandywine Realty Trust		3,532		0.53	%		(2,818	)
Affiliated Managers Group, Inc.		257		0.43	%		(3,143	)
Evercore, Inc. — Class A		647		0.96	%		(3,906	)
Hanover Insurance Group, Inc.		640		0.92	%		(5,275	)
Mercury General Corp.		1,698		1.05	%		(6,970	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Old Republic International Corp.		3,861		0.99	%	$	(9,808	)
Total Financial							(22,991	)
Basic Materials
NewMarket Corp.		119		0.45	%		576
Royal Gold, Inc.		177		0.19	%		(3,182	)
Ingevity Corp.		312		0.25	%		(3,596	)
Reliance Steel & Aluminum Co.		210		0.33	%		(6,393	)
Nucor Corp.		442		0.48	%		(7,268	)
Total Basic Materials							(19,863	)
Technology
NetApp, Inc.		938		0.94	%		7,175
Seagate Technology Holdings plc		448		0.41	%		6,352
CSG Systems International, Inc.		2,027		1.09	%		4,994
Texas Instruments, Inc.		154		0.33	%		4,752
Progress Software Corp.		1,940		1.06	%		4,146
ExlService Holdings, Inc.		194		0.27	%		3,116
Cirrus Logic, Inc.		1,068		0.98	%		513
HP, Inc.		1,785		0.54	%		(189	)
Intel Corp.		772		0.46	%		(249	)
Lumentum Holdings, Inc.		527		0.49	%		(421	)
Rambus, Inc.		3,916		0.97	%		(423	)
CommVault Systems, Inc.		246		0.21	%		(2,168	)
Oracle Corp.		723		0.70	%		(2,198	)
Dropbox, Inc. — Class A		1,067		0.35	%		(3,399	)
Xperi Holding Corp.		1,759		0.37	%		(3,750	)
Qorvo, Inc.		277		0.51	%		(5,508	)
Kulicke & Soffa Industries, Inc.		418		0.27	%		(6,330	)
Total Technology							6,413
Energy
Equitrans Midstream Corp.		2,694		0.30	%		2,613
Antero Midstream Corp.		2,371		0.27	%		(14	)
Total Energy							2,599
Total GS Equity Long Custom Basket						$	(89,026	)
GS EQUITY SHORT CUSTOM BASKET
Financial
Americold Realty Trust		7,330		(1.47	)%	$	63,517
Digital Realty Trust, Inc.		1,556		(1.56	)%		20,531
JBG SMITH Properties		5,348		(1.10	)%		18,573
Safehold, Inc.		1,164		(0.58	)%		15,356
Crown Castle International Corp.		413		(0.50	)%		8,642
CyrusOne, Inc.		1,662		(0.89	)%		5,885
Ventas, Inc.		1,215		(0.46	)%		5,707
Equitable Holdings, Inc.		4,124		(0.85	)%		4,965
Welltower, Inc.		3,134		(1.79	)%		3,568
Apartment Income REIT Corp.		1,056		(0.36	)%		3,305
State Street Corp.		2,967		(1.74	)%		3,053
Alexandria Real Estate Equities, Inc.		893		(1.18	)%		1,866
Host Hotels & Resorts, Inc.		16,657		(1.88	)%		604
Healthpeak Properties, Inc.		4,632		(1.07	)%		91
Lincoln National Corp.		1,902		(0.91	)%		(1,724	)
Wells Fargo & Co.		1,980		(0.64	)%		(1,849	)
Outfront Media, Inc.		4,822		(0.84	)%		(3,829	)
Sunstone Hotel Investors, Inc.		16,180		(1.34	)%		(4,210	)
Pebblebrook Hotel Trust		5,851		(0.91	)%		(4,546	)
Apple Hospitality REIT, Inc.		5,126		(0.56	)%		(4,897	)
Bank of America Corp.		6,705		(1.97	)%		(5,858	)
JPMorgan Chase & Co.		1,714		(1.94	)%		(7,157	)
Howard Hughes Corp.		1,467		(0.89	)%		(8,377	)
Comerica, Inc.		1,285		(0.72	)%		(8,557	)
Western Alliance Bancorporation		1,334		(1.01	)%		(14,850	)
UDR, Inc.		4,443		(1.63	)%		(15,666	)
Rayonier, Inc.		3,354		(0.83	)%		(15,748	)
Equinix, Inc.		315		(1.72	)%		(20,381	)
First Republic Bank		783		(1.05	)%		(28,695	)
Rexford Industrial Realty, Inc.		2,834		(1.11	)%		(45,269	)
Sun Communities, Inc.		1,283		(1.65	)%		(56,442	)
Total Financial							(92,392	)
Technology
Clarivate plc		6,056		(0.92	)%		28,319
Coupa Software, Inc.		477		(0.72	)%		22,437
DocuSign, Inc.		233		(0.42	)%		12,092
Twilio, Inc. — Class A		174		(0.38	)%		8,317
Splunk, Inc.		610		(0.61	)%		8,302
Everbridge, Inc.		479		(0.50	)%		7,368
KBR, Inc.		6,877		(1.88	)%		4,002
Zscaler, Inc.		285		(0.52	)%		(224	)
Smartsheet, Inc. — Class A		814		(0.39	)%		(4,731	)
Ceridian HCM Holding, Inc.		805		(0.63	)%		(18,607	)
Total Technology							67,275
Consumer, Non-cyclical
Teladoc Health, Inc.		1,282		(1.13	)%		22,643
ManpowerGroup, Inc.		1,633		(1.22	)%		17,944
Brink’s Co.		984		(0.43	)%		12,592
Guardant Health, Inc.		1,307		(1.13	)%		2,469
CoStar Group, Inc.		3,155		(1.88	)%		(309	)
Sysco Corp.		1,017		(0.55	)%		(1,011	)
Total Consumer, Non-cyclical							54,328

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ALPHA OPPORTUNITY FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Energy
Schlumberger N.V.		5,122		(1.05	)%	$	27,388
Sunrun, Inc.		1,545		(0.47	)%		2,693
Helmerich & Payne, Inc.		2,031		(0.39	)%		(1,285	)
Phillips 66		3,934		(1.91	)%		(3,249	)
NOV, Inc.		4,152		(0.38	)%		(4,329	)
Hess Corp.		859		(0.46	)%		(7,164	)
Patterson-UTI Energy, Inc.		11,297		(0.70	)%		(14,059	)
Pioneer Natural Resources Co.		1,836		(2.12	)%		(18,661	)
Valero Energy Corp.		4,218		(2.06	)%		(26,654	)
Devon Energy Corp.		2,704		(0.67	)%		(27,783	)
Range Resources Corp.		5,647		(0.89	)%		(29,819	)
Diamondback Energy, Inc.		1,530		(1.00	)%		(30,275	)
Halliburton Co.		12,406		(1.86	)%		(31,050	)
Total Energy							(164,247	)
Utilities
ONE Gas, Inc.		3,038		(1.33	)%		42,501
Atmos Energy Corp.		2,798		(1.71	)%		34,789
Edison International		4,651		(1.79	)%		10,935
CenterPoint Energy, Inc.		2,908		(0.50	)%		3,698
Total Utilities							91,923
Consumer, Cyclical
United Airlines Holdings, Inc.		5,882		(1.94	)%		26,762
JetBlue Airways Corp.		15,403		(1.63	)%		25,013
Freshpet, Inc.		832		(0.82	)%		15,457
DraftKings, Inc. — Class A		1,081		(0.36	)%		13,471
Spirit Airlines, Inc.		3,574		(0.64	)%		6,365
Alaska Air Group, Inc.		3,264		(1.33	)%		5,307
Delta Air Lines, Inc.		6,738		(1.99	)%		1,730
Southwest Airlines Co.		4,436		(1.58	)%		(8,820	)
American Airlines Group, Inc.		13,918		(1.98	)%		(15,649	)
Royal Caribbean Cruises Ltd.		1,632		(1.01	)%		(16,107	)
Total Consumer, Cyclical							53,529
Industrial
Stericycle, Inc.		3,902		(1.84	)%		21,263
Jacobs Engineering Group, Inc.		2,018		(1.85	)%		14,313
US Ecology, Inc.		2,290		(0.51	)%		11,673
Harsco Corp.		6,485		(0.76	)%		8,025
Boeing Co.		1,043		(1.59	)%		5,762
TransDigm Group, Inc.		151		(0.65	)%		1,172
General Electric Co.		646		(0.46	)%		(780	)
Waste Management, Inc.		1,766		(1.83	)%		(22,269	)
Republic Services, Inc. — Class A		2,181		(1.81	)%		(23,848	)
Tetra Tech, Inc.		689		(0.71	)%		(39,453	)
Casella Waste Systems, Inc. — Class A		3,129		(1.65	)%		(63,196	)
Total Industrial							(87,338	)
Communications
Okta, Inc.		614		(1.01	)%		13,080
Uber Technologies, Inc.		3,256		(1.01	)%		8,795
Chewy, Inc. — Class A		730		(0.34	)%		6,370
Anaplan, Inc.		1,246		(0.53	)%		2,087
Lyft, Inc. — Class A		2,530		(0.94	)%		(14,512	)
Total Communications							15,820
Basic Materials
International Flavors & Fragrances, Inc.		1,601		(1.48	)%		24,572
Total GS Equity Short Custom Basket						$	(36,530	)

*	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 custom basket swap collateral at September 30, 2021.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	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.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
ALPHA OPPORTUNITY FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	32,753,015	$	—	$	—	$	32,753,015
Money Market Fund		3,173,294		—		—		3,173,294
Total Assets	$	35,926,309	$	—	$	—	$	35,926,309

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Custom Basket Swap Agreements**	$	—	$	272,911	$	—	$	272,911

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

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

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $35,369,449)	$	35,926,309
Cash		297
Prepaid expenses		24,624
Receivables:
Dividends		54,416
Fund shares sold		89
Interest		14
Total assets		36,005,749
Liabilities:
Unrealized depreciation on OTC swap agreements		272,911
Payable for:
Swap settlement		670,379
Management fees		25,797
Fund accounting/administration fees		5,832
Trustees’ fees*		5,450
Transfer agent/maintenance fees		5,012
Due to Investment Adviser		3,500
Distribution and service fees		1,275
Fund shares redeemed		27
Miscellaneous		63,417
Total liabilities		1,053,600
Net assets	$	34,952,149
Net assets consist of:
Paid in capital	$	62,385,783
Total distributable earnings (loss)		(27,433,634	)
Net assets	$	34,952,149
A-Class:
Net assets	$	3,041,598
Capital shares outstanding		168,466
Net asset value per share	$	18.05
Maximum offering price per share (Net asset value divided by 95.25%)	$	18.95
C-Class:
Net assets	$	277,491
Capital shares outstanding		17,606
Net asset value per share	$	15.76
P-Class:
Net assets	$	1,855,080
Capital shares outstanding		101,864
Net asset value per share	$	18.21
Institutional Class:
Net assets	$	29,777,980
Capital shares outstanding		1,126,102
Net asset value per share	$	26.44

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	847,124
Interest		108
Total investment income		847,232
Expenses:
Management fees		328,770
Distribution and service fees:
A-Class		8,130
C-Class		3,055
P-Class		4,223
Transfer agent/maintenance fees:
A-Class		5,698
C-Class		761
P-Class		3,358
Institutional Class		21,516
Registration fees		79,513
Professional fees		46,574
Fund accounting/administration fees		32,934
Custodian fees		23,054
Trustees’ fees*		20,312
Line of credit fees		1,642
Interest expense		78
Miscellaneous		14,518
Recoupment of previously waived fees:
A-Class		483
C-Class		22
P-Class		120
Institutional Class		4,893
Total expenses		599,654
Less:
Expenses reimbursed by Adviser:
A-Class		(4,508	)
C-Class		(626	)
P-Class		(2,682	)
Institutional Class		(13,216	)
Expenses waived by Adviser		(13,704	)
Total waived/reimbursed expenses		(34,736	)
Net expenses		564,918
Net investment income		282,314
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		10,029,762
Swap agreements		(9,106,066	)
Net realized gain		923,696
Net change in unrealized appreciation (depreciation) on:
Investments		1,093,710
Swap agreements		733,262
Net change in unrealized appreciation (depreciation)		1,826,972
Net realized and unrealized gain		2,750,668
Net increase in net assets resulting from operations	$	3,032,982

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

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

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	282,314		$	560,342
Net realized gain (loss) on investments		923,696			(4,172,863	)
Net change in unrealized appreciation (depreciation) on investments		1,826,972			(1,111,702	)
Net increase (decrease) in net assets resulting from operations		3,032,982			(4,724,223	)
Distributions to shareholders:
A-Class		(41,923	)		(62,477	)
C-Class		(666	)		—
P-Class		(18,203	)		(14,549	)
Institutional Class		(351,160	)		(785,413	)
Total distributions to shareholders		(411,952	)		(862,439	)
Capital share transactions:
Proceeds from sale of shares
A-Class		168,044			257,347
C-Class		3,300			5,850
P-Class		941,686			395,733
Institutional Class		434,959			1,995,224
Distributions reinvested
A-Class		39,965			60,267
C-Class		628			—
P-Class		18,203			14,549
Institutional Class		345,735			776,126
Cost of shares redeemed
A-Class		(814,018	)		(3,940,371	)
C-Class		(102,868	)		(339,528	)
P-Class		(351,042	)		(1,089,176	)
Institutional Class		(5,557,148	)		(44,596,146	)
Net decrease from capital share transactions		(4,872,556	)		(46,460,125	)
Net decrease in net assets		(2,251,526	)		(52,046,787	)
Net assets:
Beginning of year		37,203,675			89,250,462
End of year	$	34,952,149		$	37,203,675
Capital share activity:
Shares sold
A-Class		9,329			14,992
C-Class		215			398
P-Class		52,371			22,812
Institutional Class		16,972			82,744
Shares issued from reinvestment of distributions
A-Class		2,300			3,442
C-Class		41			—
P-Class		1,038			823
Institutional Class		13,612			30,436
Shares redeemed
A-Class		(46,125	)		(235,922	)
C-Class		(6,688	)		(22,693	)
P-Class		(19,588	)		(64,097	)
Institutional Class		(212,990	)		(1,931,549	)
Net decrease in shares		(189,513	)		(2,098,614	)

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	16.89		$	17.42		$	19.15		$	21.10		$	19.08
Income (loss) from investment operations:
Net investment income (loss)a		.10			.11			.12			.10			.31
Net gain (loss) on investments (realized and unrealized)		1.27			(.48	)		(1.64	)		(.60	)		1.72
Total from investment operations		1.37			(.37	)		(1.52	)		(.50	)		2.03
Less distributions from:
Net investment income		(.21	)		(.16	)		(.21	)		—			—
Net realized gains		—			—			—			(1.45	)		(.01	)
Total distributions		(.21	)		(.16	)		(.21	)		(1.45	)		(.01	)
Net asset value, end of period	$	18.05		$	16.89		$	17.42		$	19.15		$	21.10
Total Returnb		8.17	%		(2.15	%)		(7.97	%)		(2.90	%)		10.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,042		$	3,429		$	7,326		$	11,243		$	15,011
Ratios to average net assets:
Net investment income (loss)		0.56	%		0.65	%		0.64	%		0.51	%		1.49	%
Total expensesc		1.94	%		1.73	%		1.65	%		1.54	%		2.21	%
Net expensesd,e,f		1.76	%		1.69	%		1.64	%		1.54	%		2.17	%
Portfolio turnover rate		169	%		209	%		126	%		255	%		92	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	14.71		$	15.16		$	16.61		$	18.62		$	16.96
Income (loss) from investment operations:
Net investment income (loss)a		(.03	)		(.02	)		(.03	)		(.05	)		.09
Net gain (loss) on investments (realized and unrealized)		1.11			(.43	)		(1.42	)		(.51	)		1.58
Total from investment operations		1.08			(.45	)		(1.45	)		(.56	)		1.67
Less distributions from:
Net investment income		(.03	)		—			—			—			—
Net realized gains		—			—			—			(1.45	)		(.01	)
Total distributions		(.03	)		—			—			(1.45	)		(.01	)
Net asset value, end of period	$	15.76		$	14.71		$	15.16		$	16.61		$	18.62
Total Returnb		7.37	%		(2.97	%)		(8.73	%)		(3.65	%)		9.91	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	277		$	354		$	702		$	1,036		$	2,508
Ratios to average net assets:
Net investment income (loss)		(0.19	%)		(0.15	%)		(0.20	%)		(0.31	%)		0.47	%
Total expensesc		2.75	%		2.72	%		2.55	%		2.34	%		2.94	%
Net expensesd,e,f		2.51	%		2.51	%		2.48	%		2.31	%		2.88	%
Portfolio turnover rate		169	%		209	%		126	%		255	%		92	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	17.06		$	17.56		$	19.23		$	21.19		$	19.11
Income (loss) from investment operations:
Net investment income (loss)a		.10			.12			.11			.10			(.06	)
Net gain (loss) on investments (realized and unrealized)		1.28			(.49	)		(1.64	)		(.61	)		2.15
Total from investment operations		1.38			(.37	)		(1.53	)		(.51	)		2.09
Less distributions from:
Net investment income		(.23	)		(.13	)		(.14	)		—			—
Net realized gains		—			—			—			(1.45	)		(.01	)
Total distributions		(.23	)		(.13	)		(.14	)		(1.45	)		(.01	)
Net asset value, end of period	$	18.21		$	17.06		$	17.56		$	19.23		$	21.19
Total Return		8.17	%		(2.11	%)		(7.99	%)		(2.93	%)		11.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,855		$	1,161		$	1,905		$	4,525		$	7,720
Ratios to average net assets:
Net investment income (loss)		0.54	%		0.70	%		0.59	%		0.47	%		(0.31	%)
Total expensesc		1.96	%		1.67	%		1.67	%		1.58	%		1.75	%
Net expensesd,e,f		1.76	%		1.64	%		1.66	%		1.57	%		1.72	%
Portfolio turnover rate		169	%		209	%		126	%		255	%		92	%

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

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	24.65		$	25.37		$	27.77		$	29.86		$	26.82
Income (loss) from investment operations:
Net investment income (loss)a		.22			.25			.28			.27			.12
Net gain (loss) on investments (realized and unrealized)		1.85			(.72	)		(2.37	)		(.91	)		2.93
Total from investment operations		2.07			(.47	)		(2.09	)		(.64	)		3.05
Less distributions from:
Net investment income		(.28	)		(.25	)		(.31	)		—			—
Net realized gains		—			—			—			(1.45	)		(.01	)
Total distributions		(.28	)		(.25	)		(.31	)		(1.45	)		(.01	)
Net asset value, end of period	$	26.44		$	24.65		$	25.37		$	27.77		$	29.86
Total Return		8.46	%		(1.87	%)		(7.57	%)		(2.50	%)		11.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	29,778		$	32,260		$	79,318		$	181,095		$	196,180
Ratios to average net assets:
Net investment income (loss)		0.82	%		1.00	%		1.05	%		0.94	%		0.40	%
Total expensesc		1.58	%		1.36	%		1.22	%		1.12	%		1.38	%
Net expensesd,e,f		1.50	%		1.36	%		1.21	%		1.12	%		1.37	%
Portfolio turnover rate		169	%		209	%		126	%		255	%		92	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.01%	0.02%	0.09%	0.02%	0.32%
C-Class	0.01%	0.01%	0.04%	0.07%	0.64%
P-Class	0.01%	0.01%	0.03%	0.04%	—
Institutional Class	0.02%	0.00%*	0.00%*	—	0.01%

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.76%	1.69%	1.64%	1.52%	2.00%
C-Class	2.51%	2.51%	2.48%	2.30%	2.71%
P-Class	1.76%	1.64%	1.66%	1.56%	1.68%
Institutional Class	1.50%	1.36%	1.21%	1.11%	1.28%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim Large Cap Value Fund (the “Fund”) is managed by a team of seasoned professionals led by David Toussaint, CFA, CPA, Managing Director and Portfolio Manager; James Schier, CFA, Senior Managing Director and Portfolio Manager; Farhan Sharaff, Senior Managing Director, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Gregg Strohkorb, CFA, Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and performance of the Fund for the fiscal year ended September 30, 2021.

For the fiscal year ended September 30, 2021, Guggenheim Large Cap Value Fund returned 40.59%¹, compared with the 35.01% return of its benchmark, the Russell 1000^® Value Index.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.

Performance Review

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, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the smaller and more value-focused companies in the benchmark, lagged its benchmark at times throughout the period.

The Fund benefited from strong security selection, with the leading sector contributors Materials, Financial, and Energy. In Materials, commodity price inflation on the back of an improving economy benefitted steel names such as Nucor and Reliance Steel as well as specialty chemical companies like Olin Corp. and Westlake Chemical Corp.

A steepening yield curve and improving credit fundamentals helped the Fund’s financial holdings outperform those in the benchmark, and the impact was magnified by the sector’s large weighting, the largest in both the Fund and the benchmark. Major banks such as Citigroup, Inc., Morgan Stanley, and Wells Fargo were leading contributors, as were some regional banks like KeyCorp and Zions Bancorp.

Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources; integrated oil companies Marathon Oil and ConocoPhillips were the main sector contributors. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.

The principal sector detractor for the period was Communication Services, offset by an underweighting of the sector as a whole. The main detractor was an active underweight in Alphabet and an overweight position in Verizon Communications. The Fund favored Verizon over AT&T, which underperformed for the period. Stock selection detracted slightly in Industrials, where the largest detractor was FedEx Corp, which cited higher labor costs and supply-chain issues in its weaker-than-expected earnings report late in the period.

Portfolio Positioning

While this strategy is balanced relative to the benchmark, the size of companies it owns is typically smaller, given their often-better growth opportunities.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

At the end of the period, the Fund’s largest sector overweights relative to the benchmark were in Energy and Utilities. The Fund’s largest sector underweight was in Financials; as noted, the Fund moved from an overweight at the beginning of the period an underweight by period end. Other sector underweights at period end were Health Care and Industrials.

Portfolio and Market Outlook

The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve (“Fed”) willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Fed willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

LARGE CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	August 7, 1944
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	June 7, 2013

Ten Largest Holdings (% of Total Net Assets)
JPMorgan Chase & Co.	2.7%
Verizon Communications, Inc.	2.3%
Johnson & Johnson	2.3%
Berkshire Hathaway, Inc. — Class B	2.3%
Wells Fargo & Co.	2.2%
Tyson Foods, Inc. — Class A	2.1%
Bank of America Corp.	2.0%
Comcast Corp. — Class A	2.0%
Micron Technology, Inc.	1.9%
Chevron Corp.	1.7%
Top Ten Total	21.5%
“Ten Largest Holdings” excludes any temporary cash investments.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	40.59%	10.79%	12.56%
A-Class Shares with sales charge‡	33.93%	9.72%	12.01%
C-Class Shares	39.55%	9.95%	11.72%
C-Class Shares with CDSC§	38.55%	9.95%	11.72%
Russell 1000 Value Index	35.01%	10.94%	13.51%

	1 Year	5 Year	Since Inception (06/07/13)
Institutional Class Shares	40.93%	11.05%	9.89%
Russell 1000 Value Index	35.01%	10.94%	10.34%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	40.60%	10.78%	8.94%
Russell 1000 Value Index	35.01%	10.94%	9.19%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
‡	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS	September 30, 2021
LARGE CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 95.3%
Consumer, Non-cyclical - 21.1%
Johnson & Johnson		5,594	$	903,431
Tyson Foods, Inc. — Class A		10,678		842,921
Humana, Inc.		1,615		628,477
HCA Healthcare, Inc.		2,319		562,868
Archer-Daniels-Midland Co.		8,690		521,487
McKesson Corp.		2,560		510,413
Ingredion, Inc.		5,561		494,985
Medtronic plc		3,632		455,271
Quest Diagnostics, Inc.		3,026		439,708
Henry Schein, Inc.*		5,267		401,135
Merck & Company, Inc.		5,070		380,808
J M Smucker Co.		2,979		357,569
Bunge Ltd.		4,271		347,318
Encompass Health Corp.		4,310		323,422
Zimmer Biomet Holdings, Inc.		2,098		307,063
Amgen, Inc.		1,160		246,674
Pfizer, Inc.		4,927		211,910
Procter & Gamble Co.		1,438		201,033
Bristol-Myers Squibb Co.		2,895		171,297
Total Consumer, Non-cyclical				8,307,790
Financial - 20.3%
JPMorgan Chase & Co.		6,526		1,068,241
Berkshire Hathaway, Inc. — Class B*		3,256		888,693
Wells Fargo & Co.		18,543		860,581
Bank of America Corp.		18,761		796,404
Allstate Corp.		3,930		500,328
Citigroup, Inc.		6,742		473,154
STAG Industrial, Inc. REIT		10,180		399,565
Voya Financial, Inc.		5,629		345,564
Charles Schwab Corp.		4,430		322,681
Medical Properties Trust, Inc. REIT		15,422		309,520
Regions Financial Corp.		12,450		265,309
Jones Lang LaSalle, Inc.*		926		229,731
KeyCorp		10,260		221,821
Zions Bancorp North America		3,490		215,996
American Tower Corp. — Class A REIT		809		214,717
Park Hotels & Resorts, Inc. REIT*		10,682		204,453
Gaming and Leisure Properties, Inc. REIT		4,284		198,435
Mastercard, Inc. — Class A		531		184,618
American International Group, Inc.		3,078		168,952
BOK Financial Corp.		1,601		143,370
Total Financial				8,012,133
Consumer, Cyclical - 9.6%
Walmart, Inc.		4,354		606,861
LKQ Corp.*		9,048		455,295
Southwest Airlines Co.*		8,084		415,760
Kohl’s Corp.		8,436		397,251
DR Horton, Inc.		4,246		356,537
Home Depot, Inc.		996		326,947
Lear Corp.		2,052		321,097
PACCAR, Inc.		3,462		273,221
PVH Corp.*		2,358		242,379
Ralph Lauren Corp. — Class A		1,925		213,752
Penske Automotive Group, Inc.		1,844		185,506
Total Consumer, Cyclical				3,794,606
Communications - 9.4%
Verizon Communications, Inc.		16,953		915,632
Comcast Corp. — Class A		13,991		782,517
Cisco Systems, Inc.		7,671		417,532
Alphabet, Inc. — Class A*		144		384,987
T-Mobile US, Inc.*		2,662		340,097
FireEye, Inc.*		14,487		257,869
Walt Disney Co.*		1,396		236,161
Juniper Networks, Inc.		7,162		197,098
ViacomCBS, Inc. — Class B		4,802		189,727
Total Communications				3,721,620
Energy - 8.7%
Chevron Corp.		6,513		660,744
ConocoPhillips		9,454		640,698
Range Resources Corp.*		26,545		600,713
Marathon Oil Corp.		27,332		373,628
Cabot Oil & Gas Corp. — Class A		15,688		341,371
Pioneer Natural Resources Co.		1,695		282,235
Patterson-UTI Energy, Inc.		29,265		263,385
Exxon Mobil Corp.		4,271		251,220
Total Energy				3,413,994
Technology - 7.9%
Micron Technology, Inc.		10,697		759,273
Skyworks Solutions, Inc.		2,744		452,156
DXC Technology Co.*		12,680		426,175
Leidos Holdings, Inc.		4,043		388,653
Apple, Inc.		2,661		376,531
Qorvo, Inc.*		2,163		361,632
Amdocs Ltd.		2,777		210,247
Cerner Corp.		2,157		152,112
Total Technology				3,126,779
Industrial - 6.8%
Johnson Controls International plc		7,830		533,066
L3Harris Technologies, Inc.		1,908		420,218
Knight-Swift Transportation Holdings, Inc.		7,758		396,822
Valmont Industries, Inc.		1,520		357,383
Curtiss-Wright Corp.		2,333		294,378
Owens Corning		2,852		243,846
FedEx Corp.		990		217,097
Advanced Energy Industries, Inc.		2,211		194,015
Total Industrial				2,656,825
Utilities - 6.7%
Exelon Corp.		13,360		645,822
Public Service Enterprise Group, Inc.		8,648		526,663
Edison International		7,992		443,316
Duke Energy Corp.		3,801		370,940
Pinnacle West Capital Corp.		4,002		289,585
NiSource, Inc.		8,523		206,512

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
LARGE CAP VALUE FUND

	Shares		Value
PPL Corp.		5,782	$	161,202
Total Utilities				2,644,040
Basic Materials - 4.8%
Huntsman Corp.		20,447		605,027
Westlake Chemical Corp.		5,207		474,566
Reliance Steel & Aluminum Co.		1,872		266,610
Nucor Corp.		1,978		194,813
International Flavors & Fragrances, Inc.		1,105		147,761
Dow, Inc.		2,118		121,912
DuPont de Nemours, Inc.		1,392		94,642
Total Basic Materials				1,905,331
Total Common Stocks
(Cost $28,307,005)				37,583,118
MONEY MARKET FUND† - 4.9%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		1,935,173		1,935,173
Total Money Market Fund
(Cost $1,935,173)				1,935,173
Total Investments - 100.2%
(Cost $30,242,178)			$	39,518,291
Other Assets & Liabilities, net - (0.2)%				(91,246	)
Total Net Assets - 100.0%			$	39,427,045

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	37,583,118	$	—	$	—	$	37,583,118
Money Market Fund		1,935,173		—		—		1,935,173
Total Assets	$	39,518,291	$	—	$	—	$	39,518,291

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

LARGE CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $30,242,178)	$	39,518,291
Prepaid expenses		35,985
Receivables:
Securities sold		307,925
Fund shares sold		103,252
Dividends		42,328
Interest		13
Total assets		40,007,794
Liabilities:
Payable for:
Securities purchased		508,608
Professional fees		29,984
Distribution and service fees		8,644
Management fees		6,287
Fund accounting/administration fees		5,852
Transfer agent/maintenance fees		3,500
Trustees’ fees*		2,164
Fund shares redeemed		1,656
Due to Investment Adviser		13
Miscellaneous		14,041
Total liabilities		580,749
Net assets	$	39,427,045
Net assets consist of:
Paid in capital	$	27,518,472
Total distributable earnings (loss)		11,908,573
Net assets	$	39,427,045
A-Class:
Net assets	$	36,677,752
Capital shares outstanding		732,355
Net asset value per share	$	50.08
Maximum offering price per share (Net asset value divided by 95.25%)	$	52.58
C-Class:
Net assets	$	1,190,892
Capital shares outstanding		26,213
Net asset value per share	$	45.43
P-Class:
Net assets	$	193,914
Capital shares outstanding		3,885
Net asset value per share	$	49.91
Institutional Class:
Net assets	$	1,364,487
Capital shares outstanding		27,626
Net asset value per share	$	49.39

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	757,658
Interest		80
Total investment income		757,738
Expenses:
Management fees		243,618
Distribution and service fees:
A-Class		88,169
C-Class		11,640
P-Class		428
Transfer agent/maintenance fees:
A-Class		33,752
C-Class		2,831
P-Class		554
Institutional Class		1,208
Registration fees		73,542
Professional fees		37,029
Fund accounting/administration fees		34,468
Trustees’ fees*		18,451
Custodian fees		5,315
Line of credit fees		1,571
Miscellaneous		8,087
Total expenses		560,663
Less:
Expenses reimbursed by Adviser:
A-Class		(34,155	)
C-Class		(2,849	)
P-Class		(557	)
Institutional Class		(1,221	)
Expenses waived by Adviser		(86,056	)
Total waived/reimbursed expenses		(124,838	)
Net expenses		435,825
Net investment income		321,913
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,617,799
Net realized gain		2,617,799
Net change in unrealized appreciation (depreciation) on:
Investments		8,907,008
Net change in unrealized appreciation (depreciation)		8,907,008
Net realized and unrealized gain		11,524,807
Net increase in net assets resulting from operations	$	11,846,720

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

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

LARGE CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	321,913		$	994,120
Net realized gain on investments		2,617,799			3,048,366
Net change in unrealized appreciation (depreciation) on investments		8,907,008			(5,202,366	)
Net increase (decrease) in net assets resulting from operations		11,846,720			(1,159,880	)
Distributions to shareholders:
A-Class		(2,193,216	)		(4,000,303	)
C-Class		(62,032	)		(91,548	)
P-Class		(10,031	)		(12,859	)
Institutional Class		(41,693	)		(62,549	)
Total distributions to shareholders		(2,306,972	)		(4,167,259	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,547,889			3,084,388
C-Class		798,269			504,377
P-Class		52,916			82,267
Institutional Class		809,667			118,986
Distributions reinvested
A-Class		2,145,743			3,948,727
C-Class		62,032			89,872
P-Class		10,031			12,859
Institutional Class		41,693			62,549
Cost of shares redeemed
A-Class		(4,617,822	)		(26,723,359	)
C-Class		(856,471	)		(1,000,958	)
P-Class		(79,066	)		(62,200	)
Institutional Class		(132,982	)		(419,568	)
Net decrease from capital share transactions		(218,101	)		(20,302,060	)
Net increase (decrease) in net assets		9,321,647			(25,629,199	)
Net assets:
Beginning of year		30,105,398			55,734,597
End of year	$	39,427,045		$	30,105,398
Capital share activity:
Shares sold
A-Class		32,527			78,228
C-Class		18,265			12,605
P-Class		1,148			2,222
Institutional Class		16,692			3,414
Shares issued from reinvestment of distributions
A-Class		51,016			90,195
C-Class		1,616			2,239
P-Class		239			295
Institutional Class		1,007			1,449
Shares redeemed
A-Class		(99,103	)		(642,844	)
C-Class		(19,854	)		(27,210	)
P-Class		(1,957	)		(1,632	)
Institutional Class		(2,711	)		(10,755	)
Net decrease in shares		(1,115	)		(491,794	)

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	38.17		$	43.56		$	48.08		$	46.96		$	41.78
Income (loss) from investment operations:
Net investment income (loss)a		.41			.97			.62			.48			.37
Net gain (loss) on investments (realized and unrealized)		14.51			(2.97	)		(2.66	)		4.46			6.80
Total from investment operations		14.92			(2.00	)		(2.04	)		4.94			7.17
Less distributions from:
Net investment income		(1.30	)		(.70	)		(.36	)		(.51	)		(.58	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)
Total distributions		(3.01	)		(3.39	)		(2.48	)		(3.82	)		(1.99	)
Net asset value, end of period	$	50.08		$	38.17		$	43.56		$	48.08		$	46.96
Total Returnb		40.59	%		(5.58	%)		(3.59	%)		10.82	%		17.68	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,678		$	28,548		$	53,248		$	56,369		$	60,157
Ratios to average net assets:
Net investment income (loss)		0.88	%		2.40	%		1.42	%		1.03	%		0.83	%
Total expensesc		1.47	%		1.46	%		1.31	%		1.31	%		1.30	%
Net expensesd,e,f		1.15	%		1.15	%		1.15	%		1.15	%		1.17	%
Portfolio turnover rate		19	%		25	%		37	%		24	%		40	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	34.79		$	39.77		$	44.03		$	43.29		$	38.68
Income (loss) from investment operations:
Net investment income (loss)a		.05			.62			.26			.12			.03
Net gain (loss) on investments (realized and unrealized)		13.23			(2.74	)		(2.40	)		4.09			6.28
Total from investment operations		13.28			(2.12	)		(2.14	)		4.21			6.31
Less distributions from:
Net investment income		(.93	)		(.17	)		—			(.16	)		(.29	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)
Total distributions		(2.64	)		(2.86	)		(2.12	)		(3.47	)		(1.70	)
Net asset value, end of period	$	45.43		$	34.79		$	39.77		$	44.03		$	43.29
Total Returnb		39.55	%		(6.30	%)		(4.28	%)		9.97	%		16.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,191		$	911		$	1,533		$	2,632		$	3,461
Ratios to average net assets:
Net investment income (loss)		0.12	%		1.69	%		0.66	%		0.28	%		0.08	%
Total expensesc		2.36	%		2.43	%		2.18	%		2.10	%		2.09	%
Net expensesd,e,f		1.89	%		1.90	%		1.90	%		1.90	%		1.92	%
Portfolio turnover rate		19	%		25	%		37	%		24	%		40	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	38.06		$	43.46		$	48.00		$	46.91		$	41.74
Income (loss) from investment operations:
Net investment income (loss)a		.41			.83			.61			.49			.37
Net gain (loss) on investments (realized and unrealized)		14.46			(2.82	)		(2.64	)		4.44			6.78
Total from investment operations		14.87			(1.99	)		(2.03	)		4.93			7.15
Less distributions from:
Net investment income		(1.31	)		(.72	)		(.39	)		(.53	)		(.57	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)
Total distributions		(3.02	)		(3.41	)		(2.51	)		(3.84	)		(1.98	)
Net asset value, end of period	$	49.91		$	38.06		$	43.46		$	48.00		$	46.91
Total Return		40.60	%		(5.58	%)		(3.58	%)		10.80	%		17.63	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	194		$	170		$	155		$	147		$	158
Ratios to average net assets:
Net investment income (loss)		0.87	%		2.12	%		1.41	%		1.03	%		0.83	%
Total expensesc		1.71	%		1.72	%		1.60	%		1.59	%		1.69	%
Net expensesd,e,f		1.15	%		1.15	%		1.15	%		1.15	%		1.17	%
Portfolio turnover rate		19	%		25	%		37	%		24	%		40	%

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

LARGE CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	37.71		$	43.08		$	47.60		$	46.56		$	41.84
Income (loss) from investment operations:
Net investment income (loss)a		.52			.98			.71			.64			.51
Net gain (loss) on investments (realized and unrealized)		14.31			(2.84	)		(2.63	)		4.35			6.72
Total from investment operations		14.83			(1.86	)		(1.92	)		4.99			7.23
Less distributions from:
Net investment income		(1.44	)		(.82	)		(.48	)		(.64	)		(1.10	)
Net realized gains		(1.71	)		(2.69	)		(2.12	)		(3.31	)		(1.41	)
Total distributions		(3.15	)		(3.51	)		(2.60	)		(3.95	)		(2.51	)
Net asset value, end of period	$	49.39		$	37.71		$	43.08		$	47.60		$	46.56
Total Return		40.93	%		(5.35	%)		(3.33	%)		11.04	%		17.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,364		$	477		$	798		$	5,946		$	1,681
Ratios to average net assets:
Net investment income (loss)		1.10	%		2.50	%		1.65	%		1.39	%		1.13	%
Total expensesc		1.24	%		1.35	%		1.14	%		1.00	%		1.07	%
Net expensesd,e,f		0.89	%		0.90	%		0.90	%		0.90	%		0.92	%
Portfolio turnover rate		19	%		25	%		37	%		24	%		40	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	0.00%*	0.01%
C-Class	—	0.00%*	—	0.00%*	0.01%
P-Class	—	—	—	—	0.00%*
Institutional Class	—	—	—	—	0.02%

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.14%	1.15%	1.15%	1.15%	1.15%
C-Class	1.89%	1.90%	1.90%	1.90%	1.90%
P-Class	1.14%	1.15%	1.15%	1.15%	1.15%
Institutional Class	0.89%	0.90%	0.90%	0.90%	0.90%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim Market Neutral Real Estate Fund (the “Fund”) is managed by a team of seasoned professionals led by Michael Chong, CFA, Portfolio Manager, and Samir Sanghani, CFA, Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.

For the fiscal year ended September 30, 2021, Guggenheim Market Neutral Real Estate Fund returned -1.14%¹, compared with the 0.07% return of its benchmark, the ICE Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index.

Investment Approach

The Fund seeks to generate high risk-adjusted absolute returns with minimal market exposure and minimal correlation with other major asset classes. The Fund primarily utilizes a pair-trading strategy to exploit relative value opportunities among publicly traded real estate equities. The portfolio will typically maintain long exposure of 80-100% of net assets and short exposure of 80-100% of net assets under normal conditions, with minimal net market exposure.

The strategy utilizes a relative value framework that is specialized for the real estate sector. Top-down views on the private commercial real estate (“CRE”) and public REIT markets are formulated to drive sector allocation decisions. Individual securities evaluated and selected on a bottom-up basis using fundamental analysis and due diligence.

Market Review

The past year has seen several inflection points, coming out of the pandemic and months of associated lockdowns, then pausing again on the back of the Delta variant. On the surface, economic activity flourished, aided by pent-up demand, as both businesses and consumers reopened their pocketbooks. However, there was quite a bit happening below the surface, as rising rates, inflation, supply chain bottlenecks, and the Federal Reserve (“Fed”) taper took turns introducing risk and uncertainty. That REITs rallied despite hiccups along the way, outperforming the S&P 500, speaks to both the path to recovery from losses in 2020 as well as healthy prospects looking forward.

The performance dispersion this year was nearly as extreme, with many of last year’s worst performers going to the head of the class in 2021. The best performing sectors were malls (+114%), shopping centers (+90%), and lodging (+73%). The rebound in shopper traffic and spend were clear drivers for the retail sectors, while lodging rallied on expectation of travel resumption after various shutdowns. The worst-performing sectors were data centers (+6%), net lease (+20%), and industrial (+26%). Data centers were beset by myriad concerns, including compressing development yields, softer leasing, and healthy valuations after outperforming during the pandemic. Rising rates and commercial property prices weighed on the interest-rate sensitive net lease sector. Finally, the industrial sector took a breather following a strong year and lofty valuations.

From a private market perspective, transaction volumes are recovering, as is pricing. The combination of pent-up demand for assets as well as better clarity on underwriting and plentiful capital are causing commercial real estate to rebound to levels above pre-pandemic levels, even as actual fundamentals continue to lag. Notably, strong demand for the asset class can best be seen in compressing cap rates (i.e., higher multiples) even with higher rates. Traditionally, cap rates have trended in-line with moves in interest rates.

Fundamentals for real estate seem to be on fair to positive footing overall. But there are key exceptions, two of the biggest outstanding questions surround the office and hotel sectors. After the initial wave of optimism around return to office, the Delta variant and the scales tipping towards employee versus employer has put a significant question mark on how the sector evolves, both near-term and long-term. Companies are working out in real-time how to encourage workers to come back to the office as attracting, and retaining, talent often requires more flexible location options. As for hotels, demand hit an air pocket after the summer optimism, evidenced by strong leisure travel demand. The Delta variant, and push back in return to office, has delayed the expected resumption of corporate travel demand.

Capital market conditions remain particularly robust for REITs with ample access to both debt and equity. Both private and public capital is plentiful for most asset classes.

Performance Review

The Fund underperformed its benchmark for the fiscal year ended September 30, 2021. Since inception, the Fund has outperformed the benchmark index by 2.77% annually, net of fees, with an annualized return of 3.84% compared with 1.07% for the benchmark.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

The leading performance contributors were in healthcare, diversified/specialty, and net lease. Positive sector tilts in healthcare were a positive contributor, as was for net lease. Strong stock selection was a key driver, as both longs and shorts contributed to healthcare and diversified/specialty. Negative contribution came from lodging, mall, and residential sectors. Lodging underwent a rapid upswing then reversal given the pandemic and Delta variant that made positioning difficult. In the mall sector, the recovery rally buoyed a key short position in a lower quality names. Within residential, continued strength in Sunbelt vs. coastal apartments led to negative contribution.

The Fund utilizes swaps for hedging purposes via long and short exposure to individual equity REIT securities. Derivative exposure detracted from performance for the period.

Outlook

We have a favorable outlook on the REIT sector. While not as bullish as we were last year, we remain positive. To be sure, challenges remain but we believe the sector is in good shape coming out of this recent downturn.

What drives our positive view?

● Healthy REIT fundamentals with pricing power in multiple subsectors

● Attractive cost of capital with the ability to grow via acquisitions

● Private equity ready to step in on mispriced REITs

● Potential for dividend increases as earnings accelerate

Even as Delta, and potentially new variants of COVID-19, continue to populate headlines, vaccination rates are grinding up and the economy is healing. The next twelve months should see a continuation of trends seen thus far in 2021, with resumption of demand for commercial real estate. Secular trends in industrial and multifamily should see positive tailwinds for some time. Cyclical trends in hotels should inflect upwards as core business travel returns. Valuation when compared fixed income alternatives continue to look attractive.

Strategy

Given our constructive view on REITs, the Fund has reduced its defensive bias and is more neutral in posture. This includes lower gross exposure levels and low style factor risk exposure. The Fund maintained average exposure levels during the year of 72% long and 70% short resulting in minimal exposure to equity REITs or the broad market. Current exposure levels are a bit lower than typical levels in the 90% range long and short. This was due to profit-taking on various paired trades and de-risking given some uncertainty headed into year-end.

At fiscal year-end, the Fund was at a 81% long exposure and 81% short exposure. Note that while gross exposure is lower than normal, the Fund’s effective beta exposure approximates zero and the expected return volatility and style factor risk contribution is in-line with historical norms. Key sector overweights at period end include homebuilders, industrial, and real estate services (CRE broker). We believe these sectors present attractive growth prospects relative to current valuations as the recovery takes hold. Key sector underweights are net lease, office, and diversified/specialty. In contrast to our overweights, these sectors lack pricing power.

Looking forward, the Fund will continue striving to generate mid-to-high single digit absolute returns in the current environment with minimal market exposure and minimal correlation across major asset classes. We expect to increase gross exposure over time as capital is redeployed into new relative-value paired trades while still maintaining similar risk parameters.

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

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

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

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

MARKET NEUTRAL REAL ESTATE FUND

OBJECTIVE: Seeks to provide capital appreciation, while limiting exposure to general stock market risk.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	February 26, 2016
C-Class	February 26, 2016
P-Class	February 26, 2016
Institutional Class	February 26, 2016

Ten Largest Holdings (% of Total Net Assets)
AvalonBay Communities, Inc.	3.9%
Sun Communities, Inc.	3.5%
Equity Residential	3.4%
National Storage Affiliates Trust	3.1%
Regency Centers Corp.	3.1%
Xenia Hotels & Resorts, Inc.	3.0%
CyrusOne, Inc.	3.0%
Acadia Realty Trust	3.0%
Brixmor Property Group, Inc.	2.9%
Gaming and Leisure Properties, Inc.	2.7%
Top Ten Total	31.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (02/26/16)
A-Class Shares	(1.14%)	4.77%	3.84%
A-Class Shares with sales charge‡	(5.85%)	3.75%	2.93%
C-Class Shares	(1.88%)	3.95%	3.04%
C-Class Shares with CDSC§	(2.86%)	3.95%	3.04%
P-Class Shares	(1.17%)	4.68%	3.76%
Institutional Class Shares	(0.87%)	4.98%	4.05%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	1.16%	1.07%

*	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 Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures.
‡	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the Average Annual Returns, based on subscriptions made prior to February 22, 2011, and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 81.3%
REITs - 72.6%
REITs-Apartments - 11.9%
AvalonBay Communities, Inc.1		10,267	$	2,275,578
Equity Residential1		24,933		2,017,578
American Campus Communities, Inc.1		29,408		1,424,818
Invitation Homes, Inc.		31,820		1,219,661
Total REITs-Apartments				6,937,635
REITs-Office Property - 10.5%
Alexandria Real Estate Equities, Inc.1		7,350		1,404,365
Empire State Realty Trust, Inc. — Class A		125,941		1,263,188
Hudson Pacific Properties, Inc.1		43,632		1,146,213
American Assets Trust, Inc.1		29,649		1,109,466
Highwoods Properties, Inc.1		14,187		622,242
Boston Properties, Inc.		5,079		550,310
Total REITs-Office Property				6,095,784
REITs-Shopping Centers - 9.0%
Regency Centers Corp.1		26,923		1,812,726
Acadia Realty Trust		84,824		1,731,258
Brixmor Property Group, Inc.1		76,840		1,698,932
Total REITs-Shopping Centers				5,242,916
REITs-Hotels - 8.8%
Xenia Hotels & Resorts, Inc.*		100,035		1,774,621
DiamondRock Hospitality Co.*		137,652		1,300,811
Ryman Hospitality Properties, Inc.*		15,303		1,280,861
MGM Growth Properties LLC — Class A		21,460		821,918
Total REITs-Hotels				5,178,211
REITs-Diversified - 7.7%
CyrusOne, Inc.		22,922		1,774,392
Gaming and Leisure Properties, Inc.1		34,542		1,599,985
VICI Properties, Inc.1		40,426		1,148,503
Total REITs-Diversified				4,522,880
REITs-Health Care - 7.5%
CareTrust REIT, Inc.		67,464		1,370,868
Ventas, Inc.1		20,862		1,151,791
Healthpeak Properties, Inc.1		31,731		1,062,354
Medical Properties Trust, Inc.		41,120		825,278
Total REITs-Health Care				4,410,291
REITs-Warehouse/Industries - 5.4%
Rexford Industrial Realty, Inc.		19,947		1,131,992
Prologis, Inc.		5,844		733,013
Innovative Industrial Properties, Inc.1		3,020		698,133
Americold Realty Trust1		20,809		604,501
Total REITs-Warehouse/Industries				3,167,639
REITs-Single Tenant - 5.2%
Agree Realty Corp.1		23,453		1,553,292
Four Corners Property Trust, Inc.		53,912		1,448,076
Total REITs-Single Tenant				3,001,368
REITs-Manufactured Homes - 3.5%
Sun Communities, Inc.1		10,956		2,027,956
REITs-Storage - 3.1%
National Storage Affiliates Trust		34,669		1,830,177
Total REITS				42,414,857
Home Builders - 3.3%
Buildings - Residential/Commercial - 3.3%
PulteGroup, Inc.		17,979		825,596
DR Horton, Inc.		6,749		566,713
Lennar Corp. — Class A		5,913		553,930
Total Buildings - Residential/Commercial				1,946,239
Total Home Builders				1,946,239
Real Estate - 2.0%
Real Estate Management/Services - 2.0%
Jones Lang LaSalle, Inc.*		4,855		1,204,477
Lodging - 1.8%
Hotels&Motels - 1.8%
Hilton Grand Vacations, Inc.*		22,662		1,078,031
Entertainment - 1.6%
Resorts/Theme Parks - 1.6%
Marriott Vacations Worldwide Corp.		5,857		921,482
Total Common Stocks
(Cost $43,633,857)				47,565,086
MONEY MARKET FUND† - 24.6%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		14,351,135		14,351,135
Total Money Market Fund
(Cost $14,351,135)				14,351,135
Total Investments - 105.9%
(Cost $57,984,992)			$	61,916,221
Other Assets & Liabilities, net - (5.9)%				(3,471,451	)
Total Net Assets - 100.0%			$	58,444,770

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MARKET NEUTRAL REAL ESTATE FUND

Custom Basket Swap Agreements

Counterparty

Reference Obligation

Type

Financing Rate

Payment Frequency

Maturity Date

Notional Amount

Value and Unrealized Depreciation

OTC Custom Basket Swap Agreements Sold Short ††

Goldman Sachs International

GS Equity Custom Basket

Pay

(0.12)% (Federal Funds Rate - 0.20%)

At Maturity

05/06/24

$

23,589,523

$

(1,071,188

)

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

(0.22)% (Federal Funds Rate - 0.30%)

At Maturity

07/22/24

23,590,192

(1,076,112

)

$

47,179,715

$

(2,147,300

)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
MS EQUITY SHORT CUSTOM BASKET
Financial
Omega Healthcare Investors, Inc.		31,509		(4.02	)%	$	195,239
LTC Properties, Inc.		16,844		(2.26	)%		162,266
Realty Income Corp.		22,006		(6.05	)%		73,559
National Health Investors, Inc.		4,458		(1.01	)%		57,949
Office Properties Income Trust		22,362		(2.40	)%		57,572
Broadstone Net Lease, Inc.		20,385		(2.14	)%		57,229
Urban Edge Properties		37,798		(2.93	)%		41,089
American Finance Trust, Inc.		35,885		(1.22	)%		37,663
Equity Commonwealth		10,688		(1.18	)%		27,711
Sunstone Hotel Investors, Inc.		45,801		(2.32	)%		24,745
Easterly Government Properties, Inc.		13,608		(1.19	)%		17,159
Douglas Emmett, Inc.		17,990		(2.41	)%		13,434
Healthcare Realty Trust, Inc.		19,209		(2.42	)%		5,773
RLJ Lodging Trust		61,755		(3.89	)%		1,868
Host Hotels & Resorts, Inc.		27,535		(1.91	)%		(10,224	)
Corporate Office Properties Trust		20,845		(2.38	)%		(16,685	)
STORE Capital Corp.		34,952		(4.75	)%		(17,410	)
Cousins Properties, Inc.		21,208		(3.35	)%		(29,109	)
Digital Realty Trust, Inc.		3,973		(2.43	)%		(35,736	)
Industrial Logistics Properties Trust		12,942		(1.39	)%		(49,454	)
Apartment Income REIT Corp.		20,513		(4.24	)%		(60,373	)
Camden Property Trust		5,426		(3.39	)%		(66,399	)
Federal Realty Investment Trust		6,221		(3.11	)%		(80,791	)
Apple Hospitality REIT, Inc.		75,101		(5.01	)%		(85,975	)
SITE Centers Corp.		47,764		(3.13	)%		(89,480	)
STAG Industrial, Inc.		16,691		(2.78	)%		(122,365	)
Essential Properties Realty Trust, Inc.		33,709		(3.99	)%		(141,153	)
Washington Real Estate Investment Trust		27,403		(2.88	)%		(144,624	)
CubeSmart		12,918		(2.65	)%		(180,146	)
Independence Realty Trust, Inc.		45,943		(3.96	)%		(252,957	)
Mid-America Apartment Communities, Inc.		7,578		(6.00	)%		(416,924	)
Total Financial							(1,026,549	)
Exchange-Traded Funds
Vanguard Real Estate ETF		16,701		(7.21	)%		(49,563	)
Total MS Equity Short Custom Basket						$	(1,076,112	)
GS EQUITY SHORT CUSTOM BASKET
Financial
Omega Healthcare Investors, Inc.		31,509		(4.02	)%	$	198,122
LTC Properties, Inc.		16,844		(2.26	)%		162,874
Realty Income Corp.		22,006		(6.05	)%		70,421
Office Properties Income Trust		22,362		(2.40	)%		58,382
National Health Investors, Inc.		4,458		(1.01	)%		57,916
Broadstone Net Lease, Inc.		20,358		(2.14	)%		49,061
Urban Edge Properties		37,798		(2.93	)%		41,622
American Finance Trust, Inc.		35,885		(1.22	)%		38,333
Equity Commonwealth		10,688		(1.18	)%		27,887
Sunstone Hotel Investors, Inc.		45,801		(2.32	)%		24,582
Easterly Government Properties, Inc.		13,608		(1.19	)%		17,196
Douglas Emmett, Inc.		17,990		(2.41	)%		14,626
Healthcare Realty Trust, Inc.		19,209		(2.42	)%		5,631
RLJ Lodging Trust		61,755		(3.89	)%		4,833
Host Hotels & Resorts, Inc.		27,535		(1.91	)%		(9,852	)
STORE Capital Corp.		34,952		(4.75	)%		(16,395	)

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
MARKET NEUTRAL REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Depreciation
Corporate Office Properties Trust		20,845		(2.38	)%	$	(16,754	)
Cousins Properties, Inc.		21,208		(3.35	)%		(29,087	)
Digital Realty Trust, Inc.		3,973		(2.43	)%		(35,727	)
Industrial Logistics Properties Trust		12,942		(1.39	)%		(49,315	)
Apartment Income REIT Corp.		20,513		(4.24	)%		(58,848	)
Camden Property Trust		5,426		(3.39	)%		(66,440	)
Federal Realty Investment Trust		6,221		(3.11	)%		(80,714	)
Apple Hospitality REIT, Inc.		75,101		(5.01	)%		(81,307	)
SITE Centers Corp.		47,764		(3.13	)%		(90,949	)
STAG Industrial, Inc.		16,691		(2.78	)%		(121,979	)
Essential Properties Realty Trust, Inc.		33,709		(3.99	)%		(141,092	)
Washington Real Estate Investment Trust		27,403		(2.88	)%		(144,207	)
CubeSmart		12,918		(2.65	)%		(180,067	)
Independence Realty Trust, Inc.		45,943		(3.96	)%		(252,992	)
Mid-America Apartment Communities, Inc.		7,578		(6.00	)%		(416,644	)
Total Financial							(1,020,883	)
Exchange-Traded Funds
Vanguard Real Estate ETF		16,701		(7.21	)%		(50,305	)
Total GS Equity Short Custom Basket						$	(1,071,188	)

*	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 custom basket swap collateral at September 30, 2021.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	47,565,086	$	—	$	—	$	47,565,086
Money Market Fund		14,351,135		—		—		14,351,135
Total Assets	$	61,916,221	$	—	$	—	$	61,916,221

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Custom Basket Swap Agreements**	$	—	$	2,147,300	$	—	$	2,147,300

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

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $57,984,992)	$	61,916,221
Cash		6,749
Prepaid expenses		25,839
Receivables:
Dividends		166,387
Fund shares sold		58,878
Interest		69
Total assets		62,174,143
Liabilities:
Unrealized depreciation on OTC swap agreements		2,147,300
Payable for:
Swap settlement		1,375,408
Fund shares redeemed		108,672
Management fees		39,749
Fund accounting/administration fees		6,784
Transfer agent/maintenance fees		3,604
Trustees’ fees*		1,504
Distribution and service fees		1,146
Distributions to shareholders		210
Miscellaneous		44,996
Total liabilities		3,729,373
Net assets	$	58,444,770
Net assets consist of:
Paid in capital	$	58,310,940
Total distributable earnings (loss)		133,830
Net assets	$	58,444,770
A-Class:
Net assets	$	1,866,637
Capital shares outstanding		67,203
Net asset value per share	$	27.78
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.17
C-Class:
Net assets	$	242,212
Capital shares outstanding		9,102
Net asset value per share	$	26.61
P-Class:
Net assets	$	2,727,208
Capital shares outstanding		101,650
Net asset value per share	$	26.83
Institutional Class:
Net assets	$	53,608,713
Capital shares outstanding		1,944,691
Net asset value per share	$	27.57

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	1,030,876
Interest		1,471
Total investment income		1,032,347
Expenses:
Management fees		702,614
Distribution and service fees:
A-Class		11,761
C-Class		2,782
P-Class		14,732
Transfer agent/maintenance fees:
A-Class		16,577
C-Class		638
P-Class		11,325
Institutional Class		53,952
Registration fees		87,752
Professional fees		51,251
Fund accounting/administration fees		51,208
Trustees’ fees*		18,505
Custodian fees		15,223
Line of credit fees		3,193
Miscellaneous		15,935
Total expenses		1,057,448
Less:
Expenses reimbursed by Adviser:
A-Class		(16,707	)
C-Class		(643	)
P-Class		(11,377	)
Institutional Class		(54,478	)
Expenses waived by Adviser		(57,092	)
Total waived/reimbursed expenses		(140,297	)
Net expenses		917,151
Net investment income		115,196
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		10,723,650
Swap agreements		(12,232,978	)
Net realized loss		(1,509,328	)
Net change in unrealized appreciation (depreciation) on:
Investments		3,035,625
Swap agreements		(2,167,286	)
Net change in unrealized appreciation (depreciation)		868,339
Net realized and unrealized loss		(640,989	)
Net decrease in net assets resulting from operations	$	(525,793	)

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

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

MARKET NEUTRAL REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	115,196		$	50,393
Net realized gain (loss) on investments		(1,509,328	)		346,499
Net change in unrealized appreciation (depreciation) on investments		868,339			195,936
Net increase (decrease) in net assets resulting from operations		(525,793	)		592,828
Distributions to shareholders:
A-Class		(14,892	)		(137,475	)
C-Class		(844	)		(4,629	)
P-Class		(22,565	)		(13,269	)
Institutional Class		(194,416	)		(232,931	)
Total distributions to shareholders		(232,717	)		(388,304	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,051,983			15,384,801
C-Class		8,148			305,070
P-Class		2,478,276			9,192,551
Institutional Class		41,746,970			34,862,781
Distributions reinvested
A-Class		11,281			133,439
C-Class		844			4,629
P-Class		22,118			13,147
Institutional Class		194,309			232,932
Cost of shares redeemed
A-Class		(10,852,445	)		(6,481,122	)
C-Class		(92,256	)		(119,128	)
P-Class		(7,967,944	)		(1,198,642	)
Institutional Class		(25,212,495	)		(3,432,966	)
Net increase from capital share transactions		1,388,789			48,897,492
Net increase in net assets		630,279			49,102,016
Net assets:
Beginning of year		57,814,491			8,712,475
End of year	$	58,444,770		$	57,814,491
Capital share activity:
Shares sold
A-Class		37,951			537,993
C-Class		299			11,172
P-Class		92,383			338,094
Institutional Class		1,518,199			1,249,909
Shares issued from reinvestment of distributions
A-Class		409			5,172
C-Class		32			185
P-Class		830			527
Institutional Class		7,103			9,127
Shares redeemed
A-Class		(387,212	)		(229,755	)
C-Class		(3,473	)		(4,292	)
P-Class		(298,618	)		(44,287	)
Institutional Class		(919,986	)		(124,553	)
Net increase in shares		47,917			1,749,292

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	28.18		$	26.95		$	25.16		$	26.47		$	24.45
Income (loss) from investment operations:
Net investment income (loss)a		(.08	)		(.02	)		.25			.50			.08
Net gain (loss) on investments (realized and unrealized)		(.24	)		2.30			1.78			(.41	)		1.94
Total from investment operations		(.32	)		2.28			2.03			.09			2.02
Less distributions from:
Net investment income		(.02	)		(.25	)		(.01	)		—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—
Total distributions		(.08	)		(1.05	)		(.24	)		(1.40	)		—
Net asset value, end of period	$	27.78		$	28.18		$	26.95		$	25.16		$	26.47
Total Returnb		(1.14	%)		8.81	%		8.12	%		0.13	%		8.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,867		$	11,723		$	2,766		$	2,482		$	109
Ratios to average net assets:
Net investment income (loss)		(0.29	%)		(0.06	%)		0.96	%		2.00	%		0.31	%
Total expensesc		2.08	%		2.38	%		3.99	%		5.01	%		4.88	%
Net expensesd,e,f		1.64	%		1.65	%		1.62	%		1.65	%		1.65	%
Portfolio turnover rate		264	%		355	%		180	%		216	%		145	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	27.20		$	26.07		$	24.67		$	26.16		$	24.35
Income (loss) from investment operations:
Net investment income (loss)a		(.22	)		(.15	)		.05			.12			(.11	)
Net gain (loss) on investments (realized and unrealized)		(.29	)		2.16			1.70			(.21	)		1.92
Total from investment operations		(.51	)		2.01			1.75			(.09	)		1.81
Less distributions from:
Net investment income		(.02	)		(.08	)		(.12	)		—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—
Total distributions		(.08	)		(.88	)		(.35	)		(1.40	)		—
Net asset value, end of period	$	26.61		$	27.20		$	26.07		$	24.67		$	26.16
Total Returnb		(1.88	%)		7.99	%		7.15	%		(0.59	%)		7.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	242		$	333		$	135		$	134		$	143
Ratios to average net assets:
Net investment income (loss)		(0.83	%)		(0.56	%)		0.18	%		0.47	%		(0.52	%)
Total expensesc		2.71	%		3.17	%		4.66	%		5.72	%		5.70	%
Net expensesd,e,f		2.39	%		2.40	%		2.40	%		2.38	%		2.40	%
Portfolio turnover rate		264	%		355	%		180	%		216	%		145	%

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	27.23		$	26.10		$	25.14		$	26.48		$	24.45
Income (loss) from investment operations:
Net investment income (loss)a		(.04	)		—			.20			.33			.16
Net gain (loss) on investments (realized and unrealized)		(.28	)		2.20			1.71			(.27	)		1.87
Total from investment operations		(.32	)		2.20			1.91			.06			2.03
Less distributions from:
Net investment income		(.02	)		(.27	)		(.72	)		—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—
Total distributions		(.08	)		(1.07	)		(.95	)		(1.40	)		—
Net asset value, end of period	$	26.83		$	27.23		$	26.10		$	25.14		$	26.48
Total Return		(1.17	%)		8.79	%		7.80	%		0.09	%		8.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,727		$	8,360		$	332		$	488		$	324
Ratios to average net assets:
Net investment income (loss)		(0.16	%)		0.00	%		0.77	%		1.26	%		0.52	%
Total expensesc		1.91	%		2.00	%		4.05	%		4.93	%		5.18	%
Net expensesd,e,f		1.64	%		1.65	%		1.65	%		1.65	%		1.65	%
Portfolio turnover rate		264	%		355	%		180	%		216	%		145	%

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

MARKET NEUTRAL REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	27.92		$	26.74		$	25.32		$	26.57		$	24.49
Income (loss) from investment operations:
Net investment income (loss)a		.07			.09			.31			.36			.14
Net gain (loss) on investments (realized and unrealized)		(.31	)		2.23			1.73			(.21	)		1.94
Total from investment operations		(.24	)		2.32			2.04			.15			2.08
Less distributions from:
Net investment income		(.05	)		(.34	)		(.39	)		—			—
Net realized gains		(.06	)		(.80	)		(.23	)		(1.40	)		—
Total distributions		(.11	)		(1.14	)		(.62	)		(1.40	)		—
Net asset value, end of period	$	27.57		$	27.92		$	26.74		$	25.32		$	26.57
Total Return		(0.87	%)		9.06	%		8.19	%		0.36	%		8.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	53,609		$	37,399		$	5,479		$	5,083		$	4,995
Ratios to average net assets:
Net investment income (loss)		0.27	%		0.32	%		1.18	%		1.39	%		0.55	%
Total expensesc		1.58	%		1.85	%		3.57	%		4.59	%		4.52	%
Net expensesd,e,f		1.39	%		1.40	%		1.40	%		1.40	%		1.40	%
Portfolio turnover rate		264	%		355	%		180	%		216	%		145	%

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

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	—	0.00%*	0.00%*	—	0.22%
C-Class	—	0.00%*	0.02%	—	0.22%
P-Class	—	0.00%*	0.01%	—	0.16%
Institutional Class	—	0.00%*	0.03%	—	0.18%

* 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:

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	1.63%	1.65%	1.62%	1.65%	1.63%
C-Class	2.38%	2.40%	2.40%	2.37%	2.37%
P-Class	1.63%	1.64%	1.65%	1.65%	1.63%
Institutional Class	1.39%	1.40%	1.40%	1.40%	1.38%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim Risk Managed Real Estate Fund (the “Fund”) is managed by a team of seasoned professionals led by Michael Chong, CFA, Portfolio Manager and Samir Sanghani, CFA, Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.

For the fiscal year ended September 30, 2021, Guggenheim Risk Managed Real Estate Fund returned 32.13%¹, compared with the 37.39% return of its benchmark, the FTSE NAREIT Equity REITs Index (“REIT Index”).

Investment Approach

Our investment framework follows a differentiated approach to REIT investing that seeks to both outperform the REIT index and actively mitigate volatility and drawdown risk. To accomplish this, this unique strategy combines a traditional long-only REIT strategy, a market-neutral long/short REIT strategy, and a framework for actively modulating the Fund’s overall market exposure. The Fund will typically maintain an average market exposure, or beta to the REIT index, of approximately 0.90 by targeting an average long-only sleeve allocation of 90% and long/short sleeve allocation of 40%. The targeted sleeve weights are adjusted regularly, modulating the Fund’s overall market exposure as warranted by Guggenheim’s proprietary model.

The underlying long-only and long/short sleeves are managed independently within the Fund using a fundamental, relative value framework that is specialized for the real estate sector. Top-down views on private commercial real estate (“CRE”) and public REIT markets are formulated to drive sector allocation decisions. Individual securities are evaluated and selected on a bottom-up basis using fundamental analysis and due diligence.

Market Review

The past year has seen several inflection points, coming out of the pandemic and months of associated lockdowns, then pausing again on the back of the Delta variant. On the surface, economic activity flourished, aided by pent-up demand, as both businesses and consumers reopened their pocketbooks. However, there was quite a bit happening below the surface, as rising rates, inflation, supply chain bottlenecks, and Fed taper took turns introducing risk and uncertainty. That REITs rallied despite hiccups along the way, outperforming the S&P 500, speaks to both the path to recovery from losses in 2020 as well as healthy prospects looking forward.

The performance dispersion this year was nearly as extreme, with many of last year’s worst performers going to the head of the class in 2021. The best performing sectors were malls (+114%), shopping centers (+90%), and lodging (+73%). The rebound in shopper traffic and spend were clear drivers for the retail sectors, while lodging rallied on expectation of travel resumption after various shutdowns. The worst-performing sectors were data centers (+6%), net lease (+20%), and industrial (+26%). Data centers were beset by myriad concerns, including compressing development yields, softer leasing, and healthy valuations after outperforming during the pandemic. Rising rates and commercial property prices weighed on the interest-rate sensitive net lease sector. Finally, the industrial sector took a breather following a strong year and lofty valuations.

From a private market perspective, transaction volumes are recovering, as is pricing. The combination of pent-up demand for assets as well as better clarity on underwriting and plentiful capital are causing commercial real estate to rebound to levels above pre-pandemic levels, even as actual fundamentals continue to lag. Notably, strong demand for the asset class can best be seen in compressing cap rates (i.e., higher multiples) even with higher rates. Traditionally, cap rates have trended in-line with moves in interest rates.

Fundamentals for real estate seem to be on fair to positive footing overall. But there are key exceptions, two of the biggest outstanding questions surround the office and hotel sectors. After the initial wave of optimism around return to office, the Delta variant and the scales tipping towards employee vs. employer has put a significant question mark on how the sector evolves, both near-term and long-term. Companies are working out in real-time how to encourage workers to come back to the office as attracting, and retaining, talent often requires more flexible location options. As for hotels, demand hit an air pocket after the summer optimism, evidenced by strong leisure travel demand. The Delta variant, and push back in return to office, has delayed the expected resumption of corporate travel demand.

Capital market conditions remain particularly robust for REITs with ample access to both debt and equity. Both private and public capital is plentiful for most asset classes.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2021

Performance Review

The Fund underperformed its benchmark by for the fiscal year ended September 30, 2021. Since inception, the Fund has outperformed the benchmark index by 2.55% annually, net of fees, with an annualized gain of 11.58% compared to 9.03% for the index. Consistent with the Fund’s objective, the Fund has also managed risk with a 10% reduction in annualized daily volatility during the fiscal year relative to the benchmark.

The Fund’s underperformance was primarily driven by the Fund’s below-market exposure as well as negative alpha contribution from the long-only sleeve. The Fund maintained an average long-only sleeve weight of 96% and a long/short sleeve weight of 33% during the fiscal year.

On a gross of fees basis, allocation levels resulted in a 1.53% reduction to the Fund’s relative performance given the benchmark’s 37.39% rally. The long-only sleeve underperformed the benchmark index by 2.88%, detracting 3.78% from the Fund’s relative performance. Finally, the long/short sleeve generated absolute returns of 0.28% resulting in a 0.09% contribution to the Fund’s relative performance.

The Fund utilizes swaps to gain exposure to individual equity REIT securities and to obtain leverage. In the long/short sleeve, of the 33% average long/short allocation for the year, roughly 9% were cash positions and 24% was from swaps. For the long-only sleeve, of the 96% average long allocation for the year, roughly 89% were cash positions and 7% was from swaps. Derivative exposure contributed to performance for the period.

Outlook

We have a favorable outlook on the REIT sector. While not as bullish as we were last year, we remain positive. To be sure, challenges remain but we believe the sector is in good shape coming out of this recent downturn.

What drives our positive view?

● Healthy REIT fundamentals with pricing power in multiple subsectors

● Attractive cost of capital with the ability to grow via acquisitions

● Private equity ready to step in on mispriced REITs

● Potential for dividend increases as earnings accelerate

Even as Delta, and potentially new variants of COVID-19, continue to populate headlines, vaccination rates are grinding up and the economy is healing. The next twelve months should see a continuation of trends seen thus far in 2021, with resumption of demand for commercial real estate. Secular trends in industrial and multifamily should see positive tailwinds for some time. Cyclical trends in hotels should inflect upwards as core business travel returns. Valuation when compared fixed income alternatives continue to look attractive.

Strategy

Given our constructive view on REITs, the Fund has reduced its defensive bias both in terms of overall market exposure as well as the underlying long-only and long/short portfolio sleeves. During the fiscal year, the Fund had maintained a long-only allocation of approximately 96% up from 82% in the previous year. The fund peaked at 99% long-only allocation earlier in the year as the market was rallying, one of the highest levels ever for the fund. We currently sit around 93% given the strong performance year to date, as we have ticked down exposure in conjunction with the REIT rally. The current positioning is a slightly offensive posture for the strategy considering that the Fund targets a 90% in neutral market conditions. Should another major market dislocation occur, the Fund stands ready to opportunistically increase the long-only allocation further. As a reminder, the Fund was designed to operate with a maximum beta to the REIT index of up to 1.10 (110% long-only allocation) which provides us with ample dry powder.

Similarly, the defensive posture of the underlying long-only and long/short sleeves has reversed to a more offensive positioning over the course of the year. Key sector overweights at period-end include homebuilder, lodging, and strip retail. We are positive on favorable demand characteristics as well as pricing power. We believe these sectors present attractive growth prospects relative to current valuations. Key sector underweights are net lease, office, and diversified/specialty REITs. In contrast to our overweights, these sectors lack pricing power and face headwinds into next year.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

Looking forward, the Fund will continue striving to outperform its benchmark and to fully participate in the performance of the REIT sector while still seeking to reduce daily volatility and major drawdowns. Given today’s favorable dynamics in the REIT sector, we believe REITs are well positioned for healthy performance.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

RISK MANAGED REAL ESTATE FUND

OBJECTIVE: seeks to provide total return, comprised of capital appreciation and current income.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 28, 2014
C-Class	March 28, 2014
P-Class	May 1, 2015
Institutional Class	March 28, 2014

Ten Largest Holdings (% of Total Net Assets)
Prologis, Inc.	8.5%
Equinix, Inc.	6.5%
AvalonBay Communities, Inc.	3.7%
Equity Residential	3.4%
Public Storage	3.2%
Simon Property Group, Inc.	3.2%
Invitation Homes, Inc.	2.8%
Alexandria Real Estate Equities, Inc.	2.7%
Ventas, Inc.	2.5%
Welltower, Inc.	2.4%
Top Ten Total	38.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (03/28/14)
A-Class Shares	32.13%	10.51%	11.58%
A-Class Shares with sales charge‡	25.87%	9.44%	10.86%
C-Class Shares	31.05%	9.66%	10.72%
C-Class Shares with CDSC§	30.05%	9.66%	10.72%
Institutional Class Shares	32.52%	10.83%	11.90%
FTSE NAREIT Equity REITs Total Return Index	37.39%	6.83%	9.03%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	32.03%	10.47%	9.80%
FTSE NAREIT Equity REITs Total Return Index	37.39%	6.83%	7.68%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The FTSE NAREIT Equity REITs Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

SCHEDULE OF INVESTMENTS	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 93.3%
REITs - 90.4%
REITs-Diversified - 16.0%
Equinix, Inc.1		40,611	$	32,087,969
Digital Realty Trust, Inc.		68,196		9,850,912
CyrusOne, Inc.		125,340		9,702,569
Gaming and Leisure Properties, Inc.2		197,692		9,157,093
VICI Properties, Inc.1		225,723		6,412,790
Duke Realty Corp.2		102,086		4,886,857
DigitalBridge Group, Inc.*		586,369		3,535,805
WP Carey, Inc.2		39,870		2,912,105
EPR Properties		16,318		805,783
Total REITs-Diversified				79,351,883
REITs-Apartments - 15.3%
AvalonBay Communities, Inc.1		81,806		18,131,482
Equity Residential		211,189		17,089,414
Invitation Homes, Inc.2		359,750		13,789,218
Essex Property Trust, Inc.		20,213		6,462,905
American Campus Communities, Inc.1		120,674		5,846,655
UDR, Inc.		85,210		4,514,426
Mid-America Apartment Communities, Inc.		23,087		4,311,497
American Homes 4 Rent — Class A2		105,794		4,032,867
Camden Property Trust2		9,921		1,463,050
Total REITs-Apartments				75,641,514
REITs-Warehouse/Industries - 11.6%
Prologis, Inc.1		334,627		41,972,265
Rexford Industrial Realty, Inc.		136,057		7,721,235
Americold Realty Trust2		121,762		3,537,186
Innovative Industrial Properties, Inc.		10,834		2,504,496
Terreno Realty Corp.2		25,405		1,606,358
Total REITs-Warehouse/Industries				57,341,540
REITs-Health Care - 9.8%
Ventas, Inc.2		222,020		12,257,724
Welltower, Inc.		143,564		11,829,674
Healthpeak Properties, Inc.2		323,396		10,827,298
Medical Properties Trust, Inc.		363,528		7,296,007
CareTrust REIT, Inc.		295,682		6,008,258
Total REITs-Health Care				48,218,961
REITs-Office Property - 8.2%
Alexandria Real Estate Equities, Inc.1		70,779		13,523,744
Boston Properties, Inc.		61,417		6,654,532
Hudson Pacific Properties, Inc.		154,653		4,062,734
SL Green Realty Corp.2		53,129		3,763,639
Empire State Realty Trust, Inc. — Class A		337,945		3,389,588
Kilroy Realty Corp.		44,969		2,977,398
Highwoods Properties, Inc.		64,547		2,831,031
JBG SMITH Properties		47,565		1,408,400
Paramount Group, Inc.		102,456		921,079
American Assets Trust, Inc.		21,194		793,080
Total REITs-Office Property				40,325,225
REITs-Storage - 8.0%
Public Storage2		54,149		16,087,668
Extra Space Storage, Inc.2		48,771		8,193,040
National Storage Affiliates Trust		139,939		7,387,380
Life Storage, Inc.		38,664		4,436,250
Iron Mountain, Inc.		95,873		4,165,682
Total REITs-Storage				40,270,020
REITs-Shopping Centers - 5.6%
Regency Centers Corp.		124,102		8,355,788
Brixmor Property Group, Inc.		365,524		8,081,736
Acadia Realty Trust		295,147		6,023,950
Kimco Realty Corp.		228,465		4,740,649
Kite Realty Group Trust		31,378		638,856
Total REITs-Shopping Centers				27,840,979
REITs-Hotels - 4.9%
Xenia Hotels & Resorts, Inc.*		402,227		7,135,507
DiamondRock Hospitality Co.*		531,411		5,021,834
Ryman Hospitality Properties, Inc.*		58,513		4,897,538
MGM Growth Properties LLC — Class A		125,434		4,804,122
Host Hotels & Resorts, Inc.*		88,363		1,442,968
Pebblebrook Hotel Trust		48,585		1,088,790
Total REITs-Hotels				24,390,759
REITs-Single Tenant - 4.6%
Agree Realty Corp.1		102,320		6,776,654
Realty Income Corp.2		88,641		5,749,255
Four Corners Property Trust, Inc.2		193,818		5,205,951
National Retail Properties, Inc.		110,523		4,773,488
Total REITs-Single Tenant				22,505,348
REITs-Regional Malls - 3.2%
Simon Property Group, Inc.		120,630		15,678,281
REITs-Manufactured Homes - 3.2%
Sun Communities, Inc.2		56,041		10,373,189
Equity LifeStyle Properties, Inc.		66,017		5,155,928
Total REITs-Manufactured Homes				15,529,117
Total REITs				447,093,627
Home Builders - 1.3%
Buildings - Residential/Commercial - 1.3%
PulteGroup, Inc.		60,661		2,785,553
DR Horton, Inc.		23,008		1,931,982
Lennar Corp. — Class A		20,092		1,882,219
Total Buildings - Residential/Commercial				6,599,754
Total Home Builders				6,599,754
Lodging - 0.8%
Hotels&Motels - 0.8%
Hilton Grand Vacations, Inc.*		79,328		3,773,633
Entertainment - 0.6%
Resorts/Theme Parks - 0.6%
Marriott Vacations Worldwide Corp.		18,349		2,886,848

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Value
Real Estate - 0.2%
Real Estate Management/Services - 0.2%
Jones Lang LaSalle, Inc.*		4,003	$	993,104
Total Common Stocks
(Cost $389,051,140)				461,346,966
MONEY MARKET FUND† - 6.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		31,908,251		31,908,251
Total Money Market Fund
(Cost $31,908,251)				31,908,251
Total Investments - 99.7%
(Cost $420,959,391)			$	493,255,217
COMMON STOCKS SOLD SHORT† - (7.4)%
REITs - (7.4)%
REITs-Storage - (0.2)%
CubeSmart		21,298		(1,031,945	)
Total REITs-Storage				(1,031,945	)
REITs-Warehouse/Industries - (0.3)%
Industrial Logistics Properties Trust		21,338		(542,199	)
STAG Industrial, Inc.		27,518		(1,080,081	)
Total REITs-Warehouse/Industries				(1,622,280	)
REITs-Shopping Centers - (0.7)%
SITE Centers Corp.		66,846		(1,032,102	)
Urban Edge Properties		62,319		(1,141,061	)
Federal Realty Investment Trust		10,257		(1,210,223	)
Total REITs-Shopping Centers				(3,383,386	)
REITs-Health Care - (0.8)%
National Health Investors, Inc.		7,350		(393,225	)
LTC Properties, Inc.		27,771		(880,063	)
Healthcare Realty Trust, Inc.		31,670		(943,133	)
Omega Healthcare Investors, Inc.		51,951		(1,556,452	)
Total REITs-Health Care				(3,772,873	)
REITs-Diversified - (0.9)%
American Finance Trust, Inc.		59,166		(475,695	)
Broadstone Net Lease, Inc.		33,565		(832,748	)
Washington Real Estate Investment Trust		45,181		(1,118,230	)
Digital Realty Trust, Inc.		13,271		(1,916,996	)
Total REITs-Diversified				(4,343,669	)
REITs-Office Property - (1.0)%
Equity Commonwealth		15,370		(399,313	)
Easterly Government Properties, Inc.		22,435		(463,507	)
Corporate Office Properties Trust		34,367		(927,222	)
Office Properties Income Trust		36,869		(933,892	)
Douglas Emmett, Inc.		29,661		(937,584	)
Cousins Properties, Inc.		29,681		(1,106,804	)
Total REITs-Office Property				(4,768,322	)
REITs-Hotels - (1.0)%
Host Hotels & Resorts, Inc.*		45,398		(741,349	)
Sunstone Hotel Investors, Inc.*		75,515		(901,649	)
RLJ Lodging Trust		101,819		(1,513,030	)
Apple Hospitality REIT, Inc.		123,823		(1,947,736	)
Total REITs-Hotels				(5,103,764	)
REITs-Single Tenant - (1.2)%
Essential Properties Realty Trust, Inc.		55,578		(1,551,738	)
STORE Capital Corp.		57,627		(1,845,793	)
Realty Income Corp.2		36,282		(2,353,251	)
Total REITs-Single Tenant				(5,750,782	)
REITs-Apartments - (1.3)%
Independence Realty Trust, Inc.		64,297		(1,308,444	)
Camden Property Trust2		8,946		(1,319,267	)
Apartment Income REIT Corp.		33,821		(1,650,803	)
Mid-America Apartment Communities, Inc.		12,494		(2,333,254	)
Total REITs-Apartments				(6,611,768	)
Total REITs				(36,388,789	)
Total Common Stocks Sold Short
(Proceeds $36,570,143)				(36,388,789	)
EXCHANGE-TRADED FUNDS SOLD SHORT† - (0.6)%
Vanguard Real Estate ETF		27,536		(2,802,614	)
Total Exchange-Traded Funds Sold Short
(Proceeds $2,837,681)				(2,802,614	)
Total Securities Sold Short - (8.0)%
(Proceeds $39,407,824)			$	(39,191,403	)
Other Assets & Liabilities, net - 8.3%				41,159,858
Total Net Assets - 100.0%			$	495,223,672

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

Custom Basket Swap Agreements

Counterparty

Reference Obligation

Type

Financing Rate

Payment Frequency

Maturity Date

Notional Amount

Value and Unrealized Appreciation (Depreciation)

OTC Custom Basket Swap Agreements ††

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

0.48% (Federal Funds Rate + 0.40%)

At Maturity

06/12/24

$

55,800,920

$

4,105,094

Goldman Sachs International

GS Equity Custom Basket

Pay

0.53% (Federal Funds Rate + 0.45%)

At Maturity

05/06/24

55,800,929

4,085,232

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

0.48% (Federal Funds Rate + 0.40%)

At Maturity

10/22/25

16,279,031

1,737,292

Goldman Sachs International

GS Equity Custom Basket

Pay

0.53% (Federal Funds Rate + 0.45%)

At Maturity

05/06/24

16,290,323

1,735,081

$

144,171,203

$

11,662,699

OTC Custom Basket Swap Agreements Sold Short ††

Goldman Sachs International

GS Equity Custom Basket

Pay

(0.12)% (Federal Funds Rate - 0.20%)

At Maturity

05/06/24

$

55,322,720

$

(1,375,268

)

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

(0.22)% (Federal Funds Rate - 0.30%)

At Maturity

06/12/24

55,420,100

(1,384,679

)

$

110,742,820

$

(2,759,947

)

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation
MS EQUITY LONG CUSTOM BASKET
Financial
Prologis, Inc.		12,754		9.81	%	$	266,216
Equinix, Inc.		1,571		7.63	%		170,672
Public Storage		2,097		3.83	%		128,211
AvalonBay Communities, Inc.		2,838		3.86	%		112,015
Invitation Homes, Inc.		12,898		3.04	%		96,980
Simon Property Group, Inc.		4,667		3.73	%		93,320
Equity Residential		7,375		3.67	%		84,778
Extra Space Storage, Inc.		1,887		1.95	%		83,385
Welltower, Inc.		5,557		2.81	%		68,415
Alexandria Real Estate Equities, Inc.		2,503		2.94	%		66,318
Sun Communities, Inc.		1,820		2.07	%		64,563
Regency Centers Corp.		3,944		1.63	%		47,978
Mid-America Apartment Communities, Inc.		895		1.03	%		43,936
Equity LifeStyle Properties, Inc.		2,556		1.23	%		41,189
Essex Property Trust, Inc.		785		1.54	%		41,137
UDR, Inc.		3,300		1.07	%		39,486
Life Storage, Inc.		1,496		1.05	%		38,017
Iron Mountain, Inc.		3,709		0.99	%		32,662
CyrusOne, Inc.		4,047		1.92	%		32,009
Healthpeak Properties, Inc.		11,505		2.37	%		31,138
Duke Realty Corp.		3,948		1.16	%		28,848
National Storage Affiliates Trust		4,236		1.37	%		28,289
Digital Realty Trust, Inc.		2,382		2.11	%		25,246
MGM Growth Properties LLC — Class A		4,168		0.98	%		23,861
Gaming and Leisure Properties, Inc.		6,546		1.86	%		23,289
American Homes 4 Rent — Class A		4,094		0.96	%		22,981
Rexford Industrial Realty, Inc.		4,628		1.61	%		20,088
Innovative Industrial Properties, Inc.		323		0.46	%		17,291
Camden Property Trust		387		0.35	%		16,659
Brixmor Property Group, Inc.		11,690		1.59	%		15,728
Boston Properties, Inc.		2,235		1.49	%		14,230
Kimco Realty Corp.		8,843		1.13	%		13,539
Realty Income Corp.		3,429		1.37	%		12,420
VICI Properties, Inc.		7,442		1.30	%		9,950
Ventas, Inc.		7,921		2.69	%		9,736
Ryman Hospitality Properties, Inc.		1,746		0.90	%		7,315

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Terreno Realty Corp.		984		0.38	%	$	7,029
WP Carey, Inc.		1,542		0.69	%		6,518
American Campus Communities, Inc.		3,734		1.11	%		6,393
Highwoods Properties, Inc.		2,047		0.55	%		4,596
Pebblebrook Hotel Trust		1,881		0.26	%		2,966
Paramount Group, Inc.		3,963		0.22	%		1,349
Kilroy Realty Corp.		1,741		0.71	%		1,219
EPR Properties		633		0.19	%		853
National Retail Properties, Inc.		4,276		1.13	%		804
Kite Realty Group Trust		1,214		0.15	%		(188	)
Host Hotels & Resorts, Inc.		3,359		0.34	%		(830	)
Hudson Pacific Properties, Inc.		4,594		0.74	%		(3,931	)
Acadia Realty Trust		8,571		1.07	%		(4,189	)
Agree Realty Corp.		3,209		1.31	%		(4,345	)
JBG SMITH Properties		1,843		0.34	%		(5,790	)
SL Green Realty Corp.		2,058		0.90	%		(6,536	)
Four Corners Property Trust, Inc.		5,783		0.95	%		(6,977	)
DigitalBridge Group, Inc.		21,912		0.81	%		(9,004	)
Empire State Realty Trust, Inc. — Class A		9,056		0.56	%		(12,067	)
DiamondRock Hospitality Co.		16,177		0.94	%		(12,199	)
Medical Properties Trust, Inc.		12,759		1.57	%		(12,873	)
Xenia Hotels & Resorts, Inc.		12,177		1.33	%		(20,376	)
Americold Realty Trust		4,036		0.72	%		(27,523	)
CareTrust REIT, Inc.		9,331		1.16	%		(31,704	)
Total Financial							1,745,090
Consumer, Cyclical
Hilton Grand Vacations, Inc.		2,294		0.67	%		20,678
Lennar Corp. — Class A		591		0.34	%		(1,960	)
DR Horton, Inc.		674		0.35	%		(2,266	)
PulteGroup, Inc.		1,771		0.50	%		(12,082	)
Marriott Vacations Worldwide Corp.		523		0.51	%		(12,168	)
Total Consumer, Cyclical							(7,798	)
Total MS Equity Long Custom Basket						$	1,737,292
MS EQUITY LONG CUSTOM BASKET
Financial
Regency Centers Corp.		31,553		3.79	%	$	573,571
AvalonBay Communities, Inc.		12,026		4.77	%		542,613
Innovative Industrial Properties, Inc.		3,542		1.47	%		500,762
Sun Communities, Inc.		12,838		4.26	%		500,486
Jones Lang LaSalle, Inc.		5,690		2.53	%		494,579
Equity Residential		29,211		4.24	%		394,081
Ventas, Inc.		24,447		2.42	%		307,562
Gaming and Leisure Properties, Inc.		40,465		3.36	%		251,560
American Assets Trust, Inc.		35,937		2.41	%		238,345
Alexandria Real Estate Equities, Inc.		8,612		2.95	%		213,143
CyrusOne, Inc.		26,854		3.73	%		202,103
Healthpeak Properties, Inc.		37,163		2.23	%		157,714
MGM Growth Properties LLC — Class A		25,154		1.73	%		138,574
DiamondRock Hospitality Co.		161,228		2.73	%		138,241
Prologis, Inc.		6,847		1.54	%		130,091
VICI Properties, Inc.		47,359		2.41	%		122,505
Ryman Hospitality Properties, Inc.		17,936		2.69	%		116,545
Invitation Homes, Inc.		37,298		2.56	%		105,208
Brixmor Property Group, Inc.		90,050		3.57	%		94,033
Boston Properties, Inc.		6,191		1.20	%		71,306
American Campus Communities, Inc.		34,452		2.99	%		56,351
Highwoods Properties, Inc.		16,624		1.31	%		52,993
Hudson Pacific Properties, Inc.		51,150		2.41	%		44,011
National Storage Affiliates Trust		40,201		3.80	%		17,243
Agree Realty Corp.		27,473		3.26	%		(49,291	)
Rexford Industrial Realty, Inc.		23,382		2.38	%		(66,774	)
Four Corners Property Trust, Inc.		63,158		3.04	%		(77,678	)
Medical Properties Trust, Inc.		48,176		1.73	%		(79,550	)
Acadia Realty Trust		99,407		3.64	%		(93,794	)
Xenia Hotels & Resorts, Inc.		117,189		3.73	%		(146,831	)
Americold Realty Trust		24,814		1.29	%		(180,389	)
Empire State Realty Trust, Inc. — Class A		147,536		2.65	%		(247,818	)
CareTrust REIT, Inc.		79,056		2.88	%		(283,135	)
Total Financial							4,238,360
Consumer, Cyclical
Hilton Grand Vacations, Inc.		26,551		2.26	%		189,587
DR Horton, Inc.		7,931		1.19	%		(26,661	)
Lennar Corp. — Class A		6,948		1.17	%		(27,054	)
Marriott Vacations Worldwide Corp.		6,867		1.94	%		(104,485	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
PulteGroup, Inc.		21,125		1.74	%	$	(164,653	)
Total Consumer, Cyclical							(133,266	)
Total MS Equity Long Custom Basket						$	4,105,094
MS EQUITY SHORT CUSTOM BASKET
Financial
Omega Healthcare Investors, Inc.		73,821		(4.01	)%	$	471,911
LTC Properties, Inc.		39,470		(2.26	)%		381,771
Realty Income Corp.		51,553		(6.03	)%		185,726
National Health Investors, Inc.		10,437		(1.01	)%		169,240
Office Properties Income Trust		52,388		(2.39	)%		144,505
Broadstone Net Lease, Inc.		49,682		(2.22	)%		139,479
Urban Edge Properties		88,531		(2.92	)%		93,215
American Finance Trust, Inc.		84,093		(1.22	)%		83,308
Equity Commonwealth		26,055		(1.22	)%		67,578
Sunstone Hotel Investors, Inc.		107,306		(2.31	)%		62,653
Easterly Government Properties, Inc.		31,888		(1.19	)%		40,656
Douglas Emmett, Inc.		42,185		(2.41	)%		31,227
Healthcare Realty Trust, Inc.		45,000		(2.42	)%		27,981
RLJ Lodging Trust		144,678		(3.88	)%		8,438
Corporate Office Properties Trust		48,835		(2.38	)%		(1,603	)
STORE Capital Corp.		81,884		(4.73	)%		(15,578	)
Host Hotels & Resorts, Inc.		64,532		(1.90	)%		(25,271	)
Cousins Properties, Inc.		50,338		(3.39	)%		(47,517	)
Digital Realty Trust, Inc.		9,302		(2.42	)%		(48,043	)
Industrial Logistics Properties Trust		30,317		(1.39	)%		(71,182	)
Apartment Income REIT Corp.		48,054		(4.23	)%		(106,927	)
Camden Property Trust		12,711		(3.38	)%		(143,301	)
Federal Realty Investment Trust		14,577		(3.10	)%		(158,224	)
SITE Centers Corp.		113,368		(3.16	)%		(173,642	)
Apple Hospitality REIT, Inc.		175,903		(4.99	)%		(183,074	)
STAG Industrial, Inc.		39,099		(2.77	)%		(228,460	)
Washington Real Estate Investment Trust		64,199		(2.87	)%		(237,397	)
CubeSmart		30,279		(2.65	)%		(272,545	)
Essential Properties Realty Trust, Inc.		78,974		(3.98	)%		(273,718	)
Independence Realty Trust, Inc.		109,046		(4.00	)%		(504,347	)
Mid-America Apartment Communities, Inc.		17,752		(5.98	)%		(816,420	)
Total Financial							(1,399,561	)
Exchange-Traded Funds
Vanguard Real Estate ETF		39,163		(7.19	)%		14,882
Total MS Equity Short Custom Basket						$	(1,384,679	)
GS EQUITY LONG CUSTOM BASKET
Financial
Prologis, Inc.		12,754		9.84	%	$	265,849
Equinix, Inc.		1,571		7.62	%		169,659
Public Storage		2,097		3.82	%		128,060
AvalonBay Communities, Inc.		2,838		3.86	%		112,110
Invitation Homes, Inc.		12,898		3.03	%		96,909
Simon Property Group, Inc.		4,667		3.72	%		93,205
Equity Residential		7,375		3.66	%		84,777
Extra Space Storage, Inc.		1,887		1.95	%		83,347
Welltower, Inc.		5,557		2.81	%		68,255
Alexandria Real Estate Equities, Inc.		2,503		2.94	%		66,152
Sun Communities, Inc.		1,820		2.07	%		64,415
Regency Centers Corp.		3,944		1.63	%		47,966
Mid-America Apartment Communities, Inc.		895		1.03	%		43,981
Equity LifeStyle Properties, Inc.		2,556		1.23	%		41,233
Essex Property Trust, Inc.		785		1.54	%		41,114
UDR, Inc.		3,300		1.07	%		39,461
Life Storage, Inc.		1,496		1.05	%		38,035
Iron Mountain, Inc.		3,709		0.99	%		32,657
CyrusOne, Inc.		4,047		1.92	%		32,053
Healthpeak Properties, Inc.		11,505		2.36	%		31,119
Duke Realty Corp.		3,948		1.16	%		28,812
National Storage Affiliates Trust		4,449		1.44	%		28,482
Digital Realty Trust, Inc.		2,382		2.11	%		25,213
MGM Growth Properties LLC — Class A		4,168		0.98	%		23,810
Gaming and Leisure Properties, Inc.		6,546		1.86	%		23,163
American Homes 4 Rent — Class A		4,094		0.96	%		23,002
Rexford Industrial Realty, Inc.		4,628		1.61	%		20,108
Innovative Industrial Properties, Inc.		323		0.46	%		17,364
Camden Property Trust		387		0.35	%		16,639
Brixmor Property Group, Inc.		11,690		1.59	%		15,897
Boston Properties, Inc.		2,235		1.49	%		14,166
Kimco Realty Corp.		8,843		1.13	%		13,533
Realty Income Corp.		3,429		1.37	%		12,445
VICI Properties, Inc.		7,442		1.30	%		9,975
Ventas, Inc.		7,921		2.68	%		9,617

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Ryman Hospitality Properties, Inc.		1,746		0.90	%	$	7,314
Terreno Realty Corp.		984		0.38	%		7,038
WP Carey, Inc.		1,542		0.69	%		6,453
American Campus Communities, Inc.		3,734		1.11	%		6,436
Highwoods Properties, Inc.		2,047		0.55	%		4,557
Pebblebrook Hotel Trust		1,881		0.26	%		2,936
Paramount Group, Inc.		3,963		0.22	%		1,386
Kilroy Realty Corp.		1,741		0.71	%		1,193
EPR Properties		633		0.19	%		854
National Retail Properties, Inc.		4,276		1.13	%		558
Kite Realty Group Trust		1,214		0.15	%		(256	)
Host Hotels & Resorts, Inc.		3,359		0.34	%		(828	)
Hudson Pacific Properties, Inc.		4,594		0.74	%		(3,946	)
Agree Realty Corp.		3,209		1.30	%		(4,417	)
Acadia Realty Trust		8,571		1.07	%		(4,437	)
JBG SMITH Properties		1,843		0.33	%		(5,807	)
Four Corners Property Trust, Inc.		5,783		0.95	%		(6,049	)
SL Green Realty Corp.		2,058		0.89	%		(6,540	)
DigitalBridge Group, Inc.		21,912		0.81	%		(8,973	)
Empire State Realty Trust, Inc. — Class A		9,056		0.56	%		(12,020	)
DiamondRock Hospitality Co.		16,177		0.94	%		(12,150	)
Medical Properties Trust, Inc.		12,759		1.57	%		(13,301	)
Xenia Hotels & Resorts, Inc.		12,177		1.33	%		(20,185	)
Americold Realty Trust		4,036		0.72	%		(27,467	)
CareTrust REIT, Inc.		9,331		1.16	%		(31,733	)
Total Financial							1,743,199
Consumer, Cyclical
Hilton Grand Vacations, Inc.		2,295		0.67	%		20,656
Lennar Corp. — Class A		591		0.34	%		(1,962	)
DR Horton, Inc.		674		0.35	%		(2,374	)
PulteGroup, Inc.		1,771		0.50	%		(12,117	)
Marriott Vacations Worldwide Corp.		523		0.51	%		(12,321	)
Total Consumer, Cyclical							(8,118	)
Total GS Equity Long Custom Basket						$	1,735,081
GS EQUITY LONG CUSTOM BASKET
Financial
Regency Centers Corp.		31,553		3.79	%	$	572,919
AvalonBay Communities, Inc.		12,026		4.77	%		540,811
Innovative Industrial Properties, Inc.		3,542		1.47	%		504,828
Sun Communities, Inc.		12,838		4.26	%		502,016
Jones Lang LaSalle, Inc.		5,690		2.53	%		495,032
Equity Residential		29,211		4.24	%		390,633
Ventas, Inc.		24,447		2.42	%		307,172
Gaming and Leisure Properties, Inc.		40,465		3.36	%		252,085
American Assets Trust, Inc.		35,937		2.41	%		244,190
Alexandria Real Estate Equities, Inc.		8,612		2.95	%		203,387
CyrusOne, Inc.		26,854		3.73	%		201,861
Healthpeak Properties, Inc.		37,163		2.23	%		158,677
MGM Growth Properties LLC — Class A		25,154		1.73	%		138,505
DiamondRock Hospitality Co.		161,228		2.73	%		133,630
Prologis, Inc.		6,847		1.54	%		129,811
VICI Properties, Inc.		47,359		2.41	%		121,295
Ryman Hospitality Properties, Inc.		17,936		2.69	%		117,755
Invitation Homes, Inc.		37,298		2.56	%		106,729
Brixmor Property Group, Inc.		90,050		3.57	%		94,311
Boston Properties, Inc.		6,191		1.20	%		70,475
Highwoods Properties, Inc.		16,624		1.31	%		52,833
American Campus Communities, Inc.		34,452		2.99	%		52,440
Hudson Pacific Properties, Inc.		51,150		2.41	%		43,495
National Storage Affiliates Trust		40,201		3.80	%		20,005
Agree Realty Corp.		27,473		3.26	%		(56,261	)
Rexford Industrial Realty, Inc.		23,382		2.38	%		(68,386	)
Four Corners Property Trust, Inc.		63,158		3.04	%		(70,335	)
Medical Properties Trust, Inc.		48,176		1.73	%		(79,784	)
Acadia Realty Trust		99,407		3.64	%		(94,700	)
Xenia Hotels & Resorts, Inc.		117,189		3.73	%		(152,327	)
Americold Realty Trust		24,814		1.29	%		(181,392	)
Empire State Realty Trust, Inc. — Class A		147,536		2.65	%		(246,749	)
CareTrust REIT, Inc.		79,056		2.88	%		(283,969	)
Total Financial							4,220,992
Consumer, Cyclical
Hilton Grand Vacations, Inc.		26,551		2.26	%		189,332
Lennar Corp. — Class A		6,948		1.17	%		(26,380	)
DR Horton, Inc.		7,931		1.19	%		(27,929	)

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

	Shares		Percentage Notional Amount			Value and Unrealized Appreciation (Depreciation)
Marriott Vacations Worldwide Corp.		6,867		1.94	%	$	(106,812	)
PulteGroup, Inc.		21,125		1.74	%		(163,971	)
Total Consumer, Cyclical							(135,760	)
Total GS Equity Long Custom Basket						$	4,085,232
GS EQUITY SHORT CUSTOM BASKET
Financial
Omega Healthcare Investors, Inc.		73,821		(4.02	)%	$	478,101
LTC Properties, Inc.		39,470		(2.26	)%		382,906
Realty Income Corp.		51,553		(6.04	)%		179,003
National Health Investors, Inc.		10,437		(1.01	)%		170,190
Office Properties Income Trust		52,388		(2.40	)%		146,574
Broadstone Net Lease, Inc.		45,753		(2.05	)%		116,490
Urban Edge Properties		88,531		(2.93	)%		94,356
American Finance Trust, Inc.		84,093		(1.22	)%		84,963
Equity Commonwealth		26,055		(1.22	)%		68,006
Sunstone Hotel Investors, Inc.		107,306		(2.32	)%		62,588
Easterly Government Properties, Inc.		31,888		(1.19	)%		40,709
Douglas Emmett, Inc.		42,185		(2.41	)%		34,144
Healthcare Realty Trust, Inc.		45,000		(2.42	)%		27,963
RLJ Lodging Trust		144,684		(3.89	)%		15,464
Corporate Office Properties Trust		48,835		(2.38	)%		(1,645	)
STORE Capital Corp.		81,884		(4.74	)%		(13,466	)
Host Hotels & Resorts, Inc.		64,532		(1.90	)%		(24,329	)
Cousins Properties, Inc.		50,338		(3.39	)%		(47,549	)
Digital Realty Trust, Inc.		9,302		(2.43	)%		(47,855	)
Industrial Logistics Properties Trust		30,317		(1.39	)%		(71,217	)
Apartment Income REIT Corp.		48,054		(4.24	)%		(104,235	)
Camden Property Trust		12,711		(3.39	)%		(143,376	)
Federal Realty Investment Trust		14,577		(3.11	)%		(157,092	)
Apple Hospitality REIT, Inc.		175,903		(5.00	)%		(171,940	)
SITE Centers Corp.		113,368		(3.16	)%		(176,799	)
STAG Industrial, Inc.		39,099		(2.77	)%		(227,523	)
Washington Real Estate Investment Trust		64,199		(2.87	)%		(236,908	)
CubeSmart		30,279		(2.65	)%		(272,548	)
Essential Properties Realty Trust, Inc.		78,974		(3.99	)%		(272,891	)
Independence Realty Trust, Inc.		109,046		(4.01	)%		(504,495	)
Mid-America Apartment Communities, Inc.		17,752		(5.99	)%		(816,069	)
Total Financial							(1,388,480	)
Exchange-Traded Funds
Vanguard Real Estate ETF		39,163		(7.21	)%		13,212
Total GS Equity Short Custom Basket						$	(1,375,268	)

*	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 short security collateral at September 30, 2021.
2	All or a portion of this security is pledged as custom basket swap collateral at September 30, 2021.
3	Rate indicated is the 7-day yield as of September 30, 2021.
	GS — Goldman Sachs International
	MS — Morgan Stanley Capital Services LLC
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
RISK MANAGED REAL ESTATE FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	461,346,966	$	—	$	—	$	461,346,966
Money Market Fund		31,908,251		—		—		31,908,251
Equity Custom Basket Swap Agreements**		—		11,662,699		—		11,662,699
Total Assets	$	493,255,217	$	11,662,699	$	—	$	504,917,916

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks Sold Short	$	36,388,789	$	—	$	—	$	36,388,789
Exchange-Traded Funds Sold Short		2,802,614		—		—		2,802,614
Equity Custom Basket Swap Agreements**		—		2,759,947		—		2,759,947
Total Liabilities	$	39,191,403	$	2,759,947	$	—	$	41,951,350

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $420,959,391)	$	493,255,217
Cash		36,196,950
Unrealized appreciation on OTC swap agreements		11,662,699
Prepaid expenses		36,310
Receivables:
Securities sold		3,564,071
Fund shares sold		2,505,233
Dividends		1,123,344
Interest		293
Other assets		54,734
Total assets		548,398,851
Liabilities:
Securities sold short, at value (proceeds $39,407,824)		39,191,403
Segregated cash due to broker		4,538,030
Unrealized depreciation on OTC swap agreements		2,759,947
Payable for:
Securities purchased		5,505,416
Fund shares redeemed		362,126
Management fees		308,042
Swap settlement		224,362
Distributions to shareholders		174,785
Fund accounting/administration fees		30,925
Distribution and service fees		9,456
Transfer agent/maintenance fees		9,154
Trustees’ fees*		3,228
Due to Investment Adviser		354
Miscellaneous		57,951
Total liabilities		53,175,179
Net assets	$	495,223,672
Net assets consist of:
Paid in capital	$	402,640,846
Total distributable earnings (loss)		92,582,826
Net assets	$	495,223,672
A-Class:
Net assets	$	10,097,847
Capital shares outstanding		273,888
Net asset value per share	$	36.87
Maximum offering price per share (Net asset value divided by 95.25%)	$	38.71
C-Class:
Net assets	$	5,029,192
Capital shares outstanding		137,581
Net asset value per share	$	36.55
P-Class:
Net assets	$	14,830,106
Capital shares outstanding		400,394
Net asset value per share	$	37.04
Institutional Class:
Net assets	$	465,266,527
Capital shares outstanding		12,459,150
Net asset value per share	$	37.34

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

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

RISK MANAGED REAL ESTATE FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	9,551,225
Interest		4,803
Total investment income		9,556,028
Expenses:
Management fees		3,139,809
Distribution and service fees:
A-Class		25,757
C-Class		33,058
P-Class		34,209
Transfer agent/maintenance fees:
A-Class		8,989
C-Class		3,531
P-Class		16,562
Institutional Class		212,109
Short sale dividend expense		657,391
Fund accounting/administration fees		286,199
Professional fees		69,918
Custodian fees		30,741
Trustees’ fees*		24,678
Line of credit fees		17,682
Miscellaneous		146,514
Recoupment of previously waived fees:
A-Class		804
C-Class		1,986
P-Class		7,781
Institutional Class		11,819
Total expenses		4,729,537
Less:
Expenses reimbursed by Adviser:
A-Class		(1,733	)
C-Class		(472	)
P-Class		(3,493	)
Institutional Class		(13,100	)
Expenses waived by Adviser		(3,884	)
Earnings credits applied		(30	)
Total waived/reimbursed expenses		(22,712	)
Net expenses		4,706,825
Net investment income		4,849,203
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments	$	39,997,369
Investments sold short		(2,543,844	)
Swap agreements		(1,285,447	)
Net realized gain		36,168,078
Net change in unrealized appreciation (depreciation) on:
Investments		63,631,574
Investments sold short		394,548
Swap agreements		6,684,079
Net change in unrealized appreciation (depreciation)		70,710,201
Net realized and unrealized gain		106,878,279
Net increase in net assets resulting from operations	$	111,727,482

* 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 | 67

RISK MANAGED REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	4,849,203		$	3,220,961
Net realized gain on investments		36,168,078			12,964,702
Net change in unrealized appreciation (depreciation) on investments		70,710,201			(28,257,366	)
Net increase (decrease) in net assets resulting from operations		111,727,482			(12,071,703	)
Distributions to shareholders:
A-Class		(933,838	)		(957,148	)
C-Class		(188,880	)		(113,526	)
P-Class		(868,263	)		(877,436	)
Institutional Class		(24,055,000	)		(12,530,172	)
Total distributions to shareholders		(26,045,981	)		(14,478,282	)
Capital share transactions:
Proceeds from sale of shares
A-Class		6,697,124			5,640,634
C-Class		2,849,191			2,155,146
P-Class		8,994,214			11,549,513
Institutional Class		169,214,784			154,929,010
Distributions reinvested
A-Class		902,695			944,537
C-Class		176,660			104,891
P-Class		868,263			877,436
Institutional Class		19,938,359			10,433,798
Cost of shares redeemed
A-Class		(14,900,087	)		(5,310,772	)
C-Class		(1,002,677	)		(1,173,851	)
P-Class		(10,004,722	)		(31,799,723	)
Institutional Class		(95,198,371	)		(53,391,937	)
Net increase from capital share transactions		88,535,433			94,958,682
Net increase in net assets		174,216,934			68,408,697
Net assets:
Beginning of year		321,006,738			252,598,041
End of year	$	495,223,672		$	321,006,738
Capital share activity:
Shares sold
A-Class		196,140			181,753
C-Class		79,979			67,526
P-Class		264,152			354,802
Institutional Class		5,109,785			5,166,648
Shares issued from reinvestment of distributions
A-Class		29,406			29,970
C-Class		5,791			3,334
P-Class		27,797			27,630
Institutional Class		626,369			329,330
Shares redeemed
A-Class		(480,725	)		(171,692	)
C-Class		(30,402	)		(39,458	)
P-Class		(295,005	)		(967,278	)
Institutional Class		(2,852,113	)		(1,724,186	)
Net increase in shares		2,681,174			3,258,379

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.97		$	34.11		$	28.93		$	29.70		$	28.87
Income (loss) from investment operations:
Net investment income (loss)a		.32			.31			.34			.41			.03
Net gain (loss) on investments (realized and unrealized)		8.86			(2.53	)		5.65			.38			2.08
Total from investment operations		9.18			(2.22	)		5.99			.79			2.11
Less distributions from:
Net investment income		(.54	)		(.63	)		(.55	)		(.52	)		(.57	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)
Total distributions		(2.28	)		(1.92	)		(.81	)		(1.56	)		(1.28	)
Net asset value, end of period	$	36.87		$	29.97		$	34.11		$	28.93		$	29.70
Total Returnb		32.13	%		(6.73	%)		21.12	%		2.70	%		7.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,098		$	15,857		$	16,682		$	13,772		$	2,196
Ratios to average net assets:
Net investment income (loss)		0.95	%		0.99	%		1.09	%		1.42	%		0.09	%
Total expensesc		1.39	%		1.71	%		1.89	%		1.78	%		1.45	%
Net expensesd,e,f		1.38	%		1.70	%		1.88	%		1.76	%		1.33	%
Portfolio turnover rate		80	%		180	%		122	%		107	%		85	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.76		$	33.88		$	28.75		$	29.54		$	28.77
Income (loss) from investment operations:
Net investment income (loss)a		.05			.08			.11			.15			(.19	)
Net gain (loss) on investments (realized and unrealized)		8.76			(2.53	)		5.60			.42			2.06
Total from investment operations		8.81			(2.45	)		5.71			.57			1.87
Less distributions from:
Net investment income		(.28	)		(.38	)		(.32	)		(.32	)		(.39	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)
Total distributions		(2.02	)		(1.67	)		(.58	)		(1.36	)		(1.10	)
Net asset value, end of period	$	36.55		$	29.76		$	33.88		$	28.75		$	29.54
Total Returnb		31.05	%		(7.48	%)		20.23	%		1.93	%		6.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,029		$	2,446		$	1,721		$	867		$	725
Ratios to average net assets:
Net investment income (loss)		0.16	%		0.26	%		0.35	%		0.53	%		(0.66	%)
Total expensesc		2.21	%		2.54	%		2.73	%		2.71	%		2.27	%
Net expensesd,e,f		2.20	%		2.51	%		2.65	%		2.53	%		2.08	%
Portfolio turnover rate		80	%		180	%		122	%		107	%		85	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	30.12		$	34.30		$	29.09		$	29.85		$	29.01
Income (loss) from investment operations:
Net investment income (loss)a		.29			.22			.60			.37			.13
Net gain (loss) on investments (realized and unrealized)		8.91			(2.48	)		5.42			.43			1.98
Total from investment operations		9.20			(2.26	)		6.02			.80			2.11
Less distributions from:
Net investment income		(.54	)		(.63	)		(.55	)		(.52	)		(.56	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)
Total distributions		(2.28	)		(1.92	)		(.81	)		(1.56	)		(1.27	)
Net asset value, end of period	$	37.04		$	30.12		$	34.30		$	29.09		$	29.85
Total Return		32.03	%		(6.81	%)		21.12	%		2.68	%		7.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,830		$	12,152		$	33,894		$	4,217		$	2,564
Ratios to average net assets:
Net investment income (loss)		0.86	%		0.70	%		1.87	%		1.29	%		0.42	%
Total expensesc		1.47	%		1.84	%		1.93	%		1.88	%		1.51	%
Net expensesd,e,f		1.45	%		1.78	%		1.89	%		1.78	%		1.30	%
Portfolio turnover rate		80	%		180	%		122	%		107	%		85	%

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

RISK MANAGED REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	30.34		$	34.51		$	29.27		$	30.04		$	29.18
Income (loss) from investment operations:
Net investment income (loss)a		.41			.41			.43			.46			.11
Net gain (loss) on investments (realized and unrealized)		8.98			(2.58	)		5.71			.43			2.10
Total from investment operations		9.39			(2.17	)		6.14			.89			2.21
Less distributions from:
Net investment income		(.65	)		(.71	)		(.64	)		(.62	)		(.64	)
Net realized gains		(1.74	)		(1.29	)		(.26	)		(1.04	)		(.71	)
Total distributions		(2.39	)		(2.00	)		(.90	)		(1.66	)		(1.35	)
Net asset value, end of period	$	37.34		$	30.34		$	34.51		$	29.27		$	30.04
Total Return		32.52	%		(6.48	%)		21.46	%		2.98	%		7.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	465,267		$	290,551		$	200,301		$	154,245		$	123,037
Ratios to average net assets:
Net investment income (loss)		1.18	%		1.31	%		1.38	%		1.56	%		0.38	%
Total expensesc		1.10	%		1.43	%		1.61	%		1.51	%		1.02	%
Net expensesd,e,f		1.10	%		1.43	%		1.60	%		1.50	%		1.01	%
Portfolio turnover rate		80	%		180	%		122	%		107	%		85	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.01%	0.02%	0.03%	0.03%	0.02%
C-Class	0.06%	0.04%	0.01%	0.01%	0.00%*
P-Class	0.06%	0.02%	0.02%	0.01%	0.00%*
Institutional Class	0.00%*	0.01%	0.01%	0.02%	—

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.21%	1.23%	1.27%	1.29%	1.30%
C-Class	2.04%	2.05%	2.05%	2.05%	2.04%
P-Class	1.29%	1.30%	1.30%	1.30%	1.29%
Institutional Class	0.94%	0.96%	1.00%	1.03%	0.97%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim Small Cap Value 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 following paragraphs, the investment team discusses the market environment and performance of the Fund for the fiscal year ended September 30, 2021.

For the fiscal year ended September 30, 2021, Guggenheim Small Cap Value Fund returned 51.48%¹, compared with the 63.92% return of its benchmark, the Russell 2000^® Value Index.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.

Performance Review

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, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the larger but more value-focused companies in the benchmark, lagged its benchmark at times throughout the period. While small cap value stocks outperformed large cap value stocks for the period, the more volatile, lower-quality companies in the small cap space outperformed those of higher quality, which are those the Fund tends to own.

The largest headwind to the Fund was stock selection in the Technology and Industrials sectors, as earnings reports of companies indicated supply chain issues, cost input inflation, or impairments related to Hurricane Ida. In Technology, communication equipment names as well as the hand-set chip suppliers were weak, as component availability either impaired the ability to get sufficient product out the door or delayed customer orders. Stocks that fell from highs in the period included Infinera Corp., Qorvo, Inc., and Skyworks Solutions. Equities in the Industrials sector declined 10% more than those in the benchmark, led by Parsons Corp., which reported a 56% decline in operating income for the summer quarter due to reserves taken on federal solutions and critical infrastructure programs, and Enersys, which fell on raw material cost inflation and availability issues.

Selection in REITs was poor against the benchmark, offset by a beneficial underweighting to the sector. A lack of exposure to cyclical office retail REITs and an overweighting to healthcare REITs was entirely the cause, as opposed to any issues with individual companies. A large position in mediocre performer Physicians REIT was the main individual detractor.

Selection in Financials was also a negative influence in the period. An over-exposure to insurance and reinsurance names was detrimental as the market feared the impact of Hurricane Ida and other storms. Heritage Insurance and Alleghany Corp both fell on these concerns. A bright spot was Pinnacle Financial Partners, which had strong earnings growth during the year.

Also detracting from performance was the fact that the Fund did not own Gamestop and AMC, volatile meme stocks that soared earlier in 2021, based on the view that the companies’ earnings fundamentals did not justify their valuations.

A positive contribution from underweighting the Health Care sector was offset by poor selection, led by Emergent BiosSolutions, which fell as the company in a manufacturing contract for Johnson and Johnson’s vaccine had to dispose of millions of contaminated doses. The company’s facility has subsequently corrected the outstanding issues at the facility and is once again manufacturing. Not owning hospitals or life science tools companies also detracted from performance. Evolent Health was a large individual contributor in the sector, rising on speculation that the company could become a takeover target after involvement by activist investors.

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

The leading contributors to relative performance for the year were stock selection in Consumer Discretionary and Consumer Staples. In Consumer Discretionary, the Fund was helped by holdings in retailers selling apparel (Abercrombie & Fitch), autos and auto parts (Penske Automotive, LKQ Corp.), and sporting equipment (Dick’s Sporting Goods). Meritage Homes detracted from performance; investors became cautious on the sector as homebuilders faced higher raw materials costs and concerns over affordability. Consumer Staples names in the Fund also outgained those in the benchmark, led by Bunge, one of the Fund’s largest holdings.

Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.

Portfolio Positioning

While this strategy is balanced relative to the benchmark, it does possess defensive characteristics in virtue of emphasizing relatively larger companies found in the benchmark as well as an overweight in Utilities.

At the end of the period, the Fund’s largest sector overweights relative to the benchmark were Industrials and Information Technology, and Materials. The Fund’s largest sector underweights were in Health Care, Financials, and REITs.

Portfolio and Market Outlook

The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve (“Fed”) willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Fed willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

SMALL CAP VALUE FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	July 11, 2008
C-Class	July 11, 2008
P-Class	May 1, 2015
Institutional Class	July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Range Resources Corp.	3.6%
Pioneer Natural Resources Co.	2.8%
First Horizon Corp.	2.0%
Encompass Health Corp.	1.5%
Rexnord Corp.	1.5%
MDU Resources Group, Inc.	1.5%
Evolent Health, Inc. — Class A	1.5%
Physicians Realty Trust	1.5%
Huntsman Corp.	1.4%
Lexington Realty Trust	1.4%
Top Ten Total	18.7%
“Ten Largest Holdings” excludes any temporary cash investments.

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	51.48%	8.44%	10.92%
A-Class Shares with sales charge‡	44.27%	7.39%	10.39%
C-Class Shares	50.36%	7.62%	10.10%
C-Class Shares with CDSC§	49.36%	7.62%	10.10%
Institutional Class Shares	51.78%	8.70%	11.19%
Russell 2000 Value Index	63.92%	11.03%	13.22%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	51.46%	8.45%	6.92%
Russell 2000 Value Index	63.92%	11.03%	9.60%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class Shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
‡	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year average annual returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

SCHEDULE OF INVESTMENTS	September 30, 2021
SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 93.2%
Financial - 27.1%
First Horizon Corp.		8,381	$	136,526
Physicians Realty Trust REIT		5,665		99,817
Lexington Realty Trust REIT		7,280		92,820
CNO Financial Group, Inc.		3,653		85,992
Cathay General Bancorp		1,864		77,151
Investors Bancorp, Inc.		5,025		75,928
BOK Financial Corp.		817		73,162
Simmons First National Corp. — Class A		2,450		72,422
Hanmi Financial Corp.		3,541		71,032
Prosperity Bancshares, Inc.		992		70,561
Radian Group, Inc.		3,075		69,864
STAG Industrial, Inc. REIT		1,776		69,708
Stifel Financial Corp.		984		66,873
MGIC Investment Corp.		4,422		66,153
Hancock Whitney Corp.		1,205		56,780
Flagstar Bancorp, Inc.		1,097		55,706
Berkshire Hills Bancorp, Inc.		2,052		55,363
Axis Capital Holdings Ltd.		1,106		50,920
Independent Bank Group, Inc.		658		46,744
Apple Hospitality REIT, Inc.		2,954		46,467
GoHealth, Inc. — Class A*		9,092		45,733
Zions Bancorp North America		686		42,457
Sunstone Hotel Investors, Inc. REIT*		3,446		41,145
Piedmont Office Realty Trust, Inc. — Class A REIT		2,297		40,037
Heritage Insurance Holdings, Inc.		5,840		39,770
Kennedy-Wilson Holdings, Inc.		1,884		39,413
Old Republic International Corp.		1,688		39,044
Park Hotels & Resorts, Inc. REIT*		1,923		36,806
Heartland Financial USA, Inc.		764		36,733
Virtu Financial, Inc. — Class A		1,322		32,296
RMR Group, Inc. — Class A		797		26,660
Total Financial				1,860,083
Industrial - 22.4%
Rexnord Corp.		1,594		102,478
MDU Resources Group, Inc.		3,390		100,581
GATX Corp.		917		82,127
Knight-Swift Transportation Holdings, Inc.		1,594		81,533
EnerSys		1,054		78,460
Owens Corning		888		75,924
Sanmina Corp.*		1,906		73,457
Colfax Corp.*		1,552		71,237
Graphic Packaging Holding Co.		3,651		69,515
Kirby Corp.*		1,448		69,446
Plexus Corp.*		756		67,594
Littelfuse, Inc.		247		67,497
Valmont Industries, Inc.		281		66,069
Altra Industrial Motion Corp.		1,128		62,435
Energizer Holdings, Inc.		1,581		61,738
PGT Innovations, Inc.*		3,162		60,394
Southwest Gas Holdings, Inc.		856		57,249
Terex Corp.		1,183		49,804
Curtiss-Wright Corp.		394		49,715
Encore Wire Corp.		431		40,872
Kennametal, Inc.		1,077		36,866
Advanced Energy Industries, Inc.		384		33,696
II-VI, Inc.*		512		30,393
Park Aerospace Corp.		2,051		28,058
Howmet Aerospace, Inc.		627		19,562
Total Industrial				1,536,700
Consumer, Cyclical - 10.4%
Avient Corp.		1,668		77,312
Alaska Air Group, Inc.*		1,224		71,726
Abercrombie & Fitch Co. — Class A*		1,867		70,255
KAR Auction Services, Inc.*		4,188		68,641
MSC Industrial Direct Company, Inc. — Class A		834		66,879
Hawaiian Holdings, Inc.*		2,804		60,735
Meritage Homes Corp.*		592		57,424
Lakeland Industries, Inc.*		2,166		45,486
Methode Electronics, Inc.		975		40,999
Dana, Inc.		1,551		34,494
Dick’s Sporting Goods, Inc.		273		32,697
Penske Automotive Group, Inc.		320		32,192
Tenneco, Inc. — Class A*		1,556		22,204
Zumiez, Inc.*		513		20,397
Newell Brands, Inc.		631		13,970
Total Consumer, Cyclical				715,411
Energy - 8.6%
Range Resources Corp.*		10,778		243,906
Pioneer Natural Resources Co.		1,159		192,985
Patterson-UTI Energy, Inc.		10,182		91,638
CNX Resources Corp.*		5,066		63,933
Total Energy				592,462
Consumer, Non-cyclical - 6.8%
Encompass Health Corp.		1,366		102,505
Ingredion, Inc.		966		85,983
Central Garden & Pet Co. — Class A*		1,632		70,176
Integer Holdings Corp.*		637		56,910
US Foods Holding Corp.*		1,618		56,080
Emergent BioSolutions, Inc.*		699		34,999
Pacira BioSciences, Inc.*		596		33,376
Perdoceo Education Corp.*		2,215		23,390
Total Consumer, Non-cyclical				463,419
Communications - 5.3%
Infinera Corp.*		9,868		82,102
TEGNA, Inc.		3,891		76,731
Ciena Corp.*		1,008		51,761
Gray Television, Inc.		2,253		51,413
FireEye, Inc.*		2,627		46,761
Viavi Solutions, Inc.*		2,380		37,461
Entercom Communications Corp.*		5,002		18,407
Total Communications				364,636

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
SMALL CAP VALUE FUND

	Shares		Value
Technology - 5.3%
Evolent Health, Inc. — Class A*		3,227	$	100,037
DXC Technology Co.*		2,413		81,101
Science Applications International Corp.		908		77,689
Conduent, Inc.*		10,165		66,987
Parsons Corp.*		1,033		34,874
Total Technology				360,688
Basic Materials - 4.9%
Huntsman Corp.		3,164		93,623
Ashland Global Holdings, Inc.		645		57,482
Element Solutions, Inc.		2,441		52,921
Kraton Corp.*		1,088		49,656
Reliance Steel & Aluminum Co.		339		48,281
Commercial Metals Co.		992		30,216
Total Basic Materials				332,179
Utilities - 2.4%
Black Hills Corp.		1,213		76,128
Spire, Inc.		714		43,682
ALLETE, Inc.		710		42,259
Total Utilities				162,069
Total Common Stocks
(Cost $5,188,202)				6,387,647
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,1		6,250		2
Total Convertible Preferred Stocks
(Cost $5,968)				2
RIGHTS† - 0.2%
Basic Materials - 0.2%
Pan American Silver Corp.*		17,705		12,748
Total Rights
(Cost $—)				12,748
MONEY MARKET FUND† - 6.0%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		409,902		409,902
Total Money Market Fund
(Cost $409,902)				409,902
Total Investments - 99.4%
(Cost $5,604,072)			$	6,810,299
Other Assets & Liabilities, net - 0.6%				43,239
Total Net Assets - 100.0%			$	6,853,538

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	6,387,647	$	—	$	—	$	6,387,647
Convertible Preferred Stocks		—		—		2		2
Rights		12,748		—		—		12,748
Money Market Fund		409,902		—		—		409,902
Total Assets	$	6,810,297	$	—	$	2	$	6,810,299

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

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $5,604,072)	$	6,810,299
Prepaid expenses		36,358
Receivables:
Securities sold		91,530
Investment Adviser		13,327
Dividends		10,237
Fund shares sold		2,651
Interest		3
Total assets		6,964,405
Liabilities:
Payable for:
Securities purchased		57,838
Professional fees		28,034
Printing fees		8,980
Fund accounting/administration fees		5,776
Transfer agent/maintenance fees		2,876
Fund shares redeemed		2,191
Distribution and service fees		1,550
Trustees’ fees*		1,215
Due to Investment Adviser		13
Miscellaneous		2,394
Total liabilities		110,867
Net assets	$	6,853,538
Net assets consist of:
Paid in capital	$	5,768,662
Total distributable earnings (loss)		1,084,876
Net assets	$	6,853,538
A-Class:
Net assets	$	4,520,646
Capital shares outstanding		283,841
Net asset value per share	$	15.93
Maximum offering price per share (Net asset value divided by 95.25%)	$	16.72
C-Class:
Net assets	$	761,848
Capital shares outstanding		52,285
Net asset value per share	$	14.57
P-Class:
Net assets	$	49,323
Capital shares outstanding		3,073
Net asset value per share	$	16.05
Institutional Class:
Net assets	$	1,521,721
Capital shares outstanding		106,159
Net asset value per share	$	14.33

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	121,535
Interest		17
Total investment income		121,552
Expenses:
Management fees		51,148
Distribution and service fees:
A-Class		11,392
C-Class		8,294
P-Class		104
Transfer agent/maintenance fees:
A-Class		19,716
C-Class		4,841
P-Class		322
Institutional Class		5,819
Registration fees		77,702
Professional fees		38,196
Fund accounting/administration fees		34,104
Trustees’ fees*		17,405
Custodian fees		5,455
Line of credit fees		267
Miscellaneous		7,247
Total expenses		282,012
Less:
Expenses reimbursed by Adviser:
A-Class		(91,927	)
C-Class		(18,566	)
P-Class		(971	)
Institutional Class		(27,801	)
Expenses waived by Adviser		(51,127	)
Total waived/reimbursed expenses		(190,392	)
Net expenses		91,620
Net investment income		29,932
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		781,131
Net realized gain		781,131
Net change in unrealized appreciation (depreciation) on:
Investments		1,804,257
Net change in unrealized appreciation (depreciation)		1,804,257
Net realized and unrealized gain		2,585,388
Net increase in net assets resulting from operations	$	2,615,320

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

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

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	29,932		$	47,572
Net realized gain (loss) on investments		781,131			(714,273	)
Net change in unrealized appreciation (depreciation) on investments		1,804,257			(649,963	)
Net increase (decrease) in net assets resulting from operations		2,615,320			(1,316,664	)
Distributions to shareholders:
A-Class		(36,090	)		(326,187	)
C-Class		—			(40,256	)
P-Class		(472	)		(1,606	)
Institutional Class		(13,445	)		(136,363	)
Total distributions to shareholders		(50,007	)		(504,412	)
Capital share transactions:
Proceeds from sale of shares
A-Class		552,766			860,701
C-Class		132,046			239,864
P-Class		11,399			58,142
Institutional Class		716,219			1,275,902
Distributions reinvested
A-Class		35,259			322,155
C-Class		—			39,690
P-Class		472			1,606
Institutional Class		13,445			136,363
Cost of shares redeemed
A-Class		(1,108,297	)		(6,879,457	)
C-Class		(507,467	)		(853,611	)
P-Class		(1,829	)		(88,984	)
Institutional Class		(629,091	)		(2,752,189	)
Net decrease from capital share transactions		(785,078	)		(7,639,818	)
Net increase (decrease) in net assets		1,780,235			(9,460,894	)
Net assets:
Beginning of year		5,073,303			14,534,197
End of year	$	6,853,538		$	5,073,303
Capital share activity:
Shares sold
A-Class		36,752			78,870
C-Class		10,139			22,403
P-Class		720			6,309
Institutional Class		55,173			127,977
Shares issued from reinvestment of distributions
A-Class		2,669			23,970
C-Class		—			3,214
P-Class		35			118
Institutional Class		1,133			11,307
Shares redeemed
A-Class		(75,105	)		(541,851	)
C-Class		(36,767	)		(82,317	)
P-Class		(115	)		(7,591	)
Institutional Class		(43,634	)		(316,698	)
Net decrease in shares		(49,000	)		(674,289	)

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	10.61		$	12.86		$	15.56		$	15.74		$	13.61
Income (loss) from investment operations:
Net investment income (loss)a		.07			.06			.10			.04			.02
Net gain (loss) on investments (realized and unrealized)		5.37			(1.87	)		(1.28	)		.91			2.20
Total from investment operations		5.44			(1.81	)		(1.18	)		.95			2.22
Less distributions from:
Net investment income		(.12	)		(.18	)		(.19	)		(.15	)		(.09	)
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—
Total distributions		(.12	)		(.44	)		(1.52	)		(1.13	)		(.09	)
Net asset value, end of period	$	15.93		$	10.61		$	12.86		$	15.56		$	15.74
Total Returnb		51.48	%		(14.79	%)		(6.14	%)		6.32	%		16.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,521		$	3,390		$	9,751		$	11,931		$	11,943
Ratios to average net assets:
Net investment income (loss)		0.47	%		0.54	%		0.75	%		0.29	%		0.15	%
Total expensesc		4.07	%		3.23	%		2.27	%		2.09	%		1.87	%
Net expensesd,e,f		1.30	%		1.30	%		1.30	%		1.30	%		1.32	%
Portfolio turnover rate		28	%		40	%		78	%		18	%		48	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	9.69		$	11.75		$	14.30		$	14.51		$	12.57
Income (loss) from investment operations:
Net investment income (loss)a		(.03	)		(.02	)		—	g		(.07	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		4.91			(1.73	)		(1.18	)		.84			2.02
Total from investment operations		4.88			(1.75	)		(1.18	)		.77			1.94
Less distributions from:
Net investment income		—			(.05	)		(.04	)		—			—
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—
Total distributions		—			(.31	)		(1.37	)		(.98	)		—
Net asset value, end of period	$	14.57		$	9.69		$	11.75		$	14.30		$	14.51
Total Returnb		50.36	%		(15.43	%)		(6.89	%)		5.57	%		15.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	762		$	765		$	1,593		$	2,884		$	4,281
Ratios to average net assets:
Net investment income (loss)		(0.25	%)		(0.14	%)		0.01	%		(0.50	%)		(0.60	%)
Total expensesc		5.04	%		4.33	%		3.09	%		2.94	%		2.71	%
Net expensesd,e,f		2.05	%		2.06	%		2.05	%		2.05	%		2.07	%
Portfolio turnover rate		28	%		40	%		78	%		18	%		48	%

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	10.75		$	13.01		$	15.73		$	15.76		$	13.60
Income (loss) from investment operations:
Net investment income (loss)a		.07			.05			.09			.05			.01
Net gain (loss) on investments (realized and unrealized)		5.42			(1.86	)		(1.29	)		.90			2.22
Total from investment operations		5.49			(1.81	)		(1.20	)		.95			2.23
Less distributions from:
Net investment income		(.19	)		(.19	)		(.19	)		—			(.07	)
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—
Total distributions		(.19	)		(.45	)		(1.52	)		(.98	)		(.07	)
Net asset value, end of period	$	16.05		$	10.75		$	13.01		$	15.73		$	15.76
Total Return		51.46	%		(14.66	%)		(6.18	%)		6.30	%		16.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	49		$	26		$	47		$	15		$	14
Ratios to average net assets:
Net investment income (loss)		0.48	%		0.46	%		0.72	%		0.30	%		0.09	%
Total expensesc		4.39	%		4.07	%		2.73	%		2.79	%		3.60	%
Net expensesd,e,f		1.30	%		1.30	%		1.28	%		1.30	%		1.32	%
Portfolio turnover rate		28	%		40	%		78	%		18	%		48	%

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

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	9.54		$	11.60		$	14.24		$	14.50		$	12.54
Income (loss) from investment operations:
Net investment income (loss)a		.10			.09			.12			.07			.04
Net gain (loss) on investments (realized and unrealized)		4.81			(1.68	)		(1.20	)		.84			2.04
Total from investment operations		4.91			(1.59	)		(1.08	)		.91			2.08
Less distributions from:
Net investment income		(.12	)		(.21	)		(.23	)		(.19	)		(.12	)
Net realized gains		—			(.26	)		(1.33	)		(.98	)		—
Total distributions		(.12	)		(.47	)		(1.56	)		(1.17	)		(.12	)
Net asset value, end of period	$	14.33		$	9.54		$	11.60		$	14.24		$	14.50
Total Return		51.78	%		(14.54	%)		(5.96	%)		6.64	%		16.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,522		$	892		$	3,143		$	3,798		$	4,790
Ratios to average net assets:
Net investment income (loss)		0.75	%		0.82	%		0.99	%		0.50	%		0.30	%
Total expensesc		3.80	%		2.86	%		2.09	%		1.91	%		1.56	%
Net expenses,d,e,f		1.05	%		1.05	%		1.05	%		1.05	%		1.07	%
Portfolio turnover rate		28	%		40	%		78	%		18	%		48	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	—	—	0.00%*
C-Class	—	—	—	—	0.01%
P-Class	—	—	—	—	0.74%
Institutional Class	—	—	—	—	0.00%*

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17	09/30/16
A-Class	1.30%	1.30%	1.30%	1.30%	1.30%	1.30%
C-Class	2.05%	2.05%	2.05%	2.05%	2.05%	2.05%
P-Class	1.30%	1.30%	1.28%	1.30%	1.30%	1.30%
Institutional Class	1.05%	1.05%	1.05%	1.05%	1.05%	1.05%

^g Net investment income is less than $0.01 per share.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim StylePlus^TM—Large Core 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 following paragraphs, the investment team discusses performance of the Fund for the fiscal year ended September 30, 2020.

For the fiscal year ended September 30, 2021 Guggenheim StylePlus—Large Core Fund returned 29.91%¹, compared with the 30.00% return of its benchmark, the S&P 500 Index.

Investment Approach

Through a combination of actively managed individual equity, passive equity, and actively managed fixed income, the Fund seeks to exceed the total return of the S&P 500 Index. The actively managed equity and fixed income components seek to provide multiple sources of outperformance and take advantage of Guggenheim’s competencies in both fixed income and systematic stock selection.

The active and passive decisions seek to add value by tactically allocating to actively managed equity through quantitative selection models when stock picking opportunities are high. During periods when Guggenheim views these opportunities to be less attractive, the Fund seeks to increase its passive exposure to equities and the allocation to fixed-income securities. The prospective return during such periods is the equity index plus an “alpha” component coming from the yield of the fixed-income overlay.

Performance Review

Over the 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 fiscal year ended September 30, 2021 by 0.09% net of fees. The fixed income sleeve contributed to total return, as positions in the Guggenheim Ultra Short Duration Fund and the Guggenheim Strategy Funds, net of the investment income earned by these positions, were positive for the period. The actively managed equity sleeve contributed to performance on a relative basis. The passive equity position, maintained through swap agreements and futures contracts, also contributed to performance for the period.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 83

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

STYLEPLUS—LARGE CORE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	September 10, 1962
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Ultra Short Duration Fund — Institutional Class	29.5%
Guggenheim Strategy Fund II	27.9%
Guggenheim Strategy Fund III	27.2%
Apple, Inc.	1.0%
Microsoft Corp.	0.9%
Alphabet, Inc. — Class C	0.6%
Amazon.com, Inc.	0.5%
Facebook, Inc. — Class A	0.3%
Cisco Systems, Inc.	0.3%
Merck & Company, Inc.	0.2%
Top Ten Total	88.4%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	29.91%	15.79%	15.53%
A-Class Shares with sales charge‡	23.72%	14.67%	14.96%
C-Class Shares	28.69%	14.75%	14.47%
C-Class Shares with CDSC§	27.69%	14.75%	14.47%
S&P 500 Index	30.00%	16.90%	16.63%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	29.79%	15.62%	12.99%
S&P 500 Index	30.00%	16.90%	13.98%

	1 Year	5 Year	Since Inception (03/01/12)
Institutional Class Shares	30.12%	16.08%	13.92%
S&P 500 Index	30.00%	16.90%	14.94%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 85

SCHEDULE OF INVESTMENTS	September 30, 2021
STYLEPLUS—LARGE CORE FUND

	Shares		Value
COMMON STOCKS† - 16.2%
Technology - 4.6%
Apple, Inc.		17,247	$	2,440,451
Microsoft Corp.		8,196		2,310,616
Oracle Corp.		6,973		607,557
Broadcom, Inc.		1,182		573,187
Texas Instruments, Inc.		2,906		558,562
QUALCOMM, Inc.		4,329		558,354
Intel Corp.		10,340		550,915
Applied Materials, Inc.		3,738		481,193
International Business Machines Corp.		3,040		422,347
NetApp, Inc.		4,167		374,030
HP, Inc.		13,224		361,809
Lam Research Corp.		597		339,783
Qorvo, Inc.*		2,018		337,389
Teradyne, Inc.		2,772		302,619
NVIDIA Corp.		1,292		267,651
KLA Corp.		697		233,154
Cerner Corp.		3,275		230,953
Cognizant Technology Solutions Corp. — Class A		2,483		184,263
Hewlett Packard Enterprise Co.		12,647		180,220
Seagate Technology Holdings plc		2,100		173,292
Advanced Micro Devices, Inc.*		1,401		144,163
Adobe, Inc.*		198		113,993
Total Technology				11,746,501
Consumer, Non-cyclical - 3.1%
Merck & Company, Inc.		8,558		642,791
Amgen, Inc.		2,593		551,402
Bristol-Myers Squibb Co.		9,186		543,536
Gilead Sciences, Inc.		7,496		523,596
AbbVie, Inc.		4,771		514,648
Quest Diagnostics, Inc.		2,980		433,024
Laboratory Corporation of America Holdings*		1,534		431,729
PerkinElmer, Inc.		2,452		424,907
Hologic, Inc.*		5,756		424,850
Pfizer, Inc.		9,044		388,982
Incyte Corp.*		5,076		349,127
Bio-Rad Laboratories, Inc. — Class A*		436		325,234
Philip Morris International, Inc.		3,431		325,224
DaVita, Inc.*		2,702		314,135
Vertex Pharmaceuticals, Inc.*		1,394		252,858
Molson Coors Beverage Co. — Class B		4,661		216,177
McKesson Corp.		1,061		211,542
Regeneron Pharmaceuticals, Inc.*		323		195,473
United Rentals, Inc.*		547		191,959
Johnson & Johnson		1,153		186,210
Moderna, Inc.*		347		133,546
UnitedHealth Group, Inc.		310		121,129
PayPal Holdings, Inc.*		461		119,957
Total Consumer, Non-cyclical				7,822,036
Communications - 2.6%
Alphabet, Inc. — Class C*		570		1,519,227
Amazon.com, Inc.*		391		1,284,451
Facebook, Inc. — Class A*		1,975		670,295
Cisco Systems, Inc.		12,162		661,978
Motorola Solutions, Inc.		1,976		459,064
Arista Networks, Inc.*		1,246		428,175
VeriSign, Inc.*		1,903		390,134
F5 Networks, Inc.*		1,959		389,410
Juniper Networks, Inc.		12,329		339,294
AT&T, Inc.		8,093		218,592
Walt Disney Co.*		716		121,126
Total Communications				6,481,746
Financial - 2.3%
Goldman Sachs Group, Inc.		1,448		547,388
Capital One Financial Corp.		3,265		528,832
MetLife, Inc.		7,968		491,865
Allstate Corp.		3,620		460,862
Travelers Companies, Inc.		3,031		460,742
Raymond James Financial, Inc.		4,910		453,049
Aflac, Inc.		8,569		446,702
Discover Financial Services		3,536		434,397
Everest Re Group Ltd.		1,571		393,975
Synchrony Financial		7,893		385,810
Western Union Co.		18,821		380,561
Berkshire Hathaway, Inc. — Class B*		1,159		316,337
Progressive Corp.		3,189		288,254
JPMorgan Chase & Co.		1,367		223,764
Visa, Inc. — Class A		587		130,754
Total Financial				5,943,292
Consumer, Cyclical - 2.2%
AutoZone, Inc.*		313		531,471
O’Reilly Automotive, Inc.*		840		513,290
Home Depot, Inc.		1,504		493,703
Yum! Brands, Inc.		3,686		450,835
Domino’s Pizza, Inc.		892		425,448
Target Corp.		1,777		406,524
Starbucks Corp.		3,671		404,948
Whirlpool Corp.		1,622		330,661
PulteGroup, Inc.		6,523		299,536
McDonald’s Corp.		1,104		266,186
BorgWarner, Inc.		5,837		252,217
Tapestry, Inc.		6,629		245,406
Tesla, Inc.*		305		236,521
Newell Brands, Inc.		9,264		205,105
NVR, Inc.*		41		196,557
General Motors Co.*		3,710		195,554
Hasbro, Inc.		1,959		174,782
Total Consumer, Cyclical				5,628,744
Industrial - 1.3%
3M Co.		2,911		510,648
Keysight Technologies, Inc.*		2,644		434,383
Snap-on, Inc.		1,984		414,557
Waters Corp.*		1,111		396,960

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
STYLEPLUS—LARGE CORE FUND

	Shares		Value
Huntington Ingalls Industries, Inc.		1,971	$	380,521
Sealed Air Corp.		6,575		360,244
Mettler-Toledo International, Inc.*		236		325,057
Masco Corp.		5,685		315,802
Garmin Ltd.		882		137,116
Total Industrial				3,275,288
Energy - 0.1%
ONEOK, Inc.		4,696		272,321
Total Common Stocks
(Cost $37,374,582)				41,169,928
MUTUAL FUNDS† - 84.6%
Guggenheim Ultra Short Duration Fund — Institutional Class1		7,534,152		75,115,499
Guggenheim Strategy Fund II1		2,849,071		71,198,274
Guggenheim Strategy Fund III1		2,751,773		69,179,563
Total Mutual Funds
(Cost $214,217,021)				215,493,336
MONEY MARKET FUND† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		494,664		494,664
Total Money Market Fund
(Cost $494,664)				494,664
Total Investments - 101.0%
(Cost $252,086,267)			$	257,157,928
Other Assets & Liabilities, net - (1.0)%				(2,439,179	)
Total Net Assets - 100.0%			$	254,718,749

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		28		Dec 2021	$	6,015,800	$	(195,891	)

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

0.33% (1 Month USD LIBOR + 0.24%)

At Maturity

12/02/21

23,082

$

207,606,202

$

52,152,694

*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
STYLEPLUS—LARGE CORE FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	41,169,928	$	—	$	—	$	41,169,928
Mutual Funds		215,493,336		—		—		215,493,336
Money Market Fund		494,664		—		—		494,664
Equity Index Swap Agreements**		—		52,152,694		—		52,152,694
Total Assets	$	257,157,928	$	52,152,694	$	—	$	309,310,622

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts**	$	195,891	$	—	$	—	$	195,891

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

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	70,019,609	$	1,122,134	$	—		$	—	$	56,531		$	71,198,274		2,849,071	$	1,122,130
Guggenheim Strategy Fund III		56,791,001		12,238,833		—			—		149,729			69,179,563		2,751,773		987,830
Guggenheim Ultra Short Duration Fund — Institutional Class		42,225,877		38,084,099		(5,136,984	)		123,677		(181,170	)		75,115,499		7,534,152		568,124
	$	169,036,487	$	51,445,066	$	(5,136,984	)	$	123,677	$	25,090		$	215,493,336			$	2,678,084

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $37,869,246)	$	41,664,592
Investments in affiliated issuers, at value (cost $214,217,021)		215,493,336
Segregated cash with broker		460,000
Unrealized appreciation on OTC swap agreements		52,152,694
Prepaid expenses		33,280
Receivables:
Dividends		233,336
Fund shares sold		100
Interest		67
Total assets		310,037,405
Liabilities:
Overdraft due to custodian bank		267
Segregated cash due to broker		54,150,000
Payable for:
Swap settlement		563,858
Securities purchased		204,761
Management fees		148,524
Variation margin on futures contracts		73,850
Distribution and service fees		53,773
Fund shares redeemed		19,435
Fund accounting/administration fees		17,839
Transfer agent/maintenance fees		1,069
Trustees’ fees*		178
Miscellaneous		85,102
Total liabilities		55,318,656
Net assets	$	254,718,749
Net assets consist of:
Paid in capital	$	186,559,917
Total distributable earnings (loss)		68,158,832
Net assets	$	254,718,749
A-Class:
Net assets	$	247,242,804
Capital shares outstanding		9,038,942
Net asset value per share	$	27.35
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.71
C-Class:
Net assets	$	869,301
Capital shares outstanding		48,203
Net asset value per share	$	18.03
P-Class:
Net assets	$	347,109
Capital shares outstanding		12,891
Net asset value per share	$	26.93
Institutional Class:
Net assets	$	6,259,535
Capital shares outstanding		230,956
Net asset value per share	$	27.10

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	686,827
Dividends from securities of affiliated issuers		2,678,084
Interest		1,092
Total investment income		3,366,003
Expenses:
Management fees		1,811,028
Distribution and service fees:
A-Class		588,363
C-Class		9,871
P-Class		780
Transfer agent/maintenance fees:
A-Class		137,988
C-Class		2,249
P-Class		607
Institutional Class		6,692
Fund accounting/administration fees		169,009
Interest expense		49,093
Professional fees		46,348
Custodian fees		21,023
Trustees’ fees*		19,453
Line of credit fees		10,746
Miscellaneous		91,896
Total expenses		2,965,146
Less:
Expenses waived by Adviser		(148,985	)
Earnings credits applied		(74	)
Total waived expenses		(149,059	)
Net expenses		2,816,087
Net investment income		549,916
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	8,345,548
Investments in affiliated issuers		123,677
Swap agreements		20,184,153
Futures contracts		917,512
Net realized gain		29,570,890
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		791,510
Investments in affiliated issuers		25,090
Swap agreements		29,966,375
Futures contracts		(127,889	)
Net change in unrealized appreciation (depreciation)		30,655,086
Net realized and unrealized gain		60,225,976
Net increase in net assets resulting from operations	$	60,775,892

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

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

STYLEPLUS—LARGE CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	549,916		$	1,573,000
Net realized gain (loss) on investments		29,570,890			(381,266	)
Net change in unrealized appreciation (depreciation) on investments		30,655,086			25,364,647
Net increase in net assets resulting from operations		60,775,892			26,556,381
Distributions to shareholders:
A-Class		(18,893,195	)		(3,244,843	)
C-Class		(129,625	)		(12,363	)
P-Class		(24,513	)		(3,753	)
Institutional Class		(345,692	)		(66,049	)
Total distributions to shareholders		(19,393,025	)		(3,327,008	)
Capital share transactions:
Proceeds from sale of shares
A-Class		10,210,123			4,196,689
C-Class		100,074			227,320
P-Class		50,547			18,348
Institutional Class		3,362,734			1,427,785
Distributions reinvested
A-Class		17,748,487			3,042,509
C-Class		129,475			11,771
P-Class		24,513			3,753
Institutional Class		310,274			59,852
Cost of shares redeemed
A-Class		(25,572,115	)		(22,034,120	)
C-Class		(512,538	)		(301,053	)
P-Class		(2,969	)		(53,627	)
Institutional Class		(1,527,547	)		(2,331,110	)
Net increase (decrease) from capital share transactions		4,321,058			(15,731,883	)
Net increase in net assets		45,703,925			7,497,490
Net assets:
Beginning of year		209,014,824			201,517,334
End of year	$	254,718,749		$	209,014,824
Capital share activity:
Shares sold
A-Class		398,868			195,983
C-Class		5,947			15,762
P-Class		2,066			844
Institutional Class		130,256			72,157
Shares issued from reinvestment of distributions
A-Class		757,188			139,629
C-Class		8,316			777
P-Class		1,061			174
Institutional Class		13,374			2,773
Shares redeemed
A-Class		(1,001,912	)		(1,050,623	)
C-Class		(30,271	)		(20,724	)
P-Class		(119	)		(2,792	)
Institutional Class		(59,156	)		(112,891	)
Net increase (decrease) in shares		225,618			(758,931	)

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	23.01		$	20.48		$	24.78		$	25.23		$	21.86
Income (loss) from investment operations:
Net investment income (loss)a		.06			.17			.30			.30			.24
Net gain (loss) on investments (realized and unrealized)		6.46			2.70			(.72	)		3.52			3.72
Total from investment operations		6.52			2.87			(.42	)		3.82			3.96
Less distributions from:
Net investment income		(.19	)		(.31	)		(.30	)		(.24	)		(.16	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)
Total distributions		(2.18	)		(.34	)		(3.88	)		(4.27	)		(.59	)
Net asset value, end of period	$	27.35		$	23.01		$	20.48		$	24.78		$	25.23
Total Returnb		29.91	%		14.18	%		1.50	%		16.60	%		18.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	247,243		$	204,428		$	196,563		$	217,697		$	206,033
Ratios to average net assets:
Net investment income (loss)		0.23	%		0.79	%		1.48	%		1.27	%		1.03	%
Total expensesc		1.23	%		1.32	%		1.31	%		1.34	%		1.38	%
Net expensesd		1.17	%		1.28	%		1.28	%		1.31	%		1.34	%
Portfolio turnover rate		25	%		69	%		51	%		46	%		30	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	15.87		$	14.22		$	18.41		$	19.74		$	17.22
Income (loss) from investment operations:
Net investment income (loss)a		(.11	)		(.02	)		.08			.06			.03
Net gain (loss) on investments (realized and unrealized)		4.34			1.87			(.69	)		2.69			2.92
Total from investment operations		4.23			1.85			(.61	)		2.75			2.95
Less distributions from:
Net investment income		(.08	)		(.17	)		—			(.05	)		—
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)
Total distributions		(2.07	)		(.20	)		(3.58	)		(4.08	)		(.43	)
Net asset value, end of period	$	18.03		$	15.87		$	14.22		$	18.41		$	19.74
Total Returnb		28.69	%		13.11	%		0.60	%		15.56	%		17.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	869		$	1,019		$	973		$	1,239		$	2,376
Ratios to average net assets:
Net investment income (loss)		(0.67	%)		(0.15	%)		0.58	%		0.33	%		0.19	%
Total expensesc		2.15	%		2.24	%		2.23	%		2.24	%		2.23	%
Net expensesd		2.09	%		2.20	%		2.19	%		2.21	%		2.20	%
Portfolio turnover rate		25	%		69	%		51	%		46	%		30	%

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	22.69		$	20.21		$	24.49		$	25.03		$	21.75
Income (loss) from investment operations:
Net investment income (loss)a		.02			.14			.29			.26			.22
Net gain (loss) on investments (realized and unrealized)		6.38			2.67			(.73	)		3.45			3.68
Total from investment operations		6.40			2.81			(.44	)		3.71			3.90
Less distributions from:
Net investment income		(.17	)		(.30	)		(.26	)		(.22	)		(.19	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)
Total distributions		(2.16	)		(.33	)		(3.84	)		(4.25	)		(.62	)
Net asset value, end of period	$	26.93		$	22.69		$	20.21		$	24.49		$	25.03
Total Return		29.79	%		13.98	%		1.47	%		16.23	%		18.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	347		$	224		$	236		$	319		$	508
Ratios to average net assets:
Net investment income (loss)		0.09	%		0.67	%		1.45	%		1.06	%		0.93	%
Total expensesc		1.36	%		1.46	%		1.36	%		1.56	%		1.47	%
Net expensesd		1.30	%		1.42	%		1.33	%		1.53	%		1.44	%
Portfolio turnover rate		25	%		69	%		51	%		46	%		30	%

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

STYLEPLUS—LARGE CORE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	22.83		$	20.31		$	24.65		$	25.13		$	21.78
Income (loss) from investment operations:
Net investment income (loss)a		.10			.21			.35			.37			.32
Net gain (loss) on investments (realized and unrealized)		6.40			2.70			(.75	)		3.51			3.69
Total from investment operations		6.50			2.91			(.40	)		3.88			4.01
Less distributions from:
Net investment income		(.24	)		(.36	)		(.36	)		(.33	)		(.23	)
Net realized gains		(1.99	)		(.03	)		(3.58	)		(4.03	)		(.43	)
Total distributions		(2.23	)		(.39	)		(3.94	)		(4.36	)		(.66	)
Net asset value, end of period	$	27.10		$	22.83		$	20.31		$	24.65		$	25.13
Total Return		30.12	%		14.44	%		1.74	%		16.96	%		18.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,260		$	3,344		$	3,747		$	6,826		$	5,631
Ratios to average net assets:
Net investment income (loss)		0.38	%		1.01	%		1.73	%		1.57	%		1.35	%
Total expensesc		1.06	%		1.08	%		1.09	%		1.06	%		1.05	%
Net expensesd		0.99	%		1.04	%		1.06	%		1.03	%		1.01	%
Portfolio turnover rate		25	%		69	%		51	%		46	%		30	%

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

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim StylePlus^TM—Mid Growth 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 following paragraphs, the investment team discusses performance of the Fund for the fiscal year ended September 30, 2020.

For the fiscal year ended September 30, 2020, Guggenheim StylePlus—Mid Growth Fund returned 31.07%¹, compared with the 30.45% return of its benchmark, the Russell Midcap^® Growth Index.

Investment Approach

Through a combination of actively managed individual equity, passive equity, and actively managed fixed income, the Fund seeks to exceed the total return of the Russell Midcap Growth Index. The actively managed equity and fixed income components seek to provide multiple sources of outperformance and take advantage of Guggenheim’s competencies in both fixed income and systematic stock selection.

The active and passive decisions seek to add value by tactically allocating to actively managed equity through quantitative selection models when stock picking opportunities are high. During periods when Guggenheim views these opportunities to be less attractive, the Fund seeks to increase its passive exposure to equities and the allocation to fixed income securities. The prospective return during such periods is the equity index plus an “alpha” component coming from the yield of the fixed income overlay.

Performance Review

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

The Fund outperformed the Russell Midcap Growth Index for the fiscal year ended September 30, 2021 by 0.38% net of fees. The fixed income sleeve contributed to total return, as positions in the Guggenheim Ultra Short Duration Fund and the Guggenheim Strategy Funds, net of the investment income earned by these positions, were positive for the period. The actively managed equity sleeve contributed to performance on a relative basis. The passive equity position, maintained through swap agreements and futures contracts, also contributed to performance.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

STYLEPLUS—MID GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	September 17, 1969
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	March 1, 2012

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Strategy Fund II	32.3%
Guggenheim Strategy Fund III	31.0%
Guggenheim Ultra Short Duration Fund — Institutional Class	20.6%
Toro Co.	0.3%
Fair Isaac Corp.	0.3%
Williams-Sonoma, Inc.	0.3%
Gentex Corp.	0.2%
Interactive Brokers Group, Inc. — Class A	0.2%
Lumentum Holdings, Inc.	0.2%
Genpact Ltd.	0.2%
Top Ten Total	85.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	31.07%	17.24%	15.93%
A-Class Shares with sales charge‡	24.85%	16.11%	15.36%
C-Class Shares	29.88%	16.23%	14.92%
C-Class Shares with CDSC§	28.88%	16.23%	14.92%
Russell Midcap Growth Index	30.45%	19.27%	17.54%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	30.92%	17.07%	13.15%
Russell Midcap Growth Index	30.45%	19.27%	14.87%

	1 Year	5 Year	Since Inception (03/01/12)
Institutional Class Shares	31.26%	17.46%	14.02%
Russell Midcap Growth Index	30.45%	19.27%	15.58%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class, and Institutional Class will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 97

SCHEDULE OF INVESTMENTS	September 30, 2021
STYLEPLUS—MID GROWTH FUND

	Shares		Value
COMMON STOCKS† - 16.0%
Consumer, Cyclical - 3.7%
Williams-Sonoma, Inc.		1,657	$	293,836
Gentex Corp.		8,479		279,637
Polaris, Inc.		2,054		245,782
Tempur Sealy International, Inc.		5,183		240,543
Brunswick Corp.		2,502		238,365
MSC Industrial Direct Company, Inc. — Class A		2,666		213,787
Jack in the Box, Inc.		2,184		212,569
AutoZone, Inc.*		125		212,249
O’Reilly Automotive, Inc.*		328		200,428
Deckers Outdoor Corp.*		546		196,669
Yum! Brands, Inc.		1,449		177,227
Crocs, Inc.*		1,235		177,198
Lithia Motors, Inc. — Class A		544		172,470
Boyd Gaming Corp.*		2,661		168,335
RH*		250		166,727
Mattel, Inc.*		8,756		162,511
Wingstop, Inc.		723		118,521
Cummins, Inc.		477		107,115
YETI Holdings, Inc.*		1,236		105,913
Toll Brothers, Inc.		1,673		92,500
Papa John’s International, Inc.		684		86,861
Ollie’s Bargain Outlet Holdings, Inc.*		1,295		78,063
LGI Homes, Inc.*		439		62,299
PulteGroup, Inc.		1,274		58,502
Domino’s Pizza, Inc.		118		56,281
Five Below, Inc.*		303		53,573
Total Consumer, Cyclical				4,177,961
Technology - 3.3%
Fair Isaac Corp.*		746		296,856
Lumentum Holdings, Inc.*		3,085		257,721
Genpact Ltd.		5,376		255,414
Maximus, Inc.		2,807		233,542
CDK Global, Inc.		5,455		232,110
Cirrus Logic, Inc.*		2,676		220,368
Manhattan Associates, Inc.*		1,235		188,992
Qorvo, Inc.*		1,000		167,190
Synaptics, Inc.*		927		166,610
CommVault Systems, Inc.*		2,028		152,729
Lattice Semiconductor Corp.*		2,335		150,958
Semtech Corp.*		1,854		144,556
MKS Instruments, Inc.		923		139,290
Diodes, Inc.*		1,452		131,537
ACI Worldwide, Inc.*		4,232		130,049
Aspen Technology, Inc.*		1,020		125,256
Qualys, Inc.*		941		104,724
Teradata Corp.*		1,653		94,800
Teradyne, Inc.		792		86,463
Amkor Technology, Inc.		3,434		85,678
Kulicke & Soffa Industries, Inc.		1,442		84,040
TTEC Holdings, Inc.		835		78,098
Silicon Laboratories, Inc.*		450		63,072
J2 Global, Inc.*		452		61,752
Power Integrations, Inc.		538		53,256
Digital Turbine, Inc.*		416		28,600
Total Technology				3,733,661
Consumer, Non-cyclical - 3.2%
Exelixis, Inc.*		10,415		220,173
Molina Healthcare, Inc.*		796		215,963
Neurocrine Biosciences, Inc.*		1,964		188,367
United Therapeutics Corp.*		980		180,889
Hologic, Inc.*		2,368		174,782
Encompass Health Corp.		2,195		164,713
Hill-Rom Holdings, Inc.		1,006		150,900
Halozyme Therapeutics, Inc.*		3,680		149,703
Masimo Corp.*		551		149,161
PerkinElmer, Inc.		805		139,498
Jazz Pharmaceuticals plc*		989		128,778
Quidel Corp.*		878		123,930
Incyte Corp.*		1,769		121,672
Arrowhead Pharmaceuticals, Inc.*		1,766		110,251
Select Medical Holdings Corp.		2,922		105,689
Grand Canyon Education, Inc.*		1,165		102,473
Emergent BioSolutions, Inc.*		2,046		102,443
Syneos Health, Inc.*		1,159		101,389
Integra LifeSciences Holdings Corp.*		1,362		93,270
Globus Medical, Inc. — Class A*		1,146		87,807
Repligen Corp.*		286		82,651
STAAR Surgical Co.*		627		80,588
DaVita, Inc.*		680		79,057
Medpace Holdings, Inc.*		391		74,008
Bio-Rad Laboratories, Inc. — Class A*		99		73,849
GXO Logistics, Inc.*		868		68,086
Alarm.com Holdings, Inc.*		794		62,083
Vertex Pharmaceuticals, Inc.*		334		60,584
Amedisys, Inc.*		399		59,491
Darling Ingredients, Inc.*		765		55,003
Tandem Diabetes Care, Inc.*		220		26,264
Total Consumer, Non-cyclical				3,533,515
Industrial - 2.6%
Toro Co.		3,551		345,903
Eagle Materials, Inc.		1,632		214,053
Timken Co.		3,219		210,587
Worthington Industries, Inc.		3,715		195,780
Curtiss-Wright Corp.		1,286		162,267
Cognex Corp.		1,907		152,980
AGCO Corp.		1,218		149,242
Louisiana-Pacific Corp.		2,414		148,147
Terex Corp.		3,323		139,898
Universal Display Corp.		769		131,468
Keysight Technologies, Inc.*		795		130,610
Littelfuse, Inc.		441		120,512
II-VI, Inc.*		1,797		106,670
Axon Enterprise, Inc.*		591		103,437
Simpson Manufacturing Company, Inc.		906		96,915
Masco Corp.		1,549		86,047
TopBuild Corp.*		399		81,719
XPO Logistics, Inc.*		877		69,792

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
STYLEPLUS—MID GROWTH FUND

	Shares		Value
Waters Corp.*		176	$	62,885
Sealed Air Corp.		1,126		61,694
Trex Company, Inc.*		499		50,863
Graco, Inc.		723		50,588
Total Industrial				2,872,057
Financial - 1.4%
Interactive Brokers Group, Inc. — Class A		4,326		269,683
Evercore, Inc. — Class A		1,800		240,606
Umpqua Holdings Corp.		11,401		230,870
Essent Group Ltd.		4,551		200,289
PacWest Bancorp		4,078		184,815
Federated Hermes, Inc. — Class B		4,287		139,327
Brighthouse Financial, Inc.*		2,464		111,447
SLM Corp.		4,698		82,685
SEI Investments Co.		1,082		64,163
Total Financial				1,523,885
Communications - 0.8%
Ciena Corp.*		3,879		199,187
Motorola Solutions, Inc.		773		179,583
FactSet Research Systems, Inc.		352		138,963
F5 Networks, Inc.*		541		107,540
TEGNA, Inc.		4,350		85,782
VeriSign, Inc.*		404		82,824
Cable One, Inc.		34		61,646
Arista Networks, Inc.*		173		59,450
Total Communications				914,975
Energy - 0.5%
SolarEdge Technologies, Inc.*		657		174,250
Equitrans Midstream Corp.		15,363		155,781
Antero Midstream Corp.		12,078		125,852
First Solar, Inc.*		1,009		96,319
Total Energy				552,202
Basic Materials - 0.5%
Ingevity Corp.*		2,231		159,226
Valvoline, Inc.		3,698		115,304
NewMarket Corp.		319		108,068
Cleveland-Cliffs, Inc.*		4,121		81,637
Chemours Co.		2,264		65,792
Total Basic Materials				530,027
Total Common Stocks
(Cost $17,294,204)				17,838,283
MUTUAL FUNDS† - 83.9%
Guggenheim Strategy Fund II1		1,431,424		35,771,287
Guggenheim Strategy Fund III1		1,369,793		34,436,584
Guggenheim Ultra Short Duration Fund — Institutional Class1		2,291,761		22,848,856
Total Mutual Funds
(Cost $92,689,115)				93,056,727
MONEY MARKET FUND† - 0.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		644,091		644,091
Total Money Market Fund
(Cost $644,091)				644,091
Total Investments - 100.5%
(Cost $110,627,410)			$	111,539,101
Other Assets & Liabilities, net - (0.5)%				(601,621	)
Total Net Assets - 100.0%			$	110,937,480

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††

Citibank, N.A.

Russell MidCap Growth Index Total Return

Pay

0.29% (1 Month USD LIBOR + 0.21%)

At Maturity

11/30/21

17,229

$

93,606,363

$

21,766,602

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
STYLEPLUS—MID GROWTH FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	17,838,283	$	—	$	—	$	17,838,283
Mutual Funds		93,056,727		—		—		93,056,727
Money Market Fund		644,091		—		—		644,091
Equity Index Swap Agreements**		—		21,766,602		—		21,766,602
Total Assets	$	111,539,101	$	21,766,602	$	—	$	133,305,703

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

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,104,012	$	6,642,418	$	—		$	—	$	24,857		$	35,771,287		1,431,424	$	537,461
Guggenheim Strategy Fund III		23,646,335		10,730,986		—			—		59,263			34,436,584		1,369,793		430,986
Guggenheim Ultra Short Duration Fund — Institutional Class		20,960,246		18,553,041		(16,645,968	)		310,915		(329,378	)		22,848,856		2,291,761		248,082
	$	73,710,593	$	35,926,445	$	(16,645,968	)	$	310,915	$	(245,258	)	$	93,056,727			$	1,216,529

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

STYLEPLUS—MID GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $17,938,295)	$	18,482,374
Investments in affiliated issuers, at value (cost $92,689,115)		93,056,727
Segregated cash with broker		55,500
Unrealized appreciation on OTC swap agreements		21,766,602
Prepaid expenses		29,880
Receivables:
Dividends		96,633
Fund shares sold		86
Interest		40
Total assets		133,487,842
Liabilities:
Segregated cash due to broker		22,020,000
Payable for:
Swap settlement		228,876
Securities purchased		92,738
Management fees		67,074
Fund shares redeemed		38,064
Distribution and service fees		24,472
Fund accounting/administration fees		9,921
Transfer agent/maintenance fees		5,314
Trustees’ fees*		2,401
Miscellaneous		61,502
Total liabilities		22,550,362
Net assets	$	110,937,480
Net assets consist of:
Paid in capital	$	82,590,055
Total distributable earnings (loss)		28,347,425
Net assets	$	110,937,480
A-Class:
Net assets	$	107,982,891
Capital shares outstanding		2,047,940
Net asset value per share	$	52.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	55.36
C-Class:
Net assets	$	1,327,299
Capital shares outstanding		42,933
Net asset value per share	$	30.92
P-Class:
Net assets	$	237,032
Capital shares outstanding		4,562
Net asset value per share	$	51.96
Institutional Class:
Net assets	$	1,390,258
Capital shares outstanding		26,374
Net asset value per share	$	52.71

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	131,094
Dividends from securities of affiliated issuers		1,216,529
Interest		431
Total investment income		1,348,054
Expenses:
Management fees		815,785
Distribution and service fees:
A-Class		263,529
C-Class		14,955
P-Class		533
Transfer agent/maintenance fees:
A-Class		79,823
C-Class		3,665
P-Class		373
Institutional Class		2,716
Fund accounting/administration fees		80,965
Registration fees		76,825
Professional fees		41,806
Custodian fees		24,328
Interest expense		21,960
Trustees’ fees*		19,977
Line of credit fees		4,815
Miscellaneous		12,098
Total expenses		1,464,153
Less:
Expenses waived by Adviser		(64,182	)
Net expenses		1,399,971
Net investment loss		(51,917	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		4,487,929
Investments in affiliated issuers		310,915
Swap agreements		15,347,680
Futures contracts		717,834
Net realized gain		20,864,358
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(48,647	)
Investments in affiliated issuers		(245,258	)
Swap agreements		7,513,504
Futures contracts		33,378
Net change in unrealized appreciation (depreciation)		7,252,977
Net realized and unrealized gain		28,117,335
Net increase in net assets resulting from operations	$	28,065,418

* 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 | 101

STYLEPLUS—MID GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	(51,917	)	$	382,685
Net realized gain (loss) on investments		20,864,358			(1,198,558	)
Net change in unrealized appreciation (depreciation) on investments		7,252,977			15,041,235
Net increase in net assets resulting from operations		28,065,418			14,225,362
Distributions to shareholders:
A-Class		(13,186,487	)		(1,858,325	)
C-Class		(336,310	)		(39,450	)
P-Class		(24,991	)		(2,046	)
Institutional Class		(238,403	)		(23,966	)
Total distributions to shareholders		(13,786,191	)		(1,923,787	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,172,972			2,245,934
C-Class		158,772			1,004,377
P-Class		79,809			56,872
Institutional Class		682,378			703,244
Distributions reinvested
A-Class		12,584,969			1,767,121
C-Class		278,491			31,434
P-Class		24,991			2,046
Institutional Class		228,045			23,138
Cost of shares redeemed
A-Class		(10,248,122	)		(9,742,564	)
C-Class		(682,043	)		(1,153,519	)
P-Class		(7,208	)		(51,906	)
Institutional Class		(1,020,174	)		(556,301	)
Net increase (decrease) from capital share transactions		4,252,880			(5,670,124	)
Net increase in net assets		18,532,107			6,631,451
Net assets:
Beginning of year		92,405,373			85,773,922
End of year	$	110,937,480		$	92,405,373
Capital share activity:
Shares sold
A-Class		43,004			54,683
C-Class		5,193			35,895
P-Class		1,640			1,434
Institutional Class		13,400			16,806
Shares issued from reinvestment of distributions
A-Class		260,504			42,510
C-Class		9,761			1,175
P-Class		525			50
Institutional Class		4,727			557
Shares redeemed
A-Class		(201,221	)		(246,314	)
C-Class		(23,365	)		(51,299	)
P-Class		(151	)		(1,299	)
Institutional Class		(20,266	)		(13,361	)
Net increase (decrease) in shares		93,751			(159,163	)

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	45.98		$	39.64		$	49.70		$	47.34		$	40.52
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		.19			.45			.41			.34
Net gain (loss) on investments (realized and unrealized)		13.67			7.06			(1.58	)		7.70			6.72
Total from investment operations		13.65			7.25			(1.13	)		8.11			7.06
Less distributions from:
Net investment income		(.20	)		(.45	)		(.41	)		(.24	)		(.24	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—
Total distributions		(6.90	)		(.91	)		(8.93	)		(5.75	)		(.24	)
Net asset value, end of period	$	52.73		$	45.98		$	39.64		$	49.70		$	47.34
Total Returnb		31.07	%		18.57	%		2.34	%		18.51	%		17.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	107,983		$	89,469		$	83,027		$	87,509		$	77,049
Ratios to average net assets:
Net investment income (loss)		(0.04	%)		0.46	%		1.13	%		0.87	%		0.78	%
Total expensesc		1.34	%		1.45	%		1.44	%		1.55	%		1.45	%
Net expensesd		1.28	%		1.40	%		1.41	%		1.52	%		1.42	%
Portfolio turnover rate		44	%		82	%		73	%		52	%		43	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.40		$	25.66		$	35.78		$	35.64		$	30.58
Income (loss) from investment operations:
Net investment income (loss)a		(.29	)		(.10	)		.08			.02			(.03	)
Net gain (loss) on investments (realized and unrealized)		8.51			4.53			(1.68	)		5.63			5.09
Total from investment operations		8.22			4.43			(1.60	)		5.65			5.06
Less distributions from:
Net investment income		—			(.23	)		—			—			—
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—
Total distributions		(6.70	)		(.69	)		(8.52	)		(5.51	)		—
Net asset value, end of period	$	30.92		$	29.40		$	25.66		$	35.78		$	35.64
Total Returnb		29.88	%		17.53	%		1.46	%		17.51	%		16.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,327		$	1,510		$	1,683		$	1,849		$	3,984
Ratios to average net assets:
Net investment income (loss)		(0.94	%)		(0.39	%)		0.30	%		0.05	%		(0.08	%)
Total expensesc		2.26	%		2.32	%		2.27	%		2.33	%		2.31	%
Net expensesd		2.20	%		2.28	%		2.24	%		2.30	%		2.27	%
Portfolio turnover rate		44	%		82	%		73	%		52	%		43	%

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	45.45		$	39.17		$	49.12		$	46.83		$	40.27
Income (loss) from investment operations:
Net investment income (loss)a		(.07	)		.15			.41			.32			.24
Net gain (loss) on investments (realized and unrealized)		13.51			6.99			(1.58	)		7.61			6.65
Total from investment operations		13.44			7.14			(1.17	)		7.93			6.89
Less distributions from:
Net investment income		(.23	)		(.40	)		(.26	)		(.13	)		(.33	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—
Total distributions		(6.93	)		(.86	)		(8.78	)		(5.64	)		(.33	)
Net asset value, end of period	$	51.96		$	45.45		$	39.17		$	49.12		$	46.83
Total Return		30.92	%		18.48	%		2.22	%		18.26	%		17.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	237		$	116		$	93		$	125		$	121
Ratios to average net assets:
Net investment income (loss)		(0.14	%)		0.36	%		1.04	%		0.67	%		0.55	%
Total expensesc		1.43	%		1.54	%		1.55	%		1.68	%		1.66	%
Net expensesd		1.37	%		1.50	%		1.51	%		1.64	%		1.63	%
Portfolio turnover rate		44	%		82	%		73	%		52	%		43	%

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

STYLEPLUS—MID GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	45.98		$	39.64		$	49.80		$	47.48		$	40.59
Income (loss) from investment operations:
Net investment income (loss)a		.07			.24			.51			.53			.42
Net gain (loss) on investments (realized and unrealized)		13.65			7.09			(1.63	)		7.71			6.78
Total from investment operations		13.72			7.33			(1.12	)		8.24			7.20
Less distributions from:
Net investment income		(.29	)		(.53	)		(.52	)		(.41	)		(.31	)
Net realized gains		(6.70	)		(.46	)		(8.52	)		(5.51	)		—
Total distributions		(6.99	)		(.99	)		(9.04	)		(5.92	)		(.31	)
Net asset value, end of period	$	52.71		$	45.98		$	39.64		$	49.80		$	47.48
Total Return		31.26	%		18.79	%		2.42	%		18.77	%		17.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,390		$	1,311		$	972		$	875		$	1,743
Ratios to average net assets:
Net investment income (loss)		0.14	%		0.58	%		1.28	%		1.11	%		0.95	%
Total expensesc		1.17	%		1.26	%		1.31	%		1.26	%		1.26	%
Net expensesd		1.11	%		1.22	%		1.28	%		1.23	%		1.22	%
Portfolio turnover rate		44	%		82	%		73	%		52	%		43	%

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

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim World Equity Income Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Evan Einstein, Director and Portfolio Manager; and Douglas Makin, Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended September 30, 2021.

For the fiscal year ended September 30, 2021, Guggenheim World Equity Income Fund returned 27.13%¹, compared with the 28.82% return of its benchmark, the MSCI World Index.

Performance Review

The Fund underperformed the Index after fees but delivered on its mandate to provide current equity income and a stable long-term total return. The Fund also balanced generating income while doing so with moderately lower risk than the benchmark. The Fund tends to underperform in times of strong market gains.

The trailing twelve month income distribution yield of the Fund was 2.07% as of the end of the period (calculated by taking the most recent annual income distribution and dividing by the NAV per share as of September 30, 2021. This rate does not represent the total return of the Fund). Besides helping investors navigate the changing rate environment, being cognizant of companies with unsustainable dividends is one of the primary drivers for the Fund’s track record relative to peers.

The Fund uses currency contract futures to hedge non-U.S. dollar credit positions, which helps to reduce volatility. Their contribution to performance in aggregate was immaterial, as currency rates fluctuated throughout the year. The dollar, although flat for the period, experienced pockets of considerable weakness.

The Fund had contributions to relative return from both sector allocation and stock selection. Overall contribution was led by Materials, Utilities and Real Estate, which were overweight and had stronger returns than the benchmark’s. The leading detractors were Industrials, Health Care and Consumer Discretionary. All were under weighted against the benchmark, and underperformed versus the benchmark.

From a country perspective, the Fund had strong contributions from its holdings in Sweden, Singapore and Hong Kong. Despite mixed returns, lower weights of the Fund’s holdings in France, Canada and Australia as compared with the benchmark made them the leading detractors.

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, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period. Although growth companies benefited most from the reopening trade in 2020, rising rates and commodity prices spurred a rotation into value as the period progressed, benefitting sectors such as Financials Energy, and Real Estate. Holdings in Energy, the smallest sector in Fund and among the smallest in the benchmark, had the strongest absolute returns for the period.

The largest individual contributors for the year (all overweight) were Simon Property Group, Inc., Evolution AB, and Wells Fargo & Co.

The largest individual detractors (all underweight) were JPMorgan Chase & Co., Alphabet, and Tesla, Inc.

Portfolio Positioning

Although lagging the MSCI World Index in three of four quarters, the Fund delivered positive performance in every quarter but the last of the period. Compared with the Index, the Fund is positioned more cautiously, as we question whether the recent ascent will continue for much longer. The Fund was most overweight Utilities, Industrials and Energy at the end of the period, and most underweight Technology, Health Care and Consumer Discretionary.

We believe global equities remain a critical allocation in investors’ portfolios to prepare for the future and the uncertainty it brings, investors often benefit from seeking out dividend yield, but should avoid reaching for yield that may be excessive or unsustainable.

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

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

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

106 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

WORLD EQUITY INCOME FUND

OBJECTIVE: Seeks to provide total return, comprised of capital appreciation and income.

Holdings Diversification (Market Exposure as % of Net Assets)

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

COUNTRY Diversification

Country	% of Long-Term Investments
United States		64.3	%
Japan		7.3	%
Australia		5.0	%
Canada		4.8	%
Ireland		2.8	%
United Kingdom		2.5	%
Germany		2.0	%
Other		11.3	%
Total Long-Term Investments		100.0	%

Inception Dates:
A-Class	October 1, 1993
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	May 2, 2011

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	3.1%
Microsoft Corp.	3.0%
Amazon.com, Inc.	2.6%
Alphabet, Inc. — Class C	2.2%
Exxon Mobil Corp.	1.3%
Accenture plc — Class A	1.2%
Verizon Communications, Inc.	1.2%
Chevron Corp.	1.1%
Philip Morris International, Inc.	1.1%
Citigroup, Inc.	1.1%
Top Ten Total	17.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 107

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	27.13%	9.21%	9.21%
A-Class Shares with sales charge‡	21.09%	8.14%	8.69%
C-Class Shares	26.22%	8.40%	8.41%
C-Class Shares with CDSC§	25.22%	8.40%	8.41%
Institutional Class Shares	27.38%	9.51%	9.42%
MSCI World Index	28.82%	13.74%	12.68%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	27.10%	9.20%	7.74%
MSCI World Index	28.82%	13.74%	10.45%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

108 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
WORLD EQUITY INCOME FUND

	Shares		Value
COMMON STOCKS† - 97.4%
Consumer, Non-cyclical - 17.7%
Philip Morris International, Inc.		5,800	$	549,782
AbbVie, Inc.		4,713		508,391
Bristol-Myers Squibb Co.		8,051		476,378
Merck & Company, Inc.		6,300		473,193
Anthem, Inc.		1,173		437,294
Archer-Daniels-Midland Co.		6,846		410,829
AmerisourceBergen Corp. — Class A		3,415		407,922
Cigna Corp.		1,958		391,913
Johnson & Johnson		2,400		387,600
Kimberly-Clark Corp.		2,891		382,884
CVS Health Corp.		4,481		380,258
Humana, Inc.		900		350,235
Kellogg Co.		5,456		348,747
PepsiCo, Inc.		2,105		316,613
Square, Inc. — Class A*		1,300		311,792
Cardinal Health, Inc.		6,228		308,037
Colgate-Palmolive Co.		3,762		284,332
Bunge Ltd.		3,378		274,699
Kroger Co.		6,000		242,580
Campbell Soup Co.		5,781		241,704
Kesko Oyj — Class B††		7,000		241,481
Tyson Foods, Inc. — Class A		2,700		213,138
Randstad N.V.††		3,000		202,004
Seven & i Holdings Company Ltd.††		4,100		186,655
Quest Diagnostics, Inc.		1,200		174,372
McKesson Corp.		700		139,566
J M Smucker Co.		900		108,027
Amgen, Inc.		500		106,325
Clorox Co.		600		99,366
Total Consumer, Non-cyclical				8,956,117
Financial - 16.4%
Citigroup, Inc.		7,766		545,018
Commonwealth Bank of Australia††		6,700		497,073
Prudential Financial, Inc.		3,900		410,280
Australia & New Zealand Banking Group Ltd.††		20,200		405,557
Allianz AG††		1,700		380,921
Alexandria Real Estate Equities, Inc. REIT		1,900		363,033
National Australia Bank Ltd.††		18,100		356,853
Medical Properties Trust, Inc. REIT		16,228		325,696
Allstate Corp.		2,500		318,275
Daiwa House REIT Investment Corp.††		100		293,674
Admiral Group plc††		7,000		292,426
Westpac Banking Corp.††		15,500		286,571
REA Group Ltd.††		2,400		270,240
EXOR N.V.††		3,200		268,565
RenaissanceRe Holdings Ltd.		1,800		250,920
Western Union Co.		12,000		242,640
Toronto-Dominion Bank		3,500		231,740
Bank of Nova Scotia		3,700		227,773
Voya Financial, Inc.		3,700		227,143
Berkshire Hathaway, Inc. — Class B*		800		218,352
Sun Life Financial, Inc.		4,000		205,938
Canadian Apartment Properties REIT		4,000		186,702
Weyerhaeuser Co. REIT		5,000		177,850
Manulife Financial Corp.		9,000		173,263
Power Corporation of Canada		5,000		164,837
GLP J-REIT		100		164,612
Everest Re Group Ltd.		600		150,468
AXA S.A.††		5,100		141,353
BNP Paribas S.A.††		1,800		115,178
Goldman Sachs Group, Inc.		300		113,409
Assurant, Inc.		700		110,425
NN Group N.V.††		2,000		104,776
American Tower Corp. — Class A REIT		300		79,623
Total Financial				8,301,184
Technology - 16.2%
Apple, Inc.		11,159		1,578,998
Microsoft Corp.		5,342		1,506,017
Accenture plc — Class A		1,864		596,331
Intel Corp.		9,100		484,848
NetApp, Inc.		5,300		475,728
International Business Machines Corp.		3,300		458,469
QUALCOMM, Inc.		3,000		386,940
Cognizant Technology Solutions Corp. — Class A		5,158		382,775
Seagate Technology Holdings plc		4,523		373,238
VMware, Inc. — Class A*		2,400		356,880
HP, Inc.		12,000		328,320
Citrix Systems, Inc.		2,517		270,250
Texas Instruments, Inc.		1,300		249,873
ASML Holding N.V.††		300		224,143
Lam Research Corp.		300		170,745
Logitech International S.A.††		1,700		151,290
Skyworks Solutions, Inc.		800		131,824
NVIDIA Corp.		500		103,580
Total Technology				8,230,249
Industrial - 11.4%
Deutsche Post AG††		7,300		457,833
3M Co.		2,597		455,566
Lockheed Martin Corp.		1,300		448,630
Northrop Grumman Corp.		1,200		432,180
DSV A/S††		1,500		359,064
Kuehne + Nagel International AG††		1,000		341,504
FedEx Corp.		1,500		328,935
Sika AG††		1,000		316,268
Bouygues S.A.††		7,100		293,742
Arrow Electronics, Inc.*		2,416		271,293
AP Moller - Maersk A/S — Class B††		100		270,723
Lennox International, Inc.		900		264,753
Obayashi Corp.††		31,200		257,181
Huntington Ingalls Industries, Inc.		1,300		250,978
CK Infrastructure Holdings Ltd.††		44,900		250,446
Illinois Tool Works, Inc.		1,200		247,956
CRH plc ADR††		5,100		240,721
Mitsubishi Heavy Industries Ltd.††		8,100		217,037
BAE Systems plc††		10,300		77,994
Total Industrial				5,782,804

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
WORLD EQUITY INCOME FUND

	Shares		Value
Communications - 10.5%
Amazon.com, Inc.*		398	$	1,307,446
Alphabet, Inc. — Class C*		420		1,119,430
Verizon Communications, Inc.		10,800		583,308
KDDI Corp.††		13,000		428,012
Nippon Telegraph & Telephone Corp.††		14,000		387,939
Facebook, Inc. — Class A*		1,120		380,117
Juniper Networks, Inc.		10,000		275,200
HKT Trust & HKT Ltd.††		186,048		254,396
Interpublic Group of Companies, Inc.		5,100		187,017
CDW Corp.		800		145,616
ViacomCBS, Inc. — Class B		3,000		118,530
Corning, Inc.		3,000		109,470
Total Communications				5,296,481
Consumer, Cyclical - 10.1%
Mitsubishi Corp.††		15,000		471,049
Daiwa House Industry Company Ltd.††		13,000		433,367
Volvo AB — Class B††		18,200		406,523
ITOCHU Corp.††		13,900		404,862
Best Buy Company, Inc.		3,212		339,540
Subaru Corp.††		18,300		338,188
Cummins, Inc.		1,500		336,840
Home Depot, Inc.		900		295,434
BorgWarner, Inc.		6,807		294,131
Persimmon plc††		8,000		286,047
Whirlpool Corp.		1,400		285,404
Wesfarmers Ltd.††		7,000		278,338
Autoliv, Inc.		2,803		240,273
PACCAR, Inc.		2,300		181,516
Dollar General Corp.		800		169,712
Tesla, Inc.*		200		155,096
Kingfisher plc††		30,100		135,844
ABC-Mart, Inc.††		1,500		84,262
Total Consumer, Cyclical				5,136,426
Energy - 7.0%
Exxon Mobil Corp.		10,806		635,609
Chevron Corp.		5,700		578,265
Suncor Energy, Inc.		22,200		460,338
Valero Energy Corp.		6,300		444,591
TC Energy Corp.		8,600		413,974
Imperial Oil Ltd.		10,000		316,093
Phillips 66		3,600		252,108
Marathon Petroleum Corp.		3,800		234,878
DCC plc††		2,400		200,102
Total Energy				3,535,958
Utilities - 5.8%
Exelon Corp.		8,587		415,096
Edison International		6,729		373,258
CLP Holdings Ltd.††		35,800		344,712
Southern Co.		4,600		285,062
Power Assets Holdings Ltd.††		43,900		257,356
NRG Energy, Inc.		6,100		249,063
AGL Energy Ltd.††		55,100		227,483
Fortum Oyj††		6,000		182,217
UGI Corp.		4,100		174,742
Consolidated Edison, Inc.		2,300		166,957
HK Electric Investments & HK Electric Investments Ltd.		149,900		148,854
PPL Corp.		4,200		117,096
Total Utilities				2,941,896
Basic Materials - 2.2%
FMC Corp.		3,400		311,304
Rio Tinto plc††		3,900		255,658
Johnson Matthey plc††		6,000		215,208
Fortescue Metals Group Ltd.††		18,900		201,268
RPM International, Inc.		1,600		124,240
Total Basic Materials				1,107,678
Diversified - 0.1%
CK Hutchison Holdings Ltd.††		7,501		50,042
Total Common Stocks
(Cost $46,610,188)				49,338,835
PREFERRED STOCKS†† - 0.3%
Consumer, Cyclical - 0.3%
Volkswagen AG		800		178,342
Total Preferred Stocks
(Cost $142,015)				178,342
EXCHANGE-TRADED FUNDS† - 1.1%
SPDR S&P 500 ETF Trust		664		284,949
iShares MSCI EAFE ETF		3,464		270,226
Total Exchange-Traded Funds
(Cost $565,148)				555,175
MONEY MARKET FUND† - 0.7%
Goldman Sachs Financial Square Treasury Instruments Fund Institutional Shares, 0.01%1		333,725		333,725
Total Money Market Fund
(Cost $333,725)				333,725
Total Investments - 99.5%
(Cost $47,651,076)			$	50,406,077
Other Assets & Liabilities, net - 0.5%				263,661
Total Net Assets - 100.0%			$	50,669,738

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
WORLD EQUITY INCOME FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Depreciation**
Currency Futures Contracts Sold Short†
British Pound Futures Contracts		9		Dec 2021	$	757,800	$	(1,767	)
Canadian Dollar Futures Contracts		30		Dec 2021		2,367,900		(9,831	)
					$	3,125,700	$	(11,598	)

*	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	Rate indicated is the 7-day yield as of September 30, 2021.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	35,994,689	$	13,344,146	$	—	$	49,338,835
Preferred Stocks		—		178,342		—		178,342
Exchange-Traded Funds		555,175		—		—		555,175
Money Market Fund		333,725		—		—		333,725
Total Assets	$	36,883,589	$	13,522,488	$	—	$	50,406,077

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Currency Futures Contracts**	$	11,598	$	—	$	—	$	11,598

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

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

WORLD EQUITY INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $47,651,076)	$	50,406,077
Foreign currency, at value (cost $44,996)		45,046
Cash		16,949
Segregated cash with broker		65,000
Prepaid expenses		28,726
Receivables:
Dividends		132,683
Foreign tax reclaims		92,685
Fund shares sold		37,806
Securities Sold		14,888
Total assets		50,839,860
Liabilities:
Payable for:
Professional fees		38,324
Fund shares redeemed		21,098
Management fees		20,762
Variation margin on futures contracts		16,781
Securities Purchased		14,888
Distribution and service fees		12,204
Pricing fees		11,797
Distributions to shareholders		9,205
Fund accounting/administration fees		6,522
Transfer agent/maintenance fees		6,357
Trustees’ fees*		2,258
Due to Investment Adviser		13
Miscellaneous		9,913
Total liabilities		170,122
Net assets	$	50,669,738
Net assets consist of:
Paid in capital	$	36,327,343
Total distributable earnings (loss)		14,342,395
Net assets	$	50,669,738
A-Class:
Net assets	$	44,337,197
Capital shares outstanding		2,367,003
Net asset value per share	$	18.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.66
C-Class:
Net assets	$	3,229,706
Capital shares outstanding		201,530
Net asset value per share	$	16.03
P-Class:
Net assets	$	117,734
Capital shares outstanding		6,227
Net asset value per share	$	18.91
Institutional Class:
Net assets	$	2,985,101
Capital shares outstanding		160,389
Net asset value per share	$	18.61

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends (net of foreign withholding tax of $90,267)	$	1,386,311
Total investment income		1,386,311
Expenses:
Management fees		350,857
Distribution and service fees:
A-Class		109,529
C-Class		32,480
P-Class		260
Transfer agent/maintenance fees:
A-Class		26,935
C-Class		4,860
P-Class		158
Institutional Class		1,814
Registration fees		81,702
Professional fees		46,796
Fund accounting/administration fees		41,994
Custodian fees		18,770
Trustees’ fees*		18,117
Line of credit fees		2,241
Short interest expense		49
Miscellaneous		7,956
Recoupment of previously waived fees:
Institutional Class		455
Total expenses		744,973
Less:
Expenses reimbursed by Adviser:
A-Class		(27,202	)
C-Class		(4,900	)
P-Class		(159	)
Institutional Class		(2,281	)
Expenses waived by Adviser		(86,742	)
Total waived/reimbursed expenses		(121,284	)
Net expenses		623,689
Net investment income		762,622
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		12,857,340
Futures contracts		20,135
Foreign currency transactions		2,603
Net realized gain		12,880,078
Net change in unrealized appreciation (depreciation) on:
Investments		(2,121,216	)
Futures contracts		(11,598	)
Foreign currency translations		(4,254	)
Net change in unrealized appreciation (depreciation)		(2,137,068	)
Net realized and unrealized gain		10,743,010
Net increase in net assets resulting from operations	$	11,505,632

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

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

WORLD EQUITY INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	762,622		$	703,779
Net realized gain on investments		12,880,078			80,940
Net change in unrealized appreciation (depreciation) on investments		(2,137,068	)		790,841
Net increase in net assets resulting from operations		11,505,632			1,575,560
Distributions to shareholders:
A-Class		(878,652	)		(951,321	)
C-Class		(42,902	)		(41,581	)
P-Class		(2,092	)		(2,112	)
Institutional Class		(67,115	)		(69,164	)
Total distributions to shareholders		(990,761	)		(1,064,178	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,117,138			1,840,975
C-Class		593,534			262,757
P-Class		21,774			19,559
Institutional Class		628,784			722,745
Distributions reinvested
A-Class		847,352			941,400
C-Class		42,591			40,533
P-Class		2,092			2,112
Institutional Class		66,615			68,744
Cost of shares redeemed
A-Class		(5,732,483	)		(26,256,691	)
C-Class		(984,650	)		(701,424	)
P-Class		(19,188	)		(56,772	)
Institutional Class		(839,632	)		(1,575,677	)
Net decrease from capital share transactions		(3,256,073	)		(24,691,739	)
Net increase (decrease) in net assets		7,258,798			(24,180,357	)
Net assets:
Beginning of year		43,410,940			67,591,297
End of year	$	50,669,738		$	43,410,940
Capital share activity:
Shares sold
A-Class		116,957			123,067
C-Class		38,329			19,865
P-Class		1,170			1,224
Institutional Class		35,268			49,008
Shares issued from reinvestment of distributions
A-Class		46,434			63,949
C-Class		2,739			3,191
P-Class		113			142
Institutional Class		3,667			4,753
Shares redeemed
A-Class		(318,411	)		(1,639,516	)
C-Class		(64,340	)		(55,988	)
P-Class		(1,237	)		(3,569	)
Institutional Class		(46,787	)		(113,599	)
Net decrease in shares		(186,098	)		(1,547,473	)

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	15.03		$	15.26		$	15.77		$	14.84		$	13.54
Income (loss) from investment operations:
Net investment income (loss)a		.28			.20			.35			.23			.31
Net gain (loss) on investments (realized and unrealized)		3.79			(.12	)g		(.36	)		.95			1.34
Total from investment operations		4.07			.08			(.01	)		1.18			1.65
Less distributions from:
Net investment income		(.34	)		(.27	)		(.37	)		(.25	)		(.35	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—
Total distributions		(.37	)		(.31	)		(.50	)		(.25	)		(.35	)
Net asset value, end of period	$	18.73		$	15.03		$	15.26		$	15.77		$	14.84
Total Returnb		27.13	%		0.60	%		0.14	%		8.01	%		12.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,337		$	37,911		$	60,639		$	67,679		$	80,598
Ratios to average net assets:
Net investment income (loss)		1.55	%		1.36	%		2.39	%		1.48	%		2.23	%
Total expensesc		1.45	%		1.48	%		1.37	%		1.37	%		1.34	%
Net expensesd,e,f		1.21	%		1.22	%		1.22	%		1.22	%		1.24	%
Portfolio turnover rate		191	%		192	%		127	%		125	%		94	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	12.87		$	13.06		$	13.53		$	12.72		$	11.63
Income (loss) from investment operations:
Net investment income (loss)a		.13			.08			.21			.09			.19
Net gain (loss) on investments (realized and unrealized)		3.24			(.10	)g		(.33	)		.83			1.13
Total from investment operations		3.37			(.02	)		(.12	)		.92			1.32
Less distributions from:
Net investment income		(.18	)		(.13	)		(.22	)		(.11	)		(.23	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—
Total distributions		(.21	)		(.17	)		(.35	)		(.11	)		(.23	)
Net asset value, end of period	$	16.03		$	12.87		$	13.06		$	13.53		$	12.72
Total Returnb		26.22	%		(0.13	%)		(0.69	%)		7.27	%		11.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,230		$	2,893		$	3,366		$	4,215		$	6,449
Ratios to average net assets:
Net investment income (loss)		0.81	%		0.67	%		1.64	%		0.71	%		1.53	%
Total expensesc		2.28	%		2.40	%		2.28	%		2.18	%		2.19	%
Net expensesd,e,f		1.96	%		1.97	%		1.97	%		1.97	%		1.99	%
Portfolio turnover rate		191	%		192	%		127	%		125	%		94	%

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	15.17		$	15.38		$	15.92		$	15.08		$	13.73
Income (loss) from investment operations:
Net investment income (loss)a		.30			.20			.36			.24			.33
Net gain (loss) on investments (realized and unrealized)		3.80			(.11	)g		(.39	)		.95			1.35
Total from investment operations		4.10			.09			(.03	)		1.19			1.68
Less distributions from:
Net investment income		(.33	)		(.26	)		(.38	)		(.35	)		(.33	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—
Total distributions		(.36	)		(.30	)		(.51	)		(.35	)		(.33	)
Net asset value, end of period	$	18.91		$	15.17		$	15.38		$	15.92		$	15.08
Total Return		27.10	%		0.66	%		0.06	%		7.99	%		12.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	118		$	94		$	129		$	195		$	355
Ratios to average net assets:
Net investment income (loss)		1.61	%		1.36	%		2.38	%		1.50	%		2.28	%
Total expensesc		1.53	%		1.56	%		1.44	%		1.40	%		1.76	%
Net expensesd,e,f		1.21	%		1.22	%		1.22	%		1.22	%		1.24	%
Portfolio turnover rate		191	%		192	%		127	%		125	%		94	%

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

WORLD EQUITY INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	14.94		$	15.16		$	15.71		$	14.74		$	13.44
Income (loss) from investment operations:
Net investment income (loss)a		.33			.25			.39			.29			.35
Net gain (loss) on investments (realized and unrealized)		3.75			(.13	)g		(.37	)		.93			1.33
Total from investment operations		4.08			.12			.02			1.22			1.68
Less distributions from:
Net investment income		(.38	)		(.30	)		(.44	)		(.25	)		(.38	)
Net realized gains		(.03	)		(.04	)		(.13	)		—			—
Total distributions		(.41	)		(.34	)		(.57	)		(.25	)		(.38	)
Net asset value, end of period	$	18.61		$	14.94		$	15.16		$	15.71		$	14.74
Total Return		27.38	%		0.92	%		0.40	%		8.34	%		12.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,985		$	2,513		$	3,458		$	19,589		$	3,734
Ratios to average net assets:
Net investment income (loss)		1.82	%		1.66	%		2.67	%		1.85	%		2.50	%
Total expensesc		1.21	%		1.50	%		1.17	%		1.02	%		1.09	%
Net expensesd,e,f		0.96	%		0.97	%		0.97	%		0.97	%		0.98	%
Portfolio turnover rate		191	%		192	%		127	%		125	%		94	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	0.00%*	0.00%*	0.01%
C-Class	—	—	—	0.00%*	0.01%
P-Class	—	—	—	—	—
Institutional Class	0.02%	—	—	0.02%	0.03%

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.21%	1.22%	1.22%	1.22%	1.22%
C-Class	1.96%	1.97%	1.97%	1.97%	1.97%
P-Class	1.21%	1.22%	1.22%	1.22%	1.22%
Institutional Class	0.96%	0.97%	0.97%	0.97%	0.96%

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

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the 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.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds.

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

Fund Name	Investment Company Type
Alpha Opportunity Fund	Diversified
Large Cap Value Fund	Diversified
Market Neutral Real Estate Fund	Diversified
Risk Managed Real Estate Fund	Diversified
Small Cap Value Fund	Diversified
StylePlus—Large Core Fund	Diversified
StylePlus—Mid Growth Fund	Diversified
World Equity Income Fund	Diversified

At September 30, 2021, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Funds.

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

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

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

The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

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

Valuations of the Funds’ securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review

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NOTES TO FINANCIAL STATEMENTS (continued)

responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

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

Equity securities listed 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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid 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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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

The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The values of swap agreements entered into by a fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close price from the applicable exchange.

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

(b) Short Sales

When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

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

(c) Futures Contracts

Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(d) Swap Agreements

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

(e) Currency Translations

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

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

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

(f) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(g) Security Transactions

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

(h) Distributions

Dividends from net investment income are declared quarterly in the World Equity Income Fund and Risk Managed Real Estate Fund. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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NOTES TO FINANCIAL STATEMENTS (continued)

(j) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statements of Operations.

(k) Cash

The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(l) Indemnifications

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

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds may utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the 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 year, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Funds may utilize derivatives for the following purposes:

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

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

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

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

Futures Contracts

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures

120 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the 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
StylePlus—Large Core Fund	Index exposure		$	3,467,118	$	—
StylePlus—Mid Growth Fund	Index exposure			2,279,783		—
World Equity Income Fund	Hedge			—		3,273,295

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Total return and custom basket swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return or custom basket swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Funds’ use and volume of total return swaps on a monthly basis:

			Average Notional Amount
Fund		Use	Long		Short
StylePlus—Large Core Fund	Index exposure		$	200,124,681	$	—
StylePlus—Mid Growth Fund	Index exposure			89,623,279		—

The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:

			Average Notional Amount
Fund		Use	Long		Short
Alpha Opportunity Fund	Hedge, Leverage		$	9,514,081	$	29,744,142
Market Neutral Real Estate Fund	Hedge			—		44,083,507
Risk Managed Real Estate Fund	Hedge, Leverage			106,455,337		84,835,412

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2021
Risk Managed Real Estate Fund	$	—	$	11,662,699	$	—	$	11,662,699
StylePlus—Large Core Fund		—		52,152,694		—		52,152,694
StylePlus—Mid Growth Fund		—		21,766,602		—		21,766,602

Liability Derivative Investments Value
Fund	Futures Equity Risk*		Swaps Equity Risk		Futures Foreign Currency Exchange Risk*		Total Value at September 30, 2021
Alpha Opportunity Fund	$	—	$	272,911	$	—	$	272,911
Market Neutral Real Estate Fund		—		2,147,300		—		2,147,300
Risk Managed Real Estate Fund		—		2,759,947		—		2,759,947
StylePlus—Large Core Fund		195,891		—		—		195,891
World Equity Income Fund		—		—		11,598		11,598

* 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 following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Currency futures contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Equity swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Risk		Swaps Equity Risk			Futures Foreign Currency Exchange Risk		Total
Alpha Opportunity Fund	$	—	$	(9,106,066	)	$	—	$	(9,106,066	)
Market Neutral Real Estate Fund		—		(12,232,978	)		—		(12,232,978	)
Risk Managed Real Estate Fund		—		(1,285,447	)		—		(1,285,447	)
StylePlus—Large Core Fund		917,512		20,184,153			—		21,101,665
StylePlus—Mid Growth Fund		717,834		15,347,680			—		16,065,514
World Equity Income Fund		—		—			20,135		20,135

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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			Total
Alpha Opportunity Fund	$	—		$	733,262		$	—		$	733,262
Market Neutral Real Estate Fund		—			(2,167,286	)		—			(2,167,286	)
Risk Managed Real Estate Fund		—			6,684,079			—			6,684,079
StylePlus—Large Core Fund		(127,889	)		29,966,375			—			29,838,486
StylePlus—Mid Growth Fund		33,378			7,513,504			—			7,546,882
World Equity Income Fund		—			—			(11,598	)		(11,598	)

In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

Foreign Investments

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

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

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

Note 3 – Offsetting

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

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NOTES TO FINANCIAL STATEMENTS (continued)

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

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the 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.

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
Risk Managed Real Estate Fund	Custom basket swap agreements	$	11,662,699	$	—	$	11,662,699	$	(2,759,947	)	$	—		$	8,902,752
StylePlus—Large Core Fund	Swap equity contracts		52,152,694		—		52,152,694		—			(52,152,694	)		—
StylePlus—Mid Growth Fund	Swap equity contracts		21,766,602		—		21,766,602		—			(21,766,602	)		—

124 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Alpha Opportunity Fund	Custom basket swap agreements	$	272,911	$	—	$	272,911	$	(272,911	)	$	—	$	—
Market Neutral Real Estate Fund	Custom basket swap agreements		2,147,300		—		2,147,300		(2,147,300	)		—		—
Risk Managed Real Estate Fund	Custom basket swap agreements		2,759,947		—		2,759,947		(2,759,947	)		—		—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Risk Managed Real Estate Fund	Morgan Stanley Capital Services LLC	Custom basket swap agreements	$	—	$	4,538,030
StylePlus—Large Core Fund	Morgan Stanley Capital Services LLC	Futures contracts		460,000		—
	Wells Fargo Bank, N.A.	Total return swap agreements		—		54,150,000
				460,000		54,150,000
StylePlus—Mid Growth Fund	Citibank, N.A.	Total return swap agreements		—		22,020,000
	Morgan Stanley Capital Services LLC	Futures contracts		55,500		—
				55,500		22,020,000
World Equity Income Fund	BofA Securities, Inc.	Futures contracts		65,000		—

Note 4 – Fair Value Measurement

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

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

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

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

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

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
Alpha Opportunity Fund		0.90	%
Large Cap Value Fund		0.65	%
Market Neutral Real Estate Fund		1.10	%
Risk Managed Real Estate Fund		0.75	%
Small Cap Value Fund		0.75	%
StylePlus—Large Core Fund		0.75	%
StylePlus—Mid Growth Fund		0.75	%
World Equity Income Fund		0.70	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

		Limit		Effective Date		Contract End Date
Alpha Opportunity Fund – A-Class	1.76%		05/31/17		02/01/23
Alpha Opportunity Fund – C-Class	2.51%		05/31/17		02/01/23
Alpha Opportunity - P-Class	1.76%		05/31/17		02/01/23
Alpha Opportunity Fund – Institutional Class	1.51%		05/31/17		02/01/23
Large Cap Value Fund – A-Class	1.15%		11/30/12		02/01/23
Large Cap Value Fund – C-Class	1.90%		11/30/12		02/01/23
Large Cap Value Fund – P-Class	1.15%		05/01/15		02/01/23
Large Cap Value Fund – Institutional Class	0.90%		06/05/13		02/01/23
Market Neutral Real Estate Fund – A-Class	1.65%		02/26/16		02/01/23
Market Neutral Real Estate Fund – C-Class	2.40%		02/26/16		02/01/23
Market Neutral Real Estate Fund – P-Class	1.65%		02/26/16		02/01/23
Market Neutral Real Estate Fund – Institutional Class	1.40%		02/26/16		02/01/23
Risk Managed Real Estate Fund – A-Class	1.30%		03/26/14		02/01/23
Risk Managed Real Estate Fund – C-Class	2.05%		03/26/14		02/01/23
Risk Managed Real Estate Fund – P-Class	1.30%		05/01/15		02/01/23
Risk Managed Real Estate Fund – Institutional Class	1.10%		03/26/14		02/01/23
Small Cap Value Fund – A-Class	1.30%		11/30/12		02/01/23
Small Cap Value Fund – C-Class	2.05%		11/30/12		02/01/23
Small Cap Value Fund – P-Class	1.30%		05/01/15		02/01/23
Small Cap Value Fund – Institutional Class	1.05%		11/30/12		02/01/23
World Equity Income Fund – A-Class	1.22%		08/15/13		02/01/23
World Equity Income Fund – C-Class	1.97%		08/15/13		02/01/23
World Equity Income Fund – P-Class	1.22%		05/01/15		02/01/23
World Equity Income Fund – Institutional Class	0.97%		08/15/13		02/01/23

126 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

GI and GPIM are entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI and GPIM are entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI or GPIM. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2022		2023		2024		Total
Alpha Opportunity Fund
A-Class	$	—	$	1,491	$	5,716	$	7,207
C-Class		594		949		739		2,282
P-Class		—		458		3,390		3,848
Institutional Class		—		—		21,322		21,322
Large Cap Value Fund
A-Class		86,271		123,000		115,359		324,630
C-Class		5,745		6,365		5,446		17,556
P-Class		654		1,005		961		2,620
Institutional Class		9,093		2,945		3,072		15,110
Market Neutral Real Estate Fund
A-Class		61,944		55,287		20,606		137,837
C-Class		3,045		1,909		888		5,842
P-Class		6,884		8,658		15,753		31,295
Institutional Class		115,010		79,024		103,050		297,084
Risk Managed Real Estate Fund
A-Class		—		—		1,011		1,011
C-Class		268		611		501		1,380
P-Class		—		5,443		3,625		9,068
Institutional Class		—		—		4,938		4,938
Small Cap Value Fund
A-Class		101,617		118,318		126,091		346,026
C-Class		21,993		25,348		24,783		72,124
P-Class		491		1,268		1,282		3,041
Institutional Class		35,461		35,467		38,236		109,164
World Equity Income Fund
A-Class		89,463		120,308		103,050		312,821
C-Class		11,022		13,263		10,532		34,817
P-Class		318		359		336		1,013
Institutional Class		27,702		16,027		7,366		51,095

For the year ended September 30, 2021, GI recouped amounts from the Funds as follows:

Alpha Opportunity Fund	$ 5,518
Risk Manged Real Estate Fund	22,390
World Equity Income Fund	455

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
StylePlus—Large Core Fund	$	148,985
StylePlus—Mid Growth Fund		64,182

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

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NOTES TO FINANCIAL STATEMENTS (continued)

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

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

At September 30, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of Outstanding Shares Owned
Alpha Opportunity Fund	71%

Note 6 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Alpha Opportunity Fund	$	411,952	$	—	$	411,952
Large Cap Value Fund		990,392		1,316,580		2,306,972
Market Neutral Real Estate Fund		204,622		28,095		232,717
Risk Managed Real Estate Fund		17,748,987		8,296,994		26,045,981
Small Cap Value Fund		50,007		—		50,007
StylePlus—Large Core Fund		1,785,952		17,607,073		19,393,025
StylePlus—Mid Growth Fund		388,530		13,397,661		13,786,191
World Equity Income Fund		890,081		100,680		990,761

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Alpha Opportunity Fund	$	862,439	$	—	$	862,439
Large Cap Value Fund		936,171		3,231,088		4,167,259
Market Neutral Real Estate Fund		105,833		282,471		388,304
Risk Managed Real Estate Fund		4,652,831		9,825,451		14,478,282
Small Cap Value Fund		211,835		292,577		504,412
StylePlus—Large Core Fund		2,990,159		336,849		3,327,008
StylePlus—Mid Growth Fund		948,478		975,309		1,923,787
World Equity Income Fund		882,816		181,362		1,064,178

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

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses			Other Temporary Differences			Total
Alpha Opportunity Fund	$	282,314	$	—	$	242,943	$	(27,958,891	)	$	—		$	(27,433,634	)
Large Cap Value Fund		568,718		2,129,255		9,210,600		—			—			11,908,573
Market Neutral Real Estate Fund		161,651		—		1,746,428		(1,774,249	)		—			133,830
Risk Managed Real Estate Fund		19,717,172		4,297,458		71,773,138		(1,525,358	)		(1,679,584	)		92,582,826
Small Cap Value Fund		—		—		1,183,726		(98,850	)		—			1,084,876
StylePlus—Large Core Fund		8,317,082		2,748,661		57,093,089		—			—			68,158,832
StylePlus—Mid Growth Fund		4,024,318		1,771,212		22,551,895		—			—			28,347,425
World Equity Income Fund		9,519,664		2,092,667		2,730,064		—			—			14,342,395

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Funds were as follows:

Fund	Unlimited
		Short-Term			Long-Term			Total Capital Loss Carryforward
Alpha Opportunity Fund	$	(21,015,911	)	$	(6,942,980	)	$	(27,958,891	)
Market Neutral Real Estate Fund		(1,311,877	)		(462,372	)		(1,774,249	)
Small Cap Value Fund		(50,848	)		(48,002	)		(98,850	)

For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:

Fund	Utilized
Alpha Opportunity Fund	$	693,363
StylePlus—Mid Growth Fund		971,225

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Fund	Paid In Capital			Total Distributable Earnings/(Loss)
Large Cap Value Fund	$	208,331		$	(208,331	)
Risk Managed Real Estate Fund		3,440,869			(3,440,869	)
Small Cap Value Fund		(20,075	)		20,075
StylePlus—Large Core Fund		600,145			(600,145	)
StylePlus—Mid Growth Fund		494,377			(494,377	)
World Equity Income Fund		803,805			(803,805	)

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
Alpha Opportunity Fund	$	35,410,455	$	1,696,985	$	(1,454,042	)	$	242,943
Large Cap Value Fund		30,307,691		9,767,855		(557,255	)		9,210,600
Market Neutral Real Estate Fund		58,022,493		5,253,065		(3,506,637	)		1,746,428
Risk Managed Real Estate Fund		391,193,428		80,425,336		(8,652,198	)		71,773,138
Small Cap Value Fund		5,626,573		1,538,063		(354,337	)		1,183,726
StylePlus—Large Core Fund		252,217,534		58,420,061		(1,326,972	)		57,093,089
StylePlus—Mid Growth Fund		110,753,808		23,449,587		(897,692	)		22,551,895
World Equity Income Fund		47,678,338		4,913,978		(2,186,239	)		2,727,739

Note 7 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Alpha Opportunity Fund	$	62,907,100	$	78,490,663
Large Cap Value Fund		6,790,228		10,140,488
Market Neutral Real Estate Fund		121,196,832		116,083,278
Risk Managed Real Estate Fund		359,907,736		329,605,742
Small Cap Value Fund		1,832,030		2,924,113
StylePlus—Large Core Fund		104,576,759		57,658,576
StylePlus—Mid Growth Fund		65,091,236		45,820,400
World Equity Income Fund		93,432,725		97,178,672

Note 8 – 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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

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NOTES TO FINANCIAL STATEMENTS (concluded)

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 Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 9 – Large Shareholder Risk

As of September 30, 2021, 70.9% of the Alpha Opportunity Fund (the “Fund”) was held by Guggenheim Macro Opportunities Fund. The Fund may experience adverse effects if a large number of shares of the Fund are held by a single shareholder (e.g., an institutional investor, financial intermediary or another GI Fund). The Fund is subject to the risk that a redemption by those shareholders of all or a large portion of the Fund could cause the Fund to liquidate its assets at inopportune times, or at a loss or depressed value, which could adversely impact the Fund’s performance and cause the value of a shareholder’s investment to decline. Redemptions of a large number of shares also may increase transaction costs or, by necessitating a sale of portfolio securities, have adverse tax consequences for shareholders. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any) and may limit or prevent a Fund’s use of tax equalization.

Note 10 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 11 – 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.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Guggenheim Alpha Opportunity Fund, Guggenheim Large Cap Value Fund, Guggenheim Market Neutral Real Estate Fund, Guggenheim Risk Managed Real Estate Fund, Guggenheim Small Cap Value Fund, Guggenheim StylePlus-Large Core Fund, Guggenheim StylePlus-Mid Growth Fund and Guggenheim World Equity Income Fund (collectively referred to as the “Funds”) (eight of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eight of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
November 29, 2021

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

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

In January 2022, 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 2021.

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 ending September 30, 2021, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Alpha Opportunity Fund		100.00	%		100.00	%		1.70	%		0.00	%
Large Cap Value Fund		100.00	%		100.00	%		0.34	%		0.00	%
Market Neutral Real Estate Fund		4.31	%		4.31	%		3.32	%		100.00	%
Risk Managed Real Estate Fund		3.80	%		3.84	%		0.45	%		100.00	%
Small Cap Value Fund		100.00	%		100.00	%		0.01	%		0.00	%
StylePlus—Large Core Fund		63.63	%		63.73	%		2.62	%		100.00	%
StylePlus—Mid Growth Fund		81.30	%		80.82	%		0.00	%		0.00	%
World Equity Income Fund		30.08	%		24.21	%		0.05	%		0.00	%

With respect to the taxable year ended September 30, 2021, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

Fund	From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
Large Cap Value Fund	$	1,316,580	$	208,331
Market Neutral Real Estate Fund		28,095		—
Risk Managed Real Estate Fund		8,296,994		3,230,171
StylePlus—Large Core Fund		17,607,073		600,145
StylePlus—Mid Growth Fund		13,397,661		494,377
World Equity Income Fund		100,680		803,805

Final regulations dated June 24, 2020 enable a regulated investment company to pay Section 199A dividends to its shareholders. Section 199A, enacted as part of the Tax Cuts and Jobs Act of 2017, may allow non-corporate tax payers a deduction of up to 20% of qualified business income from flow-through entities, including dividends from real estate investment trusts. The qualifying percentage of the Fund’s ordinary income and short-term capital gain distributions, if any, for the purposes of the Section 199A deduction was 30.92% for Risk Managed Real Estate Fund and 44.49% for the Market Neutral Real Estate Fund.

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OTHER INFORMATION (Unaudited)(continued)

Delivery of Shareholder Reports

Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)	●	Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)	●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
●	Guggenheim High Yield Fund (“High Yield Fund”)	●	Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)	●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)
●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)	●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)	●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)	●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)

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OTHER INFORMATION (Unaudited)(continued)

●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)	●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)	●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)
●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.
4	On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

(the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

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

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

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OTHER INFORMATION (Unaudited)(continued)

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

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

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

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

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

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

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

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

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

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

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense

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OTHER INFORMATION (Unaudited)(continued)

waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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

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

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

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

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

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

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

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OTHER INFORMATION (Unaudited)(concluded)

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

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

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

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

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit 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.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) 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).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 147

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 149

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

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

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

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

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

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

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Diversified Income Fund

Guggenheim High Yield Fund

Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund)

Guggenheim Municipal Income Fund

GuggenheimInvestments.com SBINC-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
DIVERSIFIED INCOME FUND	9
HIGH YIELD FUND	19
CORE BOND FUND	41
MUNICIPAL INCOME FUND	71
NOTES TO FINANCIAL STATEMENTS	87
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	107
OTHER INFORMATION	108
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	117
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	122
LIQUIDITY RISK MANAGEMENT PROGRAM	125

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 2021.

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for each Fund.

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

Sincerely,

Security Investors, LLC,

Guggenheim Partners Investment Management, LLC,

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

Diversified Income Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the fund to greater volatility. ● Derivatives may pose risks in addition to and greater than those associated with investing directly in securities or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. ● Stock prices, especially stock prices of smaller companies, can be volatile as they reflect changes in the issuing company’s financial conditions and changes in the overall market ● Some asset-backed securities, including mortgage-backed securities, may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices very volatile and they are subject to liquidity risk.● The Fund’s investments in other investment vehicles subject the fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● Master limited partnerships (“MLPs”) are subject to certain risks inherent in the structure of MLPs, including tax risks, limited control and voting rights and potential conflicts of interest. MLPs that concentrate in a particular industry or a particular geographic region are subject to risks associated with such industry or region. ● The Fund’s investments in real estate securities subject the fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments and investment strategies, including investments in MLPs and certain investment vehicles, may be subject to special and complex federal income tax provisions that may adversely affect the fund and its distributions to shareholders. ● Leveraging will exaggerate the effect on NAV of any increase or decrease in the market value of the Fund’s portfolio. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

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

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

Municipal Income Fund may not be suitable for all investors. ● The Fund will be significantly affected by events that affect the municipal bond market, which could include unfavorable legislative or political developments and adverse changes in the financial conditions of state and municipal issuers or the federal government in case it provides financial support to the municipality. Income from municipal bonds held by the Fund could be declared taxable because of changes in tax laws. The Fund may invest in securities that generate taxable income. A portion of the Fund’s otherwise tax-exempt dividends may be taxable to those shareholders subject to the alternative minimum tax. ● Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the Fund and the overall municipal market. ● Municipalities currently experience budget shortfalls, which could cause them to default on their debt and thus subject the Fund to unforeseen losses. ● Like other funds that hold bonds and other fixed-income investments, the Fund’s market value will change in response to interest rate changes and market conditions, among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high-yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ●Instruments and strategies (such as reverse repurchase agreements, unfunded commitments, tender option bonds, and borrowings) may expose the Fund to many of the same risks as investments in derivatives and may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

*Index Definitions

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

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

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

Bloomberg Municipal Bond Index is a broad market performance benchmark for the tax-exempt bond market. The bonds included in this index must have a minimum credit rating of at least Baa.

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

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

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

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

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

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

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

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Diversified Income Fund
A-Class	0.77%	4.41%	$ 1,000.00	$ 1,044.10	$ 3.95
C-Class	1.51%	4.01%	1,000.00	1,040.10	7.72
P-Class	0.76%	4.45%	1,000.00	1,044.50	3.90
Institutional Class	0.52%	4.54%	1,000.00	1,045.40	2.67
High Yield Fund
A-Class	1.04%	4.21%	1,000.00	1,042.10	5.32
C-Class	1.88%	3.74%	1,000.00	1,037.40	9.60
P-Class	1.15%	4.13%	1,000.00	1,041.30	5.88
Institutional Class	0.84%	4.26%	1,000.00	1,042.60	4.30
R6-Class	0.75%	4.44%	1,000.00	1,044.40	3.84
Core Bond Fund
A-Class	0.79%	3.11%	1,000.00	1,031.10	4.02
C-Class	1.54%	2.74%	1,000.00	1,027.40	7.83
P-Class	0.79%	3.11%	1,000.00	1,031.10	4.02
Institutional Class	0.50%	3.27%	1,000.00	1,032.70	2.55
Municipal Income Fund
A-Class	0.80%	0.99%	1,000.00	1,009.90	4.03
C-Class	1.55%	0.62%	1,000.00	1,006.20	7.80
P-Class	0.80%	0.92%	1,000.00	1,009.20	4.03
Institutional Class	0.55%	1.12%	1,000.00	1,011.20	2.77

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Diversified Income Fund
A-Class	0.77%	5.00%	$ 1,000.00	$ 1,021.21	$ 3.90
C-Class	1.51%	5.00%	1,000.00	1,017.50	7.64
P-Class	0.76%	5.00%	1,000.00	1,021.26	3.85
Institutional Class	0.52%	5.00%	1,000.00	1,022.46	2.64
High Yield Fund
A-Class	1.04%	5.00%	1,000.00	1,019.85	5.27
C-Class	1.88%	5.00%	1,000.00	1,015.64	9.50
P-Class	1.15%	5.00%	1,000.00	1,019.30	5.82
Institutional Class	0.84%	5.00%	1,000.00	1,020.86	4.26
R6-Class	0.75%	5.00%	1,000.00	1,021.31	3.80
Core Bond Fund
A-Class	0.79%	5.00%	1,000.00	1,021.11	4.00
C-Class	1.54%	5.00%	1,000.00	1,017.35	7.79
P-Class	0.79%	5.00%	1,000.00	1,021.11	4.00
Institutional Class	0.50%	5.00%	1,000.00	1,022.56	2.54
Municipal Income Fund
A-Class	0.80%	5.00%	1,000.00	1,021.06	4.05
C-Class	1.55%	5.00%	1,000.00	1,017.30	7.84
P-Class	0.80%	5.00%	1,000.00	1,021.06	4.05
Institutional Class	0.55%	5.00%	1,000.00	1,022.31	2.79

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

	A-Class	C-Class	P-Class	Institutional Class	R6-Class
Diversified Income Fund	0.76%	1.50%	0.76%	0.51%	N/A
High Yield Fund	1.02%	1.86%	1.13%	0.82%	0.73%
Core Bond Fund	0.78%	1.53%	0.78%	0.49%	N/A
Municipal Income Fund	0.79%	1.54%	0.79%	0.54%	N/A

2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Diversified Income Fund (the “Fund”) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; and Patrick Mitchell, Senior Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to achieve high current income with consideration for capital appreciation and offers a diversified global portfolio with exposure across multiple asset classes. The Fund utilizes a diverse set of alternative income sources from a broad investment universe that expands the traditional income landscape to include sources such as bank loans, equity REITs, infrastructure-related equities, and closed-end funds. The Fund also employs dynamic portfolio management that seeks to adapt to changing market conditions in order to produce attractive current income, while managing unintended risks and equity volatility.

Performance Review and Positioning

For the one year period ended September 30, 2021, Guggenheim Diversified Income Fund returned 16.10%¹, compared with the -0.90% return of the Bloomberg U.S. Aggregate Bond Index. A 70/30 blend of the Bloomberg U.S. Aggregate Bond Index and MSCI World Index, the Fund’s secondary benchmark, returned 7.39%.

The twelve month trailing distribution yield for Class A shares was 2.97% and the subsidized SEC 30-day yield was 2.06% for Class A shares. The SEC 30-day yield is based on net investment income for the 30 day period ended September 30, 2021, is annualized, and is divided by the maximum offering price at month-end.

Both the core fixed income exposure and equity exposure contributed to performance. The core fixed income holdings benefited most from the performance of out-of-benchmark holdings in REITs, closed end funds, high yield, and bank loans, as these sectors outperformed the blended benchmark return.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

DIVERSIFIED INCOME FUND

OBJECTIVE: Seeks to achieve high current income with consideration for capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	January 29, 2016
C-Class	January 29, 2016
P-Class	January 29, 2016
Institutional Class	January 29, 2016

Ten Largest Holdings (% of Total Net Assets)
Guggenheim High Yield Fund — R6-Class	24.9%
Guggenheim RBP Large-Cap Market Fund — Institutional Class	17.5%
Guggenheim Floating Rate Strategies Fund — R6-Class	10.0%
Guggenheim Core Bond Fund — Institutional Class	9.9%
Guggenheim RBP Dividend Fund — Institutional Class	9.1%
Guggenheim Ultra Short Duration Fund — Institutional Class	5.0%
Guggenheim World Equity Income Fund — Institutional Class	4.9%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	4.7%
Virtus AllianzGI Diversified Income & Convertible Fund	0.4%
Calamos Convertible Opportunities and Income Fund	0.4%
Top Ten Total	86.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (01/29/16)
A-Class Shares	16.10%	5.03%	6.41%
A-Class Shares with sales charge‡	11.47%	4.18%	5.65%
C-Class Shares	15.24%	4.25%	5.62%
C-Class Shares with CDSC§	14.24%	4.25%	5.62%
P-Class Shares	16.12%	5.03%	6.41%
Institutional Class Shares	16.40%	5.29%	6.67%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	3.36%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Fund returns are calculated using the maximum sales charge of 4.00%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	September 30, 2021
DIVERSIFIED INCOME FUND

	Shares		Value
MUTUAL FUNDS† - 86.0%
Guggenheim High Yield Fund — R6-Class1		174,902	$	1,918,674
Guggenheim RBP Large-Cap Market Fund — Institutional Class1		93,939		1,348,962
Guggenheim Floating Rate Strategies Fund — R6-Class1		30,521		766,388
Guggenheim Core Bond Fund — Institutional Class1		38,249		766,128
Guggenheim RBP Dividend Fund — Institutional Class1		49,546		700,580
Guggenheim Ultra Short Duration Fund — Institutional Class1		38,399		382,840
Guggenheim World Equity Income Fund — Institutional Class1		20,333		378,399
Guggenheim Risk Managed Real Estate Fund — Institutional Class1		9,656		360,541
Total Mutual Funds
(Cost $5,964,244)				6,622,512
CLOSED-END FUNDS† - 11.2%
Virtus AllianzGI Diversified Income & Convertible Fund		904		30,628
Calamos Convertible Opportunities and Income Fund		1,944		29,102
John Hancock Premium Dividend Fund		1,750		29,085
First Trust Energy Income and Growth Fund		2,100		28,476
Royce Value Trust, Inc.		1,500		27,030
Neuberger Berman High Yield Strategies Fund, Inc.		2,113		26,772
Eaton Vance Tax-Advantaged Dividend Income Fund		962		26,407
Western Asset High Income Fund II, Inc.		3,448		24,688
Eaton Vance Enhanced Equity Income Fund II		1,058		24,567
BlackRock Enhanced Equity Dividend Trust		2,500		24,500
Ares Dynamic Credit Allocation Fund, Inc.		1,500		24,285
Cohen & Steers REIT and Preferred and Income Fund, Inc.		940		24,111
Invesco High Income Trust II		1,650		24,090
John Hancock Investors Trust		1,278		23,848
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		1,470		23,505
John Hancock Preferred Income Fund		1,050		22,575
Western Asset Mortgage Opportunity Fund, Inc.		1,450		22,417
Eaton Vance Tax-Managed Buy-Write Income Fund		1,400		22,414
Pioneer High Income Fund, Inc.		2,284		22,292
PIMCO High Income Fund		3,500		21,980
Western Asset Premier Bond Fund		1,529		21,589
PIMCO Dynamic Income Opportunities Fund		1,000		20,980
KKR Income Opportunities Fund		1,274		20,868
BlackRock Credit Allocation Income Trust		1,355		20,528
BlackRock Limited Duration Income Trust		1,200		20,508
Western Asset Emerging Markets Debt Fund, Inc.		1,505		20,468
ClearBridge MLP & Midstream Total Return Fund, Inc.		850		20,400
PGIM High Yield Bond Fund, Inc.		1,242		20,170
Western Asset Global Corporate Defined Opportunity Fund, Inc.		1,108		19,977
DoubleLine Income Solutions Fund		1,123		19,944
John Hancock Income Securities Trust		1,250		19,838
Eaton Vance Limited Duration Income Fund		1,500		19,770
Reaves Utility Income Fund		600		19,662
Blackstone Strategic Credit Fund		1,419		19,653
Apollo Senior Floating Rate Fund, Inc.		1,224		19,339
Voya Infrastructure Industrials and Materials Fund		1,500		18,840
PIMCO Dynamic Income Fund		695		18,473
Delaware Ivy High Income Opportunities Fund		1,308		17,880
Total Closed-End Funds
(Cost $705,704)				861,659
MONEY MARKET FUND† - 1.4%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.01%2		104,967		104,967
Total Money Market Fund
(Cost $104,967)				104,967
Total Investments - 98.6%
(Cost $6,774,915)			$	7,589,138
Other Assets & Liabilities, net - 1.4%				106,395
Total Net Assets - 100.0%			$	7,695,533

†	Value determined based on Level 1 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2021.
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
DIVERSIFIED INCOME FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Mutual Funds	$	6,622,512	$	—	$	—	$	6,622,512
Closed-End Funds		861,659		—		—		861,659
Money Market Fund		104,967		—		—		104,967
Total Assets	$	7,589,138	$	—	$	—	$	7,589,138

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.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income		Capital Gain Distributions
Mutual Funds
Guggenheim Floating Rate Strategies Fund — R6-Class	$	1,051,568	$	336,479	$	(675,275	)	$	(12,625	)	$	66,241		$	766,388		30,521	$	41,294	$	—
Guggenheim High Yield Fund — R6-Class		1,501,803		809,471		(486,991	)		(3,011	)		97,402			1,918,674		174,902		88,685		—
Guggenheim Core Bond Fund — Institutional Class		1,312,112		446,941		(959,947	)		38,480			(71,458	)		766,128		38,249		27,310		27,120
Guggenheim RBP Dividend Fund — Institutional Class		614,550		309,550		(502,989	)		85,752			193,717			700,580		49,546		29,562		—
Guggenheim RBP Large-Cap Market Fund — Institutional Class		—		1,327,842		—			—			21,120			1,348,962		93,939		—		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		625,585		53,880		(469,451	)		86,282			64,245			360,541		9,656		10,526		35,865
Guggenheim Ultra Short Duration Fund — Institutional Class		343,979		342,105		(302,876	)		4,925			(5,293	)		382,840		38,399		2,107		—
Guggenheim World Equity Income Fund — Institutional Class		307,075		41,324		(44,854	)		13,071			61,783			378,399		20,333		7,836		—
	$	5,756,672	$	3,667,592	$	(3,442,383	)	$	212,874		$	427,757		$	6,622,512			$	207,320	$	62,985

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

DIVERSIFIED INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $810,671)	$	966,626
Investments in affiliated issuers, at value (cost $5,964,244)		6,622,512
Prepaid expenses		25,361
Receivables:
Securities sold		176,878
Dividends		20,364
Investment Adviser		14,536
Total assets		7,826,277
Liabilities:
Payable for:
Securities purchased		89,324
Professional fees		27,681
Fund accounting/administration fees		5,793
Transfer agent/maintenance fees		2,222
Trustees’ fees*		1,745
Distribution and service fees		309
Fund shares redeemed		53
Miscellaneous		3,617
Total liabilities		130,744
Net assets	$	7,695,533
Net assets consist of:
Paid in capital	$	6,928,844
Total distributable earnings (loss)		766,689
Net assets	$	7,695,533
A-Class:
Net assets	$	339,893
Capital shares outstanding		11,949
Net asset value per share	$	28.45
Maximum offering price per share (Net asset value divided by 96.00%)	$	29.64
C-Class:
Net assets	$	253,769
Capital shares outstanding		8,947
Net asset value per share	$	28.36
P-Class:
Net assets	$	151,514
Capital shares outstanding		5,330
Net asset value per share	$	28.43
Institutional Class:
Net assets	$	6,950,357
Capital shares outstanding		244,386
Net asset value per share	$	28.44

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	42,950
Dividends from securities of affiliated issuers		207,320
Interest		5
Total investment income		250,275
Expenses:
Management fees		54,840
Distribution and service fees:
A-Class		771
C-Class		2,240
P-Class		355
Transfer agent/maintenance fees:
A-Class		1,445
C-Class		1,066
P-Class		653
Institutional Class		22,441
Registration fees		77,994
Professional fees		35,811
Fund accounting/administration fees		33,711
Trustees’ fees*		17,181
Custodian fees		9,110
Tax expense		921
Line of credit fees		339
Miscellaneous		5,057
Total expenses		263,935
Less:
Expenses reimbursed by Adviser:
A-Class		(5,709	)
C-Class		(4,203	)
P-Class		(2,643	)
Institutional Class		(115,185	)
Expenses waived by Adviser		(93,850	)
Total waived/reimbursed expenses		(221,590	)
Net expenses		42,345
Net investment income		207,930
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		25,772
Investments in affiliated issuers		212,874
Distributions received from affiliated investment companies		62,985
Net realized gain		301,631
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		135,230
Investments in affiliated issuers		427,757
Net change in unrealized appreciation (depreciation)		562,987
Net realized and unrealized gain		864,618
Net increase in net assets resulting from operations	$	1,072,548

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

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

DIVERSIFIED INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	207,930		$	225,886
Net realized gain (loss) on investments		301,631			(347,868	)
Net change in unrealized appreciation (depreciation) on investments		562,987			(129,464	)
Net increase (decrease) in net assets resulting from operations		1,072,548			(251,446	)
Distributions to shareholders:
A-Class		(9,389	)		(9,360	)
C-Class		(5,154	)		(14,474	)
P-Class		(4,350	)		(4,452	)
Institutional Class		(219,556	)		(223,499	)
Total distributions to shareholders		(238,449	)		(251,785	)
Capital share transactions:
Proceeds from sale of shares
A-Class		76,986			8,040
C-Class		34,067			93,138
P-Class		7,814			1,813
Institutional Class		53,000			44,460
Distributions reinvested
A-Class		9,389			9,360
C-Class		5,154			14,474
P-Class		4,350			4,452
Institutional Class		219,556			223,499
Cost of shares redeemed
A-Class		(48,400	)		(10,391	)
C-Class		(7,025	)		(648,757	)
P-Class		(4,588	)		(1,269	)
Institutional Class		(45,672	)		(69,589	)
Net increase (decrease) from capital share transactions		304,631			(330,770	)
Net increase (decrease) in net assets		1,138,730			(834,001	)
Net assets:
Beginning of year		6,556,803			7,390,804
End of year	$	7,695,533		$	6,556,803
Capital share activity:
Shares sold
A-Class		2,729			299
C-Class		1,197			3,804
P-Class		276			72
Institutional Class		1,849			1,735
Shares issued from reinvestment of distributions
A-Class		341			362
C-Class		189			547
P-Class		159			173
Institutional Class		7,993			8,661
Shares redeemed
A-Class		(1,686	)		(387	)
C-Class		(249	)		(26,782	)
P-Class		(167	)		(51	)
Institutional Class		(1,603	)		(2,776	)
Net increase (decrease) in shares		11,028			(14,343	)

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.27		$	26.99		$	26.70		$	27.58		$	27.12
Income (loss) from investment operations:
Net investment income (loss)a		.73			.81			.86			.91			.96
Net gain (loss) on investments (realized and unrealized)		3.30			(1.63	)		.50			(.70	)		.89
Total from investment operations		4.03			(.82	)		1.36			.21			1.85
Less distributions from:
Net investment income		(.85	)		(.81	)		(.77	)		(.90	)		(.95	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)
Total distributions		(.85	)		(.90	)		(1.07	)		(1.09	)		(1.39	)
Net asset value, end of period	$	28.45		$	25.27		$	26.99		$	26.70		$	27.58
Total Returnb		16.10	%		(3.06	%)		5.31	%		0.78	%		7.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	340		$	267		$	278		$	141		$	138
Ratios to average net assets:
Net investment income (loss)		2.64	%		3.14	%		3.26	%		3.37	%		3.53	%
Total expensesc		3.92	%		4.24	%		4.03	%		4.83	%		4.16	%
Net expensesd,e,f		0.78	%		0.83	%		0.85	%		0.84	%		0.85	%
Portfolio turnover rate		50	%		66	%		58	%		37	%		44	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.19		$	27.00		$	26.69		$	27.56		$	27.11
Income (loss) from investment operations:
Net investment income (loss)a		.52			.60			.69			.71			.76
Net gain (loss) on investments (realized and unrealized)		3.29			(1.62	)		.46			(.69	)		.87
Total from investment operations		3.81			(1.02	)		1.15			.02			1.63
Less distributions from:
Net investment income		(.64	)		(.70	)		(.54	)		(.70	)		(.74	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)
Total distributions		(.64	)		(.79	)		(.84	)		(.89	)		(1.18	)
Net asset value, end of period	$	28.36		$	25.19		$	27.00		$	26.69		$	27.56
Total Returnb		15.24	%		(3.77	%)		4.50	%		0.08	%		6.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	254		$	197		$	816		$	145		$	137
Ratios to average net assets:
Net investment income (loss)		1.89	%		2.26	%		2.59	%		2.63	%		2.78	%
Total expensesc		4.68	%		4.86	%		4.74	%		5.65	%		5.13	%
Net expensesd,e,f		1.52	%		1.58	%		1.59	%		1.59	%		1.60	%
Portfolio turnover rate		50	%		66	%		58	%		37	%		44	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.25		$	26.97		$	26.70		$	27.58		$	27.11
Income (loss) from investment operations:
Net investment income (loss)a		.73			.81			.85			.91			.95
Net gain (loss) on investments (realized and unrealized)		3.30			(1.63	)		.51			(.70	)		.89
Total from investment operations		4.03			(.82	)		1.36			.21			1.84
Less distributions from:
Net investment income		(.85	)		(.81	)		(.79	)		(.90	)		(.93	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)
Total distributions		(.85	)		(.90	)		(1.09	)		(1.09	)		(1.37	)
Net asset value, end of period	$	28.43		$	25.25		$	26.97		$	26.70		$	27.58
Total Return		16.12	%		(3.03	%)		5.23	%		0.82	%		7.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	152		$	128		$	131		$	125		$	123
Ratios to average net assets:
Net investment income (loss)		2.64	%		3.14	%		3.22	%		3.37	%		3.51	%
Total expensesc		3.92	%		4.19	%		3.97	%		4.82	%		4.23	%
Net expensesd,e,f		0.78	%		0.83	%		0.85	%		0.84	%		0.85	%
Portfolio turnover rate		50	%		66	%		58	%		37	%		44	%

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

DIVERSIFIED INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.26		$	26.98		$	26.72		$	27.59		$	27.11
Income (loss) from investment operations:
Net investment income (loss)a		.80			.87			.92			.98			1.03
Net gain (loss) on investments (realized and unrealized)		3.30			(1.63	)		.49			(.70	)		.89
Total from investment operations		4.10			(.76	)		1.41			.28			1.92
Less distributions from:
Net investment income		(.92	)		(.87	)		(.85	)		(.96	)		(1.00	)
Net realized gains		—			(.09	)		(.30	)		(.19	)		(.44	)
Total distributions		(.92	)		(.96	)		(1.15	)		(1.15	)		(1.44	)
Net asset value, end of period	$	28.44		$	25.26		$	26.98		$	26.72		$	27.59
Total Return		16.40	%		(2.82	%)		5.52	%		1.06	%		7.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,950		$	5,965		$	6,165		$	5,757		$	5,619
Ratios to average net assets:
Net investment income (loss)		2.89	%		3.39	%		3.47	%		3.62	%		3.78	%
Total expensesc		3.55	%		3.78	%		3.58	%		4.42	%		3.83	%
Net expensesd,e,f		0.53	%		0.58	%		0.60	%		0.60	%		0.59	%
Portfolio turnover rate		50	%		66	%		58	%		37	%		44	%

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	—	—	—	0.19%
C-Class	—	0.00%*	—	—	0.19%
P-Class	—	0.00%*	—	—	0.16%
Institutional Class	—	0.00%*	—	—	0.16%

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.77%	0.82%	0.85%	0.84%	0.82%
C-Class	1.51%	1.57%	1.59%	1.58%	1.57%
P-Class	0.77%	0.82%	0.85%	0.84%	0.82%
Institutional Class	0.52%	0.57%	0.60%	0.59%	0.57%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim High Yield Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Thomas J. Hauser, Senior Managing Director and Portfolio Manager; and Richard de Wet, Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to deliver high current income. Capital appreciation is a secondary objective. The Fund’s strategy offers the flexibility to invest across a broad array of high yield securities including corporate bonds, syndicated bank loans, mortgage-backed and asset-backed securities and convertible securities and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance. An allocation to high yield securities may provide additional diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) along with higher income and return potential. Investors should note, high yield, below investment grade, and unrated high-risk debt securities may present additional risk because these securities may be less liquid and present more credit risk than investment grade bonds.

Performance Review and Positioning

For the one-year period ended September 30, 2021, Guggenheim High Yield Bond Fund returned 11.02%¹, compared to 11.28% return of its benchmark, the Bloomberg U.S. Corporate High Yield Index.

The high yield market rallied over the period, with twelve consecutive months of positive returns. The unprecedented and ongoing policy response to COVID-19 has accelerated the progression of the credit cycle, but we believe we are still in its early stages characterized by strong earnings growth, low default volumes, upward ratings migration, and tight spreads. However, near-term downside risks emerged towards the end of the period with the spread of the Delta variant globally and increasing concerns about inflation and volatility around possible Federal Reserve tapering.

New high-yield issuance totaled $410 billion for the first nine months of 2021, 17% ahead of the same period last year. Two-thirds of this year’s new issuance was for refinancing existing debt. The new issue market remains ahead of last year’s pace, primarily due to the strong issuance in the first quarter. High-yield mutual funds and ETFs have experienced outflows of $14.9 billion through the first nine months of 2021, compared with inflows of $30 billion during the same period in 2020.

Calendar year-to-date performance in high yield is positive across industries with Energy continuing to be the top performer amid rising commodity prices. CCCs have outperformed, doubling the returns of BBs and Bs with most of outperformance occurring in the first and second quarters. According to Bank of America Merrill Lynch research, the 12-month trailing par-weighted high-yield default rate fell to 1.3% as of the end of the period. Rating upgrades exceeded downgrades in the quarter as corporate balance sheets recover amid an improved economic backdrop. Easy lending and improving fundamentals continue to support expectations of low default activity.

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 negligible impact to performance. Non-U.S. dollar denominated assets comprise less than 2% of the Fund.

The Fund performed in-line with the market over the period even as the asset class overall produced very strong returns. A small exposure to equity as well as derivative exposure in the form of total return swaps on high yield ETFs contributed to performance. The Fund produced strong relative returns in the Communications and Consumer Non-Cyclical Sectors. A sizable underweight and conservative positioning within the Energy Sector detracted dramatically in an environment in which Energy as the top performing sector generated nearly double the returns of the next highest sector. Credit selection within CCC rated credit more than offset an underweight to this more risky part of the market, with the issues of these more highly levered companies generating outsized returns.

Even as high yield market fundamentals are strong and improving, we have become more cautious amidst the market rally. As spreads to Treasuries have narrowed to within range of historical tights, there is a greater concern in fixed income markets (including in high yield) around interest rate risk rather than credit risk. With rates on the rise, we expect incremental new issuance to put pressure on secondary pricing in the near-term. Non-corporate fundamental factors like interest rates, net new issuance, and market flows will likely dictate near term performance though none of these factors appear to be of imminent concern.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

The hunt for yield is likely to continue amid low prevailing global yields. While the level of distressed assets in the market has come down markedly, we still believe avoiding defaults will be important in achieving performance over the medium to longer term. As such, we continue to avoid highly levered industries and companies with heavy capital expenditure needs that can impair cash flow. Companies with recurring revenue streams, strong cash flows, and high-quality margins remain the focus in the current environment.

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

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

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

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

HIGH YIELD FUND

OBJECTIVE: Seeks high current income. Capital appreciation is a secondary objective.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.4%
A	0.2%
BBB	7.0%
BB	47.0%
B	30.5%
CCC	4.5%
NR2	1.7%
Other Instruments	8.7%
Total Investments	100.0%

Inception Dates:
A-Class	August 5, 1996
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	July 11, 2008
R6-Class	May 15, 2017

Ten Largest Holdings (% of Total Net Assets)
LBC Tank Terminals Holding Netherlands BV, 6.88%	1.3%
Hunt Companies, Inc., 5.25%	1.2%
FAGE International S.A. / FAGE USA Dairy Industry, Inc., 5.63%	1.1%
Jefferies Finance LLC / JFIN Company-Issuer Corp., 5.00%	1.1%
Artera Services LLC, 9.03%	0.9%
Howmet Aerospace, Inc., 5.95%	0.9%
Cheplapharm Arzneimittel GmbH, 5.50%	0.8%
UPC Broadband Finco BV, 4.88%	0.8%
Bausch Health Companies, Inc., 4.88%	0.8%
Harsco Corp., 5.75%	0.8%
Top Ten Total	9.7%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

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

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	11.02%	5.52%	7.20%
A-Class Shares with sales charge‡	6.60%	4.65%	6.69%
C-Class Shares	10.04%	4.71%	6.38%
C-Class Shares with CDSC§	9.04%	4.71%	6.38%
Institutional Class Shares	11.14%	5.78%	7.47%
Bloomberg U.S. Corporate High Yield Index	11.28%	6.52%	7.42%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	10.80%	5.48%	5.23%
Bloomberg U.S. Corporate High Yield Index	11.28%	6.52%	5.99%

	1 Year	Since Inception (05/15/17)
R6-Class Shares	11.35%	5.14%
Bloomberg U.S. Corporate High Yield Index	11.28%	6.04%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 2, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
HIGH YIELD FUND

	Shares		Value
COMMON STOCKS† - 2.4%
Financial - 0.9%
KKR Acquisition Holdings I Corp. — Class A*,1		142,310	$	1,387,522
TPG Pace Solutions Corp.*,1		117,451		1,180,383
TPG Pace Beneficial II Corp.*,1		45,512		445,562
Acropolis Infrastructure Acquisition Corp. — Class A*,1		38,845		376,020
RXR Acquisition Corp. — Class A*,1		1,299		12,626
Colicity, Inc. — Class A*,1		946		9,242
MSD Acquisition Corp. — Class A*,1		721		6,994
Colicity, Inc.*,1		404		4,008
Jefferies Financial Group, Inc.		81		3,008
RXR Acquisition Corp.*,1		107		1,054
Total Financial				3,426,419
Energy - 0.5%
Unit Corp.*,††		59,660		1,819,630
Permian Production Partners LLC†††		57,028		72,426
Legacy Reserves, Inc.*,†††		3,452		19,849
Bruin E&P Partnership Units†††		44,023		2,289
Total Energy				1,914,194
Consumer, Non-cyclical - 0.5%
ATD New Holdings, Inc.*,††		21,488		1,471,928
Save-A-Lot*,†††		17,185		85,927
Cengage Learning Holdings II, Inc.*,††		2,107		46,354
Targus Group International Equity, Inc.*,†††,2		12,825		31,234
Chef Holdings, Inc.†††		49		2,522
Spectrum Brands Holdings, Inc.		2		191
Crimson Wine Group Ltd.*		8		69
Total Consumer, Non-cyclical				1,638,225
Utilities - 0.3%
TexGen Power LLC††		26,665		1,079,932
Consumer, Cyclical - 0.2%
Metro-Goldwyn-Mayer, Inc.*,††		7,040		921,804
Industrial - 0.0%
BP Holdco LLC*,†††,2		23,711		16,716
Vector Phoenix Holdings, LP*,†††		23,711		6,521
Total Industrial				23,237
Total Common Stocks
(Cost $6,288,864)				9,003,811
PREFERRED STOCKS†† - 3.9%
Financial - 3.9%
Wells Fargo & Co., 4.38%		74,000		1,887,000
JPMorgan Chase & Co., 4.55%		72,000		1,879,200
Bank of America Corp., 4.38%		57,000		1,501,950
American Equity Investment Life Holding Co., 5.95%		54,000		1,476,360
Arch Capital Group Ltd., 4.55%		55,000		1,441,000
JPMorgan Chase & Co., 4.20%*		55,000		1,388,750
First Republic Bank, 4.13%		53,000		1,324,470
Bank of America Corp., 4.13%		40,000		1,028,400
JPMorgan Chase & Co., 4.63%		34,000		897,600
Assurant, Inc., 5.25% due 01/15/61		30,000		810,600
RenaissanceRe Holdings Ltd., 4.20%		18,000		448,200
Globe Life, Inc., 4.25% due 06/15/61		16,000		407,520
Total Financial				14,491,050
Industrial - 0.0%
U.S. Shipping Corp.*,†††		14,718		—
Total Preferred Stocks
(Cost $14,325,000)				14,491,050
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp. - Class A
Expiring 12/31/27*,1		35,577		34,150
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		12,947		11,911
RXR Acquisition Corp.
Expiring 03/08/26*,1		257		193
MSD Acquisition Corp.
Expiring 05/13/23*,1		143		165
Colicity, Inc. - Class A
Expiring 12/31/27*,1		187		155
SandRidge Energy, Inc.
Expiring 10/04/22*,††		505		23
Ginkgo Bioworks Holdings, Inc.
Expiring 12/31/27*		4		14
SandRidge Energy, Inc.
Expiring 10/04/22*		212		8
Total Warrants
(Cost $92,317)				46,619
MONEY MARKET FUND† - 2.7%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		10,171,972		10,171,972
Total Money Market Fund
(Cost $10,171,972)				10,171,972
	Face Amount~
CORPORATE BONDS†† - 81.0%
Consumer, Non-cyclical - 18.1%
Kraft Heinz Foods Co.
5.00% due 06/04/42		2,075,000		2,543,979
4.88% due 10/01/49		1,400,000		1,703,742
4.38% due 06/01/46		1,200,000		1,365,234
5.20% due 07/15/45		325,000		407,035
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/264		3,965,000		4,076,416
Mozart Debt Merger Sub, Inc.
3.88% due 04/01/294		2,550,000		2,550,000
5.25% due 10/01/29		1,500,000		1,500,000

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
Sabre GLBL, Inc.
9.25% due 04/15/254		1,500,000	$	1,733,685
7.38% due 09/01/254		1,450,000		1,547,803
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/284		2,975,000		3,082,308
Bausch Health Companies, Inc.
4.88% due 06/01/284		2,950,000		3,056,937
DaVita, Inc.
3.75% due 02/15/314		2,225,000		2,166,594
4.63% due 06/01/304		850,000		874,319
CPI CG, Inc.
8.63% due 03/15/264		2,750,000		2,983,750
Nielsen Finance LLC / Nielsen Finance Co.
4.75% due 07/15/314		1,900,000		1,848,244
5.88% due 10/01/304		1,000,000		1,052,870
US Foods, Inc.
6.25% due 04/15/254		2,748,000		2,882,515
Rent-A-Center, Inc.
6.38% due 02/15/294		2,656,000		2,865,160
Prime Security Services Borrower LLC / Prime Finance, Inc.
5.75% due 04/15/264		1,075,000		1,162,892
3.38% due 08/31/274		1,150,000		1,105,725
Tenet Healthcare Corp.
7.50% due 04/01/254		1,700,000		1,804,125
5.13% due 11/01/274		400,000		417,000
ADT Security Corp.
4.13% due 08/01/294		2,050,000		2,037,475
Centene Corp.
3.00% due 10/15/30		1,100,000		1,127,500
4.25% due 12/15/27		675,000		706,489
Service Corporation International
4.00% due 05/15/31		1,700,000		1,757,375
Par Pharmaceutical, Inc.
7.50% due 04/01/274		1,610,000		1,640,188
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/294		1,550,000		1,594,562
Post Holdings, Inc.
4.50% due 09/15/314		1,600,000		1,581,008
Sotheby’s
7.38% due 10/15/274		1,400,000		1,480,500
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/274		961,000		920,158
5.00% due 12/31/264		350,000		349,482
AMN Healthcare, Inc.
4.63% due 10/01/274		1,150,000		1,193,125
Performance Food Group, Inc.
6.88% due 05/01/254		1,100,000		1,166,000
KeHE Distributors LLC / KeHE Finance Corp.
8.63% due 10/15/264		956,000		1,032,480
Nathan’s Famous, Inc.
6.63% due 11/01/254		1,000,000		1,020,000
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/294		950,000		950,000
Catalent Pharma Solutions, Inc.
3.50% due 04/01/304		950,000		950,000
Molina Healthcare, Inc.
5.38% due 11/15/22		900,000		927,855
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/264		850,000		871,250
WW International, Inc.
4.50% due 04/15/294		825,000		806,438
Central Garden & Pet Co.
4.13% due 04/30/314		675,000		685,480
Gartner, Inc.
3.63% due 06/15/294		675,000		683,458
HealthEquity, Inc.
4.50% due 10/01/294		550,000		559,707
Endo Dac / Endo Finance LLC / Endo Finco, Inc.
6.00% due 06/30/284		242,000		175,929
9.50% due 07/31/274,5		171,000		171,380
Total Consumer, Non-cyclical				67,118,172
Industrial - 13.2%
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/284		2,525,000		2,739,625
6.25% due 03/15/264		2,525,000		2,610,850
5.25% due 07/15/284		1,275,000		1,289,344
Howmet Aerospace, Inc.
5.95% due 02/01/37		2,700,000		3,361,500
3.00% due 01/15/29		1,475,000		1,484,219
TransDigm, Inc.
6.25% due 03/15/264		2,350,000		2,458,969
8.00% due 12/15/254		950,000		1,012,938
Artera Services LLC
9.03% due 12/04/254		3,150,000		3,417,750
Harsco Corp.
5.75% due 07/31/274		2,925,000		3,031,031
GrafTech Finance, Inc.
4.63% due 12/15/284		2,925,000		3,001,781
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd.
7.38% due 12/15/234		2,625,000		2,676,188
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/264		2,326,000		2,424,855
Builders FirstSource, Inc.
4.25% due 02/01/324		2,300,000		2,348,938
Cleaver-Brooks, Inc.
7.88% due 03/01/234		2,250,000		2,216,250
Standard Industries, Inc.
3.38% due 01/15/314		1,100,000		1,046,870
4.38% due 07/15/304		575,000		586,500
5.00% due 02/15/274		350,000		360,937

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/294		1,925,000	$	1,992,375
Amsted Industries, Inc.
4.63% due 05/15/304		1,400,000		1,438,500
Trinity Industries, Inc.
4.55% due 10/01/24		1,290,000		1,366,755
EnerSys
4.38% due 12/15/274		1,250,000		1,315,625
Ball Corp.
3.13% due 09/15/31		1,100,000		1,086,336
TopBuild Corp.
4.13% due 02/15/324		500,000		505,000
3.63% due 03/15/294		500,000		503,275
Masonite International Corp.
5.38% due 02/01/284		875,000		921,375
Intertape Polymer Group, Inc.
4.38% due 06/15/294		850,000		864,118
Arcosa, Inc.
4.38% due 04/15/294		700,000		708,750
PGT Innovations, Inc.
4.38% due 10/01/294		600,000		604,500
TK Elevator US Newco, Inc.
5.25% due 07/15/274		550,000		577,830
Hillenbrand, Inc.
3.75% due 03/01/31		400,000		397,080
Atkore, Inc.
4.25% due 06/01/314		375,000		386,250
Summit Materials LLC / Summit Materials Finance Corp.
6.50% due 03/15/274		350,000		367,063
Total Industrial				49,103,377
Communications - 12.8%
Altice France S.A.
5.50% due 10/15/294		2,450,000		2,425,212
5.13% due 07/15/294		2,000,000		1,964,060
8.13% due 02/01/274		900,000		968,400
7.38% due 05/01/264		471,000		488,761
CSC Holdings LLC
4.50% due 11/15/314		1,625,000		1,604,688
6.50% due 02/01/294		1,225,000		1,326,614
4.13% due 12/01/304		1,150,000		1,128,437
4.63% due 12/01/304		950,000		900,125
3.38% due 02/15/314		850,000		790,500
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/32		1,950,000		2,006,063
4.50% due 06/01/334		1,800,000		1,831,896
4.25% due 01/15/344		975,000		970,125
Mav Acquisition Corp.
5.75% due 08/01/284		3,075,000		3,021,187
8.00% due 08/01/294		1,425,000		1,361,274
Level 3 Financing, Inc.
3.63% due 01/15/294		1,825,000		1,769,739
4.25% due 07/01/284		1,650,000		1,662,755
3.75% due 07/15/294		975,000		942,318
UPC Broadband Finco BV
4.88% due 07/15/314		3,000,000		3,071,580
Sirius XM Radio, Inc.
3.88% due 09/01/314		1,200,000		1,172,250
4.13% due 07/01/304		800,000		803,710
5.50% due 07/01/294		700,000		756,875
Virgin Media Secured Finance plc
4.50% due 08/15/304		2,625,000		2,667,656
Cengage Learning, Inc.
9.50% due 06/15/244		2,389,000		2,444,759
Vmed O2 UK Financing I plc
4.25% due 01/31/314		1,125,000		1,122,188
4.75% due 07/15/314		850,000		868,428
Match Group Holdings II LLC
3.63% due 10/01/314		1,125,000		1,110,487
4.63% due 06/01/284		600,000		625,500
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		1,750,000		1,734,688
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		1,400,000		1,470,700
AMC Networks, Inc.
4.25% due 02/15/29		1,175,000		1,168,391
LCPR Senior Secured Financing DAC
6.75% due 10/15/274		1,075,000		1,139,500
Houghton Mifflin Harcourt Publishers, Inc.
9.00% due 02/15/254		1,000,000		1,063,550
Zayo Group Holdings, Inc.
4.00% due 03/01/274		500,000		497,615
Cogent Communications Group, Inc.
3.50% due 05/01/264		375,000		380,156
TripAdvisor, Inc.
7.00% due 07/15/254		275,000		291,500
Total Communications				47,551,687
Financial - 12.5%
Iron Mountain, Inc.
5.63% due 07/15/324		2,525,000		2,708,063
4.88% due 09/15/274		950,000		986,271
4.88% due 09/15/294		530,000		555,175
5.25% due 07/15/304		475,000		504,084
Hunt Companies, Inc.
5.25% due 04/15/294		4,650,000		4,557,000
OneMain Finance Corp.
3.88% due 09/15/28		1,525,000		1,515,454
7.13% due 03/15/26		700,000		811,125
4.00% due 09/15/30		750,000		746,250
3.50% due 01/15/27		550,000		548,691
6.63% due 01/15/28		300,000		345,000
8.88% due 06/01/25		275,000		298,375
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		3,900,000		3,958,500
Kennedy-Wilson, Inc.
4.75% due 02/01/30		1,950,000		1,984,125
5.00% due 03/01/31		1,225,000		1,252,562
4.75% due 03/01/29		525,000		534,188

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
LPL Holdings, Inc.
4.00% due 03/15/294		2,140,000	$	2,197,994
4.38% due 05/15/314		850,000		887,187
NFP Corp.
6.88% due 08/15/284		2,925,000		2,986,571
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		1,225,000		1,235,719
2.88% due 10/15/264		1,130,000		1,121,525
United Wholesale Mortgage LLC
5.50% due 04/15/294		1,475,000		1,432,083
5.50% due 11/15/254		685,000		690,138
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		1,650,000		1,790,250
AmWINS Group, Inc.
4.88% due 06/30/294		1,400,000		1,421,000
Charles Schwab Corp.
4.00% 6,7		1,325,000		1,362,709
Home Point Capital, Inc.
5.00% due 02/01/264		1,475,000		1,337,117
Pershing Square Holdings Ltd.
3.25% due 10/01/31		1,300,000		1,297,829
Assurant, Inc.
7.00% due 03/27/487		950,000		1,108,899
Goldman Sachs Group, Inc.
5.30%6,7		950,000		1,047,565
Greystar Real Estate Partners LLC
5.75% due 12/01/254		1,000,000		1,015,000
PHM Group Holding Oy
4.75% due 06/18/264	EUR	750,000		893,188
USI, Inc.
6.88% due 05/01/254		775,000		788,733
Liberty Mutual Group, Inc.
4.30% due 02/01/614		750,000		714,465
Wilton Re Finance LLC
5.88% due 03/30/334,7		650,000		677,317
HUB International Ltd.
7.00% due 05/01/264		575,000		594,406
Rocket Mortgage LLC
5.25% due 01/15/284		400,000		431,000
Total Financial				46,335,558
Consumer, Cyclical - 10.9%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		4,793,000		4,786,338
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/324		2,100,000		2,068,500
4.00% due 05/01/314		1,225,000		1,243,375
5.75% due 05/01/284		400,000		430,800
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		1,460,000		1,522,050
5.00% due 06/01/314		1,225,000		1,270,938
Wabash National Corp.
5.50% due 10/01/254		1,435,000		1,454,946
4.50% due 10/15/284		1,200,000		1,198,500
JB Poindexter & Company, Inc.
7.13% due 04/15/264		2,000,000		2,105,000
1011778 BC ULC / New Red Finance, Inc.
3.88% due 01/15/284		1,200,000		1,210,200
3.50% due 02/15/294		850,000		842,945
Air Canada
3.88% due 08/15/264		1,750,000		1,764,788
Wolverine World Wide, Inc.
4.00% due 08/15/294		1,575,000		1,590,750
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/294		1,500,000		1,548,750
Boyd Gaming Corp.
8.63% due 06/01/254		1,375,000		1,490,156
Clarios Global, LP
6.75% due 05/15/254		1,327,000		1,399,985
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/264		1,300,000		1,360,125
Allison Transmission, Inc.
3.75% due 01/30/314		1,150,000		1,118,375
4.75% due 10/01/274		200,000		208,266
Murphy Oil USA, Inc.
3.75% due 02/15/314		1,300,000		1,308,125
Powdr Corp.
6.00% due 08/01/254		1,050,000		1,102,500
CD&R Smokey Buyer, Inc.
6.75% due 07/15/254		1,025,000		1,082,656
Cedar Fair, LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC
5.50% due 05/01/254		1,000,000		1,038,750
Aramark Services, Inc.
6.38% due 05/01/254		925,000		972,406
Penn National Gaming, Inc.
4.13% due 07/01/294		925,000		914,270
Tempur Sealy International, Inc.
3.88% due 10/15/314		850,000		851,062
Live Nation Entertainment, Inc.
6.50% due 05/15/274		725,000		797,500
Picasso Finance Sub, Inc.
6.13% due 06/15/254		709,000		749,690
Hanesbrands, Inc.
5.38% due 05/15/254		650,000		680,472
Yum! Brands, Inc.
4.63% due 01/31/32		613,000		654,378
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		600,000		652,288
Six Flags Theme Parks, Inc.
7.00% due 07/01/254		425,000		452,625
Superior Plus, LP
4.25% due 05/18/28†††,4		CAD 550,000		447,331

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
Papa John’s International, Inc.
3.88% due 09/15/294		375,000	$	372,142
Total Consumer, Cyclical				40,690,982
Energy - 7.2%
NuStar Logistics, LP
5.63% due 04/28/27		1,585,000		1,688,025
6.38% due 10/01/30		1,025,000		1,127,500
6.00% due 06/01/26		525,000		567,000
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25		3,092,000		2,952,860
ITT Holdings LLC
6.50% due 08/01/294		2,775,000		2,799,281
PDC Energy, Inc.
6.13% due 09/15/24		2,750,000		2,791,250
Southwestern Energy Co.
5.38% due 02/01/294		2,200,000		2,353,582
Rattler Midstream, LP
5.63% due 07/15/254		2,100,000		2,186,730
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/27		1,200,000		1,251,000
6.88% due 01/15/29		675,000		700,630
Parkland Corp.
4.50% due 10/01/294		1,925,000		1,951,180
CVR Energy, Inc.
5.75% due 02/15/284,5		1,950,000		1,932,177
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.63% due 05/01/274		1,250,000		1,286,500
TransMontaigne Partners Limited Partnership / TLP Finance Corp.
6.13% due 02/15/26		1,250,000		1,275,000
Occidental Petroleum Corp.
4.63% due 06/15/45		1,100,000		1,124,750
DT Midstream, Inc.
4.13% due 06/15/294		600,000		608,436
Basic Energy Services, Inc.
due 10/15/23†††,8,9		1,225,000		91,875
Total Energy				26,687,776
Basic Materials - 3.9%
Valvoline, Inc.
3.63% due 06/15/314		2,100,000		2,073,750
4.25% due 02/15/304		375,000		388,800
Carpenter Technology Corp.
6.38% due 07/15/28		2,150,000		2,312,196
Minerals Technologies, Inc.
5.00% due 07/01/284		1,872,000		1,942,200
Kaiser Aluminum Corp.
4.63% due 03/01/284		790,000		815,675
4.50% due 06/01/314		725,000		743,125
Arconic Corp.
6.00% due 05/15/254		1,175,000		1,234,549
Ingevity Corp.
3.88% due 11/01/284		675,000		673,312
4.50% due 02/01/264		500,000		505,000
Diamond BC BV
4.63% due 10/01/294		1,050,000		1,065,750
WR Grace Holdings LLC
4.88% due 06/15/274		700,000		718,816
Compass Minerals International, Inc.
6.75% due 12/01/274		650,000		689,813
Clearwater Paper Corp.
4.75% due 08/15/284		450,000		462,375
Alcoa Nederland Holding BV
6.13% due 05/15/284		425,000		460,594
Yamana Gold, Inc.
4.63% due 12/15/27		256,000		283,025
Mirabela Nickel Ltd.
due 06/24/198,9		278,115		13,906
Total Basic Materials				14,382,886
Technology - 1.3%
NCR Corp.
6.13% due 09/01/294		800,000		868,000
5.25% due 10/01/304		600,000		629,118
5.13% due 04/15/294		400,000		412,500
Boxer Parent Company, Inc.
7.13% due 10/02/254		875,000		934,063
TeamSystem SpA
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/2810	EUR	460,000		532,901
MSCI, Inc.
3.88% due 02/15/314		507,000		531,716
Open Text Holdings, Inc.
4.13% due 02/15/304		475,000		488,062
CDK Global, Inc.
5.25% due 05/15/294		325,000		351,683
PTC, Inc.
4.00% due 02/15/284		250,000		256,562
Total Technology				5,004,605
Utilities - 1.1%
Terraform Global Operating LLC
6.13% due 03/01/264		2,880,000		2,962,800
Clearway Energy Operating LLC
3.75% due 01/15/324		675,000		674,156
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.75% due 05/20/27		375,000		423,750
Total Utilities				4,060,706
Total Corporate Bonds
(Cost $295,480,260)				300,935,749

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
SENIOR FLOATING RATE INTERESTS††,10 - 12.7%
Industrial - 3.4%
Bhi Investments LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24†††		2,363,536	$	2,339,900
Diversitech Holdings, Inc.
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25†††		1,783,737		1,779,278
BHI Investments LLC
9.75% (3 Month USD LIBOR + 8.75%, Rate Floor: 9.75%) due 02/28/25†††		1,500,000		1,473,750
American Residential Services LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/15/27		1,169,125		1,167,664
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28		947,625		947,625
Arcline FM Holdings LLC
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††		925,000		925,000
SkyMiles IP Ltd.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		805,565		856,268
YAK MAT (YAK ACCESS LLC)
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		1,025,000		709,812
Aegion Corp.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 05/17/28		700,000		704,375
Pro Mach Group, Inc.
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		645,251		648,019
United Airlines, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		473,813		476,722
Air Canada
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		430,000		431,432
Total Industrial				12,459,845
Consumer, Cyclical - 3.3%
American Tire Distributors, Inc.
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		1,303,422		1,302,001
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		330,924		330,262
PetSmart LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		1,350,000		1,351,931
First Brands Group LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27		995,000		1,003,955
Alexander Mann
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25	GBP	749,100		972,655
NES Global Talent
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 05/11/23		870,911		816,479
PT Intermediate Holdings III LLC
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 10/15/25		784,246		782,285
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		771,544		731,038
Mavis Tire Express Services TopCo Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28		673,313		674,538
Accuride Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		640,167		617,761
Holding SOCOTEC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28		610,000		608,981
CCRR Parent, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28†††		598,500		599,996
EnTrans International LLC
6.08% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24		502,500		466,069
Wabash National Corporation
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/28/27		462,551		461,972

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
WW International, Inc.
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28		423,938	$	423,145
Sotheby’s
5.00% (2 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 01/15/27		415,132		416,170
Blue Nile, Inc.
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23		410,807		390,266
Apro LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26		208,420		208,420
Total Consumer, Cyclical				12,157,924
Consumer, Non-cyclical - 2.3%
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		1,170,618		1,170,618
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		1,083,931		1,082,576
Quirch Foods Holdings LLC
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27		967,688		970,716
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		810,570		810,368
Blue Ribbon LLC
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		740,625		725,813
Springs Window Fashions
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		689,936		689,936
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		675,000		673,947
Gibson Brands, Inc.
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28		600,000		594,000
Balrog Acquisition, Inc.
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 09/05/28		575,000		573,563
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		497,500		484,709
Moran Foods LLC
11.75% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/2411		386,492		334,316
Moran Foods LLC
8.00% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,11		309,353		312,446
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27†††		148,490		148,490
Total Consumer, Non-cyclical				8,571,498
Technology - 2.0%
Datix Bidco Ltd.
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25	GBP	1,300,000		1,716,796
7.75% (3 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26	GBP	650,000		858,398
Peraton Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		1,293,500		1,293,707
Polaris Newco LLC
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		1,100,000		1,102,068
Taxware Holdings (Sovos Compliance LLC)
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		639,555		643,021
Apttus Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28		625,000		627,344
Atlas CC Acquisition Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		575,000		576,598
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		521,063		522,042
Total Technology				7,339,974
Communications - 1.1%
McGraw Hill LLC
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		1,350,000		1,352,889
Xplornet Communications, Inc.
due 09/28/28		925,000		920,375

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

	Face Amount~		Value
Cengage Learning Acquisitions, Inc.
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		625,000	$	628,625
GTT Communications, Inc.
2.90% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25		742,713		626,820
Playtika Holding Corp.
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		597,000		596,523
Total Communications				4,125,232
Financial - 0.5%
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		958,148		961,741
Avison Young (Canada), Inc.
6.13% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 01/30/26		534,875		527,189
Eisner Advisory Group
6.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28		409,091		409,091
Total Financial				1,898,021
Basic Materials - 0.1%
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		348,250		347,815
Energy - 0.0%
Permian Production Partners LLC
10.00% (1 Month USD LIBOR + 7.00%, Rate Floor: 8.00%) (in-kind rate was 2.00%) due 11/24/25†††,11		209,467		188,520
Total Senior Floating Rate Interests
(Cost $47,059,015)				47,088,829
ASSET-BACKED SECURITIES†† - 0.6%
Collateralized Loan Obligations - 0.6%
Barings Middle Market CLO Ltd.
2019-IA, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/15/314,10		1,500,000		1,500,727
WhiteHorse X Ltd.
2015-10A, 5.43% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/274,10		750,000		671,602
Total Collateralized Loan Obligations				2,172,329
Total Asset-Backed Securities
(Cost $2,150,692)				2,172,329
Total Investments - 103.3%
(Cost $375,568,120)			$	383,910,359
Other Assets & Liabilities, net - (3.3)%				(12,289,893	)
Total Net Assets — 100.0%			$	371,620,466

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

JPMorgan Chase Bank, N.A.

GBP

Sell

1,910,000

2,637,656 USD

10/18/21

$

63,757

Morgan Stanley Capital Services LLC

EUR

Sell

1,237,000

1,461,084 USD

10/18/21

27,652

Bank of America, N.A.

GBP

Sell

744,000

1,026,788 USD

10/18/21

24,180

Goldman Sachs International

CAD

Sell

573,000

451,517 USD

10/18/21

(940

)

$

114,649

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Rate indicated is the 7-day yield as of September 30, 2021.
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 $246,562,957 (cost $242,255,890), or 66.3% of total net assets.
5	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $2,103,557 — See Note 6.
6	Perpetual maturity.
7	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
8	Security is in default of interest and/or principal obligations.
9	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $105,781 (cost $1,471,729), or less than 0.01% of total net assets — See Note 10.
10	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
11	Payment-in-kind security.
	CAD — Canadian Dollar
	EUR — Euro
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	3,426,679	$	5,339,648	$	237,484		$	9,003,811
Preferred Stocks		—		14,491,050		—	*		14,491,050
Warrants		46,596		23		—			46,619
Money Market Fund		10,171,972		—		—			10,171,972
Corporate Bonds		—		300,396,543		539,206			300,935,749
Senior Floating Rate Interests		—		38,238,873		8,849,956			47,088,829
Asset-Backed Securities		—		2,172,329		—			2,172,329
Forward Foreign Currency Exchange Contracts**		—		115,589		—			115,589
Total Assets	$	13,645,247	$	360,754,055	$	9,626,646		$	384,025,948

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	940	$	—	$	940
Unfunded Loan Commitments (Note 9)		—		—		622		622
Total Liabilities	$	—	$	940	$	622	$	1,562

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $1,556,749 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
HIGH YIELD FUND

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

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs	Input Range			Weighted Average*
Assets:
Common Stocks	$	85,927	Third Party Pricing	Broker Quote		—			—
Common Stocks		76,842	Enterprise Value	Valuation Multiple		2.1x-12.8x			5.5x
Common Stocks		72,426	Model Price	Market Comparable Yields		12.1	%		—
Common Stocks		2,289	Model Price	Liquidation Value		—			—
Corporate Bonds		539,206	Third Party Pricing	Vendor Price		—			—
Senior Floating Rate Interests		7,187,686	Third Party Pricing	Broker Quote		—			—
Senior Floating Rate Interests		1,662,270	Model Price	Market Comparable Yields		10.4%-12.1%			10.6	%
Total Assets	$	9,626,646
Liabilities:
Unfunded Loan Commitments	$	622	Model Price	Purchase Price		—			—

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

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

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

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

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $4,211,053 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of $2,230,727 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.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
HIGH YIELD FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets											Liabilities
	Corporate Bonds		Senior Floating Rate Interests			Common Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	—	$	7,980,655		$	2,790,320		$	10,770,975		$	(61,765	)
Purchases/(Receipts)		443,748		3,039,045			25,200			3,507,993			(48,708	)
(Sales, maturities and paydowns)/Fundings		—		(5,632,387	)		(1,116,888	)		(6,749,275	)		6,228
Amortization of premiums/discounts		—		187,754			—			187,754			471
Total realized gains (losses) included in earnings		—		(1,230,299	)		18,429			(1,211,870	)		485,742
Total change in unrealized appreciation (depreciation) included in earnings		3,583		1,536,805			(399,645	)		1,140,743			(382,590	)
Transfers into Level 3		91,875		4,119,178			—			4,211,053			—
Transfers out of Level 3		—		(1,150,795	)		(1,079,932	)		(2,230,727	)		—
Ending Balance	$	539,206	$	8,849,956		$	237,484		$	9,626,646		$	(622	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	3,579	$	127,595		$	466,578		$	597,752		$	1,003

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 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/21		Shares 09/30/21
Common Stocks
BP Holdco LLC*	$	8,360	$	—	$	—	$	—	$	8,356	$	16,716		23,711
Targus Group International Equity, Inc.*		26,349		—		—		—		4,885		31,234		12,825
	$	34,709	$	—	$	—	$	—	$	13,241	$	47,950

* Non-income producing security.

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

HIGH YIELD FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $375,555,391)	$	383,862,409
Investments in affiliated issuers, at value (cost $12,729)		47,950
Foreign currency, at value (cost 1,020)		1,004
Cash		98,855
Unrealized appreciation on forward foreign currency exchange contracts		115,589
Prepaid expenses		56,824
Receivables:
Interest		4,193,857
Securities sold		2,997,453
Fund shares sold		412,889
Dividends		9,844
Other assets		718
Total assets		391,797,392
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $1,625)		622
Reverse repurchase agreements (Note 6)		1,556,749
Unrealized depreciation on forward foreign currency exchange contracts		940
Payable for:
Securities purchased		16,900,901
Fund shares redeemed		1,280,577
Management fees		164,754
Distributions to shareholders		120,960
Distribution and service fees		26,131
Fund accounting/administration fees		23,560
Transfer agent/maintenance fees		20,400
Trustees’ fees*		4,222
Due to Investment Adviser		25
Miscellaneous		77,085
Total liabilities		20,176,926
Net assets	$	371,620,466
Net assets consist of:
Paid in capital	$	388,009,041
Total distributable earnings (loss)		(16,388,575	)
Net assets	$	371,620,466
A-Class:
Net assets	$	55,549,511
Capital shares outstanding		5,060,251
Net asset value per share	$	10.98
Maximum offering price per share (Net asset value divided by 96.00%)	$	11.44
C-Class:
Net assets	$	16,241,683
Capital shares outstanding		1,467,149
Net asset value per share	$	11.07
P-Class:
Net assets	$	5,660,293
Capital shares outstanding		515,324
Net asset value per share	$	10.98
Institutional Class:
Net assets	$	167,486,232
Capital shares outstanding		18,727,164
Net asset value per share	$	8.94
R6-Class:
Net assets	$	126,682,747
Capital shares outstanding		11,552,986
Net asset value per share	$	10.97

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

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

HIGH YIELD FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	1,273,632
Interest from securities of unaffiliated issuers		20,274,622
Total investment income		21,548,254
Expenses:
Management fees		2,325,386
Distribution and service fees:
A-Class		139,376
C-Class		165,062
P-Class		14,567
Transfer agent/maintenance fees:
A-Class		26,490
C-Class		22,267
P-Class		7,865
Institutional Class		189,905
R6-Class		833
Fund accounting/administration fees		265,815
Professional fees		106,760
Interest expense		53,732
Line of credit fees		37,084
Custodian fees		28,680
Trustees’ fees*		26,149
Miscellaneous		135,536
Recoupment of previously waived fees:
A-Class		1,993
C-Class		1,119
P-Class		2,401
Institutional Class		11,495
Total expenses		3,562,515
Less:
Expenses reimbursed by Adviser:
A-Class		(5,542	)
C-Class		(1,616	)
P-Class		(1,534	)
Institutional Class		(25,904	)
Expenses waived by Adviser		(37,558	)
Earnings credits applied		(221	)
Total waived/reimbursed expenses		(72,375	)
Net expenses		3,490,140
Net investment income		18,058,114
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		3,996,280
Swap agreements		2,273,490
Forward foreign currency exchange contracts		(15,405	)
Foreign currency transactions		(3,420	)
Net realized gain		6,250,945
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		16,415,326
Investments in affiliated issuers		13,241
Swap agreements		(59,854	)
Forward foreign currency exchange contracts		117,119
Foreign currency translations		(2,258	)
Net change in unrealized appreciation (depreciation)		16,483,574
Net realized and unrealized gain		22,734,519
Net increase in net assets resulting from operations	$	40,792,633

* 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 | 35

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	18,058,114		$	21,668,717
Net realized gain (loss) on investments		6,250,945			(18,325,259	)
Net change in unrealized appreciation (depreciation) on investments		16,483,574			360,465
Net increase in net assets resulting from operations		40,792,633			3,703,923
Distributions:
Distributions to shareholders
A-Class		(2,500,210	)		(3,450,578	)
C-Class		(610,646	)		(971,742	)
P-Class		(256,302	)		(404,265	)
Institutional Class		(8,497,760	)		(10,045,586	)
R6-Class		(6,056,356	)		(8,460,132	)
Return of capital
A-Class		(149,239	)		—
C-Class		(35,772	)		—
P-Class		(14,856	)		—
Institutional Class		(510,774	)		—
R6-Class		(359,597	)		—
Total distributions to shareholders		(18,991,512	)		(23,332,303	)
Capital share transactions:
Proceeds from sale of shares
A-Class		7,498,237			10,674,768
C-Class		3,471,056			4,404,185
P-Class		1,790,815			1,606,617
Institutional Class		50,818,387			115,479,278
R6-Class		8,946,340			4,945,592
Redemption fees collected
A-Class		1,117			14,618
C-Class		327			4,701
P-Class		114			1,654
Institutional Class		3,665			39,668
R6-Class		2,525			34,156
Distributions reinvested
A-Class		2,386,801			3,103,401
C-Class		607,096			888,143
P-Class		271,158			404,240
Institutional Class		6,378,870			7,451,076
R6-Class		6,415,953			8,460,132
Cost of shares redeemed
A-Class		(11,470,510	)		(24,211,963	)
C-Class		(5,211,217	)		(9,558,871	)
P-Class		(2,577,681	)		(3,870,858	)
Institutional Class		(71,490,812	)		(125,810,891	)
R6-Class		(22,971,558	)		(29,504,021	)
Net decrease from capital share transactions		(25,129,317	)		(35,444,375	)
Net decrease in net assets		(3,328,196	)		(55,072,755	)
Net assets:
Beginning of year		374,948,662			430,021,417
End of year	$	371,620,466		$	374,948,662

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

HIGH YIELD FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		692,089			1,065,945
C-Class		317,074			411,041
P-Class		167,163			155,836
Institutional Class		5,775,858			14,086,570
R6-Class		826,869			474,234
Shares issued from reinvestment of distributions
A-Class		220,568			298,678
C-Class		55,629			84,701
P-Class		25,050			38,806
Institutional Class		723,143			878,483
R6-Class		593,662			815,772
Shares redeemed
A-Class		(1,059,043	)		(2,389,845	)
C-Class		(477,190	)		(920,036	)
P-Class		(239,351	)		(381,340	)
Institutional Class		(8,088,067	)		(14,964,588	)
R6-Class		(2,130,982	)		(2,949,027	)
Net decrease in shares		(2,597,528	)		(3,294,770	)

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	10.37		$	10.90		$	11.04		$	11.50		$	11.16
Income (loss) from investment operations:
Net investment income (loss)a		.49			.57			.64			.68			.64
Net gain (loss) on investments (realized and unrealized)		.63			(.50	)		(.12	)		(.46	)		.35
Total from investment operations		1.12			.07			.52			.22			.99
Less distributions from:
Net investment income		(.48	)		(.60	)		(.66	)		(.68	)		(.65	)
Return of capital		(.03	)		—			—			—			—
Total distributions		(.51	)		(.60	)		(.66	)		(.68	)		(.65	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	10.98		$	10.37		$	10.90		$	11.04		$	11.50
Total Returnc		11.02	%		0.84	%		4.99	%		2.00	%		9.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	55,550		$	53,997		$	67,916		$	75,028		$	126,097
Ratios to average net assets:
Net investment income (loss)		4.51	%		5.44	%		5.94	%		6.05	%		5.63	%
Total expensesd		1.07	%		1.21	%		1.27	%		1.35	%		1.31	%
Net expensese,f,g		1.05	%		1.20	%		1.26	%		1.33	%		1.29	%
Portfolio turnover rate		86	%		81	%		61	%		61	%		62	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	10.46		$	10.99		$	11.14		$	11.60		$	11.26
Income (loss) from investment operations:
Net investment income (loss)a		.40			.49			.56			.60			.56
Net gain (loss) on investments (realized and unrealized)		.64			(.49	)		(.12	)		(.46	)		.35
Total from investment operations		1.04			—			.44			.14			.91
Less distributions from:
Net investment income		(.40	)		(.53	)		(.59	)		(.60	)		(.57	)
Return of capital		(.03	)		—			—			—			—
Total distributions		(.43	)		(.53	)		(.59	)		(.60	)		(.57	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	11.07		$	10.46		$	10.99		$	11.14		$	11.60
Total Returnc		10.04	%		0.09	%		4.12	%		1.27	%		8.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,242		$	16,437		$	21,935		$	22,350		$	30,461
Ratios to average net assets:
Net investment income (loss)		3.67	%		4.68	%		5.17	%		5.31	%		4.92	%
Total expensesd		1.91	%		2.00	%		2.03	%		2.11	%		2.05	%
Net expensese,f,g		1.89	%		1.99	%		2.02	%		2.09	%		2.03	%
Portfolio turnover rate		86	%		81	%		61	%		61	%		62	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	10.38		$	10.91		$	11.05		$	11.51		$	11.17
Income (loss) from investment operations:
Net investment income (loss)a		.48			.57			.64			.68			.64
Net gain (loss) on investments (realized and unrealized)		.62			(.50	)		(.12	)		(.46	)		.37
Total from investment operations		1.10			.07			.52			.22			1.01
Less distributions from:
Net investment income		(.47	)		(.60	)		(.66	)		(.68	)		(.67	)
Return of capital		(.03	)		—			—			—			—
Total distributions		(.50	)		(.60	)		(.66	)		(.68	)		(.67	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	10.98		$	10.38		$	10.91		$	11.05		$	11.51
Total Return		10.80	%		0.80	%		4.98	%		1.95	%		9.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,660		$	5,837		$	8,170		$	12,124		$	16,883
Ratios to average net assets:
Net investment income (loss)		4.40	%		5.42	%		5.93	%		6.00	%		5.58	%
Total expensesd		1.20	%		1.26	%		1.30	%		1.45	%		1.29	%
Net expensese,f,g		1.16	%		1.25	%		1.28	%		1.39	%		1.22	%
Portfolio turnover rate		86	%		81	%		61	%		61	%		62	%

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	8.45		$	8.88		$	9.01		$	9.38		$	9.11
Income (loss) from investment operations:
Net investment income (loss)a		.41			.48			.54			.58			.56
Net gain (loss) on investments (realized and unrealized)		.51			(.39	)		(.10	)		(.38	)		.28
Total from investment operations		.92			.09			.44			.20			.84
Less distributions from:
Net investment income		(.40	)		(.52	)		(.57	)		(.57	)		(.57	)
Return of capital		(.03	)		—			—			—			—
Total distributions		(.43	)		(.52	)		(.57	)		(.57	)		(.57	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	8.94		$	8.45		$	8.88		$	9.01		$	9.38
Total Return		11.14	%		1.14	%		5.15	%		2.27	%		9.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	167,486		$	171,641		$	180,442		$	125,945		$	194,280
Ratios to average net assets:
Net investment income (loss)		4.71	%		5.67	%		6.17	%		6.28	%		6.00	%
Total expensesd		0.88	%		0.98	%		0.99	%		1.14	%		0.94	%
Net expensese,f,g		0.85	%		0.96	%		0.97	%		1.11	%		0.93	%
Portfolio turnover rate		86	%		81	%		61	%		61	%		62	%

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

HIGH YIELD FUND

FINANCIAL HIGHLIGHTS (concluded)

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

R6-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Period Ended September 30, 2017h
Per Share Data
Net asset value, beginning of period	$	10.36		$	10.89		$	11.03		$	11.49		$	11.45
Income (loss) from investment operations:
Net investment income (loss)a		.52			.60			.68			.72			.24
Net gain (loss) on investments (realized and unrealized)		.63			(.49	)		(.12	)		(.46	)		.04
Total from investment operations		1.15			.11			.56			.26			.28
Less distributions from:
Net investment income		(.51	)		(.64	)		(.70	)		(.72	)		(.24	)
Return of capital		(.03	)		—			—			—			—
Total distributions		(.54	)		(.64	)		(.70	)		(.72	)		(.24	)
Redemption fees collected		—	b		—	b		—	b		—	b		—	b
Net asset value, end of period	$	10.97		$	10.36		$	10.89		$	11.03		$	11.49
Total Return		11.35	%		1.19	%		5.39	%		2.34	%		2.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	126,683		$	127,037		$	151,558		$	190,421		$	200,099
Ratios to average net assets:
Net investment income (loss)		4.80	%		5.79	%		6.31	%		6.41	%		5.41	%
Total expensesd		0.77	%		0.85	%		0.89	%		1.00	%		0.82	%
Net expensese,f,g		0.76	%		0.85	%		0.88	%		1.00	%		0.82	%
Portfolio turnover rate		86	%		81	%		61	%		61	%		62	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Redemption fees collected are less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%*	0.05%	0.05%	—	0.09%
C-Class	0.01%	0.04%	0.05%	—	0.06%
P-Class	0.04%	0.02%	0.01%	0.03%	0.00%*
Institutional Class	0.01%	0.02%	0.02%	0.04%	0.00%*
R6-Class	—	0.00%*	0.00%*	—	—

* Less than 0.01%.

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.03%	1.12%	1.15%	1.10%	1.15%
C-Class	1.87%	1.90%	1.91%	1.86%	1.89%
P-Class	1.14%	1.16%	1.16%	1.16%	1.08%
Institutional Class	0.83%	0.87%	0.88%	0.88%	0.79%
R6-Class	0.74%	0.77%	0.77%	0.77%	0.79%

^h Since commencement of operations: May 15, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide current income and employs a diversified, multi-sector strategy focused on under-researched areas of the fixed income universe, including sectors not typically included in benchmark indices. The Fund takes an actively managed approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income sectors and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one-year period ended September 30, 2021, Guggenheim Core Bond Fund returned 2.09%¹, compared with the -0.90% return of its benchmark, the Bloomberg U.S. Aggregate Bond Index.

Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.

The Fund remains overweight investment grade corporates, which comprised 35% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.

Structured credit accounted for nearly 30% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.

Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 3% of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 7.1 years versus the benchmark’s duration of 6.6 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.

Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.

During the reporting period, the Fund used derivatives to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps and interest rate curve caps, options on equities, and credit default swap index (CDX) positions all contributed to performance. In addition, the Fund traded foreign-exchange derivatives, which had a positive impact on performance over the period. Overall, derivative exposure contributed to performance during the period.

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

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

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

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

CORE BOND FUND

OBJECTIVE: Seeks to provide current income.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	26.3%
AA	12.8%
A	18.4%
BBB	32.6%
BB	1.7%
B	0.8%
CCC	0.0%*
CC	0.1%
C	0.1%
NR2	0.9%
Other Instruments	6.3%
Total Investments	100.0%

Inception Dates:
A-Class	August 15, 1985
C-Class	May 1, 2000
P-Class	May 1, 2015
Institutional Class	January 29, 2013

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes, 1.25%	6.8%
Uniform MBS 30 Year	3.1%
U.S. Treasury Bonds, 2.00%	0.9%
Cerberus Loan Funding XXX, LP, 1.98%	0.8%
Pershing Square Tontine Holdings Ltd. — Class A	0.8%
Woodmont Trust, 2.03%	0.7%
Station Place Securitization Trust, 1.08%	0.7%
Delta Air Lines, Inc., 7.00%	0.6%
Boeing Co., 5.15%	0.6%
First Republic Bank, 4.25%	0.5%
Top Ten Total	15.5%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.
*	Less than 0.01%

THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	2.09%	4.62%	4.84%
A-Class Shares with sales charge‡	(2.01%)	3.77%	4.33%
C-Class Shares	1.34%	3.84%	4.08%
C-Class Shares with CDSC§	0.36%	3.84%	4.08%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	3.01%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	2.04%	4.60%	4.57%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	3.13%

	1 Year	5 Year	Since Inception (01/29/13)
Institutional Class Shares	2.34%	4.92%	5.03%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	2.95%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only: performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
CORE BOND FUND

	Shares		Value
COMMON STOCKS† - 1.2%
Financial - 1.2%
Pershing Square Tontine Holdings Ltd. — Class A*,1		622,890	$	12,270,933
KKR Acquisition Holdings I Corp. — Class A*,1		299,316		2,918,331
RXR Acquisition Corp. — Class A*,1		66,481		646,195
TPG Pace Beneficial II Corp.*,1		55,056		538,998
MSD Acquisition Corp. — Class A*,1		46,697		452,961
AfterNext HealthTech Acquisition Corp.*,1		38,300		381,468
Conyers Park III Acquisition Corp.*,1		35,600		356,356
TPG Pace Solutions Corp.*,1		31,926		320,856
Waverley Capital Acquisition Corp. 1*,1		28,200		278,052
Acropolis Infrastructure Acquisition Corp. — Class A*,1		24,900		241,032
Blue Whale Acquisition Corp. I*,1		20,700		205,344
Colicity, Inc. — Class A*,1		20,290		198,233
Colicity, Inc.*,1		4,280		42,458
RXR Acquisition Corp.*,1		1,034		10,185
Total Financial				18,861,402
Communications - 0.0%
Figs, Inc. — Class A*		12,590		467,593
Industrial - 0.0%
Constar International Holdings LLC*,†††		68		—
Total Common Stocks
(Cost $18,968,668)				19,328,995
PREFERRED STOCKS†† - 3.3%
Financial - 3.3%
First Republic Bank
4.25%		372,000		9,337,200
4.13%		53,200		1,329,468
W R Berkley Corp.
4.13% due 03/30/61		284,159		7,558,630
4.25% due 09/30/60		13,301		360,723
Wells Fargo & Co.
4.38%		210,000		5,355,000
4.70%		148,000		3,889,440
Globe Life, Inc. 4.25% due 06/15/61		160,000		4,075,200
Bank of America Corp.
4.13%		148,000		3,805,080
4.38%		106,000		2,793,100
Public Storage
4.63%		112,044		3,056,560
4.13%		22,087		576,471
Arch Capital Group Ltd. 4.55%		102,000		2,672,400
American Financial Group, Inc. 4.50% due 09/15/60		78,228		2,134,842
PartnerRe Ltd. 4.88%		78,457		2,101,863
RenaissanceRe Holdings Ltd. 4.20%		82,000		2,041,800
JPMorgan Chase & Co. 4.63%		76,000		2,006,400
CNO Financial Group, Inc. 5.13% due 11/25/60		48,000		1,279,200
Assurant, Inc. 5.25% due 01/15/61		38,000		1,026,760
Total Financial				55,400,137
Industrial - 0.0%
Constar International Holdings LLC*,†††		7		—
Total Preferred Stocks
(Cost $53,286,900)				55,400,137
WARRANTS† - 0.0%
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/251		69,210		89,281
KKR Acquisition Holdings I Corp. - Class A
Expiring 12/31/271		74,828		71,827
Ginkgo Bioworks Holdings, Inc.
Expiring 12/31/27		6,510		22,069
MSD Acquisition Corp.
Expiring 05/13/231		9,339		10,740
RXR Acquisition Corp.
Expiring 03/08/261		13,294		9,971
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/261		8,300		7,636
Colicity, Inc.
Expiring 12/31/271		4,056		3,366
Total Warrants
(Cost $501,045)				214,890
CLOSED-END FUNDS† - 0.2%
BlackRock MuniHoldings California Quality Fund, Inc.		117,258		1,837,433
BlackRock MuniYield California Quality Fund, Inc.		100,717		1,600,393
Total Closed-End Funds
(Cost $3,225,498)				3,437,826
MONEY MARKET FUND† - 1.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%2		25,808,660		25,808,660
Total Money Market Fund
(Cost $25,808,660)				25,808,660
	Face Amount~
CORPORATE BONDS†† - 42.9%
Financial - 20.1%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		6,200,000		6,189,646
3.25% due 11/15/303		4,500,000		4,533,062
5.50% due 07/15/223		2,000,000		2,061,552
Wells Fargo & Co.
3.07% due 04/30/414		8,550,000		8,766,909
3.90% 4,5		3,250,000		3,351,562
JPMorgan Chase & Co.
3.11% due 04/22/414		3,530,000		3,634,202
3.65% 4,5		2,350,000		2,352,937

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
2.52% due 04/22/314		2,210,000	$	2,252,252
2.96% due 05/13/314		1,870,000		1,942,246
4.49% due 03/24/314		1,600,000		1,865,145
Bank of America Corp.
2.59% due 04/29/314		6,900,000		7,034,852
2.68% due 06/19/414		2,650,000		2,552,665
Nationwide Mutual Insurance Co.
4.35% due 04/30/503		7,410,000		8,419,677
Liberty Mutual Group, Inc.
4.13% due 12/15/513,4		5,800,000		5,956,309
3.95% due 05/15/603		2,150,000		2,380,682
Charles Schwab Corp.
4.00% 4,5		8,000,000		8,227,680
Teachers Insurance & Annuity Association of America
3.30% due 05/15/503		7,750,000		8,125,060
Nippon Life Insurance Co.
2.75% due 01/21/513,4		8,150,000		7,976,812
BPCE S.A.
2.28% due 01/20/323,4		8,200,000		7,955,325
Macquarie Bank Ltd.
3.62% due 06/03/303		7,470,000		7,832,928
Wilton RE Ltd.
6.00% †††,3,4,5		6,350,000		6,925,628
Reliance Standard Life Global Funding II
2.75% due 05/07/253		6,170,000		6,465,994
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		3,600,000		3,884,436
5.30% due 01/15/29		1,900,000		2,221,406
American Equity Investment Life Holding Co.
5.00% due 06/15/27		5,036,000		5,797,077
Markel Corp.
6.00% 4,5		5,210,000		5,772,680
Reinsurance Group of America, Inc.
3.15% due 06/15/30		5,350,000		5,681,629
GA Global Funding Trust
1.63% due 01/15/263		5,450,000		5,495,636
American International Group, Inc.
4.38% due 06/30/50		4,280,000		5,256,922
Fidelity National Financial, Inc.
3.40% due 06/15/30		3,630,000		3,894,321
2.45% due 03/15/31		1,210,000		1,202,100
Allianz SE
3.20% 3,4,5		5,000,000		4,850,000
Citigroup, Inc.
2.57% due 06/03/314		4,690,000		4,775,404
Intercontinental Exchange, Inc.
3.00% due 06/15/50		2,430,000		2,395,662
2.65% due 09/15/40		2,400,000		2,292,862
Five Corners Funding Trust II
2.85% due 05/15/303		4,332,000		4,523,526
Fairfax Financial Holdings Ltd.
3.38% due 03/03/313		4,300,000		4,453,765
Iron Mountain, Inc.
5.25% due 07/15/303		2,350,000		2,493,890
5.63% due 07/15/323		1,000,000		1,072,500
4.50% due 02/15/313		850,000		862,155
BlackRock, Inc.
1.90% due 01/28/31		4,400,000		4,360,041
Old Republic International Corp.
3.85% due 06/11/51		4,020,000		4,332,747
PartnerRe Finance B LLC
4.50% due 10/01/504		4,040,000		4,255,765
Standard Chartered plc
4.64% due 04/01/313,4		3,550,000		4,090,875
Crown Castle International Corp.
2.90% due 04/01/41		2,800,000		2,693,113
3.30% due 07/01/30		1,149,000		1,223,483
OneAmerica Financial Partners, Inc.
4.25% due 10/15/503		3,620,000		3,843,998
Host Hotels & Resorts, LP
3.50% due 09/15/30		3,685,000		3,824,006
National Australia Bank Ltd.
2.99% due 05/21/313		2,350,000		2,375,361
2.33% due 08/21/303		1,500,000		1,448,448
Ares Finance Company II LLC
3.25% due 06/15/303		3,660,000		3,817,598
Aflac, Inc.
3.60% due 04/01/30		3,350,000		3,742,458
MetLife, Inc.
3.85% 4,5		3,520,000		3,691,600
KKR Group Finance Company VI LLC
3.75% due 07/01/293		3,230,000		3,584,086
First American Financial Corp.
4.00% due 05/15/30		3,180,000		3,510,677
Brookfield Finance, Inc.
3.50% due 03/30/51		2,550,000		2,657,620
4.70% due 09/20/47		650,000		785,334
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/313		3,150,000		3,177,562
Arch Capital Group Ltd.
3.64% due 06/30/50		2,900,000		3,154,983
Alleghany Corp.
3.63% due 05/15/30		2,850,000		3,122,754
UBS Group AG
2.10% due 02/11/323,4		2,950,000		2,866,843
KKR Group Finance Company VIII LLC
3.50% due 08/25/503		2,660,000		2,799,032
Belrose Funding Trust
2.33% due 08/15/303		2,780,000		2,739,275
Jefferies Group LLC
2.75% due 10/15/32		2,720,000		2,721,929
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		2,560,000		2,716,399
Equitable Holdings, Inc.
7.00% due 04/01/28		2,050,000		2,610,495
Sumitomo Life Insurance Co.
3.38% due 04/15/813,4		2,500,000		2,595,325

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Visa, Inc.
2.00% due 08/15/50		3,000,000	$	2,578,745
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/503		2,450,000		2,559,347
Societe Generale S.A.
2.89% due 06/09/323,4		2,500,000		2,511,221
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/283		2,450,000		2,486,750
Goldman Sachs Group, Inc.
3.50% due 04/01/25		2,250,000		2,418,213
Assured Guaranty US Holdings, Inc.
3.15% due 06/15/31		1,450,000		1,518,766
3.60% due 09/15/51		800,000		811,279
Assurant, Inc.
2.65% due 01/15/32		2,300,000		2,276,954
FS KKR Capital Corp.
2.63% due 01/15/27		2,150,000		2,154,227
Safehold Operating Partnership, LP
2.80% due 06/15/31		2,150,000		2,153,446
Americo Life, Inc.
3.45% due 04/15/313		2,060,000		2,072,473
HS Wildcat LLC
3.83% due 12/31/50†††		2,000,000		1,997,060
Macquarie Group Ltd.
2.69% due 06/23/323,4		2,000,000		1,994,660
QBE Insurance Group Ltd.
5.88% 3,4,5		1,750,000		1,951,250
Lincoln National Corp.
4.38% due 06/15/50		1,580,000		1,909,520
Manulife Financial Corp.
2.48% due 05/19/27		1,800,000		1,882,110
Fifth Third Bancorp
2.55% due 05/05/27		1,750,000		1,838,692
Global Atlantic Finance Co.
3.13% due 06/15/313		1,800,000		1,823,093
Dyal Capital Partners III
4.40% due 06/15/40†††		1,750,000		1,804,635
AmFam Holdings, Inc.
2.81% due 03/11/313		1,750,000		1,790,871
Australia & New Zealand Banking Group Ltd.
2.57% due 11/25/353,4		1,800,000		1,745,684
Kemper Corp.
2.40% due 09/30/30		1,510,000		1,493,487
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/283		1,349,000		1,463,665
Raymond James Financial, Inc.
3.75% due 04/01/51		1,300,000		1,443,687
Prudential Financial, Inc.
3.70% due 10/01/504		1,160,000		1,207,694
Bank of New York Mellon Corp.
4.70% 4,5		1,060,000		1,163,350
Camden Property Trust
2.80% due 05/15/30		1,100,000		1,159,432
Central Storage Safety Project Trust
4.82% due 02/01/386		970,560		1,093,342
Westpac Banking Corp.
2.96% due 11/16/40		1,100,000		1,086,965
Kuvare US Holdings, Inc.
7.00% due 02/17/513,4		1,000,000		1,078,439
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		1,050,000		1,032,096
Weyerhaeuser Co.
4.00% due 04/15/30		911,000		1,028,046
Depository Trust & Clearing Corp.
3.38% 3,4,5		1,000,000		1,019,700
Penn Mutual Life Insurance Co.
3.80% due 04/29/613		950,000		985,459
W R Berkley Corp.
4.00% due 05/12/50		850,000		976,662
Apollo Management Holdings, LP
2.65% due 06/05/303		930,000		938,158
Western & Southern Life Insurance Co.
3.75% due 04/28/613		850,000		914,490
Nasdaq, Inc.
3.25% due 04/28/50		850,000		854,327
CNO Financial Group, Inc.
5.25% due 05/30/29		700,000		820,267
Brown & Brown, Inc.
2.38% due 03/15/31		800,000		796,599
Protective Life Corp.
3.40% due 01/15/303		740,000		785,996
Aviation Capital Group LLC
2.88% due 01/20/223		700,000		703,658
New York Life Insurance Co.
3.75% due 05/15/503		600,000		670,630
Brookfield Finance LLC
3.45% due 04/15/50		470,000		483,599
Hanover Insurance Group, Inc.
2.50% due 09/01/30		480,000		481,381
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/253		400,000		454,331
KKR Group Finance Company III LLC
5.13% due 06/01/443		100,000		128,998
Total Financial				333,014,357
Consumer, Non-cyclical - 4.8%
Altria Group, Inc.
3.70% due 02/04/51		4,650,000		4,392,006
3.40% due 05/06/30		3,110,000		3,287,660
2.35% due 05/06/25		1,180,000		1,223,069
4.45% due 05/06/50		390,000		408,922
CoStar Group, Inc.
2.80% due 07/15/303		5,810,000		5,902,990
Quanta Services, Inc.
2.90% due 10/01/30		4,175,000		4,314,111
BAT Capital Corp.
3.98% due 09/25/50		2,800,000		2,708,158
4.70% due 04/02/27		1,410,000		1,592,090
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		3,850,000		4,206,742

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Sysco Corp.
5.95% due 04/01/30		3,176,000	$	4,036,059
Royalty Pharma plc
3.55% due 09/02/50		2,690,000		2,636,037
2.20% due 09/02/30		1,410,000		1,376,821
Smithfield Foods, Inc.
2.63% due 09/13/313		2,400,000		2,330,380
3.00% due 10/15/303		970,000		975,310
Alcon Finance Corp.
2.60% due 05/27/303		2,833,000		2,889,720
BECLE, S.A.B. DE C.V
2.50% due 10/14/31		2,700,000		2,672,352
Kraft Heinz Foods Co.
5.50% due 06/01/50		1,250,000		1,645,603
7.13% due 08/01/393		650,000		981,163
California Institute of Technology
3.65% due 09/01/19		2,000,000		2,252,921
Triton Container International Ltd.
3.15% due 06/15/313		2,100,000		2,117,296
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		2,250,000		2,080,116
Emory University
2.97% due 09/01/50		2,000,000		2,073,518
Global Payments, Inc.
2.90% due 05/15/30		1,620,000		1,669,763
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/503		1,480,000		1,518,041
Anheuser-Busch InBev Worldwide, Inc.
6.63% due 08/15/33		1,100,000		1,513,871
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/313		1,500,000		1,495,050
Johnson & Johnson
2.45% due 09/01/60		1,500,000		1,394,559
Universal Health Services, Inc.
2.65% due 10/15/303		1,320,000		1,325,993
Transurban Finance Company Pty Ltd.
2.45% due 03/16/313		1,300,000		1,301,086
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28		EUR 1,000,000		1,203,290
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		1,000,000		1,094,423
OhioHealth Corp.
3.04% due 11/15/50		1,000,000		1,029,767
Johns Hopkins University
2.81% due 01/01/60		1,000,000		1,014,499
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		1,000,000		1,010,040
California Endowment
2.50% due 04/01/51		1,000,000		960,057
Children’s Hospital Corp.
2.59% due 02/01/50		1,000,000		951,353
Children’s Health System of Texas
2.51% due 08/15/50		1,000,000		927,609
Duke University
2.83% due 10/01/55		897,000		915,401
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/273		925,000		889,387
Bimbo Bakeries USA, Inc.
4.00% due 05/17/513		800,000		864,686
GXO Logistics, Inc.
2.65% due 07/15/313		850,000		844,169
Moody’s Corp.
3.25% due 05/20/50		700,000		715,087
Total Consumer, Non-cyclical				78,741,175
Industrial - 4.7%
Boeing Co.
5.15% due 05/01/30		8,000,000		9,369,598
5.71% due 05/01/40		4,380,000		5,578,806
5.81% due 05/01/50		3,440,000		4,569,113
5.04% due 05/01/27		2,150,000		2,472,031
3.63% due 02/01/31		1,450,000		1,551,574
2.20% due 02/04/26		1,000,000		1,008,688
Textron, Inc.
2.45% due 03/15/31		3,600,000		3,603,152
3.00% due 06/01/30		1,355,000		1,422,354
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		4,503,590		4,491,115
National Basketball Association
2.51% due 12/16/24†††		4,000,000		4,120,800
Berry Global, Inc.
1.57% due 01/15/263		4,100,000		4,098,934
SYNNEX Corp.
2.65% due 08/09/313		2,550,000		2,490,994
2.38% due 08/09/283		1,600,000		1,582,836
Howmet Aerospace, Inc.
3.00% due 01/15/29		3,800,000		3,823,750
Vontier Corp.
2.95% due 04/01/313		3,450,000		3,428,299
Cellnex Finance Company S.A.
3.88% due 07/07/413		3,100,000		3,044,851
Flowserve Corp.
3.50% due 10/01/30		1,810,000		1,888,008
2.80% due 01/15/32		1,150,000		1,136,639
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		3,000,000		2,924,947
Snap-on, Inc.
3.10% due 05/01/50		2,547,000		2,663,655
Owens Corning
3.88% due 06/01/30		2,380,000		2,621,300
IP Lending II Ltd.
3.65% due 07/15/25†††,3		2,450,000		2,441,008
GATX Corp.
4.00% due 06/30/30		2,110,000		2,351,787
CNH Industrial Capital LLC
1.88% due 01/15/26		1,880,000		1,904,571
Ryder System, Inc.
3.35% due 09/01/25		1,470,000		1,583,669
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		1,230,000		1,254,580

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Norfolk Southern Corp.
4.10% due 05/15/21		600,000	$	671,616
Oshkosh Corp.
3.10% due 03/01/30		240,000		252,007
Sonoco Products Co.
5.75% due 11/01/40		150,000		202,216
Total Industrial				78,552,898
Consumer, Cyclical - 4.7%
Marriott International, Inc.
3.50% due 10/15/32		3,300,000		3,501,688
4.63% due 06/15/30		2,830,000		3,229,991
2.85% due 04/15/31		2,320,000		2,347,008
5.75% due 05/01/25		1,900,000		2,172,116
2.75% due 10/15/33		1,000,000		976,784
Delta Air Lines, Inc.
7.00% due 05/01/253		8,800,000		10,262,457
Hyatt Hotels Corp.
5.38% due 04/23/25		3,950,000		4,410,504
5.75% due 04/23/30		3,010,000		3,609,909
Choice Hotels International, Inc.
3.70% due 01/15/31		7,340,000		7,914,795
Whirlpool Corp.
4.60% due 05/15/50		6,145,000		7,531,515
Smithsonian Institution
2.70% due 09/01/44		4,000,000		3,941,101
Alt-2 Structured Trust
2.95% due 05/14/31†††		3,913,660		3,883,056
VF Corp.
2.95% due 04/23/30		3,306,000		3,476,428
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/253		3,150,000		3,370,360
British Airways Class A Pass Through Trust
4.25% due 11/15/323		2,267,813		2,443,460
2.90% due 03/15/353		850,000		853,323
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/273		2,550,000		2,772,226
Steelcase, Inc.
5.13% due 01/18/29		2,224,000		2,556,427
BorgWarner, Inc.
2.65% due 07/01/27		2,310,000		2,433,403
Ferguson Finance plc
3.25% due 06/02/303		1,772,000		1,891,385
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		1,541,000		1,700,864
Northern Group Housing LLC
6.80% due 08/15/533		1,100,000		1,595,390
American Airlines Class AA Pass Through Trust
3.20% due 06/15/28		787,000		791,671
Lowe’s Companies, Inc.
1.70% due 09/15/28		450,000		445,622
JB Poindexter & Company, Inc.
7.13% due 04/15/263		200,000		210,500
Total Consumer, Cyclical				78,321,983
Communications - 2.7%
ViacomCBS, Inc.
4.95% due 01/15/31		4,478,000		5,343,734
4.95% due 05/19/50		2,490,000		3,110,376
4.75% due 05/15/25		2,260,000		2,529,327
2.90% due 01/15/27		450,000		477,800
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		4,525,000		4,529,986
3.90% due 06/01/52		3,350,000		3,322,257
2.25% due 01/15/29		2,400,000		2,395,889
T-Mobile USA, Inc.
3.88% due 04/15/30		4,750,000		5,253,072
Level 3 Financing, Inc.
4.25% due 07/01/283		2,175,000		2,191,813
3.88% due 11/15/293		1,150,000		1,229,695
AT&T, Inc.
2.75% due 06/01/31		3,200,000		3,278,349
Vodafone Group plc
4.13% due 06/04/814		2,550,000		2,581,977
Virgin Media Secured Finance plc
4.50% due 08/15/303		2,350,000		2,388,188
Walt Disney Co.
3.80% due 05/13/60		2,000,000		2,304,175
Amazon.com, Inc.
2.70% due 06/03/60		1,610,000		1,509,835
VeriSign, Inc.
2.70% due 06/15/31		1,200,000		1,219,608
CSC Holdings LLC
4.13% due 12/01/303		600,000		588,750
Fox Corp.
3.05% due 04/07/25		450,000		478,788
Altice France S.A.
5.13% due 01/15/293		250,000		245,000
British Telecommunications plc
9.63% due 12/15/30		150,000		229,359
Telenet Finance Luxembourg Notes SARL
5.50% due 03/01/28		200,000		210,100
Total Communications				45,418,078
Energy - 2.4%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/403		6,250,000		6,300,590
2.94% due 09/30/403		4,000,000		3,991,659
BP Capital Markets plc
4.88%4,5		7,530,000		8,277,429
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		4,190,000		4,824,812
Qatar Petroleum
3.13% due 07/12/413		2,375,000		2,373,860
3.30% due 07/12/513		2,350,000		2,373,500
Magellan Midstream Partners, LP
3.95% due 03/01/50		2,000,000		2,124,972
3.25% due 06/01/30		1,500,000		1,601,783
Valero Energy Corp.
2.15% due 09/15/27		950,000		956,149

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
2.85% due 04/15/25		750,000	$	789,642
4.00% due 04/01/29		500,000		549,210
Chevron USA, Inc.
2.34% due 08/12/50		1,850,000		1,662,726
Florida Gas Transmission Company LLC
2.55% due 07/01/303		1,000,000		1,010,346
NuStar Logistics, LP
6.38% due 10/01/30		700,000		770,000
6.00% due 06/01/26		200,000		216,000
Midwest Connector Capital Company LLC
4.63% due 04/01/293		910,000		977,337
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
4.49% due 05/01/30		410,000		479,162
Cheniere Corpus Christi Holdings LLC
2.74% due 12/31/393		450,000		445,074
Phillips 66
3.70% due 04/06/23		250,000		261,857
Total Energy				39,986,108
Technology - 1.3%
Broadcom, Inc.
4.15% due 11/15/30		4,230,000		4,684,216
2.45% due 02/15/313		3,700,000		3,584,450
NetApp, Inc.
2.70% due 06/22/30		3,507,000		3,600,210
Leidos, Inc.
2.30% due 02/15/31		2,350,000		2,296,067
3.63% due 05/15/25		600,000		646,908
4.38% due 05/15/30		200,000		226,812
Oracle Corp.
3.95% due 03/25/51		2,450,000		2,596,228
Apple, Inc.
2.55% due 08/20/60		1,550,000		1,409,507
CGI, Inc.
2.30% due 09/14/313		1,300,000		1,261,470
Analog Devices, Inc.
2.95% due 04/01/25		400,000		426,549
Total Technology				20,732,417
Utilities - 1.1%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		6,700,000		6,763,583
Jersey Central Power & Light Co.
2.75% due 03/01/323		3,220,000		3,294,530
AES Corp.
3.95% due 07/15/303		1,760,000		1,935,331
NRG Energy, Inc.
2.45% due 12/02/273		1,750,000		1,774,577
Arizona Public Service Co.
3.35% due 05/15/50		1,300,000		1,352,316
Enel Finance International N.V.
2.88% due 07/12/413		1,250,000		1,215,119
Alexander Funding Trust
1.84% due 11/15/233		950,000		968,153
Total Utilities				17,303,609
Basic Materials - 1.0%
Newcrest Finance Pty Ltd.
3.25% due 05/13/303		3,600,000		3,821,958
4.20% due 05/13/503		3,235,000		3,691,808
Anglo American Capital plc
5.63% due 04/01/303		3,400,000		4,099,688
3.95% due 09/10/503		970,000		1,034,942
2.63% due 09/10/303		250,000		248,055
WR Grace Holdings LLC
4.88% due 06/15/273		1,241,000		1,274,358
Yamana Gold, Inc.
2.63% due 08/15/313		1,200,000		1,170,933
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		810,000		791,033
Corporation Nacional del Cobre de Chile
3.75% due 01/15/313		680,000		727,401
Total Basic Materials				16,860,176
Financial Institutions - 0.1%
Stadco LA, LLC
3.75% due 05/15/56†††		2,000,000		1,960,620
Total Corporate Bonds
(Cost $683,469,046)				710,891,421
ASSET-BACKED SECURITIES†† - 25.9%
Collateralized Loan Obligations - 17.2%
Octagon Investment Partners 49 Ltd.
2021-5A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/333,7		8,500,000		8,490,882
2021-5A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 01/15/333,7		7,450,000		7,452,530
Woodmont Trust
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/323,7		12,000,000		12,067,506
2020-7A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/323,7		3,750,000		3,793,922
Cerberus Loan Funding XXX, LP
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/333,7		13,500,000		13,562,934
2020-3A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/333,7		2,000,000		2,017,081
Dryden 33 Senior Loan Fund
2020-33A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/293,7		8,000,000		7,983,284
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/293,7		4,196,027		4,195,317

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/293,7		3,000,000	$	2,994,296
LoanCore Issuer Ltd.
2021-CRE5, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 07/15/363,7		7,500,000		7,506,650
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/353,7		4,426,000		4,434,900
2021-CRE4, 1.87% (30 Day Average U.S. Secured Overnight Financing Rate + 1.81%, Rate Floor: 1.70%) due 07/15/353,7		1,000,000		1,002,007
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/283,7		440,733		440,579
Ares LVIII CLO Ltd.
2020-58A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/333,7		7,600,000		7,578,622
2020-58A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/15/333,7		3,750,000		3,751,952
Palmer Square Loan Funding Ltd.
2021-3A, 2.67% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/293,7		2,000,000		2,001,522
2021-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/293,7		2,000,000		2,000,565
2021-1A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/293,7		2,000,000		1,992,301
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/263,7		1,371,341		1,371,538
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/263,7		1,000,000		1,000,511
2021-2A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/293,7		1,000,000		999,989
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/273,7		618,009		618,062
Benefit Street Partners Clo XXII Ltd.
2020-22A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/20/323,7		8,700,000		8,699,310
2020-22A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/323,7		1,000,000		998,128
Dryden 36 Senior Loan Fund
2020-36A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/293,7		8,000,000		7,999,970
AMMC CLO XIV Ltd.
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/293,7		8,000,000		7,999,595
Madison Park Funding XLVIII Ltd.
2021-48A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/333,7		4,000,000		3,999,980
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/333,7		4,000,000		3,954,253
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6, 2.64% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/363,7		4,000,000		4,045,184
2021-FL6, 1.94% (1 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/16/363,7		3,400,000		3,404,660
Golub Capital Partners CLO 33M Ltd.
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/333,7		6,500,000		6,499,668
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/313,7		5,000,000		5,015,030
2020-9A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/313,7		1,000,000		1,003,573
Golub Capital Partners CLO 16 Ltd.
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/333,7		4,000,000		4,006,040
2021-16A, 1.89% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/333,7		2,000,000		2,010,022
MidOcean Credit CLO VII
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/293,7		3,000,000		3,000,929
2020-7A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/293,7		2,000,000		1,997,149
2020-7A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/293,7		1,000,000		1,000,782
KREF Funding V LLC
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7		5,638,506		5,581,558
0.15% due 06/25/26†††,8		21,818,182		26,837

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Cerberus Loan Funding XXXII, LP
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/333,7		4,250,000	$	4,259,219
2021-2A, 2.98% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/333,7		1,250,000		1,255,626
ABPCI Direct Lending Fund CLO II LLC
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/323,7		5,500,000		5,493,003
Parliament Funding II Ltd.
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/303,7		4,000,000		4,014,903
2020-1A, 3.33% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/303,7		1,000,000		1,004,383
Cerberus Loan Funding XXXI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/323,7		4,500,000		4,500,891
THL Credit Lake Shore MM CLO I Ltd.
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/333,7		4,250,000		4,256,715
Venture XIV CLO Ltd.
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/293,7		4,250,000		4,250,365
BXMT Ltd.
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/383,7		4,250,000		4,244,661
Golub Capital Partners CLO 36M Ltd.
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/313,7		4,100,000		4,077,351
Fortress Credit Opportunities IX CLO Ltd.
2021-9A, due 10/15/333,7		3,250,000		3,250,000
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/293,7		636,000		636,000
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/333,7		3,750,000		3,756,867
PFP Ltd.
2021-7, 2.50% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/383,7		3,749,813		3,754,597
Cerberus Loan Funding XXVI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/313,7		3,500,000		3,499,992
Owl Rock CLO IV Ltd.
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/333,7		3,250,000		3,253,238
Wellfleet CLO Ltd.
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/293,7		3,250,000		3,252,560
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/313,7		3,250,000		3,244,816
LCCM Trust
2021-FL2, 2.23% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 12/13/383,7		3,100,000		3,101,291
Whitebox CLO II Ltd.
2020-2A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/313,7		2,000,000		2,004,056
2020-2A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/313,7		1,000,000		1,000,940
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/333,7		3,000,000		2,980,860
Diamond CLO Ltd.
2021-1A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/293,7		1,500,000		1,498,878
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/303,7		1,000,000		999,005
BRSP Ltd.
2021-FL1, 2.24% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/383,7		2,000,000		2,000,890
Ares LVII CLO Ltd.
2020-57A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/313,7		2,000,000		2,000,250
Cerberus Loan Funding XXXIII, LP
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/333,7		2,000,000		1,999,994
Avery Point VI CLO Ltd.
2021-6A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/273,7		2,000,000		1,998,557
Apres Static CLO Ltd.
2020-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/283,7		2,000,000		1,996,949

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/333,7		2,000,000	$	1,987,638
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/313,7		2,000,000		1,984,562
Magnetite Xxix Ltd.
2021-29A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/343,7		2,000,000		1,975,930
Canyon Capital CLO Ltd.
2018-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/30/313,7		1,900,000		1,881,829
Denali Capital CLO XI Ltd.
2018-1A, 1.26% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/283,7		1,792,798		1,792,814
GPMT Ltd.
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/363,7		1,576,790		1,575,945
Shackleton CLO Ltd.
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/283,7		1,512,481		1,511,765
OCP CLO Ltd.
2020-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/293,7		1,500,000		1,500,087
Allegro CLO IX Ltd.
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/313,7		1,500,000		1,500,022
Marathon CLO V Ltd.
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/273,7		1,000,000		999,048
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/273,7		499,860		499,524
Golub Capital Partners CLO 54M L.P
2021-54A, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/333,7		1,500,000		1,495,521
STWD Ltd.
2019-FL1, 2.43% (30 Day Average U.S. Secured Overnight Financing Rate + 2.46%, Rate Floor: 2.35%) due 07/15/383,7		1,459,000		1,459,834
Voya CLO Ltd.
2020-1A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/313,7		1,250,000		1,249,622
KREF
2021-FL2, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/393,7		1,000,000		1,000,438
Owl Rock CLO I Ltd.
2019-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/313,7		1,000,000		1,000,317
Owl Rock CLO II Ltd.
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/333,7		1,000,000		997,720
Northwoods Capital XII-B Ltd.
2018-12BA, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/313,7		1,000,000		989,936
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/303,7		989,329		981,436
Newfleet CLO Ltd.
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/283,7		930,622		930,044
KVK CLO Ltd.
2018-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/293,7		514,823		514,421
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/283,7		338,075		338,076
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/313,9		1,000,000		846,924
ACRE Commercial Mortgage Ltd.
2021-FL4, 2.69% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/373,7		773,000		772,999
610 Funding CLO 3 Ltd.
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/283,7		753,183		753,214
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/303,7		750,000		750,103
Wind River CLO Ltd.
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/273,7		465,467		465,426
Treman Park CLO Ltd.
2015-1A, due 10/20/283,9		500,000		408,253

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/273,7		386,324	$	386,280
TCP Waterman CLO Ltd.
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/283,7		165,794		165,793
Babson CLO Ltd.
2014-IA, due 07/20/253,9		650,000		76,570
Mountain View CLO Ltd.
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/263,7		43,251		43,245
Copper River CLO Ltd.
2007-1A, due 01/20/216,9		700,000		23,961
Total Collateralized Loan Obligations				284,945,772
Financial - 2.5%
Station Place Securitization Trust
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,3,7		11,500,000		11,500,000
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,3,7		7,000,000		7,000,000
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,3,7		2,000,000		2,000,000
2021-WL1, 2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/26/54†††,3,7		1,400,000		1,400,000
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,3,7		1,000,000		1,000,000
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,3,7		1,000,000		1,000,000
2021-WL1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/54†††,3,7		1,000,000		1,000,000
2021-WL2, 2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 03/25/54†††,3,7		250,000		250,000
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,3,7		150,000		150,000
Strategic Partners Fund VIII LP
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7		3,500,000		3,500,315
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7		1,300,000		1,300,026
HarbourVest Structured Solutions IV Holdings, LP
due 09/15/26		2,900,000		3,058,480
Madison Avenue Secured Funding Trust Series
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,3,7		3,000,000		3,000,000
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7	EUR	2,163,556		2,505,134
KKR Core Holding Company LLC
4.00% due 07/15/31†††		1,050,000		1,035,825
Nassau LLC
2019-1, 3.98% due 08/15/343		1,017,433		1,028,243
Total Financial				40,728,023
Whole Business - 1.9%
Domino’s Pizza Master Issuer LLC
2017-1A, 4.12% due 07/25/473		6,755,000		7,249,750
2021-1A, 3.15% due 04/25/513		997,500		1,051,371
Arbys Funding LLC
2020-1A, 3.24% due 07/30/503		6,682,500		6,927,547
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/463		3,590,625		3,845,326
2021-1A, 2.29% due 08/25/513		1,500,000		1,493,104
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/513		3,980,000		4,049,097
DB Master Finance LLC
2019-1A, 4.35% due 05/20/493		3,675,000		3,991,462
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/513		1,995,000		2,003,195
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/493		1,365,180		1,442,661
Total Whole Business				32,053,513
Transport-Aircraft - 1.4%
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/463		5,235,845		5,407,995
AASET US Ltd.
2018-2A, 4.45% due 11/18/383		3,358,511		3,262,129
MACH 1 Cayman Ltd.
2019-1, 3.47% due 10/15/393		2,426,840		2,421,190
AASET Trust
2020-1A, 3.35% due 01/16/403		1,821,563		1,800,560
2017-1A, 3.97% due 05/16/423		354,809		325,341
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/403		1,989,679		1,972,832
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/393		1,606,106		1,592,166
2017-1, 4.58% due 02/15/423		322,581		321,397
MAPS Ltd.
2018-1A, 4.21% due 05/15/433		1,710,156		1,724,394
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/403		1,652,932		1,632,073
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/433		1,217,756		1,214,415

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
WAVE LLC
2019-1, 3.60% due 09/15/443		898,173	$	894,501
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/403		760,152		645,445
Raspro Trust
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/243,7		282,622		282,622
Total Transport-Aircraft				23,497,060
Net Lease - 1.3%
CARS-DB4, LP
2020-1A, 3.81% due 02/15/503		2,244,844		2,409,301
2020-1A, 4.95% due 02/15/503		1,500,000		1,560,285
CMFT Net Lease Master Issuer LLC
2021-1, 3.44% due 07/20/513		3,570,000		3,563,239
2021-1, 2.57% due 07/20/513		398,590		397,162
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/463		2,628,063		2,760,368
Capital Automotive LLC
2017-1A, 3.87% due 04/15/473		2,712,265		2,718,964
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/503		2,500,000		2,475,692
Capital Automotive REIT
2020-1A, 3.48% due 02/15/503		1,247,135		1,283,001
2021-1A, 2.76% due 08/15/513		1,000,000		995,996
CF Hippolyta LLC
2020-1, 2.60% due 07/15/603		870,038		876,633
2020-1, 2.28% due 07/15/603		711,591		721,812
STORE Master Funding LLC
2014-1A, 5.00% due 04/20/443		1,445,000		1,495,175
Total Net Lease				21,257,628
Collateralized Debt Obligations - 1.0%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/393		7,250,000		7,251,022
2021-4A, 3.12% due 04/27/393		2,000,000		1,999,093
Anchorage Credit Funding Ltd.
2021-13A, 2.88% due 07/27/393		2,500,000		2,500,468
2021-13A, 3.15% due 07/27/393		2,000,000		1,998,491
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/393		3,750,000		3,750,118
Total Collateralized Debt Obligations				17,499,192
Transport-Container - 0.4%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/453		4,127,316		4,182,302
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/453		1,830,000		1,844,414
Total Transport-Container				6,026,716
Insurance - 0.1%
JGWPT XXV LLC
2012-1A, 4.21% due 02/16/653		1,292,380		1,456,274
Diversified Payment Rights - 0.1%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		1,000,000		1,062,210
Total Asset-Backed Securities
(Cost $427,021,712)				428,526,388
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 13.9%
Government Agency - 8.6%
Fannie Mae
2.81% due 05/01/51		8,250,000		8,715,075
2.17% due 03/01/51		8,347,000		8,038,814
2.24% due 01/01/51		5,918,985		5,726,867
2.00% due 09/01/50		5,055,730		4,799,541
2.36% due 08/01/50		4,500,000		4,466,570
2.78% due 05/01/51		2,737,253		2,909,785
2.20% due 11/01/27		2,567,095		2,676,905
2.59% due 06/01/51		2,489,505		2,578,736
4.17% due 02/01/49		2,000,000		2,383,715
3.09% due 10/01/29		2,000,000		2,189,590
2.81% due 09/01/39		2,000,000		2,077,653
2.32% due 02/01/51		2,080,131		2,038,785
2.40% due 03/01/40		2,000,000		1,975,091
2.11% due 10/01/50		1,868,438		1,793,918
2.27% due 02/01/51		1,733,192		1,698,634
2.06% due 09/01/36		1,600,000		1,553,769
2.39% due 02/01/51		1,443,006		1,458,272
1.88% due 01/01/36		1,310,000		1,268,258
3.74% due 02/01/30		1,000,000		1,144,923
3.83% due 05/01/49		1,000,000		1,140,341
3.61% due 04/01/39		1,000,000		1,133,602
4.24% due 08/01/48		1,000,000		1,125,965
4.27% due 12/01/33		958,437		1,117,900
3.46% due 08/01/49		967,101		1,081,339
2.99% due 01/01/40		1,000,000		1,064,118
2.79% due 01/01/32		973,550		1,043,174
3.11% due 04/01/30		939,213		1,032,328
2.69% due 10/01/34		964,223		1,024,428
2.68% due 04/01/50		973,349		1,020,336
2013-124, due 12/25/4310		1,126,814		1,018,340
2.10% due 07/01/50		978,232		938,910
1.76% due 08/01/40		1,000,000		925,791
4.07% due 05/01/49		774,648		895,569
4.37% due 10/01/48		722,110		857,263
4.25% due 05/01/48		638,114		676,652
3.94% due 10/01/36		335,006		387,578
Uniform MBS 30 Year
due 11/10/2115		50,300,000		51,734,355
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-3, 2.00% due 05/25/60		4,127,420		4,143,110
2020-2, 2.00% due 11/25/59		1,614,796		1,627,680
Fannie Mae-Aces
2020-M23, 1.58% (WAC) due 03/25/357,8		25,286,063		3,208,784
Federal National Mortgage Association
3.65% due 03/01/33		1,200,000		1,208,760
2.27% due 10/01/41		1,000,000		993,710

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Freddie Mac
1.98% due 05/01/50		1,382,983	$	1,295,665
2018-4762, 4.00% due 01/15/46		852,585		867,033
FARM Mortgage Trust
2021-1, due 01/25/513,7		1,000,000		1,000,620
Total Government Agency				142,058,252
Commercial Mortgage Backed Securities - 2.9%
GS Mortgage Securities Trust
2020-GSA2, 2.34% due 12/12/53		8,000,000		7,884,938
2020-GC45, 0.79% (WAC) due 02/13/537,8		18,962,034		871,495
2019-GC42, 0.93% (WAC) due 09/01/527,8		14,924,906		806,670
DBGS Mortgage Trust
2018-C1, 4.78% (WAC) due 10/15/517		7,000,000		7,976,159
CD Mortgage Trust
2017-CD4, 3.95% (WAC) due 05/10/507		4,750,000		5,152,523
2016-CD1, 1.53% (WAC) due 08/10/497,8		2,271,438		122,625
KKR Industrial Portfolio Trust
2021-KDIP, 1.33% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 12/15/373,7		4,600,000		4,594,467
JP Morgan Chase Commercial Mortgage Securities Trust
2016-JP3, 3.60% (WAC) due 08/15/497		4,000,000		4,054,090
BX Commercial Mortgage Trust
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/363,7		3,450,000		3,454,321
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/373,7		1,000,000		1,025,314
2020-DUNE, 1.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/363,7		1,000,000		1,001,446
Life Mortgage Trust
2021-BMR, 1.48% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/383,7		2,000,000		2,003,804
BENCHMARK Mortgage Trust
2019-B14, 0.91% (WAC) due 12/15/627,8		19,863,009		911,726
2018-B6, 0.57% (WAC) due 10/10/517,8		29,539,841		647,330
COMM Mortgage Trust
2015-CR24, 0.90% (WAC) due 08/10/487,8		43,961,089		1,119,667
2015-CR26, 1.08% (WAC) due 10/10/487,8		8,997,963		280,272
Citigroup Commercial Mortgage Trust
2019-GC43, 0.75% (WAC) due 11/10/527,8		19,939,256		865,619
2016-GC37, 1.85% (WAC) due 04/10/497,8		3,234,452		201,414
2016-C2, 1.89% (WAC) due 08/10/497,8		2,399,090		165,093
2016-P5, 1.60% (WAC) due 10/10/497,8		1,784,051		97,503
Extended Stay America Trust
2021-ESH, 2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/383,7		1,094,307		1,107,872
CSAIL Commercial Mortgage Trust
2019-C15, 1.21% (WAC) due 03/15/527,8		12,414,398		739,032
SG Commercial Mortgage Securities Trust
2016-C5, 2.07% (WAC) due 10/10/487,8		9,073,402		564,161
UBS Commercial Mortgage Trust
2017-C2, 1.20% (WAC) due 08/15/507,8		10,300,732		485,454
JPMDB Commercial Mortgage Securities Trust
2016-C2, 1.71% (WAC) due 06/15/497,8		7,141,676		377,935
Morgan Stanley Capital I Trust
2016-UB11, 1.63% (WAC) due 08/15/497,8		6,738,671		372,630
Wells Fargo Commercial Mortgage Trust
2016-NXS5, 1.59% (WAC) due 01/15/597,8		3,782,005		190,225
2016-C37, 1.07% (WAC) due 12/15/497,8		3,193,705		98,042
CFCRE Commercial Mortgage Trust
2016-C3, 1.15% (WAC) due 01/10/487,8		5,615,900		210,448
Total Commercial Mortgage Backed Securities				47,382,275
Residential Mortgage Backed Securities - 1.4%
Mill City Mortgage Loan Trust
2021-NMR1, 2.50% (WAC) due 11/25/603,7		4,800,000		4,796,773
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/663,7		4,000,000		3,977,783
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/583,7		904,647		940,266
2019-6A, 3.50% (WAC) due 09/25/593,7		662,890		697,237
2018-1A, 4.00% (WAC) due 12/25/573,7		461,267		492,212
CSMC Trust
2018-RPL9, 3.85% (WAC) due 09/25/573,7		1,374,495		1,425,912
2020-NQM1, 1.72% due 05/25/653,11		507,430		509,055
Starwood Mortgage Residential Trust
2020-1, 2.41% (WAC) due 02/25/503,7		924,890		932,329
2020-1, 2.56% (WAC) due 02/25/503,7		924,890		931,301
Verus Securitization Trust
2019-4, 2.85% due 11/25/593,11		1,540,170		1,562,585
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/553		1,250,000		1,259,723
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/478		7,209,844		1,171,768

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
BRAVO Residential Funding Trust
2021-HE1, 1.55% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/703,7		1,000,000	$	998,805
Angel Oak Mortgage Trust
2020-1, 2.77% (WAC) due 12/25/593,7		895,718		899,160
Securitized Asset Backed Receivables LLC Trust
2006-HE2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/367		1,563,577		887,454
MFRA Trust
2021-INV1, 2.29% (WAC) due 01/25/563,7		700,000		675,610
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 02/25/243,7		486,195		488,921
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.79% (WAC) due 09/27/603,7		472,299		470,941
RALI Series Trust
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/467		1,566,283		453,670
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/467		297,078		258,613
MASTR Adjustable Rate Mortgages Trust
2003-5, 1.52% (WAC) due 11/25/337		265,386		253,385
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		60,661		61,690
Total Residential Mortgage Backed Securities				24,145,193
Military Housing - 0.9%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 3.48% (WAC) due 11/25/553,7		7,056,906		8,355,148
2015-R1, 4.11% (WAC) due 11/25/523,7		2,902,123		3,289,971
2015-R1, 0.52% (WAC) due 11/25/553,7,8		10,328,320		686,222
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/513		2,293,606		2,456,964
2007-ROBS, 6.06% due 10/10/523		461,553		504,837
2007-AETC, 5.75% due 02/10/523		272,270		297,144
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/523		1,451,593		1,680,891
Total Military Housing				17,271,177
Total Collateralized Mortgage Obligations
(Cost $231,402,560)				230,856,897
U.S. GOVERNMENT SECURITIES†† - 8.0%
U.S. Treasury Notes
1.25% due 08/15/3112		115,000,000		112,071,094
0.75% due 03/31/26		6,000,000		5,955,469
U.S. Treasury Bonds
2.00% due 08/15/51		15,000,000		14,742,187
Total U.S. Government Securities
(Cost $135,454,245)				132,768,750
SENIOR FLOATING RATE INTERESTS††,7 - 3.9%
Industrial - 1.2%
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		8,450,000		8,972,886
Standard Industries, Inc.
due 09/22/28		4,000,000		4,002,160
SkyMiles IP Ltd.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		1,700,000		1,806,998
Berry Global, Inc.
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		1,429,766		1,420,830
Air Canada
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		1,350,000		1,354,495
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		1,039,258		1,034,717
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		702,398		703,719
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24		493,985		493,678
Total Industrial				19,789,483
Consumer, Cyclical - 0.8%
Murphy Oil USA, Inc.
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28		7,980,000		7,980,000
Amaya Holdings BV
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26		EUR 4,000,000		4,629,889
Stars Group (Amaya)
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		1,000,000		996,250

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Hilton Worldwide Finance LLC
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/22/26		383,663	$	380,279
Total Consumer, Cyclical				13,986,418
Consumer, Non-cyclical - 0.6%
Catalent Pharma Solutions, Inc.
due 02/22/28		4,200,000		4,198,950
Packaging Coordinators Midco, Inc.
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/30/27		2,238,750		2,240,160
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		1,311,591		1,316,509
HCRX Investments HoldCo, LP
due 07/15/28		1,250,000		1,245,313
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		1,016,018		1,016,018
Elanco Animal Health, Inc.
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		387,360		382,378
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27†††		181,818		182,500
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27†††		128,880		128,880
Total Consumer, Non-cyclical				10,710,708
Technology - 0.6%
Datix Bidco Ltd.
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25		GBP 2,900,000		3,829,776
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		3,672,250		3,674,086
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27		1,596,000		1,590,685
Total Technology				9,094,547
Basic Materials - 0.3%
Univar Netherlands Holding BV
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/03/28		4,214,438		4,203,901
Utilities - 0.2%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		3,076,692		3,086,322
Financial - 0.1%
Nexus Buyer LLC
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		893,199		892,877
Cross Financial Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		796,005		797,661
Alliant Holdings Intermediate LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		494,898		491,186
Total Financial				2,181,724
Energy - 0.1%
Venture Global Calcasieu Pass LLC
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		795,103		751,372
DT Midstream, Inc.
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28		500,000		499,610
Total Energy				1,250,982
Communications - 0.0%
Radiate Holdco LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		148,875		148,661
Total Senior Floating Rate Interests
(Cost $64,175,510)				64,452,746
FEDERAL AGENCY BONDS†† - 3.3%
Fannie Mae Principal Strips
due 07/15/3710,13		13,000,000		9,158,162
due 08/06/3813		250,000		171,173
Freddie Mac Principal Strips
due 07/15/3213		10,550,000		8,633,213
Federal Farm Credit Bank
3.51% due 06/11/40		3,300,000		3,929,350
2.43% due 01/29/37		3,000,000		3,151,662
2.70% due 01/30/45		1,053,000		1,103,187
2.88% due 10/01/40		350,000		382,870
Tennessee Valley Authority Principal Strips
due 01/15/4810,13		9,700,000		4,766,541
due 01/15/3813		4,000,000		2,694,156
due 12/15/4210,13		1,600,000		917,251
Tennessee Valley Authority Principal
due 06/15/3810,13		9,400,000		6,246,939
due 06/15/3510,13		1,583,000		1,158,481

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Face Amount~		Value
Tennessee Valley Authority
4.25% due 09/15/65		2,450,000	$	3,447,111
5.38% due 04/01/56		600,000		973,703
United States International Development Finance Corp.
1.63% due 11/20/37		4,000,000		3,973,742
Freddie Mac
due 01/02/3413		1,850,000		1,451,950
due 09/15/3613		300,000		215,924
U.S. International Development Finance Corp.
due 01/17/2613		800,000		879,717
1.79% due 10/15/29		556,769		573,182
Tennessee Valley Authority Generic
due 01/15/2813		150,000		136,911
Total Federal Agency Bonds
(Cost $50,241,213)				53,965,225
MUNICIPAL BONDS†† - 1.3%
Texas - 0.4%
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.29% due 09/01/40		2,100,000		2,171,473
2.78% due 09/01/34		700,000		716,166
2.69% due 09/01/33		500,000		510,639
2.57% due 09/01/32		475,000		483,035
2.41% due 09/01/31		450,000		454,095
2.08% due 09/01/28		300,000		301,839
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,500,000		1,527,167
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,000,000		1,002,459
Total Texas				7,166,873
California - 0.3%
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/4413		2,000,000		920,110
due 08/01/4113		1,540,000		807,375
due 08/01/4613		750,000		316,481
California Statewide Communities Development Authority Revenue Bonds
2.68% due 02/01/39		1,200,000		1,205,246
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/3913		1,410,000		767,458
Cypress School District General Obligation Unlimited
due 08/01/4813		1,000,000		406,424
Hanford Joint Union High School District General Obligation Unlimited
due 08/01/3913		500,000		261,219
Total California				4,684,313
New York - 0.2%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		2,700,000		2,833,250
New York Power Authority Revenue Bonds
2.82% due 11/15/39		1,000,000		1,018,422
Total New York				3,851,672
Idaho - 0.1%
Boise State University Revenue Bonds
3.06% due 04/01/40		1,150,000		1,178,773
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		1,000,000		988,492
Ohio - 0.1%
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		1,000,000		983,029
Alabama - 0.1%
Auburn University Revenue Bonds
2.68% due 06/01/50		1,000,000		945,513
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		500,000		607,562
Cook County School District No. 155 Calumet City General Obligation Unlimited
5.30% due 12/01/22		5,000		5,238
Total Illinois				612,800
Total Municipal Bonds
(Cost $19,704,704)				20,411,465
SENIOR FIXED RATE INTERESTS††† - 0.2%
Industrial - 0.2%
CTL Logistics
2.65% due 10/10/42		3,642,781		3,543,333
Total Senior Fixed Rate Interests
(Cost $3,642,781)				3,543,333
FOREIGN GOVERNMENT DEBT†† - 0.1%
Panama Government International Bond
4.50% due 04/16/50		1,450,000		1,571,843
Bermuda Government International Bond
3.38% due 08/20/50		500,000		501,050
Total Foreign Government Debt
(Cost $2,127,269)				2,072,893
COMMERCIAL PAPER†† - 1.5%
Societe Generale S.A.
0.04% due 10/01/2114		15,000,000		15,000,000
Amphenol Corp.
0.08% due 10/01/2114		10,000,000		10,000,000
Total Commercial Paper
(Cost $25,000,000)				25,000,000

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

	Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.3%
Call Options on:
Interest Rate Options
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	$	455,200,000	$	2,580,984
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		120,600,000		477,576
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		55,700,000		315,819
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		47,400,000		187,704
Total Interest Rate Options				3,562,083
	Contracts
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $53,844,250)		125		1,676,875
Total Equity Options				1,676,875
Total OTC Options Purchased
(Cost $3,137,338)				5,238,958
Total Investments - 107.6%
(Cost $1,747,167,149)				1,781,918,584
	Face Amount
Collateralized Mortgage Obligations Sold Short†† - (3.2)%
Government Agency - (3.2)%
Uniform MBS 30 Year
3.50% due 11/10/2115		50,300,000		(53,256,131	)
Total Collateralized Mortgage Obligations
(Proceeds $53,311,935)				(53,256,131	)

	Contracts		Value
LISTED OPTIONS WRITTEN† - 0.0%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $33,426)		9		(4,635	)
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $33,426)		9		(5,535	)
Total Equity Options				(10,170	)
Total Listed Options Written
(Premiums received $18,995)				(10,170	)
OTC OPTIONS WRITTEN†† - 0.0%
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $53,844,250)		125		(584,375	)
Total OTC Options Written
(Premiums received $716,875)				(584,375	)
Other Assets & Liabilities, net - (4.4)%				(71,700,608	)
Total Net Assets - 100.0%			$	1,656,367,300

Centrally Cleared Interest Rate Swap Agreements††

Counterparty

Exchange

Floating Rate Type

Floating Rate Index

Fixed Rate

Payment Frequency

Maturity Date

Notional Amount

Value

Upfront Premiums Paid (Received)

Unrealized Appreciation**

BofA Securities, Inc.

CME

Pay

Federal Funds Rate

0.82%

Annually

04/01/26

$

50,000,000

$

46,908

$

472

$

46,436

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation

JPMorgan Chase Bank, N.A.

GBP

Sell

2,842,000

3,924,723 USD

10/18/21

$

94,867

JPMorgan Chase Bank, N.A.

EUR

Sell

3,980,000

4,686,633 USD

10/18/21

74,620

Morgan Stanley Capital Services LLC

EUR

Sell

1,022,000

1,207,136 USD

10/18/21

22,846

Citibank, N.A.

EUR

Sell

2,215,000

2,592,864 USD

12/31/21

21,523

$

213,856

~	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.
1	Special Purpose Acquisition Company (SPAC).
2	Rate indicated is the 7-day yield as of September 30, 2021.
3	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $734,381,475 (cost $725,650,063), or 44.3% of total net assets.
4	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5	Perpetual maturity.
6	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 $1,117,303 (cost $1,013,092), or 0.1% of total net assets — See Note 10.
7	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
8	Security is an interest-only strip.
9	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
10	Security is a principal-only strip.
11	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
12	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked security was $112,071,094 — See Note 6.
13	Zero coupon rate security.
14	Rate indicated is the effective yield at the time of purchase.
15	Security is unsettled at period end and does not have a stated effective rate.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	19,328,995	$	—	$	—	*	$	19,328,995
Preferred Stocks		—		55,400,137		—	*		55,400,137
Warrants		214,890		—		—			214,890
Closed-End Funds		3,437,826		—		—			3,437,826
Money Market Fund		25,808,660		—		—			25,808,660
Corporate Bonds		—		676,503,916		34,387,505			710,891,421
Asset-Backed Securities		—		385,214,483		43,311,905			428,526,388
Collateralized Mortgage Obligations		—		230,856,897		—			230,856,897
U.S. Government Securities		—		132,768,750		—			132,768,750
Senior Floating Rate Interests		—		63,389,994		1,062,752			64,452,746
Federal Agency Bonds		—		53,965,225		—			53,965,225
Municipal Bonds		—		20,411,465		—			20,411,465
Senior Fixed Rate Interests		—		—		3,543,333			3,543,333
Foreign Government Debt		—		2,072,893		—			2,072,893
Commercial Paper		—		25,000,000		—			25,000,000
Options Purchased		—		5,238,958		—			5,238,958
Interest Rate Swap Agreements**		—		46,436		—			46,436
Forward Foreign Currency Exchange Contracts**		—		213,856		—			213,856
Total Assets	$	48,790,371	$	1,651,083,010	$	82,305,495		$	1,782,178,876

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Collateralized Mortgage Obligations Sold Short	$	—	$	53,256,131	$	—	$	53,256,131
Options Written		10,170		584,375		—		594,545
Unfunded Loan Commitments (Note 9)		—		—		33,278		33,278
Total Liabilities	$	10,170	$	53,840,506	$	33,278	$	53,883,954

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $58,575,378 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CORE BOND FUND

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

Category	Ending Balance at September 30, 2021			Valuation Technique		Unobservable Inputs		Input Range			Weighted Average*
Assets:
Asset-Backed Securities	$	41,213,870	Option Adjusted Spread off the prior month end broker quote		Broker Quote				—			—
Asset-Backed Securities		2,098,035	Yield Analysis		Yield				2.4%-4.2%			3.3	%
Corporate Bonds		21,137,813	Option Adjusted Spread off the prior month end broker quote		Broker Quote				—			—
Corporate Bonds		6,925,628	Third Party Pricing		Vendor Price				—			—
Corporate Bonds		3,883,056	Yield Analysis		Yield				3.2	%		—
Corporate Bonds		2,441,008	Third Party Pricing		Trade Price				—			—
Senior Fixed Rate Interests		3,543,333	Yield Analysis		Yield				2.7	%		—
Senior Floating Rate Interests		1,062,752	Third Party Pricing		Broker Quote				—			—
Total Assets	$	82,305,495
Liabilities:
Unfunded Loan Commitments	$	33,278	Model Price				Purchase Price		—			—

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

Significant changes in a quote or yield 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.

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $9,081,873 transfer into Level 3 from Level 2 due to lack of observable inputs.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
CORE BOND FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets																		Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	33,401,467		$	10,687,442		$	14,037,846		$	—		$	—		$	58,126,755		$	(163,932	)
Purchases/(Receipts)		30,650,000			—			25,325,119			1,752,552			3,642,781			61,370,452			(1,903	)
(Sales, maturities and paydowns)/Fundings		(29,875,926	)		(10,592,131	)		(5,718,758	)		(778,264	)		—			(46,965,079	)		130,156
Amortization of premiums/discounts		—			6			1,341			12,492			—			13,839			—
Total realized gains (losses) included in earnings		299,857			(7	)		186,007			56,766			—			542,623			—
Total change in unrealized appreciation (depreciation) included in earnings		(245,366	)		(95,310	)		555,950			19,206			(99,448	)		135,032			2,401
Transfers into Level 3		9,081,873			—			—			—			—			9,081,873			—
Ending Balance	$	43,311,905		$	—		$	34,387,505		$	1,062,752		$	3,543,333		$	82,305,495		$	(33,278	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(247,546	)	$	—		$	776,204		$	19,206		$	(99,448	)	$	448,416		$	2,401

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
CSMC Trust 2020-NQM1, 1.72% due 05/25/65		2.72	%		09/26/24
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23

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

CORE BOND FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $1,747,167,149)	$	1,781,918,584
Foreign currency, at value (cost $17,633)		17,633
Cash		36,001,952
Segregated cash with broker		1,485,917
Unamortized upfront premiums paid on interest rate swap agreements		472
Unrealized appreciation on forward foreign currency exchange contracts		213,856
Prepaid expenses		64,767
Receivables:
Securities sold		152,041,704
Interest		9,841,828
Fund shares sold		2,985,114
Swap settlement		1,651,750
Dividends		24,558
Foreign tax reclaims		5,053
Total assets		1,986,253,188
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $36,747)		33,278
Reverse repurchase agreements (Note 6)		58,575,378
Securities sold short, at value (proceeds $53,311,935)		53,256,131
Options written, at value (premiums received $735,870)		594,545
Segregated cash due to broker		2,878,726
Payable for:
Securities purchased		183,330,882
Fund shares redeemed		28,634,823
Variation margin on interest rate swap agreements		1,476,692
Management fees		245,163
Distributions to shareholders		183,095
Fund accounting/administration fees		92,881
Distribution and service fees		77,915
Transfer agent/maintenance fees		43,252
Trustees’ fees*		20,052
Due to Investment Adviser		695
Miscellaneous		442,380
Total liabilities		329,885,888
Net assets	$	1,656,367,300
Net assets consist of:
Paid in capital	$	1,601,733,143
Total distributable earnings (loss)		54,634,157
Net assets	$	1,656,367,300
A-Class:
Net assets	$	151,026,273
Capital shares outstanding		7,530,000
Net asset value per share	$	20.06
Maximum offering price per share (Net asset value divided by 96.00%)	$	20.90
C-Class:
Net assets	$	33,406,594
Capital shares outstanding		1,672,880
Net asset value per share	$	19.97
P-Class:
Net assets	$	89,223,366
Capital shares outstanding		4,444,770
Net asset value per share	$	20.07
Institutional Class:
Net assets	$	1,382,711,067
Capital shares outstanding		69,035,227
Net asset value per share	$	20.03

* 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 | 65

CORE BOND FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	2,537,386
Interest (net of foreign withholding tax of $15,467)		45,077,412
Total investment income		47,614,798
Expenses:
Management fees		6,225,103
Distribution and service fees:
A-Class		399,738
C-Class		354,402
P-Class		195,550
Transfer agent/maintenance fees:
A-Class		135,343
C-Class		33,645
P-Class		106,714
Institutional Class		1,191,836
Fund accounting/administration fees		1,073,376
Professional fees		213,875
Line of credit fees		163,333
Custodian fees		81,849
Trustees’ fees*		61,128
Interest expense		12,522
Miscellaneous		296,479
Recoupment of previously waived fees:
A-Class		15,742
Total expenses		10,560,635
Less:
Expenses reimbursed by Adviser:
A Class		(80,840	)
C Class		(19,031	)
P Class		(72,761	)
Institutional Class		(1,184,279	)
Expenses waived by Adviser		(182,806	)
Earnings credits applied		(2,586	)
Total waived/reimbursed expenses		(1,542,303	)
Net expenses		9,018,332
Net investment income		38,596,466
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		21,449,202
Investments sold short		(243,650	)
Swap agreements		4,025,357
Options purchased		2,581,841
Forward foreign currency exchange contracts		4,367,254
Foreign currency transactions		13,030
Net realized gain		32,193,034
Net change in unrealized appreciation (depreciation) on:
Investments		(31,419,060	)
Investments sold short		55,804
Swap agreements		(2,135,700	)
Options purchased		910,182
Options written		141,325
Forward foreign currency exchange contracts		(4,132,180	)
Foreign currency translations		507
Net change in unrealized appreciation (depreciation)		(36,579,122	)
Net realized and unrealized loss		(4,386,088	)
Net increase in net assets resulting from operations	$	34,210,378

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

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

CORE BOND FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	38,596,466		$	21,643,322
Net realized gain on investments		32,193,034			38,692,213
Net change in unrealized appreciation (depreciation) on investments		(36,579,122	)		50,287,078
Net increase in net assets resulting from operations		34,210,378			110,622,613
Distributions to shareholders:
A-Class		(6,777,135	)		(3,767,804	)
C-Class		(1,300,689	)		(356,078	)
P-Class		(3,119,744	)		(1,024,712	)
Institutional Class		(62,477,661	)		(19,218,081	)
Total distributions to shareholders		(73,675,229	)		(24,366,675	)
Capital share transactions:
Proceeds from sale of shares
A-Class		40,344,152			110,819,065
C-Class		12,009,830			14,504,419
P-Class		50,228,861			22,554,327
Institutional Class		818,599,668			714,499,854
Distributions reinvested
A-Class		6,350,495			3,613,421
C-Class		1,147,128			305,013
P-Class		3,119,734			1,024,707
Institutional Class		58,072,751			17,587,263
Cost of shares redeemed
A-Class		(111,584,248	)		(59,704,941	)
C-Class		(12,039,187	)		(6,302,201	)
P-Class		(23,176,345	)		(16,990,731	)
Institutional Class		(598,902,302	)		(272,307,128	)
Net increase from capital share transactions		244,170,537			529,603,068
Net increase in net assets		204,705,686			615,859,006
Net assets:
Beginning of year		1,451,661,614			835,802,608
End of year	$	1,656,367,300		$	1,451,661,614
Capital share activity:
Shares sold
A-Class		1,985,400			5,657,259
C-Class		595,114			736,544
P-Class		2,494,993			1,125,368
Institutional Class		40,361,294			36,204,919
Shares issued from reinvestment of distributions
A-Class		312,565			183,005
C-Class		56,670			15,494
P-Class		153,682			51,991
Institutional Class		2,864,869			890,192
Shares redeemed
A-Class		(5,426,999	)		(3,072,001	)
C-Class		(600,885	)		(324,755	)
P-Class		(1,149,450	)		(883,015	)
Institutional Class		(29,741,956	)		(13,983,181	)
Net increase in shares		11,905,297			26,601,820

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	20.53		$	18.94		$	18.33		$	18.55		$	18.55
Income (loss) from investment operations:
Net investment income (loss)a		.44			.37			.41			.49			.59
Net gain (loss) on investments (realized and unrealized)		(.01	)		1.63			.63			(.22	)		.02
Total from investment operations		.43			2.00			1.04			.27			.61
Less distributions from:
Net investment income		(.47	)		(.41	)		(.43	)		(.49	)		(.61	)
Net realized gains		(.43	)		—			—			—			—
Total distributions		(.90	)		(.41	)		(.43	)		(.49	)		(.61	)
Net asset value, end of period	$	20.06		$	20.53		$	18.94		$	18.33		$	18.55
Total Returnb		2.09	%		10.68	%		5.72	%		1.46	%		3.39	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	151,026		$	218,856		$	149,442		$	119,066		$	170,624
Ratios to average net assets:
Net investment income (loss)		2.20	%		1.87	%		2.23	%		2.64	%		3.19	%
Total expensesc		0.85	%		0.85	%		0.89	%		0.93	%		1.07	%
Net expensesd,e,f		0.79	%		0.79	%		0.80	%		0.83	%		1.02	%
Portfolio turnover rate		103	%		126	%		77	%		53	%		81	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	20.45		$	18.86		$	18.25		$	18.47		$	18.48
Income (loss) from investment operations:
Net investment income (loss)a		.29			.22			.28			.35			.45
Net gain (loss) on investments (realized and unrealized)		(.03	)		1.64			.62			(.22	)		.02
Total from investment operations		.26			1.86			.90			.13			.47
Less distributions from:
Net investment income		(.31	)		(.27	)		(.29	)		(.35	)		(.48	)
Net realized gains		(.43	)		—			—			—			—
Total distributions		(.74	)		(.27	)		(.29	)		(.35	)		(.48	)
Net asset value, end of period	$	19.97		$	20.45		$	18.86		$	18.25		$	18.47
Total Returnb		1.34	%		9.86	%		4.96	%		0.71	%		2.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	33,407		$	33,163		$	22,531		$	18,799		$	28,083
Ratios to average net assets:
Net investment income (loss)		1.46	%		1.13	%		1.50	%		1.92	%		2.47	%
Total expensesc		1.61	%		1.62	%		1.67	%		1.75	%		1.85	%
Net expensesd,e,f		1.54	%		1.54	%		1.55	%		1.57	%		1.77	%
Portfolio turnover rate		103	%		126	%		77	%		53	%		81	%

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	20.55		$	18.96		$	18.34		$	18.56		$	18.57
Income (loss) from investment operations:
Net investment income (loss)a		.44			.36			.41			.48			.56
Net gain (loss) on investments (realized and unrealized)		(.02	)		1.64			.63			(.21	)		.05
Total from investment operations		.42			2.00			1.04			.27			.61
Less distributions from:
Net investment income		(.47	)		(.41	)		(.42	)		(.49	)		(.62	)
Net realized gains		(.43	)		—			—			—			—
Total distributions		(.90	)		(.41	)		(.42	)		(.49	)		(.62	)
Net asset value, end of period	$	20.07		$	20.55		$	18.96		$	18.34		$	18.56
Total Return		2.04	%		10.67	%		5.77	%		1.45	%		3.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	89,223		$	60,534		$	50,258		$	48,263		$	17,303
Ratios to average net assets:
Net investment income (loss)		2.17	%		1.86	%		2.24	%		2.61	%		3.06	%
Total expensesc		0.90	%		0.91	%		0.93	%		0.94	%		1.13	%
Net expensesd,e,f		0.79	%		0.79	%		0.80	%		0.80	%		1.01	%
Portfolio turnover rate		103	%		126	%		77	%		53	%		81	%

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

CORE BOND FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	20.51		$	18.91		$	18.30		$	18.52		$	18.53
Income (loss) from investment operations:
Net investment income (loss)a		.50			.42			.47			.54			.64
Net gain (loss) on investments (realized and unrealized)		(.03	)		1.65			.62			(.22	)		.02
Total from investment operations		.47			2.07			1.09			.32			.66
Less distributions from:
Net investment income		(.52	)		(.47	)		(.48	)		(.54	)		(.67	)
Net realized gains		(.43	)		—			—			—			—
Total distributions		(.95	)		(.47	)		(.48	)		(.54	)		(.67	)
Net asset value, end of period	$	20.03		$	20.51		$	18.91		$	18.30		$	18.52
Total Return		2.34	%		11.07	%		6.03	%		1.75	%		3.67	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,382,711		$	1,139,109		$	613,571		$	380,974		$	142,014
Ratios to average net assets:
Net investment income (loss)		2.49	%		2.17	%		2.52	%		2.92	%		3.51	%
Total expensesc		0.60	%		0.58	%		0.62	%		0.60	%		0.74	%
Net expensesd,e,f		0.50	%		0.50	%		0.51	%		0.52	%		0.70	%
Portfolio turnover rate		103	%		126	%		77	%		53	%		81	%

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

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	0.01%	0.00%*	—	0.00%*	0.05%
C-Class	—	0.00%*	—	0.00%*	0.03%
P-Class	—	0.00%*	0.00%*	0.00%*	0.01%
Institutional Class	—	0.00%*	—	0.00%*	0.02%

* Less than 0.01%.

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

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	0.78%	0.78%	0.79%	0.82%	1.00%
C-Class	1.53%	1.53%	1.54%	1.57%	1.75%
P-Class	0.78%	0.78%	0.79%	0.80%	0.99%
Institutional Class	0.49%	0.49%	0.50%	0.52%	0.68%

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

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Investments Municipal Income Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Allen Li, CFA, Managing Director and Portfolio Manager; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation. The Fund offers a diversified (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) portfolio which looks to identify opportunities across municipal landscapes, including military housing projects, Build America Bonds and various municipal geographies, sectors, and security types and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one-year period ended September 30, 2021, Guggenheim Municipal Income Fund returned 3.67%¹, compared with the 2.63% return of the Bloomberg Municipal Bond Index, the Fund’s benchmark.

Accommodative monetary policy and optimism for more fiscal stimulus were responsible for the performance of the municipal market over the period. Bullish technical factors–such as mutual fund inflows and negative net supply–and a lack of major negative credit developments provided incremental support for market performance. Multiple rounds of federal stimulus, combined with better-than-expected tax collections, have helped state and local governments weather the budgetary pressures caused by the pandemic.

Issuance in calendar 2021 through September 30 reached $331 billion, compared with $351 billion for the same period in 2020; it is expected to increase into the fourth quarter, following a lull in activity during the late summer. Municipal bond funds flows have been positive for 30 consecutive weeks through the end of the period. Lipper reported inflows of $88.5 billion for the nine months ended September 29.

Rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy.

Tax exempt closed-end funds contributed 172 basis points (“bps”) to return during the period, and interest rate swaps added another 50bps. One basis point equals 0.01%. The Fund uses the swaps to align interest rate exposures with Guggenheim’s macroeconomic views relative to the benchmark. Tax-exempt agency commercial mortgage-backed securities also contributed 14bps.

Despite economic challenges brought by the pandemic and new credit paradigms, municipal bond valuations have returned to near pre-COVID-19 levels. While credit quality has suffered across fixed-income asset classes, many municipal issuers’ intrinsic essentiality and durability have been illuminated. Understanding that full economic recovery will neither be a short nor easy road, we continue to emphasize security selection.

While the initial Coronavirus Aid, Relief, and Economic Security Act and its sequels provide vitally needed relief for municipal issuers, we do not view such liquidity injections as a panacea for the long term. Rather than relying on policymakers to apply funding band-aids, we focus on structural creditworthiness that can endure this pandemic as well as future exogenous events.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

MUNICIPAL INCOME FUND

OBJECTIVE: Seeks to provide current income with an emphasis on income exempt from federal income tax, while also considering capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	28.5%
AA	40.8%
A	11.0%
BBB	2.7%
B	0.9%
NR2	1.9%
Other Instruments	14.2%
Total Investments	100.0%

Inception Dates:
A-Class	April 28, 2004
C-Class	January 13, 2012
P-Class	May 1, 2015
Institutional Class	January 13, 2012

Ten Largest Holdings (% of Total Net Assets)
Freddie Mac Multifamily ML Certificates Revenue Bonds, 2.49%	2.9%
El Camino Healthcare District General Obligation Unlimited	2.8%
Denton County Housing Finance Corp. Revenue Bonds, 2.15%	2.6%
Freddie Mac Multifamily, 1.90%	2.5%
Ysleta Independent School District General Obligation Unlimited, 4.00%	2.1%
City of Phoenix Civic Improvement Corp. Revenue Bonds, 5.00%	2.1%
Dayton-Montgomery County Port Authority Revenue Bonds, 1.84%	2.0%
Stockton Unified School District General Obligation Unlimited	2.0%
Illinois Finance Authority Revenue Bonds, 5.00%	1.9%
City of Los Angeles Department of Airports Revenue Bonds, 5.00%	1.6%
Top Ten Total	22.5%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

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

2

NR (not rated) securities do not necessarily indicate low credit quality.

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares~	3.67%	3.17%	4.45%
A-Class Shares with sales charge‡	(0.47%)	2.33%	3.94%
Bloomberg Municipal Bond Index	2.63%	3.26%	3.87%

	1 Year	5 Year	Since Inception (01/13/12)
C-Class Shares	2.91%	2.39%	2.95%
C-Class Shares with CDSC§	1.91%	2.39%	2.95%
Institutional Class Shares	3.93%	3.41%	3.97%
Bloomberg Municipal Bond Index	2.63%	3.26%	3.59%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	3.67%	3.14%	3.21%
Bloomberg Municipal Bond Index	2.63%	3.26%	3.62%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Municipal Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge is used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
~	Effective January 13, 2012, the Fund acquired all of the assets and liabilities of the TS&W/Claymore Tax-Advantage Balanced Fund (“TYW”), a registered closed-end management investment company. The A-Class performance prior to that date reflects performance of TYW.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

SCHEDULE OF INVESTMENTS	September 30, 2021
MUNICIPAL INCOME FUND

	Shares		Value
CLOSED-END FUNDS† - 11.0%
BlackRock MuniYield Quality Fund, Inc.		74,847	$	1,212,521
BlackRock MuniVest Fund, Inc.		88,098		834,288
BlackRock Municipal Income Quality Trust		53,506		816,501
Nuveen California Quality Municipal Income Fund		49,986		784,280
DWS Municipal Income Trust		53,020		630,938
BlackRock MuniHoldings Investment Quality Fund		40,397		586,565
Eaton Vance Municipal Income Trust		40,499		560,101
Invesco Trust for Investment Grade Municipals		39,562		541,604
Invesco Municipal Trust		35,625		477,375
Nuveen Quality Municipal Income Fund		30,461		475,801
Nuveen AMT-Free Quality Municipal Income Fund		29,451		447,361
BlackRock MuniHoldings California Quality Fund, Inc.		23,394		366,584
BlackRock MuniYield California Quality Fund, Inc.		20,210		321,137
Nuveen California AMT-Free Quality Municipal Income Fund		18,593		304,739
BNY Mellon Strategic Municipals, Inc.		25,024		217,709
Total Closed-End Funds
(Cost $7,786,951)				8,577,504
MONEY MARKET FUND† - 1.7%
Dreyfus AMT-Free Tax Exempt Cash Management Fund — Institutional Shares, 0.01%1		1,357,000		1,357,000
Total Money Market Fund
(Cost $1,357,000)				1,357,000
	Face Amount
MUNICIPAL BONDS†† - 80.2%
California - 22.8%
Stockton Unified School District General Obligation Unlimited
due 08/01/332	$	2,000,000		1,559,601
due 08/01/372		810,000		558,038
due 08/01/422		250,000		145,439
El Camino Healthcare District General Obligation Unlimited
due 08/01/292		2,500,000		2,219,370
City of Los Angeles Department of Airports Revenue Bonds
5.00% due 05/15/39		1,000,000		1,272,939
5.00% due 05/15/44		100,000		123,861

	Face Amount		Value
San Diego Unified School District General Obligation Unlimited
due 07/01/462		1,360,000		730,545
due 07/01/392		1,000,000		531,075
Los Angeles Department of Water & Power Revenue Bonds
5.00% due 07/01/50		1,000,000		1,260,183
Sierra Joint Community College District School Facilities District No. 1 General Obligation Unlimited
due 08/01/312		705,000		588,682
due 08/01/302		415,000		356,011
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited
due 08/01/423,6		1,000,000		936,501
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/392		1,300,000		747,558
Sonoma Valley Unified School District General Obligation Unlimited
4.00% due 08/01/44		600,000		698,368
Compton Unified School District General Obligation Unlimited
due 06/01/402		1,000,000		583,175
Los Angeles Department of Water & Power Power System Revenue Revenue Bonds
5.00% due 07/01/43		500,000		517,523
Kings Canyon Unified School District General Obligation Unlimited
5.00% due 08/01/28		445,000		517,356
Riverside County Public Financing Authority Tax Allocation
5.00% due 10/01/28		300,000		368,564
Sacramento Municipal Utility District Revenue Bonds
5.00% due 08/15/37		300,000		324,325
Delhi Unified School District General Obligation Unlimited
5.00% due 08/01/44		250,000		301,935
Riverside County Redevelopment Successor Agency Tax Allocation
due 10/01/373,6		250,000		295,191
El Monte Union High School District General Obligation Unlimited
due 06/01/432		500,000		284,762
Gustine Unified School District General Obligation Unlimited
5.00% due 08/01/41		220,000		258,994
Stockton Public Financing Authority Revenue Bonds
5.00% due 10/01/33		200,000		248,820
M-S-R Energy Authority Revenue Bonds
6.13% due 11/01/29		195,000		241,917

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Alameda Corridor Transportation Authority Revenue Bonds
5.00% due 10/01/35	$	200,000	$	238,962
Upland Unified School District General Obligation Unlimited
due 08/01/382		400,000		236,663
Oakland Unified School District/Alameda County General Obligation Unlimited
5.00% due 08/01/40		120,000		138,625
5.00% due 08/01/22		90,000		93,506
Stanton Redevelopment Agency Successor Agency Tax Allocation
5.00% due 12/01/40		180,000		212,875
Culver Redevelopment Agency Successor Agency Tax Allocation
due 11/01/232		195,000		192,828
Westside Elementary School District General Obligation Unlimited
5.00% due 08/01/48		155,000		183,650
Rio Hondo Community College District General Obligation Unlimited
due 08/01/292		200,000		177,826
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Revenue Bonds
3.45% due 12/01/39		150,000		161,923
Freddie Mac Multifamily VRD Certificates Revenue Bonds
2.40% due 10/15/29		150,000		157,839
Coast Community College District General Obligation Unlimited
due 08/01/402		250,000		152,134
Buena Park School District General Obligation Unlimited
5.00% due 08/01/47		100,000		121,562
Roseville Joint Union High School District General Obligation Unlimited
due 08/01/302		100,000		86,237
Total California				17,825,363
Texas - 14.0%
Denton County Housing Finance Corp. Revenue Bonds
2.15% due 11/01/38		2,000,000		2,071,265
Central Texas Regional Mobility Authority Revenue Bonds
5.00% due 01/01/45		1,250,000		1,530,336
5.00% due 01/01/27		200,000		234,088
Ysleta Independent School District General Obligation Unlimited
4.00% due 08/15/52		1,400,000		1,642,498
Cleveland Independent School District General Obligation Unlimited
4.00% due 02/15/52		1,000,000		1,166,484
North Texas Tollway Authority Revenue Bonds
due 01/01/362		1,000,000		748,082
Southwest Independent School District General Obligation Unlimited
due 02/01/422		500,000		300,684
Central Texas Turnpike System Revenue Bonds
5.00% due 08/15/34		200,000		223,967
5.00% due 08/15/22		35,000		36,449
Bexar County Hospital District General Obligation Limited
5.00% due 02/15/32		200,000		247,396
Lindale Independent School District General Obligation Unlimited
5.00% due 02/15/49		200,000		244,421
United Independent School District General Obligation Unlimited
5.00% due 08/15/49		200,000		244,421
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/532		1,000,000		244,300
Clifton Higher Education Finance Corp. Revenue Bonds
4.00% due 08/15/33		200,000		238,325
Dallas Area Rapid Transit Revenue Bonds
5.00% due 12/01/41		200,000		233,090
Bexar County Health Facilities Development Corp. Revenue Bonds
5.00% due 07/15/22		225,000		231,923
Arlington Higher Education Finance Corp. Revenue Bonds
5.00% due 12/01/46		200,000		227,395
Grand Parkway Transportation Corp. Revenue Bonds
5.00% due 10/01/43		175,000		214,253
Texas Municipal Gas Acquisition and Supply Corporation I Revenue Bonds
6.25% due 12/15/26		155,000		180,171
City of Fort Worth Texas Water & Sewer System Revenue Revenue Bonds
5.00% due 02/15/32		100,000		122,939
Hutto Independent School District General Obligation Unlimited
5.00% due 08/01/49		100,000		121,730
Mansfield Independent School District General Obligation Unlimited
5.00% due 02/15/44		100,000		121,257
University of North Texas System Revenue Bonds
5.00% due 04/15/44		100,000		120,339
City of Arlington Texas Special Tax Revenue Special Tax
5.00% due 02/15/48		100,000		119,022
Dallas Independent School District General Obligation Unlimited
5.00% due 02/15/224		15,000		15,113
Tarrant County Health Facilities Development Corp. Revenue Bonds
6.00% due 09/01/24		10,000		10,978

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
San Antonio Education Facilities Corp. Revenue Bonds
5.00% due 06/01/23	$	10,000	$	10,694
City of Austin Texas Water & Wastewater System Revenue Revenue Bonds
5.00% due 11/15/21		10,000		9,954
Leander Independent School District General Obligation Unlimited
due 08/15/222		5,000		3,082
due 08/15/242		5,000		2,905
Total Texas				10,917,561
Arizona - 4.5%
City of Phoenix Civic Improvement Corp. Revenue Bonds
5.00% due 07/01/45		1,250,000		1,616,181
Arizona Industrial Development Authority Revenue Bonds
2.12% due 07/01/37		1,180,815		1,182,362
Maricopa County Industrial Development Authority Revenue Bonds
5.00% due 01/01/41		250,000		300,776
Salt Verde Financial Corp. Revenue Bonds
5.00% due 12/01/32		200,000		262,444
Pinal County Elementary School District No. 4 Casa Grande General Obligation Unlimited
5.00% due 07/01/37		100,000		123,382
Total Arizona				3,485,145
Illinois - 3.9%
Illinois Finance Authority Revenue Bonds
5.00% due 10/01/37		1,000,000		1,469,451
5.00% due 10/01/38		250,000		370,313
City of Chicago Illinois Wastewater Transmission Revenue Revenue Bonds
5.25% due 01/01/42		400,000		480,966
Chicago O’Hare International Airport Revenue Bonds
5.00% due 01/01/34		300,000		341,711
University of Illinois Revenue Bonds
6.00% due 10/01/29		200,000		219,228
Cook County School District No. 104 Summit General Obligation Unlimited
due 12/01/222		100,000		99,619
County of State Clair Illinois Highway Revenue Revenue Bonds
4.25% due 01/01/23		40,000		42,018
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited
due 12/01/212		10,000		9,895
Total Illinois				3,033,201
New York - 3.9%
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/49		1,000,000		1,256,420
New York City Industrial Development Agency Revenue Bonds
4.00% due 03/01/32		500,000		595,523
New York Transportation Development Corp. Revenue Bonds
5.00% due 12/01/22		250,000		262,632
5.00% due 07/01/34		200,000		221,775
New York State Dormitory Authority Revenue Bonds
4.00% due 08/01/43		250,000		284,789
New York State Urban Development Corp. Revenue Bonds
5.00% due 03/15/35		250,000		277,116
New York Power Authority Revenue Bonds
4.00% due 11/15/45		100,000		116,780
Total New York				3,015,035
Colorado - 2.9%
E-470 Public Highway Authority Revenue Bonds
5.00% due 09/01/36		650,000		831,656
Auraria Higher Education Center Revenue Bonds
5.00% due 04/01/28		390,000		448,105
City & County of Denver Colorado Airport System Revenue Revenue Bonds
5.00% due 12/01/28		200,000		251,783
Board of Governors of Colorado State University System Revenue Bonds
5.00% due 03/01/41		200,000		237,595
City & County of Denver Colorado Revenue Bonds
due 08/01/302		200,000		162,607
Colorado Educational & Cultural Facilities Authority Revenue Bonds
5.00% due 03/01/47		110,000		131,438
Colorado School of Mines Revenue Bonds
5.00% due 12/01/47		100,000		121,625
Total Colorado				2,184,809
Oregon - 2.8%
Clackamas & Washington Counties School District No. 3 General Obligation Unlimited
due 06/15/482		2,000,000		948,904
due 06/15/502		400,000		177,064
due 06/15/492		350,000		160,411
Salem-Keizer School District No. 24J General Obligation Unlimited
due 06/15/402		1,250,000		772,535

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
University of Oregon Revenue Bonds
5.00% due 04/01/48	$	100,000	$	120,471
Total Oregon				2,179,385
Ohio - 2.6%
Dayton-Montgomery County Port Authority Revenue Bonds
1.84% due 09/01/38		1,600,000		1,582,963
County of Miami Ohio Revenue Bonds
5.00% due 08/01/33		200,000		248,702
American Municipal Power, Inc. Revenue Bonds
5.00% due 02/15/41		200,000		232,554
City of Middleburg Heights Ohio Revenue Bonds
5.00% due 08/01/22		15,000		15,452
Ohio Higher Educational Facility Commission Revenue Bonds
5.00% due 01/01/22		15,000		15,027
Total Ohio				2,094,698
Washington - 2.6%
Greater Wenatchee Regional Events Center Public Facilities District Revenue Bonds
5.25% due 09/01/22		500,000		522,526
5.00% due 09/01/22		500,000		521,393
Yakima & Kittitas Counties School District No. 119 Selah General Obligation Unlimited
5.00% due 12/01/42		200,000		241,683
County of King Washington Sewer Revenue Revenue Bonds
5.00% due 07/01/42		200,000		239,240
Washington State Convention Center Public Facilities District Revenue Bonds
4.00% due 07/01/48		210,000		237,847
Central Puget Sound Regional Transit Authority Revenue Bonds
5.00% due 11/01/41		200,000		237,611
Total Washington				2,000,300
District of Columbia - 1.9%
District of Columbia Revenue Bonds
4.00% due 03/01/39		1,000,000		1,175,521
District of Columbia General Obligation Unlimited
5.00% due 06/01/41		285,000		336,561
Total District of Columbia				1,512,082
North Carolina - 1.9%
Inlivian Revenue Bonds
2.02% due 04/01/42		1,000,000		977,170
North Carolina Central University Revenue Bonds
5.00% due 04/01/44		300,000		364,735
County of New Hanover North Carolina Revenue Bonds
5.00% due 10/01/22		150,000		156,930
North Carolina Eastern Municipal Power Agency Revenue Bonds
4.50% due 01/01/22		10,000		10,006
Total North Carolina				1,508,841
Georgia - 1.9%
Private Colleges & Universities Authority Revenue Bonds
5.00% due 09/01/48		1,000,000		1,242,338
Savannah Economic Development Authority Revenue Bonds
5.00% due 12/01/28		200,000		234,161
due 12/01/212		20,000		19,794
Richmond County Development Authority Revenue Bonds
due 12/01/212		10,000		9,897
Total Georgia				1,506,190
Pennsylvania - 1.7%
Pennsylvania Economic Development Financing Authority Revenue Bonds
5.00% due 02/01/27		500,000		562,802
Reading School District General Obligation Unlimited
5.00% due 02/01/27		300,000		344,671
Pittsburgh Water & Sewer Authority Revenue Bonds
5.25% due 09/01/36		300,000		326,972
Allegheny County Hospital Development Authority Revenue Bonds
5.00% due 07/15/32		100,000		126,638
Owen J Roberts School District General Obligation Unlimited
5.00% due 05/15/23		25,000		26,933
City of Erie Pennsylvania General Obligation Unlimited
3.10% due 11/15/22		5,000		5,107
Total Pennsylvania				1,393,123
West Virginia - 1.5%
West Virginia University Revenue Bonds
5.00% due 10/01/41		600,000		776,084
West Virginia Hospital Finance Authority Revenue Bonds
5.00% due 06/01/42		300,000		353,927
Total West Virginia				1,130,011
Louisiana - 1.3%
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue Bonds
5.00% due 10/01/37		500,000		577,677
5.00% due 10/01/26		150,000		180,520

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
City of Shreveport Louisiana Water & Sewer Revenue Revenue Bonds
5.00% due 12/01/35	$	250,000	$	304,456
Louisiana Public Facilities Authority Revenue Bonds
5.00% due 05/15/26		5,000		5,897
Total Louisiana				1,068,550
Mississippi - 1.0%
Mississippi Development Bank Revenue Bonds
6.50% due 10/01/31		500,000		501,557
6.25% due 10/01/26		230,000		230,740
Total Mississippi				732,297
New Jersey - 0.9%
New Jersey Turnpike Authority Revenue Bonds
5.00% due 01/01/31		300,000		372,885
New Jersey Economic Development Authority Revenue Bonds
5.00% due 06/01/28		250,000		304,059
North Hudson Sewerage Authority Revenue Bonds
due 12/15/212		50,000		49,974
Total New Jersey				726,918
Tennessee - 0.9%
City of Shelbyville & Bedford County Health Educational & Housing Facility Board Revenue Bonds
2.21% due 06/01/38		500,000		492,030
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue Bonds
2.48% due 12/01/37		200,000		211,358
Total Tennessee				703,388
Oklahoma - 0.8%
Oklahoma Development Finance Authority Revenue Bonds
5.00% due 08/15/28		350,000		431,447
Oklahoma City Airport Trust Revenue Bonds
5.00% due 07/01/30		200,000		247,089
Total Oklahoma				678,536
Arkansas - 0.8%
County of Baxter Arkansas Revenue Bonds
5.00% due 09/01/26		330,000		386,523
University of Arkansas Revenue Bonds
5.00% due 11/01/47		200,000		244,125
Total Arkansas				630,648
Michigan - 0.7%
Michigan State Hospital Finance Authority Revenue Bonds
5.00% due 11/15/47		200,000		237,498
Michigan State Housing Development Authority Revenue Bonds
3.35% due 12/01/34		200,000		214,027
Flint Hospital Building Authority Revenue Bonds
5.00% due 07/01/25		100,000		113,417
Total Michigan				564,942
Virginia - 0.6%
University of Virginia Revenue Bonds
5.00% due 04/01/38		200,000		241,441
Loudoun County Economic Development Authority Revenue Bonds
due 07/01/492		500,000		218,184
City of Norfolk Virginia General Obligation Unlimited
2.50% due 10/01/463		5,000		5,065
Total Virginia				464,690
Puerto Rico - 0.5%
Puerto Rico Highway & Transportation Authority Revenue Bonds
5.25% due 07/01/41		250,000		275,437
Commonwealth of Puerto Rico General Obligation Unlimited
5.25% due 07/01/24		45,000		45,418
Total Puerto Rico				320,855
Alaska - 0.4%
University of Alaska Revenue Bonds
5.00% due 10/01/40		260,000		303,678
Nebraska - 0.3%
Central Plains Energy Project Revenue Bonds
5.00% due 09/01/29		200,000		250,545
Connecticut - 0.3%
New Haven Housing Authority Revenue Bonds
2.26% due 05/01/38		249,357		249,092
South Carolina - 0.3%
Charleston County Airport District Revenue Bonds
5.00% due 07/01/43		200,000		247,579
Vermont - 0.3%
Vermont Educational & Health Buildings Financing Agency Revenue Bonds
5.00% due 12/01/46		200,000		232,516
Massachusetts - 0.3%
Massachusetts Development Finance Agency Revenue Bonds
5.00% due 10/01/34		150,000		193,029
3.00% due 10/01/21		15,000		14,850
Total Massachusetts				207,879

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

	Face Amount		Value
Florida - 0.3%
Greater Orlando Aviation Authority Revenue Bonds
5.00% due 10/01/32	$	100,000	$	126,641
City of Tampa Florida Water & Wastewater System Revenue Revenue Bonds
3.00% due 10/01/21		40,000		40,000
Tampa-Hillsborough County Expressway Authority Revenue Bonds
5.00% due 07/01/22		20,000		20,514
Florida Higher Educational Facilities Financial Authority Revenue Bonds
3.00% due 12/01/22		15,000		15,330
Total Florida				202,485
South Dakota - 0.2%
South Dakota Board of Regents Housing & Auxiliary Facilities System Revenue Bonds
5.00% due 04/01/34		150,000		182,330
Indiana - 0.2%
Indiana Finance Authority Revenue Bonds
5.00% due 10/01/41		100,000		118,567
Jeffersonville Housing, Inc. Revenue Bonds
7.25% due 11/15/21		50,000		50,387
Total Indiana				168,954
Idaho - 0.2%
Idaho Housing & Finance Association Revenue Bonds
5.00% due 07/15/30		100,000		127,802
Rhode Island - 0.2%
Rhode Island Health and Educational Building Corp. Revenue Bonds
5.00% due 05/15/42		100,000		122,845
Kansas - 0.2%
University of Kansas Hospital Authority Revenue Bonds
5.00% due 09/01/48		100,000		121,477
Utah - 0.2%
South Davis Metro Fire Service Area Revenue Bonds
5.00% due 12/01/34		100,000		121,425
Montana - 0.2%
Montana State Board of Regents Revenue Bonds
5.00% due 11/15/43		100,000		120,982
Iowa - 0.1%
PEFA, Inc. Revenue Bonds
5.00% due 09/01/264		100,000		118,431
New Hampshire - 0.1%
New Hampshire Health and Education Facilities Authority Act Revenue Bonds
5.00% due 01/01/23		60,000		63,546
Maryland - 0.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
5.00% due 07/01/22		15,000		15,391
4.25% due 07/01/22		10,000		10,190
4.00% due 07/01/22		10,000		10,172
5.00% due 07/01/27		5,000		5,700
Total Maryland				41,453
New Mexico - 0.0%
City of Albuquerque New Mexico Revenue Bonds
5.00% due 07/01/25		30,000		33,007
Wisconsin - 0.0%
State of Wisconsin General Obligation Unlimited
5.00% due 05/01/22		25,000		25,700
Total Municipal Bonds
(Cost $60,014,244)				62,618,294
Collateralized Mortgage Obligations†† - 5.4%
Government - 5.4%
Freddie Mac Multifamily ML Certificates Revenue Bonds
2.49% due 07/25/35		2,198,605		2,270,728
Freddie Mac Multifamily
1.90% due 11/25/37		1,987,372		1,988,109
Total Collateralized Mortgage Obligations
(Cost $4,351,523)				4,258,837
U.S. TREASURY BILLS††,5 - 1.6%
U.S. Treasury Bills
0.04% due 02/03/22		600,000		599,906
0.05% due 06/16/22		400,000		399,828
0.02% due 11/12/21		155,000		154,992
0.02% due 04/21/22		56,000		55,985
0.03% due 11/18/21		30,000		29,999
Total U.S. Treasury Bills
(Cost $1,240,742)				1,240,710
Total Investments - 99.9%
(Cost $74,750,460)			$	78,052,345
Other Assets & Liabilities, net - 0.1%				67,383
Total Net Assets - 100.0%			$	78,119,728

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MUNICIPAL INCOME FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount		Value		Upfront Premiums Paid (Received)		Unrealized Appreciation**
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.21%		Quarterly	11/24/50		$	1,600,000	$	242,480	$	319	$	242,161
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.28%		Quarterly	11/04/50			1,200,000		163,680		311		163,369
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.67%		Quarterly	09/27/51			2,850,000		133,514		350		133,164
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.60%		Quarterly	08/06/51			1,300,000		81,378		321		81,057
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.64%		Quarterly	08/19/51			500,000		26,882		307		26,575
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.71%		Quarterly	09/27/51			300,000		10,881		305		10,576
											$	658,815	$	1,913	$	656,902

**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2021.
2	Zero coupon rate security.
3	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
4	The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread.
5	Rate indicated is the rate effective at September 30, 2021.
6	Rate indicated is the effective yield at the time of purchase. Security has no current coupon. However, a coupon rate will come into effect at a future rate reset date.
	BofA — Bank of America
	CME — Chicago Mercantile Exchange
	See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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
Closed-End Funds	$	8,577,504	$	—	$	—	$	8,577,504
Money Market Fund		1,357,000		—		—		1,357,000
Municipal Bonds		—		62,618,294		—		62,618,294
Collateralized Mortgage Obligations		—		4,258,837		—		4,258,837
U.S. Treasury Bills		—		1,240,710		—		1,240,710
Interest Rate Swap Agreements**		—		656,902		—		656,902
Total Assets	$	9,934,504	$	68,774,743	$	—	$	78,709,247

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

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
MUNICIPAL INCOME FUND

Step Coupon Bonds

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

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate(s)		Future Reset Date(s)
City of Norfolk Virginia General Obligation Unlimited, 2.50% due 10/01/46		3.00	%		10/01/22		3.75% - 5.00%		10/01/26 - 10/01/41
College of the Sequoias Tulare Area Improvement District No. 3 General Obligation Unlimited, due 08/01/42		6.85	%		08/01/32		—		—
Riverside County Redevelopment Successor Agency Tax Allocation, due 10/01/37		5.00	%		10/01/21		—		—

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

MUNICIPAL INCOME FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $74,750,460)	$	78,052,345
Segregated cash with broker		17,535
Unamortized upfront premiums paid on interest rate swap agreements		1,913
Prepaid expenses		24,713
Receivables:
Interest		446,362
Fund shares sold		33,203
Dividends		25,163
Total assets		78,601,234
Liabilities:
Overdraft due to custodian bank		6,086
Payable for:
Securities purchased		303,591
Fund shares redeemed		48,194
Variation margin on interest rate swap agreements		26,520
Distribution and service fees		14,657
Management fees		9,548
Distributions to shareholders		8,214
Fund accounting/administration fees		7,981
Transfer agent/maintenance fees		4,469
Trustees’ fees*		2,143
Miscellaneous		50,103
Total liabilities		481,506
Net assets	$	78,119,728
Net assets consist of:
Paid in capital	$	73,858,402
Total distributable earnings (loss)		4,261,326
Net assets	$	78,119,728
A-Class:
Net assets	$	63,359,050
Capital shares outstanding		4,707,177
Net asset value per share	$	13.46
Maximum offering price per share (Net asset value divided by 96.00%)	$	14.02
C-Class:
Net assets	$	1,768,674
Capital shares outstanding		131,510
Net asset value per share	$	13.45
P-Class:
Net assets	$	219,950
Capital shares outstanding		16,351
Net asset value per share	$	13.45
Institutional Class:
Net assets	$	12,772,054
Capital shares outstanding		948,894
Net asset value per share	$	13.46

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	472,997
Interest		1,570,216
Total investment income		2,043,213
Expenses:
Management fees		390,088
Distribution and service fees:
A-Class		155,080
C-Class		19,046
P-Class		533
Transfer agent/maintenance fees:
A-Class		43,417
C-Class		2,090
P-Class		606
Institutional Class		15,287
Registration fees		89,075
Fund accounting/administration fees		60,572
Professional fees		45,272
Trustees’ fees*		17,907
Custodian fees		9,667
Line of credit fees		7,515
Interest expense		123
Miscellaneous		44,436
Total expenses		900,714
Less:
Expenses reimbursed by Adviser:
A Class		(44,382	)
C Class		(2,142	)
P Class		(611	)
Institutional Class		(15,538	)
Expenses waived by Adviser		(237,609	)
Total waived/reimbursed expenses		(300,282	)
Net expenses		600,432
Net investment income		1,442,781
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		665,830
Swap agreements		(305,430	)
Net realized gain		360,400
Net change in unrealized appreciation (depreciation) on:
Investments		376,668
Swap agreements		656,902
Net change in unrealized appreciation (depreciation)		1,033,570
Net realized and unrealized gain		1,393,970
Net increase in net assets resulting from operations	$	2,836,751

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

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

MUNICIPAL INCOME FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,442,781		$	1,256,299
Net realized gain on investments		360,400			115,856
Net change in unrealized appreciation (depreciation) on investments		1,033,570			344,828
Net increase in net assets resulting from operations		2,836,751			1,716,983
Distributions to shareholders:
A-Class		(1,163,850	)		(938,323	)
C-Class		(21,932	)		(24,954	)
P-Class		(3,987	)		(4,476	)
Institutional Class		(298,334	)		(288,553	)
Total distributions to shareholders		(1,488,103	)		(1,256,306	)
Capital share transactions:
Proceeds from sale of shares
A-Class		5,705,743			31,221,279
C-Class		15,573			611,241
P-Class		56,120			902,089
Institutional Class		6,430,829			13,484,207
Distributions reinvested
A-Class		1,058,269			802,587
C-Class		20,578			22,789
P-Class		3,987			4,476
Institutional Class		294,007			283,837
Cost of shares redeemed
A-Class		(7,038,305	)		(12,445,554	)
C-Class		(481,275	)		(439,495	)
P-Class		(44,766	)		(915,765	)
Institutional Class		(7,617,977	)		(14,294,302	)
Net increase (decrease) from capital share transactions		(1,597,217	)		19,237,389
Net increase (decrease) in net assets		(248,569	)		19,698,066
Net assets:
Beginning of year		78,368,297			58,670,231
End of year	$	78,119,728		$	78,368,297
Capital share activity:
Shares sold
A-Class		421,464			2,381,376
C-Class		1,157			46,635
P-Class		4,134			67,519
Institutional Class		478,875			1,026,721
Shares issued from reinvestment of distributions
A-Class		78,479			61,069
C-Class		1,529			1,738
P-Class		296			341
Institutional Class		21,808			21,612
Shares redeemed
A-Class		(524,684	)		(949,737	)
C-Class		(35,903	)		(34,716	)
P-Class		(3,349	)		(68,344	)
Institutional Class		(565,459	)		(1,098,996	)
Net increase (decrease) in shares		(121,653	)		1,455,218

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	13.23		$	13.12		$	12.46		$	12.70		$	12.86
Income (loss) from investment operations:
Net investment income (loss)a		.25			.26			.30			.30			.27
Net gain (loss) on investments (realized and unrealized)		.23			.11			.70			(.24	)		(.15	)
Total from investment operations		.48			.37			1.00			.06			.12
Less distributions from:
Net investment income		(.23	)		(.26	)		(.30	)		(.30	)		(.28	)
Net realized gains		(.02	)		—			(.04	)		—			—
Total distributions		(.25	)		(.26	)		(.34	)		(.30	)		(.28	)
Net asset value, end of period	$	13.46		$	13.23		$	13.12		$	12.46		$	12.70
Total Returnb		3.67	%		2.85	%		8.13	%		0.44	%		0.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	63,359		$	62,583		$	42,512		$	25,570		$	33,515
Ratios to average net assets:
Net investment income (loss)		1.82	%		1.95	%		2.31	%		2.35	%		2.19	%
Total expensesc		1.17	%		1.21	%		1.34	%		1.30	%		1.20	%
Net expensesd,e,f		0.80	%		0.81	%		0.81	%		0.80	%		0.82	%
Portfolio turnover rate		22	%		58	%		30	%		13	%		31	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	13.22		$	13.11		$	12.45		$	12.69		$	12.86
Income (loss) from investment operations:
Net investment income (loss)a		.15			.16			.21			.20			.18
Net gain (loss) on investments (realized and unrealized)		.23			.11			.69			(.24	)		(.17	)
Total from investment operations		.38			.27			.90			(.04	)		.01
Less distributions from:
Net investment income		(.13	)		(.16	)		(.20	)		(.20	)		(.18	)
Net realized gains		(.02	)		—			(.04	)		—			—
Total distributions		(.15	)		(.16	)		(.24	)		(.20	)		(.18	)
Net asset value, end of period	$	13.45		$	13.22		$	13.11		$	12.45		$	12.69
Total Returnb		2.91	%		2.09	%		7.33	%		(0.30	%)		0.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,769		$	2,177		$	1,981		$	2,403		$	3,768
Ratios to average net assets:
Net investment income (loss)		1.08	%		1.23	%		1.63	%		1.60	%		1.44	%
Total expensesc		1.97	%		1.97	%		2.12	%		2.11	%		1.92	%
Net expensesd.e.f		1.55	%		1.56	%		1.56	%		1.55	%		1.57	%
Portfolio turnover rate		22	%		58	%		30	%		13	%		31	%

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (continued)

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

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	13.22		$	13.13		$	12.46		$	12.70		$	12.86
Income (loss) from investment operations:
Net investment income (loss)a		.25			.26			.29			.29			.25
Net gain (loss) on investments (realized and unrealized)		.23			.09			.72			(.23	)		(.14	)
Total from investment operations		.48			.35			1.01			.06			.11
Less distributions from:
Net investment income		(.23	)		(.26	)		(.30	)		(.30	)		(.27	)
Net realized gains		(.02	)		—			(.04	)		—			—
Total distributions		(.25	)		(.26	)		(.34	)		(.30	)		(.27	)
Net asset value, end of period	$	13.45		$	13.22		$	13.13		$	12.46		$	12.70
Total Return		3.67	%		2.69	%		8.20	%		0.44	%		0.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	220		$	202		$	207		$	37		$	111
Ratios to average net assets:
Net investment income (loss)		1.83	%		1.96	%		2.25	%		2.32	%		2.01	%
Total expensesc		1.38	%		1.40	%		1.55	%		1.72	%		1.27	%
Net expensesd.e.f		0.80	%		0.81	%		0.81	%		0.80	%		0.82	%
Portfolio turnover rate		22	%		58	%		30	%		13	%		31	%

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

MUNICIPAL INCOME FUND

FINANCIAL HIGHLIGHTS (concluded)

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	13.23		$	13.13		$	12.46		$	12.71		$	12.87
Income (loss) from investment operations:
Net investment income (loss)a		.28			.29			.33			.33			.30
Net gain (loss) on investments (realized and unrealized)		.24			.10			.71			(.25	)		(.15	)
Total from investment operations		.52			.39			1.04			.08			.15
Less distributions from:
Net investment income		(.27	)		(.29	)		(.33	)		(.33	)		(.31	)
Net realized gains		(.02	)		—			(.04	)		—			—
Total distributions		(.29	)		(.29	)		(.37	)		(.33	)		(.31	)
Net asset value, end of period	$	13.46		$	13.23		$	13.13		$	12.46		$	12.71
Total Return		3.93	%		3.03	%		8.48	%		0.61	%		1.19	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,772		$	13,406		$	13,970		$	9,067		$	15,914
Ratios to average net assets:
Net investment income (loss)		2.08	%		2.23	%		2.59	%		2.59	%		2.43	%
Total expensesc		0.96	%		1.00	%		1.08	%		1.09	%		0.88	%
Net expensesd.e.f		0.55	%		0.56	%		0.56	%		0.55	%		0.57	%
Portfolio turnover rate		22	%		58	%		30	%		13	%		31	%

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

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	0.79%	0.80%	0.80%	0.80%	0.80%
C-Class	1.54%	1.55%	1.55%	1.55%	1.55%
P-Class	0.79%	0.80%	0.80%	0.80%	0.80%
Institutional Class	0.54%	0.55%	0.55%	0.55%	0.55%

^f The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	9/30/21	9/30/20	9/30/19	9/30/18	9/30/17
A-Class	—	0.00%*	0.00%*	—	—
C-Class	—	0.00%*	—	—	—
P-Class	—	0.00%*	—	—	0.04%
Institutional Class	—	0.00%*	—	—	—

* Less than 0.01%.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the 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.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares of each Fund automatically convert to A-Class shares of the same Fund on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. The High Yield Fund Offers R6-Class shares. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds.

As of January 1, 2012, A-Class, C-Class and Institutional Class shares of High Yield Fund are subject to a 2% redemption fee when shares are redeemed or exchanged within 90 days of purchase.

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

Fund Name	Investment Company Type
Diversified Income Fund	Diversified
High Yield Fund	Diversified
Core Bond Fund (formerly, Investment Grade Bond Fund)	Diversified
Municipal Income Fund	Diversified

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (“GPIM”), which operate under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

GPIM, an affiliate of GI, serves as investment sub-advisor (the “Sub-Advisor”) to the Municipal Income Fund and is responsible for the day-to-day management of the Fund’s portfolio.

Significant Accounting Policies

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

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

The NAV of each Class of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures,

THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

NOTES TO FINANCIAL STATEMENTS (continued)

including, under most circumstances, the responsibility for 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 Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

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

Equity securities listed 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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid 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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

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 is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by a fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s Chicago Mercantile Exchange close price, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

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

88 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

(f) Options

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 89

NOTES TO FINANCIAL STATEMENTS (continued)

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

(g) Swap Agreements

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

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

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

(h) Currency Translations

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

(i) Forward Foreign Currency Exchange Contracts

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

(j) Foreign Taxes

The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.

(k) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded

90 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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.

(l) Distributions

The Funds declare dividends from investment income daily, except for Diversified Income Fund, which declares monthly. Each Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statements of Operations.

(o) Cash

The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(p) Indemnifications

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

(q) Special Purpose Acquisition Companies

The Funds may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time

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NOTES TO FINANCIAL STATEMENTS (continued)

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 short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the 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.

Options Purchased and Written

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

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

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Income, Hedge, Duration	$	835,358,333	$	9,198,146

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

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

		Average Notional Amount
Fund	Use	Call		Put
Core Bond Fund	Income, Hedge, Duration	$	5,571	$	9,198,146

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.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, 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
High Yield Fund	Income, Index exposure	$	10,893,615	$	—
Core Bond Fund	Income, Index exposure		2,891,403		509,456

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
Municipal Income Fund	Duration, Hedge	$	—	$	5,102,500
Core Bond Fund	Duration, Hedge		47,000,000		22,100,000

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

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NOTES TO FINANCIAL STATEMENTS (continued)

credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Funds’ use and volume of credit default swaps on a monthly basis:

		Average Notional Amount
Fund	Use	Protection Sold		Protection Purchased
High Yield Fund	Index exposure	$	10,291,667	$	—
Core Bond Fund	Index exposure, Income		7,889,167		—

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
High Yield Fund	Hedge	$	75,511	$	2,448,869
Core Bond Fund	Hedge		13,815,836		20,966,530

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Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest rate swap contracts	Variation margin on interest rate swap agreements	Variation margin on interest rate swap agreements
	Unamortized upfront premiums paid on interest rate swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following tables set forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Options Written Equity Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at September 30, 2021
High Yield Fund	$	—	$	—	$	—	$	115,589	$	—	$	115,589
Core Bond Fund		46,436		—		1,676,875		213,856		3,562,083		5,499,250
Municipal Income Fund		656,902		—		—		—		—		656,902

Liability Derivative Investments Value
Fund	Swaps Interest Rate Risk*		Options Written Equity Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at September 30, 2021
High Yield Fund	$	—	$	—	$	—	$	940	$	—	$	940
Core Bond Fund		—		594,545		—		—		—		594,545

* Includes cumulative appreciation (depreciation) of OTC and centrally-cleared swap agreements as reported on the Schedules of Investments. For centrally-cleared swap agreements, variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2021:

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

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	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		Total
High Yield Fund	$	—		$	2,273,490	$	—	$	—	$	(15,405	)	$	—	$	2,258,085
Core Bond Fund		1,235,166			2,790,191		—		2,581,841		4,367,254			—		10,974,452
Municipal Income Fund		(305,430	)		—		—		—		—			—		(305,430	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	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		Total
High Yield Fund	$	—		$	(59,854	)	$	—	$	—	$	117,119		$	—	$	57,265
Core Bond Fund		(717,275	)		(1,418,425	)		141,325		140,000		(4,132,180	)		770,182		(5,216,373	)
Municipal Income Fund		656,902			—			—		—		—			—		656,902

In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.

Foreign Investments

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

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

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

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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.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received			Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	115,589	$	—	$	115,589	$	—	$	—		$	115,589
Core Bond Fund	Forward foreign currency exchange contracts		213,856		—		213,856		—		(22,846	)		191,010
Core Bond Fund	Options Purchased		5,238,958		—		5,238,958		—		(763,456	)		4,475,502

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NOTES TO FINANCIAL STATEMENTS (continued)

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
High Yield Fund	Forward foreign currency exchange contracts	$	940	$	—	$	940	$	—	$	—	$	940
Core Bond Fund	Options Written		584,375		—		584,375		—		—		584,375

¹ Centrally-cleared derivatives are excluded from these reported amounts.

The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Fund	Counterparty	Asset Type	Cash Pledged		Cash Received
Core Bond Fund	BofA Securities, Inc.	Interest rate swap agreements	$	1,485,917	$	—
	BofA Securities, Inc.	Reverse repurchase agreements		—		1,260,000
	Citibank, N.A.	Forward foreign currency exchange contracts, Options		—		820,000
	Goldman Sachs International	Options		—		490,000
	Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		308,726
				1,485,917		2,878,726
Municipal Income Fund	BofA Securities, Inc.	Interest rate swap agreements		17,535		—

Note 4 – Fair Value Measurement

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

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

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

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

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

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

Note 5 – Investment Advisory Agreement and Other Agreements

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

Fund	Management Fees (as a % of Net Assets)
Diversified Income Fund		0.75	%
High Yield Fund		0.60	%
Core Bond Fund		0.39	%
Municipal Income Fund		0.50	%

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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NOTES TO FINANCIAL STATEMENTS (continued)

Contractual expense limitation agreements for the following Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
Diversified Income Fund - A-Class		1.30	%		01/29/16		02/01/23
Diversified Income Fund - C-Class		2.05	%		01/29/16		02/01/23
Diversified Income Fund - P-Class		1.30	%		01/29/16		02/01/23
Diversified Income Fund - Institutional Class		1.05	%		01/29/16		02/01/23
High Yield Fund - A-Class		1.16	%		11/30/12		02/01/23
High Yield Fund - C-Class		1.91	%		11/30/12		02/01/23
High Yield Fund - P-Class		1.16	%		05/01/15		02/01/23
High Yield Fund - Institutional Class		0.91	%		11/30/12		02/01/23
High Yield Fund - R6-Class		0.91	%		05/15/17		02/01/23
Core Bond Fund - A-Class		0.79	%		11/30/12		02/01/23
Core Bond Fund - C-Class		1.54	%		11/30/12		02/01/23
Core Bond Fund - P-Class		0.79	%		05/01/15		02/01/23
Core Bond Fund - Institutional Class		0.50	%		11/30/12		02/01/23
Municipal Income Fund - A-Class		0.80	%		11/30/12		02/01/23
Municipal Income Fund - C-Class		1.55	%		11/30/12		02/01/23
Municipal Income Fund - P-Class		0.80	%		05/01/15		02/01/23
Municipal Income Fund - Institutional Class		0.55	%		11/30/12		02/01/23

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 September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2022		2023		2024		Total
Diversified Income Fund
A-Class	$	4,237	$	7,853	$	8,022	$	20,112
C-Class		14,152		13,188		5,885		33,225
P-Class		3,371		3,667		3,708		10,746
Institutional Class		148,929		161,912		164,958		475,799
High Yield Fund
A-Class		—		—		3,549		3,549
C-Class		—		—		497		497
P-Class		1,761		1,010		1,534		4,305
Institutional Class		—		—		14,409		14,409
R6-Class		—		—		—		—
Core Bond Fund
A-Class		114,831		101,962		98,028		314,821
C-Class		23,323		20,037		23,013		66,373
P-Class		66,557		60,229		82,001		208,787
Institutional Class		535,891		633,157		1,336,675		2,505,723
Municipal Income Fund
A-Class		153,746		194,998		233,041		581,785
C-Class		11,587		8,471		7,997		28,055
P-Class		838		1,347		1,251		3,436
Institutional Class		58,964		57,034		57,993		173,991

For the year ended September 30, 2021, GI recouped amounts from the Funds as follows:

High Yield Fund	$	17,008
Core Bond Fund		15,742

100 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the following Funds waived fees related to investments in affiliated funds:

Fund	Amount Waived
Diversified Income Fund	$	39,017
High Yield Fund		37,558

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

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

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

At September 30, 2021, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of Outstanding Shares Owned
Diversified Income Fund	94%

Note 6 – Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2021, the following Funds entered into reverse repurchase agreements:

Fund	Number of Days Outstanding		Balance at September 30, 2021		Average Balance Outstanding		Average Interest Rate
High Yield Fund		322	$	1,556,749	$	9,525,182		0.41	%
Core Bond Fund		281		58,575,378		38,322,996		0.04	%

THE GUGGENHEIM FUNDS ANNUAL REPORT | 101

NOTES TO FINANCIAL STATEMENTS (continued)

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities		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
High Yield Fund	Reverse repurchase Agreements	$	1,556,749	$	—	$	1,556,749	$	(1,556,749	)	$	—	$	—
Core Bond Fund	Reverse repurchase Agreements		58,575,378		—		58,575,378		(58,575,378	)		—		—

As of September 30, 2021, the High Yield Fund and the Core Bond Fund had $1,566,749 and $58,575,378, respectively, in reverse repurchase agreements outstanding with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Fund	Counterparty	Interest Rate(s)		Maturity Date(s)	Face Value
High Yield Fund	Credit Suisse	(2.00%)	Open Maturity		$	128,791
		(1.50%)	Open Maturity			1,427,958
					$	1,556,749
Core Bond Fund	J.P. Morgan	(0.09%)	10/01/21		$	29,287,926
	Bank of America	(0.06%)	10/01/21			29,287,452
					$	58,575,378

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 Funds:

Fund		Asset Type	Overnight and Continuous		Up to 30 days		Total
High Yield Fund	Corporate Bonds		$	1,556,749	$	—	$	1,556,749
Gross amount of recoginized liabilities for reverse repurchase agreements			$	1,556,749	$	—	$	1,556,749
Core Bond Fund	U.S. Government Securities		$	—	$	58,575,378	$	58,575,378
Gross amount of recoginized liabilities for reverse repurchase agreements			$	—	$	58,575,378	$	58,575,378

Note 7 – Federal Income Tax Information

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

102 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Return of Capital		Total Distributions
Diversified Income Fund	$	238,449	$	—	$	—	$	—	$	238,449
High Yield Fund		17,921,274		—		—		1,070,238		18,991,512
Core Bond Fund		65,247,275		8,427,954		—		—		73,675,229
Municipal Income Fund		—		111,351		1,376,752		—		1,488,103

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Tax-Exempt Income		Total Distributions
Diversified Income Fund	$	230,515	$	21,270	$	—	$	251,785
High Yield Fund		23,332,303		—		—		23,332,303
Core Bond Fund		24,366,675		—		—		24,366,675
Municipal Income Fund		—		—		1,256,306		1,256,306

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

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Fund	Undistributed Ordinary Income			Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses			Other Temporary Differences			Total
Diversified Income Fund	$	19,423		$	—	$	763,735	$	(3,725	)	$	(12,744	)	$	766,689
High Yield Fund		—			—		8,033,405		(23,222,807	)		(1,199,173	)		(16,388,575	)
Core Bond Fund		10,835,129			13,626,451		33,281,005		—			(3,108,428	)		54,634,157
Municipal Income Fund		108,694	*		309,370		3,956,211		—			(112,949	)		4,261,326

* For Municipal Income Fund, the amount shown represents Undistributed Tax-Exempt Income.

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. The Funds are permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Funds were as follows:

		Unlimited
Fund		Short-Term			Long-Term			Total Capital Loss Carryforward
Diversified Income Fund	$	(3,725	)	$	—		$	(3,725	)
High Yield Fund		—			(23,191,229	)		(23,191,229	)

For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:

Fund	Utilized
Diversified Income Fund	$	298,126
High Yield Fund		5,400,917
Municipal Income Fund		10,477

THE GUGGENHEIM FUNDS ANNUAL REPORT | 103

NOTES TO FINANCIAL STATEMENTS (continued)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, the deferral of qualified late-year losses, reclassification of distributions received, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, net operating losses, paydown reclasses, non-deductible expenses, income accruals on certain investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statements of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Fund	Paid In Capital			Total Distributable Earnings/(Loss)
Diversified Income Fund	$	(921	)	$	921
Core Bond Fund		5,308,891			(5,308,891	)
Municipal Income Fund		(622	)		622

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
Diversified Income Fund	$	6,825,403	$	768,666	$	(4,931	)	$	763,735
High Yield Fund		375,876,629		12,076,276		(4,042,546	)		8,033,730
Core Bond Fund		1,694,837,502		46,765,583		(13,488,741	)		33,276,842
Municipal Income Fund		74,753,036		4,375,200		(418,989	)		3,956,211

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:

Fund	Ordinary			Capital
High Yield Fund	$	(31,578	)	$	—

Note 8 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Diversified Income Fund	$	3,859,092	$	3,590,696
High Yield Fund		329,135,701		360,524,453
Core Bond Fund		1,342,201,721		1,285,481,338
Municipal Income Fund		19,230,582		16,506,378

104 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Fund	Purchases		Sales
Core Bond Fund	$	363,508,174	$	321,086,552

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, 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
High Yield Fund	$	3,024,006	$	95,287,059	$	4,815,610
Core Bond Fund		28,909,242		57,508,857		3,367,799

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2021. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2021, were as follows:

Fund	Borrower	Maturity Date		Face Amount		Value
High Yield Fund
	Eisner Advisory Group		07/28/28	$	40,909	$	—
	Medline Industries, Inc.		08/06/22		4,000,000		—
	National Mentor Holdings, Inc.		03/02/28		35,733		163
	Pro Mach Group, Inc.		08/31/28		104,749		—
	PT Intermediate Holdings III LLC		10/15/25		47,489		223
	SCP Eye Care Services LLC		03/16/28		188,352		236
	Taxware Holdings (Sovos Compliance LLC)		08/11/28		110,445		—
				$	4,527,677	$	622
Core Bond Fund
	CTL Logistics		08/10/42	$	357,219	$	9,752
	Service Logic Acquisition, Inc.		10/29/27		145,896		—
	Venture Global Calcasieu Pass LLC		08/19/26		427,737		23,526
	KKR Core Holding Company LLC		07/15/31		4,200,000		—
				$	5,130,852	$	33,278

THE GUGGENHEIM FUNDS ANNUAL REPORT | 105

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 10 – Restricted Securities

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

Fund	Restricted Securities	Acquisition Date		Cost		Value
High Yield Fund	Basic Energy Services, Inc.
	due 10/15/232		09/25/18	$	1,219,360	$	91,875
	Mirabela Nickel Ltd.
	due 06/24/192		12/31/13		252,369		13,906
				$	1,471,729	$	105,781
Core Bond Fund	Central Storage Safety Project Trust
	4.82% due 02/01/38		03/20/18	$	993,465	$	1,093,342
	Copper River CLO Ltd.
	2007-1A, due 01/20/211		05/09/14		19,627		23,961
				$	1,013,092	$	1,117,303

1	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
2	Security is in default of interest and/or principal obligations.

Note 11 – 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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate 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 Statement of Operations under “Line of credit fees”. The Funds did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 12 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Funds’ investments and the performance of the Funds. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

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.

106 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) and Guggenheim Municipal Income Fund and the Board of Trustees of Guggenheim Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Guggenheim Diversified Income Fund, Guggenheim High Yield Fund, Guggenheim Core Bond Fund (formerly, Guggenheim Investment Grade Bond Fund) and Guggenheim Municipal Income Fund (collectively referred to as the “Funds”), (four of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedules of investments, as of September 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (four of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
November 29, 2021

THE GUGGENHEIM FUNDS ANNUAL REPORT | 107

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 2022, 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 2021.

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

Municipal Income Fund designates $1,376,752 as tax-exempt interest income according to IRC Section 852(b)(5)(A).

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Fund	Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
Diversified Income Fund		20.26	%		19.16	%		45.52	%		0.00	%
High Yield Fund		4.38	%		4.27	%		82.15	%		0.00	%
Core Bond Fund		1.91	%		1.78	%		57.84	%		100.00	%

With respect to the taxable year ended September 30, 2021, 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:
Core Bond Fund	$	8,427,954	$	5,308,891
Municipal Income Fund		111,351		—

Delivery of Shareholder Reports

Paper copies of the Funds’ annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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.

108 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

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.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 109

OTHER INFORMATION (Unaudited)(continued)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.
4	On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

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

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

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

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

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

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and

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OTHER INFORMATION (Unaudited)(continued)

disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

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

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

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

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

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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OTHER INFORMATION (Unaudited)(continued)

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

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

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

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

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

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

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

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

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OTHER INFORMATION (Unaudited)(concluded)

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

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

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation 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.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

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 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments. 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).

120 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 121

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.

122 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 123

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.

124 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

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

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

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

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond
to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 125

9.30.2021

Guggenheim Funds Annual Report

Guggenheim SMid Cap Value Fund

GuggenheimInvestments.com SBMCV-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
GUGGENHEIM SMID CAP VALUE FUND	9
NOTES TO FINANCIAL STATEMENTS	27
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	37
OTHER INFORMATION	39
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	52
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	59
LIQUIDITY RISK MANAGEMENT PROGRAM	63

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Security Investors, LLC (the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim SMid Cap Value Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Security Investors, LLC

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.

The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

*Index Definitions:

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

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

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

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

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

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.19%	(0.68%)	$ 1,000.00	$ 993.20	$ 5.95
C-Class	2.02%	(1.07%)	1,000.00	989.30	10.07
P-Class	1.27%	(0.74%)	1,000.00	992.60	6.34
Institutional Class	1.02%	(0.56%)	1,000.00	994.40	5.10
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.19%	5.00%	$ 1,000.00	$ 1,019.10	$ 6.02
C-Class	2.02%	5.00%	1,000.00	1,014.94	10.20
P-Class	1.27%	5.00%	1,000.00	1,018.70	6.43
Institutional Class	1.02%	5.00%	1,000.00	1,019.95	5.16

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders:

Guggenheim SMid Cap Value 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 Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the following paragraphs, the team discusses performance of the Fund for the fiscal year ended September 30, 2021.

For the year ended September 30, 2021, Guggenheim SMid Cap Value Fund returned 44.65%¹, compared with the Russell 2500^® Value Index, which returned 54.38%.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability, or benefit from change that occurs within the industries in which they operate. In today’s rapidly changing environment marked by very sharp and quick, but constrained, volatility, our long-term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.

Performance Review

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, in a reversal from the last few years, saw value stocks solidly outperform growth stocks over the period, particularly in the small capitalization space. Early on, the smallest and most sensitive to an improving economy advanced the most, but larger, more growth-focused names stepped up as the market grew concerned about the Delta variant, peak profitability, rising input prices, logistical challenges, and shortages. The Fund, which tends to own the larger, higher quality, and more growthy companies in the benchmark, lagged its benchmark at times throughout the period.

The largest headwind to the Fund was stock selection in the Information Technology and Industrials sectors, as earnings reports of companies indicated supply chain issues, cost input inflation, or impairments related to Hurricane Ida. In Technology, communication equipment names as well as the hand-set chip suppliers were weak, as component availability either impaired the ability to get sufficient product out the door or delayed customer orders. Stocks that fell from highs in the period included Infinera Corp., Qorvo, Inc., and Skyworks Solutions. Equities in the Industrials sector declined 10 percentage points more than those in the benchmark, led by Parsons Corp., which reported a 56% decline in operating income for the summer quarter due to reserves taken on federal solutions and critical infrastructure programs, and Enersys, which fell on raw material cost inflation and availability issues.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

Selection in REITs was poor against the benchmark, offset by a beneficial underweighting to the sector. A lack of exposure to cyclical office retail REITs and an overweighting to healthcare REITs was entirely the cause, as opposed to any issues with individual companies. A large position in mediocre performer Physicians REIT was the main individual detractor.

Selection in Financials was also a negative influence in the period. An over-exposure to insurance and reinsurance names was detrimental as the market feared the impact of Hurricane Ida and other storms. Alleghany Corp. fell on these concerns. A bright spot was Pinnacle Financial Partners, which had strong earnings growth during the year.

Also detracting from performance was the fact that the Fund did not own Gamestop and AMC, volatile meme stocks that soared earlier in 2021, based on the view that the companies’ earnings fundamentals did not justify their valuations.

A positive contribution from underweighting the Health Care sector was offset by poor selection, led by Emergent BioSolutions, which fell as the company in a manufacturing contract for Johnson and Johnson’s vaccine had to dispose of millions of contaminated doses. The company’s facility has subsequently corrected the outstanding issues at the facility and is once again manufacturing. Not owning hospitals or life science tools companies also detracted from performance. Evolent Health was a large individual contributor in the sector, rising on speculation that the company could become a takeover target after involvement by activist investors.

The leading contributors to relative performance for the year were stock selection in Consumer Discretionary and Consumer Staples. In Consumer Discretionary, the Fund was helped by holdings in retailers selling apparel (Abercrombie & Fitch), autos and auto parts (Penske Automotive, LKQ Corp.), and sporting equipment (Dick’s Sporting Goods). Meritage Homes detracted from performance; investors became cautious on the sector as homebuilders faced higher raw materials costs and concerns over affordability. Consumer Staples names in the Fund also outgained those in the benchmark, led by Bunge, one of the Fund’s largest holdings.

Selection in Energy was also a relative contributor to performance, as the sector benefitted from the rise in price of both oil and natural gas. An emphasis on exploration and production companies was helpful, especially for natural gas-oriented Range Resources. Another significant contributor was Parsley Energy, an oil and gas company which was acquired by Pioneer Natural Resources during the period.

Portfolio Positioning

While this strategy is balanced relative to the benchmark, it does possess defensive characteristics in virtue of emphasizing relatively larger companies found in the benchmark as well as an overweight in Utilities.

Over the period, the Fund’s largest sector overweights on average relative to the benchmark were in Staples, Materials, Industrials, and Utilities. The Fund’s largest sector underweights were in REITs, Financials, and Health Care.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

Portfolio and Market Outlook

The market outlook is indeed murkier than usual. The expectation of a government and a Federal Reserve willing to do whatever is necessary to help the economy and the markets will need to meet the growing limitations that an increasingly indebted nation must eventually face. However, near term benefits of stimulus money and a Federal Reserve willing to commit to near zero interest rates for an indefinite period suggest a buoyant near-term outlook. The eventual outcome of the stimulus bill being debated in Congress and the Fed’s tapering process also promise to be significant but unpredictable market movers.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

GUGGENHEIM SMID CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	May 1, 1997
C-Class	January 29, 1999
P-Class	May 1, 2015
Institutional Class	January 3, 2020

Ten Largest Holdings (% of Total Net Assets)
Pioneer Natural Resources Co.	2.8%
Bunge Ltd.	2.4%
Range Resources Corp.	2.2%
Evolent Health, Inc. — Class A	2.2%
First Horizon Corp.	2.2%
Alleghany Corp.	2.0%
LKQ Corp.	2.0%
Physicians Realty Trust	1.6%
Rexnord Corp.	1.5%
Huntsman Corp.	1.5%
Top Ten Total	20.4%
“Ten Largest Holdings” excludes any temporary cash investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	10 Year
A-Class Shares	44.65%	10.93%	11.81%
A-Class Shares with sales charge‡	37.78%	9.86%	11.27%
C-Class Shares	43.48%	10.04%	10.95%
C-Class Shares with CDSC§	42.48%	10.04%	10.95%
Institutional Class Shares1	44.92%	11.16%	12.19%
Russell 2500 Value Index	54.38%	10.49%	13.35%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	44.55%	10.87%	9.19%
Russell 2500 Value Index	54.38%	10.49%	9.06%

*	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 Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares and Institutional Class shares will vary due to difference in fee structures.
1	The Institutional Class shares commenced operations on January 3, 2020 in connection with the reorganization of the SMid Cap Value Institutional Fund. The performance of the Institutional Class shares of the Fund for periods prior to January 3, 2020 reflects the performance of the Guggenheim SMid Cap Value Institutional Fund. The returns for the SMid Cap Value Institutional Fund have not been restated to reflect the fees and expenses applicable to the Institutional Class shares of the Fund.
‡	Fund returns are calculated using the maximum sales charge of 4.75%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

SCHEDULE OF INVESTMENTS	September 30, 2021
SMID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 98.0%
Financial - 23.8%
First Horizon Corp.		574,471	$	9,358,133
Alleghany Corp.*		13,849		8,647,454
Physicians Realty Trust REIT		382,791		6,744,778
Alexandria Real Estate Equities, Inc. REIT		33,157		6,335,308
Voya Financial, Inc.		87,970		5,400,478
VICI Properties, Inc. REIT		165,679		4,706,940
BOK Financial Corp.		51,259		4,590,244
Sun Communities, Inc. REIT		24,554		4,544,945
STAG Industrial, Inc. REIT		112,390		4,411,308
Prosperity Bancshares, Inc.		61,965		4,407,570
Radian Group, Inc.		190,807		4,335,135
Stifel Financial Corp.		61,030		4,147,599
KeyCorp		168,845		3,650,429
Unum Group		134,415		3,368,440
Axis Capital Holdings Ltd.		70,346		3,238,730
Apple Hospitality REIT, Inc.		191,498		3,012,264
GoHealth, Inc. — Class A*		576,392		2,899,252
Zions Bancorp North America		43,006		2,661,641
Old Republic International Corp.		109,037		2,522,026
Medical Properties Trust, Inc. REIT		124,560		2,499,919
Heartland Financial USA, Inc.		48,817		2,347,121
Park Hotels & Resorts, Inc. REIT*		119,020		2,278,043
Gaming and Leisure Properties, Inc. REIT		46,248		2,142,207
Virtu Financial, Inc. — Class A		85,662		2,092,722
Heritage Insurance Holdings, Inc.		280,423		1,909,680
Total Financial				102,252,366
Industrial - 21.2%
Rexnord Corp.		102,246		6,573,395
Jacobs Engineering Group, Inc.		45,754		6,063,777
Graphic Packaging Holding Co.		279,720		5,325,869
Johnson Controls International plc		76,754		5,225,412
Knight-Swift Transportation Holdings, Inc.		99,408		5,084,719
EnerSys		68,081		5,067,950
Plexus Corp.*		50,906		4,551,505
Valmont Industries, Inc.		18,655		4,386,164
Kirby Corp.*		90,242		4,328,007
Colfax Corp.*		93,835		4,307,026
Littelfuse, Inc.		15,724		4,296,897
Altra Industrial Motion Corp.		75,605		4,184,737
Energizer Holdings, Inc.		94,764		3,700,534
PGT Innovations, Inc.*		186,565		3,563,391
Southwest Gas Holdings, Inc.		50,360		3,368,077
Curtiss-Wright Corp.		25,342		3,197,654
Terex Corp.		74,032		3,116,747
Owens Corning		32,815		2,805,683
GATX Corp.		27,068		2,424,210
Kennametal, Inc.		66,439		2,274,207
Advanced Energy Industries, Inc.		24,186		2,122,322
Park Aerospace Corp.		143,193		1,958,880
II-VI, Inc.*		32,071		1,903,735
Howmet Aerospace, Inc.		37,205		1,160,796
Total Industrial				90,991,694

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
SMID CAP VALUE FUND

	Shares		Value
Consumer, Cyclical - 13.9%
LKQ Corp.*		169,119	$	8,510,068
Avient Corp.		109,330		5,067,445
Kohl’s Corp.		96,304		4,534,955
Alaska Air Group, Inc.*		75,819		4,442,994
PVH Corp.*		42,818		4,401,262
KAR Auction Services, Inc.*		261,709		4,289,411
MSC Industrial Direct Company, Inc. — Class A		52,550		4,213,985
Ralph Lauren Corp. — Class A		31,603		3,509,197
Abercrombie & Fitch Co. — Class A*		88,592		3,333,717
Methode Electronics, Inc.		62,648		2,634,349
DR Horton, Inc.		29,990		2,518,260
Dick’s Sporting Goods, Inc.		17,203		2,060,403
Dana, Inc.		91,572		2,036,561
Penske Automotive Group, Inc.		20,167		2,028,800
Newell Brands, Inc.		82,513		1,826,838
Lakeland Industries, Inc.*		82,219		1,726,599
Zumiez, Inc.*		30,721		1,221,467
La-Z-Boy, Inc.		30,826		993,522
Total Consumer, Cyclical				59,349,833
Consumer, Non-cyclical - 11.2%
Bunge Ltd.		128,258		10,429,941
Encompass Health Corp.		72,511		5,441,225
Ingredion, Inc.		60,823		5,413,855
Henry Schein, Inc.*		59,134		4,503,645
Central Garden & Pet Co. — Class A*		100,456		4,319,608
US Foods Holding Corp.*		104,944		3,637,359
Integer Holdings Corp.*		40,418		3,610,944
Tyson Foods, Inc. — Class A		44,697		3,528,381
Emergent BioSolutions, Inc.*		53,452		2,676,342
J M Smucker Co.		18,610		2,233,759
Pacira BioSciences, Inc.*		37,350		2,091,600
Total Consumer, Non-cyclical				47,886,659
Technology - 7.5%
Evolent Health, Inc. — Class A*		302,928		9,390,768
DXC Technology Co.*		144,637		4,861,249
Science Applications International Corp.		54,403		4,654,721
Leidos Holdings, Inc.		45,214		4,346,422
Skyworks Solutions, Inc.		20,517		3,380,791
Qorvo, Inc.*		20,214		3,379,579
Parsons Corp.*		66,700		2,251,792
Total Technology				32,265,322
Basic Materials - 6.8%
Huntsman Corp.		221,662		6,558,978
Westlake Chemical Corp.		54,340		4,952,548
Ashland Global Holdings, Inc.		41,548		3,702,758
Element Solutions, Inc.		156,948		3,402,633
Reliance Steel & Aluminum Co.		22,854		3,254,867
Kraton Corp.*		69,755		3,183,618
Nucor Corp.		22,336		2,199,872
Commercial Metals Co.		65,341		1,990,287
Total Basic Materials				29,245,561

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
SMID CAP VALUE FUND

	Shares		Value
Energy - 6.4%
Pioneer Natural Resources Co.		72,588	$	12,086,627
Range Resources Corp.*		418,464		9,469,840
Patterson-UTI Energy, Inc.		668,139		6,013,251
HydroGen Corp.*,†††,1		1,265,700		2
Total Energy				27,569,720
Communications - 5.1%
Infinera Corp.*		668,796		5,564,383
TEGNA, Inc.		245,076		4,832,899
Viavi Solutions, Inc.*		282,669		4,449,210
Ciena Corp.*		60,437		3,103,440
FireEye, Inc.*		163,784		2,915,355
ViacomCBS, Inc. — Class B		26,420		1,043,854
Total Communications				21,909,141
Utilities - 2.1%
Black Hills Corp.		54,696		3,432,721
Pinnacle West Capital Corp.		42,487		3,074,359
Spire, Inc.		42,220		2,583,020
Total Utilities				9,090,100
Total Common Stocks
(Cost $338,434,183)				420,560,396
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
Thermoenergy Corp.*,2		1,652,084		482
Total Convertible Preferred Stocks
(Cost $1,577,634)				482
RIGHTS† - 0.1%
Basic Materials - 0.1%
Pan American Silver Corp.*		516,551		371,917
Total Rights
(Cost $—)				371,917
MONEY MARKET FUND† - 1.8%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		7,822,677		7,822,677
Total Money Market Fund
(Cost $7,822,677)				7,822,677
Total Investments - 99.9%
(Cost $347,834,494)			$	428,755,472
Other Assets & Liabilities, net - 0.1%				462,826
Total Net Assets - 100.0%			$	429,218,298

*	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 September 30, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
SMID CAP VALUE FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	420,560,394	$	—	$	2	$	420,560,396
Convertible Preferred Stocks		—		—		482		482
Rights		371,917		—		—		371,917
Money Market Fund		7,822,677		—		—		7,822,677
Total Assets	$	428,754,988	$	—	$	484	$	428,755,472

Affiliated Transactions

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

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/21		Shares 09/30/21
Common Stock
HydroGen Corp.*	$	2	$	—	$	—	$	—	$	—	$	2		1,265,700

* Non-income producing security.

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

STATEMENT OF ASSETS AND LIABILITIES

SMID CAP VALUE FUND

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $347,831,963)	$	428,755,470
Investments in affiliated issuers, at value (cost $2,531)		2
Prepaid expenses		36,913
Receivables:
Securities sold		5,438,514
Dividends		712,430
Fund shares sold		197,164
Foreign tax reclaims		303
Interest		41
Total assets		435,140,837
Liabilities:
Payable for:
Securities purchased		4,780,900
Fund shares redeemed		580,793
Management fees		251,834
Distribution and service fees		75,322
Transfer agent/maintenance fees		41,876
Fund accounting/administration fees		26,777
Trustees’ fees*		4,181
Due to Investment Adviser		51
Miscellaneous		160,805
Total liabilities		5,922,539
Net assets	$	429,218,298
Net assets consist of:
Paid in capital	$	307,540,559
Total distributable earnings (loss)		121,677,739
Net assets	$	429,218,298
A-Class:
Net assets	$	315,323,070
Capital shares outstanding		8,297,901
Net asset value per share	$	38.00
Maximum offering price per share (Net asset value divided by 95.25%)	$	39.90
C-Class:
Net assets	$	10,015,140
Capital shares outstanding		403,066
Net asset value per share	$	24.85
P-Class:
Net assets	$	6,907,489
Capital shares outstanding		183,375
Net asset value per share	$	37.67
Institutional Class:
Net assets	$	96,972,599
Capital shares outstanding		7,808,715
Net asset value per share	$	12.42

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

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

STATEMENT OF OPERATIONS

SMID CAP VALUE FUND

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	7,273,105
Interest		594
Total investment income		7,273,699
Expenses:
Management fees		3,162,515
Distribution and service fees:
A-Class		784,410
C-Class		129,317
P-Class		18,150
Transfer agent/maintenance fees:
A-Class		228,001
C-Class		22,249
P-Class		8,715
Institutional Class		96,841
Fund accounting/administration fees		288,997
Professional fees		67,877
Trustees’ fees*		26,430
Line of credit fees		18,607
Custodian fees		12,630
Miscellaneous		170,313
Recoupment of previously waived fees:
C-Class		17
P-Class		5,439
Total expenses		5,040,508
Less:
Expenses reimbursed by Adviser:
A-Class		(9,687	)
C-Class		(4,260	)
P-Class		(2,971	)
Institutional Class		(28,324	)
Expenses waived by Adviser		(103	)
Total waived/reimbursed expenses		(45,345	)
Net expenses		4,995,163
Net investment income		2,278,536
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	49,091,986
Net realized gain		49,091,986
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		89,702,415
Net change in unrealized appreciation (depreciation)		89,702,415
Net realized and unrealized gain		138,794,401
Net increase in net assets resulting from operations	$	141,072,937

* 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 | 19

STATEMENTS OF CHANGES IN NET ASSETS

SMID CAP VALUE FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,278,536		$	5,810,547
Net realized gain (loss) on investments		49,091,986			(3,604,141	)
Net change in unrealized appreciation (depreciation) on investments		89,702,415			(48,873,555	)
Net increase (decrease) in net assets resulting from operations		141,072,937			(46,667,149	)
Distributions to shareholders:
A-Class		—			(13,545,510	)
C-Class		—			(1,423,333	)
P-Class		—			(560,321	)
Return of capital
A-Class		—			(423,603	)
C-Class		—			(33,103	)
P-Class		—			(16,100	)
Total distributions to shareholders		—			(16,001,970	)
Capital share transactions:
Proceeds from sale of shares
A-Class		20,445,417			17,615,688
C-Class		1,277,246			594,137
P-Class		858,767			574,319
Institutional Class		31,236,075			33,393,908	*
Distributions reinvested
A-Class		—			13,561,746
C-Class		—			1,311,431
P-Class		—			576,421
Institutional Class		—			—	*
Net proceeds from the issuance of shares due to mergera		—			66,601,569	*
Cost of shares redeemed
A-Class		(54,126,198	)		(80,108,800	)
C-Class		(11,088,501	)		(14,705,656	)
P-Class		(4,270,396	)		(5,966,542	)
Institutional Class		(21,979,519	)		(26,177,847	)*
Net increase (decrease) from capital share transactions		(37,647,109	)		7,270,374
Net increase (decrease) in net assets		103,425,828			(55,398,745	)
Net assets:
Beginning of year		325,792,470			381,191,215
End of year	$	429,218,298		$	325,792,470

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

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

SMID CAP VALUE FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		561,341			668,823
C-Class		52,040			30,801
P-Class		23,190			21,752
Institutional Class		2,623,977			3,796,574	*
Shares issued from reinvestment of distributions
A-Class		—			433,009
C-Class		—			63,136
P-Class		—			18,546
Issuance of shares due to mergera		—			6,532,159
Shares redeemed
A-Class		(1,516,668	)		(2,853,016	)
C-Class		(473,341	)		(793,779	)
P-Class		(133,809	)		(214,531	)
Institutional Class		(1,907,686	)		(3,236,309	)*
Net increase (decrease) in shares		(770,956	)		4,467,165

*	Since commencement of operations, as of close of business January 3, 2020.
a	Fund merger — See Note 7.

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

FINANCIAL HIGHLIGHTS

SMID CAP VALUE FUND

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

A-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.27		$	30.52		$	36.20		$	35.37		$	30.27
Income (loss) from investment operations:
Net investment income (loss)a		.19			.46			.22			.06			.03
Net gain (loss) on investments (realized and unrealized)		11.54			(3.37	)		(1.89	)		3.37			6.09
Total from investment operations		11.73			(2.91	)		(1.67	)		3.43			6.12
Less distributions from:
Net investment income		—			(.26	)		(.03	)		—			(.37	)
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)
Return of capital		—			(.04	)		—			—			—
Total distributions		—			(1.34	)		(4.01	)		(2.60	)		(1.02	)
Net asset value, end of period	$	38.00		$	26.27		$	30.52		$	36.20		$	35.37
Total Returnb		44.65	%		(10.25	%)		(2.51	%)		10.05	%		20.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	315,323		$	243,072		$	335,806		$	392,495		$	396,408
Ratios to average net assets:
Net investment income (loss)		0.53	%		1.64	%		0.72	%		0.17	%		0.11	%
Total expensesc		1.20	%		1.25	%		1.23	%		1.26	%		1.27	%
Net expensesd,e,f		1.19	%		1.24	%		1.23	%		1.26	%		1.27	%
Portfolio turnover rate		34	%		41	%		45	%		54	%		55	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

C-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	17.32		$	20.48		$	26.05		$	26.33		$	22.78
Income (loss) from investment operations:
Net investment income (loss)a		(.06	)		.16			(.02	)		(.17	)		(.17	)
Net gain (loss) on investments (realized and unrealized)		7.59			(2.22	)		(1.57	)		2.49			4.55
Total from investment operations		7.53			(2.06	)		(1.59	)		2.32			4.38
Less distributions from:
Net investment income		—			(.03	)		—			—			(.18	)
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)
Return of capital		—			(.03	)		—			—			—
Total distributions		—			(1.10	)		(3.98	)		(2.60	)		(.83	)
Net asset value, end of period	$	24.85		$	17.32		$	20.48		$	26.05		$	26.33
Total Returnb		43.48	%		(10.95	%)		(3.35	%)		9.22	%		19.63	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,015		$	14,276		$	31,221		$	52,996		$	87,508
Ratios to average net assets:
Net investment income (loss)		(0.27	%)		0.86	%		(0.11	%)		(0.65	%)		(0.68	%)
Total expensesc		2.05	%		2.14	%		2.07	%		2.03	%		2.07	%
Net expensesd,e,f		2.02	%		2.07	%		2.06	%		2.03	%		2.06	%
Portfolio turnover rate		34	%		41	%		45	%		54	%		55	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

P-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.06		$	30.25		$	35.94		$	35.15		$	30.18
Income (loss) from investment operations:
Net investment income (loss)a		.15			.46			.19			.05			.01
Net gain (loss) on investments (realized and unrealized)		11.46			(3.37	)		(1.88	)		3.34			6.08
Total from investment operations		11.61			(2.91	)		(1.69	)		3.39			6.09
Less distributions from:
Net investment income		—			(.20	)		(.02	)		—			(.47	)
Net realized gains		—			(1.04	)		(3.98	)		(2.60	)		(.65	)
Return of capital		—			(.04	)		—			—			—
Total distributions		—			(1.28	)		(4.00	)		(2.60	)		(1.12	)
Net asset value, end of period	$	37.67		$	26.06		$	30.25		$	35.94		$	35.15
Total Return		44.55	%		(10.30	%)		(2.61	%)		10.03	%		20.57	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,907		$	7,662		$	14,165		$	19,889		$	22,203
Ratios to average net assets:
Net investment income (loss)		0.43	%		1.64	%		0.63	%		0.13	%		0.02	%
Total expensesc		1.32	%		1.33	%		1.35	%		1.35	%		1.25	%
Net expensesd,e,f		1.28	%		1.31	%		1.32	%		1.28	%		1.23	%
Portfolio turnover rate		34	%		41	%		45	%		54	%		55	%

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

FINANCIAL HIGHLIGHTS (continued)

SMID CAP VALUE FUND

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

Institutional Class	Year Ended Sept. 30, 2021			Period Ended Sept. 30, 2020g
Per Share Data
Net asset value, beginning of period	$	8.57		$	10.20
Income (loss) from investment operations:
Net investment income (loss)a		.08			.11
Net gain (loss) on investments (realized and unrealized)		3.77			(1.74	)
Total from investment operations		3.85			(1.63	)
Net asset value, end of period	$	12.42		$	8.57
Total Return		44.92	%		(15.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	96,973		$	60,783
Ratios to average net assets:
Net investment income (loss)		0.70	%		1.87	%
Total expensesc		1.06	%		1.09	%
Net expensesd,e,f		1.02	%		1.03	%
Portfolio turnover rate		34	%		41	%

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

FINANCIAL HIGHLIGHTS (concluded)

SMID CAP VALUE FUND

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%	0.00%*	0.00%*	0.01%	0.00%*
C-Class	0.00%*	0.00%*	0.01%	0.01%	0.00%*
P-Class	0.07%	0.01%	0.04%	0.04%	0.00%*
Institutional Class	0.00%	0.00%*,g	N/A	N/A	N/A

	*	Less than 0.01%
f	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.19%	1.24%	1.23%	1.26%	1.25%
C-Class	2.01%	2.07%	2.06%	2.03%	2.04%
P-Class	1.28%	1.30%	1.32%	1.28%	1.21%
Institutional Class	1.02%	1.03%g	N/A	N/A	N/A

^g Since commencement of operations: January 3, 2020. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Guggenheim SMid Cap Value Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class and Institutional Class shares have been issued by the Fund.

Security Investors, LLC, which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

NOTES TO FINANCIAL STATEMENTS (continued)

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

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

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

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

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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

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

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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

(b) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(c) Security Transactions

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

(d) Distributions

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

NOTES TO FINANCIAL STATEMENTS (continued)

(e) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(f) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(g) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(h) Indemnifications

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

Note 2 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		1.30	%1		01/03/20		02/01/23
C-Class		2.05	%1		01/03/20		02/01/23
P-Class		1.30	%1		01/03/20		02/01/23
Institutional Class		1.05	%		01/03/20		02/01/23

¹ Prior to January 3, 2020, the expense limit for A-Class, C-Class and P-Class shares of the Fund was 1.42%, 2.12% and 1.32%, respectively.

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	2022		2023		2024		Total
A-Class	$	—	$	19,600	$	9,790	$	29,390
C-Class		1,135		15,935		4,260		21,330
P-Class		765		2,961		2,971		6,697
Institutional Class		—		26,262		28,324		54,586

For the year ended September 30, 2021, GI recouped $5,456 from the Fund.

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

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

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services,

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

NOTES TO FINANCIAL STATEMENTS (continued)

MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 3 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
$	8,292,712	$	7,236,452	$	472,806	$	16,001,970

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

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Total
$	14,921,793	$	26,105,304	$	80,650,642	$	—	$	121,677,739

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, losses deferred due to wash sales, and distributions in connection with redemption of fund shares. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	2,785,048	$	(2,785,048	)

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	348,104,830	$	93,467,881	$	(12,817,239	)	$	80,650,642

Note 4 – Fair Value Measurement

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

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

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

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

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NOTES TO FINANCIAL STATEMENTS (continued)

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

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

Note 5 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:

Purchases		Sales
$	140,356,789	$	181,703,271

Note 6 – 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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 7 – Merger

Effective on the close of business January 3, 2020, the Guggenheim SMid Cap Value Institutional Fund (the “Acquired Fund”) reorganized with and into newly formed Institutional Class shares of the Fund (the “Acquiring Fund”). The purpose of the reorganization was to combine two funds managed by GI with comparable investment objectives and strategies. The reorganization was treated as a tax-free reorganization for federal income tax purposes and, accordingly, the basis of the assets of the Acquiring Fund reflected the historical basis of the assets of the Acquired Fund

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

as of the date of the Reorganization. For financial reporting purposes, the Acquiring Fund was deemed to be the accounting survivor and assets received and shares issued by the Acquiring Fund were recorded at fair value.

In the merger, shareholders of the Acquired Fund received newly issued shares of the Acquiring Fund’s Institutional Class shares, having a NAV equal to the NAV of their holdings of the Acquired Fund’s shares as determined at the close of business on January 3, 2020, which was $10.20. Accordingly, shareholders received the same number of shares of the newly created Institutional Class of the Acquiring Fund with an equivalent value to shares of the Acquired Fund held immediately prior to the merger. As such, no share ratio conversions were required to effect this merger. Relevant details pertaining to the merger as of January 3, 2020 are as follows:

	Acquired Fund Shares prior to reorganization		Institutional Class Shares issued by Acquiring Fund		Net Assets
Acquiring Fund					$	381,345,573
Acquired Fund		6,532,159		6,532,159		66,601,569
					$	447,947,142

Investments

The cost, fair value and net unrealized appreciation (depreciation) of the investments of the Acquired Fund as of the date of the merger, is as follows:

Cost of investments	$	61,009,544
Fair value of investments	$	66,604,886
Net unrealized appreciation (depreciation) on investments	$	5,595,342

Cost and Expenses

The Investment Adviser agreed to cover all costs and expenses associated with the merger (“merger fees”). No merger fees were borne by the Acquired Fund or the Acquiring Fund.

Pro Forma Results of Operations

Assuming the acquisition had been completed on October 1, 2019, the beginning of the fiscal reporting period of the Fund, the pro forma results of operations for the year ended September 30, 2020, would be as follows:

SMid Cap Value Fund
Net investment income (loss)	$	6,013,737
Net realized and unrealized gains (loss)	$	(48,729,551	)
Change in net assets resulting from operations	$	(42,715,814	)

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NOTES TO FINANCIAL STATEMENTS (concluded)

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of Guggenheim SMid Cap Value Institutional Fund that have been included in the Fund’s Statement of Operations since January 3, 2020.

Note 8 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 9 – Subsequent Events

The Fund 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 Fund’s financial statements.

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim SMid Cap Value Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim SMid Cap Value Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, brokers, or by other appropriate auditing procedures where replies from brokers were not received. Our

THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
November 29, 2021

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

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

In January 2022, 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 2021.

With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	—	$	3,014,914

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment

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OTHER INFORMATION (Unaudited)(continued)

policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

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

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OTHER INFORMATION (Unaudited)(continued)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund””).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and

1

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

2

The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”

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OTHER INFORMATION (Unaudited)(continued)

direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees,

3

Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

4

On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

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

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

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OTHER INFORMATION (Unaudited)(continued)

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

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

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods,

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

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

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s

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OTHER INFORMATION (Unaudited)(continued)

statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

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

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that,

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

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

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

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional

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OTHER INFORMATION (Unaudited)(continued)

securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

48 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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

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

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of

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OTHER INFORMATION (Unaudited)(continued)

the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

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

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

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

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

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OTHER INFORMATION (Unaudited)(concluded)

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

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

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018 - present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. 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

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and

THE GUGGENHEIM FUNDS ANNUAL REPORT | 61

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

We’ll Keep You Informed

If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

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

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

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

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 63

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Capital Stewardship Fund

GuggenheimInvestments.com CSF-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	3
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
CAPITAL STEWARDSHIP FUND	7
NOTES TO FINANCIAL STATEMENTS	15
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	20
OTHER INFORMATION	21
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	27
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	32
LIQUIDITY RISK MANAGEMENT PROGRAM	35

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Capital Stewardship Fund (the “Fund”). The report covers the annual fiscal period ended September 30, 2021.

Concinnity Advisors, LP, serves as the Fund’s sub-adviser (the “Sub-Adviser”).

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Funds will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Capital Stewardship Fund may not be suitable for all investors. ● There can be no assurance that any investment product will achieve its investment objective(s). ● There are risks associated with investing, including the entire loss of principal invested. ● Investing involves market risks. The investment return and principal value of any investment product will fluctuate with changes in market conditions. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12 months ending September 30, 2021, the equity market experienced a relatively steady upward climb that reversed amid seasonal pressures, inflation worry, and market uncertainty about the economic damage brought about by the potential emergence of new COVID variants.

The ten-year Treasury climbed 83 basis points to 1.52% from 0.69% over the period. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

*Index Definitions:

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

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

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

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

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

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

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

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
	1.01%	4.41%	$ 1,000.00	$ 1,044.10	$ 5.18
Table 2. Based on hypothetical 5% return (before expenses)
	1.01%	5.00%	$ 1,000.00	$ 1,020.00	$ 5.11

1	Annualized and excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Capital Stewardship Fund (the “Fund”) is managed by a team of seasoned professionals led by Farhan Sharaff, Assistant Chief Investment Officer, Equities, and Portfolio Manager; Qi Yan, Managing Director and Portfolio Manager; and Peter Derby, Portfolio Manager at Concinnity Partners, LP, an unaffiliated Sub-adviser (the “Sub-adviser”) to the Fund. The following paragraphs discuss the Fund for the fiscal year ended September 30, 2021.

For the one year period ended September 30, 2021, Guggenheim Capital Stewardship Fund Institutional Shares returned 25.11%, compared with the 30.00% return of its benchmark, the S&P 500 Index.

Strategy Overview

The Fund’s investment objective is to seek long-term capital appreciation. It pursues its investment objective by investing in equity securities that the Fund believes will provide attractive long-term returns relative to the S&P 500 Index. Guggenheim Partners Investment Management, LLC, the Fund’s adviser (the “Investment Adviser or Manager”), and Concinnity Advisors, LP, the Fund’s sub-adviser (the “Sub-Adviser”), believe that companies that successfully implement multi-stakeholder management systems are generally better positioned to create sustained long-term value for their shareholders than competing companies that do not implement such systems. The Investment Adviser and Sub-Adviser believe that companies implementing such systems do so by aligning the interests of all of a company’s core stakeholders, including investors, customers, employees, business partners, and communities in which a company does business.

To identify an initial universe of companies that it believes have exemplary multi-stakeholder management systems, the Sub-Adviser uses its proprietary research methodology system, which seeks to identify the components of those management systems, including, but not limited to: (1) customer loyalty; (2) employee engagement, as demonstrated by high levels of loyalty; (3) efficient use of “intangible” assets; and (4) high supplier loyalty, as demonstrated by the maturity of supply chain activities and (5) community engagement.

Performance Review

Both allocation and security selection detracted from return for the period.

The leading attribution effect was the negative contribution in Financials (-1.76%), where the Fund was underweight and had worse selection than the benchmark. Similarly, in Health Care, poor selection and an overweight made it the second-leading detractor (-1.52%), whereas an underweight in Energy, which was the best-returning sector in the benchmark, caused that sector to be the next-leading detractor (-1.18%).

Contributing to performance for the period was an overweight and better selection than the benchmark in Consumer Discretionary (+0.59%), followed by an underweight and better selection in Utilities (+0.51%).

The top individual contributors to return were Microsoft Corp., Alphabet.com, Inc., and Apple Computer, Inc. The top individual detractors were Vertex Pharmaceuticals, Inc., Citrix Systems, Inc., and Amgen, Inc.

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 | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

CAPITAL STEWARDSHIP FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Cumulative Fund Performance*

Inception Date: September 26, 2014

Ten Largest Holdings (% of Total Net Assets)
Microsoft Corp.	5.4%
Apple, Inc.	5.0%
Amazon.com, Inc.	4.0%
Alphabet, Inc. — Class A	2.6%
Intel Corp.	2.2%
Bristol-Myers Squibb Co.	2.1%
3M Co.	1.7%
Citigroup, Inc.	1.7%
International Business Machines Corp.	1.7%
Netflix, Inc.	1.5%
Top Ten Total	27.9%
“Ten Largest Holdings” excludes any temporary cash investments.

Average Annual Returns*
Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (09/26/14)
Capital Stewardship Fund	25.11%	14.49%	11.58%
S&P 500 Index	30.00%	16.90%	13.90%

* 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.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
CAPITAL STEWARDSHIP FUND

	Shares		Value
COMMON STOCKS† - 101.5%
Technology - 28.5%
Microsoft Corp.		43,418	$	12,240,403
Apple, Inc.		79,127		11,196,470
Intel Corp.		92,062		4,905,064
International Business Machines Corp.		27,005		3,751,805
Oracle Corp.		36,652		3,193,489
Texas Instruments, Inc.		16,468		3,165,314
Accenture plc — Class A		8,919		2,853,366
HP, Inc.		100,691		2,754,906
QUALCOMM, Inc.		20,739		2,674,916
Lam Research Corp.		4,178		2,377,909
Micron Technology, Inc.		28,886		2,050,328
Cognizant Technology Solutions Corp. — Class A		23,399		1,736,440
Applied Materials, Inc.		10,600		1,364,538
Dell Technologies, Inc. — Class C*		12,430		1,293,217
Science Applications International Corp.		14,288		1,222,481
Skyworks Solutions, Inc.		6,799		1,120,339
Jack Henry & Associates, Inc.		6,776		1,111,670
Citrix Systems, Inc.		10,305		1,106,448
Teradyne, Inc.		8,086		882,749
ON Semiconductor Corp.*		17,048		780,287
NVIDIA Corp.		3,119		646,132
Activision Blizzard, Inc.		7,888		610,452
Leidos Holdings, Inc.		4,547		437,103
Advanced Micro Devices, Inc.*		3,849		396,062
Autodesk, Inc.*		1,187		338,497
Adobe, Inc.*		543		312,616
Total Technology				64,523,001
Consumer, Non-cyclical - 19.5%
Bristol-Myers Squibb Co.		79,527		4,705,613
Merck & Company, Inc.		43,600		3,274,796
Quest Diagnostics, Inc.		20,048		2,913,175
Laboratory Corporation of America Holdings*		9,401		2,645,817
AbbVie, Inc.		20,464		2,207,452
Amgen, Inc.		9,922		2,109,913
CVS Health Corp.		24,770		2,101,982
Gilead Sciences, Inc.		29,159		2,036,756
Johnson & Johnson		12,528		2,023,272
McKesson Corp.		8,151		1,625,146
PerkinElmer, Inc.		8,728		1,512,475
Thermo Fisher Scientific, Inc.		2,569		1,467,747
Pfizer, Inc.		32,515		1,398,470
Vertex Pharmaceuticals, Inc.*		6,876		1,247,238
Cigna Corp.		5,923		1,185,548
Chemed Corp.		2,476		1,151,637
Humana, Inc.		2,868		1,116,082
Cooper Companies, Inc.		2,671		1,103,951
Kroger Co.		24,167		977,072
Moody’s Corp.		2,672		948,854
Bio-Rad Laboratories, Inc. — Class A*		1,198		893,648
Becton Dickinson and Co.		3,150		774,333
Regeneron Pharmaceuticals, Inc.*		1,186		717,744
S&P Global, Inc.		1,683		715,090
United Rentals, Inc.*		1,939		680,453
Biogen, Inc.*		2,283		646,066
UnitedHealth Group, Inc.		1,485		580,249
Molson Coors Beverage Co. — Class B		7,651		354,853
PayPal Holdings, Inc.*		1,261		328,125
Clorox Co.		1,842		305,054
Kellogg Co.		3,817		243,982
Total Consumer, Non-cyclical				43,992,593
Consumer, Cyclical - 14.9%
Home Depot, Inc.		7,885		2,588,330
Domino’s Pizza, Inc.		5,389		2,570,337
Whirlpool Corp.		12,503		2,548,862
Lear Corp.		15,950		2,495,856
AutoZone, Inc.*		1,441		2,446,804
Cummins, Inc.		10,554		2,370,006
General Motors Co.*		38,247		2,015,999
O’Reilly Automotive, Inc.*		3,272		1,999,388
BorgWarner, Inc.		45,648		1,972,450
Best Buy Company, Inc.		15,461		1,634,382
Dolby Laboratories, Inc. — Class A		18,144		1,596,672
Target Corp.		6,382		1,460,010
Starbucks Corp.		11,205		1,236,024
PACCAR, Inc.		13,482		1,064,000
McDonald’s Corp.		4,320		1,041,595
WW Grainger, Inc.		2,623		1,030,996
Lowe’s Companies, Inc.		4,603		933,765
Tractor Supply Co.		3,625		734,461
Thor Industries, Inc.		5,835		716,305
Pool Corp.		1,585		688,540
Tesla, Inc.*		813		630,465
Total Consumer, Cyclical				33,775,247
Communications - 14.9%
Amazon.com, Inc.*		2,728		8,961,589
Alphabet, Inc. — Class A*		2,208		5,903,132
Netflix, Inc.*		5,618		3,428,890
Motorola Solutions, Inc.		12,915		3,000,413
Cisco Systems, Inc.		43,887		2,388,769
Facebook, Inc. — Class A*		4,565		1,549,316
Verizon Communications, Inc.		26,509		1,431,751
F5 Networks, Inc.*		6,854		1,362,438
Nexstar Media Group, Inc. — Class A		8,634		1,312,023
CDW Corp.		6,415		1,167,658
Arista Networks, Inc.*		3,350		1,151,194
Omnicom Group, Inc.		9,080		657,937
AT&T, Inc.		22,658		611,993
Walt Disney Co.*		2,020		341,723
FactSet Research Systems, Inc.		793		313,061
Total Communications				33,581,887

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
CAPITAL STEWARDSHIP FUND

	Shares		Value
Financial - 12.9%
Citigroup, Inc.		53,790	$	3,774,982
Allstate Corp.		24,343		3,099,107
American Tower Corp. — Class A REIT		9,009		2,391,079
Progressive Corp.		26,303		2,377,528
Capital One Financial Corp.		12,644		2,047,949
MetLife, Inc.		31,864		1,966,965
Aflac, Inc.		34,099		1,777,581
Hartford Financial Services Group, Inc.		23,407		1,644,342
Jones Lang LaSalle, Inc.*		6,328		1,569,914
Equinix, Inc. REIT		1,783		1,408,802
Crown Castle International Corp. REIT		7,723		1,338,550
Prologis, Inc. REIT		7,923		993,782
Prudential Financial, Inc.		8,420		885,784
American Express Co.		5,138		860,769
Blackstone, Inc. — Class A		6,729		782,852
Duke Realty Corp. REIT		11,886		568,983
Bank of New York Mellon Corp.		9,948		515,704
Visa, Inc. — Class A		2,096		466,884
CBRE Group, Inc. — Class A*		3,962		385,740
Nasdaq, Inc.		1,583		305,550
Total Financial				29,162,847
Industrial - 7.6%
3M Co.		21,908		3,843,101
Keysight Technologies, Inc.*		10,701		1,758,067
Expeditors International of Washington, Inc.		12,270		1,461,725
Mettler-Toledo International, Inc.*		974		1,341,549
Owens Corning		15,135		1,294,043
Waters Corp.*		2,937		1,049,390
Lennox International, Inc.		3,559		1,046,951
FedEx Corp.		4,555		998,866
Ryder System, Inc.		10,841		896,659
Ball Corp.		8,820		793,535
Illinois Tool Works, Inc.		3,068		633,941
Deere & Co.		1,655		554,541
Rockwell Automation, Inc.		1,385		407,245
Littelfuse, Inc.		1,484		405,533
CH Robinson Worldwide, Inc.		4,446		386,802
Caterpillar, Inc.		1,583		303,889
Total Industrial				17,175,837
Energy - 1.6%
Chevron Corp.		24,606		2,496,279
ONEOK, Inc.		20,498		1,188,679
Total Energy				3,684,958
Basic Materials - 1.6%
Celanese Corp. — Class A		7,623		1,148,329
FMC Corp.		12,444		1,139,372
Steel Dynamics, Inc.		15,720		919,306
Newmont Corp.		6,934		376,516
Total Basic Materials				3,583,523
Total Common Stocks
(Cost $208,079,069)				229,479,893
EXCHANGE-TRADED FUNDS† - 1.0%
SPDR S&P 500 ETF Trust		4,956		2,126,818
Total Exchange-Traded Funds
(Cost $1,888,424)				2,126,818
MONEY MARKET FUND† - 0.2%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		533,861		533,861
Total Money Market Fund
(Cost $533,861)				533,861
Total Investments - 102.7%
(Cost $210,501,354)			$	232,140,572
Other Assets & Liabilities, net - (2.7)%				(6,027,750	)
Total Net Assets - 100.0%			$	226,112,822

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2021.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust
	See Sector Classification in Other Information section.

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

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
CAPITAL STEWARDSHIP FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	229,479,893	$	—	$	—	$	229,479,893
Exchange-Traded Funds		2,126,818		—		—		2,126,818
Money Market Fund		533,861		—		—		533,861
Total Assets	$	232,140,572	$	—	$	—	$	232,140,572

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

CAPITAL STEWARDSHIP FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments, at value (cost $210,501,354)	$	232,140,572
Cash		5,029
Prepaid expenses		5,439
Receivables:
Dividends		208,388
Interest		4
Total assets		232,359,432
Liabilities:
Payable for:
Fund shares redeemed		6,014,854
Management fees		177,901
Fund accounting/administration fees		16,513
Trustees’ fees*		2,410
Transfer agent/maintenance fees		2,286
Miscellaneous		32,646
Total liabilities		6,246,610
Net assets	$	226,112,822
Net assets consist of:
Paid in capital	$	153,906,868
Total distributable earnings (loss)		72,205,954
Net assets	$	226,112,822
Capital shares outstanding		6,162,851
Net asset value per share	$	36.69

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends	$	4,065,032
Interest		86
Total investment income		4,065,118
Expenses:
Management fees		2,128,319
Transfer agent/maintenance fees		25,274
Fund accounting/administration fees		165,822
Professional fees		41,728
Trustees’ fees*		22,105
Custodian fees		13,552
Miscellaneous		10,886
Total expenses		2,407,686
Less:
Earnings credit applied		(22	)
Net expenses		2,407,664
Net investment income		1,657,454
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		56,921,577
Net realized gain		56,921,577
Net change in unrealized appreciation (depreciation) on:
Investments		(6,631,844	)
Net change in unrealized appreciation (depreciation)		(6,631,844	)
Net realized and unrealized gain		50,289,733
Net increase in net assets resulting from operations	$	51,947,187

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

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

CAPITAL STEWARDSHIP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,657,454		$	1,987,550
Net realized gain on investments		56,921,577			10,490,126
Net change in unrealized appreciation (depreciation) on investments		(6,631,844	)		12,587,690
Net increase in net assets resulting from operations		51,947,187			25,065,366
Distributions to shareholders		(13,020,049	)		(6,304,168	)
Capital share transactions:
Proceeds from sale of shares		8,500,000			—
Distributions reinvested		12,936,786			6,179,931
Cost of shares redeemed		(41,001,933	)		(28,243,155	)
Net decrease from capital share transactions		(19,565,147	)		(22,063,224	)
Net increase (decrease) in net assets		19,361,991			(3,302,026	)
Net assets:
Beginning of year		206,750,831			210,052,857
End of year	$	226,112,822		$	206,750,831
Capital share activity:
Shares sold		271,840			—
Shares issued from reinvestment of distributions		402,138			210,847
Shares redeemed		(1,164,212	)		(998,019	)
Net decrease in shares		(490,234	)		(787,172	)

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

CAPITAL STEWARDSHIP FUND

FINANCIAL HIGHLIGHTS

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

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	31.08		$	28.23		$	31.23		$	29.11		$	26.55
Income (loss) from investment operations:
Net investment income (loss)a		.25			.28			.33			.28			.34
Net gain (loss) on investments (realized and unrealized)		7.28			3.43			.05			4.34			3.51
Total from investment operations		7.53			3.71			.38			4.62			3.85
Less distributions from:
Net investment income		(.28	)		(.39	)		(.32	)		(.34	)		(.37	)
Net realized gains		(1.64	)		(.47	)		(3.06	)		(2.16	)		(.92	)
Total distributions		(1.92	)		(.86	)		(3.38	)		(2.50	)		(1.29	)
Net asset value, end of period	$	36.69		$	31.08		$	28.23		$	31.23		$	29.11
Total Return		25.11	%		13.31	%		3.56	%		16.50	%		15.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	226,113		$	206,751		$	210,053		$	220,587		$	216,008
Ratios to average net assets:
Net investment income (loss)		0.70	%		0.96	%		1.23	%		0.93	%		1.23	%
Total expensesb		1.02	%		1.04	%		1.05	%		1.05	%		1.03	%
Portfolio turnover rate		154	%		147	%		131	%		164	%		156	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Does not include expenses of the underlying funds in which the Fund invests.

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

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Capital Stewardship Fund (the “Fund”), a diversified investment company. At September 30, 2021, Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Concinnity Advisors, LP (the “Sub-Adviser”) serves as the subadviser to the Fund.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund.

(a) Valuation of Investments

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

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

NOTES TO FINANCIAL STATEMENTS (continued)

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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.

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

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

(b) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. 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.

(c) Distributions

Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares, unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

(d) Expenses

Certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(e) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(f) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(g) Indemnifications

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

Note 2 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Fund.

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

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

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

Note 3 – Federal Income Tax Information

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

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

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	3,520,938	$	9,499,111	$	13,020,049

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	4,327,928	$	1,976,240	$	6,304,168

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

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Total
$	37,244,875	$	14,254,283	$	20,706,796	$	—	$	72,205,954

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

NOTES TO FINANCIAL STATEMENTS (continued)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to distributions in connection with redemption of fund shares and losses deferred due to wash sales. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	3,535,255	$	(3,535,255	)

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	211,433,776	$	27,190,658	$	(6,483,862	)	$	20,706,796

Note 4 – Fair Value Measurement

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

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

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

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

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

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

Note 5 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:

Purchases		Sales
$	360,392,443	$	394,719,103

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 6 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 7 – Subsequent Events

The Fund 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 Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Capital Stewardship Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Capital Stewardship Fund (the “Fund”) (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
November 29, 2021

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

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

In January 2022, 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 2021.

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

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	60.55	%		60.55	%		0.06	%		100.00	%

With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	9,499,111	$	3,535,255

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

OTHER INFORMATION (Unaudited)(continued)

Sector Classification

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee – Guggenheim Capital Stewardship Fund

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is authorized to issue an unlimited number of shares of beneficial interest in separate series, with each such series representing interests in a separate portfolio of securities and other assets. Guggenheim Partners Investment Management, LLC (“GPIM” or the “Adviser”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund” or the “Fund”), a series of the Trust, pursuant to an investment advisory agreement between the Trust, with respect to Capital Stewardship Fund, and GPIM (the “Investment Advisory Agreement”). (Guggenheim Partners, GPIM and their affiliates may be referred to herein together as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes GPIM, Guggenheim Funds Investment Advisors, LLC, Security Investors, LLC and other affiliated investment management businesses of Guggenheim Partners.)

Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), GPIM provides certain investment advisory and management services to the Fund and is responsible for, among other things, arranging for the purchase and sale of securities and other assets on behalf of the Fund and supervising the Fund’s investment program. Under the terms of the Investment Advisory Agreement, GPIM may delegate some or all of its duties and obligations to one or more sub-advisers and, in this connection, is responsible for overseeing the activities of Concinnity Advisors, LP (“Concinnity” or the “Sub-Adviser”), with respect to its service as investment sub-adviser to the Fund, pursuant to an investment sub-advisory agreement between GPIM and Concinnity (the “Sub-Advisory Agreement” and together with the Investment Advisory Agreement, the “Advisory Agreements”).

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of the Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.¹ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Fund, and other information relevant to its evaluation of the Advisory Agreements.

¹ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreements at a meeting of the Board held by videoconference on May 26, 2021.

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE report, noting that the peer group identified by FUSE included 14 other large blend funds with similar pricing characteristics.

In addition, Guggenheim and Concinnity provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”).

The Committee also considered the circumstances unique to Capital Stewardship Fund, including its organizational history. In this connection, the assets of Guggenheim Concinnity Master Strategy Fund SPC, a Cayman Islands exempted segregated portfolio company which relied on the exclusion from the definition of an “investment company” provided by Section 3(c)(7) of the 1940 Act (the “Predecessor Fund”) and for which GPIM served as investment adviser and Concinnity served as investment sub-adviser, were reorganized with and into Capital Stewardship Fund (the “Reorganization”). The Predecessor Fund was a master fund in a set of unregistered offshore and domestic master-feeder funds (collectively, the “Private Funds”), which had certain bank investors. The investors issued notes that provided coupon payments based on the after-tax return of the Private Funds and the notes, in turn, were held by a single holder affiliated with Guggenheim. The Reorganization enabled the bank investors and the noteholder to continue to benefit from the strategies previously offered by the Private Funds by converting the Predecessor Fund into a registered investment company structure that pursues the same investment strategies, because Capital Stewardship Fund’s investment objective and strategies are, in all material respects, the same as those of the Predecessor Fund. The Board had authorized the launch of Capital Stewardship Fund on the condition that it not be offered to other investors unless and until such time as the Board determines to permit additional sales. The Committee considered the foregoing and the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of the Fund to recommend that the Board approve the renewal of each of the Advisory Agreements for an additional annual term.

Investment Advisory Agreement

Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee noted that the Adviser delegated certain, but not all, portfolio management responsibilities to the Sub-Adviser. Unlike many traditional sub-advisory arrangements, the Sub-Adviser does not execute trades for the Fund’s portfolio. Rather, the Sub-Adviser provides a list of eligible investments to the Adviser based on the Sub-Adviser’s proprietary screening methodology, and the Adviser selects investments and engages in securities transactions for the Fund. In this connection, the Committee considered the scope of services provided by each of the Adviser and the Sub-Adviser, and took into account the Adviser’s responsibility to oversee the Sub-Adviser and information provided by Guggenheim describing the Adviser’s processes and activities for providing oversight of sub-advisers (including Concinnity), including information regarding Guggenheim’s Sub-Advisory Oversight Committee.

The Committee also considered the qualifications, experience and skills of key personnel performing services for the Fund, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Fund. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including Capital Stewardship Fund.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

OTHER INFORMATION (Unaudited)(continued)

The Committee’s review of the services provided by Guggenheim to the Fund included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Fund, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s and Concinnity’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, custodian and other service providers to the Fund. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Fund and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

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

The Committee also considered the acceptability of the terms of the Investment Advisory Agreement, including the scope of services required to be performed by the Adviser.

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

Investment Performance: The Fund commenced investment operations on September 26, 2014 and its investment objective is to seek long-term capital appreciation. The Committee received investment returns for the five-year, three-year, one-year and three-month periods ended December 31, 2020. In addition, the Committee received a comparison of the Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods. The Committee considered that the Fund pursues its investment objective, under normal market conditions, by primarily investing in equity securities that the Fund believes will provide attractive long-term returns relative to the S&P 500 Index and that have implemented “multi-stakeholder management systems.” The Committee also received certain updated performance information as of March 31, 2021.

The Committee took into account the roles and responsibilities of each of the Adviser and the Sub-Adviser in implementing the Fund’s investment strategy, including the manner in which the relationship between the advisory firms differs in certain respects from traditional fund management structures with an adviser and an unaffiliated sub-adviser. The Committee noted that the Sub-Adviser uses its proprietary research methodology system to identify a list of companies eligible for investment by the Fund. From that list, the Adviser selects, based on desired factor tilts and subject to a risk management process, a portfolio composed of a sub-set of the eligible companies compiled by the Sub-Adviser. The Adviser retains the responsibility for executing the trades based on the Fund’s investment policies and limitations.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the universe of funds identified by FUSE. The Committee observed that the returns of the Fund’s Institutional Class shares ranked in the 51st and 52nd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted that the Fund’s investment results were consistent with its investment objective of seeking long-term capital appreciation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the Adviser’s investment performance was acceptable and that the Adviser had appropriately reviewed and monitored the Sub-Adviser’s investment performance.

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(continued)

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Fund: The Committee compared the Fund’s contractual advisory fee, net effective management fee² and total net expense ratio to the peer group of funds identified by FUSE. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of the Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure the Fund is able to deliver on shareholder return expectations.

The Committee observed that the contractual advisory fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the third quartile (64th and 71st percentiles, respectively) of its peer group and the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. In evaluating the foregoing, the Committee considered that the Fund was launched to accommodate certain bank clients that were invested in an unregistered private fund (previously defined as the Predecessor Fund) with a unique investment strategy. Shares of the Fund are not registered under the Securities Act of 1933, as amended, and thus are available only to accredited investors in a single institutional share class. Accordingly, in evaluating the reasonableness of the advisory fee, the Committee considered the sophistication of the Fund’s bank client investors and the Fund’s purpose.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Fund, the Committee reviewed a profitability analysis and data from management for the Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, earnings and the operating margin/profitability rate (noting the negative rate reported with respect to the Fund), including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability with respect to the Guggenheim funds generally, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided and noted the negative profitability rate to Guggenheim Investments with respect to the Fund.

The Committee also considered other benefits available to the Adviser because of its relationship with the Capital Stewardship Fund and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits.

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

Economies of Scale: With respect to economies of scale, the Committee considered that the Fund is not available to retail investors. The Committee concluded that the advisory fee schedule reflected an appropriate level of sharing of any economies of scale.

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

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: With respect to the nature, extent and quality of services provided by the Sub-Adviser, the Committee considered the Fund’s investment objective and Concinnity’s investment strategy and method for implementing such investment strategy, including, but not limited to, the investment decision processes employed for the Fund. In this connection, the Committee also noted that the Sub-Adviser is experienced in identifying companies with elements of the multi-stakeholder management system. In addition, the Committee took into account the information provided by the Sub-Adviser regarding, among other things: its current advisory services and clients and the principal activities in which it is engaged; the qualifications, experience and skills of key

² The “net effective management fee” for the Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

OTHER INFORMATION (Unaudited)(continued)

personnel responsible for providing services to the Fund; the Sub-Adviser’s evaluation of its success in meeting the Fund’s investment objective; the Fund’s portfolio construction process and the sources of information generally relied upon by the Sub-Adviser in providing investment advisory, statistical and research services to the Fund; and the Sub-Adviser’s process, in collaboration with Guggenheim, for portfolio risk management.

With respect to the Sub-Adviser’s resources and its ability to carry out its responsibilities under the Sub-Advisory Agreement, the Committee noted that the Sub-Adviser provided its tax return filing. The Committee also considered the Sub-Adviser’s statement that it is an ongoing viable business enterprise that currently has the resources necessary to provide the contracted-for services to the Fund. In further assessing the Sub-Adviser’s resources, as well as the nature and quality of the services it provides, the Committee took into account Guggenheim’s statement that, given the limited scope of services provided by Concinnity and its role in the Fund’s management, and Guggenheim’s oversight of such services, the Sub-Adviser’s resources are sufficient to provide the contracted-for services to the Fund.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, the Committee concluded that the Sub-Adviser and its personnel were qualified to serve the Fund in such capacity and may reasonably be expected to continue to provide a high quality of services under the Sub-Advisory Agreement.

Investment Performance: The Committee considered the Fund’s performance, as described above, and based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, concluded that the investment performance of the Sub-Adviser was acceptable.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee noted that the sub-advisory fees payable to Concinnity are paid by GPIM and do not impact the advisory fee paid by the Fund (which the Committee concluded to be reasonable). The Committee considered the total amount of sub-advisory fees paid to the Sub-Adviser for the twelve months ended December 31, 2020, as compared to the prior year, noting that the sub-advisory fees paid by GPIM to Concinnity are the product of arm’s-length negotiations between GPIM and Concinnity. The Committee considered the allocation of the advisory fee charged to the Fund between GPIM and Concinnity in light of the nature, extent and quality of the investment advisory services provided by GPIM and Concinnity.

With respect to the costs of services provided and benefits realized by the Sub-Adviser from its relationship with the Fund, the Committee considered Concinnity’s size and partnership structure, the aggregate management fees paid to Concinnity and the methodology used to calculate its profitability. The Committee also considered that no other benefits to the Sub-Adviser as a result of its relationship with the Fund were reported.

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

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

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

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each Advisory Agreement is in the best interest of the Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement for an additional annual term.

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The 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).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Sandra G. Sponem (1958)	Trustee and Chair of the Audit Committee	Since 2019 (Trustee) Since 2020 (Chair of the Audit Committee)	Current: Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

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
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. 

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

International Visitors

If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

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.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

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

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

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

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Macro Opportunities Fund

GuggenheimInvestments.com MO-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
MACRO OPPORTUNITIES FUND	9
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS	92
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	123
OTHER INFORMATION	125
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	139
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	146
LIQUIDITY RISK MANAGEMENT PROGRAM	150

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Macro Opportunities Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2021

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.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Macro Opportunities Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The intrinsic value of the underlying stocks in which the Fund invests may never be realized or the stock may decline in value. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

*Index Definitions:

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

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

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

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

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

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

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

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.37%	1.55%	$ 1,000.00	$ 1,015.50	$ 6.92
C-Class	2.12%	1.17%	1,000.00	1,011.70	10.69
P-Class	1.37%	1.55%	1,000.00	1,015.50	6.92
Institutional Class	0.96%	1.76%	1,000.00	1,017.60	4.86
R6-Class	0.96%	1.75%	1,000.00	1,017.50	4.86
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.37%	5.00%	$ 1,000.00	$ 1,018.20	$ 6.93
C-Class	2.12%	5.00%	1,000.00	1,014.44	10.71
P-Class	1.37%	5.00%	1,000.00	1,018.20	6.93
Institutional Class	0.96%	5.00%	1,000.00	1,020.26	4.86
R6-Class	0.96%	5.00%	1,000.00	1,020.26	4.86

1	This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 1.33%, 2.08%, 1.33%, 0.92% and 0.92% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively. Excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Macro Opportunities Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide total return, comprised of current income and capital appreciation. Unconstrained to a benchmark, the Fund has the flexibility to invest across a broad array of fixed-income securities. The Fund may also opportunistically allocate to other asset classes to potentially enhance return and/or mitigate risk and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one year period ended September 30, 2021, Guggenheim Macro Opportunities Fund returned 7.49%¹, compared with the 0.07% return of the ICE Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index.

Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Performance was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s duration positioning. The Fund’s allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefited from spread compression, while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its curve caps positions helped mitigate the performance impact from the steepening in the yield curve.

Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 42% of the Fund. Our below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2021

this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.

Structured credit accounted for 22% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively . Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (“CLO”) sector, which is on track for a record setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.

Investment grade corporates comprised 9% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor of higher carry sectors like structured credit.

The portfolio’s duration positioning detracted slightly from performance as U.S. Treasury yields rose across the curve. The portfolio’s overall duration ended the period at 2.2 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Federal Reserve (“Fed”) seeks to remain accommodative to help the economic recovery continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.

Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle and against the backdrop of current

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.

During the period, the Fund used interest rate futures, options, swaptions, and swaps to help manage duration, generate additional yield, and for hedging purposes. Credit default swaps and total return swaps were used to both obtain and hedge existing index exposure. Forward foreign currency contracts and currency options were used for hedging and income producing purposes. Management also employed futures, options, total return swaps and interest rate swaps opportunistically for speculative purposes. Over the period, foreign currency options, credit default swaps, forwards, swaptions and interest rate options all contributed to performance. Futures, total return swaps, and interest rate swaps detracted from performance. Overall, derivative exposure contributed to Fund performance during the period.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

MACRO OPPORTUNITIES FUND

OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.

Consolidated Holdings Diversification (Market Exposure as % of Net Assets)

“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	3.1%
Pershing Square Tontine Holdings Ltd. — Class A	1.7%
Government of Japan, (0.11)% due 10/25/21	1.1%
Guggenheim Risk Managed Real Estate Fund — Institutional Class	0.9%
Province of Quebec, 0.18%	0.7%
Province of Ontario, 0.17% due 10/20/21	0.7%
KKR Acquisition Holdings I Corp. — Class A	0.6%
KDAC Aviation Finance Ltd., 4.21%	0.6%
Delta Air Lines, Inc., 7.00%	0.6%
Guggenheim Ultra Short Duration Fund — Institutional Class	0.6%
Top Ten Total	10.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.4%
AA	8.0%
A	7.1%
BBB	19.0%
BB	15.8%
B	21.6%
CCC	2.2%
CC	3.4%
C	0.2%
NR2	4.1%
Other Instruments	18.2%
Total Investments	100.0%

1

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

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (11/30/11)
A-Class Shares	7.49%	4.37%	5.18%
A-Class Shares with sales charge‡	3.17%	3.53%	4.66%
C-Class Shares	6.70%	3.60%	4.41%
C-Class Shares with CDSC§	5.70%	3.60%	4.41%
Institutional Class Shares	7.91%	4.78%	5.57%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	1.16%	0.64%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	7.48%	4.37%	4.14%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	1.16%	0.95%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	7.91%	5.87%
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.07%	0.98%

*	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 Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

CONSOLIDATED SCHEDULE OF INVESTMENTS	September 30, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
COMMON STOCKS† - 3.5%
Financial - 3.3%
Pershing Square Tontine Holdings Ltd. — Class A*,1		6,864,930	$	135,239,121
KKR Acquisition Holdings I Corp. — Class A*,1		5,062,315		49,357,571
RXR Acquisition Corp. — Class A*,1		1,084,974		10,545,947
Aequi Acquisition Corp. — Class A*,1		999,157		9,741,781
AfterNext HealthTech Acquisition Corp.*,1		895,600		8,920,176
Conyers Park III Acquisition Corp.*,1		832,100		8,329,321
MSD Acquisition Corp. — Class A*,1		833,026		8,080,352
TPG Pace Beneficial II Corp.*,1		800,778		7,839,617
Waverley Capital Acquisition Corp. 1*,1		786,700		7,756,862
Acropolis Infrastructure Acquisition Corp. — Class A*,1		578,278		5,597,731
TPG Pace Solutions Corp.*,1		503,817		5,063,361
Blue Whale Acquisition Corp. I*,1		477,700		4,738,784
Colicity, Inc. — Class A*,1		213,157		2,082,544
Colicity, Inc.*,1		4,007		39,750
RXR Acquisition Corp.*,1		404		3,979
Total Financial				263,336,897
Utilities - 0.1%
Texgen Power LLC*,††		180,169		7,296,844
Consumer, Non-cyclical - 0.1%
ATD New Holdings, Inc.*,††		42,478		2,909,743
Cengage Learning Holdings II, Inc.*,††		21,660		476,520
Save-A-Lot*,†††		22,703		113,516
Targus Group International Equity, Inc.*,†††,2		12,773		31,107
Chef Holdings, Inc.†††		59		3,037
Total Consumer, Non-cyclical				3,533,923
Technology - 0.0%
Matterport, Inc.*,16		157,800		2,983,998
Qlik Technologies, Inc. - Class A*,†††		177		254,364
Qlik Technologies, Inc. - Class B*,†††		43,738		—
Total Technology				3,238,362
Communications - 0.0%
Figs, Inc. — Class A*,16		55,695		2,068,512
Energy - 0.0%
Permian Production Partners LLC†††		573,522		728,373
Industrial - 0.0%
BP Holdco LLC*,†††,2		37,539		26,465
Vector Phoenix Holdings, LP*,†††		37,539		10,323
API Heat Transfer Parent LLC*,†††		1,763,707		2
Total Industrial				36,790
Total Common Stocks
(Cost $271,408,169)				280,239,701

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
PREFERRED STOCKS†† - 3.1%
Financial - 3.0%
Bank of America Corp.
4.13%		1,002,000	$	25,761,420
4.38%		736,000		19,393,600
First Republic Bank
4.25%		1,168,000		29,316,800
4.13%		369,600		9,236,304
Public Storage
4.63%		914,312		24,942,432
4.13%		265,621		6,932,708
W R Berkley Corp.
4.13% due 03/30/61		884,644		23,531,530
4.25% due 09/30/60		129,365		3,508,379
Wells Fargo & Co., 4.70%		982,000		25,806,960
Prudential Financial, Inc., 4.13% due 09/01/60		686,550		17,754,183
Equitable Holdings, Inc., 4.30%		616,000		15,400,000
CNO Financial Group, Inc., 5.13% due 11/25/60		324,000		8,634,600
American Financial Group, Inc., 4.50% due 09/15/60		271,104		7,398,428
Assurant, Inc., 5.25% due 01/15/61		258,000		6,971,160
Selective Insurance Group, Inc., 4.60%		246,000		6,403,380
PartnerRe Ltd., 4.88%		208,352		5,581,750
Total Financial				236,573,634
Government - 0.1%
Farmer Mac, 5.75%		378,000		10,228,680
Industrial - 0.0%
API Heat Transfer Intermediate*,†††		218		—
Total Preferred Stocks
(Cost $236,163,112)				246,802,314
WARRANTS† - 0.1%
Matterport, Inc.
Expiring 08/24/27*		269,461		2,096,407
KKR Acquisition Holdings I Corp. - Class A
Expiring 12/31/27*,1		1,265,578		1,214,828
Pershing Square Tontine Holdings Ltd.
Expiring 07/24/25*,1		762,770		983,973
Ginkgo Bioworks Holdings, Inc.
Expiring 12/31/27*		128,004		433,934
Aequi Acquisition Corp.
Expiring 11/30/27*,1		333,052		199,498
MSD Acquisition Corp.
Expiring 05/13/23*,1		166,604		191,595
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		192,759		177,338
RXR Acquisition Corp.
Expiring 03/08/26*,1		216,993		162,745
Colicity, Inc. - Class A
Expiring 12/31/27*,1		42,630		35,383
Total Warrants
(Cost $8,919,727)				5,495,701
EXCHANGE-TRADED FUNDS† - 0.5%
VanEck Vectors Gold Miners ETF		1,430,590		42,159,487
Total Exchange-Traded Funds
(Cost $54,624,676)				42,159,487
MUTUAL FUNDS† - 2.2%
Guggenheim Risk Managed Real Estate Fund — Institutional Class2		1,907,399		71,222,266
Guggenheim Ultra Short Duration Fund — Institutional Class2		4,702,153		46,880,462

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Shares		Value
Guggenheim Alpha Opportunity Fund — Institutional Class2		1,003,137	$	26,522,954
Guggenheim Strategy Fund II2		702,382		17,552,529
Guggenheim Strategy Fund III2		621,971		15,636,354
Total Mutual Funds
(Cost $165,962,218)				177,814,565
CLOSED-END FUNDS† - 0.9%
BlackRock Corporate High Yield Fund, Inc.		2,543,550		31,031,310
Blackstone Strategic Credit Fund		943,140		13,062,489
BlackRock Credit Allocation Income Trust		601,028		9,105,574
Ares Dynamic Credit Allocation Fund, Inc.		471,432		7,632,484
BlackRock Debt Strategies Fund, Inc.		236,675		2,731,229
Eaton Vance Limited Duration Income Fund		206,753		2,725,005
Western Asset High Income Opportunity Fund, Inc.		370,552		1,923,165
Total Closed-End Funds
(Cost $47,643,616)				68,211,256
MONEY MARKET FUNDS† - 7.7%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%3		601,967,479		601,967,479
Western Asset Institutional U.S. Treasury Reserves Institutional Shares, 0.01%3		4,296,693		4,296,693
Total Money Market Funds
(Cost $606,264,172)				606,264,172
	Face Amount~
CORPORATE BONDS†† - 31.1%
Financial - 9.1%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		33,500,000		33,444,055
3.25% due 11/15/304		15,100,000		15,202,906
Citigroup, Inc.
3.88%5,6		29,500,000		30,157,850
4.00% 5,6		12,000,000		12,434,400
Markel Corp.
6.00%5,6		32,370,000		35,865,960
Liberty Mutual Group, Inc.
4.30% due 02/01/614		36,940,000		35,189,775
Wilton RE Ltd.
6.00%†††,4,5,6		31,350,000		34,191,878
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		22,640,000		24,428,786
5.30% due 01/15/29		6,950,000		8,125,669
LPL Holdings, Inc.
4.00% due 03/15/294		23,300,000		23,931,430
4.38% due 05/15/314		6,350,000		6,627,812
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		21,650,000		21,839,438
2.88% due 10/15/264		8,750,000		8,684,375
Home Point Capital, Inc.
5.00% due 02/01/264		33,010,000		29,924,225
Iron Mountain, Inc.
5.63% due 07/15/324		25,025,000		26,839,313
4.50% due 02/15/314		925,000		938,228

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Equitable Holdings, Inc.
4.95%5,6		24,550,000	$	26,636,750
Host Hotels & Resorts, LP
3.50% due 09/15/30		24,000,000		24,905,330
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		21,150,000		24,031,871
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		23,000,000		23,345,000
Global Atlantic Finance Co.
4.70% due 10/15/514,6		22,350,000		23,106,135
Kuvare US Holdings, Inc.
7.00% due 02/17/514,6		19,150,000		20,652,100
United Wholesale Mortgage LLC
5.50% due 11/15/254		12,600,000		12,694,500
5.50% due 04/15/294		7,150,000		6,941,962
Wells Fargo & Co.
3.90%5,6		18,000,000		18,562,500
Hampton Roads PPV LLC
6.62% due 06/15/534		15,969,496		17,668,631
Charles Schwab Corp.
4.00%5,6		16,400,000		16,866,744
Hunt Companies, Inc.
5.25% due 04/15/294		17,200,000		16,856,000
Kennedy-Wilson, Inc.
5.00% due 03/01/31		16,000,000		16,360,000
NFP Corp.
6.88% due 08/15/284		12,200,000		12,456,810
4.88% due 08/15/284		3,450,000		3,493,125
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		13,931,000		15,115,135
First American Financial Corp.
4.00% due 05/15/30		11,760,000		12,982,881
MetLife, Inc.
3.85% 5,6		12,200,000		12,794,750
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		11,550,000		12,264,691
OneMain Finance Corp.
4.00% due 09/15/30		11,650,000		11,591,750
QBE Insurance Group Ltd.
5.88%4,5,6		7,550,000		8,418,250
Atlas Mara Ltd.
due 12/31/21†††,7,8		14,400,000		6,942,240
PartnerRe Finance B LLC
4.50% due 10/01/506		6,460,000		6,805,010
AmWINS Group, Inc.
4.88% due 06/30/294		6,025,000		6,115,375
American Equity Investment Life Holding Co.
5.00% due 06/15/27		4,813,000		5,540,376
Bank of New York Mellon Corp.
4.70% 5,6		4,500,000		4,938,750
SBA Communications Corp.
3.13% due 02/01/294		4,200,000		4,058,250
HUB International Ltd.
7.00% due 05/01/264		750,000		775,313
Wilton Re Finance LLC
5.88% due 03/30/334,6		600,000		625,215
Total Financial				721,371,544
Industrial - 4.3%
Boeing Co.
5.15% due 05/01/30		32,030,000		37,513,529
5.81% due 05/01/50		16,010,000		21,264,973
5.71% due 05/01/40		16,010,000		20,391,937
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/284		10,350,000		11,229,750
5.25% due 07/15/284		10,750,000		10,870,937
6.25% due 03/15/264		850,000		878,900

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Standard Industries, Inc.
4.38% due 07/15/304		7,125,000	$	7,267,500
3.38% due 01/15/314		6,400,000		6,090,880
5.00% due 02/15/274		3,015,000		3,109,219
IP Lending I LLC
4.00% due 09/08/25†††,4		15,700,000		15,700,000
Artera Services LLC
9.03% due 12/04/254		14,385,000		15,607,725
TopBuild Corp.
4.13% due 02/15/324		8,850,000		8,938,500
3.63% due 03/15/294		5,550,000		5,586,353
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/264		11,680,000		12,117,182
Intertape Polymer Group, Inc.
4.38% due 06/15/294		11,050,000		11,233,541
Dyal Capital Partners IV
3.65% due 02/22/41†††		10,950,000		10,753,185
Flowserve Corp.
3.50% due 10/01/30		10,270,000		10,712,622
Boxer Parent Co., Inc.
6.50% due 10/02/25	EUR	8,500,000		10,338,489
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/294		9,780,000		10,122,300
Deuce FinCo plc
5.50% due 06/15/27	GBP	7,350,000		10,042,762
Cleaver-Brooks, Inc.
7.88% due 03/01/234		9,852,000		9,704,220
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC/Reynolds Gro
4.00% due 10/15/274		9,650,000		9,553,500
Arcosa, Inc.
4.38% due 04/15/294		9,400,000		9,517,500
GrafTech Finance, Inc.
4.63% due 12/15/284		7,905,000		8,112,506
Atkore, Inc.
4.25% due 06/01/314		7,625,000		7,853,750
IP Lending II Ltd.
3.65% due 07/15/25†††,4		7,450,000		7,422,659
BWX Technologies, Inc.
4.13% due 06/30/284		6,700,000		6,875,875
Mauser Packaging Solutions Holding Co.
8.50% due 04/15/244		6,550,000		6,779,250
PGT Innovations, Inc.
4.38% due 10/01/294		6,000,000		6,045,000
Howmet Aerospace, Inc.
5.95% due 02/01/37		2,925,000		3,641,625
6.75% due 01/15/28		434,000		528,395
6.88% due 05/01/25		53,000		62,011
Adevinta ASA
3.00% due 11/15/27	EUR	3,433,000		4,093,868
Harsco Corp.
5.75% due 07/31/274		3,900,000		4,041,375
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd.
7.38% due 12/15/234		3,050,000		3,109,475
Hillenbrand, Inc.
5.75% due 06/15/25		2,525,000		2,657,562
Crown Americas LLC / Crown Americas Capital Corporation VI
4.75% due 02/01/26		1,923,000		1,981,844
EnerSys
5.00% due 04/30/234		1,325,000		1,371,375
Graphic Packaging International LLC
3.50% due 03/01/294		1,148,000		1,142,260
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/278		1,111,841		1,012,698

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/294		950,000	$	960,687
EnPro Industries, Inc.
5.75% due 10/15/26		790,000		824,563
Waste Pro USA, Inc.
5.50% due 02/15/264		600,000		606,000
JELD-WEN, Inc.
6.25% due 05/15/254		100,000		105,500
Total Industrial				337,773,782
Consumer, Cyclical - 4.3%
Delta Air Lines, Inc.
7.00% due 05/01/254		41,320,000		48,186,901
Marriott International, Inc.
2.85% due 04/15/31		14,730,000		14,901,480
4.63% due 06/15/30		10,900,000		12,440,600
5.75% due 05/01/25		8,440,000		9,648,767
3.50% due 10/15/32		8,150,000		8,648,108
Hilton Domestic Operating Company, Inc.
4.00% due 05/01/314		23,200,000		23,548,000
3.63% due 02/15/324		4,150,000		4,087,750
5.75% due 05/01/284		525,000		565,425
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/284		24,150,000		26,925,033
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/304		22,200,000		21,978,000
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		19,700,000		21,416,806
Hyatt Hotels Corp.
5.38% due 04/23/25		7,350,000		8,206,888
5.75% due 04/23/30		6,530,000		7,831,463
JB Poindexter & Company, Inc.
7.13% due 04/15/264		11,725,000		12,340,563
JetBlue Class A Pass Through Trust
4.00% due 11/15/32		10,949,627		11,898,671
Scotts Miracle-Gro Co.
4.00% due 04/01/314		9,900,000		9,881,388
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.00% due 06/01/314		9,325,000		9,674,688
British Airways Class A Pass Through Trust
4.25% due 11/15/324		8,514,072		9,173,505
Wabash National Corp.
4.50% due 10/15/284		7,800,000		7,790,250
Penn National Gaming, Inc.
4.13% due 07/01/294		6,600,000		6,523,440
Papa John’s International, Inc.
3.88% due 09/15/294		6,425,000		6,376,041
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/264		5,950,000		6,225,187
American Airlines Class AA Pass Through Trust
3.58% due 01/15/28		2,481,417		2,529,850
3.35% due 10/15/29		1,340,213		1,349,212
3.65% due 02/15/29		1,157,813		1,194,419
3.15% due 02/15/32		1,102,460		1,112,420
Six Flags Theme Parks, Inc.
7.00% due 07/01/254		5,475,000		5,830,875
Boyne USA, Inc.
4.75% due 05/15/294		4,960,000		5,121,200
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/294		4,800,000		4,956,000

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Beacon Roofing Supply, Inc.
4.13% due 05/15/294		4,151,000	$	4,125,056
Air Canada Class A Pass Through Trust
5.25% due 04/01/294		3,500,249		3,777,194
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/284		2,800,000		2,885,750
Allison Transmission, Inc.
3.75% due 01/30/314		2,925,000		2,844,562
Air Canada
4.63% due 08/15/29†††,4	CAD	3,550,000		2,810,230
Murphy Oil USA, Inc.
3.75% due 02/15/314		2,525,000		2,540,781
WMG Acquisition Corp.
3.00% due 02/15/314		1,875,000		1,830,469
United Airlines, Inc.
4.63% due 04/15/294		1,700,000		1,756,865
United Airlines Class AA Pass Through Trust
4.15% due 08/25/31		1,065,294		1,145,377
Vail Resorts, Inc.
6.25% due 05/15/254		1,075,000		1,136,812
Hanesbrands, Inc.
5.38% due 05/15/254		910,000		952,661
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/284		700,000		730,751
Total Consumer, Cyclical				336,899,438
Communications - 4.2%
Level 3 Financing, Inc.
4.25% due 07/01/284		22,035,000		22,205,331
3.75% due 07/15/294		7,600,000		7,345,248
3.88% due 11/15/294		2,600,000		2,780,180
Mav Acquisition Corp.
8.00% due 08/01/294		26,800,000		25,601,504
5.75% due 08/01/284		4,250,000		4,175,625
CSC Holdings LLC
4.13% due 12/01/304		21,250,000		20,851,562
3.38% due 02/15/314		2,975,000		2,766,750
4.63% due 12/01/304		2,715,000		2,572,463
Altice France S.A.
5.50% due 10/15/294		11,610,000		11,492,536
5.13% due 07/15/294		8,200,000		8,052,646
7.38% due 05/01/264		4,834,000		5,016,290
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 06/01/334		14,265,000		14,517,776
4.25% due 02/01/314		9,410,000		9,551,150
Virgin Media Finance plc
5.00% due 07/15/304		21,150,000		21,601,764
UPC Broadband Finco BV
4.88% due 07/15/314		20,200,000		20,681,972
Vodafone Group plc
5.13% due 06/04/816		16,875,000		17,383,612
LCPR Senior Secured Financing DAC
5.13% due 07/15/294		16,250,000		16,778,125
ViacomCBS, Inc.
4.95% due 05/19/509		10,340,000		12,916,178
Cable One, Inc.
4.00% due 11/15/304		12,575,000		12,527,844
Switch Ltd.
3.75% due 09/15/284		12,100,000		12,281,500
Booking Holdings, Inc.
3.55% due 03/15/2817		10,000,000		11,095,553
Virgin Media Secured Finance plc
4.50% due 08/15/304		10,150,000		10,314,938
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		9,300,000		9,602,250
AMC Networks, Inc.
4.25% due 02/15/29		9,600,000		9,546,000
Sirius XM Radio, Inc.
4.13% due 07/01/304		8,900,000		8,941,274
Lamar Media Corp.
4.00% due 02/15/30		8,600,000		8,853,700
Match Group Holdings II LLC
4.63% due 06/01/284		7,700,000		8,027,250
Cengage Learning, Inc.
9.50% due 06/15/244		5,039,000		5,156,610

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Ziggo BV
4.88% due 01/15/304		4,850,000	$	4,984,830
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		3,650,000		3,769,902
TripAdvisor, Inc.
7.00% due 07/15/254		1,800,000		1,908,000
T-Mobile USA, Inc.
2.88% due 02/15/31		1,750,000		1,764,875
Total Communications				335,065,238
Consumer, Non-cyclical - 3.8%
Mozart Debt Merger Sub, Inc.
3.88% due 04/01/294		42,100,000		42,100,000
5.25% due 10/01/29		7,200,000		7,200,000
Kraft Heinz Foods Co.
4.38% due 06/01/46		6,320,000		7,190,235
5.20% due 07/15/45		5,725,000		7,170,083
5.50% due 06/01/50		2,800,000		3,686,151
5.00% due 06/04/42		2,490,000		3,052,774
4.88% due 10/01/49		2,025,000		2,464,341
US Foods, Inc.
6.25% due 04/15/254		10,800,000		11,328,660
4.75% due 02/15/294		6,550,000		6,721,938
Bausch Health Companies, Inc.
4.88% due 06/01/284		13,200,000		13,678,500
Carriage Services, Inc.
4.25% due 05/15/294		13,225,000		13,338,074
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/254		8,645,000		8,979,994
5.00% due 06/15/284		2,460,000		2,647,796
Post Holdings, Inc.
4.63% due 04/15/304		7,325,000		7,381,622
4.50% due 09/15/314		4,100,000		4,051,333
Sabre GLBL, Inc.
7.38% due 09/01/254		7,300,000		7,792,385
9.25% due 04/15/254		1,680,000		1,941,727
DaVita, Inc.
4.63% due 06/01/304		8,974,000		9,230,753
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/294		8,900,000		9,155,875
Central Garden & Pet Co.
4.13% due 04/30/314		8,900,000		9,038,181
Avantor Funding, Inc.
4.63% due 07/15/284		8,175,000		8,604,596
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
5.00% due 12/31/264		5,500,000		5,491,860
7.00% due 12/31/274		2,991,000		2,863,883
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/284		8,035,000		8,324,822
CPI CG, Inc.
8.63% due 03/15/264		7,315,000		7,936,775
TreeHouse Foods, Inc.
4.00% due 09/01/289		7,575,000		7,413,425
Smithfield Foods, Inc.
3.00% due 10/15/304		7,000,000		7,038,319
Service Corporation International
3.38% due 08/15/30		5,275,000		5,268,406
4.00% due 05/15/31		1,650,000		1,705,688
Grifols Escrow Issuer S.A.
4.75% due 10/15/284		6,750,000		6,891,413
WW International, Inc.
4.50% due 04/15/294		7,050,000		6,891,375
Spectrum Brands, Inc.
5.50% due 07/15/304		5,600,000		6,202,000
HealthEquity, Inc.
4.50% due 10/01/294		5,400,000		5,495,310
Rent-A-Center, Inc.
6.38% due 02/15/294		4,250,000		4,584,687
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		2,650,000		2,547,975
5.25% due 04/15/244		1,900,000		2,026,445

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/294		4,400,000	$	4,400,000
Hologic, Inc.
3.25% due 02/15/294		4,350,000		4,366,400
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
3.75% due 12/01/314		3,400,000		3,537,802
HCRX Investments Holdco, LP
4.50% due 08/01/294		3,475,000		3,492,375
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/264		2,953,000		3,035,979
Charles River Laboratories International, Inc.
4.00% due 03/15/314		2,500,000		2,619,325
Nielsen Finance LLC / Nielsen Finance Co.
4.50% due 07/15/294		2,550,000		2,493,390
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/264		2,300,000		2,357,500
Par Pharmaceutical, Inc.
7.50% due 04/01/274		1,825,000		1,859,219
Molina Healthcare, Inc.
4.38% due 06/15/284		1,770,000		1,836,375
Altria Group, Inc.
4.45% due 05/06/50		1,670,000		1,751,027
Syneos Health, Inc.
3.63% due 01/15/294		1,600,000		1,595,520
Tenet Healthcare Corp.
4.63% due 06/15/284		975,000		1,010,256
Total Consumer, Non-cyclical				301,792,569
Energy - 2.0%
BP Capital Markets plc
4.88%5,6		39,360,000		43,266,878
ITT Holdings LLC
6.50% due 08/01/294		34,450,000		34,751,438
Occidental Petroleum Corp.
7.95% due 06/15/39		4,700,000		6,227,500
6.63% due 09/01/30		3,600,000		4,441,500
4.50% due 07/15/44		2,850,000		2,863,709
6.13% due 01/01/31		2,250,000		2,700,000
4.10% due 02/15/47		2,250,000		2,139,525
3.00% due 02/15/27		2,130,000		2,128,360
4.63% due 06/15/45		1,700,000		1,738,250
4.40% due 04/15/46		900,000		896,211
NuStar Logistics, LP
6.38% due 10/01/30		18,750,000		20,625,000
5.63% due 04/28/27		450,000		479,250
Midwest Connector Capital Company LLC
4.63% due 04/01/294		17,713,000		19,023,699
DT Midstream, Inc.
4.13% due 06/15/294		5,250,000		5,323,815
Rattler Midstream, LP
5.63% due 07/15/254		4,125,000		4,295,362
Global Partners Limited Partnership / GLP Finance Corp.
6.88% due 01/15/29		4,050,000		4,203,778
Atlantica Sustainable Infrastructure plc
4.13% due 06/15/284		1,550,000		1,601,925
Basic Energy Services, Inc.
due 10/15/23†††,7,8		1,500,000		112,500
Total Energy				156,818,700
Basic Materials - 1.2%
Alcoa Nederland Holding BV
5.50% due 12/15/274		15,125,000		16,235,629
6.13% due 05/15/284		7,450,000		8,073,937
4.13% due 03/31/294		4,900,000		5,108,250

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
WR Grace Holdings LLC
4.88% due 06/15/274		13,225,000	$	13,580,488
Minerals Technologies, Inc.
5.00% due 07/01/284		10,755,000		11,158,312
Kaiser Aluminum Corp.
4.50% due 06/01/314		10,000,000		10,250,000
4.63% due 03/01/284		375,000		387,188
Carpenter Technology Corp.
6.38% due 07/15/28		8,015,000		8,619,653
Novelis Sheet Ingot GmbH
3.38% due 04/15/29	EUR	4,500,000		5,444,625
HB Fuller Co.
4.25% due 10/15/28		5,250,000		5,341,875
Clearwater Paper Corp.
4.75% due 08/15/284		4,817,000		4,949,467
ArcelorMittal S.A.
4.55% due 03/11/26		2,450,000		2,732,024
Arconic Corp.
6.00% due 05/15/254		2,225,000		2,337,763
Mirabela Nickel Ltd.
due 06/24/197,8		1,885,418		94,271
Total Basic Materials				94,313,482
Technology - 1.1%
Qorvo, Inc.
4.38% due 10/15/29		11,220,000		12,229,800
3.38% due 04/01/314		9,225,000		9,726,840
NCR Corp.
5.25% due 10/01/304		11,425,000		11,979,455
5.13% due 04/15/294		6,350,000		6,548,438
Twilio, Inc.
3.88% due 03/15/31		15,100,000		15,459,531
TeamSystem SpA
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 02/15/2810	EUR	11,750,000		13,612,141
Booz Allen Hamilton, Inc.
3.88% due 09/01/284		11,800,000		12,096,416
Playtika Holding Corp.
4.25% due 03/15/294		8,750,000		8,777,912
MSCI, Inc.
3.88% due 02/15/314		883,000		926,046
Total Technology				91,356,579
Utilities - 1.1%
Midcap Funding XLVI Trust
5.58% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/29/24†††,10		32,750,000		32,755,240
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		21,800,000		22,006,882
Clearway Energy Operating LLC
3.75% due 02/15/314		13,450,000		13,483,625
AES Corp.
3.95% due 07/15/304		9,760,000		10,732,291
Terraform Global Operating LLC
6.13% due 03/01/264		5,435,000		5,591,257
Total Utilities				84,569,295
Total Corporate Bonds
(Cost $2,377,575,748)				2,459,960,627
SENIOR FLOATING RATE INTERESTS††,10 - 21.3%
Consumer, Cyclical - 4.5%
Zephyr Bidco Ltd.
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	20,850,000		27,943,574
7.55% (1 Month GBP LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26	GBP	1,540,417		2,055,051

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
MB2 Dental Solutions LLC
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		20,770,588	$	20,401,670
7.19% (3 Month USD LIBOR + 6.00% and Commercial Prime Lending Rate + 5.00%, Rate Floor: 7.00%) due 01/29/27†††		5,149,418		5,057,957
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		21,045,240		20,935,595
BGIS (BIFM CA Buyer, Inc.)
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26		18,084,993		17,994,568
Mavis Tire Express Services TopCo Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28		17,356,500		17,388,089
SP PF Buyer LLC
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		15,426,706		15,145,169
Truck Hero, Inc.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28		14,825,500		14,785,323
CNT Holdings I Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27		12,139,000		12,146,648
Cast & Crew Payroll LLC
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26		11,568,913		11,515,927
Flamingo
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28	EUR	10,000,000		11,489,226
CD&R Firefly Bidco Ltd.
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 06/23/25	EUR	6,000,000		6,935,867
due 06/23/25	GBP	3,350,000		4,484,995
Verisure Holding AB
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26	EUR	7,651,053		8,814,133
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28	EUR	1,770,000		2,037,304
Loire Finco Luxembourg SARL
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27		10,746,068		10,665,472

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
EnTrans International LLC
6.08% (1 Month USD LIBOR + 6.00%, Rate Floor: 6.00%) due 11/01/24		11,267,545	$	10,450,648
American Trailer World Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28		9,426,375		9,376,887
BCPE Empire Holdings, Inc.
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/11/26		8,960,000		8,926,400
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 06/11/26		223,292		221,803
CHG Healthcare Services, Inc.
due 09/20/28		8,400,000		8,408,988
United Petfood
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 04/24/28	EUR	7,000,000		8,048,540
PetSmart LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		7,500,000		7,510,725
Accuride Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 11/17/23		7,690,334		7,421,172
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28†††		7,231,875		7,277,074
ImageFIRST Holdings LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 04/27/28		7,274,361		7,256,175
Holding SOCOTEC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 06/30/28		7,150,000		7,138,060
Camin Cargo Control, Inc.
7.50% (1 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 06/04/26†††		6,900,000		6,831,000
First Brands Group LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27		5,024,750		5,069,973
ScribeAmerica Intermediate Holdco LLC (Healthchannels)
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 04/03/25		4,845,466		4,591,079
Galls LLC
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/25†††		3,667,419		3,636,822
7.25% (3 Month USD LIBOR + 6.25%, Rate Floor: 7.25%) due 01/31/24†††		452,857		429,906

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Alexander Mann
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25	GBP	3,000,000	$	3,895,294
Alterra Mountain Co.
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28		3,738,727		3,724,707
Sovos Brands Intermediate, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 06/08/28		3,677,983		3,677,983
SHO Holding I Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24†††		3,642,774		3,442,421
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24†††		60,373		57,053
Apro LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/16/26		3,291,750		3,291,750
Checkers Drive-In Restaurants, Inc.
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 04/25/24		3,304,815		3,103,221
Adevinta ASA
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28	EUR	2,600,000		3,007,651
Blue Nile, Inc.
7.50% (3 Month USD LIBOR + 6.50%, Rate Floor: 7.50%) due 02/17/23		2,756,250		2,618,438
WESCO
5.25% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 06/14/24†††		2,306,764		2,301,605
BRE/Everbright M6 Borrower LLC
5.75% (1 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 09/09/26		2,250,000		2,255,625
Situs AMC Holdings Corp.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/30/25		1,989,975		1,960,125
CCRR Parent, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/06/28†††		1,895,250		1,899,988
TTF Holdings Intermediate LLC
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 03/31/28†††		1,734,375		1,730,039
Rent-A-Center, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 02/17/28		1,600,000		1,604,000
EG Finco Ltd.
4.88% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 02/07/25	GBP	967,500		1,295,854

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
American Tire Distributors, Inc.
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		249,634	$	249,135
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		161,866		161,689
Total Consumer, Cyclical				352,668,398
Industrial - 4.3%
United Airlines, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		25,436,250		25,592,429
CapStone Acquisition Holdings, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27		24,934,245		24,934,245
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27		20,484,095		20,407,280
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24		16,918,426		16,907,936
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		15,250,000		16,193,670
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28		15,231,825		15,231,825
TK Elevator Midco GmbH
3.63% (3 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27	EUR	7,000,000		8,115,443
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		6,500,998		6,510,034
Arcline FM Holdings LLC
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 06/23/28†††		14,300,000		14,300,000
Fugue Finance BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24	EUR	12,545,690		14,246,305
TransDigm, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		14,151,163		13,972,858

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
NA Rail Hold Co. LLC
4.63% (3 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 10/19/26		13,847,079	$	13,881,697
Charter Next Generation, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		13,084,250		13,106,755
DXP Enterprises, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27		13,150,625		13,097,233
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		12,561,222		12,506,329
DG Investment Intermediate Holdings 2, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28		10,383,872		10,419,073
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		10,246,749		10,266,013
Air Canada
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		9,800,000		9,832,634
Filtration Group Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/25		5,625,156		5,633,594
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25	EUR	3,585,619		4,143,483
AI Convoy Luxembourg SARL
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27	EUR	8,324,708		9,587,784
YAK MAT (YAK ACCESS LLC)
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		12,220,199		8,462,488
TricorBraun Holdings, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		8,263,657		8,213,083
Valcour Packaging LLC
due 09/28/28		6,300,000		6,268,500
Park River Holdings, Inc.
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		6,085,500		6,058,906
BWAY Holding Co.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		4,824,929		4,721,627

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
MI Windows And Doors LLC
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/20/27		3,970,000	$	3,974,963
STS Operating, Inc. (SunSource)
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		3,827,701		3,816,945
ILPEA Parent, Inc.
5.25% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 06/22/28		3,473,949		3,465,264
Fortis Solutions Group LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 12/15/23†††		3,056,724		3,026,156
Titan Acquisition Ltd. (Husky)
3.17% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		2,980,336		2,924,127
Protective Industrial Products, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/29/27		2,693,250		2,686,517
Bhi Investments LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 08/28/24†††		2,496,892		2,471,923
Waterlogic USA Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 08/17/28		2,000,000		1,998,760
Pro Mach Group, Inc.
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/31/28		1,849,721		1,857,656
LTI Holdings, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25		1,455,000		1,433,408
Diversitech Holdings, Inc.
8.50% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 06/02/25†††		1,000,000		997,500
Duran Group Holding GMBH
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/29/24	EUR	416,090		475,404
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 12/20/24	EUR	106,858		122,091
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,11		1,177,125		411,994

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,11		203,763	$	147,728
Transcendia Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/30/24		566,414		501,277
Total Industrial				342,922,937
Consumer, Non-cyclical - 3.8%
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		31,900,000		31,850,236
Mission Veterinary Partners
4.75% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28		21,450,000		21,450,000
Blue Ribbon LLC
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		17,380,000		17,032,400
PetIQ LLC
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28		15,800,000		15,681,500
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		14,811,990		14,808,287
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		14,417,606		14,471,672
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		13,857,315		13,839,994
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	12,019,549		13,520,879
Nidda Healthcare Holding GmbH
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26	EUR	11,387,239		13,014,591
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		12,537,000		12,214,674

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Quirch Foods Holdings LLC
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27		12,158,125	$	12,196,180
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		10,911,110		10,911,110
Cambrex Corp.
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26		10,400,718		10,409,974
Zep, Inc.
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24		10,117,311		9,834,836
Sunshine Investments BV
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25	EUR	8,400,000		9,656,399
Springs Window Fashions
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		5,500,000		5,500,000
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25		3,121,805		3,121,805
Gibson Brands, Inc.
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 08/11/28		8,100,000		8,019,000
Resonetics LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/28/28		8,000,000		8,000,000
Endo Luxembourg Finance Company I SARL
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28		7,711,250		7,527,028
CAB (Biogroup)
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 02/09/28	EUR	6,500,000		7,489,307
Option Care Health, Inc.
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		7,145,455		7,141,882
Hearthside Group Holdings LLC
3.77% (1 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 05/23/25		5,358,793		5,339,823
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		1,110,759		1,111,459

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Osmosis Holdings Australia II Pty Ltd.
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/28		5,822,222	$	5,838,233
Pearl Intermediate Parent LLC
4.25% (1 Month USD LIBOR + 3.00%, Rate Floor: 0.75%) due 02/14/25		5,755,949		5,754,165
MDVIP LLC
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24		4,550,771		4,542,261
Mamba Purchaser, Inc.
due 09/28/28		2,000,000		1,998,760
Certara Holdco, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 08/17/26		1,616,232		1,611,189
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27†††		1,478,788		1,484,333
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27†††		1,384,051		1,384,051
EyeCare Partners LLC
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		1,284,608		1,276,104
Recess Holdings, Inc.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		1,065,691		1,059,478
Moran Foods LLC
11.75% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 10.75%) due 10/01/2411		510,583		441,655
Moran Foods LLC
8.00% (1 Month USD LIBOR + 0.00%, Rate Floor: 1.00%) (in-kind rate was 7.00%) due 04/01/24†††,11		408,677		412,764
Total Consumer, Non-cyclical				299,946,029
Technology - 3.8%
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		23,323,750		23,367,599
Peraton Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		18,061,744		18,064,634
Project Ruby Ultimate Parent Corp.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		17,512,000		17,484,681
Apttus Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28		17,300,000		17,364,875

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Aston FinCo SARL
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26	GBP	12,967,500	$	17,114,206
Cologix Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/01/28		16,758,000		16,763,195
Polaris Newco LLC
3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/04/26†††		9,315,287		8,186,377
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		7,950,000		7,964,946
Atlas CC Acquisition Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		15,650,000		15,693,507
Sitecore Holding III A/S
6.50% (3 Month EURIBOR + 5.75%, Rate Floor: 5.75%) (in-kind rate was 0.75%) due 03/12/26†††,11	EUR	8,084,430		9,240,980
7.50% (3 Month USD LIBOR + 7.00%, Rate Floor: 0.50%) due 03/12/26†††		3,632,221		3,583,871
7.00% (3 Month USD LIBOR + 7.00%, Rate Floor: 0.00%) due 03/12/26†††		2,893,782		2,855,262
Team.Blue Finco SARL
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28	EUR	13,243,243		15,306,440
Transact Holdings, Inc.
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26		14,690,373		14,520,552
Provation Software Group, Inc.
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/22/27		13,631,500		13,461,106
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27		12,468,750		12,427,229
Sportradar Capital SARL
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27	EUR	10,600,000		12,301,379
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		9,577,625		9,582,414
Datix Bidco Ltd.
4.21% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/28/25†††		9,112,505		9,066,319
7.96% (6 Month USD LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26†††		461,709		458,831

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Project Boost Purchaser LLC
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		6,982,500	$	6,978,729
Datix Bidco Ltd.
7.75% (3 Month GBP LIBOR + 7.75%, Rate Floor: 7.75%) due 04/27/26	GBP	4,225,000		5,579,587
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25	GBP	1,000,000		1,320,612
Wrench Group LLC
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 04/30/26		6,699,375		6,682,627
AVS Group GmbH
3.75% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 09/10/26	EUR	3,750,000		4,333,570
1A Smart Start LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 08/19/27		4,257,108		4,260,641
Sitecore USA, Inc.
7.00% (3 Month USD LIBOR + 6.50%, Rate Floor: 0.50%) due 03/12/26		3,701,615		3,646,091
Concorde Lux
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28	EUR	3,100,000		3,587,553
Greenway Health LLC
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 02/16/24		3,473,048		3,319,643
Taxware Holdings (Sovos Compliance LLC)
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		3,240,411		3,257,974
Ministry Brands LLC
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 12/02/22†††		2,628,110		2,588,689
Verscend Holding Corp.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25		2,400,000		2,401,992
24-7 Intouch, Inc.
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 08/25/25		2,241,576		2,219,160
Misys Ltd.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		1,696,577		1,681,902
Boxer Parent Co., Inc.
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		1,580,223		1,570,679

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Kar Finland Bidco Oy
4.50% (6 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 11/27/23†††	EUR	1,000,000	$	1,138,207
Brave Parent Holdings, Inc.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/18/25		311,046		310,713
Total Technology				299,686,772
Financial - 2.5%
Jones Deslauriers Insurance Management, Inc.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††	CAD	28,649,000		22,650,672
Orion Advisor Solutions, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27		21,513,019		21,513,019
Camelia Bidco Banc Civica
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/14/24	GBP	12,975,000		17,397,215
HighTower Holding LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		13,680,000		13,662,900
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27		13,035,000		13,061,461
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		12,884,031		12,932,346
PAI Holdco, Inc.
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27		12,537,000		12,542,265
Higginbotham
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††		12,369,683		12,210,813
Teneo Holdings LLC
6.25% (1 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 07/11/25		11,123,706		11,063,416
Alter Domus
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/17/28		10,473,750		10,429,237
USI, Inc.
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		10,196,541		10,123,228
Jones Deslauriers Insurance Management, Inc.
8.00% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.00%) due 03/26/29	CAD	10,612,000		8,426,836

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
AlixPartners, LLP
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 02/04/28	EUR	5,970,000	$	6,885,903
Aretec Group, Inc.
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25		6,329,707		6,305,970
Eisner Advisory Group
6.00% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.00%) due 07/28/28		5,454,545		5,454,546
Sandy Bidco BV
due 09/15/28	EUR	4,700,000		5,444,856
HUB International Ltd.
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25		5,159,806		5,107,692
Cross Financial Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		4,735,631		4,745,481
Total Financial				199,957,856
Communications - 1.1%
Xplornet Communications, Inc.
4.84% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27		21,695,375		21,668,256
due 09/28/28		20,100,000		19,999,500
Syndigo LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††		27,412,250		27,480,780
Zayo Group Holdings, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,146,447		6,089,101
McGraw Hill LLC
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		4,250,000		4,259,095
Recorded Books, Inc.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25		4,143,341		4,144,626
Trader Interactive LLC
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/28/28†††		2,000,000		1,995,000
Flight Bidco, Inc.
7.58% (1 Month USD LIBOR + 7.50%, Rate Floor: 7.50%) due 07/23/26		1,000,000		965,000
Total Communications				86,601,358
Basic Materials - 0.9%
Illuminate Buyer LLC
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		12,054,597		12,029,523
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		10,596,750		10,583,504

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Meridian Adhesives Group, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 07/24/28		9,800,000	$	9,775,500
GrafTech Finance, Inc.
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		6,906,010		6,906,010
Pregis TopCo LLC
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/26		6,550,000		6,550,000
Barentz Midco BV
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 11/30/27	EUR	2,400,000		2,783,828
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 11/30/27		1,985,037		1,985,037
Patriot Container Corp. (Wastequip)
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 03/20/25		4,729,462		4,717,639
SCHUR Flexibles GmbH
due 09/17/28	EUR	3,150,000		3,641,622
American Rock Salt Company LLC
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 06/09/28		2,344,125		2,353,501
Invictus MD Strategies Corp.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		1,991,458		1,985,245
Vectra Co.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 03/10/25		1,926,085		1,888,045
DCG Acquisition Corp.
4.59% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 09/30/26		937,758		937,758
Ascend Performance Materials Operations LLC
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 08/27/26		394,008		398,377
Total Basic Materials				66,535,589
Utilities - 0.3%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		24,454,712		24,531,255
Panda Stonewall
6.50% (3 Month USD LIBOR + 5.50%, Rate Floor: 6.50%) due 11/12/21		717,526		652,948

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Granite Generation LLC
4.75% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 11/09/26		508,891	$	499,477
Total Utilities				25,683,680
Energy - 0.1%
Venture Global Calcasieu Pass LLC
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		5,168,169		4,883,919
SeaPort Financing LLC
5.59% (1 Month USD LIBOR + 5.50%, Rate Floor: 5.50%) due 10/31/25†††		3,052,933		3,022,404
Permian Production Partners LLC
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,11		2,069,533		1,862,580
Buckeye Partners LP
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 11/02/26		591,034		587,866
Total Energy				10,356,769
Total Senior Floating Rate Interests
(Cost $1,679,232,063)				1,684,359,388
ASSET-BACKED SECURITIES†† - 14.9%
Collateralized Loan Obligations - 8.5%
Fortress Credit Opportunities IX CLO Ltd.
2021-9A, due 10/15/334,10		42,750,000		42,750,000
LoanCore Issuer Ltd.
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/354,10		20,500,000		20,541,223
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,10		12,850,000		12,813,870
2021-CRE5, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/364,10		8,250,000		8,257,311
Diamond CLO Ltd.
2018-1A, 2.74% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 07/22/304,10		13,500,000		13,469,394
2018-1A, 1.94% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/22/304,10		11,000,000		10,999,951
2021-1A, 3.53% (3 Month USD LIBOR + 3.40%, Rate Floor: 3.40%) due 04/25/294,10		5,500,000		5,499,913
2018-1A, 3.84% (3 Month USD LIBOR + 3.70%, Rate Floor: 3.70%) due 07/22/304,10		5,000,000		4,989,939
2021-1A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/294,10		1,322,000		1,319,201

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
BXMT Ltd.
2020-FL2, 1.74% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,10		15,640,000	$	15,603,168
2020-FL2, 2.04% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 02/15/384,10		8,000,000		7,980,981
2020-FL3, 2.97% (30 Day Average U.S. Secured Overnight Financing Rate + 2.91%, Rate Floor: 2.80%) due 03/15/374,10		7,350,000		7,408,346
Voya CLO Ltd.
2021-2A, 3.73% (3 Month USD LIBOR + 3.60%, Rate Floor: 3.60%) due 06/07/304,10		16,500,000		16,450,868
2013-1A, due 10/15/304,12		28,970,307		9,452,519
Golub Capital Partners CLO Ltd.
2018-36A, 2.22% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 02/05/314,10		20,000,000		19,571,752
2018-39A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 10/20/284,10		5,000,000		5,000,558
Treman Park CLO Ltd.
2015-1A, due 10/20/284,12		32,400,000		21,567,894
MidOcean Credit CLO VII
2020-7A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 0.00%) due 07/15/294,10		21,000,000		20,871,898
Palmer Square Loan Funding Ltd.
2018-4A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 11/15/264,10		9,050,000		9,051,887
2021-3A, 2.67% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/20/294,10		8,300,000		8,306,315
2018-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/20/274,10		3,000,000		3,000,310
KREF Funding V LLC
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,10		19,029,959		18,837,756
0.15% due 06/25/26†††,13		73,636,363		90,573
BSPRT Issuer Ltd.
2021-FL6, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/15/364,10		18,425,000		18,424,971

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Golub Capital Partners CLO 49M Ltd.
2021-49A, 3.95% (3 Month USD LIBOR + 3.85%, Rate Floor: 3.85%) due 08/26/334,10		18,100,000	$	18,062,135
Anchorage Capital CLO 6 Ltd.
2021-6A, 3.58% (3 Month USD LIBOR + 3.45%, Rate Floor: 3.45%) due 07/15/304,10		17,350,000		17,354,114
Cerberus Loan Funding XXX, LP
2020-3A, 3.78% (3 Month USD LIBOR + 3.65%, Rate Floor: 3.65%) due 01/15/334,10		14,500,000		14,698,698
First Eagle Clarendon Fund CLO LLC
2019-1A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 01/25/274,10		8,302,812		8,303,525
2019-1A, 3.18% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/274,10		4,500,000		4,500,519
2015-1A, 4.48% (3 Month USD LIBOR + 4.35%, Rate Floor: 0.00%) due 01/25/274,10		1,300,000		1,299,854
OZLM XIII Ltd.
2018-13A, 2.23% (3 Month USD LIBOR + 2.10%, Rate Floor: 0.00%) due 07/30/274,10		12,650,000		12,631,673
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 2.83% (3 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 01/20/324,10		11,500,000		11,498,481
Atlas Senior Loan Fund IX Ltd.
2018-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/284,10		10,250,000		10,233,168
2018-9A, due 04/20/284,12		9,600,000		880,502
TCP Waterman CLO Ltd.
2016-1A, 3.12% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 12/15/284,10		11,000,000		10,990,397
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 01/20/334,10		9,950,000		9,949,899
THL Credit Lake Shore MM CLO I Ltd.
2021-1A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/15/334,10		9,900,000		9,885,157
Golub Capital Partners CLO 16 Ltd.
2021-16A, 2.99% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 07/25/334,10		9,300,000		9,334,050

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ABPCI DIRECT LENDING FUND CLO V Ltd.
2021-5A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/20/314,10		9,200,000	$	9,151,675
FS RIALTO
2021-FL2, 2.89% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/16/284,10		8,850,000		8,881,095
Magnetite Xxix Ltd.
2021-29A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/344,10		8,800,000		8,799,942
Marathon CLO V Ltd.
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/274,10		7,920,233		7,912,693
2013-5A, due 11/21/274,12		5,500,000		765,600
CIFC Funding 2017-II Ltd.
2021-2A, 3.23% (3 Month USD LIBOR + 3.10%, Rate Floor: 3.10%) due 04/20/304,10		8,100,000		8,099,906
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/314,12		9,500,000		8,045,777
Flagship CLO VIII Ltd.
2018-8A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 0.00%) due 01/16/264,10		8,025,000		8,015,062
Venture XIV CLO Ltd.
2020-14A, 2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/294,10		8,000,000		8,000,862
Carlyle Global Market Strategies CLO Ltd.
2017-2A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 01/18/294,10		3,500,000		3,474,511
2012-3A, due 01/14/324,12		6,400,000		2,594,765
2013-3X SUB, due 10/15/3012		4,938,326		1,487,290
Madison Park Funding XLVIII Ltd.
2021-48A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/19/334,10		7,500,000		7,504,108
Newstar Commercial Loan Funding LLC
2017-1A, 3.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/274,10		7,500,000		7,502,311
Telos CLO Ltd.
2017-6A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 0.00%) due 01/17/274,10		7,500,000		7,491,879
ACRE Commercial Mortgage Ltd.
2021-FL4, 2.69% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 12/18/374,10		7,350,000		7,349,993

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
ACRES Commercial Realty Ltd.
2021-FL1, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/364,10		7,250,000	$	7,323,075
Marathon CRE Ltd.
2018-FL1, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/15/284,10		6,000,000		5,994,661
2018-FL1, 2.68% (1 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 06/15/284,10		650,000		649,564
Octagon Loan Funding Ltd.
2014-1A, due 11/18/314,12		19,435,737		6,389,984
Cerberus Loan Funding XXXIII, LP
2021-3A, 2.93% (3 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 07/23/334,10		5,900,000		5,924,100
LCCM 2021-FL2 Trust
2021-FL2, 2.98% (1 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 12/13/384,10		5,750,000		5,752,567
Hull Street CLO Ltd.
2014-1A, 3.73% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/18/264,10		5,785,000		5,662,253
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 3.18% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/20/334,10		5,550,000		5,550,122
CHCP Ltd.
2021-FL1, 3.17% (30 Day Average U.S. Secured Overnight Financing Rate + 3.11%, Rate Floor: 3.00%) due 02/15/384,10		5,500,000		5,525,875
Silvermore CLO Ltd.
2014-1A, 3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 0.00%) due 05/15/264,10		5,500,000		5,499,192
Dryden 41 Senior Loan Fund
2015-41A, due 04/15/314,12		11,700,000		5,388,295
Cerberus Loan Funding XXXV, LP
2021-5A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 09/22/334,10		5,150,000		5,150,000
Dryden 50 Senior Loan Fund
2017-50A, due 07/15/304,12		7,895,000		5,050,384
WhiteHorse X Ltd.
2015-10A, 5.43% (3 Month USD LIBOR + 5.30%, Rate Floor: 5.30%) due 04/17/274,10		4,980,000		4,459,441

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
BNPP IP CLO Ltd.
2014-2A, 5.38% (3 Month USD LIBOR + 5.25%, Rate Floor: 0.00%) due 10/30/254,10		5,847,392	$	4,385,544
Venture XIII CLO Ltd.
2013-13A, due 09/10/294,12		13,790,000		4,172,564
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/16/334,10		4,050,000		4,049,965
Cerberus Loan Funding XXVI, LP
2021-1A, 3.03% (3 Month USD LIBOR + 2.90%, Rate Floor: 2.90%) due 04/15/314,10		4,000,000		4,015,957
Adams Mill CLO Ltd.
2014-1A, 5.13% (3 Month USD LIBOR + 5.00%, Rate Floor: 0.00%) due 07/15/264,10		4,000,000		3,904,820
STWD Ltd.
2021-FL2, 2.88% (1 Month USD LIBOR + 2.80%, Rate Floor: 2.80%) due 04/18/384,10		3,750,000		3,762,374
Monroe Capital CLO Ltd.
2017-1A, 3.74% (3 Month USD LIBOR + 3.60%, Rate Floor: 0.00%) due 10/22/264,10		3,000,000		2,995,053
HGI CRE CLO Ltd.
2021-FL2, 2.25% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 10/19/264,10		1,600,000		1,600,000
2021-FL2, 2.55% (1 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 10/19/264,10		1,200,000		1,200,000
KVK CLO Ltd.
2013-1A, due 01/14/284,12		11,900,000		2,750,983
AMMC CLO XI Ltd.
2012-11A, due 04/30/314,12		5,650,000		2,653,466
Denali Capital CLO XI Ltd.
2018-1A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 0.00%) due 10/20/284,10		2,500,000		2,483,618
Goldentree Loan Management US CLO 4 Ltd.
2021-4A, 3.28% (3 Month USD LIBOR + 3.15%, Rate Floor: 3.15%) due 04/24/314,10		2,000,000		2,000,333
PFP Ltd.
2021-7, 3.10% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 04/14/384,10		1,789,911		1,792,174
Babson CLO Ltd.
2014-IA, due 07/20/254,12		11,900,000		1,401,820

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
KKR CLO 19 Ltd.
2017-19, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 10/15/304,10		1,350,000	$	1,345,118
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/2512		6,270,000		1,014,486
West CLO Ltd.
2013-1A, due 11/07/254,12		5,300,000		905,770
Dryden Senior Loan Fund
due 01/15/3112		1,897,598		900,638
Great Lakes CLO Ltd.
2014-1A, due 10/15/294,12		1,500,000		578,161
Copper River CLO Ltd.
2007-1A, due 01/20/218,12		8,150,000		278,974
TICP CLO III-2 Ltd.
2018-3R, 0.97% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/284,10		160,527		160,527
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,12		4,219,178		4,725
Total Collateralized Loan Obligations				669,636,822
Transport-Aircraft - 3.0%
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/424		49,478,119		49,292,516
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		21,040,123		20,982,400
2016-1, 4.45% due 08/15/41		7,852,670		7,852,226
2019-1A, 3.97% due 04/15/394		7,055,774		7,055,688
AASET Trust
2017-1A, 3.97% due 05/16/424		26,078,492		23,912,524
2020-1A, 4.34% due 01/16/404		6,611,667		4,787,919
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/424		15,337,235		15,280,978
2019-1, 3.60% due 09/15/394		6,574,327		6,517,266
2017-1, 6.30% due 02/15/424		3,838,675		3,702,090
Raspro Trust
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,10		20,391,173		20,391,157
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		20,556,468		20,297,053
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		17,573,602		17,069,279
JOL Air Ltd.
2019-1, 3.97% due 04/15/444		9,003,654		8,923,985
Sapphire Aviation Finance II Ltd.
2020-1A, 4.34% due 03/15/404		9,117,555		7,998,649
2020-1A, 3.23% due 03/15/404		635,004		629,627
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		5,438,981		5,484,263
GAIA Aviation Ltd.
2019-1, 3.97% due 12/15/444,14		4,128,937		4,116,035
WAVE LLC
2019-1, 3.60% due 09/15/444		4,032,795		4,016,310
Slam Ltd.
2021-1A, 3.42% due 06/15/464		3,543,840		3,557,242

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
Castlelake Aircraft Structured Trust
2021-1A, 6.66% due 01/15/464		3,042,893	$	3,287,895
Stripes Aircraft Ltd.
2013-1 A1, 3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23†††,10		2,305,264		2,222,389
Airplanes Pass Through Trust
2001-1A, due 03/15/19†††,7,8		2,097,481		210
Total Transport-Aircraft				237,377,701
Financial - 1.5%
HarbourVest Structured Solutions IV Holdings, LP
due 09/15/2610		24,100,000		24,100,000
due 09/15/2610	EUR	12,900,000		14,944,393
HV Eight LLC
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,10	EUR	28,000,000		32,392,354
Nassau LLC
2019-1, 3.98% due 08/15/344		16,889,389		17,068,835
Lam Trade Finance Group LLC
2.50% due 09/29/22		12,000,000		12,000,000
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,10	EUR	9,086,937		10,521,562
Ceamer Finance LLC
3.69% due 03/22/31†††		6,000,000		5,890,080
KKR Core Holding Company LLC
4.00% due 07/15/31†††		4,880,000		4,814,120
Total Financial				121,731,344
Whole Business - 0.6%
TSGE
2017-1, 6.25% due 09/25/31†††		42,550,000		43,735,007
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/464		2,704,938		2,896,812
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/494		2,079,000		2,115,237
Wendy’s Funding LLC
2018-1A, 3.88% due 03/15/484		385,000		406,840
Total Whole Business				49,153,896
Infrastructure - 0.5%
VB-S1 Issuer LLC
2020-1A, 6.66% due 06/15/504		23,700,000		25,678,175
2020-1A, 4.09% due 06/15/504		5,183,000		5,447,321
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 4.70% due 06/15/488		6,722,247		6,893,760
Total Infrastructure				38,019,256
Collateralized Debt Obligations - 0.3%
Anchorage Credit Funding 3 Ltd.
2021-3A, 3.47% due 01/28/394		14,250,000		14,250,764
Anchorage Credit Funding 4 Ltd.
2021-4A, 3.12% due 04/27/394		9,200,000		9,195,827

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2021-4A, 3.52% due 04/27/394		4,250,000	$	4,250,824
Total Collateralized Debt Obligations				27,697,415
Net Lease - 0.3%
CARS-DB4, LP
2020-1A, 4.95% due 02/15/504		21,105,000		21,953,210
Diversified Payment Rights - 0.2%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		15,300,000		16,251,813
Total Asset-Backed Securities
(Cost $1,162,147,661)				1,181,821,457
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 10.2%
Residential Mortgage Backed Securities - 6.0%
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/3610		23,727,382		15,294,713
2006-WMC3, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 08/25/3610		10,003,123		8,004,286
2006-HE3, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 11/25/3610		6,229,953		5,773,276
2006-WMC4, 0.21% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/3610		8,167,174		5,237,032
2006-WMC4, 0.17% (1 Month USD LIBOR + 0.08%, Rate Floor: 0.08%) due 12/25/3610		3,453,367		2,198,873
Ameriquest Mortgage Securities Trust
2006-M3, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 10/25/3610		34,436,904		14,952,449
2006-M3, 0.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 10/25/3610		22,486,904		14,941,626
2006-M3, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/3610		14,316,056		6,092,514
FKRT
2.21% due 11/30/58		33,850,000		33,859,140
Lehman XS Trust Series
2006-16N, 0.51% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 11/25/4610		15,914,322		16,220,153
2006-18N, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 12/25/3610		12,027,835		12,534,937
2006-10N, 0.51% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/4610		3,219,050		3,326,705
WaMu Asset-Backed Certificates WaMu Series
2007-HE2, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 04/25/3710		25,879,890		12,865,833

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2007-HE2, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/3710		19,720,247	$	9,560,319
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/4710		7,559,324		6,363,644
2007-HE4, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/4710		2,357,989		1,768,009
RALI Series Trust
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/4610		32,092,959		9,969,354
2007-QO2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/4710		14,529,391		7,237,941
2006-QO8, 0.49% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 10/25/4610		4,985,855		4,943,245
2006-QO6, 0.55% (1 Month USD LIBOR + 0.46%, Rate Floor: 0.46%) due 06/25/4610		8,350,150		2,644,276
2006-QO2, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/4610		6,264,123		1,853,883
2006-QO6, 0.61% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 06/25/4610		5,268,234		1,711,440
2006-QO2, 0.77% (1 Month USD LIBOR + 0.68%, Rate Floor: 0.68%) due 02/25/4610		3,351,837		1,035,435
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/4610		224,675		65,076
Long Beach Mortgage Loan Trust
2006-6, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/3610		14,984,089		8,011,697
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/3610		17,809,050		6,954,210
2006-4, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 05/25/3610		10,577,466		4,386,845
2006-1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 02/25/3610		4,146,455		3,798,614
2006-6, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/3610		4,665,864		2,441,906
2006-8, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/3610		4,825,918		1,851,854

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2006-6, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 07/25/3610		2,700,970	$	1,398,113
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/3710		24,556,346		24,513,947
FKRT
2020-C2A, 3.25% due 12/30/23†††,8		22,382,728		22,382,728
American Home Mortgage Assets Trust
2006-6, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 12/25/4610		9,576,057		8,334,778
2006-1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/4610		8,713,818		8,278,474
2006-3, 1.03% (1 Year CMT Rate + 0.94%, Rate Floor: 0.94%) due 10/25/4610		5,839,350		4,768,592
Morgan Stanley IXIS Real Estate Capital Trust
2006-2, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 11/25/3610		23,611,059		10,714,590
2006-2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/3610		18,012,283		8,087,421
Morgan Stanley ABS Capital I Incorporated Trust
2006-HE8, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 10/25/3610		21,410,110		12,750,800
2006-HE6, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 09/25/3610		4,631,591		2,164,165
2007-HE4, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 02/25/3710		4,062,510		1,778,922
IXIS Real Estate Capital Trust
2007-HE1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/3710		25,225,673		8,573,762
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/3710		17,872,034		6,154,035
GSAMP Trust
2007-NC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/4610		20,800,909		14,478,317

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
GSAA Home Equity Trust
2006-3, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/3610		12,302,329	$	8,190,075
2006-9, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/3610		8,255,805		3,315,101
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/3710		737,669		733,843
Master Asset Backed Securities Trust
2006-WMC3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/3610		10,906,207		4,949,882
2006-HE3, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 08/25/3610		10,036,263		3,923,800
2006-HE3, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/3610		8,438,101		3,345,259
Citigroup Mortgage Loan Trust, Inc.
2007-AMC3, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/3710		12,457,466		11,560,060
Nationstar Home Equity Loan Trust
2007-C, 0.26% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 06/25/3710		9,319,188		9,157,422
Home Equity Loan Trust
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/3710		9,221,729		8,812,030
First NLC Trust
2007-1, 0.37% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 08/25/374,10		7,463,884		4,990,848
2007-1, 0.16% (1 Month USD LIBOR + 0.07%, Rate Floor: 0.07%) due 08/25/374,10		5,660,102		3,670,286
Argent Securities Trust
2006-W5, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/3610		10,455,168		8,328,509
Alternative Loan Trust
2007-OA7, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/4710		8,400,005		8,062,328
WaMu Asset-Backed Certificates WaMu Series Trust
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/3710		8,287,570		5,197,127

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/4710		3,302,505	$	2,450,275
ACE Securities Corporation Home Equity Loan Trust Series
2007-ASP1, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 03/25/3710		11,898,685		7,465,253
HSI Asset Securitization Corporation Trust
2007-HE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/25/3710		6,744,707		5,830,741
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/4610		4,664,123		4,060,224
Morgan Stanley Mortgage Loan Trust
2006-9AR, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 08/25/3610		9,198,661		3,491,363
Nomura Resecuritization Trust
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,10		2,689,317		2,714,112
Alliance Bancorp Trust
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/3710		2,391,523		2,290,622
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,10		906,670		870,092
Morgan Stanley Re-REMIC Trust
2010-R5, 1.76% due 06/26/364		704,627		655,893
Asset Backed Securities Corporation Home Equity Loan Trust
2006-HE5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/3610		431,336		426,829
Total Residential Mortgage Backed Securities				474,769,903
Government Agency - 3.1%
Uniform MBS 30 Year
due 11/10/2119		236,000,000		242,729,776
Commercial Mortgage Backed Securities - 0.7%
GS Mortgage Securities Corporation Trust
2017-STAY, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.15%) due 07/15/324,10		16,531,000		16,503,853
2020-UPTN, 3.35% (WAC) due 02/10/374,10		8,256,000		8,359,040

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
2020-DUNE, 2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 12/15/364,10		7,340,000	$	7,148,024
2020-DUNE, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/364,10		2,750,000		2,741,005
BX Commercial Mortgage Trust
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/364,10		19,750,000		19,774,735
2019-XL, 2.38% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 10/15/364,10		2,067,786		2,073,587
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		1,019,831		1,019,587
Total Commercial Mortgage Backed Securities				57,619,831
Military Housing - 0.4%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 0.65% (WAC) due 11/25/524,10,13		160,732,968		9,090,076
2015-R1, 0.52% (WAC) due 11/25/554,10,13		65,755,411		4,368,842
GMAC Commercial Mortgage Asset Corp.
2004-POKA, 6.36% due 09/10/44†††,4		9,000,000		11,238,660
Capmark Military Housing Trust
2007-AET2, 6.06% due 10/10/524		5,597,654		6,297,496
Total Military Housing				30,995,074
Total Collateralized Mortgage Obligations
(Cost $850,406,260)				806,114,584
FOREIGN GOVERNMENT DEBT†† - 4.6%
Government of Japan
(0.11)% due 10/25/2115	JPY	10,070,200,000		90,491,140
(0.11)% due 11/01/2115	JPY	4,750,400,000		42,688,281
(0.12)% due 10/18/2115	JPY	2,780,600,000		24,985,972
(0.09)% due 10/04/2115	JPY	1,960,500,000		17,615,964
Province of Ontario
0.17% due 10/20/2115	CAD	67,088,000		52,967,947
0.16% due 10/06/2115	CAD	27,718,000		21,886,583
0.17% due 10/27/2115	CAD	15,857,000		12,519,567
Province of Quebec
0.18% due 11/19/2115	CAD	70,000,000		55,252,684
0.17% due 10/22/2115	CAD	12,950,000		10,224,098
0.14% due 10/01/2115	CAD	1,095,000		864,647
Province of Nova Scotia
0.17% due 10/07/2115	CAD	27,040,000		21,351,010
Province of Newfoundland
0.19% due 11/04/2115	CAD	8,200,000		6,473,882
0.17% due 10/12/2115	CAD	1,700,000		1,342,294
Government of United Kingdom
0.01% due 10/11/2115	GBP	1,000,000		1,347,550
Total Foreign Government Debt
(Cost $362,158,940)				360,011,619

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Face Amount~		Value
U.S. GOVERNMENT SECURITIES†† - 0.6%
U.S. Treasury Notes
0.38% due 07/15/2417		24,800,000	$	24,728,312
0.13% due 08/31/23		19,870,000		19,815,668
Total U.S. Government Securities
(Cost $44,634,646)				44,543,980
SENIOR FIXED RATE INTERESTS††† - 0.0%
Consumer, Cyclical - 0.0%
WESCO
5.25% due 06/14/24	CAD	3,864,740		3,044,928
Total Senior Fixed Rate Interests
(Cost $2,934,187)				3,044,928
COMMERCIAL PAPER†† - 3.6%
Swedbank AB
0.05% due 10/07/2115		70,000,000		69,999,416
McCormick & Co., Inc.
0.14% due 10/04/214,15		50,000,000		49,999,417
Prudential plc
0.06% due 10/01/214,15		40,000,000		40,000,000
Amcor Flexibles North America, Inc.
0.12% due 10/12/214,15		31,590,000		31,588,842
Fidelity National Information Services, Inc.
0.20% due 10/21/214,15		25,000,000		24,997,222
Reed Elsevier, Inc.
0.10% due 10/04/214,15		24,240,000		24,239,798
Consolidated Edison Company of New York, Inc.
0.09% due 10/01/214,15		20,000,000		20,000,000
Societe Generale S.A.
0.04% due 10/01/2115		20,000,000		20,000,000
BASF SE
0.09% due 10/05/214,15		1,750,000		1,749,981
Total Commercial Paper
(Cost $282,574,676)				282,574,676

	Contracts/ Notional Value		Value
OTC OPTIONS PURCHASED†† - 0.4%
Call Options on:
Interest Rate Options
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	USD	1,424,100,000	$	8,074,647
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	USD	709,900,000		4,025,133
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61	USD	661,700,000		2,620,332
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	USD	126,600,000		717,822
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61	USD	82,200,000		325,512
Total Interest Rate Options				15,763,446
Foreign Exchange Options
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.62	USD	8,809,000		129,434

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Citibank, N.A. Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.71	USD	10,308,000	$	77,493
Barclays Bank plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.78	USD	10,121,000		58,906
UBS AG Foreign Exchange USD/CHF Expiring October 2021 with strike price of USD 0.94	USD	10,403,000		53,920
Citibank, N.A. Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.86 (Notional Value $9,992,467)	EUR	8,622,000		44,393
Barclays Bank plc Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $3,257,808)	EUR	2,811,000		31,685
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.00 (Notional Value $3,542,687)	NOK	30,925,000		28,908
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.01 (Notional Value $10,010,826)	NOK	87,387,000		25,289
Bank of America, N.A. Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.32 (Notional Value $9,937,996)	EUR	8,575,000		19,779
Barclays Bank plc Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.19 (Notional Value $3,530,162)	EUR	3,046,000		18,693
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $4,344,903)	EUR	3,749,000		14,547
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.27 (Notional Value $10,318,132)	EUR	8,903,000		13,227

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.17 (Notional Value $3,530,162)	EUR	3,046,000	$	11,053
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.26 (Notional Value $9,937,996)	EUR	8,575,000		9,031
Morgan Stanley Capital Services LLC Foreign Exchange GBP/CAD Expiring October 2021 with strike price of GBP 1.73 (Notional Value $3,474,698)	GBP	2,577,000		8,462
Bank of America, N.A. Foreign Exchange EUR/USD Expiring October 2021 with strike price of EUR 1.17 (Notional Value $3,530,162)	EUR	3,046,000		3,323
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $3,366,750)	EUR	2,905,000		2,476
Total Foreign Exchange Options				550,619
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $501,397,656)		1,164		15,615,060
Total Equity Options				15,615,060
Foreign Exchange Options
Morgan Stanley Capital Services LLC Foreign Exchange GBP/CAD Expiring October 2021 with strike price of GBP 1.73 (Notional Value $3,474,698)	GBP	2,577,000		54,255
Bank of America, N.A. Foreign Exchange EUR/USD Expiring October 2021 with strike price of EUR 1.17 (Notional Value $3,530,162)	EUR	3,046,000		47,150
Barclays Bank plc Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.19 (Notional Value $3,530,162)	EUR	3,046,000		42,357
Bank of America, N.A. Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $4,344,903)	EUR	3,749,000		30,720

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Bank of America, N.A. Foreign Exchange EUR/NOK Expiring October 2021 with strike price of EUR 10.01 (Notional Value $9,937,996)	EUR	8,575,000	$	28,879
Goldman Sachs International Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.09 (Notional Value $10,318,132)	EUR	8,903,000		28,629
J.P. Morgan Securities plc Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.17 (Notional Value $3,530,162)	EUR	3,046,000		21,441
Barclays Bank plc Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 1.00 (Notional Value $3,542,687)	NOK	30,925,000		20,337
Deutsche Bank AG Foreign Exchange NOK/SEK Expiring October 2021 with strike price of NOK 0.99 (Notional Value $10,010,825)	NOK	87,387,000		16,281
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.08 (Notional Value $9,937,996)	EUR	8,575,000		16,037
Deutsche Bank AG Foreign Exchange EUR/SEK Expiring October 2021 with strike price of EUR 10.18 (Notional Value $3,366,750)	EUR	2,905,000		15,263
UBS AG Foreign Exchange USD/CHF Expiring October 2021 with strike price of USD 0.91	USD	10,403,000		12,441
Barclays Bank plc Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $3,257,808)	EUR	2,811,000		7,635
Barclays Bank plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.51	USD	10,121,000		5,805
Citibank, N.A. Foreign Exchange EUR/GBP Expiring October 2021 with strike price of EUR 0.85 (Notional Value $9,992,467)	EUR	8,622,000		4,829

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
J.P. Morgan Securities plc Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.62	USD	8,809,000	$	1,688
Citibank, N.A. Foreign Exchange USD/SEK Expiring October 2021 with strike price of USD 8.45	USD	10,308,000		348
Total Foreign Exchange Options				354,095
Total OTC Options Purchased
(Cost $21,717,797)				32,283,220
OTC INTEREST RATE SWAPTIONS PURCHASED††,18 - 0.3%
Call Swaptions on:
Interest Rate Swaptions
Goldman Sachs International 5-Year Interest Rate Swap Expiring August 2031 with exercise rate of 2.03%	USD	64,178,000		2,281,570
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.85%	USD	17,801,000		1,863,126
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2028 with exercise rate of 1.84%	USD	20,237,000		1,794,885
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.70%	USD	12,648,000		1,758,317
Goldman Sachs International 20-Year Interest Rate Swap Expiring August 2026 with exercise rate of 0.65% (Notional Value $20,717,398)	GBP	15,365,000		1,307,113
Total Interest Rate Swaptions				9,005,011
Put Swaptions on:
Interest Rate Swaptions
Goldman Sachs International 20-Year Interest Rate Swap Expiring August 2026 with exercise rate of 0.65% (Notional Value $20,717,398)	GBP	15,365,000		2,895,936
Goldman Sachs International 5-Year Interest Rate Swap Expiring August 2031 with exercise rate of 2.03%	USD	64,178,000		2,696,968
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2028 with exercise rate of 1.84%	USD	20,237,000		2,567,280

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.85%	USD	17,801,000	$	2,398,432
J.P. Morgan Securities plc 30-Year Interest Rate Swap Expiring August 2031 with exercise rate of 1.70%	USD	12,648,000		2,312,550
Total Interest Rate Swaptions				12,871,166
Total OTC Interest Rate Swaptions Purchased
(Cost $22,376,084)				21,876,177
Total Investments — 105.0%
(Cost $8,196,743,752)			$	8,303,577,852

	Face Amount
Collateralized Mortgage Obligations Sold Short†† - (3.2)%
Government Agency - (3.2)%
Uniform MBS 30 Year
due 11/10/2119	$	236,000,000		(249,869,720	)
Total Collateralized Mortgage Obligations Sold Short
(Proceeds $250,128,511)				(249,869,720	)
	Contracts
LISTED OPTIONS WRITTEN† - (0.0)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $148,560)		40		(20,600	)
	Contracts/ Notional Value		Value
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $152,274)		41		(25,215	)
Matterport, Inc. Expiring March 2022 with strike price of $17.50 (Notional Value $705,343)		373		(165,985	)
Matterport, Inc. Expiring March 2022 with strike price of $15.00 (Notional Value $2,278,655)		1,205		(692,875	)
Total Equity Options				(904,675	)
Total Listed Options Written
(Premiums received $658,479)				(904,675	)
OTC INTEREST RATE SWAPTIONS WRITTEN††,18 - (0.0)%
Call Swaptions on:
Interest Rate Swaptions
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 0.70% (Notional Value $4,080,107)	GBP	3,026,000		(198,429	)
Barclays Bank plc 5-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.43%	USD	18,926,000		(245,537	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.78%	USD	5,340,000	$	(260,128	)
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.89%	USD	4,403,000		(289,081	)
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.87%	USD	3,185,000		(293,808	)
Total Interest Rate Swaptions				(1,286,983	)
Put Swaptions on:
Interest Rate Swaptions
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.87%	USD	3,185,000		(372,926	)
Citibank, N.A. 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 1.89%	USD	4,403,000		(396,937	)
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.78%	USD	5,340,000		(446,832	)
	Contracts/ Notional Value		Value
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap Expiring August 2024 with exercise rate of 0.70% (Notional Value $4,080,107)	GBP	3,026,000		(477,377	)
Barclays Bank plc 5-Year Interest Rate Swap Expiring August 2023 with exercise rate of 1.43%	USD	18,926,000		(485,709	)
Total Interest Rate Swaptions				(2,179,781	)
Total OTC Interest Rate Swaptions Written
(Premiums received $3,533,712)				(3,466,764	)
OTC OPTIONS WRITTEN†† - (0.1)%
Call Options on:
Equity Options
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $35.00 (Notional Value $29,550)		15		—
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $30.00 (Notional Value $358,540)		182		—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Citibank, N.A. Pershing Square Tontine Holdings Ltd. Expiring December 2021 with strike price of $40.00 (Notional Value $539,780)		274	$	—
Total Equity Options				—
Foreign Exchange Options
BNP Paribas Foreign Exchange EUR/CHF Expiring October 2021 with strike price of EUR 1.10 (Notional Value $2,389,755)	EUR	2,062,000		(24	)
Deutsche Bank AG Foreign Exchange EUR/JPY Expiring October 2021 with strike price of EUR 132.17 (Notional Value $2,443,067)	EUR	2,108,000		(146	)
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.72 (Notional Value $2,327,554)	NZD	3,374,000		(602	)
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2021 with strike price of EUR 1.49 (Notional Value $16,996,002)	EUR	14,665,000		(2,021	)
Deutsche Bank AG Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.28	USD	2,577,000		(2,468	)
Morgan Stanley Capital Services LLC Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.74 (Notional Value $2,437,209)	AUD	3,374,000		(2,711	)
Goldman Sachs International Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.29	USD	2,577,000		(3,562	)
UBS AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 78.89 (Notional Value $2,391,710)	NZD	3,467,000		(4,258	)
Deutsche Bank AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 79.02 (Notional Value $2,586,248)	NZD	3,749,000		(5,696	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Goldman Sachs International Foreign Exchange CAD/JPY Expiring October 2021 with strike price of CAD 88.60 (Notional Value $2,514,899)	CAD	3,186,000	$	(6,615	)
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.71 (Notional Value $17,034,466)	NZD	24,693,000		(10,983	)
Morgan Stanley Capital Services LLC Foreign Exchange AUD/JPY Expiring October 2021 with strike price of AUD 81.39 (Notional Value $16,922,493)	AUD	23,427,000		(16,128	)
Barclays Bank plc Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.73 (Notional Value $17,329,176)	AUD	23,990,000		(38,785	)
Barclays Bank plc Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.26	USD	18,273,000		(82,423	)
Goldman Sachs International Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 77.35 (Notional Value $17,002,043)	NZD	24,646,000		(123,839	)
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.04 (Notional Value $18,278,344)	AUD	25,304,000		(199,331	)
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.03 (Notional Value $17,464,978)	AUD	24,178,000		(238,394	)
Total Foreign Exchange Options				(737,986	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Put Options on:
Foreign Exchange Options
Deutsche Bank AG Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.25	USD	2,577,000	$	(139	)
BNP Paribas Foreign Exchange EUR/CHF Expiring October 2021 with strike price of EUR 1.08 (Notional Value $2,389,755)	EUR	2,062,000		(715	)
Goldman Sachs International Foreign Exchange CAD/JPY Expiring October 2021 with strike price of CAD 85.60 (Notional Value $2,514,899)	CAD	3,186,000		(794	)
Goldman Sachs International Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.25	USD	2,577,000		(3,529	)
Barclays Bank plc Foreign Exchange USD/CAD Expiring October 2021 with strike price of USD 1.26	USD	18,273,000		(5,132	)
Deutsche Bank AG Foreign Exchange EUR/JPY Expiring October 2021 with strike price of EUR 129.14 (Notional Value $2,443,067)	EUR	2,108,000		(6,919	)
Morgan Stanley Capital Services LLC Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.72 (Notional Value $2,437,209)	AUD	3,374,000		(11,289	)
UBS AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 75.87 (Notional Value $2,391,710)	NZD	3,467,000		(11,306	)
Deutsche Bank AG Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 75.89 (Notional Value $2,586,248)	NZD	3,749,000		(15,325	)
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.03 (Notional Value $17,464,978)	AUD	24,178,000		(25,152	)
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.69 (Notional Value $2,327,554)	NZD	3,374,000		(28,600	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Contracts/ Notional Value		Value
Deutsche Bank AG Foreign Exchange AUD/NZD Expiring October 2021 with strike price of AUD 1.04 (Notional Value $18,278,344)	AUD	25,304,000	$	(53,313	)
Morgan Stanley Capital Services LLC Foreign Exchange AUD/JPY Expiring October 2021 with strike price of AUD 81.39 (Notional Value $16,922,493)	AUD	23,427,000		(182,988	)
Goldman Sachs International Foreign Exchange NZD/JPY Expiring October 2021 with strike price of NZD 77.35 (Notional Value $17,002,043)	NZD	24,646,000		(211,606	)
J.P. Morgan Securities plc Foreign Exchange EUR/CAD Expiring October 2021 with strike price of EUR 1.49 (Notional Value $16,996,002)	EUR	14,665,000		(276,185	)
Bank of America, N.A. Foreign Exchange AUD/USD Expiring October 2021 with strike price of AUD 0.73 (Notional Value $17,329,177)	AUD	23,990,000		(329,271	)
Citibank, N.A. Foreign Exchange NZD/USD Expiring October 2021 with strike price of NZD 0.71 (Notional Value $17,034,466)	NZD	24,693,000		(582,269	)
Total Foreign Exchange Options				(1,744,532	)
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $501,397,656)		1,164		(5,441,700	)
Total OTC Options Written
(Premiums received $9,617,430)				(7,924,218	)
Other Assets & Liabilities, net - (1.7)%				(131,850,500	)
Total Net Assets - 100.0%			$	7,909,561,975

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Futures Contracts
Description	Number of Contracts		Expiration Date		Notional Amount		Value and Unrealized Appreciation (Depreciation)**
Commodity Futures Contracts Purchased†
Gold 100 oz. Futures Contracts		389		Dec 2021	$	68,327,850	$	(1,816,057	)
Silver Futures Contracts		572		Dec 2021		63,334,700		(5,346,280	)
					$	131,662,550	$	(7,162,337	)
Commodity Futures Contracts Sold Short†
Silver Futures Contracts		1		Dec 2021	$	110,725	$	13,823
WTI Crude Futures Contracts		466		Oct 2021		34,922,040		(2,070,121	)
					$	35,032,765	$	(2,056,298	)

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate			Payment Frequency		Maturity Date
J.P. Morgan Securities LLC	ICE	CDX.NA.HY.36.V1		5.00	%		Quarterly		06/20/26

Notional Amount		Value			Upfront Premiums Received			Unrealized Depreciation**
$	176,300,000	$	(16,250,742	)	$	(16,110,272	)	$	(140,470	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date
JPM	LCH	Pay	Sterling Overnight Interbank Average Rate	0.65%		Annually	08/17/46
JPM	LCH	Receive	3-Month USD LIBOR	1.70%		Quarterly	08/20/61
JPM	LCH	Receive	3-Month USD LIBOR	1.85%		Quarterly	08/20/51
JPM	LCH	Receive	3-Month USD LIBOR	2.03%		Quarterly	08/14/36
JPM	LCH	Receive	3-Month USD LIBOR	1.84%		Quarterly	08/18/48
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	1.02%		Annually	08/20/31
JPM	LCH	Receive	3-Month USD LIBOR	1.43%		Quarterly	08/16/28
JPM	LCH	Receive	3-Month USD LIBOR	1.78%		Quarterly	08/16/43
JPM	LCH	Receive	Sterling Overnight Interbank Average Rate	0.37%		Annually	08/12/24
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	0.36%		Annually	08/14/24
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	0.38%		Annually	08/14/24
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	0.18%		Annually	08/16/23

Notional Amount~		Value		Upfront Premiums Paid (Received)			Unrealized Appreciation**
GBP	1,140,000	$	113,159	$	(114,715	)	$	227,874
	3,851,000		147,802		(4,527	)		152,329
	4,237,000		105,967		(16,246	)		122,213
	12,628,000		69,580		(46,572	)		116,152
	2,283,000		78,650		(877	)		79,527
	4,418,000		46,160		279			45,881
	2,695,000		32,744		16,268			16,476
	240,000		8,191		179			8,012
GBP	487,000		4,527		2			4,525
	707,000		1,611		240			1,371
	695,000		1,261		240			1,021
	736,000		483		236			247
		$	610,135	$	(165,493	)	$	775,628

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Centrally Cleared Interest Rate Swap Agreements†† (continued)
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date
JPM	LCH	Receive	U.S. Secured Overnight Financing Rate	0.18%		Annually	08/16/23
JPM	LCH	Pay	3-Month Canadian Bankers Acceptances Rate	1.11%		Semi-Annually	06/23/23
JPM	LCH	Pay	3-Month Australian Bank Bill Rate	0.43%		Semi-Annually	08/09/23
JPM	LCH	Pay	3-Month USD LIBOR	1.89%		Quarterly	08/14/44
JPM	LCH	Pay	3-Month USD LIBOR	1.87%		Quarterly	08/14/54
JPM	LCH	Pay	3-Month USD LIBOR	0.41%		Quarterly	08/09/23
JPM	LCH	Pay	3-Month KRW Certificate of Deposit Rate	1.58%		Quarterly	08/09/23
JPM	LCH	Receive	Sterling Overnight Interbank Average Rate	0.70%		Annually	08/12/44
JPM	LCH	Pay	Sterling Overnight Interbank Average Rate	0.45%		Annually	08/17/26
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	0.81%		Annually	08/20/28
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	1.11%		Annually	08/14/31
JPM	LCH	Pay	3-Month New Zealand Bank Bill Rate	1.43%		Quarterly	08/05/23
JPM	LCH	Pay	U.S. Secured Overnight Financing Rate	1.03%		Annually	08/20/31
JPM	LCH	Pay	6-Month NOK NIBOR	1.28%		Semi-Annually	08/05/23
JPM	CME	Receive	3-Month USD LIBOR	1.58%		Quarterly	04/28/31
JPM	CME	Receive	3-Month USD LIBOR	1.65%		Quarterly	03/17/31

	Notional Amount~		Value			Upfront Premiums Paid (Received)			Unrealized Depreciation**
		724,000	$	(537	)	$	236		$	(773	)
	CAD	44,047,000		(2,085	)		70			(2,155	)
	AUD	34,930,000		(3,029	)		54			(3,083	)
		188,000		(4,519	)		77			(4,596	)
		349,000		(7,982	)		2,049			(10,031	)
		34,700,000		(33,312	)		303			(33,615	)
	KRW	40,294,000,000		(47,293	)		–			(47,293	)
	GBP	317,000		(28,271	)		26,473			(54,744	)
	GBP	3,076,000		(58,013	)		501			(58,514	)
		3,498,000		(63,512	)		(1,162	)		(62,350	)
		5,025,000		(81,887	)		282			(82,169	)
	NZD	50,000,000		(91,166	)		73			(91,239	)
		4,405,000		(106,540	)		385			(106,925	)
	NOK	307,000,000		(110,990	)		414			(111,404	)
		79,560,000		(335,742	)		147,222			(482,964	)
		180,000,000		(1,943,998	)		1,598			(1,945,596	)
			$	(2,918,876	)	$	178,575		$	(3,097,451	)
Total interest rate swap agreements			$	(2,308,741	)	$	13,082		$	(2,321,823	)

JPM — J.P. Morgan Securities LLC

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Morgan Stanley Capital Services LLC

EUR

Sell

207,500,000

245,088,833 USD

10/18/21

$

4,638,420

Goldman Sachs International

ILS

Buy

92,228,427

24,775,937 USD

08/01/22

4,012,074

Bank of America, N.A.

GBP

Sell

82,145,000

113,367,657 USD

10/18/21

2,669,748

Goldman Sachs International

ILS

Buy

64,798,100

17,651,727 USD

01/31/22

2,504,522

Morgan Stanley Capital Services LLC

JPY

Sell

10,070,200,000

91,790,601 USD

10/25/21

1,292,393

Goldman Sachs International

JPY

Sell

4,750,400,000

43,325,870 USD

11/01/21

633,132

Goldman Sachs International

NZD

Sell

91,863,043

63,871,033 USD

10/20/21

430,511

BNP Paribas

CHF

Sell

16,812,757

18,415,238 USD

10/07/21

368,039

Goldman Sachs International

JPY

Sell

2,780,600,000

25,321,482 USD

10/18/21

334,231

UBS AG

JPY

Sell

1,960,500,000

17,928,424 USD

10/04/21

312,602

Deutsche Bank AG

EUR

Sell

55,340,000

563,452,807 SEK

10/07/21

278,335

BNP Paribas

EUR

Sell

16,947,859

19,890,190 USD

10/04/21

256,433

BNP Paribas

EUR

Sell

51,775,000

56,111,219 CHF

10/07/21

247,245

BNP Paribas

EUR

Sell

52,210,000

60,719,404 USD

10/07/21

231,610

JPMorgan Chase Bank, N.A.

GBP

Sell

5,121,000

7,071,958 USD

10/18/21

170,941

Goldman Sachs International

USD

Buy

31,230,000

3,457,061,039 JPY

10/12/21

165,226

Deutsche Bank AG

AUD

Sell

45,965,698

33,355,174 USD

10/07/21

132,890

Deutsche Bank AG

GBP

Sell

8,010,000

10,918,469 USD

10/22/21

124,197

Deutsche Bank AG

NOK

Sell

59,625,773

6,914,216 USD

10/04/21

92,896

Citibank, N.A.

EUR

Sell

9,100,000

10,652,397 USD

12/31/21

88,425

Goldman Sachs International

USD

Sell

29,540,000

3,293,856,489 JPY

10/12/21

58,235

JPMorgan Chase Bank, N.A.

EUR

Sell

2,175,001

3,252,684 CAD

10/07/21

48,596

BNP Paribas

CAD

Sell

37,700,000

29,813,684 USD

10/20/21

44,823

Morgan Stanley Capital Services LLC

GBP

Sell

1,000,000

1,385,425 USD

10/12/21

37,845

JPMorgan Chase Bank, N.A.

CAD

Sell

17,000,000

13,445,261 USD

10/07/21

21,430

JPMorgan Chase Bank, N.A.

EUR

Buy

42,941,247

49,729,273 USD

10/07/21

20,224

Morgan Stanley Capital Services LLC

GBP

Sell

730,000

1,000,341 USD

10/22/21

16,594

UBS AG

EUR

Sell

763,000

896,026 USD

10/07/21

12,054

JPMorgan Chase Bank, N.A.

USD

Sell

53,770,000

68,108,336 CAD

10/04/21

11,061

Citibank, N.A.

EUR

Sell

7,600,000

8,211,726 CHF

10/07/21

9,690

JPMorgan Chase Bank, N.A.

GBP

Sell

520,000

709,945 USD

10/22/21

9,193

Citibank, N.A.

EUR

Buy

760,000

7,626,021 NOK

10/04/21

8,011

Citibank, N.A.

CAD

Sell

12,950,000

10,231,910 USD

10/22/21

6,291

UBS AG

GBP

Sell

320,000

436,862 USD

10/22/21

5,631

JPMorgan Chase Bank, N.A.

USD

Sell

5,640,000

7,147,939 CAD

10/07/21

4,278

Barclays Bank plc

EUR

Sell

4,880,000

49,506,199 SEK

10/07/21

3,942

JPMorgan Chase Bank, N.A.

EUR

Sell

330,000

358,001 CHF

10/07/21

1,966

UBS AG

EUR

Sell

230,000

2,346,859 SEK

10/07/21

1,737

UBS AG

USD

Sell

140,000

15,666,644 JPY

10/12/21

779

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^†† (continued)

Counterparty	Currency	Type	Quantity		Contract Amount		Settlement Date		Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A.	CAD	Sell		1,095,000		865,218 USD		10/01/21	$	562
Morgan Stanley Capital Services LLC	EUR	Sell		710,000		7,194,416 NOK		10/20/21		185
Barclays Bank plc	JPY	Buy		2,387,335		21,414 USD		10/05/21		37
Barclays Bank plc	CAD	Sell		1,700,000		1,342,342 USD		10/12/21		(33	)
Citibank, N.A.	CAD	Sell		116,000		91,419 USD		10/18/21		(177	)
UBS AG	EUR	Buy		210,000		227,354 CHF		10/07/21		(752	)
Deutsche Bank AG	CAD	Sell		7,062,258		5,575,696 USD		10/07/21		(925	)
JPMorgan Chase Bank, N.A.	NOK	Sell		33,251,257		3,801,591 USD		10/20/21		(1,993	)
Citibank, N.A.	GBP	Sell		720,000		968,040 USD		10/22/21		(2,232	)
Morgan Stanley Capital Services LLC	EUR	Sell		1,790,000		18,103,173 NOK		10/04/21		(2,635	)
Barclays Bank plc	GBP	Buy		180,000		245,435 USD		10/22/21		(2,867	)
Morgan Stanley Capital Services LLC	EUR	Buy		670,000		6,811,580 NOK		10/04/21		(3,078	)
UBS AG	CAD	Sell		8,200,000		6,471,292 USD		11/04/21		(3,517	)
UBS AG	GBP	Buy		200,000		273,627 USD		10/22/21		(4,107	)
Goldman Sachs International	CAD	Sell		10,040,000		7,923,386 USD		10/07/21		(4,570	)
Barclays Bank plc	USD	Sell		1,874,200		2,364,303 CAD		10/04/21		(7,252	)
Barclays Bank plc	EUR	Buy		900,000		978,315 CHF		10/07/21		(7,452	)
Goldman Sachs International	AUD	Sell		12,610,000		9,105,832 USD		10/07/21		(8,203	)
Goldman Sachs International	NZD	Buy		1,874,200		145,034,967 JPY		10/22/21		(9,055	)
Morgan Stanley Capital Services LLC	CHF	Sell		20,103,259		21,569,713 USD		10/07/21		(9,587	)
Deutsche Bank AG	EUR	Sell		4,180,000		42,240,356 NOK		10/04/21		(10,057	)
Citibank, N.A.	EUR	Buy		760,000		891,000 USD		10/07/21		(10,503	)
Morgan Stanley Capital Services LLC	GBP	Buy		960,000		1,304,282 USD		10/22/21		(10,586	)
Deutsche Bank AG	EUR	Buy		21,010,000		212,890,938 NOK		10/04/21		(15,526	)
Morgan Stanley Capital Services LLC	AUD	Buy		1,874,200		152,595,114 JPY		10/07/21		(16,552	)
Citibank, N.A.	CAD	Sell		27,718,000		21,861,287 USD		10/06/21		(25,900	)
Citibank, N.A.	CAD	Sell		15,857,000		12,494,619 USD		10/27/21		(26,360	)
JPMorgan Chase Bank, N.A.	GBP	Buy		2,160,000		2,938,928 USD		10/22/21		(28,113	)
Goldman Sachs International	CAD	Sell		29,388,000		23,175,687 USD		10/20/21		(29,811	)
Deutsche Bank AG	EUR	Buy		3,080,000		3,599,861 USD		10/07/21		(31,533	)
Deutsche Bank AG	SEK	Buy		28,114,648		3,248,139 USD		10/07/21		(35,147	)
JPMorgan Chase Bank, N.A.	CHF	Buy		17,204,424		18,504,434 USD		10/07/21		(36,811	)
Goldman Sachs International	NZD	Buy		7,470,000		5,200,855 USD		10/20/21		(42,082	)
Goldman Sachs International	CAD	Sell		47,035,000		37,062,982 USD		10/18/21		(77,116	)
Deutsche Bank AG	EUR	Buy		51,203,000		519,824,385 SEK		10/07/21		(85,316	)
JPMorgan Chase Bank, N.A.	USD	Buy		37,110,000		47,131,963 CAD		10/04/21		(107,279	)
Bank of America, N.A.	ILS	Sell		7,363,900		2,183,190 USD		01/31/22		(107,442	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Forward Foreign Currency Exchange Contracts^†† (concluded)

Counterparty	Currency	Type	Quantity		Contract Amount		Settlement Date		Unrealized Appreciation (Depreciation)
BNP Paribas	CAD	Sell		30,402,934		23,879,465 USD		10/04/21	$	(127,905	)
BNP Paribas	EUR	Buy		29,830,000		34,704,433 USD		10/07/21		(144,946	)
Deutsche Bank AG	GBP	Buy		11,780,000		16,025,899 USD		10/22/21		(151,176	)
Deutsche Bank AG	AUD	Buy		47,795,000		34,754,213 USD		10/07/21		(209,777	)
BNP Paribas	EUR	Buy		36,990,000		40,227,269 CHF		10/07/21		(326,183	)
Goldman Sachs International	JPY	Buy		2,548,975,263		23,255,792 USD		10/12/21		(350,978	)
BNP Paribas	EUR	Buy		27,160,000		31,847,195 USD		10/04/21		(382,876	)
JPMorgan Chase Bank, N.A.	NZD	Buy		21,390,000		15,170,323 USD		10/20/21		(398,411	)
JPMorgan Chase Bank, N.A.	CAD	Sell		70,000,000		54,619,865 USD		11/19/21		(651,731	)
Goldman Sachs International	ILS	Sell		57,434,200		17,016,599 USD		01/31/22		(849,019	)
Barclays Bank plc	ILS	Sell		92,228,427		27,935,310 USD		08/01/22		(852,701	)
									$	14,096,762

OTC Interest Rate Swaptions Purchased
Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency		Fixed Rate		Expiration Date		Exercise Rate	Swaption Notional Amount		Swaption Value
Call
Goldman Sachs International 5-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	2.03%		08/12/31		2.03%		$	64,178,000	$	2,281,570
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.85%		08/18/31		1.85%			17,801,000		1,863,126
Citibank, N.A. 20-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.84%		08/16/28		1.84%			20,237,000		1,794,885
J.P. Morgan Securities plc 30-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.70%		08/18/31		1.70%			12,648,000		1,758,317
Goldman Sachs International 20-Year Interest Rate Swap	Pay	Sterling Overnight Interbank Average Rate	Annual	0.65%		08/17/26		0.65%			20,717,397		1,307,113
												$	9,005,011

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

OTC Interest Rate Swaptions Purchased (concluded)
Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency		Fixed Rate		Expiration Date		Exercise Rate	Swaption Notional Amount		Swaption Value
Put
Goldman Sachs International 20-Year Interest Rate Swap	Receive	Sterling Overnight Interbank Average Rate	Annual	0.65%		08/17/26		0.65%		$	20,717,398	$	2,895,936
Goldman Sachs International 5-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	2.03%		08/12/31		2.03%			64,178,000		2,696,968
Citibank, N.A. 20-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.84%		08/16/28		1.84%			20,237,000		2,567,280
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.85%		08/18/31		1.85%			17,801,000		2,398,432
J.P. Morgan Securities plc 30-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.70%		08/18/31		1.70%			12,648,000		2,312,550
												$	12,871,166

OTC Interest Rate Swaptions Written
Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency		Fixed Rate		Expiration Date		Exercise Rate	Swaption Notional Amount		Swaption Value
Call
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Receive	Sterling Overnight Interbank Average Rate	Annual	0.70%		08/12/24		0.70%		$	4,080,107	$	(198,429	)
Barclays Bank plc 5-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.43%		08/14/23		1.43%			18,926,000		(245,537	)
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.78%		08/14/23		1.78%			5,340,000		(260,128	)
Citibank, N.A. 20-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.89%		08/12/24		1.89%			4,403,000		(289,081	)

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

OTC Interest Rate Swaptions Written (concluded)
Counterparty/ Description	Floating Rate Type	Floating Rate Index	Payment Frequency		Fixed Rate		Expiration Date		Exercise Rate	Swaption Notional Amount		Swaption Value
Call (concluded)
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap	Receive	3 Month USD LIBOR	Quarterly	1.87%		08/12/24		1.87%		$	3,185,000	$	(293,808	)
												$	(1,286,983	)
Put
Morgan Stanley Capital Services LLC 30-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.87%		08/12/24		1.87%		$	3,185,000	$	(372,926	)
Citibank, N.A. 20-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.89%		08/12/24		1.89%			4,403,000		(396,937	)
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.78%		08/14/23		1.78%			5,340,000		(446,832	)
Morgan Stanley Capital Services LLC 20-Year Interest Rate Swap	Pay	Sterling Overnight Interbank Average Rate	Annual	0.70%		08/12/24		0.70%			4,080,107		(477,377	)
Barclays Bank plc 5-Year Interest Rate Swap	Pay	3 Month USD LIBOR	Quarterly	1.43%		08/14/23		1.43%			18,926,000		(485,709	)
												$	(2,179,781	)

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Rate indicated is the 7-day yield as of September 30, 2021.
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 $2,884,317,141 (cost $2,827,781,463), or 36.5% of total net assets.
5	Perpetual maturity.
6	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

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 $37,717,381 (cost $49,639,875), or 0.5% of total net assets — See Note 10.
9	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $20,329,603 — See Note 6.
10	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
11	Payment-in-kind security.
12	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
13	Security is an interest-only strip.
14	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
15	Rate indicated is the effective yield at the time of purchase.
16	All or a portion of this security is pledged as listed options collateral at September 30, 2021.
17	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021.
18	Swaptions - See additional disclosure in the swaptions table above for more information on swaptions.
19	Security is unsettled at period end and does not have a stated effective rate.
	AUD — Australian Dollar
	BofA — Bank of America
	CAD — Canadian Dollar
	CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series 36 Index Version 1
	CHF — Swiss Franc
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ICE — Intercontinental Exchange
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	KRW — South Korean Won
	LCH — London Clearing House
	LIBOR — London Interbank Offered Rate
	NOK — Norwegian Krone
	plc — Public Limited Company
	PPV — Public-Private Venture
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	SEK — Swedish Krona
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (See Note 4 in the Notes to Consolidated Financial Statements):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	268,389,407	$	10,683,107	$	1,167,187		$	280,239,701
Preferred Stocks		—		246,802,314		—	*		246,802,314
Warrants		5,495,701		—		—			5,495,701
Exchange-Traded Funds		42,159,487		—		—			42,159,487
Mutual Funds		177,814,565		—		—			177,814,565
Closed-End Funds		68,211,256		—		—			68,211,256
Money Market Funds		606,264,172		—		—			606,264,172
Corporate Bonds		—		2,327,265,813		132,694,814			2,459,960,627
Senior Floating Rate Interests		—		1,481,592,706		202,766,682			1,684,359,388
Asset-Backed Securities		—		1,047,065,593		134,755,864			1,181,821,457
Collateralized Mortgage Obligations		—		772,493,196		33,621,388			806,114,584
Foreign Government Debt		—		360,011,619		—			360,011,619
U.S. Government Securities		—		44,543,980		—			44,543,980
Senior Fixed Rate Interests		—		—		3,044,928			3,044,928
Commercial Paper		—		282,574,676		—			282,574,676
Options Purchased		—		32,283,220		—			32,283,220
Interest Rate Swaptions Purchased		—		21,876,177		—			21,876,177
Commodity Futures Contracts**		13,823		—		—			13,823
Interest Rate Swap Agreements**		—		775,628		—			775,628
Forward Foreign Currency Exchange Contracts**		—		19,307,034		—			19,307,034
Total Assets	$	1,168,348,411	$	6,647,275,063	$	508,050,863		$	8,323,674,337

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Collateralized Mortgage Obligations Sold Short	$	—	$	249,869,720	$	—	$	249,869,720
Options Written		904,675		7,924,218		—		8,828,893
Interest Rate Swaptions Written		—		3,466,764		—		3,466,764
Commodity Futures Contracts**		9,232,458		—		—		9,232,458
Credit Default Swap Agreements**		—		140,470		—		140,470
Interest Rate Swap Agreements**		—		3,097,451		—		3,097,451
Forward Foreign Currency Exchange Contracts**		—		5,210,272		—		5,210,272
Unfunded Loan Commitments (Note 9)		—		—		3,698,361		3,698,361
Total Liabilities	$	10,137,133	$	269,708,895	$	3,698,361	$	283,544,389

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $6,599,211 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

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

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	69,954,924	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Asset-Backed Securities		64,800,940	Yield Analysis	Yield		2.4%-4.2%		3.5%
Collateralized Mortgage Obligations		22,382,728	Model Price	Purchase Price		—		—
Collateralized Mortgage Obligations		11,238,660	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Common Stocks		728,373	Model Price	Market Comparable Yields		12.1%		—

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average*
Common Stocks	$	325,296	Enterprise Value	Valuation Multiple		2.1x-18.6x		15.8x
Common Stocks		113,516	Third Party Pricing	Broker Quote		—		—
Common Stocks		2	Model Price	Liquidation Value		—		—
Corporate Bonds		81,215,307	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Corporate Bonds		37,114,608	Third Party Pricing	Vendor Price		—		—
Corporate Bonds		7,422,659	Third Party Pricing	Trade Price		—		—
Corporate Bonds		6,942,240	Model Price	Purchase Price		—		—
Senior Fixed Rate Interests		3,044,928	Yield Analysis	Yield		5.3%		—
Senior Floating Rate Interests		112,032,252	Third Party Pricing	Broker Quote		—		—
Senior Floating Rate Interests		68,814,130	Yield Analysis	Yield		4.8%-8.0%		7.0%
Senior Floating Rate Interests		8,616,283	Model Price	Purchase Price		—		—
Senior Floating Rate Interests		7,277,074	Third Party Pricing	Vendor Price		—		—
Senior Floating Rate Interests		4,888,736	Model Price	Market Comparable Yields		6.2%-12.1%		8.4%
Senior Floating Rate Interests		1,138,207	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Total Assets	$	508,050,863
Liabilities:
Unfunded Loan Commitments	$	3,698,361	Model Price	Purchase Price		—		—

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

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

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $66,846,433 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $40,006,376 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.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets
	Asset- Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Common Stocks
Beginning Balance	$	136,219,530		$	54,252,847		$	22,823,465		$	74,589,734		$	8,060,143
Purchases/(Receipts)		54,866,061			26,228,391			68,269,654			179,672,384			1,437
(Sales, maturities and paydowns)/Fundings		(53,424,865	)		(45,368,355	)		(252,128	)		(54,035,536	)		(1,893,615	)
Amortization of premiums/discounts		11,051			(24,657	)		806			1,717,531			—
Total realized gains (losses) included in earnings		1,243,642			(1,842	)		7,192			(11,417,972	)		(4,528,033	)
Total change in unrealized appreciation (depreciation) included in earnings		(1,044,101	)		(1,464,996	)		3,048,543			15,015,268			6,824,099
Transfers into Level 3		18,837,756			—			39,809,980			6,968,897			—
Transfers out of Level 3		(21,953,210	)		—			(1,012,698	)		(9,743,624	)		(7,296,844	)
Ending Balance	$	134,755,864		$	33,621,388		$	132,694,814		$	202,766,682		$	1,167,187
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(934,863	)	$	(1,091,193	)	$	3,032,594		$	1,071,107		$	1,170,079

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
MACRO OPPORTUNITIES FUND

	Assets									Liabilities
	Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	110,798		$	6,285,245		$	302,341,762		$	(1,311,693	)
Purchases/(Receipts)		—			476,625			329,514,552			(6,447,286	)
(Sales, maturities and paydowns)/Fundings		—			(7,647,985	)		(162,622,484	)		3,231,891
Amortization of premiums/discounts		—			13,905			1,718,636			(6,900	)
Total realized gains (losses) included in earnings		—			277,592			(14,419,421	)		1,176,782
Total change in unrealized appreciation (depreciation) included in earnings		(110,798	)		2,409,746			24,677,761			(341,155	)
Transfers into Level 3		—			1,229,800			66,846,433			—
Transfers out of Level 3		—			—			(40,006,376	)		—
Ending Balance	$	—	*	$	3,044,928		$	508,050,863		$	(3,698,361	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(110,798	)	$	148,814		$	3,285,740		$	644,877

* Security has a market value of $0.

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.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44		2.00	%		11/15/26

Affiliated Transactions

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

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund 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.

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

CONSOLIDATED SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
MACRO OPPORTUNITIES FUND

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions			Realized Gain (Loss)
Closed-End Funds
Guggenheim Strategic Opportunities Fund	$	9,279,301	$	—	$	(10,617,041	)	$	3,009,778
Common Stocks
BP Holdco LLC*		13,236		—		—			—
Targus Group International Equity, Inc.*		26,242		—		—			—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		24,454,689		280,945		—			—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		17,551,325		41,111,512		—			—
Guggenheim Strategy Fund II		—		17,545,513		—			—
Guggenheim Strategy Fund III		—		15,642,568		—			—
Guggenheim Ultra Short Duration Fund — Institutional Class		—		46,880,462		—			—
	$	51,324,793	$	121,461,000	$	(10,617,041	)	$	3,009,778

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income		Capital Gain Distributions
Closed-End Funds
Guggenheim Strategic Opportunities Fund	$	(1,672,038	)	$	—		—	$	672,064	$	—
Common Stocks
BP Holdco LLC*		13,229			26,465		37,539		—		—
Targus Group International Equity, Inc.*		4,865			31,107		12,773		—		—
Mutual Funds
Guggenheim Alpha Opportunity Fund — Institutional Class		1,787,320			26,522,954		1,003,137		280,945		—
Guggenheim Risk Managed Real Estate Fund — Institutional Class		12,559,429			71,222,266		1,907,399		955,479		1,006,240
Guggenheim Strategy Fund II		7,016			17,552,529		702,382		45,512		—
Guggenheim Strategy Fund III		(6,214	)		15,636,354		621,971		42,567		—
Guggenheim Ultra Short Duration Fund — Institutional Class		—			46,880,462		4,702,153		80,462		—
	$	12,693,607		$	177,872,137			$	2,077,029	$	1,006,240

* Non-income producing security.

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES

MACRO OPPORTUNITIES FUND

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $8,030,763,254)	$	8,125,705,715
Investments in affiliated issuers, at value (cost $165,980,498)		177,872,137
Foreign currency, at value (cost $30,065,257)		30,065,257
Cash		102,867,480
Segregated cash with broker		45,809,233
Unamortized upfront premiums paid on interest rate swap agreements		197,181
Unrealized appreciation on forward foreign currency exchange contracts		19,307,034
Prepaid expenses		143,559
Receivables:
Securities sold		720,828,302
Interest		43,454,590
Fund shares sold		18,181,353
Variation margin on futures contracts		3,140,080
Dividends		546,953
Variation margin on credit default swap agreements		273,786
Swap settlement		33,557
Total assets		9,288,426,217
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $4,427,508)		3,698,361
Reverse repurchase agreements (Note 6)		6,599,211
Securities sold short, at value (proceeds $250,128,511)		249,869,720
Options written, at value (premiums received $13,809,621)		12,295,657
Segregated cash due to broker		36,403,601
Unamortized upfront premiums received on credit default swap agreements		16,110,272
Unamortized upfront premiums received on interest rate swap agreements		184,099
Unrealized depreciation on forward foreign currency exchange contracts		5,210,272
Payable for:
Securities purchased		1,023,959,396
Fund shares redeemed		13,791,120
Management fees		4,272,954
Distributions to shareholders		2,350,432
Variation margin on interest rate swap agreements		835,774
Transfer agent/maintenance fees		456,789
Fund accounting/administration fees		421,062
Distribution and service fees		294,409
Protection fees on credit default swap agreements		269,347
Trustees’ fees*		55,821
Due to Investment Adviser		16,576
Miscellaneous		1,769,369
Total liabilities		1,378,864,242
Net assets	$	7,909,561,975

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

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

CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (concluded)

MACRO OPPORTUNITIES FUND

September 30, 2021

Net assets consist of:
Paid in capital	$	7,939,719,531
Total distributable earnings (loss)		(30,157,556	)
Net assets	$	7,909,561,975
A-Class:
Net assets	$	435,293,290
Capital shares outstanding		16,008,724
Net asset value per share	$	27.19
Maximum offering price per share (Net asset value divided by 96.00%)	$	28.32
C-Class:
Net assets	$	207,739,495
Capital shares outstanding		7,645,189
Net asset value per share	$	27.17
P-Class:
Net assets	$	162,927,657
Capital shares outstanding		5,989,445
Net asset value per share	$	27.20
Institutional Class:
Net assets	$	6,906,534,346
Capital shares outstanding		253,634,779
Net asset value per share	$	27.23
R6-Class:
Net assets	$	197,067,187
Capital shares outstanding		7,239,444
Net asset value per share	$	27.22

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

CONSOLIDATED STATEMENT OF OPERATIONS

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $472)	$	17,169,306
Dividends from securities of affiliated issuers		2,077,029
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $12,554)		287,563,449
Total investment income		306,809,784
Expenses:
Management fees		57,582,737
Distribution and service fees:
A-Class		955,963
C-Class		2,165,820
P-Class		317,501
Transfer agent/maintenance fees:
A-Class		282,833
C-Class		190,303
P-Class		131,643
Institutional Class		4,443,318
R6-Class		6,362
Fund accounting/administration fees		4,335,782
Interest expense		1,620,292
Professional fees		751,128
Line of credit fees		549,309
Custodian fees		231,280
Trustees’ fees*		113,554
Miscellaneous		463,076
Recoupment of previously waived fees:
A-Class		394,737
C-Class		179,655
P-Class		111,319
R6-Class		41
Total expenses		74,826,653
Less:
Expenses reimbursed by Adviser:
A-Class		(69,361	)
C-Class		(28,604	)
P-Class		(40,324	)
Institutional Class		(4,392,830	)
R6-Class		(6,331	)
Expenses waived by Adviser		(3,242,788	)
Earnings credits applied		(10,714	)
Total waived/reimbursed expenses		(7,790,952	)
Net expenses		67,035,701
Net investment income		239,774,083

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

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

CONSOLIDATED STATEMENT OF OPERATIONS (concluded)

MACRO OPPORTUNITIES FUND

Year Ended September 30, 2021

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	64,596,670
Investments in affiliated issuers		3,009,778
Distributions received from affiliated investment companies		1,006,240
Investments sold short		(1,141,547	)
Swap agreements		55,098,304
Futures contracts		(45,332,263	)
Options purchased		6,492,003
Options written		13,725,964
Forward foreign currency exchange contracts		44,547,566
Foreign currency transactions		(4,328,911	)
Net realized gain		137,673,804
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		70,616,293
Investments in affiliated issuers		12,693,607
Investments sold short		258,791
Swap agreements		(8,185,269	)
Futures contracts		(4,173,561	)
Options purchased		4,157,488
Options written		1,513,964
Forward foreign currency exchange contracts		(33,844,710	)
Foreign currency translations		635,679
Net change in unrealized appreciation (depreciation)		43,672,282
Net realized and unrealized gain		181,346,086
Net increase in net assets resulting from operations	$	421,120,169

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	239,774,083		$	160,220,601
Net realized gain (loss) on investments		137,673,804			(84,989,272	)
Net change in unrealized appreciation (depreciation) on investments		43,672,282			175,183,745
Net increase in net assets resulting from operations		421,120,169			250,415,074
Distributions:
Distributions to shareholders
A-Class		(14,764,867	)		(11,564,799	)
C-Class		(6,958,834	)		(6,528,648	)
P-Class		(4,838,625	)		(3,427,318	)
Institutional Class		(238,591,049	)		(155,990,784	)
R6-Class		(6,773,294	)		—
Total distributions to shareholders		(271,926,669	)		(180,078,864	)
Capital share transactions:
Proceeds from sale of shares
A-Class		235,685,397			109,769,140
C-Class		45,952,659			15,768,558
P-Class		95,919,416			39,513,794
Institutional Class		3,976,890,531			1,756,127,971
R6-Class		71,972,977			177,460,010
Distributions reinvested
A-Class		12,141,681			9,309,460
C-Class		6,099,243			5,582,109
P-Class		4,835,559			3,425,490
Institutional Class		208,271,783			135,153,093
R6-Class		6,770,877			2,566,997
Cost of shares redeemed
A-Class		(135,116,396	)		(270,489,422	)
C-Class		(71,617,733	)		(125,607,632	)
P-Class		(39,880,927	)		(71,527,362	)
Institutional Class		(1,501,457,579	)		(3,253,519,833	)
R6-Class		(22,498,771	)		(44,704,950	)
Net increase (decrease) from capital share transactions		2,893,968,717			(1,511,172,577	)
Net increase (decrease) in net assets		3,043,162,217			(1,440,836,367	)
Net assets:
Beginning of year		4,866,399,758			6,307,236,125
End of year	$	7,909,561,975		$	4,866,399,758

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

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (concluded)

MACRO OPPORTUNITIES FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		8,625,070			4,307,718
C-Class		1,685,027			619,207
P-Class		3,504,866			1,570,044
Institutional Class		145,580,629			69,459,364
R6-Class		2,630,538			6,828,040
Shares issued from reinvestment of distributions
A-Class		446,031			364,891
C-Class		224,373			218,971
P-Class		177,495			134,225
Institutional Class		7,636,796			5,288,587
R6-Class		248,502			100,256
Shares redeemed
A-Class		(4,959,407	)		(10,663,377	)
C-Class		(2,626,829	)		(4,940,194	)
P-Class		(1,476,585	)		(2,812,895	)
Institutional Class		(55,109,331	)		(128,005,044	)
R6-Class		(829,134	)		(1,764,938	)
Net increase (decrease) in shares		105,758,041			(59,295,145	)

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

CONSOLIDATED FINANCIAL HIGHLIGHTS

MACRO OPPORTUNITIES FUND

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

A-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.31		$	25.82		$	26.53		$	26.67		$	26.01
Income (loss) from investment operations:
Net investment income (loss)a		.91			.74			.72			.72			.95
Net gain (loss) on investments (realized and unrealized)		1.04			.61			(.62	)		(.08	)		.68
Total from investment operations		1.95			1.35			.10			.64			1.63
Less distributions from:
Net investment income		(1.07	)		(.86	)		(.79	)		(.78	)		(.97	)
Net realized gains		—			—			(.02	)		—			—
Total distributions		(1.07	)		(.86	)		(.81	)		(.78	)		(.97	)
Net asset value, end of period	$	27.19		$	26.31		$	25.82		$	26.53		$	26.67
Total Returnb		7.49	%		5.39	%		0.41	%		2.42	%		6.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	435,293		$	312,986		$	461,781		$	714,630		$	893,104
Ratios to average net assets:
Net investment income (loss)		3.35	%		2.90	%		2.76	%		2.72	%		3.58	%
Total expensesc		1.43	%		1.51	%		1.47	%		1.43	%		1.42	%
Net expensesd,e,f		1.37	%		1.39	%		1.39	%		1.33	%		1.27	%
Portfolio turnover rate		84	%		130	%		46	%		66	%		61	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

C-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.29		$	25.80		$	26.52		$	26.65		$	25.99
Income (loss) from investment operations:
Net investment income (loss)a		.72			.55			.52			.53			.75
Net gain (loss) on investments (realized and unrealized)		1.03			.61			(.62	)		(.08	)		.68
Total from investment operations		1.75			1.16			(.10	)		.45			1.43
Less distributions from:
Net investment income		(.87	)		(.67	)		(.60	)		(.58	)		(.77	)
Net realized gains		—			—			(.02	)		—			—
Total distributions		(.87	)		(.67	)		(.62	)		(.58	)		(.77	)
Net asset value, end of period	$	27.17		$	26.29		$	25.80		$	26.52		$	26.65
Total Returnb		6.70	%		4.60	%		(0.37	%)		1.69	%		5.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	207,739		$	219,866		$	321,576		$	433,121		$	434,634
Ratios to average net assets:
Net investment income (loss)		2.64	%		2.15	%		2.00	%		1.98	%		2.83	%
Total expensesc		2.18	%		2.25	%		2.20	%		2.18	%		2.14	%
Net expensesd,e,f		2.12	%		2.15	%		2.13	%		2.09	%		2.03	%
Portfolio turnover rate		84	%		130	%		46	%		66	%		61	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

P-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.32		$	25.82		$	26.54		$	26.68		$	26.02
Income (loss) from investment operations:
Net investment income (loss)a		.91			.74			.71			.73			.92
Net gain (loss) on investments (realized and unrealized)		1.04			.62			(.62	)		(.09	)		.71
Total from investment operations		1.95			1.36			.09			.64			1.63
Less distributions from:
Net investment income		(1.07	)		(.86	)		(.79	)		(.78	)		(.97	)
Net realized gains		—			—			(.02	)		—			—
Total distributions		(1.07	)		(.86	)		(.81	)		(.78	)		(.97	)
Net asset value, end of period	$	27.20		$	26.32		$	25.82		$	26.54		$	26.68
Total Return		7.48	%		5.42	%		0.37	%		2.42	%		6.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	162,928		$	99,575		$	126,334		$	160,578		$	188,980
Ratios to average net assets:
Net investment income (loss)		3.33	%		2.91	%		2.73	%		2.73	%		3.48	%
Total expensesc		1.45	%		1.50	%		1.46	%		1.46	%		1.44	%
Net expensesd,e,f		1.37	%		1.40	%		1.39	%		1.33	%		1.26	%
Portfolio turnover rate		84	%		130	%		46	%		66	%		61	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

Institutional Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	26.34		$	25.85		$	26.57		$	26.71		$	26.04
Income (loss) from investment operations:
Net investment income (loss)a		1.02			.85			.81			.84			1.02
Net gain (loss) on investments (realized and unrealized)		1.05			.60			(.61	)		(.09	)		.71
Total from investment operations		2.07			1.45			.20			.75			1.73
Less distributions from:
Net investment income		(1.18	)		(.96	)		(.90	)		(.89	)		(1.06	)
Net realized gains		—			—			(.02	)		—			—
Total distributions		(1.18	)		(.96	)		(.92	)		(.89	)		(1.06	)
Net asset value, end of period	$	27.23		$	26.34		$	25.85		$	26.57		$	26.71
Total Return		7.91	%		5.84	%		0.77	%		2.83	%		6.73	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,906,534		$	4,097,303		$	5,396,868		$	6,065,678		$	4,591,424
Ratios to average net assets:
Net investment income (loss)		3.74	%		3.32	%		3.12	%		3.15	%		3.86	%
Total expensesc		1.08	%		1.17	%		1.13	%		1.08	%		1.06	%
Net expensesd,e,f		0.96	%		0.99	%		0.98	%		0.93	%		0.91	%
Portfolio turnover rate		84	%		130	%		46	%		66	%		61	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)

MACRO OPPORTUNITIES FUND

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

R6-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019g
Per Share Data
Net asset value, beginning of period	$	26.34		$	25.84		$	25.98
Income (loss) from investment operations:
Net investment income (loss)a		1.02			.87			.36
Net gain (loss) on investments (realized and unrealized)		1.04			.58			(.03	)
Total from investment operations		2.06			1.45			.33
Less distributions from:
Net investment income		(1.18	)		(.95	)		(.47	)
Total distributions		(1.18	)		(.95	)		(.47	)
Net asset value, end of period	$	27.22		$	26.34		$	25.84
Total Return		7.91	%		5.81	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	197,067		$	136,669		$	676
Ratios to average net assets:
Net investment income (loss)		3.74	%		3.41	%		2.79	%
Total expensesc		1.01	%		1.09	%		1.11	%
Net expensesd,e,f		0.96	%		0.99	%		1.03	%
Portfolio turnover rate		84	%		130	%		46	%

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

CONSOLIDATED FINANCIAL HIGHLIGHTS (concluded)

MACRO OPPORTUNITIES FUND

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

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.10%	0.03%	0.02%	0.04%	0.02%
C-Class	0.08%	0.05%	0.05%	0.11%	0.04%
P-Class	0.09%	0.03%	0.04%	0.04%	0.02%
Institutional Class	—	0.00%*	0.00%*	—	—
R6-Class	0.00%*	0.00%*	0.00%*,g	N/A	N/A

	*	Less than 0.01%
f	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.33%	1.33%	1.33%	1.31%	1.25%
C-Class	2.08%	2.08%	2.07%	2.06%	2.00%
P-Class	1.33%	1.33%	1.33%	1.31%	1.24%
Institutional Class	0.92%	0.92%	0.92%	0.90%	0.88%
R6-Class	0.92%	0.92%	0.92%g	N/A	N/A

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Macro Opportunities Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Consolidation of Subsidiary

The consolidated financial statements of the Fund include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Fund.

92 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

A summary of the Fund’s investment in its Subsidiary is as follows:

Inception Date of Subsidiary		Subsidiary Net Assets at September 30, 2021		% of Net Assets of the Fund at September 30, 2021
	01/08/15	$	23,871,117		0.3	%

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

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

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation

THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

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

Equity securities listed 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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid 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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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

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

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

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

The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

(c) U.S. Government and Agency Obligations

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

(d) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks,

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

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 Fund’s Consolidated Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. 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 Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(e) Interest on When-Issued Securities

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

(f) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(g) Options

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

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

The Fund may purchase and write 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 it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate swap agreement at any time before the expiration of the option. The swaptions are forward premium swaptions which have extended settlement dates.

(h) Futures Contracts

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

(i) Swap Agreements

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

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

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

(j) Currency Translations

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

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

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

(k) Forward Foreign Currency Exchange Contracts

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(l) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Consolidated Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Consolidated Statement of Assets and Liabilities.

(m) Security Transactions

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

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

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

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(n) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(o) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(p) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Consolidated Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Consolidated Statement of Operations.

(q) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(r) Indemnifications

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 2 – Financial Instruments and Derivatives

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

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund utilized derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

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

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

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

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Options Purchased and Written

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

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

	Average Notional Amount
Use	Call		Put
Duration, Hedge, Speculation	$	3,833,927,388	$	222,080,497

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

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

	Average Notional Amount
Use	Call		Put
Hedge, Speculation	$	80,604,933	$	165,467,055

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 Consolidated Statement of Assets and Liabilities; securities held as collateral are noted on the Consolidated Schedule of Investments.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Hedge, Income, Speculation	$	75,730,205	$	55,389,910

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income, Index exposure, Speculation	$	244,430,346	$	1,822,623

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

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The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge, Speculation	$	14,624,581,333	$	190,661,667

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. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Income, Index exposure	$	192,050,000	$	44,075,000

Forward Foreign Currency Exchange Contracts

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

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

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

	Average Value
Use	Purchased		Sold
Hedge, Income	$	451,580,493	$	760,577,348

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Commodity futures contracts	Variation margin on futures contracts
Credit/Interest Rate swap contracts	Unamortized upfront premiums paid on interest rate swap agreements	Unamortized upfront premiums received on credit default swap agreements
	Variation margin on credit default swap agreements	Unamortized upfront premiums received on interest rate swap agreements
		Variation margin on interest rate swap agreements
Equity/Currency/Interest Rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Futures Commodity Risk*		Swaps Credit Risk*		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total Value at September 30, 2021
	$	775,628	$	13,823	$	—	$	15,615,060	$	19,307,034	$	904,714	$	37,639,623	$	74,255,882

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Futures Commodity Risk*		Swaps Credit Risk*		Options Written Equity Risk		Forward Foreign Currency Exchange Risk		Options Written Foreign Currency Exchange Risk		Options Written Interest Rate Risk		Total Value at September 30, 2021
	$	3,097,451	$	9,232,458	$	140,470	$	6,346,375	$	5,210,272	$	2,482,518	$	3,466,764	$	29,976,308

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Consolidated Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Consolidated Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Consolidated Statement of Operations for the year ended September 30, 2021:

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Consolidated Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statement of Operations
Swaps Equity Risk			Futures Interest Rate Risk		Swaps Interest Rate Risk			Futures Commodity Risk			Swaps Credit Risk		Options Written Equity Risk		Options Purchased Commodity Risk
$	(3,257,796	)	$	94,051	$	(9,236,911	)	$	(45,426,314	)	$	67,593,011	$	507	$	(961,227	)

Forward Foreign Currency Exchange Risk		Options Purchased Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk		Options Written Foreign Currency Exchange Risk		Options Written Interest Rate Risk		Options Written Commodity Risk		Total
$	44,547,566	$	(4,341,521	)	$	11,794,751	$	10,062,416	$	—	$	3,663,041	$	74,531,574

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statement of Operations
Swaps Equity Risk		Futures Interest Rate Risk		Swaps Interest Rate Risk			Futures Commodity Risk			Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk
$	2,318,008	$	—	$	(2,920,150	)	$	(4,173,561	)	$	(7,583,127	)	$	1,306,074	$	1,303,680

Forward Foreign Currency Exchange Risk			Options Purchased Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk		Options Written Foreign Currency Exchange Risk		Options Written Interest Rate Risk		Options Written Commodity Risk		Total
$	(33,844,710	)	$	(59,089	)	$	2,912,897	$	140,942	$	66,948	$	—	$	(40,532,088	)

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case

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

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

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

Note 3 – Offsetting

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

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

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

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities.

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The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Assets Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	19,307,034	$	—	$	19,307,034	$	(3,407,859	)	$	(7,001,484	)	$	8,897,691
Options purchased		54,159,397		—		54,159,397		(10,284,477	)		(17,229,659	)		26,645,261

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	5,210,272	$	—	$	5,210,272	$	(3,407,859	)	$	(956,326	)	$	846,087
Options written		11,390,982		—		11,390,982		(10,284,477	)		(643,260	)		463,245

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

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The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	950,000	$	—
BNP Paribas	Forward foreign currency exchange contracts, Options		—		450,000
BofA Securities, Inc.	Forward foreign currency exchange contracts, Options		—		555,000
Citibank, N.A.	Forward foreign currency exchange contracts, Options		—		9,369,903
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		10,810,000
J.P. Morgan Securities LLC	Credit default swap agreements		16,244,513		—
J.P. Morgan Securities LLC	Futures contracts		14,694,350		—
J.P. Morgan Securities LLC	Interest rate swap agreements		13,830,370		1,228,698
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		90,000		—
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		13,850,000
UBS AG	Forward foreign currency exchange contracts, Options		—		140,000
		$	45,809,233	$	36,403,601

Note 4 – Fair Value Measurement

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

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

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

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

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

Independent pricing services are used to value a majority of the Fund’s 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 Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

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

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

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

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

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees at an annual rate based on the average daily net assets as follows:

Average Daily Net Assets	Annualized Rate
$5 billion or less		0.89	%
> $5 billion		0.84	%

GI has contractually agreed to waive the management fee it receives from the Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Fund invests in the Subsidiary, and may not be terminated by GI unless

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

GI obtains the prior approval of the Fund’s Board for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $244,617 related to advisory fees in the Subsidiary.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
Macro Opportunities Fund - A-Class		1.36	%		11/30/12		02/01/23
Macro Opportunities Fund - C-Class		2.11	%		11/30/12		02/01/23
Macro Opportunities Fund - P-Class		1.36	%		05/01/15		02/01/23
Macro Opportunities Fund - Institutional Class		0.95	%		11/30/12		02/01/23
Macro Opportunities Fund - R6-Class		0.95	%		03/13/19		02/01/23

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

Fund	2022		2023		2024		Total
A-Class	$	229,185	$	249,814	$	196,169	$	675,168
C-Class		116,410		150,071		102,752		369,233
P-Class		49,360		65,030		81,801		196,191
Institutional Class		6,566,140		5,879,352		6,245,889		18,691,381
R6-Class		3,985		41,632		59,463		105,080

For the year ended September 30, 2021, GI recouped $685,752 from the Fund.

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If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $849,547 related to investments in affiliated funds.

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

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

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

Note 6 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, the Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2021, the Fund entered into reverse repurchase agreements:

Number of Days Outstanding		Balance at September 30, 2021		Average Balance Outstanding		Average Interest Rate
	365	$	6,599,211	$	87,876,243		0.45	%

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Consolidated Statement of Assets and Liabilities in conformity with U.S. GAAP:

							Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Consolidated Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Consolidated Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse Repurchase Agreements	$	6,599,211	$	—	$	6,599,211	$	(6,599,211	)	$	—	$	—

As of September 30, 2021, there was $6,599,211 in reverse repurchase agreements outstanding. The Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Range of Interest Rates			Maturity Dates		Repurchase Price
RBC Capital Markets		(0.50)% - (0.25)%	*		Open Maturity	$	6,599,211

* The rate is adjusted periodically by the counterparty, subject to approval by the Adviser, and is not based upon a set reference rate and spread. Rate indicated is the rate effective as of September 30, 2021.

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of period-end, aggregated by asset class of the related collateral pledged by the Fund:

	Overnight and continuous		Total
Corporate Bonds	$	6,599,211	$	6,599,211
Gross amount of recognized liabilities for reverse repurchase agreements	$	6,599,211	$	6,599,211

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Note 7 – Federal Income Tax Information

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

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

The Fund intends to invest up to 25% of its assets in the Subsidiary which is expected to provide the Fund with exposure to the commodities markets within the limitations of the U.S. federal income tax requirements under Subchapter M of the Internal Revenue Code. The Fund has received a private letter ruling from the IRS that concludes that the income the Fund receives from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	271,926,669	$	—	$	271,926,669

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	180,078,864	$	—	$	180,078,864

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences		Total
$	—	$	—	$	(50,087,712	)	$	(4,479,614	)	$	24,409,770	$	(30,157,556	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. Under the RIC Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital loss carryforwards will retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:

Utilized
$	126,906,052

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, the “mark-to-market” of certain derivatives, investments in swaps, investments in bonds, foreign currency gains and losses, losses deferred due to wash sales, dividend payable, amortization, recharacterization of income from investments, and transactions with the Fund’s wholly owned foreign subsidiary. Additional differences may result from investments in partnerships, the “mark-to-market” of certain foreign currency denominated securities, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Consolidated Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Paid In Capital			Total Distributable Earnings/(Loss)
$	(44,750,150	)	$	44,750,150

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At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	8,136,525,884	$	175,082,829	$	(226,779,027	)	$	(51,696,198	)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:

Ordinary			Capital
$	(4,479,614	)	$	—

Note 8 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	6,349,509,349	$	5,152,218,602

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	142,662,485	$	97,905,838

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	25,180,020	$	110,950,539	$	9,486,109

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2021, were as follows:

Borrower	Maturity Date		Face Amount*		Value
BCPE Empire Holdings, Inc.		06/11/26		4,640,000	$	22,290
CapStone Acquisition Holdings, Inc.		11/12/27		3,807,600		33,123
Care BidCo		04/15/26	EUR	9,200,000		971,468
DG Investment Intermediate Holdings 2, Inc.		03/31/28		139,753		—
Eisner Advisory Group		07/28/28		545,455		—
Fortis Solutions Group LLC		12/15/23		503,680		5,037
Galls LLC		01/31/24		71,554		3,626
Higginbotham		11/25/26		523,988		6,730
HighTower Holding LLC		04/21/28		3,420,000		4,275
ImageFIRST Holdings LLC		04/26/28		1,657,407		4,144
Jones Deslauriers Insurance Management, Inc.		03/26/29	CAD	1,062,000		—
KKR Core Holding Company LLC		07/15/31		19,520,000		—
MB2 Dental Solutions LLC		12/22/21		9,972,774		40,113
Medline Industries, Inc.		08/06/22		38,400,000		—
National Mentor Holdings, Inc.		03/02/28		670,000		3,058
Osmosis Holdings Australia II Pty Ltd.		07/31/28		727,778		—
Polaris Newco LLC		06/04/26		10,433,121		1,049,461
Pro Mach Group, Inc.		08/31/28		300,279		—
SCP Eye Care Services LLC		03/16/28		2,407,955		3,010
Service Logic Acquisition, Inc.		10/29/27		2,128,358		—
Taxware Holdings (Sovos Compliance LLC)		08/11/28		559,589		—
Team.Blue Finco SARL		03/27/28	EUR	756,757		2,034
TricorBraun Holdings, Inc.		03/03/28		1,136,343		6,954
Venture Global Calcasieu Pass LLC		08/19/26		2,780,288		152,916
Vertical (TK Elevator)		01/30/27	EUR	13,250,000		1,390,122
					$	3,698,361

*	The face amount is denominated in U.S. dollars unless otherwise indicated.
	CAD - Canadian Dollar
	EUR - Euro

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

Note 10 – Restricted Securities

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

Restricted Securities	Acquisition Date		Cost		Value
Airplanes Pass Through Trust
2001-1A, due 03/15/191		01/18/12	$	1,691,717	$	210
Atlas Mara Ltd.
due 12/31/211		10/01/15		14,291,331		6,942,240
Basic Energy Services, Inc.
due 10/15/231		09/25/18		1,493,094		112,500
Copper River CLO Ltd.
2007-1A, due 01/20/212		05/09/14		228,522		278,974
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		22,393,247		22,382,728
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,710,483		94,271
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27		12/17/12		1,108,974		1,012,698
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 4.70% due 06/15/48		05/25/18		6,722,507		6,893,760
			$	49,639,875	$	37,717,381

1	Security is in default of interest and/or principal obligations.
2	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 11 – Line of Credit

The Trust, along with other affiliated trusts, secured a 364-day committed, $1,230,000,000 line of credit from Citibank, N.A., which was in place through October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Consolidated Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (concluded)

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 12 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 13 – Subsequent Events

The Fund evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Fund’s consolidated financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Macro Opportunities Fund

Opinion on the Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities of Guggenheim Macro Opportunities Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the consolidated schedule of investments, as of September 30, 2021, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and the consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

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

Tysons, Virginia
November 29, 2021

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

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

In January 2022, 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 2021.

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

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income		Dividend Received Deduction		Qualified Interest Income		Qualified Short-Term Capital Gain
	1.94%		1.88%		78.50%		100.00%

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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OTHER INFORMATION (Unaudited)(continued)

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

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

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors

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and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related

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services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

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

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

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

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

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

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s

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OTHER INFORMATION (Unaudited)(continued)

increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

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

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

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

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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OTHER INFORMATION (Unaudited)(continued)

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

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OTHER INFORMATION (Unaudited)(continued)

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

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

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

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

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

As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund

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OTHER INFORMATION (Unaudited)(continued)

business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

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

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

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

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

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

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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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 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers. How We Handle Your Personal Information The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we

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offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law. In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. 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

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose

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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 | 149

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

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

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

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

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

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

150 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Floating Rate Strategies Fund

GuggenheimInvestments.com FR-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
FLOATING RATE STRATEGIES FUND	9
NOTES TO FINANCIAL STATEMENTS	45
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	63
OTHER INFORMATION	65
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	79
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	86
LIQUIDITY RISK MANAGEMENT PROGRAM	90

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”) is pleased to present the shareholder report for Guggenheim Floating Rate Strategies Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

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

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

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

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

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

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.

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

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

*Index Definitions

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

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

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

Credit Suisse Leveraged Loan Index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

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

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

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

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

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

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

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

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

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

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	1.02%	2.60%	$ 1,000.00	$ 1,026.00	$ 5.18
C-Class	1.77%	2.22%	1,000.00	1,022.20	8.97
P-Class	1.02%	2.60%	1,000.00	1,026.00	5.18
Institutional Class	0.78%	2.72%	1,000.00	1,027.20	3.96
R6-Class	0.78%	2.75%	1,000.00	1,027.50	3.96
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	1.02%	5.00%	$ 1,000.00	$ 1,019.95	$ 5.16
C-Class	1.77%	5.00%	1,000.00	1,016.19	8.95
P-Class	1.02%	5.00%	1,000.00	1,019.95	5.16
Institutional Class	0.78%	5.00%	1,000.00	1,021.16	3.95
R6-Class	0.78%	5.00%	1,000.00	1,021.16	3.95

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Floating Rate Strategies Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Kevin H. Gundersen, Senior Managing Director and Portfolio Manager; and Thomas J. Hauser, Senior Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide a high level of current income while maximizing total return. The Fund seeks to exploit the broader universe of floating rate securities, including bank loans, asset-backed securities, collateralized loan obligations, and mortgage-backed securities and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance. The Fund may complement traditional fixed-income allocation, providing diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) as well as the potential to maximize income in various rate environments.

Performance Review and Positioning

For the one-year period ended September 30, 2021, Guggenheim Floating Rate Strategies Fund returned 7.83%¹ net of fees, compared with the 8.46% return of its benchmark, the Credit Suisse Leveraged Loan Index (the “Index”).

Leveraged credit reached its sixth straight quarter of positive performance at period end, with continued spread of the Delta variant and volatility around possible Fed tapering muting performance in the third quarter of 2021. Even as leveraged credit spreads continued to tighten, the pace of tightening has slowed as we approach historical tights and with yields still sitting near record lows. The bank loan market is currently benefitting from robust demand technicals, supportive fundamentals and an improving economy, mitigated by macroeconomic concerns and declining support from policymakers. Factoring all of these dynamics together, we expect mostly coupon-like returns for the remainder of the year with the potential for moderate spread tightening over the medium-term, punctuated by periods of volatility given macroeconomic dynamics (supply chain / inflation / labor constraints), issues in China, Delta variant challenges and declining policy support.

Despite pressure on earnings from wage inflation and input costs, fundamentals remain very strong across the loan market. Performance of public filing constituents in the S&P Leveraged Loan Index indicated that Earnings before interest, taxes, depreciation, and amortization (“EBITA”) was growing at the fastest rate since 2010. Total leverage is now well below pre-

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

pandemic at 5.0x, and interest coverage is at record highs of 5.5x, providing a cash flow buffer in the event of rising rates. We continue to see upgrades with a ~2x upgrade to downgrade ratio at period end coupled with low distress and default rates as well as minimal near-term maturities.

New issuance picked up to $155 billion in the third quarter of 2021, and collateralized loan obligation (“CLO”) issuance of $47 billion set a quarterly record. In terms of demand, both CLOs and mutual funds continued surging in assets under management (“AUM”). Mutual fund flows of $8 billion were slowing slightly in the third quarter of 2021 but remained solid.

Throughout the period, lower quality continued to outperform, but the extent moderated as the period progressed. Spread premiums by rating tier (such as the premium of B rated bonds over BB rated bonds) stabilized toward period end.

In terms of Fund performance, the combination of strong gains across stressed positions and avoiding credit issues across the loan market drove relative returns. Outperformance from these factors was offset by an underweight to CCC rated bonds, which continued outperforming in line with recent trends--still well above the broad market. The Fund used derivatives in the form of forward foreign currency exchange contracts to hedge currency exposure on foreign-denominated bonds. The hedges had an immaterial impact on performance for the period.

We continue to remain cautious on the lower end of the credit curve given tight levels. CCC rated bond spreads remain approximately in line with 10-year tights, having stalled in compressing further coincident with the arrival of the Delta variant. Likely macro headwinds ahead lead us to remain focused on mid to higher quality issuers. At the same time, we are also focused primarily on the new issue market for capital deployment, where spreads remain attractive and we are able to both maintain and increase current portfolio spread levels while still investing conservatively versus market supply. Even with spreads at historically tight levels, history has shown that they can remain at compressed levels and even tighten further during periods of economic expansion. We would likely view any pullback in loans as a buying opportunity given our view that the credit cycle has a few more years to run.

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

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

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

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

FLOATING RATE STRATEGIES FUND

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
SPDR Blackstone Senior Loan ETF	2.7%
American Tire Distributors, Inc., 8.50%	2.0%
Standard Industries, Inc.	0.9%
Triton Water Holdings, Inc., 4.00%	0.9%
Element Solutions, Inc., 2.08%	0.9%
Quikrete Holdings, Inc.	0.9%
First Brands Group LLC, 6.00%	0.9%
Beacon Roofing Supply, Inc., 2.33%	0.9%
USI, Inc., 3.13%	0.9%
Park River Holdings, Inc., 4.00%	0.9%
Top Ten Total	11.9%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Cumulative Fund Performance*

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (11/30/11)
A-Class Shares	7.83%	3.40%	4.48%
A-Class Shares with sales charge‡	4.62%	2.77%	3.96%
C-Class Shares	7.03%	2.63%	3.71%
C-Class Shares with CDSC§	6.03%	2.63%	3.71%
Institutional Class Shares	8.08%	3.64%	4.73%
Credit Suisse Leveraged Loan Index	8.46%	4.64%	4.89%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	7.83%	3.40%	3.30%
Credit Suisse Leveraged Loan Index	8.46%	4.64%	4.22%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	8.06%	3.88%
Credit Suisse Leveraged Loan Index	8.46%	4.53%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 3.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 3.00% maximum sales charge is used to calculated performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	0.0%**
AA	0.4%
BBB	8.7%
BB	29.0%
B	46.3%
CCC	2.4%
CC	0.7%
NR2	0.9%
Other Instruments	11.6%
Total Investments	100.0%

1	Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.
2	NR (not rated) securities do not necessarily indicate low credit quality.
**	Less than 0.1%.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Shares		Value
COMMON STOCKS††† - 0.3%
Energy - 0.3%
Unit Corp.††,*		54,605	$	1,665,452
Permian Production Partners LLC*		401,481		509,881
Total Energy				2,175,333
Industrial - 0.0%
BP Holdco LLC*,1		244,278		172,216
Vector Phoenix Holdings, LP*		244,278		67,177
API Heat Transfer Parent LLC*		4,994,727		5
Total Industrial				239,398
Consumer, Non-cyclical - 0.0%
Targus Group International Equity, Inc.*,1		12,773		31,108
Chef Holdings, Inc.*		94		4,838
Total Consumer, Non-cyclical				35,946
Total Common Stocks
(Cost $2,022,479)				2,450,677
PREFERRED STOCKS††† - 0.0%
Industrial - 0.0%
API Heat Transfer Intermediate*		618		—
Total Preferred Stocks
(Cost $493,920)				—
EXCHANGE-TRADED FUNDS† - 2.7%
SPDR Blackstone Senior Loan ETF		544,780		25,070,776
Total Exchange-Traded Funds
(Cost $25,016,730)				25,070,776
MONEY MARKET FUND† - 9.4%
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%2		86,654,335		86,654,335
Total Money Market Fund
(Cost $86,654,335)				86,654,335
	Face Amount~
SENIOR FLOATING RATE INTERESTS††,5 - 89.5%
Industrial - 22.4%
Standard Industries, Inc.
3.00% due 09/22/28		8,000,000		8,004,320
Quikrete Holdings, Inc.
3.00% due 05/22/28		8,000,000		7,971,040
Beacon Roofing Supply, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/19/28		7,980,000		7,930,923
Park River Holdings, Inc.
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		7,930,125		7,895,470
Core & Main, LP
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 07/27/28		7,700,000		7,661,500
Atlantic Aviation
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 09/22/28		7,650,000		7,639,061

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
BWAY Holding Co.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		7,714,709	$	7,549,537
STS Operating, Inc. (SunSource)
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 12/11/24		7,465,853		7,444,874
Genesee & Wyoming, Inc.
2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 12/30/26		7,424,623		7,375,695
Alliance Laundry Systems LLC
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/08/27		7,216,125		7,222,547
Berry Global, Inc.
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		7,086,938		7,042,644
Engineered Machinery Holdings, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/19/28		7,000,000		6,979,560
LTI Holdings, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/08/25		6,900,945		6,798,535
Titan Acquisition Ltd. (Husky)
3.17% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		6,870,339		6,740,765
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27		6,473,734		6,449,458
TransDigm, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		3,554,774		3,510,339
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		2,922,563		2,885,739
Cushman & Wakefield US Borrower LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		6,261,512		6,200,462
Charter Next Generation, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		5,726,500		5,736,350
Clean Harbors, Inc.
due 09/21/28		5,700,000		5,697,606
Duran Group Holding GMBH
4.00% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/29/24	EUR	3,791,039		4,331,455

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 12/20/24	EUR	961,721	$	1,098,815
Altra Industrial Motion Corp.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/01/25		5,394,516		5,359,451
Reynolds Group Holdings, Inc.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/05/26		4,930,225		4,893,248
Gardner Denver, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		4,962,217		4,891,902
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		4,614,975		4,594,808
DG Investment Intermediate Holdings 2, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/31/28		3,838,588		3,851,601
Pro Mach Group, Inc.
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 1.00%) due 08/31/28		3,785,475		3,801,715
Brown Group Holding LLC
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 06/07/28		3,737,527		3,732,855
Hillman Group, Inc.
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28		3,700,000		3,694,450
Berlin Packaging LLC
4.25% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/13/28		3,450,000		3,444,963
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		2,800,000		2,973,264
Savage Enterprises LLC
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 09/15/28		2,950,000		2,945,840
TricorBraun Holdings, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		2,945,027		2,927,004
Ravago Holdings America, Inc.
2.64% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28		2,835,750		2,821,571

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
United Airlines, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		2,361,741	$	2,376,242
USIC Holding, Inc.
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 05/12/28		2,350,000		2,347,063
Air Canada
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		2,200,000		2,207,326
Osmose Utility Services, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 06/23/28		2,050,000		2,041,042
TK Elevator Midco GmbH
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		1,885,786		1,888,407
YAK MAT (YAK ACCESS LLC)
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		2,550,000		1,765,875
Ring Container Technologies Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 08/14/28		1,750,000		1,750,875
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,3		3,333,560		1,166,746
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,3		577,047		418,359
TAMKO Building Products, Inc.
3.11% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26		1,190,886		1,183,443
Total Industrial				207,244,745
Consumer, Non-cyclical - 17.1%
Triton Water Holdings, Inc.
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 03/31/28		8,000,000		7,985,040
Hayward Industries, Inc.
3.00% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 05/29/28		7,780,500		7,756,225
SRAM LLC
3.25% (1 Month USD LIBOR + 2.75% and 3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 05/18/28		7,636,364		7,623,611

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Bombardier Recreational Products, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		7,457,610	$	7,390,044
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		7,412,750		7,222,168
Medline Borrower LP
due 09/28/28		7,000,000		6,965,000
Froneri US, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		6,813,750		6,728,578
Aramark Services, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25		6,400,000		6,253,312
VC GB Holdings I Corp.
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/21/28		6,250,000		6,243,500
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		6,000,071		5,998,570
Springs Window Fashions
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 06/16/25		4,302,410		4,302,410
8.58% (1 Month USD LIBOR + 8.50%, Rate Floor: 8.50%) due 06/15/26		1,350,000		1,350,000
Recess Holdings, Inc.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 09/30/24		5,579,144		5,546,617
US Foods, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23		5,043,335		5,011,814
Phoenix Newco, Inc.
due 08/03/28		5,000,000		5,000,800
DaVita, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/12/26		4,949,622		4,918,687
Cidron New Bidco Ltd.
3.00% (3 Month EURIBOR + 3.00%, Rate Floor: 3.00%) due 04/16/25	EUR	4,125,000		4,710,060
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		4,674,394		4,691,923
IQVIA Holdings, Inc.
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/11/25		4,521,422		4,510,119

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Weber-Stephen Products LLC
4.00% (1 Month USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 10/29/27		4,122,921	$	4,130,136
Examworks Group, Inc.
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23		3,590,576		3,589,822
Icon Luxembourg SARL
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28		3,541,125		3,552,421
Grifols Worldwide Operations USA, Inc.
2.07% (1 Week USD LIBOR + 2.00%, Rate Floor: 2.00%) due 11/15/27		3,501,315		3,442,948
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	3,000,000		3,374,722
Option Care Health, Inc.
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		3,175,758		3,174,170
Aveanna Healthcare LLC
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/17/28		3,164,151		3,160,196
Catalent Pharma Solutions, Inc.
due 02/22/28		3,100,000		3,099,225
Energizer Holdings, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		2,835,750		2,832,205
MajorDrive Holdings IV LLC
4.50% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/01/28		2,350,000		2,353,666
Elanco Animal Health, Inc.
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		2,275,738		2,246,472
Arctic Glacier Group Holdings, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 03/20/24		2,272,564		2,157,982
Osmosis Holdings Australia II Pty Ltd.
4.50% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 07/31/28		2,000,000		2,005,500

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Cambrex Corp.
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 12/04/26		1,885,750	$	1,887,428
Endo Luxembourg Finance Company I SARL
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28		1,910,400		1,864,761
PPD, Inc.
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 01/13/28		1,492,500		1,489,396
HCRX Investments HoldCo, LP
due 07/15/28		1,450,000		1,444,562
Valeant Pharmaceuticals International, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25		1,405,828		1,403,719
Upstream Newco, Inc.
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 11/20/26		750,000		749,535
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27†††		121,212		121,667
Total Consumer, Non-cyclical				158,289,011
Consumer, Cyclical - 12.0%
American Tire Distributors, Inc.
8.50% (1 Month USD LIBOR + 7.50% and 3 Month USD LIBOR + 7.50%, Rate Floor: 8.50%) due 09/02/24		18,744,292		18,723,861
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 09/01/23		2,017,146		2,013,111
First Brands Group LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 03/30/27		7,860,500		7,931,244
Stars Group (Amaya)
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		7,650,000		7,621,313
IBC Capital Ltd.
3.87% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23		7,164,368		7,058,693
Zephyr Bidco Ltd.
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	5,265,000		7,056,255
Power Solutions (Panther)
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		6,847,618		6,813,380

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Alterra Mountain Co.
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28		6,690,616	$	6,665,526
PetSmart LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		6,350,000		6,359,080
Burlington Stores, Inc.
2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/26/28		4,750,000		4,730,193
EG Finco Ltd.
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25	EUR	3,332,891		3,841,358
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 02/07/25		773,591		770,566
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		4,472,710		4,449,407
CNT Holdings I Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27		3,781,000		3,783,382
CHG Healthcare Services, Inc.
due 09/20/28		3,050,000		3,053,264
Mavis Tire Express Services TopCo Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28		2,992,500		2,997,946
Truck Hero, Inc.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28		2,835,750		2,828,065
WIRB - Copernicus Group, Inc.
5.00% (1 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 01/08/27		2,550,000		2,558,772
Seren BidCo AB
due 07/21/28		2,200,000		2,193,576
Alexander Mann
5.17% (6 Month GBP LIBOR + 5.00%, Rate Floor: 5.00%) due 06/16/25	GBP	1,540,000		1,999,584
Entain Holdings (Gibraltar) Limited
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/29/27		1,895,250		1,891,706
WW International, Inc.
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 04/13/28		1,745,625		1,742,361

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
American Trailer World Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/03/28		1,596,000	$	1,587,621
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28†††		1,396,500		1,405,228
SHO Holding I Corp.
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 04/26/24†††		564,599		533,547
6.23% (3 Month USD LIBOR + 5.23%, Rate Floor: 6.23%) due 04/29/24†††		9,357		8,843
Total Consumer, Cyclical				110,617,882
Communications - 11.6%
Xplornet Communications, Inc.
due 09/28/28		7,300,000		7,263,500
4.84% (1 Month USB LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27		3,950,000		3,945,063
Virgin Media Bristol LLC
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		7,916,233		7,859,869
WMG Acquisition Corp.
2.21% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28		7,250,000		7,206,210
McGraw Hill LLC
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		7,100,000		7,115,194
CSC Holdings LLC
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/17/25		6,851,521		6,748,748
Ziggo Financing Partnership
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		6,685,000		6,629,314
Zayo Group Holdings, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		6,648,468		6,586,438
UPC Broadband Holding BV
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29		6,600,000		6,576,636
ProQuest LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26		6,204,806		6,197,609
GTT Communications BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/30/25	EUR	5,483,279		5,352,803

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		5,353,601	$	5,342,733
SFR Group S.A.
3.81% (3 Month USD LIBOR + 3.69%, Rate Floor: 3.69%) due 02/02/26		3,371,127		3,339,944
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 07/31/25		1,649,592		1,621,417
Titan US Finco LLC
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26		4,406,206		4,397,966
Telenet Financing USD LLC
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		4,000,000		3,951,680
Playtika Holding Corp.
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		3,541,103		3,538,270
Cengage Learning Acquisitions, Inc.
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 07/14/26		3,350,000		3,369,430
Level 3 Financing, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/01/27		3,339,546		3,297,200
GTT Communications, Inc.
2.90% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 05/30/25		3,226,960		2,723,425
Recorded Books, Inc.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25		2,200,000		2,200,682
Radiate Holdco LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		1,786,500		1,783,927
Total Communications				107,048,058
Financial - 9.6%
USI, Inc.
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		7,988,652		7,930,175
NFP Corp.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		7,766,212		7,680,240
Aretec Group, Inc.
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/01/25		7,634,125		7,605,497
AmWINS Group, Inc.
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28		7,462,500		7,414,964

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Jane Street Group LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		7,363,000	$	7,285,689
Alliant Holdings Intermediate LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		7,282,039		7,227,424
Focus Financial Partners LLC
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		6,741,348		6,687,956
HarbourVest Partners, LP
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/03/25		6,218,996		6,176,271
Nexus Buyer LLC
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		4,696,514		4,694,823
Citadel Securities, LP
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		4,477,500		4,434,337
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		4,036,453		4,051,589
AlixPartners, LLP
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		3,980,000		3,967,821
Ryan Specialty Group LLC
3.75% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 09/01/27		3,564,000		3,560,436
Apex Group Treasury LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 07/27/28†††		3,500,000		3,495,625
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27		2,573,935		2,579,160
HighTower Holding LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		2,160,000		2,157,300
AqGen Island Holdings, Inc.
4.00% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/02/28		1,850,000		1,843,840
Total Financial				88,793,147
Technology - 8.6%
WEX, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 03/31/28		7,761,000		7,724,368

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Peraton Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		7,710,627	$	7,711,860
Informatica LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27		7,092,667		7,066,070
Conair Holdings LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		6,750,000		6,752,835
Boxer Parent Co., Inc.
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		6,118,764		6,081,807
CCC Intelligent Solutions, Inc.
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 09/21/28		6,000,000		5,992,500
Misys Ltd.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24		4,683,285		4,642,775
Emerald TopCo, Inc. (Press Ganey)
3.63% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		4,465,909		4,435,228
Verscend Holding Corp.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/27/25		4,390,000		4,393,644
Epicor Software
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 07/30/27		3,740,554		3,738,871
Sabre GLBL, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		2,280,317		2,251,402
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 12/17/27		1,396,500		1,388,205
Project Ruby Ultimate Parent Corp.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/10/28		3,482,500		3,477,067
Polaris Newco LLC
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		3,350,000		3,356,298
Taxware Holdings (Sovos Compliance LLC)
5.00% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 08/11/28		3,240,411		3,257,974

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Atlas CC Acquisition Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/25/28		2,950,000	$	2,958,201
EXC Holdings III Corp.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24†††		1,954,125		1,959,010
TIBCO Software, Inc.
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26		1,781,955		1,767,486
Total Technology				78,955,601
Basic Materials - 6.4%
Element Solutions, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/30/26		8,000,000		7,985,040
Illuminate Buyer LLC
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		7,722,459		7,706,396
PQ Corp.
3.25% (3 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 06/09/28		7,581,000		7,582,592
Alpha 3 BV (Atotech)
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/20/28		6,783,000		6,773,097
Messer Industries USA, Inc.
2.58% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/02/26		6,197,475		6,161,839
Arch Coal, Inc.
3.75% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.75%) due 03/07/24		6,561,164		6,101,883
Univar Netherlands Holding BV
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/03/28		3,591,000		3,582,022
GrafTech Finance, Inc.
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		2,852,212		2,852,212
INEOS Ltd.
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 01/29/26		2,593,500		2,593,500
Diamond BC BV
due 09/14/28		2,300,000		2,301,587
NIC Acquisition Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/29/27		2,238,750		2,235,952
W.R. Grace Holdings LLC
due 09/22/28		1,750,000		1,755,478

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
Trinseo Materials Operating S.C.A.
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		1,596,000	$	1,590,015
Total Basic Materials				59,221,613
Energy - 1.4%
DT Midstream, Inc.
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28		7,600,000		7,594,072
Penn Virginia Holding Corp.
10.50% (Commercial Prime Lending Rate + 7.25%, Rate Floor: 8.25%) due 09/30/24†††		3,994,139		3,954,198
Permian Production Partners LLC
9.00% (1 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) (in-kind rate was 2.00%) due 11/24/25†††,3		1,474,647		1,327,182
Total Energy				12,875,452
Utilities - 0.4%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		3,950,100		3,962,464
Total Senior Floating Rate Interests
(Cost $831,905,987)				827,007,973
CORPORATE BONDS†† - 1.8%
Consumer, Non-cyclical - 0.7%
Nathan’s Famous, Inc.
6.63% due 11/01/254		4,275,000		4,360,500
HCA, Inc.
4.50% due 02/15/27		1,500,000		1,690,656
Total Consumer, Non-cyclical				6,051,156
Energy - 0.5%
Sabine Pass Liquefaction LLC
5.63% due 04/15/23		4,200,000		4,463,172
Communications - 0.4%
Ziggo BV
5.50% due 01/15/274		3,950,000		4,083,313
Industrial - 0.1%
Grinding Media, Inc. / Moly-Cop AltaSteel Ltd.
7.38% due 12/15/234		750,000		764,625
Consumer, Cyclical - 0.1%
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/234		630,000		629,124
Financial - 0.0%
Lincoln Financing SARL
3.88% (3 Month EURIBOR + 3.88%, Rate Floor: 3.88%) due 04/01/244,5	EUR	350,000		405,737
Basic Materials - 0.0%
Mirabela Nickel Ltd.
due 06/24/196,7		1,279,819		63,991
Total Corporate Bonds
(Cost $16,829,046)				16,461,118

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

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 1.5%
Residential Mortgage Backed Securities - 1.5%
RALI Series Trust
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/465		10,956,676	$	3,403,581
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/465		438,907		127,128
Washington Mutual Mortgage Pass-Through Certificates Trust
2007-OA6, 0.90% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/475		2,807,969		2,546,695
American Home Mortgage Assets Trust
2006-4, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 10/25/465		2,618,487		1,685,317
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/465		1,916,153		1,668,054
Lehman XS Trust Series
2006-16N, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 11/25/465		1,529,482		1,475,745
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,5		1,176,376		1,128,917
Nomura Resecuritization Trust
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,5		1,044,579		1,054,210
Alliance Bancorp Trust
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/375		434,822		416,477
Morgan Stanley Re-REMIC Trust
2010-R5, 1.76% due 06/26/364		364,462		339,255
GSAA Home Equity Trust
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/375		195,409		194,395
New Century Home Equity Loan Trust
2004-4, 0.88% (1 Month USD LIBOR + 0.80%, Rate Cap/Floor: 12.50%/0.80%) due 02/25/355		184,154		182,033
Total Residential Mortgage Backed Securities				14,221,807
Total Collateralized Mortgage Obligations
(Cost $15,321,180)				14,221,807

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

	Face Amount~		Value
ASSET-BACKED SECURITIES†† - 0.9%
Collateralized Loan Obligations - 0.9%
Jamestown CLO V Ltd.
2014-5A, 5.23% (3 Month USD LIBOR + 5.10%, Rate Floor: 0.00%) due 01/17/274,5		4,000,000	$	3,666,117
Treman Park CLO Ltd.
2015-1A, due 10/20/284,8		3,000,000		2,449,520
Newstar Commercial Loan Funding LLC
2017-1A, 3.62% (3 Month USD LIBOR + 3.50%, Rate Floor: 0.00%) due 03/20/274,5		1,000,000		1,000,308
Octagon Loan Funding Ltd.
2014-1A, due 11/18/314,8		2,071,948		681,205
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/258		1,361,673		220,319
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,8		1,808,219		2,025
Total Collateralized Loan Obligations				8,019,494
Transport-Aircraft - 0.0%
Airplanes Pass Through Trust
2001-1A due 03/15/19†††,6,7		896,492	$	90
Total Asset-Backed Securities
(Cost $8,977,573)				8,019,584
Total Investments - 106.1%
(Cost $987,221,250)			$	979,886,270
Other Assets & Liabilities, net - (6.1)%				(55,915,782	)
Total Net Assets - 100.0%			$	923,970,488

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Morgan Stanley Capital Services LLC

EUR

Sell

27,008,000

31,898,248 USD

10/18/21

$

601,454

Bank of America, N.A.

GBP

Sell

6,790,000

9,370,825 USD

10/18/21

220,678

Citibank, N.A.

EUR

Buy

5,335,000

6,255,711 USD

10/18/21

(73,528

)

$

748,604

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer.
2	Rate indicated is the 7-day yield as of September 30, 2021.
3	Payment-in-kind security.
4	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $20,564,857 (cost $20,218,174), or 2.2% of total net assets.
5	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
6	Security is in default of interest and/or principal obligations.
7	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $64,081 (cost $1,883,995), or 0.0% of total net assets — See Note 9.
8	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
	CMT — Constant Maturity Treasury
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	LIBOR — London Interbank Offered Rate
	REMIC — Real Estate Mortgage Investment Conduit
	SARL — Société à Responsabilité Limitée
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	—	$	1,665,452	$	785,225		$	2,450,677
Preferred Stocks		—		—		—	*		—
Exchange-Traded Funds		25,070,776		—		—			25,070,776
Money Market Fund		86,654,335		—		—			86,654,335
Senior Floating Rate Interests		—		812,617,568		14,390,405			827,007,973
Corporate Bonds		—		16,461,118		—			16,461,118
Collateralized Mortgage Obligations		—		14,221,807		—			14,221,807
Asset-Backed Securities		—		8,019,494		90			8,019,584
Forward Foreign Currency Exchange Contracts**		—		822,132		—			822,132
Total Assets	$	111,725,111	$	853,807,571	$	15,175,720		$	980,708,402

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts**	$	—	$	73,528	$	—	$	73,528
Unfunded Loan Commitments (Note 8)		—		—		7,155		7,155
Total Liabilities	$	—	$	73,528	$	7,155	$	80,683

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
FLOATING RATE STRATEGIES FUND

The following is a summary of significant unobservable inputs used in the fair valuation of asset categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	90	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Common Stocks		509,881	Model Price	Market Comparable Yields	12.1%		—
Common Stocks		275,339	Enterprise Value	Valuation Multiple	2.1x-12.8x		5.3x
Common Stocks		5	Model Price	Liquidation Value	—		—
Senior Floating Rate Interests		11,657,995	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		1,405,228	Third Party Pricing	Vendor Price	—		—
Senior Floating Rate Interests		1,327,182	Model Price	Market Comparable Yields	12.1%		—
Total Assets	$	15,175,720
Liabilities:
Unfunded Loan Commitments	$	7,155	Model Price	Purchase Price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security. Any remaining Level 3 securities held by the Fund and excluded from the table above, were not considered material to the Fund.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $2,501,400 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of a $11,606,541 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
FLOATING RATE STRATEGIES FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets														Liabilities
	Common Stocks			Senior Floating Rate Interests			Asset-Backed Securities		Preferred Stocks			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	1,611,492		$	50,579,979		$	90	$	313,772		$	52,505,333		$	(8,851	)
Purchases/(Receipts)		2,358			6,790,511			—		—			6,792,869			(21,823	)
(Sales, maturities and paydowns)/Fundings		(1,626,859	)		(37,310,071	)		—		—			(38,936,930	)		6,527
Amortization of premiums/discounts		—			747,289			—		—			747,289			—
Total realized gains (losses) included in earnings		(165,102	)		(7,739,830	)		—		—			(7,904,932	)		13,588
Total change in unrealized appreciation (depreciation) included in earnings		963,336			10,427,668			—		(313,772	)		11,077,232			3,404
Transfers into Level 3		—			2,501,400			—		—			2,501,400			—
Transfers out of Level 3		—			(11,606,541	)		—		—			(11,606,541	)		—
Ending Balance	$	785,225		$	14,390,405		$	90	$	—	*	$	15,175,720		$	(7,155	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	963,336		$	1,795,290		$	—	$	(313,772	)	$	2,444,854		$	8,638

* Security has a market value of $0.

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments, result in that company being considered an affiliated issuer, as defined in the 1940 Act.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value 09/30/21		Shares 09/30/21
Common Stocks
BP Holdco LLC*	$	86,130	$	—	$	—	$	—	$	86,086	$	172,216		244,278
Targus Group International Equity, Inc.*		26,242		—		—		—		4,866		31,108		12,773
	$	112,372	$	—	$	—	$	—	$	90,952	$	203,324

* Non-income producing security.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENT OF ASSETS AND LIABILITIES

FLOATING RATE STRATEGIES FUND

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $987,129,969)	$	979,682,946
Investments in affiliated issuers, at value (cost $91,281)		203,324
Foreign currency, at value (cost $1,663,468)		1,663,450
Cash		2,802,176
Unrealized appreciation on forward foreign currency exchange contracts		822,132
Prepaid expenses		40,956
Receivables:
Fund shares sold		5,898,384
Securities sold		4,253,784
Interest		1,970,133
Total assets		997,337,285
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $15,792)		7,155
Segregated cash due to broker		545,000
Unrealized depreciation on forward foreign currency exchange contracts		73,528
Payable for:
Securities purchased		70,565,550
Fund shares redeemed		875,743
Distributions to shareholders		442,755
Management fees		272,804
Transfer agent/maintenance fees		153,452
Distribution and service fees		79,819
Fund accounting/administration fees		51,697
Trustees’ fees*		17,199
Due to Investment Adviser		845
Miscellaneous		281,250
Total liabilities		73,366,797
Net assets	$	923,970,488
Net assets consist of:
Paid in capital	$	1,085,032,695
Total distributable earnings (loss)		(161,062,207	)
Net assets	$	923,970,488
A-Class:
Net assets	$	123,392,160
Capital shares outstanding		4,917,600
Net asset value per share	$	25.09
Maximum offering price per share (Net asset value divided by 97.00%)	$	25.87
C-Class:
Net assets	$	52,308,317
Capital shares outstanding		2,085,402
Net asset value per share	$	25.08
P-Class:
Net assets	$	35,429,894
Capital shares outstanding		1,411,389
Net asset value per share	$	25.10
Institutional Class:
Net assets	$	711,583,305
Capital shares outstanding		28,333,441
Net asset value per share	$	25.11
R6-Class:
Net assets	$	1,256,812
Capital shares outstanding		50,046
Net asset value per share	$	25.11

* 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 | 35

STATEMENT OF OPERATIONS

FLOATING RATE STRATEGIES FUND

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	1,351,788
Interest from securities of unaffiliated issuers (net of foreign withholding tax of $466)		33,831,100
Total investment income		35,182,888
Expenses:
Management fees		5,201,077
Distribution and service fees:
A-Class		352,783
C-Class		574,679
P-Class		84,272
Transfer agent/maintenance fees:
A-Class		58,770
C-Class		33,055
P-Class		2,932
Institutional Class		264,125
R6-Class		323
Fund accounting/administration fees		539,742
Line of credit fees		326,512
Professional fees		105,687
Custodian fees		39,923
Trustees’ fees*		1,825
Miscellaneous		173,834
Recoupment of previously waived fees:
P-Class		287
Institutional Class		12,099
R6-Class		82
Total expenses		7,772,007
Less:
Expenses reimbursed by Adviser:
A Class		(59,749	)
C Class		(34,078	)
P Class		(3,274	)
Institutional Class		(214,240	)
R6 Class		(250	)
Expenses waived by Adviser		(15,106	)
Earnings credits applied		(742	)
Total waived/reimbursed expenses		(327,439	)
Net expenses		7,444,568
Net investment income		27,738,320
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(12,843,006	)
Forward foreign currency exchange contracts		(490,632	)
Foreign currency transactions		201,127
Net realized loss		(13,132,511	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		44,139,390
Investments in affiliated issuers		90,952
Forward foreign currency exchange contracts		368,448
Foreign currency translations		(98,328	)
Net change in unrealized appreciation (depreciation)		44,500,462
Net realized and unrealized gain		31,367,951
Net increase in net assets resulting from operations	$	59,106,271

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENTS OF CHANGES IN NET ASSETS

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	27,738,320		$	45,965,099
Net realized loss on investments		(13,132,511	)		(104,503,058	)
Net change in unrealized appreciation (depreciation) on investments		44,500,462			18,077,576
Net increase (decrease) in net assets resulting from operations		59,106,271			(40,460,383	)
Distributions:
Distributions to shareholders
A-Class		(3,412,072	)		(6,169,321	)
C-Class		(1,100,775	)		(2,453,764	)
P-Class		(813,511	)		(2,596,495	)
Institutional Class		(14,371,249	)		(26,336,056	)
R6-Class		(41,286	)		(172,212	)
Return of capital
A-Class		(1,376,939	)		(1,369,063	)
C-Class		(423,452	)		(544,527	)
P-Class		(329,918	)		(576,200	)
Institutional Class		(6,123,159	)		(5,844,358	)
R6-Class		(15,347	)		(38,216	)
Total distributions to shareholders		(28,007,708	)		(46,100,212	)
Capital share transactions:
Proceeds from sale of shares
A-Class		42,886,643			59,076,348
C-Class		11,618,216			5,882,260
P-Class		11,762,196			14,359,269
Institutional Class		417,183,606			359,733,415
R6-Class		425,184			7,014,197
Distributions reinvested
A-Class		3,444,538			5,748,291
C-Class		1,263,416			2,302,265
P-Class		1,140,824			3,170,610
Institutional Class		16,416,134			25,268,085
R6-Class		56,275			210,428
Cost of shares redeemed
A-Class		(68,575,988	)		(145,876,744	)
C-Class		(26,924,208	)		(50,806,686	)
P-Class		(12,084,110	)		(113,381,867	)
Institutional Class		(247,889,580	)		(887,071,891	)
R6-Class		(924,217	)		(76,762,784	)
Net increase (decrease) from capital share transactions		149,798,929			(791,134,804	)
Net increase (decrease) in net assets		180,897,492			(877,695,399	)
Net assets:
Beginning of year		743,072,996			1,620,768,395
End of year	$	923,970,488		$	743,072,996

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

FLOATING RATE STRATEGIES FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		1,722,444			2,408,149
C-Class		466,982			239,412
P-Class		472,737			585,090
Institutional Class		16,736,374			14,856,298
R6-Class		17,355			280,578
Shares issued from reinvestment of distributions
A-Class		138,927			238,481
C-Class		51,013			95,750
P-Class		45,989			130,742
Institutional Class		660,993			1,046,088
R6-Class		2,270			8,507
Shares redeemed
A-Class		(2,751,886	)		(6,183,851	)
C-Class		(1,086,812	)		(2,141,265	)
P-Class		(487,616	)		(4,686,345	)
Institutional Class		(9,995,214	)		(37,182,772	)
R6-Class		(37,009	)		(3,060,616	)
Net increase (decrease) in shares		5,956,547			(33,365,754	)

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS

FLOATING RATE STRATEGIES FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

A-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	24.08		$	25.23		$	25.92		$	26.01		$	25.92
Income (loss) from investment operations:
Net investment income (loss)a		.83			1.02			1.17			1.04			.93
Net gain (loss) on investments (realized and unrealized)		1.02			(1.16	)		(.67	)		(.07	)		.10
Total from investment operations		1.85			(.14	)		.50			.97			1.03
Less distributions from:
Net investment income		(.83	)		(.83	)		(1.19	)		(1.06	)		(.94	)
Return of capital		(.01	)		(.18	)		—			—			—
Total distributions		(.84	)		(1.01	)		(1.19	)		(1.06	)		(.94	)
Net asset value, end of period	$	25.09		$	24.08		$	25.23		$	25.92		$	26.01
Total Returnb		7.83	%		(0.50	%)		2.01	%		3.80	%		4.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	123,392		$	139,857		$	235,752		$	431,562		$	534,911
Ratios to average net assets:
Net investment income (loss)		3.36	%		4.23	%		4.60	%		4.02	%		3.58	%
Total expensesc		1.09	%		1.25	%		1.23	%		1.15	%		1.13	%
Net expensesd,e,f		1.05	%		1.10	%		1.07	%		1.03	%		1.04	%
Portfolio turnover rate		57	%		20	%		10	%		33	%		44	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

C-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	24.07		$	25.22		$	25.91		$	26.00		$	25.91
Income (loss) from investment operations:
Net investment income (loss)a		.65			.84			.98			.85			.74
Net gain (loss) on investments (realized and unrealized)		1.02			(1.16	)		(.67	)		(.07	)		.10
Total from investment operations		1.67			(.32	)		.31			.78			.84
Less distributions from:
Net investment income		(.65	)		(.68	)		(1.00	)		(.87	)		(.75	)
Return of capital		(.01	)		(.15	)		—			—			—
Total distributions		(.66	)		(.83	)		(1.00	)		(.87	)		(.75	)
Net asset value, end of period	$	25.08		$	24.07		$	25.22		$	25.91		$	26.00
Total Returnb		7.03	%		(1.24	%)		1.26	%		3.03	%		3.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	52,308		$	63,891		$	112,481		$	172,906		$	204,008
Ratios to average net assets:
Net investment income (loss)		2.61	%		3.47	%		3.86	%		3.29	%		2.83	%
Total expensesc		1.86	%		1.96	%		1.93	%		1.87	%		1.83	%
Net expensesd,e,f		1.80	%		1.85	%		1.82	%		1.78	%		1.79	%
Portfolio turnover rate		57	%		20	%		10	%		33	%		44	%

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

P-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	24.09		$	25.24		$	25.93		$	26.02		$	25.93
Income (loss) from investment operations:
Net investment income (loss)a		.83			1.04			1.17			1.05			.94
Net gain (loss) on investments (realized and unrealized)		1.02			(1.18	)		(.67	)		(.08	)		.09
Total from investment operations		1.85			(.14	)		.50			.97			1.03
Less distributions from:
Net investment income		(.83	)		(.83	)		(1.19	)		(1.06	)		(.94	)
Return of capital		(.01	)		(.18	)		—			—			—
Total distributions		(.84	)		(1.01	)		(1.19	)		(1.06	)		(.94	)
Net asset value, end of period	$	25.10		$	24.09		$	25.24		$	25.93		$	26.02
Total Return		7.83	%		(0.50	%)		2.01	%		3.80	%		4.03	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,430		$	33,251		$	135,036		$	385,306		$	360,829
Ratios to average net assets:
Net investment income (loss)		3.36	%		4.26	%		4.59	%		4.05	%		3.59	%
Total expensesc		1.06	%		1.37	%		1.22	%		1.15	%		1.16	%
Net expensesd,e,f		1.05	%		1.10	%		1.07	%		1.03	%		1.03	%
Portfolio turnover rate		57	%		20	%		10	%		33	%		44	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

Institutional Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	24.10		$	25.25		$	25.95		$	26.03		$	25.94
Income (loss) from investment operations:
Net investment income (loss)a		.89			1.09			1.23			1.11			1.00
Net gain (loss) on investments (realized and unrealized)		1.02			(1.17	)		(.68	)		(.07	)		.10
Total from investment operations		1.91			(.08	)		.55			1.04			1.10
Less distributions from:
Net investment income		(.89	)		(.88	)		(1.25	)		(1.12	)		(1.01	)
Return of capital		(.01	)		(.19	)		—			—			—
Total distributions		(.90	)		(1.07	)		(1.25	)		(1.12	)		(1.01	)
Net asset value, end of period	$	25.11		$	24.10		$	25.25		$	25.95		$	26.03
Total Return		8.08	%		(0.26	%)		2.21	%		4.08	%		4.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	711,583		$	504,449		$	1,065,820		$	2,227,970		$	2,590,393
Ratios to average net assets:
Net investment income (loss)		3.59	%		4.48	%		4.83	%		4.28	%		3.83	%
Total expensesc		0.85	%		0.97	%		0.92	%		0.84	%		0.82	%
Net expensesd,e,f		0.81	%		0.85	%		0.83	%		0.79	%		0.79	%
Portfolio turnover rate		57	%		20	%		10	%		33	%		44	%

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (continued)

FLOATING RATE STRATEGIES FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

R6-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019g
Per Share Data
Net asset value, beginning of period	$	24.10		$	25.25		$	25.38
Income (loss) from investment operations:
Net investment income (loss)a		.91			1.13			.69
Net gain (loss) on investments (realized and unrealized)		1.01			(1.21	)		(.14	)
Total from investment operations		1.92			(.08	)		.55
Less distributions from:
Net investment income		(.90	)		(.88	)		(.68	)
Return of capital		(.01	)		(.19	)		—
Total distributions		(.91	)		(1.07	)		(.68	)
Net asset value, end of period	$	25.11		$	24.10		$	25.25
Total Return		8.06	%		(0.22	%)		2.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,257		$	1,625		$	71,680
Ratios to average net assets:
Net investment income (loss)		3.66	%		4.56	%		4.89	%
Total expensesc		0.83	%		0.86	%		0.85	%
Net expensesd,e,f		0.82	%		0.84	%		0.84	%
Portfolio turnover rate		57	%		20	%		10	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

FINANCIAL HIGHLIGHTS (concluded)

FLOATING RATE STRATEGIES FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	—	—	—
C-Class	—	0.00%*	—	0.01%	—
P-Class	0.00%*	0.00%*	—	—	—
Institutional Class	0.00%*	0.00%*	—	—	0.01%
R6-Class	0.01%	0.00%*	0.00%*	N/A	N/A

* Less than 0.01%.

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	1.01%	1.02%	1.02%	1.02%	1.02%
C-Class	1.76%	1.77%	1.77%	1.77%	1.77%
P-Class	1.01%	1.02%	1.02%	1.02%	1.02%
Institutional Class	0.77%	0.78%	0.78%	0.78%	0.78%
R6-Classg	0.77%	0.78%	0.78%	N/A	N/A

^g Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Floating Rate Strategies Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 45

NOTES TO FINANCIAL STATEMENTS (continued)

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid 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

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over 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.

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NOTES TO FINANCIAL STATEMENTS (continued)

(b) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, 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 Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. 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 Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(c) Interest on When-Issued Securities

The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.

(d) Currency Translations

The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses

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NOTES TO FINANCIAL STATEMENTS (continued)

are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(e) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(f) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(g) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income

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NOTES TO FINANCIAL STATEMENTS (continued)

also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(h) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(i) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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NOTES TO FINANCIAL STATEMENTS (continued)

(j) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(k) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(l) Indemnifications

Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

Note 2 – Derivatives

As part of its investment strategy, the Fund utilizes forward foreign currency exchange contracts. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund utilized derivatives for the following purposes:

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge	$	1,258,226	$	46,209,512

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:

	Forward Foreign Currency Exchange Risk
Asset Derivative Investments Value	$	822,132
Liability Derivative Investments Value	$	73,528

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The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	(490,632	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Forward Foreign Currency Exchange Risk
	$	368,448

In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral

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NOTES TO FINANCIAL STATEMENTS (continued)

received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs over-the-counter (“OTC”) derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	822,132	$	—	$	822,132	$	—	$	(510,678	)	$	311,454

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Forward foreign currency exchange contracts	$	73,528	$	—	$	73,528	$	—	$	—	$	73,528

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Forward foreign currency exchange contracts	$	—	$	255,000
Morgan Stanley Capital Services, LLC	Forward foreign currency exchange contracts		—		290,000

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for

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NOTES TO FINANCIAL STATEMENTS (continued)

the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s 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 Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.65% of the average daily net assets of the Fund up to $5 billion; and 0.60% of the average daily net assets in excess of $5 billion.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		1.02	%		11/30/12		02/01/23
C-Class		1.77	%		11/30/12		02/01/23
P-Class		1.02	%		05/01/15		02/01/23
Institutional Class		0.78	%		11/30/12		02/01/23
R6-Class		0.78	%		03/13/19		02/01/23

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2022		2023		2024		Total
A-Class	$	478,648	$	272,258	$	62,574	$	813,480
C-Class		165,085		99,862		35,328		300,275
P-Class		423,256		205,400		3,944		632,600
Institutional Class		1,382,501		804,754		224,572		2,411,827
R6-Class		2,025		1,025		279		3,329

For the year ended September 30, 2021, GI recouped $12,468 from the Fund.

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NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
$	19,738,893	$	—	$	8,268,815	$	28,007,708

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The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Return of Capital		Total Distributions
$	37,727,848	$	—	$	8,372,364	$	46,100,212

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)			Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	—	$	—	$	(12,072,994	)	$	(146,627,074	)	$	(2,362,139	)	$	(161,062,207	)

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, capital loss carryforwards for the Fund were as follows:

Unlimited						Total Capital Loss Carryforward
Short-Term			Long-Term
$	(3,508,189	)	$	(142,169,559	)	$	(145,677,748	)

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in CLO securities, foreign currency gains and losses, distribution payable, and the deferral of qualified late-year losses. Additional differences may result from the tax treatment of bond premium/discount amortization, losses deferred due to wash sales, and the “mark-to-market” of forward foreign currency exchange contracts. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

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NOTES TO FINANCIAL STATEMENTS (continued)

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	991,964,319	$	5,149,782	$	(17,227,831	)	$	(12,078,049	)

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:

Ordinary			Capital
$	(949,326	)	$	—

Note 7 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	608,744,478	$	450,494,592

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain
$	—	$	8,563,186	$	118,980

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2021, were as follows:

Borrower	Maturity Date		Face Amount		Value
Aveanna Healthcare LLC		07/17/28	$	735,849	$	920
DG Investment Intermediate Holdings 2, Inc.		03/31/28		51,662		—
HighTower Holding LLC		04/21/28		540,000		675
Hillman Group, Inc.		07/14/28		800,000		1,838
Medline Industries, Inc.		08/06/22		8,900,000		—
National Mentor Holdings, Inc.		03/02/28		272,362		1,243
Osmosis Holdings Australia II Pty Ltd.		07/31/28		250,000		—
Pro Mach Group, Inc.		08/31/28		614,525		—
Taxware Holdings (Sovos Compliance LLC)		08/11/28		559,589		—
TricorBraun Holdings, Inc.		03/03/28		404,973		2,479
			$	13,128,961	$	7,155

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Airplanes Pass Through Trust
2001-1A, due 03/15/191		12/27/11	$	723,184	$	90
Mirabela Nickel Ltd.
due 06/24/191		12/31/13		1,160,811		63,991
			$	1,883,995	$	64,081

¹ Security is in default of interest and/or principal obligations.

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NOTES TO FINANCIAL STATEMENTS (concluded)

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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 11 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 12 – Subsequent Events

The Fund 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 Fund’s financial statements.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of
Guggenheim Floating Rate Strategies Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Floating Rate Strategies Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2021

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2022, 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 2021.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income
	0.19	%		0.24	%		100.00	%

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

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OTHER INFORMATION (Unaudited)(continued)

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)

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OTHER INFORMATION (Unaudited)(continued)

● Guggenheim High Yield Fund
(“High Yield Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund
(“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

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OTHER INFORMATION (Unaudited)(continued)

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.
4	On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for

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OTHER INFORMATION (Unaudited)(continued)

the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

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OTHER INFORMATION (Unaudited)(continued)

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from

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OTHER INFORMATION (Unaudited)(continued)

certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his

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OTHER INFORMATION (Unaudited)(concluded)

or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018)
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law. We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

How We Protect Privacy Online

We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based

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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 | 89

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

90 | THE GUGGENHEIM FUNDS ANNUAL REPORT

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Total Return Bond Fund

GuggenheimInvestments.com TRB-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
TOTAL RETURN BOND FUND	9
NOTES TO FINANCIAL STATEMENTS	100
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	129
OTHER INFORMATION	131
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	145
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	152
LIQUIDITY RISK MANAGEMENT PROGRAM	156

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (“GPIM” or the “Investment Adviser”), is pleased to present the shareholder report for Guggenheim Total Return Bond Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2021

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Total Return Bond Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

S&P 500^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.78%	3.29%	$ 1,000.00	$ 1,032.90	$ 3.98
C-Class	1.53%	2.91%	1,000.00	1,029.10	7.78
P-Class	0.78%	3.29%	1,000.00	1,032.90	3.98
Institutional Class	0.49%	3.48%	1,000.00	1,034.80	2.50
R6-Class	0.49%	3.44%	1,000.00	1,034.40	2.50
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.78%	5.00%	$ 1,000.00	$ 1,021.16	$ 3.95
C-Class	1.53%	5.00%	1,000.00	1,017.40	7.74
P-Class	0.78%	5.00%	1,000.00	1,021.16	3.95
Institutional Class	0.49%	5.00%	1,000.00	1,022.61	2.48
R6-Class	0.49%	5.00%	1,000.00	1,022.61	2.48

1	Annualized and excludes expenses of the underlying funds in which the Fund invests, if any. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.78%, 1.53%, 0.78%, 0.49% and 0.49% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Total Return Bond Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide total return, comprised of current income and capital appreciation. The Fund employs a diversified, multi-sector strategy focused on under-researched areas of the fixed income universe, including sectors not included in benchmark indices. The Fund takes an actively managed approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income sectors and access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one-year period ended September 30, 2021, Guggenheim Total Return Bond Fund returned 2.27%¹, compared with the -0.90% return of its benchmark, the Bloomberg U.S. Aggregate Bond Index.

Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the back of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.

The Fund remains overweight investment grade corporates, which comprised 28% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates, as yield-focused buyers find the higher-yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2021

given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.

Structured credit accounted for nearly 30% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.

Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 15% percent of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long-term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.

Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 7.3 years versus the benchmark’s duration of 6.6 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.

Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.

During the reporting period, the Fund used interest rate futures, forwards, options, and swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps detracted from performance while interest rate curve caps and futures contributed to performance. Options on equities contributed to performance. Credit default swaps and credit default swap index (CDX) positions added to performance. In addition, the Fund hedged non-USD exposure with foreign-exchange derivatives, which had a positive impact on performance over the period. Overall, credit derivative exposure contributed to performance during the period.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

TOTAL RETURN BOND FUND

OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Inception Dates:
A-Class	November 30, 2011
C-Class	November 30, 2011
P-Class	May 1, 2015
Institutional Class	November 30, 2011
R6-Class	October 19, 2016

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA		27.7%
AA		8.7%
A		13.1%
BBB		26.0%
BB		7.3%
B		6.0%
CCC		0.8%
CC		1.2%
C		0.1%
NR2		5.0%
Other Instruments		4.1%
Total Investments		100.0%

Ten Largest Holdings (% of Total Net Assets)
U.S. Treasury Notes, 1.25%	8.1%
Uniform MBS 30 Year	3.1%
U.S. Treasury Bonds, 2.00%	2.9%
U.S. Treasury Notes, 0.75%	1.4%
U.S. Treasury Bonds, 1.88%	1.2%
Pershing Square Tontine Holdings Ltd. — Class A	0.7%
U.S. Treasury Bonds 8.00%	0.6%
Delta Air Lines, Inc., 7.00%	0.6%
Boeing Co., 5.15%	0.5%
Station Place Securitization Trust, 0.98% due 02/16/22	0.5%
Top Ten Total	19.6%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Cumulative Fund Performance*

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (11/30/11)
A-Class Shares	2.27%	4.65%	5.51%
A-Class Shares with sales charge‡	(1.82%)	3.80%	4.98%
C-Class Shares	1.50%	3.88%	4.73%
C-Class Shares with CDSC§	0.53%	3.88%	4.73%
Institutional Class Shares	2.59%	4.97%	5.85%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	3.06%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	2.27%	4.65%	4.67%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	2.94%	3.13%

	1 Year	Since Inception (10/19/16)
R6-Class Shares	2.56%	5.07%
Bloomberg U.S. Aggregate Bond Index	(0.90%)	3.06%

*	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 Bloomberg U.S. Aggregate Bond Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares will vary due to differences in fee structures.
‡	Effective October 1, 2015, the maximum sales charge decreased from 4.75% to 4.00%. A 4.75% maximum sales charge is used in the calculation of the Average Annual Returns based on subscriptions made prior to October 1, 2015, and a 4.00% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after October 1, 2015.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS	September 30, 2021
TOTAL RETURN BOND FUND

	Shares		Value
COMMON STOCKS† - 1.0%
Financial - 1.0%
Pershing Square Tontine Holdings Ltd. — Class A*,1		9,249,470	$	182,214,559
KKR Acquisition Holdings I Corp. — Class A*,1		3,797,870		37,029,232
RXR Acquisition Corp. — Class A*,1		840,551		8,170,156
AfterNext HealthTech Acquisition Corp.*,1		611,700		6,092,532
MSD Acquisition Corp. — Class A*,1		626,308		6,075,188
TPG Pace Beneficial II Corp.*,1		596,691		5,841,605
Conyers Park III Acquisition Corp.*,1		570,000		5,705,700
Waverley Capital Acquisition Corp. 1*,1		451,200		4,448,832
Acropolis Infrastructure Acquisition Corp. — Class A*,1		397,100		3,843,928
TPG Pace Solutions Corp.*,1		361,641		3,634,492
Blue Whale Acquisition Corp. I*,1		330,700		3,280,544
Colicity, Inc. — Class A*,1		170,167		1,662,532
Colicity, Inc.*,1		4,121		40,880
RXR Acquisition Corp.*,1		574		5,654
Total Financial				268,045,834
Communications - 0.0%
Figs, Inc. — Class A*,18		198,762		7,382,021
Industrial - 0.0%
BP Holdco LLC*,†††,2		532		375
Vector Phoenix Holdings, LP*,†††		532		146
API Heat Transfer Parent LLC*,†††		73,183		—
Total Industrial				521
Total Common Stocks
(Cost $269,689,101)				275,428,376
PREFERRED STOCKS†† - 2.4%
Financial - 2.4%
First Republic Bank 4.25%		3,442,000		86,394,200
4.13%		798,800		19,962,012
Wells Fargo & Co., 4.70%		2,184,000		57,395,520
Bank of America Corp., 4.13%		2,218,000		57,024,780
Public Storage 4.63%		1,743,761		47,569,800
4.13%		309,501		8,077,976
Equitable Holdings, Inc., 4.30%		1,839,200		45,980,000
Wells Fargo & Co., 4.38%		1,774,000		45,237,000
W R Berkley Corp., 4.13% due 03/30/61		1,458,572		38,798,015
4.25% due 09/30/60		195,417		5,299,709
Arch Capital Group Ltd., 4.55%		1,616,000		42,339,200
Bank of America Corp., 4.38%		1,552,000		40,895,200
RenaissanceRe Holdings Ltd., 4.20%		1,304,000		32,469,600
American Financial Group, Inc., 4.50% due 09/15/60		1,165,103		31,795,661
JPMorgan Chase & Co. , 4.63%		1,180,000		31,152,000

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Shares		Value
CNO Financial Group, Inc., 5.13% due 11/25/60		712,000	$	18,974,800
Assurant, Inc., 5.25% due 01/15/61		558,400		15,087,968
Selective Insurance Group, Inc., 4.60%		538,000		14,004,140
Globe Life, Inc., 4.25% due 06/15/61		338,000		8,608,860
Total Financial				647,066,441
Industrial - 0.0%
API Heat Transfer Intermediate*,†††		9		—
Total Preferred Stocks
(Cost $623,176,087)				647,066,441
WARRANTS† - 0.0%
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25*,1		1,027,719		1,325,757
KKR Acquisition Holdings I Corp. - Class A
Expiring 12/31/27*,1		949,467		911,393
Ginkgo Bioworks Holdings, Inc.
Expiring 12/31/27		100,946		342,207
MSD Acquisition Corp.
Expiring 05/13/23*,1		125,260		144,049
RXR Acquisition Corp.
Expiring 03/08/26*,1		168,108		126,081
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		132,366		121,777
Colicity, Inc. - Class A
Expiring 12/31/27*,1		34,032		28,247
Total Warrants
(Cost $7,498,274)				2,999,511
MUTUAL FUNDS† - 0.2%
Guggenheim Strategy Fund II2		1,088,966		27,213,251
Guggenheim Ultra Short Duration Fund — Institutional Class2		2,686,384		26,783,244
Guggenheim Strategy Fund III2		586,198		14,737,023
Total Mutual Funds
(Cost $68,542,703)				68,733,518
CLOSED-END FUNDS† - 0.1%
BlackRock MuniHoldings California Quality Fund, Inc.		623,638		9,772,408
BlackRock MuniYield California Quality Fund, Inc.		442,018		7,023,666
Total Closed-End Funds
(Cost $15,756,182)				16,796,074
MONEY MARKET FUND† - 0.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		61,816,573		61,816,573
Federated Hermes U.S. Treasury Cash Reserves Fund — Institutional Shares, 0.01%3		9,796,726		9,796,726
Total Money Market Fund
(Cost $71,613,299)				71,613,299

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
CORPORATE BONDS†† - 40.7%
Financial - 17.3%
Pershing Square Holdings Ltd.
3.25% due 10/01/31		104,800,000	$	104,624,984
3.25% due 11/15/304		68,200,000		68,665,576
5.50% due 07/15/224		21,300,000		21,955,529
Citigroup, Inc.
3.88% 5,6		86,450,000		88,377,835
2.57% due 06/03/316		72,390,000		73,708,205
4.00% 5,6		26,450,000		27,407,490
Wells Fargo & Co.
3.07% due 04/30/416		126,490,000		129,698,980
3.90% 5,6		48,500,000		50,015,625
Bank of America Corp.
2.59% due 04/29/316		100,240,000		102,199,070
2.68% due 06/19/416		43,300,000		41,709,589
0.78% (U.S. Secured Overnight Financing Rate + 0.73%, Rate Floor: 0.00%) due 10/24/247		1,660,000		1,676,065
1.73% due 07/22/276		1,650,000		1,656,569
Nationwide Mutual Insurance Co.
4.35% due 04/30/504		116,750,000		132,658,200
Liberty Mutual Group, Inc.
4.30% due 02/01/614		94,150,000		89,689,153
3.95% due 05/15/604		33,870,000		37,504,042
4.13% due 12/15/514,6		3,600,000		3,697,020
JPMorgan Chase & Co.
3.65% 5,6		37,250,000		37,296,562
2.96% due 05/13/316		29,530,000		30,670,865
4.49% due 03/24/316		25,750,000		30,017,175
2.52% due 04/22/316		24,520,000		24,988,784
1.47% due 09/22/276		1,650,000		1,638,672
Macquarie Bank Ltd.
3.62% due 06/03/304		93,835,000		98,393,944
3.05% due 03/03/364,6		16,550,000		16,367,998
Wilton RE Ltd.
6.00%†††,4,5,6		93,150,000		101,594,048
Reliance Standard Life Global Funding II
2.75% due 05/07/254		96,010,000		100,615,891
Markel Corp.
6.00% 5,6		82,610,000		91,531,880
GLP Capital Limited Partnership / GLP Financing II, Inc.
4.00% due 01/15/31		53,354,000		57,569,500
5.30% due 01/15/29		28,165,000		32,929,420
Reinsurance Group of America, Inc.
3.15% due 06/15/30		84,319,000		89,545,662
American International Group, Inc.
4.38% due 06/30/50		65,480,000		80,425,999
2.50% due 06/30/25		2,370,000		2,480,753
Equitable Holdings, Inc.
4.95% 5,6		70,950,000		76,980,750
Fidelity National Financial, Inc.
3.40% due 06/15/30		52,430,000		56,247,728
2.45% due 03/15/31		17,490,000		17,375,805
Charles Schwab Corp.
4.00% 5,6		71,500,000		73,534,890
Intercontinental Exchange, Inc.
3.00% due 06/15/50		37,190,000		36,664,468
2.65% due 09/15/40		34,550,000		33,007,653
2.35% due 09/15/22		1,535,000		1,562,576
Fairfax Financial Holdings Ltd.
3.38% due 03/03/314		67,460,000		69,872,320
Global Atlantic Finance Co.
4.70% due 10/15/514,6		38,300,000		39,595,748
3.13% due 06/15/314		28,750,000		29,118,847
Nippon Life Insurance Co.
2.75% due 01/21/514,6		50,350,000		49,280,062
2.90% due 09/16/514,6		17,300,000		17,037,966

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
First American Financial Corp.
4.00% due 05/15/30		45,560,000	$	50,297,622
2.40% due 08/15/31		14,175,000		13,795,497
Five Corners Funding Trust II
2.85% due 05/15/304		61,198,000		63,903,676
Standard Chartered plc
4.64% due 04/01/314,6		51,325,000		59,144,832
1.32% due 10/14/234,6		1,080,000		1,086,752
National Australia Bank Ltd.
2.99% due 05/21/314		37,900,000		38,309,006
2.33% due 08/21/304		22,400,000		21,630,163
Crown Castle International Corp.
2.90% due 04/01/41		41,150,000		39,579,140
3.30% due 07/01/30		17,657,000		18,801,598
Deloitte LLP
3.56% due 05/07/30†††		30,700,000		31,974,971
3.76% due 05/07/35†††		10,200,000		10,534,254
3.66% due 05/07/32†††		9,450,000		9,902,371
7.33% due 11/20/26†††		4,800,000		5,821,248
Iron Mountain, Inc.
5.25% due 07/15/304		30,050,000		31,889,962
5.63% due 07/15/324		13,350,000		14,317,875
4.50% due 02/15/314		5,600,000		5,680,080
5.00% due 07/15/284		3,915,000		4,080,604
4.88% due 09/15/274		1,938,000		2,011,993
OneAmerica Financial Partners, Inc.
4.25% due 10/15/504		54,430,000		57,798,020
Ares Finance Company II LLC
3.25% due 06/15/304		54,785,000		57,144,014
Host Hotels & Resorts, LP
3.50% due 09/15/30		54,158,000		56,200,953
LPL Holdings, Inc.
4.00% due 03/15/294		44,950,000		46,168,145
4.38% due 05/15/314		9,350,000		9,759,062
MetLife, Inc.
3.85% 5,6		53,200,000		55,793,500
Teachers Insurance & Annuity Association of America
3.30% due 05/15/504		50,500,000		52,943,940
Goldman Sachs Group, Inc.
3.80% 5,6		25,830,000		26,443,462
3.50% due 04/01/25		22,500,000		24,182,130
0.59% (U.S. Secured Overnight Financing Rate + 0.54%, Rate Floor: 0.00%) due 11/17/237		1,660,000		1,665,342
Brookfield Finance, Inc.
3.50% due 03/30/51		37,420,000		38,999,268
4.70% due 09/20/47		10,925,000		13,199,656
United Wholesale Mortgage LLC
5.50% due 04/15/294		32,550,000		31,602,919
5.50% due 11/15/254		20,100,000		20,250,750
Alleghany Corp.
3.63% due 05/15/30		43,920,000		48,123,287
Arch Capital Group Ltd.
3.64% due 06/30/50		44,100,000		47,977,507
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
3.88% due 03/01/314		46,650,000		47,058,187
UBS Group AG
2.10% due 02/11/324,6		43,400,000		42,176,605
Societe Generale S.A.
2.89% due 06/09/324,6		39,700,000		39,878,195
1.79% due 06/09/274,6		1,630,000		1,620,441
Jefferies Group LLC
2.75% due 10/15/32		40,440,000		40,468,688
6.50% due 01/20/43		720,000		997,023

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Belrose Funding Trust
2.33% due 08/15/304		41,850,000	$	41,236,927
Sumitomo Life Insurance Co.
3.38% due 04/15/814,6		39,700,000		41,213,761
Everest Reinsurance Holdings, Inc.
3.50% due 10/15/50		37,760,000		40,066,883
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		39,450,000		40,041,750
SBA Communications Corp.
3.13% due 02/01/294		35,500,000		34,301,875
3.88% due 02/15/27		5,425,000		5,621,656
Massachusetts Mutual Life Insurance Co.
3.38% due 04/15/504		37,950,000		39,643,767
KKR Group Finance Company VIII LLC
3.50% due 08/25/504		36,610,000		38,523,518
Assured Guaranty US Holdings, Inc.
3.15% due 06/15/31		23,270,000		24,373,572
3.60% due 09/15/51		13,780,000		13,974,280
Assurant, Inc.
2.65% due 01/15/32		36,760,000		36,391,661
6.75% due 02/15/34		1,450,000		1,901,448
Safehold Operating Partnership, LP
2.80% due 06/15/31		35,190,000		35,246,402
FS KKR Capital Corp.
2.63% due 01/15/27		34,850,000		34,918,518
Bain Capital, LP
3.41% due 04/15/41†††		36,000,000		34,039,440
Macquarie Group Ltd.
2.69% due 06/23/324,6		31,550,000		31,465,761
5.03% due 01/15/304,6		800,000		940,595
1.63% due 09/23/274,6		720,000		716,152
1.34% due 01/12/274,6		570,000		564,793
PricewaterhouseCoopers LLP
3.43% due 09/13/30†††		31,500,000		32,467,995
Americo Life, Inc.
3.45% due 04/15/314		32,210,000		32,405,033
Hunt Companies, Inc.
5.25% due 04/15/294		31,500,000		30,870,000
Kennedy-Wilson, Inc.
4.75% due 03/01/29		21,400,000		21,774,500
4.75% due 02/01/30		8,600,000		8,750,500
Stadco LA, LLC
3.75% due 05/15/56†††		31,000,000		30,389,610
Manulife Financial Corp.
2.48% due 05/19/27		27,800,000		29,068,142
Fifth Third Bancorp
2.55% due 05/05/27		27,190,000		28,568,025
AmFam Holdings, Inc.
2.81% due 03/11/314		27,550,000		28,193,432
Dyal Capital Partners III
4.40% due 06/15/40†††		26,750,000		27,585,135
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/284		21,368,000		23,184,280
Lincoln National Corp.
4.38% due 06/15/50		18,680,000		22,575,842
Raymond James Financial, Inc.
3.75% due 04/01/51		20,300,000		22,543,722
Central Storage Safety Project Trust
4.82% due 02/01/388		19,896,480		22,413,506
Kemper Corp.
2.40% due 09/30/30		22,380,000		22,135,259
NFP Corp.
6.88% due 08/15/284		20,775,000		21,212,314
Bank of New York Mellon Corp.
4.70% 5,6		16,500,000		18,108,750

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Prudential Financial, Inc.
3.70% due 10/01/506		17,050,000	$	17,751,015
QBE Insurance Group Ltd.
5.88% 4,5,6		15,700,000		17,505,500
Kuvare US Holdings, Inc.
7.00% due 02/17/514,6		15,650,000		16,877,565
Sumitomo Mitsui Financial Group, Inc.
2.22% due 09/17/31		16,900,000		16,611,834
Westpac Banking Corp.
2.96% due 11/16/40		16,600,000		16,403,284
Weyerhaeuser Co.
4.00% due 04/15/30		14,424,000		16,277,202
Penn Mutual Life Insurance Co.
3.80% due 04/29/614		14,970,000		15,528,752
W R Berkley Corp.
4.00% due 05/12/50		13,105,000		15,057,832
4.63% due 03/15/22		70,000		71,335
PartnerRe Finance B LLC
4.50% due 10/01/506		13,970,000		14,716,098
Apollo Management Holdings, LP
2.65% due 06/05/304		14,407,000		14,533,377
Western & Southern Life Insurance Co.
3.75% due 04/28/614		13,360,000		14,373,635
Nasdaq, Inc.
3.25% due 04/28/50		13,150,000		13,216,947
CNO Financial Group, Inc.
5.25% due 05/30/29		10,850,000		12,714,133
CNO Global Funding
1.75% due 10/07/26		12,400,000		12,398,264
Protective Life Corp.
3.40% due 01/15/304		11,440,000		12,151,071
Brown & Brown, Inc.
2.38% due 03/15/31		11,960,000		11,909,150
Aviation Capital Group LLC
2.88% due 01/20/224		10,691,000		10,746,864
New York Life Insurance Co.
3.75% due 05/15/504		9,300,000		10,394,760
American Equity Investment Life Holding Co.
5.00% due 06/15/27		8,074,000		9,294,202
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		8,050,000		9,143,421
NFL Trust XI SPV
3.53% due 10/05/35†††		7,000,000		7,416,990
Hanover Insurance Group, Inc.
2.50% due 09/01/30		7,070,000		7,090,335
Brookfield Finance LLC
3.45% due 04/15/50		6,820,000		7,017,332
Home Point Capital, Inc.
5.00% due 02/01/264		5,560,000		5,040,251
HS Wildcat LLC
3.83% due 12/31/50†††		5,000,000		4,992,650
Depository Trust & Clearing Corp.
3.38% 4,5,6		4,750,000		4,843,575
Old Republic International Corp.
3.85% due 06/11/51		4,100,000		4,418,971
KKR Group Finance Company III LLC
5.13% due 06/01/444		2,710,000		3,495,866
Fort Knox Military Housing Privatization Project
5.82% due 02/15/524		1,880,198		2,193,654
0.42% (1 Month USD LIBOR + 0.34%) due 02/15/524,7		1,687,480		1,005,039
Atlas Mara Ltd.
due 12/31/21†††,8,9		6,600,000		3,181,860

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Western Group Housing, LP
6.75% due 03/15/574		1,479,890	$	2,135,805
New York Life Global Funding
0.27% (U.S. Secured Overnight Financing Rate + 0.22%) due 02/02/234,7		2,070,000		2,072,705
Transatlantic Holdings, Inc.
8.00% due 11/30/39		1,135,000		1,746,380
Danske Bank A/S
0.98% due 09/10/254,6		1,660,000		1,658,026
Brighthouse Financial Global Funding
1.00% due 04/12/244		1,620,000		1,629,336
BNP Paribas S.A.
1.32% due 01/13/274,6		1,640,000		1,615,770
Athene Global Funding
2.67% due 06/07/314		1,550,000		1,560,658
Enstar Group Ltd.
4.95% due 06/01/29		1,250,000		1,420,053
ING Groep N.V.
1.73% due 04/01/276		1,360,000		1,367,129
Mid-Atlantic Military Family Communities LLC
5.24% due 08/01/504		1,099,630		1,281,122
Janus Capital Group, Inc.
4.88% due 08/01/25		780,000		874,089
Atlantic Marine Corporations Communities LLC
5.37% due 12/01/504		765,716		843,351
Pacific Beacon LLC
5.51% due 07/15/364		500,000		584,028
Swiss Re Finance Luxembourg S.A.
5.00% due 04/02/494,6		300,000		343,932
Peachtree Corners Funding Trust
3.98% due 02/15/254		215,000		233,337
Sompo International Holdings Ltd.
4.70% due 10/15/22		140,000		146,188
Total Financial				4,720,116,113
Consumer, Non-cyclical - 5.6%
Altria Group, Inc.
3.70% due 02/04/51		67,650,000		63,896,610
3.40% due 05/06/30		47,320,000		50,023,170
2.35% due 05/06/25		18,290,000		18,957,566
4.45% due 05/06/50		6,120,000		6,416,937
5.95% due 02/14/49		1,300,000		1,643,083
CoStar Group, Inc.
2.80% due 07/15/304		89,110,000		90,536,228
Mozart Debt Merger Sub, Inc.
3.88% due 04/01/294		75,750,000		75,750,000
BAT Capital Corp.
3.98% due 09/25/50		41,450,000		40,090,415
4.70% due 04/02/27		22,390,000		25,281,480
3.22% due 09/06/26		1,800,000		1,918,232
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		60,550,000		66,160,573
Quanta Services, Inc.
2.90% due 10/01/30		61,954,000		64,018,314
0.95% due 10/01/24		1,660,000		1,660,576
Sysco Corp.
5.95% due 04/01/30		50,735,000		64,474,004
Royalty Pharma plc
3.55% due 09/02/50		39,710,000		38,913,396
2.20% due 09/02/30		20,800,000		20,310,542
Kraft Heinz Foods Co.
4.88% due 10/01/49		14,525,000		17,676,321
4.38% due 06/01/46		13,090,000		14,892,433
5.50% due 06/01/50		9,250,000		12,177,463
5.00% due 06/04/42		7,850,000		9,624,208
5.20% due 07/15/45		1,930,000		2,417,163
Smithfield Foods, Inc.
2.63% due 09/13/314		39,050,000		37,917,229
3.00% due 10/15/304		15,760,000		15,846,274
5.20% due 04/01/294		850,000		975,176

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
DaVita, Inc.
3.75% due 02/15/314		38,095,000	$	37,095,006
4.63% due 06/01/304		14,190,000		14,595,987
BECLE, S.A.B. DE C.V
2.50% due 10/14/31		43,300,000		42,856,608
California Institute of Technology
3.65% due 09/01/19		31,896,000		35,929,583
Triton Container International Ltd.
3.15% due 06/15/314		33,500,000		33,775,920
US Foods, Inc.
6.25% due 04/15/254		24,050,000		25,227,247
4.75% due 02/15/294		8,107,000		8,319,809
Emory University
2.97% due 09/01/50		30,000,000		31,102,777
Yale-New Haven Health Services Corp.
2.50% due 07/01/50		32,350,000		29,907,444
Post Holdings, Inc.
4.50% due 09/15/314		23,850,000		23,566,900
4.63% due 04/15/304		5,725,000		5,769,254
TriNet Group, Inc.
3.50% due 03/01/294		26,450,000		26,516,125
Global Payments, Inc.
2.90% due 05/15/30		24,810,000		25,572,112
Central Garden & Pet Co.
4.13% due 04/30/314		15,675,000		15,918,370
4.13% due 10/15/30		8,975,000		9,176,938
Health Care Service Corporation A Mutual Legal Reserve Co.
3.20% due 06/01/504		23,030,000		23,621,948
Kimberly-Clark de Mexico SAB de CV
2.43% due 07/01/314		22,650,000		22,575,255
Universal Health Services, Inc.
2.65% due 10/15/304		19,660,000		19,749,257
Transurban Finance Company Pty Ltd.
2.45% due 03/16/314		19,400,000		19,416,202
Hologic, Inc.
3.25% due 02/15/294		18,850,000		18,921,065
Service Corporation International
3.38% due 08/15/30		11,225,000		11,210,969
4.00% due 05/15/31		7,000,000		7,236,250
Catalent Pharma Solutions, Inc.
3.50% due 04/01/304		9,500,000		9,500,000
3.13% due 02/15/294		8,075,000		7,929,246
Cheplapharm Arzneimittel GmbH
4.38% due 01/15/28	EUR	13,750,000		16,545,239
Duke University
2.83% due 10/01/55		14,003,000		14,290,255
Bimbo Bakeries USA, Inc.
4.00% due 05/17/514		12,775,000		13,807,955
Sabre GLBL, Inc.
7.38% due 09/01/254		12,825,000		13,690,046
Spectrum Brands, Inc.
3.88% due 03/15/314		13,475,000		13,615,199
GXO Logistics, Inc.
2.65% due 07/15/314		13,400,000		13,308,076
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		13,450,000		12,932,175
WW International, Inc.
4.50% due 04/15/294		12,900,000		12,609,750
CPI CG, Inc.
8.63% due 03/15/264		11,250,000		12,206,250
Moody’s Corp.
3.25% due 05/20/50		11,180,000		11,420,953
4.50% due 09/01/22		720,000		739,194
Avantor Funding, Inc.
4.63% due 07/15/284		11,500,000		12,104,325
Square, Inc.
2.75% due 06/01/264		10,125,000		10,263,206
OhioHealth Corp.
3.04% due 11/15/50		9,100,000		9,370,882
Johns Hopkins University
2.81% due 01/01/60		8,750,000		8,876,863

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Nielsen Finance LLC / Nielsen Finance Co.
4.50% due 07/15/294		8,690,000	$	8,497,082
University of Chicago
2.76% due 04/01/45		8,000,000		8,141,458
Endo Luxembourg Finance Company I SARL / Endo US, Inc.
6.13% due 04/01/294		7,150,000		7,150,000
Syneos Health, Inc.
3.63% due 01/15/294		7,000,000		6,980,400
Children’s Hospital Corp.
2.59% due 02/01/50		7,100,000		6,754,603
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
5.00% due 12/31/264		6,325,000		6,315,639
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/254		4,596,000		4,774,095
5.00% due 06/15/284		1,300,000		1,399,242
Children’s Health System of Texas
2.51% due 08/15/50		6,500,000		6,029,461
Wisconsin Alumni Research Foundation
3.56% due 10/01/49		3,775,000		4,131,445
Providence St. Joseph Health Obligated Group
2.70% due 10/01/51		4,250,000		4,047,182
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/294		3,900,000		4,012,125
Memorial Sloan-Kettering Cancer Center
2.96% due 01/01/50		3,500,000		3,535,139
California Endowment
2.50% due 04/01/51		3,100,000		2,976,176
Gartner, Inc.
3.75% due 10/01/304		2,330,000		2,398,036
Lamb Weston Holdings, Inc.
4.88% due 11/01/264		2,100,000		2,151,492
Tenet Healthcare Corp.
4.63% due 06/15/284		2,056,000		2,130,345
HCA, Inc.
3.50% due 09/01/30		1,600,000		1,695,024
Mondelez International Holdings Netherlands BV
2.13% due 09/19/224		1,440,000		1,465,443
Trustees of the University of Pennsylvania
4.01% due 08/15/47		1,250,000		1,426,919
Molina Healthcare, Inc.
4.38% due 06/15/284		1,290,000		1,338,375
Humana, Inc.
0.65% due 08/03/23		1,000,000		1,000,637
AmerisourceBergen Corp.
0.74% due 03/15/23		810,000		811,247
Verisk Analytics, Inc.
4.13% due 09/12/22		696,000		720,629
Flowers Foods, Inc.
3.50% due 10/01/26		500,000		541,436
Total Consumer, Non-cyclical				1,513,271,663
Industrial - 4.6%
Boeing Co.
5.15% due 05/01/30		125,140,000		146,563,941
5.71% due 05/01/40		68,110,000		86,751,707
5.81% due 05/01/50		53,550,000		71,126,753
5.04% due 05/01/27		33,850,000		38,920,110
3.63% due 02/01/31		21,400,000		22,899,095
1.17% due 02/04/23		1,650,000		1,653,797
Textron, Inc.
2.45% due 03/15/31		52,250,000		52,295,743
3.00% due 06/01/30		23,395,000		24,557,911
FLNG Liquefaction 3 LLC
3.08% due 06/30/39†††		69,731,410		69,538,254
SYNNEX Corp.
2.65% due 08/09/314		40,600,000		39,660,524

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2.38% due 08/09/284		25,500,000	$	25,226,445
Vontier Corp.
2.95% due 04/01/314		34,250,000		34,034,567
2.40% due 04/01/284		20,100,000		19,794,480
Cellnex Finance Company S.A.
3.88% due 07/07/414		49,820,000		48,933,702
Flowserve Corp.
3.50% due 10/01/30		27,340,000		28,518,313
2.80% due 01/15/32		19,800,000		19,569,960
Acuity Brands Lighting, Inc.
2.15% due 12/15/30		44,050,000		42,947,979
Snap-on, Inc.
3.10% due 05/01/50		39,459,000		41,266,253
Dyal Capital Partners IV
3.65% due 02/22/41†††		41,800,000		41,048,687
Owens Corning
3.88% due 06/01/30		36,890,000		40,630,151
Standard Industries, Inc.
4.38% due 07/15/304		13,600,000		13,872,000
3.38% due 01/15/314		14,475,000		13,775,858
5.00% due 02/15/274		6,250,000		6,445,312
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
4.13% due 08/15/264		31,850,000		33,042,146
GATX Corp.
4.00% due 06/30/30		28,835,000		32,139,234
4.70% due 04/01/29		400,000		463,294
CNH Industrial Capital LLC
1.88% due 01/15/26		27,960,000		28,325,423
Ryder System, Inc.
3.35% due 09/01/25		22,380,000		24,110,558
NFL Ventures, LP
3.02% due 04/15/35†††		20,000,000		20,677,600
Amcor Flexibles North America, Inc.
2.63% due 06/19/30		18,580,000		18,951,291
Boxer Parent Co., Inc.
6.50% due 10/02/25	EUR	13,500,000		16,419,954
TFI International, Inc.
3.35% due 01/05/33†††		14,000,000		13,651,400
Weir Group plc
2.20% due 05/13/264		12,815,000		12,936,797
Hardwood Funding LLC
3.19% due 06/07/30†††		8,000,000		8,419,440
2.83% due 06/07/31†††		2,000,000		2,028,960
3.13% due 06/07/36†††		1,000,000		1,019,620
National Basketball Association
2.51% due 12/16/24†††		10,500,000		10,817,100
Airbus SE
3.95% due 04/10/474		9,000,000		10,255,960
Norfolk Southern Corp.
4.10% due 05/15/21		9,100,000		10,186,168
Huntington Ingalls Industries, Inc.
2.04% due 08/16/284		10,150,000		10,003,732
Artera Services LLC
9.03% due 12/04/254		8,490,000		9,211,650
Hillenbrand, Inc.
3.75% due 03/01/31		7,650,000		7,594,155
Virgin Media Vendor Financing Notes III DAC
4.88% due 07/15/28	GBP	5,000,000		6,856,673
Mueller Water Products, Inc.
4.00% due 06/15/294		5,750,000		5,952,400
Graphic Packaging International LLC
3.50% due 03/01/294		4,865,000		4,840,675
Oshkosh Corp.
3.10% due 03/01/30		3,880,000		4,074,115
APi Group DE, Inc.
4.13% due 07/15/294		4,150,000		4,066,377

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/294		3,750,000	$	3,792,187
Berry Global, Inc.
1.57% due 01/15/264		2,750,000		2,749,285
Howmet Aerospace, Inc.
6.75% due 01/15/28		960,000		1,168,800
5.95% due 02/01/37		475,000		591,375
6.88% due 05/01/25		129,000		150,933
Penske Truck Leasing Company Lp / PTL Finance Corp.
1.70% due 06/15/264		1,620,000		1,628,165
Burlington Northern Santa Fe LLC
5.40% due 06/01/41		1,180,000		1,605,839
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/274,8		1,680,690		1,530,823
New Enterprise Stone & Lime Company, Inc.
6.25% due 03/15/264		1,350,000		1,395,900
Trimble, Inc.
4.15% due 06/15/23		1,155,000		1,217,614
Crown Americas LLC / Crown Americas Capital Corporation VI
4.75% due 02/01/26		1,150,000		1,185,190
TransDigm, Inc.
6.25% due 03/15/264		1,075,000		1,124,848
Adevinta ASA
3.00% due 11/15/27	EUR	417,000		497,274
Martin Marietta Materials, Inc.
0.65% due 07/15/23		360,000		360,674
JELD-WEN, Inc.
6.25% due 05/15/254		300,000		316,500
Carlisle Companies, Inc.
0.55% due 09/01/23		220,000		219,888
Hexcel Corp.
4.20% due 02/15/27		180,000		196,545
Canadian National Railway Co.
6.71% due 07/15/36		110,000		160,343
Total Industrial				1,245,968,447
Consumer, Cyclical - 3.8%
Marriott International, Inc.
4.63% due 06/15/30		43,685,000		49,859,415
3.50% due 10/15/32		45,690,000		48,482,463
2.85% due 04/15/31		43,490,000		43,996,290
5.75% due 05/01/25		29,691,000		33,943,311
2.75% due 10/15/33		25,150,000		24,566,106
Delta Air Lines, Inc.
7.00% due 05/01/254		136,400,000		159,068,084
Hyatt Hotels Corp.
5.38% due 04/23/25		26,900,000		30,036,092
5.75% due 04/23/30		23,885,000		28,645,404
1.30% due 10/01/23		1,660,000		1,662,008
Alt-2 Structured Trust
2.95% due 05/14/31†††,7		60,172,525		59,701,976
Hilton Domestic Operating Company, Inc.
3.75% due 05/01/294		44,400,000		44,844,000
4.00% due 05/01/314		5,750,000		5,836,250
3.63% due 02/15/324		1,900,000		1,871,500
Choice Hotels International, Inc.
3.70% due 01/15/31		45,900,000		49,494,429
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		45,200,000		48,361,992
1011778 BC ULC / New Red Finance, Inc.
4.00% due 10/15/304		39,300,000		38,907,000
3.88% due 01/15/284		6,940,000		6,998,990

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
VF Corp.
2.95% due 04/23/30		41,355,000	$	43,486,896
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		38,950,000		42,344,395
BorgWarner, Inc.
2.65% due 07/01/27		34,970,000		36,838,144
WMG Acquisition Corp.
3.00% due 02/15/314		28,050,000		27,383,813
Ferguson Finance plc
3.25% due 06/02/304		25,628,000		27,354,633
Walgreens Boots Alliance, Inc.
4.10% due 04/15/50		24,778,000		27,348,481
Whirlpool Corp.
4.60% due 05/15/50		21,920,000		26,865,877
British Airways Class A Pass Through Trust
2.90% due 03/15/354		15,400,000		15,460,202
4.25% due 11/15/324		5,658,739		6,097,021
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		9,410,810		9,474,002
3.20% due 06/15/28		5,823,800		5,858,367
3.00% due 10/15/28		4,250,022		4,235,786
3.15% due 02/15/32		169,963		171,498
Scotts Miracle-Gro Co.
4.00% due 04/01/314		18,750,000		18,714,750
Allison Transmission, Inc.
3.75% due 01/30/314		12,500,000		12,156,250
Levi Strauss & Co.
3.50% due 03/01/314		11,100,000		11,211,000
Air Canada
3.88% due 08/15/264		8,650,000		8,723,093
Lowe’s Companies, Inc.
1.70% due 09/15/28		7,425,000		7,352,766
Six Flags Theme Parks, Inc.
7.00% due 07/01/254		5,990,000		6,379,350
Smithsonian Institution
2.65% due 09/01/39		5,000,000		5,050,311
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/284		3,800,000		4,236,651
JB Poindexter & Company, Inc.
7.13% due 04/15/264		2,850,000		2,999,625
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/284		1,750,000		1,803,594
United Airlines, Inc.
4.38% due 04/15/264		1,750,000		1,795,938
HP Communities LLC
5.86% due 09/15/534		1,420,000		1,759,616
Lear Corp.
5.25% due 05/15/49		1,360,000		1,685,505
Aramark Services, Inc.
5.00% due 02/01/284		1,525,000		1,566,938
Hanesbrands, Inc.
5.38% due 05/15/254		1,495,000		1,565,085
JetBlue Class A Pass Through Trust
4.00% due 11/15/32		145,092		157,668
Total Consumer, Cyclical				1,036,352,565
Communications - 3.5%
ViacomCBS, Inc.
4.95% due 01/15/31		69,401,000		82,818,323
4.95% due 05/19/5017		39,600,000		49,466,215
4.75% due 05/15/25		36,350,000		40,681,882
Charter Communications Operating LLC / Charter Communications Operating Capital
2.80% due 04/01/31		71,850,000		71,929,174
3.90% due 06/01/52		21,650,000		21,470,704
2.25% due 01/15/29		12,500,000		12,478,587
3.85% due 04/01/61		1,000,000		951,983
4.40% due 12/01/61		650,000		682,997
Level 3 Financing, Inc.
4.25% due 07/01/284		34,430,000		34,696,144
3.63% due 01/15/294		34,600,000		33,552,312

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
3.88% due 11/15/294		20,300,000	$	21,706,790
3.75% due 07/15/294		13,950,000		13,482,396
T-Mobile USA, Inc.
3.88% due 04/15/30		65,805,000		72,774,401
2.63% due 04/15/26		13,850,000		14,161,625
2.88% due 02/15/31		7,250,000		7,311,624
AT&T, Inc.
2.75% due 06/01/31		48,660,000		49,851,395
2.30% due 06/01/27		6,000,000		6,206,703
Vodafone Group plc
4.13% due 06/04/816		40,375,000		40,881,303
UPC Broadband Finco BV
4.88% due 07/15/314		36,900,000		37,780,434
Walt Disney Co.
3.80% due 05/13/60		31,990,000		36,855,287
Virgin Media Secured Finance plc
4.50% due 08/15/304		35,400,000		35,975,250
Altice France S.A.
5.13% due 07/15/294		17,600,000		17,283,728
7.38% due 05/01/264		6,600,000		6,848,886
5.13% due 01/15/294		2,290,000		2,244,200
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 05/01/32		18,275,000		18,800,406
4.25% due 02/01/314		6,025,000		6,115,375
Mav Acquisition Corp.
5.75% due 08/01/284		24,975,000		24,537,938
LCPR Senior Secured Financing DAC
5.13% due 07/15/294		17,900,000		18,481,750
6.75% due 10/15/274		5,633,000		5,970,980
Amazon.com, Inc.
2.70% due 06/03/60		25,180,000		23,613,442
Go Daddy Operating Company LLC / GD Finance Co., Inc.
3.50% due 03/01/294		22,100,000		21,906,625
VeriSign, Inc.
2.70% due 06/15/31		18,950,000		19,259,643
CSC Holdings LLC
3.38% due 02/15/314		14,175,000		13,182,750
4.13% due 12/01/304		5,741,000		5,633,356
Sirius XM Radio, Inc.
4.13% due 07/01/304		17,010,000		17,088,884
Lamar Media Corp.
3.63% due 01/15/31		10,600,000		10,600,000
4.00% due 02/15/30		5,375,000		5,533,563
Radiate Holdco LLC / Radiate Finance, Inc.
4.50% due 09/15/264		15,050,000		15,539,125
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		10,100,000		10,431,785
Ziggo BV
4.88% due 01/15/304		10,125,000		10,406,475
Fox Corp.
3.05% due 04/07/25		7,100,000		7,554,218
Switch Ltd.
3.75% due 09/15/284		4,200,000		4,263,000
British Telecommunications plc
9.63% due 12/15/30		2,310,000		3,532,130
Corning, Inc.
4.38% due 11/15/57		2,500,000		2,990,710
Thomson Reuters Corp.
5.65% due 11/23/43		1,290,000		1,751,232
Koninklijke KPN N.V.
8.38% due 10/01/30		1,140,000		1,608,504
Match Group Holdings II LLC
4.13% due 08/01/304		1,250,000		1,301,562
Virgin Media Finance plc
5.00% due 07/15/304		850,000		868,156
Motorola Solutions, Inc.
5.50% due 09/01/44		360,000		468,074
Total Communications				963,532,026
Energy - 2.5%
Galaxy Pipeline Assets Bidco Ltd.
3.25% due 09/30/404		91,750,000		92,492,656
2.94% due 09/30/404		58,850,000		58,727,291
1.75% due 09/30/274		2,050,000		2,070,548

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
BP Capital Markets plc
4.88% 5,6		114,865,000	$	126,266,514
Qatar Petroleum
3.13% due 07/12/414		38,595,000		38,576,474
3.30% due 07/12/514		37,450,000		37,824,500
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		63,355,000		72,953,692
ITT Holdings LLC
6.50% due 08/01/294		38,600,000		38,937,750
Valero Energy Corp.
2.15% due 09/15/27		13,920,000		14,010,105
2.85% due 04/15/25		12,000,000		12,634,267
4.00% due 04/01/29		7,450,000		8,183,238
7.50% due 04/15/32		2,530,000		3,507,163
Occidental Petroleum Corp.
3.00% due 02/15/27		7,480,000		7,474,240
5.55% due 03/15/26		5,940,000		6,593,400
4.30% due 08/15/39		6,600,000		6,509,448
3.40% due 04/15/26		5,000,000		5,157,500
4.10% due 02/15/47		4,900,000		4,659,410
4.40% due 08/15/49		2,500,000		2,453,125
3.20% due 08/15/26		2,375,000		2,424,733
4.40% due 04/15/46		1,400,000		1,394,106
4.63% due 06/15/45		800,000		818,000
Chevron USA, Inc.
2.34% due 08/12/50		27,250,000		24,491,501
4.20% due 10/15/49		3,300,000		4,009,127
Magellan Midstream Partners, LP
3.25% due 06/01/30		23,260,000		24,838,308
3.95% due 03/01/50		1,600,000		1,699,978
Cheniere Corpus Christi Holdings LLC
2.74% due 12/31/394		19,150,000		18,940,372
NuStar Logistics, LP
6.38% due 10/01/30		13,850,000		15,235,000
5.63% due 04/28/27		1,799,000		1,915,935
Florida Gas Transmission Company LLC
2.55% due 07/01/304		15,100,000		15,256,230
Midwest Connector Capital Company LLC
4.63% due 04/01/294		13,440,000		14,434,512
Baker Hughes a GE Company LLC / Baker Hughes Co-Obligor, Inc.
4.49% due 05/01/30		6,300,000		7,362,736
Phillips 66
3.70% due 04/06/23		2,250,000		2,356,712
Enbridge Energy Partners, LP
7.38% due 10/15/45		1,040,000		1,642,964
TransCanada PipeLines Ltd.
6.10% due 06/01/40		1,200,000		1,625,294
ONEOK Partners, LP
6.20% due 09/15/43		680,000		879,497
3.38% due 10/01/22		720,000		735,221
Parkland Corp.
5.88% due 07/15/274		320,000		339,200
Total Energy				679,430,747
Technology - 1.4%
Broadcom, Inc.
4.15% due 11/15/30		60,860,000		67,395,117
2.45% due 02/15/314		57,120,000		55,336,160
2.60% due 02/15/334		1,660,000		1,596,285
NetApp, Inc.
2.70% due 06/22/30		53,505,000		54,927,077
Leidos, Inc.
2.30% due 02/15/31		34,450,000		33,659,373
3.63% due 05/15/25		9,200,000		9,919,256
4.38% due 05/15/30		2,650,000		3,005,259
Oracle Corp.
3.95% due 03/25/51		38,750,000		41,062,789
6.13% due 07/08/39		1,190,000		1,607,699
Qorvo, Inc.
4.38% due 10/15/29		21,000,000		22,890,000
3.38% due 04/01/314		8,675,000		9,146,920
Apple, Inc.
2.55% due 08/20/60		22,850,000		20,778,857
CGI, Inc.
2.30% due 09/14/314		21,050,000		20,426,112

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
MSCI, Inc.
3.63% due 09/01/304		17,718,000	$	18,315,983
3.88% due 02/15/314		1,769,000		1,855,239
Analog Devices, Inc.
2.95% due 04/01/25		6,100,000		6,504,876
TeamSystem SpA
3.50% due 02/15/28	EUR	5,000,000		5,777,282
Booz Allen Hamilton, Inc.
3.88% due 09/01/284		4,550,000		4,664,296
Presidio Holdings, Inc.
4.88% due 02/01/274		2,300,000		2,374,750
Microchip Technology, Inc.
0.97% due 02/15/244		1,650,000		1,650,833
Citrix Systems, Inc.
3.30% due 03/01/30		1,500,000		1,530,394
Skyworks Solutions, Inc.
1.80% due 06/01/26		540,000		546,919
0.90% due 06/01/23		500,000		500,964
HP, Inc.
4.05% due 09/15/22		720,000		744,636
Open Text Holdings, Inc.
4.13% due 02/15/304		210,000		215,775
Total Technology				386,432,851
Basic Materials - 1.1%
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		55,600,000		59,028,016
4.20% due 05/13/504		26,390,000		30,116,478
Anglo American Capital plc
5.63% due 04/01/304		39,500,000		47,628,725
2.63% due 09/10/304		18,000,000		17,859,977
3.95% due 09/10/504		14,140,000		15,086,685
2.25% due 03/17/284		1,010,000		1,003,067
Yamana Gold, Inc.
2.63% due 08/15/314		19,350,000		18,881,297
4.63% due 12/15/27		3,000,000		3,316,702
Minerals Technologies, Inc.
5.00% due 07/01/284		18,630,000		19,328,625
Alcoa Nederland Holding BV
4.13% due 03/31/294		8,600,000		8,965,500
5.50% due 12/15/274		6,525,000		7,004,131
6.13% due 05/15/284		2,800,000		3,034,500
Valvoline, Inc.
3.63% due 06/15/314		18,300,000		18,071,250
Reliance Steel & Aluminum Co.
2.15% due 08/15/30		12,040,000		11,758,063
Corporation Nacional del Cobre de Chile
3.75% due 01/15/314		10,430,000		11,157,048
INEOS Quattro Finance 2 plc
2.50% due 01/15/26	EUR	8,500,000		9,912,761
Steel Dynamics, Inc.
2.40% due 06/15/25		5,950,000		6,190,444
Nucor Corp.
2.00% due 06/01/25		5,000,000		5,145,362
Carpenter Technology Corp.
6.38% due 07/15/28		2,125,000		2,285,310
Southern Copper Corp.
7.50% due 07/27/35		1,150,000		1,644,500
International Paper Co.
7.30% due 11/15/39		1,030,000		1,581,920
WR Grace Holdings LLC
4.88% due 06/15/274		925,000		949,864
Sherwin-Williams Co.
2.75% due 06/01/22		220,000		222,998
Total Basic Materials				300,173,223
Utilities - 0.9%
Cheniere Corpus Christi Holdings LLC
3.52% due 12/31/39†††		97,100,000		98,021,479
AES Corp.
3.95% due 07/15/304		26,390,000		29,018,972
3.30% due 07/15/254		3,750,000		3,983,325
NRG Energy, Inc.
2.45% due 12/02/274		26,000,000		26,365,148

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Arizona Public Service Co.
3.35% due 05/15/50		23,140,000	$	24,071,228
Enel Finance International N.V.
2.88% due 07/12/414		19,800,000		19,247,487
Alexander Funding Trust
1.84% due 11/15/234		14,400,000		14,675,158
Clearway Energy Operating LLC
3.75% due 02/15/314		11,150,000		11,177,875
Southern Power Co.
5.25% due 07/15/43		1,350,000		1,680,494
Entergy Texas, Inc.
1.50% due 09/01/26		1,650,000		1,624,439
ONE Gas, Inc.
0.85% due 03/11/23		1,620,000		1,620,290
Dominion Energy, Inc.
0.65% (3 Month USD LIBOR + 0.53%) due 09/15/237		1,030,000		1,030,243
Atmos Energy Corp.
0.63% due 03/09/23		800,000		800,025
OGE Energy Corp.
0.70% due 05/26/23		360,000		360,028
Total Utilities				233,676,191
Total Corporate Bonds
(Cost $10,640,454,256)				11,078,953,826
ASSET-BACKED SECURITIES†† - 19.9%
Collateralized Loan Obligations - 12.6%
BXMT Ltd.
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/384,7		76,225,000		76,129,239
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/374,7		23,550,000		23,539,304
2020-FL3, 2.72% (30 Day Average U.S. Secured Overnight Financing Rate + 2.66%, Rate Floor: 2.55%) due 03/15/374,7		16,125,000		16,202,635
2020-FL2, 1.49% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 02/15/384,7		16,000,000		15,963,222
2020-FL3, 2.32% (30 Day Average U.S. Secured Overnight Financing Rate + 2.26%, Rate Floor: 2.15%) due 03/15/374,7		10,600,000		10,627,219
2020-FL2, 1.74% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,7		5,360,000		5,347,377

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2020-FL2, 1.24% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/384,7		5,200,000	$	5,188,667
Dryden 33 Senior Loan Fund
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/294,7		56,002,056		55,992,581
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/294,7		48,700,000		48,607,402
2020-33A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/294,7		27,000,000		26,943,583
Cerberus Loan Funding XXX, LP
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/334,7		100,000,000		100,466,180
2020-3A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/15/334,7		10,200,000		10,287,111
HERA Commercial Mortgage Ltd.
2021-FL1, 1.69% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/384,7		49,562,000		49,416,070
2021-FL1, 1.39% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/384,7		28,000,000		27,884,987
2021-FL1, 2.04% (1 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 02/18/384,7		19,200,000		19,127,900
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/384,7		10,000,000		9,975,899
LoanCore Issuer Ltd.
2021-CRE4, 1.87% (30 Day Average U.S. Secured Overnight Financing Rate + 1.81%, Rate Floor: 1.70%) due 07/15/354,7		25,982,000		26,034,143
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,7		19,984,000		19,927,811
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/284,7		17,747,000		17,740,851
2021-CRE5, 3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 07/15/364,7		14,350,000		14,362,717
2019-CRE2, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 05/15/364,7		11,575,000		11,568,215

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2019-CRE3, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 04/15/344,7		6,359,660	$	6,352,630
2021-CRE4, 2.67% (30 Day Average U.S. Secured Overnight Financing Rate + 2.61%, Rate Floor: 2.50%) due 07/15/354,7		5,600,000		5,611,261
2019-CRE3, 1.68% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/15/344,7		4,410,000		4,374,805
Cerberus Loan Funding XXXII, LP
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/334,7		65,000,000		65,140,991
2021-2A, 2.98% (3 Month USD LIBOR + 2.85%, Rate Floor: 2.85%) due 04/22/334,7		20,925,000		21,019,177
2021-2A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/334,7		19,200,000		19,217,343
Golub Capital Partners CLO 33M Ltd.
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/334,7		104,600,000		104,594,655
Woodmont Trust
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/324,7		83,000,000		83,466,917
2020-7A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 01/15/324,7		13,500,000		13,658,120
2020-7A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/324,7		7,000,000		7,026,176
Palmer Square Loan Funding Ltd.
2021-3A, 1.92% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/294,7		22,500,000		22,499,561
2021-1A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/294,7		19,000,000		18,926,861
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/264,7		12,000,000		12,006,136
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/274,7		11,021,158		11,022,109
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/294,7		10,500,000		10,399,535

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/264,7		7,289,303	$	7,290,349
2021-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/20/294,7		7,100,000		7,102,005
2021-2A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 05/20/294,7		7,000,000		6,999,925
MidOcean Credit CLO VII
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/294,7		52,000,000		52,016,110
2020-7A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 0.00%) due 07/15/294,7		27,500,000		27,460,793
2020-7A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/294,7		14,800,000		14,811,566
KREF Funding V LLC
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7		81,053,530		80,234,889
0.15% due 06/25/26†††,12		313,636,364		385,773
Venture XIV CLO Ltd.
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/294,7		69,000,000		69,005,927
2020-14A, 2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/28/294,7		22,725,000		22,727,447
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/314,7		72,500,000		72,717,928
2020-9A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 11/18/314,7		15,250,000		15,304,494
ABPCI Direct Lending Fund CLO II LLC
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/324,7		83,450,000		83,343,843
Cerberus Loan Funding XXXI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/324,7		70,250,000		70,263,917
2021-1A, 2.73% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 04/15/324,7		12,000,000		11,999,920
GPMT Ltd.
2019-FL2, 1.68% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/22/364,7		24,300,000		24,284,365

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2019-FL2, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 02/22/364,7		21,400,000	$	21,347,300
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/364,7		20,418,639		20,407,705
2019-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/364,7		12,750,000		12,727,194
Parliament Funding II Ltd.
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/304,7		71,650,000		71,916,954
2020-1A, 3.33% (3 Month USD LIBOR + 3.20%, Rate Floor: 3.20%) due 08/12/304,7		6,000,000		6,026,298
Golub Capital Partners CLO 36M Ltd.
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,7		76,300,000		75,878,504
Fortress Credit Opportunities IX CLO Ltd.
due 10/15/334,7		52,900,000		52,900,000
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,7		11,527,000		11,527,000
2020-9A, 2.53% due 11/15/294		1,250,000		1,250,000
THL Credit Lake Shore MM CLO I Ltd.
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/334,7		33,500,000		33,552,930
2021-1A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/15/334,7		30,400,000		30,241,151
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/334,7		59,500,000		59,608,950
2021-1A, 2.18% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/20/334,7		2,500,000		2,487,184
CHCP Ltd.
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/384,7		28,000,000		27,976,693
2021-FL1, 1.47% (30 Day Average U.S. Secured Overnight Financing Rate + 1.41%, Rate Floor: 1.30%) due 02/15/384,7		22,250,000		22,225,950

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-FL1, 1.82% (30 Day Average U.S. Secured Overnight Financing Rate + 1.76%, Rate Floor: 1.65%) due 02/15/384,7		5,900,000	$	5,902,903
2021-FL1, 2.27% (30 Day Average U.S. Secured Overnight Financing Rate + 2.21%, Rate Floor: 2.10%) due 02/15/384,7		2,950,000		2,952,613
Cerberus Loan Funding XXVI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/314,7		55,700,000		55,699,866
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/314,7		3,250,000		3,252,178
Wellfleet CLO Ltd.
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/294,7		52,250,000		52,291,157
2018-2A, 1.71% (3 Month USD LIBOR + 1.58%, Rate Floor: 1.58%) due 10/20/284,7		2,500,000		2,500,500
Owl Rock CLO IV Ltd.
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/334,7		36,500,000		36,536,361
2021-4A, 2.04% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/334,7		16,750,000		16,687,038
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/314,7		50,650,000		50,569,208
Diamond CLO Ltd.
2021-1A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/294,7		23,825,000		23,807,174
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/304,7		18,000,000		17,982,081
2021-1A, 2.53% (3 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/25/294,7		2,300,000		2,295,130
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/25/294,7		2,150,000		2,147,474
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,7		44,300,000		43,958,044

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2018-11A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 04/15/314,7		2,300,000	$	2,268,614
Whitebox CLO II Ltd.
2020-2A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/24/314,7		36,500,000		36,574,015
2020-2A, 2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 10/24/314,7		7,000,000		7,006,580
Cerberus Loan Funding XXXIII, LP
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/334,7		32,000,000		32,039,514
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/334,7		9,500,000		9,499,971
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/334,7		35,900,000		35,793,061
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/334,7		3,900,000		3,875,118
Cerberus Loan Funding XXXV, LP
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/334,7		30,750,000		30,750,000
2021-5A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 09/22/334,7		8,000,000		8,000,000
LCM XXIV Ltd.
2021-24A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 03/20/304,7		24,200,000		24,149,582
2021-24A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 0.00%) due 03/20/304,7		13,050,000		13,018,518
Golub Capital Partners CLO 16 Ltd.
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/334,7		26,750,000		26,790,395
2021-16A, 1.89% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 07/25/334,7		9,000,000		9,045,100
Golub Capital Partners Clo 49M Ltd.
2021-49A, 2.00% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/26/334,7		21,695,000		21,654,059

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-49A, 2.70% (3 Month USD LIBOR + 2.60%, Rate Floor: 2.60%) due 08/26/334,7		12,600,000	$	12,548,854
Madison Park Funding XLVIII Ltd.
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/334,7		27,500,000		27,185,491
2021-48A, 2.13% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/19/334,7		5,900,000		5,899,971
Telos CLO Ltd.
2017-6A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/17/274,7		29,691,627		29,697,693
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/334,7		26,700,000		26,466,949
2021-40A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/16/334,7		2,000,000		1,987,638
Marathon CLO V Ltd.
2017-5A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/21/274,7		18,020,137		18,002,982
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/274,7		8,938,827		8,932,825
Denali Capital CLO XI Ltd.
2018-1A, 1.26% (3 Month USD LIBOR + 1.13%, Rate Floor: 0.00%) due 10/20/284,7		25,577,255		25,577,483
OCP CLO Ltd.
2020-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/24/294,7		25,500,000		25,501,476
STWD Ltd.
2019-FL1, 1.68% (30 Day Average U.S. Secured Overnight Financing Rate + 1.71%, Rate Floor: 1.60%) due 07/15/384,7		11,210,000		11,163,984
2019-FL1, 2.03% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 07/15/384,7		8,800,000		8,806,093
2021-FL2, 2.18% (1 Month USD LIBOR + 2.10%, Rate Floor: 2.10%) due 04/18/384,7		2,820,000		2,825,840

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2019-FL1, 1.57% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 07/15/384,7		2,200,000	$	2,191,002
ACRES Commercial Realty Ltd.
2021-FL1, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/364,7		13,092,000		12,960,708
2021-FL1, 2.73% (1 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 06/15/364,7		11,750,000		11,868,432
Ares LVII CLO Ltd.
2020-57A, 2.63% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 10/25/314,7		13,500,000		13,505,890
2020-57A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/25/314,7		9,500,000		9,501,189
Voya CLO Ltd.
2020-1A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 1.06%) due 04/15/314,7		18,850,000		18,844,304
2013-1A, due 10/15/304,10		10,575,071		3,450,466
Apres Static CLO Ltd.
2020-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/15/284,7		21,750,000		21,716,818
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/304,7		21,171,638		21,002,730
Golub Capital Partners CLO 54M L.P
2021-54A, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 08/05/334,7		21,000,000		20,937,298
Allegro CLO IX Ltd.
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/314,7		20,400,000		20,400,296
Avery Point VI CLO Ltd.
2021-6A, 1.92% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 08/05/274,7		12,100,000		12,091,267
2021-6A, 1.47% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/274,7		8,000,000		7,991,996
Recette CLO Ltd.
2021-1A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/344,7		9,800,000		9,657,162

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-1A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 04/20/344,7		9,200,000	$	9,092,946
Anchorage Capital CLO 6 Ltd.
2021-6A, 2.33% (3 Month USD LIBOR + 2.20%, Rate Floor: 2.20%) due 07/15/304,7		18,585,000		18,575,908
AMMC CLO XIV Ltd.
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/294,7		18,290,000		18,289,075
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/324,7		14,100,000		14,085,411
2021-32A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 01/20/324,7		4,200,000		4,162,859
Owl Rock CLO VI Ltd.
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/324,7		17,450,000		17,398,709
KREF
2021-FL2, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/394,7		16,600,000		16,607,266
ABPCI DIRECT LENDING FUND CLO V Ltd.
2021-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/314,7		15,975,000		15,934,732
610 Funding CLO 3 Ltd.
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/284,7		15,816,851		15,817,495
FS RIALTO
2021-FL2, 2.14% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/16/284,7		15,665,000		15,671,926
Owl Rock CLO II Ltd.
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/334,7		15,600,000		15,564,427
Dryden 36 Senior Loan Fund
2020-36A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/15/294,7		15,200,000		15,199,942
Magnetite XXIX Ltd.
2021-29A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/344,7		15,100,000		15,056,251
Shackleton CLO Ltd.
2017-8A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 10/20/274,7		5,510,000		5,501,324

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/274,7		4,851,908	$	4,850,745
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/284,7		2,646,842		2,645,588
Octagon Investment Partners 49 Ltd.
2021-5A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/334,7		12,800,000		12,786,269
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/304,7		12,600,000		12,601,725
Greystone Commercial Real Estate Notes
2021-FL3, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/394,7		12,000,000		11,994,634
Benefit Street Partners CLO XXII Ltd.
2020-22A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 01/20/324,7		7,700,000		7,701,196
2020-22A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 01/20/324,7		4,300,000		4,291,948
Columbia Cent CLO 27 Ltd.
2020-27A, 1.83% due 10/25/284		12,000,000		11,959,187
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/274,7		10,121,680		10,120,541
Neuberger Berman CLO XVI-S Ltd.
2021-16SA, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/344,7		10,200,000		10,055,347
Golub Capital Partners CLO 54M, LP
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/334,7		10,000,000		10,000,672
Treman Park CLO Ltd.
2015-1A, due 10/20/284,10		13,600,000		9,685,707
BSPRT Issuer Ltd.
2021-FL6, 2.13% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/364,7		5,550,000		5,549,996
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/354,7		3,562,072		3,556,820
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/314,10		10,000,000		8,469,239

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
KVK CLO Ltd.
2018-1A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 05/20/294,7		3,850,000	$	3,848,875
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/284,7		2,325,959		2,325,960
2018-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.00%) due 05/20/294,7		2,059,293		2,057,684
Wind River CLO Ltd.
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/274,7		7,838,759		7,838,071
Magnetite Xxix Ltd.
2021-29A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 01/15/344,7		7,700,000		7,607,331
BDS Ltd.
2020-FL5, 1.97% (30 Day Average U.S. Secured Overnight Financing Rate + 1.91%, Rate Floor: 1.80%) due 02/16/374,7		4,400,000		4,397,893
2020-FL5, 1.52% (30 Day Average U.S. Secured Overnight Financing Rate + 1.46%, Rate Floor: 1.35%) due 02/16/374,7		3,200,000		3,200,444
Marathon CLO VII Ltd.
2017-7A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/254,7		6,622,593		6,622,165
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 12/18/374,7		3,100,000		3,096,354
2021-FL4, 1.49% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 12/18/374,7		3,100,000		3,092,473
HGI CRE CLO Ltd.
2021-FL2, 1.85% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/19/264,7		5,000,000		5,000,000
2021-FL2, 1.90% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/19/267,8		1,000,000		1,000,000
Owl Rock CLO I Ltd.
2019-1A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 05/20/314,7		5,650,000		5,651,793
GoldenTree Loan Opportunities IX Ltd.
2018-9A, 1.24% (3 Month USD LIBOR + 1.11%, Rate Floor: 1.11%) due 10/29/294,7		5,152,000		5,152,165

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
VOYA CLO
2021-2A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/304,7		4,950,000	$	4,950,453
Atlas Senior Loan Fund III Ltd.
2017-1A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 11/17/274,7		4,300,000		4,256,078
TRTX Issuer Ltd.
2019-FL3, 1.23% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 10/15/344,7		2,600,000		2,598,773
2019-FL3, 1.93% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 10/15/347,8		1,500,000		1,490,068
Northwoods Capital XII-B Ltd.
2018-12BA, 1.97% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 06/15/314,7		4,000,000		3,959,746
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6, 2.64% (1 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 07/16/364,7		3,800,000		3,842,925
BRSP Ltd.
2021-FL1, 2.79% (1 Month USD LIBOR + 2.70%, Rate Floor: 2.70%) due 08/19/384,7		3,800,000		3,808,512
Carlyle Global Market Strategies CLO Ltd.
2012-3A, due 01/14/324,10		8,920,000		3,616,453
TICP CLO III-2 Ltd.
2018-3R, 0.97% (3 Month USD LIBOR + 0.84%, Rate Floor: 0.84%) due 04/20/284,7		3,210,544		3,210,532
Golub Capital Partners CLO 39B Ltd.
2018-39A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 10/20/284,7		3,100,000		3,100,147
ACRES Commercial Realty Corp.
2020-RSO8, 1.62% (30 Day Average U.S. Secured Overnight Financing Rate + 1.56%, Rate Floor: 1.45%) due 03/15/354,7		3,000,000		3,000,371
Monroe Capital CLO Ltd.
2017-1A, 1.84% (3 Month USD LIBOR + 1.70%, Rate Floor: 0.00%) due 10/22/264,7		2,685,973		2,685,731

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Allegro CLO VII Ltd.
2018-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 06/13/314,7		2,500,000	$	2,493,146
Newstar Commercial Loan Funding LLC
2017-1A, 2.62% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/274,7		2,298,904		2,299,300
Newfleet CLO Ltd.
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/284,7		2,210,226		2,208,854
First Eagle Clarendon Fund CLO LLC
2019-1A, 3.18% (3 Month USD LIBOR + 3.05%, Rate Floor: 0.00%) due 01/25/274,7		2,000,000		2,000,231
Ivy Hill Middle Market Credit Fund IX Ltd.
2017-9A, 1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 0.00%) due 01/18/304,7		1,000,000		995,421
2017-9A, 2.48% (3 Month USD LIBOR + 2.35%, Rate Floor: 0.00%) due 01/18/304,7		1,000,000		985,841
Oaktree CLO Ltd.
2017-1A, 1.00% (3 Month USD LIBOR + 0.87%) due 10/20/274,7		1,780,884		1,780,752
Dryden XXV Senior Loan Fund
2017-25A, 1.48% (3 Month USD LIBOR + 1.35%, Rate Floor: 0.00%) due 10/15/274,7		1,766,703		1,764,912
Ready Capital Mortgage Financing LLC
2019-FL3, 1.09% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 03/25/347,8		1,665,516		1,661,871
TCP Waterman CLO Ltd.
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/284,7		1,517,011		1,517,010
Grand Avenue CRE Ltd.
2020-FL2, 4.35% (30 Day Average U.S. Secured Overnight Financing Rate + 4.37%, Rate Floor: 4.26%) due 03/15/357,8		1,100,000		1,110,982
2020-FL2, 3.34% (30 Day Average U.S. Secured Overnight Financing Rate + 3.36%, Rate Floor: 3.25%) due 03/15/357,8		62,812		62,825
Venture XIII CLO Ltd.
2013-13A, due 09/10/294,10		3,700,000		1,119,542

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Catamaran CLO Ltd.
2016-2A, 2.18% (3 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 10/18/264,7		904,987	$	904,964
Mountain View CLO Ltd.
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/264,7		829,705		829,602
Avery Point II CLO Ltd.
2013-3X COM, due 01/18/2510		2,375,019		384,278
Great Lakes CLO Ltd.
2014-1A, due 10/15/294,10		461,538		177,896
Babson CLO Ltd.
2014-IA, due 07/20/254,10		1,300,000		153,140
Atlas Senior Loan Fund IX Ltd.
2018-9A, due 04/20/284,10		1,200,000		110,063
Copper River CLO Ltd.
2007-1A, due 01/20/218,10		1,500,000		51,345
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,10		1,808,219		2,025
Total Collateralized Loan Obligations				3,427,688,427
Financial - 2.6%
Station Place Securitization Trust
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,4,7		144,500,000		144,500,000
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,4,7		114,400,000		114,400,000
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,4,7		42,600,000		42,600,000
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,4,7		8,850,000		8,850,000
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,4,7		6,750,000		6,750,000
2021-WL2, 2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 03/25/54†††,4,7		5,250,000		5,250,000
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,4,7		4,250,000		4,250,000
2021-WL1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 01/26/54†††,4,7		3,400,000		3,400,000
HV Eight LLC
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,7	EUR	107,000,000		123,785,067

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 45

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Strategic Partners Fund VIII LP
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7		51,900,000	$	51,904,671
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7		21,900,000		21,900,438
HarbourVest Structured Solutions IV Holdings, LP
due 09/15/267		20,700,000		20,700,000
due 09/15/267	EUR	11,100,000		12,859,129
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7	EUR	21,283,503		24,643,692
Oxford Finance Funding
2020-1A, 3.10% due 02/15/284		23,750,000		24,350,937
Ceamer Finance LLC
3.69% due 03/22/31†††		23,275,000		22,848,602
Madison Avenue Secured Funding Trust Series
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,4,7		20,050,000		20,050,000
Nassau LLC
2019-1, 3.98% due 08/15/344		17,499,849		17,685,781
KKR Core Holding Company LLC
4.00% due 07/15/31†††		16,760,000		16,533,741
Aesf Vi Verdi LP
2.30% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7		13,170,173		13,169,383
Lam Trade Finance Group LLC
2.50% due 09/29/22		11,000,000		11,000,000
Industrial DPR Funding Ltd.
2016-1A, 5.24% due 04/15/264		2,869,293		3,113,119
Total Financial				714,544,560
Transport-Aircraft - 1.4%
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		74,916,212		77,379,397
AASET Trust
2020-1A, 3.35% due 01/16/404		29,896,404		29,551,696
2019-1, 3.84% due 05/15/394		12,133,409		12,068,086
2017-1A, 3.97% due 05/16/424		6,918,784		6,344,139
2019-2, 3.38% due 10/16/394		2,144,542		2,086,216
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		46,511,467		45,176,690
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/424		33,684,045		33,557,689
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		31,538,532		31,271,489
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		30,504,115		30,119,165

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		24,524,259	$	24,456,977
2016-1, 4.45% due 08/15/41		324,299		324,281
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		21,240,139		21,416,974
WAVE LLC
2019-1, 3.60% due 09/15/444		21,297,467		21,210,408
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/394		12,909,076		12,797,034
2017-1, 4.58% due 02/15/424		5,073,311		5,054,702
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		14,800,616		12,567,203
Raspro Trust
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,7		7,984,070		7,984,063
Slam Ltd.
2021-1A, 3.42% due 06/15/464		1,476,600		1,482,184
Stripes Aircraft Ltd.
2013-1 A1, 3.59% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 03/20/23†††,7		473,402		456,384
Airplanes Pass Through Trust
2001-1A, 1.26% (1 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 03/15/19†††,7,8,9		409,604		41
Total Transport-Aircraft				375,304,818
Whole Business - 1.1%
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		96,574,500		100,115,887
Taco Bell Funding LLC
2021-1A, 2.29% due 08/25/514		24,800,000		24,685,994
2016-1A, 4.97% due 05/25/464		14,697,625		15,740,201
ServiceMaster Funding LLC
2020-1, 3.34% due 01/30/514		29,153,500		30,169,325
2020-1, 2.84% due 01/30/514		9,751,000		9,920,287
SERVPRO Master Issuer LLC
2021-1A, 2.39% due 04/25/514		30,124,500		30,248,252
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/504		25,372,500		26,087,573
Domino’s Pizza Master Issuer LLC
2017-1A, 4.12% due 07/25/474		10,373,750		11,133,544
2021-1A, 3.15% due 04/25/514		9,307,673		9,810,343
Wendy’s Funding LLC
2019-1A, 3.78% due 06/15/494		12,616,725		13,332,787
2019-1A, 4.08% due 06/15/494		1,561,938		1,689,531
Sonic Capital LLC
2021-1A, 2.64% due 08/20/514		11,250,000		11,251,260
DB Master Finance LLC
2019-1A, 4.35% due 05/20/494		7,735,140		8,401,228
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/494		3,356,100		3,414,597
Total Whole Business				296,000,809

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 47

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Collateralized Debt Obligations - 0.9%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/394		108,450,000	$	108,465,291
2021-4A, 3.12% due 04/27/394		23,000,000		22,989,567
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/394		54,000,000		54,001,696
Anchorage Credit Funding Ltd.
2021-13A, 2.88% due 07/27/394		32,850,000		32,856,150
2021-13A, 3.23% due 07/27/394		6,345,000		6,342,285
2021-13A, 3.65% due 07/27/398		1,950,000		1,949,816
Total Collateralized Debt Obligations				226,604,805
Net Lease - 0.8%
Capital Automotive LLC
2017-1A, 3.87% due 04/15/474		49,137,196		49,258,565
2017-1A, 4.18% due 04/15/474		271,226		271,526
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/464		28,274,330		29,697,753
2016-1A, 4.32% due 10/20/464		11,457,840		12,180,081
Capital Automotive REIT
2020-1A, 3.48% due 02/15/504		22,195,020		22,833,306
2021-1A, 2.76% due 08/15/514		6,600,000		6,573,574
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/514		10,050,000		10,035,066
2021-1, 2.57% due 07/20/514		5,904,117		5,882,958
2021-1, 3.04% due 07/20/514		5,050,000		5,004,388
2021-1, 3.44% due 07/20/514		3,215,000		3,208,911
2021-1, 2.51% due 07/20/514		3,000,000		2,985,392
CARS-DB4, LP
2020-1A, 3.81% due 02/15/504		20,024,006		21,490,963
2020-1A, 3.25% due 02/15/504		3,464,819		3,635,815
CF Hippolyta LLC
2020-1, 2.28% due 07/15/604		10,436,665		10,586,574
2020-1, 2.60% due 07/15/604		4,549,437		4,583,920
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 2.26% due 11/20/504		15,000,000		14,854,152
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/454		9,629,803		10,031,103
STORE Master Funding LLC
2014-1A, 5.00% due 04/20/444		4,335,000		4,485,526
2021-1A, 3.70% due 06/20/514		3,578,521		3,696,008
2013-3A, 5.21% due 11/20/434		646,567		660,835
Total Net Lease				221,956,416
Transport-Container - 0.3%
Textainer Marine Containers VII Ltd.
2020-1A, 2.73% due 08/21/454		61,022,148		61,835,109
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/454		20,130,000		20,288,554
Total Transport-Container				82,123,663

48 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Infrastructure - 0.1%
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/484		21,577,011	$	21,975,389
Diamond Issuer LLC
2020-1A, 2.74% due 07/20/504		7,900,000		7,863,005
Total Infrastructure				29,838,394
Diversified Payment Rights - 0.1%
Bib Merchant Voucher Receivables Ltd.
4.18% due 04/07/28†††		21,400,000		22,731,294
CCR Incorporated MT100 Payment Rights Master Trust
2012-CA, 4.75% due 07/10/224		113,095		114,873
Total Diversified Payment Rights				22,846,167
Single Family Residence - 0.0%
FirstKey Homes Trust
2021-SFR1, 2.19% due 08/17/384		8,174,000		8,136,458
Insurance - 0.0%
321 Henderson Receivables VI LLC
2010-1A, 5.56% due 07/15/594		1,049,083		1,148,828
JGWPT XXV LLC
2012-1A, 4.21% due 02/16/654		469,956		529,554
JG Wentworth XXXV LLC
2015-2A, 3.87% due 03/15/584		37,415		41,752
Total Insurance				1,720,134
Total Asset-Backed Securities
(Cost $5,387,019,807)				5,406,764,651
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 14.5%
Residential Mortgage Backed Securities - 7.1%
CSMC Trust
2020-RPL5, 3.02% (WAC) due 08/25/604,7		91,856,452		93,114,132
2021-RPL7, 1.93% due 06/27/614		75,550,000		75,581,731
2021-RPL4, 1.80% (WAC) due 12/27/604,7		49,599,142		49,754,799
2021-RPL1, 1.67% (WAC) due 09/27/604,7		36,524,748		36,622,978
FKRT
2.21% due 11/30/58		117,200,000		117,231,644
2020-C2A, 3.25% due 12/30/23†††,8		97,396,890		97,396,890
PRPM LLC 2021-5, 1.79% due 06/25/264,11		75,149,984		75,214,764
2021-8, 1.74% (WAC) due 09/25/264,7		48,945,000		48,883,589
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/267,8		63,569,774		63,763,344
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/267,8		33,458,671		33,472,422
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/614,11		87,750,000		87,710,723

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2021-HE1, 1.55% (30 Day Average U.S. Secured Overnight Financing Rate + 1.50%, Rate Floor: 0.00%) due 01/25/704,7		7,500,000	$	7,491,039
Legacy Mortgage Asset Trust
2021-GS2, 1.75% due 04/25/614,11		50,112,205		50,160,819
2021-GS3, 1.75% due 07/25/614,11		42,930,063		42,964,918
OSAT Trust
2021-RPL1, 2.12% due 05/25/654,11		74,534,397		74,528,293
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC5, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/367		28,433,240		18,348,650
2007-HE5, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 03/25/377		30,612,018		17,858,118
2006-HE6, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 09/25/367		24,967,664		12,067,172
2006-HE4, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 06/25/367		9,505,655		6,371,805
2007-HE2, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 01/25/377		9,095,183		5,551,862
2007-HE3, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/367		6,376,002		4,216,376
2007-HE6, 0.15% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377		3,055,848		2,791,703
2007-NC3, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 05/25/377		2,418,636		2,131,986
2007-HE3, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/364,7		2,333,956		1,705,652
2006-HE6, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 09/25/367		3,164,915		1,496,986
Home Equity Loan Trust
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377		69,625,455		66,532,163
JP Morgan Mortgage Acquisition Trust
2006-WMC4, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/367		71,614,262		53,678,198
2006-WMC4, 0.21% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/367		12,966,840		8,314,719

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-WMC3, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 08/25/367		2,182,966	$	1,772,552
ZH Trust
due 10/17/274,7		45,250,000		45,223,755
2021-1, 2.25% due 02/18/274		17,750,000		17,769,543
Soundview Home Loan Trust
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367		49,102,204		48,392,230
GSAMP Trust
2007-NC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 12/25/467		29,012,104		20,193,657
2006-HE8, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/377		10,107,000		9,258,217
2006-NC2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 06/25/367		7,200,734		5,188,828
2007-NC1, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/467		6,473,024		4,409,464
NovaStar Mortgage Funding Trust Series
2007-2, 0.29% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/377		33,826,346		33,322,946
2007-1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Cap/Floor: 11.00%/0.13%) due 03/25/377		3,361,080		2,610,638
Alternative Loan Trust
2007-OA4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 05/25/477		19,893,393		19,019,695
2007-OH3, 0.38% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/477		7,686,003		7,395,419
2006-43CB, 6.00% (1 Month USD LIBOR + 0.50%, Rate Cap/Floor: 6.00%/6.00%) due 02/25/377		6,991,371		5,270,023
2007-OA7, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 05/25/477		3,116,479		2,991,197
2007-OH3, 0.31% (1 Month USD LIBOR + 0.22%, Rate Cap/Floor: 10.00%/0.22%) due 09/25/477		764,016		730,329
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/377		29,200,242		29,149,825

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-BC4, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/367		3,464,788	$	3,427,975
2006-BC6, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 01/25/377		302,262		300,553
2006-OPT1, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/25/367		81,963		81,739
Citigroup Mortgage Loan Trust, Inc.
2007-AMC1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 12/25/364,7		25,089,202		16,802,439
2007-AMC3, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/377		7,605,078		7,006,101
2006-WF1, 5.08% due 03/25/36		8,926,139		5,746,836
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR10, 0.43% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 12/25/367		10,535,311		10,323,954
2006-AR9, 0.92% (1 Year CMT Rate + 0.83%, Rate Floor: 0.83%) due 11/25/467		10,596,685		9,737,502
2006-AR9, 0.93% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/467		4,646,242		4,044,657
2006-7, 4.15% due 09/25/36		5,647,468		2,280,677
2006-8, 4.22% due 10/25/36		377,501		181,571
ACE Securities Corporation Home Equity Loan Trust Series
2006-NC1, 0.70% (1 Month USD LIBOR + 0.62%, Rate Floor: 0.62%) due 12/25/357		16,761,000		16,557,932
2007-ASP1, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/377		9,227,705		5,621,835
2007-WM2, 0.30% (1 Month USD LIBOR + 0.21%, Rate Floor: 0.21%) due 02/25/377		7,121,810		4,124,882
IXIS Real Estate Capital Trust
2007-HE1, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 05/25/377		34,386,216		11,577,843
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367		13,026,245		8,651,779
2007-HE1, 0.32% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 05/25/377		6,526,012		2,247,159

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2007-HE1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 05/25/377		6,129,116	$	2,083,179
2007-HE1, 0.15% (1 Month USD LIBOR + 0.06%, Rate Floor: 0.06%) due 05/25/377		5,099,142		1,700,659
American Home Mortgage Investment Trust
2007-1, 2.08% due 05/25/4712		146,664,875		23,836,474
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/687,8		12,253,352		12,712,974
2019-RM3, 2.80% (WAC) due 06/25/697,8		9,947,493		10,089,159
Merrill Lynch Mortgage Investors Trust Series
2007-HE2, 0.61% (1 Month USD LIBOR + 0.52%, Rate Floor: 0.52%) due 02/25/377		34,206,104		14,966,631
2006-HE6, 0.37% (1 Month USD LIBOR + 0.28%, Rate Floor: 0.28%) due 11/25/377		9,614,221		6,503,993
Starwood Mortgage Residential Trust
2020-1, 2.56% (WAC) due 02/25/504,7		12,023,568		12,106,920
2020-1, 2.41% (WAC) due 02/25/504,7		9,248,898		9,323,296
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/554		20,000,000		20,155,568
Lehman XS Trust Series
2007-4N, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 03/25/477		10,328,327		10,520,071
2007-2N, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 02/25/377		5,816,002		5,832,451
2007-15N, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.00%) due 08/25/377		2,091,382		2,053,078
2006-10N, 0.51% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 07/25/467		406,617		420,215
RALI Series Trust
2007-QO4, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 05/25/477		5,367,989		5,204,947
2006-QO2, 0.53% (1 Month USD LIBOR + 0.44%, Rate Floor: 0.44%) due 02/25/467		17,415,327		5,044,302
2007-QO2, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 02/25/477		8,376,376		4,172,764

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-QO2, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 02/25/467		5,647,703	$	1,671,452
2006-QO6, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 06/25/467		4,933,353		1,532,496
2007-QO3, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 03/25/477		1,103,303		1,077,491
Ameriquest Mortgage Securities Trust
2006-M3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/367		29,195,087		12,532,549
2006-M3, 0.19% (1 Month USD LIBOR + 0.10%, Rate Floor: 0.10%) due 10/25/367		12,263,897		5,219,173
Bear Stearns Asset Backed Securities I Trust
2006-HE9, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/367		17,482,822		17,232,739
First NLC Trust
2005-4, 0.87% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/367		14,319,318		14,261,174
2005-1, 0.55% (1 Month USD LIBOR + 0.46%, Rate Cap/Floor: 14.00%/0.46%) due 05/25/357		2,598,013		2,505,709
ABFC Trust
2007-WMC1, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 06/25/377		17,777,752		15,814,062
Master Asset Backed Securities Trust
2006-WMC4, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/367		11,503,438		5,091,040
2006-NC2, 0.57% (1 Month USD LIBOR + 0.48%, Rate Floor: 0.48%) due 08/25/367		8,597,704		4,529,939
2006-WMC3, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 08/25/367		6,203,632		2,815,575
2007-WMC1, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 01/25/377		6,324,072		2,439,677
HarborView Mortgage Loan Trust
2006-14, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/477		8,392,029		7,973,131

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2006-12, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/387		6,366,852	$	6,160,868
Securitized Asset Backed Receivables LLC Trust
2006-WM4, 0.25% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 11/25/367		31,899,998		11,922,946
2006-HE2, 0.39% (1 Month USD LIBOR + 0.30%, Rate Floor: 0.30%) due 07/25/367		3,648,346		2,070,726
New Residential Mortgage Loan Trust
2018-1A, 4.00% (WAC) due 12/25/574,7		9,225,348		9,844,245
2018-2A, 3.50% (WAC) due 02/25/584,7		2,302,737		2,393,405
Merrill Lynch Alternative Note Asset Trust Series
2007-A1, 0.55% (1 Month USD LIBOR + 0.23%, Rate Floor: 0.23%) due 01/25/377		21,203,525		8,807,321
2007-A1, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/377		8,040,730		3,274,097
Long Beach Mortgage Loan Trust
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/367		15,861,961		6,193,896
2006-6, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 07/25/367		4,959,147		2,651,558
2006-8, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 09/25/367		4,233,261		1,624,434
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/367		10,540,901		10,368,545
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W4, 0.85% (1 Month USD LIBOR + 0.76%, Rate Floor: 0.76%) due 02/25/367		11,132,624		10,285,970
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/367		10,072,000		9,988,558

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
WaMu Asset-Backed Certificates WaMu Series
2007-HE4, 0.26% (1 Month USD LIBOR + 0.17%, Rate Floor: 0.17%) due 07/25/477		5,669,493	$	4,772,733
2007-HE4, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 07/25/477		3,990,527		2,992,079
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE2A, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/374,7		4,469,462		4,270,542
2007-HE1, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/374,7		3,621,017		3,474,933
Deutsche Alt-A Securities Mortgage Loan Trust Series
2006-AR4, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 12/25/367		10,895,052		5,024,384
2007-OA2, 0.86% (1 Year CMT Rate + 0.77%, Rate Floor: 0.77%) due 04/25/477		2,588,045		2,583,045
WaMu Mortgage Pass-Through Certificates Series Trust
2007-OA6, 0.90% (1 Year CMT Rate + 0.81%, Rate Floor: 0.81%) due 07/25/477		5,607,300		5,085,557
2006-AR13, 0.97% (1 Year CMT Rate + 0.88%, Rate Floor: 0.88%) due 10/25/467		1,704,303		1,642,813
2006-AR11, 1.01% (1 Year CMT Rate + 0.92%, Rate Floor: 0.92%) due 09/25/467		848,032		818,380
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/664,7		7,108,000		7,068,520
Impac Secured Assets CMN Owner Trust
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 03/25/367		7,352,538		6,879,267
GSAA Home Equity Trust
2006-5, 0.45% (1 Month USD LIBOR + 0.36%, Rate Floor: 0.36%) due 03/25/367		14,235,486		6,559,909
2007-7, 0.63% (1 Month USD LIBOR + 0.54%, Rate Floor: 0.54%) due 07/25/377		97,705		97,198

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
American Home Mortgage Assets Trust
2006-4, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 10/25/467		8,062,465	$	5,165,042
2006-6, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 12/25/467		1,701,817		1,479,763
Option One Mortgage Loan Trust
2007-2, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 03/25/377		5,630,092		3,605,886
2007-5, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 05/25/377		2,460,372		1,879,146
Fremont Home Loan Trust
2006-D, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 11/25/367		11,376,601		5,484,030
ASG Resecuritization Trust
2010-3, 0.67% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.50%/0.29%) due 12/28/454,7		3,562,972		3,548,993
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/367		2,708,838		2,684,368
Residential Mortgage Loan Trust
2020-1, 2.68% (WAC) due 02/25/244,7		2,601,143		2,615,729
Finance of America HECM Buyout
2021-HB1, 2.08% (WAC) due 02/25/314,7		2,600,000		2,594,165
Morgan Stanley Resecuritization Trust
2014-R9, 0.22% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 11/26/464,7		1,633,689		1,584,319
Countrywide Asset-Backed Certificates
2005-15, 0.54% (1 Month USD LIBOR + 0.45%, Rate Floor: 0.45%) due 03/25/367		1,500,000		1,488,842
Nomura Resecuritization Trust
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,7		1,044,579		1,054,210
2015-4R, 0.55% (1 Month USD LIBOR + 0.39%, Rate Floor: 0.39%) due 12/26/364,7		271,655		269,446

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Structured Asset Investment Loan Trust
2006-3, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/367		568,279	$	561,055
2004-BNC2, 1.29% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 12/25/347		502,635		505,503
Impac Secured Assets Trust
2006-2, 0.43% (1 Month USD LIBOR + 0.34%, Rate Cap/Floor: 11.50%/0.34%) due 08/25/367		935,557		835,968
Alliance Bancorp Trust
2007-OA1, 0.33% (1 Month USD LIBOR + 0.24%, Rate Floor: 0.24%) due 07/25/377		652,233		624,715
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		262,057		266,500
Morgan Stanley Re-REMIC Trust
2010-R5, 1.76% due 06/26/364		161,983		150,780
Irwin Home Equity Loan Trust
2007-1, 6.35% due 08/25/374		6,859		6,997
Total Residential Mortgage Backed Securities				1,931,055,501
Government Agency - 5.1%
Uniform MBS 30 Year
due 11/10/2120		815,600,000		838,857,650
Fannie Mae
2.40% due 03/01/40		27,004,000		26,667,677
3.40% due 02/01/33		25,000,000		26,422,844
3.83% due 05/01/49		19,000,000		21,666,477
2.81% due 09/01/39		20,780,000		21,586,812
4.17% due 02/01/49		16,500,000		19,665,648
4.08% due 04/01/49		12,879,000		15,156,056
2013-124, due 12/25/4313		16,575,850		14,980,154
3.42% due 09/01/47		12,641,230		13,808,094
2.57% due 08/01/51		12,596,407		12,833,092
2.07% due 10/01/50		13,300,701		12,704,159
4.21% due 10/01/48		9,750,000		11,632,798
2.00% due 09/01/50		11,946,864		11,301,230
3.43% due 03/01/33		8,100,000		9,013,195
1.76% due 08/01/40		9,360,000		8,665,400
2.17% due 03/01/51		8,638,000		8,319,070
2013-100, due 10/25/4313		8,184,698		7,408,954
2.10% due 07/01/50		7,581,297		7,276,553
3.29% due 03/01/33		6,700,000		7,274,581
4.04% due 08/01/48		6,100,000		7,120,063
3.61% due 04/01/39		6,193,000		7,020,396
3.56% due 02/01/38		6,290,074		6,944,666
2.15% due 09/01/29		6,683,000		6,896,827
2.79% due 01/01/32		6,425,430		6,884,949
3.05% due 03/01/50		6,098,366		6,445,961
4.07% due 05/01/49		4,744,722		5,485,361
4.27% due 12/01/33		4,552,577		5,310,026
3.16% due 11/01/30		4,850,407		5,227,458
2.17% due 10/01/50		5,236,176		5,066,593
3.71% due 04/01/31		4,200,000		4,771,134
2.99% due 01/01/40		4,429,000		4,712,977
3.76% due 03/01/37		4,000,000		4,678,863
3.37% due 06/01/39		4,067,000		4,602,249
3.50% due 02/01/48		3,942,619		4,329,422
4.24% due 08/01/48		3,400,000		3,828,282
3.92% due 04/01/39		3,198,000		3,736,987
2.50% due 04/01/35		3,268,415		3,409,152
2.96% due 10/01/49		2,877,536		3,087,157
3.94% due 06/01/35		2,600,000		3,037,514
2.34% due 09/01/39		2,794,000		2,833,602
2.62% due 11/01/28		2,600,000		2,772,040
2.86% due 01/01/33		2,524,000		2,730,832
3.26% due 11/01/46		2,417,565		2,593,035

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2.92% due 03/01/50		2,383,214	$	2,544,425
2.49% due 09/01/51		2,472,000		2,491,176
2.51% due 07/01/50		2,404,987		2,451,040
2.69% due 10/01/34		2,265,923		2,407,406
3.51% due 11/01/37		2,150,000		2,387,962
2.68% due 04/01/50		1,946,699		2,040,672
3.50% due 12/01/47		1,828,134		1,976,440
3.17% due 02/01/30		1,750,000		1,939,215
3.46% due 08/01/49		1,692,426		1,892,343
2.77% due 02/01/36		1,755,854		1,873,787
3.08% due 02/01/33		1,300,000		1,429,967
3.74% due 02/01/48		1,257,327		1,410,462
3.27% due 08/01/34		1,271,945		1,388,358
2.32% due 07/01/50		1,386,054		1,368,125
4.05% due 09/01/48		1,160,844		1,336,875
2.89% due 05/01/33		1,221,787		1,315,907
4.00% due 12/01/38		1,164,579		1,256,172
2.25% due 10/01/50		1,279,584		1,252,053
3.50% due 12/01/46		1,074,322		1,144,898
3.96% due 06/01/49		967,030		1,098,305
4.50% due 03/01/48		1,009,260		1,092,051
3.13% due 01/01/30		988,986		1,089,644
4.00% due 08/01/47		950,101		1,036,717
3.60% due 10/01/47		935,837		1,032,040
4.00% due 01/01/46		879,710		958,513
3.18% due 09/01/42		865,541		911,786
3.50% due 12/01/45		818,711		884,098
2.50% due 01/01/35		812,693		847,947
3.63% due 01/01/37		713,522		782,980
3.36% due 12/01/39		693,185		771,931
3.91% due 07/01/49		678,142		756,452
3.00% due 07/01/46		679,770		718,186
2.75% due 11/01/31		625,992		667,210
4.50% due 02/01/45		458,863		512,227
5.00% due 12/01/44		392,607		440,112
4.33% due 09/01/48		334,869		394,891
4.22% due 04/01/49		315,000		367,420
3.50% due 08/01/43		295,512		320,898
4.50% due 05/01/47		272,737		298,482
5.00% due 05/01/44		261,278		290,016
2.06% due 09/01/36		140,000		135,955
2.28% due 01/01/51		71,112		69,336
2.27% due 10/01/41		16,935,000		16,829,383
3.61% due 04/01/39		9,435,000		9,258,418
2.44% due 10/01/51		8,500,000		8,421,205
2.51% due 10/01/46		5,800,000		5,919,625
2.42% due 10/01/51		3,500,000		3,499,895
2.56% due 05/01/39		600,000		606,696
Fannie Mae-Aces
2020-M23, 1.58% (WAC) due 03/25/357,12		290,222,868		36,829,079
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-2, 2.00% due 11/25/59		14,533,164		14,649,114
2020-3, 2.00% due 05/25/60		11,556,777		11,600,709
Freddie Mac
3.55% due 10/01/33		4,526,396		4,987,866
2018-4762, 4.00% due 01/15/46		3,984,888		4,052,416
3.26% due 09/01/45		2,220,205		2,366,402
1.96% due 05/01/50		1,580,972		1,476,851
1.95% due 05/01/50		1,456,494		1,361,741
3.50% due 01/01/44		1,122,207		1,218,022
3.40% due 04/01/31		982,619		1,095,236
4.00% due 02/01/46		923,324		1,006,924
4.00% due 11/01/45		721,028		787,765
3.00% due 08/01/46		712,880		753,101
4.50% due 06/01/48		480,584		521,327
FARM Mortgage Trust
due 01/25/514,7		12,185,000		12,192,555
FREMF Mortgage Trust
2013-K29, 0.13% due 05/25/464,12		718,918,905		852,494
Freddie Mac Multifamily Structured Pass Through Certificates
2015-K043, 0.65% (WAC) due 12/25/247,12		42,652,952		645,139
Total Government Agency				1,399,082,433

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Commercial Mortgage Backed Securities - 1.3%
BX Commercial Mortgage Trust
2021-VOLT, 2.10% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/364,7		60,050,000	$	60,125,207
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/364,7		52,000,000		52,032,588
2019-XL, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/15/364,7		6,406,603		6,414,317
Citigroup Commercial Mortgage Trust
2019-GC43, 0.75% (WAC) due 11/10/527,12		219,331,815		9,521,808
2019-GC41, 1.19% (WAC) due 08/10/567,12		104,575,357		6,822,402
2016-C2, 1.89% (WAC) due 08/10/497,12		33,203,408		2,284,883
2016-P4, 2.06% (WAC) due 07/10/497,12		29,274,474		2,175,512
2016-P5, 1.60% (WAC) due 10/10/497,12		28,544,818		1,560,054
2016-GC37, 1.85% (WAC) due 04/10/497,12		19,520,968		1,215,600
2015-GC35, 0.87% (WAC) due 11/10/487,12		28,947,804		743,223
2015-GC29, 1.17% (WAC) due 04/10/487,12		19,243,074		607,798
2016-C3, 1.23% (WAC) due 11/15/497,12		11,591,908		467,870
2013-GC15, 4.37% (WAC) due 09/10/467		380,000		404,676
Life Mortgage Trust
2021-BMR, 2.43% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/384,7		19,500,000		19,548,773
2021-BMR, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/15/384,7		5,250,000		5,259,974
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.16% (WAC) due 07/15/507,12		70,825,682		3,236,358
2016-BNK1, 1.86% (WAC) due 08/15/497,12		35,764,529		2,496,740
2017-RB1, 1.40% (WAC) due 03/15/507,12		38,384,308		2,172,494
2016-C35, 2.05% (WAC) due 07/15/487,12		24,163,509		1,779,770
2017-C42, 1.03% (WAC) due 12/15/507,12		34,829,153		1,666,784
2016-C32, 4.87% (WAC) due 01/15/597		1,400,000		1,540,863
2015-NXS4, 1.19% (WAC) due 12/15/487,12		39,213,965		1,422,392

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2017-RC1, 1.65% (WAC) due 01/15/607,12		22,282,776	$	1,392,968
2016-NXS5, 1.59% (WAC) due 01/15/597,12		23,448,433		1,179,395
2015-P2, 1.12% (WAC) due 12/15/487,12		26,155,107		950,837
2015-C30, 1.04% (WAC) due 09/15/587,12		29,921,547		893,784
2016-C37, 1.07% (WAC) due 12/15/497,12		13,757,498		422,336
2015-NXS1, 1.23% (WAC) due 05/15/487,12		8,750,682		262,088
Extended Stay America Trust
2021-ESH, 2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/384,7		12,435,306		12,589,450
2021-ESH, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/384,7		6,416,618		6,461,042
JP Morgan Chase Commercial Mortgage Securities Trust
2016-JP3, 3.60% (WAC) due 08/15/497		10,290,000		10,429,147
2016-JP3, 1.56% (WAC) due 08/15/497,12		67,753,501		3,631,771
GS Mortgage Securities Trust
2020-GC45, 0.79% (WAC) due 02/13/537,12		153,824,010		7,069,751
2019-GC42, 0.93% (WAC) due 09/01/527,12		69,649,560		3,764,461
2017-GS6, 1.17% (WAC) due 05/10/507,12		42,233,869		2,181,468
2017-GS6, 3.87% due 05/10/50		521,000		563,884
2015-GC28, 1.13% (WAC) due 02/10/487,12		15,570,397		431,808
Benchmark Mortgage Trust
2020-IG3, 3.23% (WAC) due 09/15/484,7		5,232,000		5,139,070
2019-B14, 0.91% (WAC) due 12/15/627,12		109,246,549		5,014,493
2018-B2, 0.55% (WAC) due 02/15/517,12		130,826,052		2,529,260
2018-B6, 0.57% (WAC) due 10/10/517,12		60,955,228		1,335,761
2018-B6, 4.76% (WAC) due 10/10/517		750,000		845,437
JPMDB Commercial Mortgage Securities Trust 2017-C7, 0.99% (WAC) due 10/15/507,12		131,773,606		5,482,177
2016-C4, 0.88% (WAC) due 12/15/497,12		83,181,824		2,845,384
2016-C4, 3.64% (WAC) due 12/15/497		2,650,000		2,779,955
2016-C2, 1.71% (WAC) due 06/15/497,12		26,452,130		1,399,836

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 61

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2017-C5, 1.09% (WAC) due 03/15/507,12		8,213,815	$	343,726
COMM Mortgage Trust
2018-COR3, 0.58% (WAC) due 05/10/517,12		197,069,442		5,317,919
2015-CR26, 1.08% (WAC) due 10/10/487,12		82,745,977		2,577,405
2015-CR24, 0.90% (WAC) due 08/10/487,12		46,054,474		1,172,984
2015-CR23, 1.03% (WAC) due 05/10/487,12		40,239,410		988,030
2015-CR27, 1.06% (WAC) due 10/10/487,12		26,477,881		858,455
2015-CR23, 3.80% due 05/10/48		700,000		756,319
2013-CR13, 0.91% (WAC) due 11/10/467,12		35,746,444		520,822
2014-LC15, 1.23% (WAC) due 04/10/477,12		9,412,049		204,034
GS Mortgage Securities Corporation Trust
2020-UPTN, 3.35% (WAC) due 02/10/374,7		5,350,000		5,485,428
2020-DUNE, 1.43% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 12/15/364,7		3,750,000		3,755,424
2020-DUNE, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/15/364,7		1,000,000		996,729
KKR Industrial Portfolio Trust
2021-KDIP, 1.63% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 12/15/374,7		8,750,000		8,733,338
DBGS Mortgage Trust
2018-C1, 4.78% (WAC) due 10/15/517		7,588,000		8,646,156
CSAIL Commercial Mortgage Trust
2019-C15, 1.21% (WAC) due 03/15/527,12		96,832,306		5,764,447
2015-C1, 0.97% (WAC) due 04/15/507,12		50,428,834		1,130,559
2016-C6, 2.03% (WAC) due 01/15/497,12		5,054,624		363,137
BANK
2020-BN25, 0.53% (WAC) due 01/15/637,12		140,000,000		4,873,918
2017-BNK6, 0.95% (WAC) due 07/15/607,12		42,247,470		1,539,105
2017-BNK4, 1.55% (WAC) due 05/15/507,12		12,768,908		707,616
UBS Commercial Mortgage Trust
2017-C2, 1.20% (WAC) due 08/15/507,12		50,044,389		2,358,497
2017-C5, 1.14% (WAC) due 11/15/507,12		53,047,840		2,284,394
CD Mortgage Trust
2017-CD6, 1.06% (WAC) due 11/13/507,12		44,905,820		1,734,842

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
2016-CD1, 1.53% (WAC) due 08/10/497,12		31,538,040	$	1,702,603
2016-CD2, 0.72% (WAC) due 11/10/497,12		30,908,138		749,742
CD Commercial Mortgage Trust
2017-CD4, 1.44% (WAC) due 05/10/507,12		31,543,922		1,606,933
2017-CD3, 1.14% (WAC) due 02/10/507,12		33,344,799		1,475,441
BBCMS Mortgage Trust
2018-C2, 0.93% (WAC) due 12/15/517,12		57,940,132		2,770,286
JPMCC Commercial Mortgage Securities Trust
2017-JP6, 1.28% (WAC) due 07/15/507,12		57,155,586		2,581,969
JPMBB Commercial Mortgage Securities Trust
2015-C27, 1.29% (WAC) due 02/15/487,12		69,165,942		2,263,525
2013-C12, 0.57% (WAC) due 07/15/457,12		33,804,634		180,294
CGMS Commercial Mortgage Trust
2017-B1, 0.96% (WAC) due 08/15/507,12		64,941,135		2,404,608
Morgan Stanley Bank of America Merrill Lynch Trust
2015-C27, 1.03% (WAC) due 12/15/477,12		64,456,912		1,806,998
CFCRE Commercial Mortgage Trust
2016-C3, 1.15% (WAC) due 01/10/487,12		38,375,315		1,438,061
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.24% (WAC) due 02/15/507,12		23,676,612		1,069,634
DBJPM Mortgage Trust
2017-C6, 1.11% (WAC) due 06/10/507,12		23,088,447		924,886
Cam Commercial Mortgage Corp.
2002-CAM2, 6.16% due 12/14/214		361,714		361,714
SG Commercial Mortgage Securities Trust
2016-C5, 2.07% (WAC) due 10/10/487,12		5,779,757		359,371
Morgan Stanley Capital I Trust
2016-UBS9, 4.70% (WAC) due 03/15/497		275,000		289,850
GS Mortgage Securities Corporation II
2013-GC10, 2.94% due 02/10/46		225,000		230,862
WFRBS Commercial Mortgage Trust
2013-C12, 1.25% (WAC) due 03/15/484,7,12		6,629,724		77,584
Total Commercial Mortgage Backed Securities				346,503,294

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 63

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Military Housing - 1.0%
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates
2015-R1, 3.48% (WAC) due 11/25/554,7		114,434,082	$	135,454,038
2015-R1, 4.11% (WAC) due 11/25/524,7		21,841,824		24,629,199
2015-R1, 4.32% (WAC) due 10/25/524,7		13,539,247		15,187,500
2015-R1, 0.52% (WAC) due 11/25/554,7,12		172,310,020		11,448,416
Capmark Military Housing Trust
2006-RILY, 6.15% due 07/10/514		12,844,194		13,758,996
2008-AMCW, 6.90% due 07/10/554		8,209,239		11,101,359
2007-AETC, 5.75% due 02/10/524		7,312,392		7,980,435
2007-ROBS, 6.06% due 10/10/524		4,615,532		5,048,375
2006-RILY, 2.09% (1 Month USD LIBOR + 0.37%, Rate Floor: 0.37%) due 07/10/514,7		6,906,888		4,028,110
2007-AET2, 6.06% due 10/10/524		3,032,062		3,411,144
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/524		21,914,374		25,376,040
2005-BLIS, 5.25% due 07/10/504		2,500,000		2,769,842
GMAC Commercial Mortgage Asset Corp.
2005-DRUM, 5.47% due 05/10/50†††,4		4,469,590		4,796,763
Total Military Housing				264,990,217
Total Collateralized Mortgage Obligations
(Cost $3,936,190,925)				3,941,631,446
U.S. GOVERNMENT SECURITIES†† - 14.4%
U.S. Treasury Notes
1.25% due 08/15/3117		2,265,600,000		2,207,898,000
0.75% due 03/31/26		370,000,000		367,253,904
0.25% due 03/15/24		20,000,000		19,928,906
1.25% due 03/31/28		13,000,000		12,990,859
2.00% due 04/30/24		12,460,000		12,963,267
1.50% due 10/31/24		3,820,000		3,931,317
2.25% due 08/15/27		3,370,000		3,579,704
0.50% due 05/31/27		2,600,000		2,510,016
2.13% due 05/15/25		880,000		924,619
U.S. Treasury Bonds
2.00% due 08/15/5119		800,000,000		786,250,000
1.88% due 02/15/51		330,000,000		313,809,375
8.00% due 11/15/21		5,600,000		5,654,370
2.88% due 08/15/45		2,630,000		3,025,938
2.38% due 11/15/49		2,300,000		2,441,234
1.38% due 08/15/50		2,450,000		2,061,445
2.75% due 11/15/42		700,000		785,559
U.S. Treasury Strips
due 02/15/5113,14		310,000,000		165,651,042
Total U.S. Government Securities
(Cost $3,949,421,257)				3,911,659,555
SENIOR FLOATING RATE INTERESTS††,7 - 7.2%
Consumer, Cyclical - 1.3%
MB2 Dental Solutions LLC
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††		44,807,222		44,011,377

64 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
7.19% (3 Month USD LIBOR + 6.00% and Commercial Prime Lending Rate + 5.00%, Rate Floor: 7.00%) due 01/29/27†††		11,108,551	$	10,911,246
Verisure Holding AB
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28	EUR	30,010,000		34,542,094
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26	EUR	6,890,000		7,937,388
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		33,992,379		33,815,279
BGIS (BIFM CA Buyer, Inc.)
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26		32,801,662		32,637,654
Zephyr Bidco Ltd.
4.80% (1 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 07/23/25	GBP	23,950,000		32,098,254
Mavis Tire Express Services TopCo Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28		28,578,375		28,630,388
CNT Holdings I Corp.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 11/08/27		24,128,750		24,143,951
Flamingo
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/24/28	EUR	18,600,000		21,369,961
PetSmart LLC
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/11/28		20,200,000		20,228,886
Loire Finco Luxembourg SARL
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/27		19,601,623		19,454,611
New Trojan Parent, Inc.
3.75% (1 Week USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28		14,014,875		13,973,951
Adevinta ASA
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 06/26/28	EUR	11,000,000		12,724,676
Truck Hero, Inc.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28		8,955,000		8,930,732

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Power Solutions (Panther)
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		3,919,792	$	3,900,193
SP PF Buyer LLC
4.58% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25		3,374,046		3,312,469
Cast & Crew Payroll LLC
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26		2,385,451		2,374,526
1011778 BC Unlimited Liability Co.
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 11/19/26		1,033,226		1,019,876
OEConnection LLC
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 09/25/26		696,780		694,167
Rent-A-Center, Inc.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 02/17/28†††		498,750		501,867
Total Consumer, Cyclical				357,213,546
Industrial - 1.3%
United Airlines, Inc.
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 04/21/28		40,894,500		41,145,592
American Bath Group LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27		34,168,300		34,040,169
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		30,500,000		32,387,340
Berry Global, Inc.
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		24,306,026		24,154,113
IFCO Management GmbH
3.25% (6 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 05/29/26	EUR	19,870,000		22,886,179
SkyMiles IP Ltd.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		20,345,893		21,626,463
TransDigm, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		14,801,589		14,616,569
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		5,798,201		5,725,144
TK Elevator Midco GmbH
4.00% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27		12,753,866		12,771,594

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
3.63% (3 Month EURIBOR + 3.63%, Rate Floor: 3.63%) due 07/30/27	EUR	3,000,000	$	3,478,047
AI Convoy Luxembourg SARL
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 01/18/27	EUR	13,593,008		15,655,422
Pelican Products, Inc.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 05/01/25		14,934,536		14,869,273
Air Canada
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28		13,150,000		13,193,789
Fugue Finance BV
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 08/30/24	EUR	10,500,000		11,923,314
Filtration Group Corp.
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25	EUR	7,968,042		9,207,741
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		1,652,240		1,642,954
Hillman Group, Inc.
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/14/28		10,776,315		10,760,151
Service Logic Acquisition, Inc.
4.75% (2 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27		10,370,702		10,390,199
CapStone Acquisition Holdings, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 11/12/27		8,283,228		8,283,228
TricorBraun Holdings, Inc.
3.75% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 03/03/28		6,637,299		6,596,679
DXP Enterprises, Inc.
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 12/23/27		5,955,000		5,930,823
Diversitech Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 12/02/24		5,731,246		5,727,693
Dispatch Terra Acquisition LLC
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28		5,705,700		5,705,700
YAK MAT (YAK ACCESS LLC)
10.13% (3 Month USD LIBOR + 10.00%, Rate Floor: 10.00%) due 07/10/26		7,240,000		5,013,700

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 67

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Charter Next Generation, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		4,278,500	$	4,285,859
Berlin Packaging LLC
4.25% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 03/13/28		3,500,000		3,494,890
Anchor Packaging LLC
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26		1,953,259		1,949,606
CHI Overhead Doors, Inc.
4.50% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 07/31/25		1,435,500		1,435,055
Fly Funding II SARL
2.50% (3 Month USD LIBOR + 1.75%, Rate Floor: 2.50%) due 08/11/25		638,152		629,377
CPG International LLC
3.25% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 05/06/24		508,112		508,020
BWAY Holding Co.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		123,072		120,437
API Heat Transfer
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 01/01/24†††,15		48,843		17,095
12.00% (3 Month USD LIBOR, Rate Floor: 1.00%) (in-kind rate was 11.00%) due 10/02/23†††,15		8,455		6,130
Total Industrial				350,178,345
Technology - 1.2%
Datix Bidco Ltd.
4.50% (3 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25	GBP	45,800,000		60,484,045
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		54,227,250		54,254,364
Peraton Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		33,680,750		33,686,139
Planview Parent, Inc.
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27		29,725,375		29,781,259
Cologix Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 05/01/28		25,885,125		25,893,149

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Team.Blue Finco SARL
3.75% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 03/27/28	EUR	21,520,270	$	24,872,965
Valkyr Purchaser, LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 11/05/27		23,191,875		23,114,646
Apttus Corp.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28		12,550,000		12,597,062
Project Boost Purchaser LLC
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		6,384,000		6,380,553
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		3,341,405		3,323,127
Boxer Parent Co., Inc.
4.00% (3 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 10/02/25	EUR	8,276,789		9,576,509
Aston FinCo SARL
4.83% (3 Month GBP LIBOR + 4.75%, Rate Floor: 4.75%) due 10/09/26	GBP	5,785,500		7,635,569
4.33% (1 Month USD LIBOR + 4.25%, Rate Floor: 4.25%) due 10/09/26		639,263		634,468
Cloudera, Inc.
3.25% (1 Month USD LIBOR + 2.50%, Rate Floor: 3.25%) due 12/22/27		7,960,000		7,950,050
Transact Holdings, Inc.
4.83% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 04/30/26		7,304,145		7,219,709
Provation Software Group, Inc.
5.50% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 12/22/27		6,467,500		6,386,656
Sportradar Capital SARL
4.25% (6 Month EURIBOR + 4.25%, Rate Floor: 4.25%) due 11/22/27	EUR	5,300,000		6,150,689
Navicure, Inc.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 10/22/26		5,664,632		5,664,632
Storable, Inc.
3.75% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 04/17/28		5,000,000		4,983,350
Paya Holdings III, LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 06/23/28†††		3,400,000		3,395,750

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Informatica LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27		1,906,247	$	1,899,099
Total Technology				335,883,790
Consumer, Non-cyclical - 1.2%
Bombardier Recreational Products, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		33,828,283		33,521,799
PetIQ LLC
4.75% (3 Month USD LIBOR + 4.25%, Rate Floor: 4.75%) due 04/13/28		28,827,750		28,611,542
Nidda Healthcare Holding GmbH
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 08/21/26	EUR	18,276,306		20,888,175
Sunshine Investments BV
2.75% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25	EUR	18,059,706		20,760,921
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27		19,406,383		19,479,157
Mission Veterinary Partners
4.75% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28		19,300,000		19,300,000
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	17,000,000		19,123,424
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27		17,414,530		17,414,530
National Mentor Holdings, Inc.
4.50% (1 Month USD LIBOR + 3.75% and 3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 03/02/28		16,442,687		16,438,576
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		16,342,603		16,317,108
Blue Ribbon LLC
6.75% (3 Month USD LIBOR + 6.00%, Rate Floor: 6.75%) due 05/08/28		14,664,375		14,371,088

70 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Endo Luxembourg Finance Company I SARL
5.75% (3 Month USD LIBOR + 5.00%, Rate Floor: 5.75%) due 03/27/28		12,537,000	$	12,237,491
Quirch Foods Holdings LLC
5.75% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 10/27/27		11,612,250		11,648,596
Option Care Health, Inc.
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		10,172,349		10,167,262
Medline Borrower LP
due 09/28/28		9,000,000		8,955,000
Energizer Holdings, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27		7,462,500		7,453,172
SCP Eye Care Services LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 03/16/28†††		7,311,222		7,302,083
PPD, Inc.
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 01/13/28		7,164,000		7,149,099
Elanco Animal Health, Inc.
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27		6,778,793		6,691,618
IQVIA, Inc.
2.00% (3 Month EURIBOR + 2.00%, Rate Floor: 2.00%) due 03/07/24	EUR	4,683,039		5,400,794
Elsan SAS
3.50% (6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 06/16/28	EUR	4,500,000		5,204,663
Avantor Funding, Inc.
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27		4,743,000		4,748,929
Spectrum Brands, Inc.
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28		3,980,000		3,968,378
Midwest Physician Administrative Services
3.75% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.75%) due 03/13/28		3,481,221		3,458,384
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		3,223,800		3,140,916
Southern Veterinary Partners LLC
5.00% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27†††		2,696,970		2,707,083

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Callaway Golf Company
4.59% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 01/02/26		2,504,437	$	2,515,907
HAH Group Holding Co. LLC
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27†††		2,208,995		2,208,995
Hostess Brands LLC
3.00% (1 Month USD LIBOR + 2.25% and 3 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 08/04/25		821,616		818,642
Atkins Nutritionals, Inc.
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/07/24		143,666		143,924
Total Consumer, Non-cyclical				332,147,256
Financial - 1.2%
Citadel Securities, LP
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		62,685,000		62,080,717
Jane Street Group LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		37,139,184		36,749,222
Nexus Buyer LLC
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		25,923,020		25,913,688
USI, Inc.
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26		18,858,651		18,723,057
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		6,455,553		6,408,299
Higginbotham
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††		23,020,027		22,724,370
Alter Domus
4.50% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/17/28		20,837,775		20,749,214
Orion Advisor Solutions, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 09/24/27		17,548,193		17,548,193
HighTower Holding LLC
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28		15,360,000		15,340,800
HUB International Ltd.
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25		14,772,829		14,623,623

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
AmWINS Group, Inc.
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28		13,333,000	$	13,248,069
Franchise Group, Inc.
5.50% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.50%) due 03/10/26		12,394,764		12,441,244
Cross Financial Corp.
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 09/15/27		12,089,326		12,114,472
Duff & Phelps
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27		10,196,742		10,217,441
Alliant Holdings Intermediate LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 05/09/25		8,168,274		8,107,012
NFP Corp.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/15/27		7,630,863		7,546,389
Jones Deslauriers Insurance Management, Inc.
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 03/27/28†††	CAD	8,561,000		6,768,558
PAI Holdco, Inc.
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 10/28/27		5,124,250		5,126,402
Jones Deslauriers Insurance Management, Inc.
8.00% (3 Month USD LIBOR + 7.50%, Rate Floor: 8.00%) due 03/26/29	CAD	3,171,000		2,518,045
Total Financial				318,948,815
Communications - 0.4%
Xplornet Communications, Inc.
4.84% (1 Month USD LIBOR + 4.75%, Rate Floor: 4.75%) due 06/10/27		21,037,957		21,011,660
due 09/28/28		10,000,000		9,950,000
Syndigo LLC
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††		24,775,500		24,837,439
UPC Broadband Holding BV
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29		18,900,000		18,833,094
McGraw Hill LLC
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		18,750,000		18,790,125

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
ProQuest LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26		17,460,903	$	17,440,649
Radiate Holdco LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 09/25/26		2,233,125		2,229,909
Zayo Group Holdings, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,652,094		1,636,680
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,023,145		1,021,068
Titan US Finco LLC
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/01/26		977,131		975,304
Internet Brands, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24		760,828		758,233
Telenet Financing USD LLC
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 04/28/28		620,000		612,510
Flight Bidco, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/23/25		281,728		277,736
Total Communications				118,374,407
Basic Materials - 0.3%
INEOS Ltd.
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	31,100,000		35,758,515
Illuminate Buyer LLC
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27		26,990,252		26,934,112
GrafTech Finance, Inc.
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		17,790,264		17,790,264
Trinseo Materials Operating S.C.A.
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		11,072,250		11,030,729
W.R. Grace Holdings LLC
due 09/22/28		1,250,000		1,253,912
Total Basic Materials				92,767,532
Utilities - 0.2%
Hamilton Projects Acquiror LLC
5.75% (3 Month USD LIBOR + 4.75%, Rate Floor: 5.75%) due 06/17/27		53,260,095		53,426,799

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Energy - 0.1%
ITT Holdings LLC
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		16,435,000	$	16,400,815
Venture Global Calcasieu Pass LLC
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		11,350,093		10,725,838
Lotus Midstream, LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25		546,159		534,554
Total Energy				27,661,207
Total Senior Floating Rate Interests
(Cost $1,983,769,983)				1,986,601,697
FEDERAL AGENCY BONDS†† - 2.5%
Tennessee Valley Authority
4.25% due 09/15/65		138,205,000		194,452,224
4.63% due 09/15/60		42,258,000		62,714,887
5.38% due 04/01/56		8,960,000		14,540,637
due 03/15/3312,14		3,000,000		2,383,800
due 01/15/2812,14		2,011,000		1,835,518
due 03/15/3512,14		1,142,000		842,757
due 09/15/5312,14		1,612,000		669,019
due 09/15/5512,14		1,612,000		626,862
due 09/15/5612,14		1,612,000		607,568
due 03/15/5712,14		1,612,000		599,147
due 09/15/5712,14		1,612,000		590,842
due 09/15/5812,14		1,612,000		574,576
due 03/15/5912,14		1,612,000		566,613
due 09/15/5912,14		1,612,000		558,760
due 09/15/6012,14		1,612,000		543,378
due 09/15/5412,14		1,020,000		409,165
due 03/15/6112,14		1,020,000		339,059
due 09/15/6112,14		1,020,000		334,360
due 09/15/6212,14		1,020,000		323,845
due 03/15/6312,14		1,020,000		319,341
due 09/15/6312,14		1,020,000		314,898
due 09/15/6412,14		1,020,000		304,906
due 03/15/6512,14		1,020,000		300,650
due 09/15/6512,14		1,020,000		296,454
Freddie Mac Principal Strips
due 07/15/3213,14		123,250,000		100,857,200
Fannie Mae Principal Strips
due 07/15/3713,14		89,850,000		63,296,989
due 11/15/3013,14		37,570,000		32,028,162
due 08/06/3813,14		5,850,000		4,005,460
Tennessee Valley Authority Principal Strips
due 01/15/4813,14		38,400,000		18,869,606
due 12/15/4213,14		23,785,000		13,635,512
due 01/15/3813,14		15,800,000		10,641,916
due 09/15/6513,14		3,500,000		1,017,243
due 09/15/3913,14		570,000		364,799
due 04/01/5613,14		540,000		206,835
Federal Farm Credit Bank
2.43% due 01/29/37		13,720,000		14,413,601
3.58% due 04/11/47		4,900,000		5,913,834
2.00% due 05/14/40		3,000,000		2,847,867
2.04% due 12/22/45		2,870,000		2,649,584
2.60% due 06/28/39		2,000,000		2,003,940
1.99% due 07/30/40		2,000,000		1,884,980
3.11% due 08/05/48		1,500,000		1,677,790
3.79% due 05/18/44		1,000,000		1,238,811
2.88% due 10/01/40		100,000		109,392
3.67% due 02/26/44		70,000		85,143
Freddie Mac Coupon Strips
due 03/15/3012,14		12,050,000		10,445,458
due 07/15/3012,14		8,600,000		7,393,618
due 01/15/3112,14		7,750,000		6,569,411
due 09/15/3012,14		2,906,000		2,486,786
due 03/15/3112,14		2,500,000		2,108,935
due 07/15/3112,14		1,800,000		1,506,429
due 01/15/3012,14		1,050,000		913,503
Freddie Mac
due 01/02/3414		18,000,000		14,127,084
due 09/15/3614		7,355,000		5,293,732
due 11/15/3814		6,000,000		4,075,938
2.05% due 08/19/50		2,010,000		1,770,050
2.02% due 10/05/45		720,000		663,067
U.S. International Development Finance Corp.
3.17% due 10/05/34		10,968,625		12,237,729
1.79% due 10/15/29		9,186,680		9,457,500
Fannie Mae
due 01/15/3214		9,413,000		7,790,566

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
due 07/15/3214		3,963,000	$	3,239,515
due 01/15/3514		2,250,000		1,705,221
due 02/06/3314		1,456,000		1,169,925
due 01/15/3314		1,450,000		1,166,415
Federal Home Loan Bank
3.63% due 06/22/43		4,850,000		5,847,417
3.25% due 06/10/39		4,500,000		5,200,682
2.69% due 09/26/34		1,350,000		1,379,241
Resolution Funding Corporation Principal Strips
due 01/15/3013,14		1,950,000		1,700,718
due 04/15/3013,14		725,000		628,647
Total Federal Agency Bonds
(Cost $621,400,292)				671,675,517
MUNICIPAL BONDS†† - 0.8%
New York - 0.3%
Westchester County Local Development Corp. Revenue Bonds
3.85% due 11/01/50		40,000,000		41,974,076
New York Power Authority Revenue Bonds
2.82% due 11/15/39		16,500,000		16,803,960
New York City Water & Sewer System Revenue Bonds
5.00% due 06/15/49		650,000		807,133
Total New York				59,585,169
California - 0.1%
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/4514		8,565,000		3,774,142
due 08/01/3914		4,000,000		2,300,179
due 08/01/4014		2,500,000		1,374,022
due 08/01/4114		2,000,000		1,048,538
due 08/01/4314		1,900,000		912,425
due 08/01/4614		800,000		337,580
California Public Finance Authority Revenue Bonds
3.07% due 10/15/40		8,000,000		8,215,966
Freddie Mac Multifamily ML Certificates Revenue Bonds
2.49% due 07/25/35		6,840,106		7,064,486
San Mateo Foster City School District General Obligation Unlimited
3.06% due 08/01/44		6,125,000		6,181,237
Cypress School District General Obligation Unlimited
due 08/01/4814		14,450,000		5,872,824
California State University Revenue Bonds
2.98% due 11/01/51		5,000,000		5,111,434
San Bernardino Community College District General Obligation Unlimited
due 08/01/4414		4,750,000		2,447,124
Upland Unified School District General Obligation Unlimited
due 08/01/5014		5,040,000		2,257,655
Hanford Joint Union High School District General Obligation Unlimited
due 08/01/4114		4,125,000		1,943,898
San Marcos Unified School District General Obligation Unlimited
due 08/01/4714		3,600,000		1,837,720

76 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
Hillsborough City School District General Obligation Unlimited
due 09/01/3714		1,000,000	$	634,896
due 09/01/3914		1,000,000		579,311
Oakland Redevelopment Agency Successor Agency Tax Allocation
4.00% due 09/01/39		1,100,000		1,187,743
Wiseburn School District General Obligation Unlimited
due 08/01/3414		900,000		690,192
Santa Ana Unified School District General Obligation Unlimited
due 08/01/3514		700,000		529,702
Total California				54,301,074
Texas - 0.2%
Dallas Fort Worth International Airport Revenue Bonds
3.09% due 11/01/40		13,800,000		14,192,762
City of San Antonio Texas Electric & Gas Systems Revenue Bonds
2.91% due 02/01/48		10,500,000		10,520,568
Wylie Independent School District General Obligation Unlimited
due 08/15/4614		8,885,000		3,557,662
due 08/15/4314		3,555,000		1,623,803
Central Texas Turnpike System Revenue Bonds
3.03% due 08/15/41		3,150,000		3,154,732
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds
3.42% due 09/01/50		2,500,000		2,557,166
Harris County-Houston Sports Authority Revenue Bonds
due 11/15/4514		2,850,000		1,068,328
due 11/15/4114		1,500,000		693,326
Harris County Cultural Education Facilities Finance Corp. Revenue Bonds
3.34% due 11/15/37		1,500,000		1,580,718
Dallas/Fort Worth International Airport Revenue Bonds
2.92% due 11/01/50		1,300,000		1,303,196
Grand Parkway Transportation Corp. Revenue Bonds
3.31% due 10/01/49		1,000,000		1,018,112
Total Texas				41,270,373
Ohio - 0.1%
Northeast Ohio Regional Sewer District Revenue Bonds
3.30% due 11/15/49		10,750,000		11,128,560
Ohio Turnpike & Infrastructure Commission Revenue Bonds
3.20% due 02/15/48		5,200,000		5,332,756
County of Franklin Ohio Revenue Bonds
2.88% due 11/01/50		4,000,000		3,932,117
Total Ohio				20,393,433
Illinois - 0.0%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38		5,850,000		7,108,473
6.63% due 02/01/35		1,820,000		2,314,213

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
City of Chicago Illinois General Obligation Unlimited
6.31% due 01/01/44		4,500,000	$	6,437,099
Total Illinois				15,859,785
Mississippi - 0.1%
Medical Center Educational Building Corp. Revenue Bonds
2.92% due 06/01/41		11,800,000		11,664,206
Alabama - 0.0%
Auburn University Revenue Bonds
2.68% due 06/01/50		6,500,000		6,145,835
North Carolina - 0.0%
Inlivian Revenue Bonds
3.02% due 01/01/38		4,125,000		4,136,420
Total North Carolina				4,136,420
Washington - 0.0%
Central Washington University Revenue Bonds
6.95% due 05/01/40		1,750,000		2,446,015
Klickitat County Public Utility District No. 1 Revenue Bonds
5.25% due 12/01/21		15,000		14,971
Total Washington				2,460,986
Arizona - 0.0%
Northern Arizona University Revenue Bonds
3.09% due 08/01/39		2,350,000		2,451,898
Florida - 0.0%
County of Miami-Dade Florida Revenue Bonds
due 10/01/4114		4,100,000		2,242,672
Oklahoma - 0.0%
Tulsa Airports Improvement Trust Revenue Bonds
3.10% due 06/01/45		1,000,000		982,878
Oklahoma Development Finance Authority Revenue Bonds
4.65% due 08/15/30		450,000		527,482
Total Oklahoma				1,510,360
Pennsylvania - 0.0%
Pennsylvania Economic Development Financing Authority Revenue Bonds
due 01/01/4114		995,000		601,752
due 01/01/3714		570,000		395,137
Total Pennsylvania				996,889
Idaho - 0.0%
Boise State University Revenue Bonds
3.06% due 04/01/40		250,000		256,255
Total Municipal Bonds
(Cost $212,366,986)				223,275,355
FOREIGN GOVERNMENT DEBT†† - 0.1%
Panama Government International Bond
4.50% due 04/16/50		22,700,000		24,607,481
Bermuda Government International Bond
3.38% due 08/20/504		8,400,000		8,417,640
Total Foreign Government Debt
(Cost $33,873,606)				33,025,121
SENIOR FIXED RATE INTERESTS††† - 0.0%
Industrial - 0.0%
CTL Logistics
2.65% due 10/10/42		7,057,887		6,865,207
Total Senior Fixed Rate Interests
(Cost $7,057,887)				6,865,207

78 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Face Amount~		Value
FEDERAL AGENCY NOTES†† - 0.0%
Federal Home Loan Bank
2.45% due 08/16/41		540,000	$	529,984
Freddie Mac.
2.25% due 09/15/50		360,000		327,630
Federal Farm Credit Banks Funding Corp.
2.59% due 08/24/46		140,000		136,683
Total Federal Agency Notes
(Cost $1,020,803)				994,297
COMMERCIAL PAPER†† - 1.2%
Societe Generale S.A.
0.04% due 10/01/2116		200,000,000		200,000,000
Amphenol Corp.
0.07% due 10/01/2116		75,200,000		75,200,000
Reed Elsevier, Inc.
0.11% due 10/01/214,16		34,600,000		34,600,000
Cintas Corporation No. 2
0.11% due 10/01/2116		11,000,000		11,000,000
Total Commercial Paper
(Cost $320,800,000)				320,800,000
	Notional Value
OTC OPTIONS PURCHASED†† - 0.3%
Call Options on:
Interest Rate Options
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40	$	6,229,100,000		35,318,997
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		1,402,500,000		7,952,175
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		1,880,100,000		7,445,196
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		630,100,000		2,495,196
Total Interest Rate Options				53,211,564
	Contracts
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $859,784,984)		1,996		26,776,340
Total Equity Options				26,776,340
Total OTC Options Purchased
(Cost $47,755,360)				79,987,904
Total Investments - 105.6%
(Cost $28,197,406,808)			$	28,744,871,795
	Face Amount
Collateralized Mortgage Obligations Sold Short†† - (3.2)%
Government Agency - (3.2)%
Uniform MBS 30 Year
due 11/10/2120	$	815,600,000		(863,532,812	)
Total Collateralized Mortgage Obligations Sold Short
(Proceeds $864,431,737)				(863,532,812	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 79

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

	Contracts		Value
LISTED OPTIONS WRITTEN† - (0.0)%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $527,388)		142	$	(73,130	)
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $542,244)		146		(89,790	)
Total Equity Options				(162,920	)
Total Listed Options Written
(Premiums received $304,076)				(162,920	)
OTC OPTIONS WRITTEN†† - (0.0)%
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $859,784,984)		1,996		(9,331,300	)
Total OTC Options Written
(Premiums received $11,507,718)				(9,331,300	)
Other Assets & Liabilities, net - (2.4)%				(664,353,637	)
Total Net Assets - 100.0%			$	27,207,491,126

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate			Payment Frequency	Maturity Date		Notional Amount
BofA Securities, Inc.	ICE	CDX.NA.HY.36.V1		5.00	%	Quarterly		06/20/26	$	232,300,000

Value			Upfront Premiums Received			Unrealized Depreciation**
$	(21,412,633	)	$	(21,226,908	)	$	(185,725	)

80 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency		Maturity Date	Notional Amount
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.65%		Quarterly	08/13/30		$	463,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.53%		Quarterly	08/06/30			243,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.99%		Quarterly	08/25/50			70,000,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.45%		Quarterly	07/13/27			300,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.34%		Annually	09/30/31			1,570,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.27%		Annually	02/07/23			82,400,000
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	0.22%		Quarterly	07/13/23			500,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.82%		Annually	04/01/26			600,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.37%		Annually	12/04/21			175,200,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.34%		Annually	11/27/21			164,500,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.59%		Annually	03/07/22			150,000,000
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.47%		Annually	03/09/25			498,005,000

Counterparty	Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)**
	$	33,062,835		$	3,550		$	33,059,285
		19,816,652			1,984			19,814,668
		14,256,201			1,383			14,254,818
		12,639,003			1,732			12,637,271
		4,858,475			(370,530	)		5,229,005
		1,276,307			228			1,276,079
		1,040,005			918			1,039,087
		562,896			2,698			560,198
		420,068			64			420,004
		346,766			55			346,711
		336,730			144			336,586
		(2,266,869	)		1,644			(2,268,513	)
	$	86,349,069		$	(356,130	)	$	86,705,199

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 81

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Goldman Sachs International

ILS

Buy

239,980,850

65,373,467 USD

01/31/22

$

9,275,539

Morgan Stanley Capital Services LLC

EUR

Sell

393,125,000

464,339,987 USD

10/18/21

8,787,850

Goldman Sachs International

JPY

Sell

4,532,865,300

44,786,734 USD

12/20/21

4,025,405

Goldman Sachs International

ILS

Buy

67,282,219

18,074,471 USD

08/01/22

2,926,876

Bank of America, N.A.

GBP

Sell

69,380,000

95,750,783 USD

10/18/21

2,254,880

JPMorgan Chase Bank, N.A.

GBP

Sell

44,884,000

61,983,547 USD

10/18/21

1,498,247

Goldman Sachs International

ILS

Buy

28,886,625

7,727,829 USD

11/30/22

1,307,126

Citibank, N.A.

EUR

Sell

21,305,000

24,939,486 USD

12/31/21

207,022

JPMorgan Chase Bank, N.A.

EUR

Sell

4,475,000

5,250,535 USD

10/18/21

64,918

Goldman Sachs International

ILS

Buy

356,625

95,100 USD

11/30/21

15,721

Bank of America, N.A.

EUR

Buy

400,000

463,908 USD

10/18/21

(389

)

Goldman Sachs International

ILS

Sell

356,625

106,446 USD

11/30/21

(4,375

)

Citibank, N.A.

EUR

Buy

220,000

260,125 USD

10/18/21

(5,190

)

Goldman Sachs International

CAD

Sell

11,866,000

9,350,257 USD

10/18/21

(19,455

)

Goldman Sachs International

ILS

Sell

28,886,625

8,761,488 USD

11/30/22

(273,468

)

Goldman Sachs International

ILS

Sell

67,282,219

20,296,295 USD

08/01/22

(705,052

)

Bank of America, N.A.

ILS

Sell

75,749,000

22,457,456 USD

01/31/22

(1,105,205

)

Barclays Bank plc

JPY

Buy

4,532,865,300

43,207,180 USD

12/20/21

(2,445,852

)

Goldman Sachs International

ILS

Sell

164,231,850

48,573,458 USD

01/31/22

(2,512,885

)

$

23,291,713

82 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Rate indicated is the 7-day yield as of September 30, 2021.
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 $11,013,161,027 (cost $10,873,092,947), or 40.5% of total net assets.
5	Perpetual maturity.
6	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
7	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
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 $251,887,926 (cost $253,056,719), or 0.9% of total net assets — See Note 10.
9	Security is in default of interest and/or principal obligations.
10	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
11	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
12	Security is an interest-only strip.
13	Security is a principal-only strip.
14	Zero coupon rate security.
15	Payment-in-kind security.
16	Rate indicated is the effective yield at the time of purchase.
17	All or a portion of this security has been physically segregated or earmarked in connection with reverse repurchase agreements. At September 30, 2021, the total market value of segregated or earmarked securities was $2,257,364,215 — See Note 6.
18	All or a portion of this security is pledged as listed options collateral at September 30, 2021.
19	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021.
20	Security is unsettled at period end and does not have a stated effective rate.
	BofA — Bank of America
	CAD — Canadian Dollar
	CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series XX Index Version X
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CMT — Constant Maturity Treasury
	EUR — Euro

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 83

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

EURIBOR — European Interbank Offered Rate

GBP — British Pound

ICE — Intercontinental Exchange

ILS — Israeli New Shekel

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

REIT — Real Estate Investment Trust

SARL — Société à Responsabilité Limitée

WAC — Weighted Average Coupon

See Sector Classification in Other Information section.

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	275,427,855	$	—	$	521		$	275,428,376
Preferred Stocks		—		647,066,441		—	*		647,066,441
Warrants		2,999,511		—		—			2,999,511
Mutual Funds		68,733,518		—		—			68,733,518
Closed-End Funds		16,796,073		—		—			16,796,073
Money Market Fund		71,613,299		—		—			71,613,299
Corporate Bonds		—		10,454,128,738		624,825,088			11,078,953,826
Asset-Backed Securities		—		4,678,120,676		728,643,975			5,406,764,651
Collateralized Mortgage Obligations		—		3,839,437,793		102,193,653			3,941,631,446
U.S. Government Securities		—		3,911,659,555		—			3,911,659,555
Senior Floating Rate Interests		—		1,850,483,866		136,117,831			1,986,601,697
Federal Agency Bonds		—		671,675,517		—			671,675,517
Municipal Bonds		—		223,275,355		—			223,275,355
Foreign Government Debt		—		33,025,121		—			33,025,121
Senior Fixed Rate Interests		—		—		6,865,207			6,865,207
Federal Agency Notes		—		994,297		—			994,297
Commercial Paper		—		320,800,000		—			320,800,000
Options Purchased		—		79,987,904		—			79,987,904
Interest Rate Swap Agreements**		—		88,973,712		—			88,973,712
Forward Foreign Currency Exchange Contracts**		—		30,363,584		—			30,363,584
Total Assets	$	435,570,256	$	26,829,992,559	$	1,598,646,275		$	28,864,209,090

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Collateralized Mortgage Obligations Sold Short	$	—	$	863,532,812	$	—	$	863,532,812
Options Written		162,920		9,331,300		—		9,494,220
Credit Default Swap Agreements**		—		185,725		—		185,725
Interest Rate Swap Agreements**		—		2,268,513		—		2,268,513
Forward Foreign Currency Exchange Contracts**		—		7,071,871		—		7,071,871
Unfunded Loan Commitments (Note 9)		—		—		654,750		654,750
Total Liabilities	$	162,920	$	882,390,221	$	654,750	$	883,207,891

*	Security has a market value of $0.
**	This derivative is reported as unrealized appreciation/depreciation at period end.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 85

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $596,666,813 are categorized as Level 2 within the disclosure hierarchy — See Note 6.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs		Input Range		Weighted Average*
Assets:
Asset-Backed Securities	$	689,378,940	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Asset-Backed Securities		39,265,035	Yield Analysis	Yield	2.4%-4.2%		3.2%
Collateralized Mortgage Obligations		97,396,890	Model Price	Purchase Price	—		—
Collateralized Mortgage Obligations		4,796,763	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Common Stocks		521	Enterprise Value	Valuation Multiple	2.1x-12.8x		5.1x
Corporate Bonds		460,347,204	Option Adjusted Spread off the prior month end broker quote	Broker Quote	—		—
Corporate Bonds		101,594,048	Third Party Pricing	Vendor Price	—		—
Corporate Bonds		59,701,976	Yield Analysis	Yield	3.2%
Corporate Bonds		3,181,860	Model Price	Purchase Price	—		—
Senior Fixed Rate Interests		6,865,207	Yield Analysis	Yield	2.7%		—
Senior Floating Rate Interests		77,646,993	Yield Analysis	Yield	6.8%-7.4%		6.9%
Senior Floating Rate Interests		57,968,971	Third Party Pricing	Broker Quote	—		—
Senior Floating Rate Interests		501,867	Third Party Pricing	Vendor Price	—		—
Total Assets	$	1,598,646,275
Liabilities:
Unfunded Loan Commitments	$	654,750	Model Price	Purchase Price	—		—

* Inputs are weighted by the fair value of the instruments.

Significant changes in a quote, yield, market comparable yields, 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.

Transfer between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value of $135,321,420 transfer into Level 3 from Level 2 due to lack of observable inputs and had securities with a total value of a $11,268,317 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.

86 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets
	Asset Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Common Stocks
Beginning Balance	$	466,869,292		$	167,618,207		$	244,694,520		$	424,325		$	3,870
Purchases/(Receipts)		537,446,300			114,123,088			374,245,360			146,451,049			33
(Sales, maturities and paydowns)/Fundings		(398,595,826	)		(177,993,283	)		(2,137,765	)		(12,451,931	)		—
Amortization of premiums/discounts		36,126			(22,889	)		(112,989	)		276,867			—
Total realized gains (losses) included in earnings		2,912,455			(11,823	)		(127,861	)		812,142			—
Total change in unrealized appreciation (depreciation) included in earnings		(4,186,054	)		(1,519,647	)		8,372,402			605,379			(3,382	)
Transfers into Level 3		132,139,560			—			3,181,860			—			—
Transfers out of Level 3		(7,977,878	)		—			(3,290,439	)		—			—
Ending Balance		728,643,975			102,193,653			624,825,088			136,117,831			521
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(4,166,485	)	$	(68,430	)	$	8,541,301		$	606,143		$	(3,382	)

	Assets									Liabilities
	Preferred Stocks			Senior Fixed Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	4,598		$	—		$	879,614,812		$	(2,340,507	)
Purchases/(Receipts)		—			7,057,887			1,179,323,717			(475,899	)
(Sales, maturities and paydowns)/Fundings		—			—			(591,178,805	)		2,010,573
Amortization of premiums/discounts		—			—			177,115			3,176
Total realized gains (losses) included in earnings		—			—			3,584,913			1,098
Total change in unrealized appreciation (depreciation) included in earnings		(4,598	)		(192,680	)		3,071,420			146,809
Transfers into Level 3		—			—			135,321,420			—
Transfers out of Level 3		—			—			(11,268,317	)		—
Ending Balance	$	—		$	6,865,207		$	1,598,646,275		$	(654,750	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(4,598	)	$	(192,680	)	$	4,711,869		$	148,658

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
TOTAL RETURN BOND FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
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-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		4.20	%		07/26/24		5.99	%		07/26/25
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.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 From N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)
Common Stocks
BP Holdco LLC*	$	188	$	—	$	—	$	—
Mutual Funds
Guggenheim Strategy Fund II		26,762,744		428,900		—		—
Guggenheim Strategy Fund III		14,458,530		238,090		—		—
Guggenheim Ultra Short Duration Fund — Institutional Class		26,551,766		258,131		—		—
	$	67,773,228	$	925,121	$	—	$	—

88 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
TOTAL RETURN BOND FUND

Security Name	Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income
Common Stocks
BP Holdco LLC*	$	187		$	375	$	532	$	—
Mutual Funds
Guggenheim Strategy Fund II		21,607			27,213,251		1,088,966		428,898
Guggenheim Strategy Fund III		40,403			14,737,023		586,198		238,089
Guggenheim Ultra Short Duration Fund — Institutional Class		(26,653	)		26,783,244		2,686,384		258,130
	$	35,544		$	68,733,893			$	925,117

* Non-income producing security.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 89

STATEMENT OF ASSETS AND LIABILITIES

TOTAL RETURN BOND FUND

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $28,128,863,917)	$	28,676,137,902
Investments in affiliated issuers, at value (cost $68,542,891)		68,733,893
Foreign currency, at value (cost $46,849,781)		46,849,781
Cash		436,576,543
Segregated cash with broker		21,403,756
Unamortized upfront premiums paid on interest rate swap agreements		14,400
Unrealized appreciation on forward foreign currency exchange contracts		30,363,584
Prepaid expenses		382,395
Receivables:
Securities sold		2,469,719,130
Interest		156,010,551
Fund shares sold		39,777,770
Variation margin on interest rate swap agreements		11,894,233
Variation margin on credit default swap agreements		360,752
Dividends		306,377
Foreign tax reclaims		81,208
Total assets		31,958,612,275
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $818,653)		654,750
Reverse repurchase agreements		596,666,812
Securities sold short, at value (proceeds $(864,431,737)		863,532,812
Options written, at value (premiums received $11,811,794)		9,494,220
Segregated cash due to broker		61,715,583
Unamortized upfront premiums received on credit default swap agreements		21,226,908
Unamortized upfront premiums received on interest rate swap agreements		370,530
Unrealized depreciation on forward foreign currency exchange contracts		7,071,871
Payable for:
Securities purchased		3,120,490,489
Fund shares redeemed		48,834,914
Distributions to shareholders		6,840,064
Management fees		4,801,119
Fund accounting/administration fees		1,448,051
Transfer agent/maintenance fees		823,578
Distribution and service fees		626,048
Protection fees on credit default swap agreements		354,903
Trustees’ fees*		19,181
Due to Investment Adviser		1,404
Miscellaneous		6,147,912
Total liabilities		4,751,121,149
Net assets	$	27,207,491,126
Net assets consist of:
Paid in capital	$	26,379,846,245
Total distributable earnings (loss)		827,644,881
Net assets	$	27,207,491,126
A-Class:
Net assets	$	677,172,172
Capital shares outstanding		23,399,220
Net asset value per share	$	28.94
Maximum offering price per share (Net asset value divided by 96.00%)	$	30.15
C-Class:
Net assets	$	327,712,470
Capital shares outstanding		11,322,684
Net asset value per share	$	28.94
P-Class:
Net assets	$	1,043,506,831
Capital shares outstanding		36,066,476
Net asset value per share	$	28.93
Institutional Class:
Net assets	$	24,912,048,850
Capital shares outstanding		860,046,643
Net asset value per share	$	28.97
R6-Class:
Net assets	$	247,050,803
Capital shares outstanding		8,524,086
Net asset value per share	$	28.98

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

90 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENT OF OPERATIONS

TOTAL RETURN BOND FUND

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	34,340,178
Dividends from securities of affiliated issuers		925,117
Interest from securities of unaffiliated issuers(net of foreign withholding tax of $139,434)		768,557,850
Total investment income		803,823,145
Expenses:
Management fees		96,284,021
Distribution and service fees:
A-Class		1,782,845
C-Class		3,442,855
P-Class		2,402,963
Transfer agent/maintenance fees:
A-Class		792,721
C-Class		348,149
P-Class		1,296,283
Institutional Class		19,243,564
R6-Class		19,162
Fund accounting/administration fees		16,402,145
Line of credit fees		2,246,045
Professional fees		1,353,293
Custodian fees		406,708
Trustees’ fees*		402,516
Interest expense		66,386
Miscellaneous		1,707,599
Recoupment of previously waived fees:
A-Class		8,804
C-Class		8,581
R6-Class		16,820
Total expenses		148,231,460
Less:
Expenses reimbursed by Adviser:
A-Class		(420,192	)
C-Class		(173,333	)
P-Class		(780,758	)
Institutional Class		(16,010,999	)
R6-Class		(5,961	)
Expenses waived by Adviser		(131,354	)
Earnings credits applied		(25,886	)
Total waived/reimbursed expenses		(17,548,483	)
Net expenses		130,682,977
Net investment income		673,140,168
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		340,720,099
Investments sold short		(3,623,581	)
Swap agreements		(44,244,150	)
Futures contracts		94,051
Options purchased		38,488,836
Forward foreign currency exchange contracts		61,173,757
Foreign currency transactions		(3,015,010	)
Net realized gain		389,594,002
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(490,468,002	)
Investments in affiliated issuers		35,544
Investments sold short		898,925
Swap agreements		29,427,222
Options purchased		13,834,520
Options written		2,317,574
Forward foreign currency exchange contracts		(41,013,701	)
Foreign currency translations		4,324
Net change in unrealized appreciation (depreciation)		(484,963,594	)
Net realized and unrealized loss		(95,369,592	)
Net increase in net assets resulting from operations	$	577,770,576

* 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 | 91

STATEMENTS OF CHANGES IN NET ASSETS

TOTAL RETURN BOND FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	673,140,168		$	363,342,717
Net realized gain on investments		389,594,002			584,388,023
Net change in unrealized appreciation (depreciation) on investments		(484,963,594	)		795,295,708
Net increase in net assets resulting from operations		577,770,576			1,743,026,448
Distributions to shareholders:
A-Class		(35,606,058	)		(14,139,957	)
C-Class		(15,002,591	)		(4,404,558	)
P-Class		(49,331,911	)		(17,649,084	)
Institutional Class		(1,162,088,286	)		(363,935,819	)
R6-Class		(10,411,606	)		(3,433,470	)
Total distributions to shareholders		(1,272,440,452	)		(403,562,888	)
Capital share transactions:
Proceeds from sale of shares
A-Class		301,735,718			390,304,686
C-Class		71,243,493			96,598,040
P-Class		592,976,433			445,917,866
Institutional Class		11,987,961,377			10,467,112,876
R6-Class		125,161,838			149,980,117
Distributions reinvested
A-Class		30,151,720			12,577,240
C-Class		12,720,024			3,666,589
P-Class		49,197,254			17,508,562
Institutional Class		1,001,642,286			303,841,966
R6-Class		10,404,509			3,433,046
Cost of shares redeemed
A-Class		(441,115,944	)		(257,595,809	)
C-Class		(84,837,172	)		(71,903,157	)
P-Class		(493,935,219	)		(417,273,313	)
Institutional Class		(6,600,975,826	)		(4,949,016,576	)
R6-Class		(50,585,771	)		(53,331,923	)
Net increase from capital share transactions		6,511,744,720			6,141,820,210
Net increase in net assets		5,817,074,844			7,481,283,770
Net assets:
Beginning of year		21,390,416,282			13,909,132,512
End of year	$	27,207,491,126		$	21,390,416,282

92 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

TOTAL RETURN BOND FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		10,307,437			13,593,542
C-Class		2,422,706			3,373,040
P-Class		20,237,868			15,597,287
Institutional Class		409,526,835			366,759,309
R6-Class		4,284,001			5,376,306
Shares issued from reinvestment of distributions
A-Class		1,027,814			441,156
C-Class		433,192			128,418
P-Class		1,677,702			615,214
Institutional Class		34,155,691			10,620,644
R6-Class		354,677			120,055
Shares redeemed
A-Class		(14,980,704	)		(9,218,165	)
C-Class		(2,913,083	)		(2,550,900	)
P-Class		(17,001,560	)		(14,959,306	)
Institutional Class		(226,736,966	)		(176,503,485	)
R6-Class		(1,732,537	)		(1,897,087	)
Net increase in shares		221,063,073			211,496,028

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

FINANCIAL HIGHLIGHTS

TOTAL RETURN BOND FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

A-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.76		$	27.42		$	26.69		$	27.05		$	27.23
Income (loss) from investment operations:
Net investment income (loss)a		.72			.56			.64			.72			.83
Net gain (loss) on investments (realized and unrealized)		(.05	)		2.41			.85			(.37	)		.05
Total from investment operations		.67			2.97			1.49			.35			.88
Less distributions from:
Net investment income		(.76	)		(.63	)		(.65	)		(.71	)		(.95	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.49	)		(.63	)		(.76	)		(.71	)		(1.06	)
Net asset value, end of period	$	28.94		$	29.76		$	27.42		$	26.69		$	27.05
Total Returnb		2.27	%		10.96	%		5.70	%		1.28	%		3.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	677,172		$	804,750		$	609,602		$	589,760		$	744,989
Ratios to average net assets:
Net investment income (loss)		2.47	%		1.99	%		2.37	%		2.66	%		3.08	%
Total expensesc		0.84	%		0.87	%		0.96	%		0.93	%		1.02	%
Net expensesd,e,f		0.79	%		0.80	%		0.80	%		0.81	%		0.87	%
Portfolio turnover rate		92	%		116	%		68	%		48	%		72	%

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

C-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.76		$	27.43		$	26.69		$	27.05		$	27.23
Income (loss) from investment operations:
Net investment income (loss)a		.50			.35			.43			.52			.65
Net gain (loss) on investments (realized and unrealized)		(.05	)		2.40			.87			(.38	)		.03
Total from investment operations		.45			2.75			1.30			.14			.68
Less distributions from:
Net investment income		(.54	)		(.42	)		(.45	)		(.50	)		(.75	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.27	)		(.42	)		(.56	)		(.50	)		(.86	)
Net asset value, end of period	$	28.94		$	29.76		$	27.43		$	26.69		$	27.05
Total Returnb		1.50	%		10.10	%		4.95	%		0.53	%		2.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	327,712		$	338,656		$	286,050		$	265,486		$	251,177
Ratios to average net assets:
Net investment income (loss)		1.72	%		1.24	%		1.62	%		1.93	%		2.44	%
Total expensesc		1.59	%		1.59	%		1.60	%		1.62	%		1.74	%
Net expensesd,e,f		1.53	%		1.55	%		1.55	%		1.55	%		1.60	%
Portfolio turnover rate		92	%		116	%		68	%		48	%		72	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

FINANCIAL HIGHLIGHTS

TOTAL RETURN BOND FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

P-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.75		$	27.42		$	26.69		$	27.04		$	27.23
Income (loss) from investment operations:
Net investment income (loss)a		.72			.56			.63			.72			.85
Net gain (loss) on investments (realized and unrealized)		(.05	)		2.40			.86			(.36	)		.03
Total from investment operations		.67			2.96			1.49			.36			.88
Less distributions from:
Net investment income		(.76	)		(.63	)		(.65	)		(.71	)		(.96	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.49	)		(.63	)		(.76	)		(.71	)		(1.07	)
Net asset value, end of period	$	28.93		$	29.75		$	27.42		$	26.69		$	27.04
Total Return		2.27	%		10.92	%		5.70	%		1.32	%		3.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,043,507		$	926,745		$	819,770		$	738,694		$	572,644
Ratios to average net assets:
Net investment income (loss)		2.47	%		1.98	%		2.37	%		2.69	%		3.14	%
Total expensesc		0.87	%		0.88	%		0.87	%		0.91	%		1.03	%
Net expensesd,e,f		0.79	%		0.80	%		0.80	%		0.80	%		0.86	%
Portfolio turnover rate		92	%		116	%		68	%		48	%		72	%

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

Institutional Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Year Ended Sept. 30, 2017
Per Share Data
Net asset value, beginning of period	$	29.78		$	27.45		$	26.71		$	27.07		$	27.26
Income (loss) from investment operations:
Net investment income (loss)a		.81			.65			.71			.80			.93
Net gain (loss) on investments (realized and unrealized)		(.05	)		2.39			.87			(.37	)		.04
Total from investment operations		.76			3.04			1.58			.43			.97
Less distributions from:
Net investment income		(.84	)		(.71	)		(.73	)		(.79	)		(1.05	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.57	)		(.71	)		(.84	)		(.79	)		(1.16	)
Net asset value, end of period	$	28.97		$	29.78		$	27.45		$	26.71		$	27.07
Total Return		2.59	%		11.23	%		6.03	%		1.59	%		3.68	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24,912,049		$	19,152,857		$	12,138,270		$	8,957,902		$	6,418,897
Ratios to average net assets:
Net investment income (loss)		2.76	%		2.29	%		2.64	%		2.99	%		3.47	%
Total expensesc		0.57	%		0.57	%		0.58	%		0.58	%		0.68	%
Net expensesd,e,f		0.50	%		0.51	%		0.51	%		0.50	%		0.52	%
Portfolio turnover rate		92	%		116	%		68	%		48	%		72	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 97

FINANCIAL HIGHLIGHTS (continued)

TOTAL RETURN BOND FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

R6-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Year Ended Sept. 30, 2019			Year Ended Sept. 30, 2018			Period Ended Sept. 30, 2017g
Per Share Data
Net asset value, beginning of period	$	29.80		$	27.46		$	26.73		$	27.09		$	27.15
Income (loss) from investment operations:
Net investment income (loss)a		.81			.65			.71			.81			.86
Net gain (loss) on investments (realized and unrealized)		(.06	)		2.40			.86			(.38	)		.18
Total from investment operations		.75			3.05			1.57			.43			1.04
Less distributions from:
Net investment income		(.84	)		(.71	)		(.73	)		(.79	)		(.99	)
Net realized gains		(.73	)		—			(.11	)		—			(.11	)
Total distributions		(1.57	)		(.71	)		(.84	)		(.79	)		(1.10	)
Net asset value, end of period	$	28.98		$	29.80		$	27.46		$	26.73		$	27.09
Total Return		2.56	%		11.26	%		5.99	%		1.59	%		3.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	247,051		$	167,409		$	55,441		$	37,735		$	13,709
Ratios to average net assets:
Net investment income (loss)		2.76	%		2.28	%		2.64	%		3.00	%		3.35	%
Total expensesc		0.50	%		0.52	%		0.52	%		0.53	%		0.65	%
Net expensesd,e,f		0.50	%		0.51	%		0.51	%		0.50	%		0.51	%
Portfolio turnover rate		92	%		116	%		68	%		48	%		72	%

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (concluded)

TOTAL RETURN BOND FUND

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
e	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.00%*	0.00%*	—	0.00%*	0.01%
C-Class	0.00%*	0.00%*	—	0.00%*	0.01%
P-Class	—	0.00%*	0.00%*	0.00%*	0.01%
Institutional Class	—	0.00%*	—	0.00%*	—
R6-Class	0.01%	0.00%*	0.00%*	0.00%*	—

* Less than 0.01%

^f Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.78%	0.79%	0.79%	0.80%	0.84%
C-Class	1.53%	1.54%	1.54%	1.55%	1.57%
P-Class	0.78%	0.79%	0.79%	0.80%	0.83%
Institutional Class	0.49%	0.50%	0.50%	0.49%	0.49%
R6-Class	0.49%	0.50%	0.50%	0.49%	0.48%

^g Since commencement of operations: October 19, 2016. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Total Return Bond Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”) which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

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The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

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. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid 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

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currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are 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.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

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 is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.

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The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying positions that the swaps pertain to at the close of the NYSE.

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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) 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 Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess

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fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. 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 Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(f) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes

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a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

(g) Futures Contracts

Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(h) Swap Agreements

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

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(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 Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(j) Currency Translations

The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(k) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(l) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if

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the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(m) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(n) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

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(o) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(p) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(q) Indemnifications

Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

(r) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay 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

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identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund utilized derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

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Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge	$	12,480,041,667	$	146,875,993

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Hedge	$	89,136	$	146,875,993

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

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clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Hedge, Income	$	—	$	1,636,698

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income, Index Exposure	$	66,801,112	$	7,555,216

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Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	3,310,630,000	$	1,719,916,667

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. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit

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derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following table represents the Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Sold		Protection Purchased
Income, Index Exposure	$	124,540,833	$	58,075,000

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	876,131,411	$	1,283,978,450

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NOTES TO FINANCIAL STATEMENTS (continued)

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts
Interest rate swap contracts	Unamortized upfront premiums paid on	Unamortized upfront premiums received on interest rate swap agreements
	Interest rate swap agreements
	Variation margin on interest rate swap agreements
Credit contracts on swaps	Unrealized appreciation on OTC swap agreements	Unrealized depreciation on OTC swap agreements
	Variation margin on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements
Equity/Interest rate option contracts	Investments in unaffiliated issuers, at value	Options written, at value

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
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		Total Value at September 30, 2021
$	88,973,712	$	—	$	—	$	26,776,340	$	30,363,584	$	53,211,564	$	199,325,200

Liability Derivative Investments Value
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		Total Value at September 30, 2021
$	2,268,513	$	185,725	$	9,494,220	$	—	$	7,071,871	$	—	$	19,020,329

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

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The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
Equity/Interest rate option contracts	Net realized gain (loss) on futures contracts
	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Interest rate/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk		Options Written Equity Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk		Options Purchased Interest Rate Risk		Total
	$	94,051	$	(83,428,480	)	$	39,184,330	$	—	$	—	$	61,173,757	$	38,488,836	$	55,512,494

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk		Swaps Credit Risk			Options Written Equity Risk		Options Purchased Equity Risk		Forward Foreign Currency Exchange Risk			Options Purchased Interest Rate Risk		Total
	$	—	$	51,879,929	$	(22,452,707	)	$	2,317,574	$	2,235,520	$	(41,013,701	)	$	11,599,000	$	4,565,615

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

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NOTES TO FINANCIAL STATEMENTS (continued)

Foreign Investments

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral

116 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Forward foreign currency exchange contracts	$	30,363,584	$	—	$	30,363,584	$	(4,827,851	)	$	(24,353,282	)	$	1,182,451
Options purchased		79,987,904		—		79,987,904		(9,129,468	)		(30,503,763	)		40,354,673

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Forward foreign currency exchange contracts	$	7,071,871	$	—	$	7,071,871	$	(4,626,019	)	$	—		2,445,852
Options written		9,331,300		—		9,331,300		(9,331,813	)		—		—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Credit default swap agreements	$	21,403,756	$	—
BofA Securities, Inc.	Interest rate swap agreements		—		6,589,135
Citibank, N.A.	Forward foreign currency exchange contracts, Options		—		16,346,417
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		21,750,031
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts		—		1,530,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		15,500,000
		$	21,403,756	$	61,715,583

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s 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

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NOTES TO FINANCIAL STATEMENTS (continued)

inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information and analysis. A significant portion of the Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

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The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.79	%		11/20/17		02/01/23
C-Class		1.54	%		11/20/17		02/01/23
P-Class		0.79	%		11/20/17		02/01/23
Institutional Class		0.50	%		11/30/12		02/01/23
R6-Class		0.50	%		10/19/16		02/01/23

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2022		2023		2024		Total
A-Class	$	970,954	$	440,686	$	421,811	$	1,833,451
C-Class		139,409		133,369		174,119		446,897
P-Class		529,763		636,580		783,250		1,949,593
Institutional Class		6,918,582		8,669,558		16,070,212		31,658,352
R6-Class		—		—		4,637		4,637

For the year ended September 30, 2021, GI recouped $34,205 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $66,654 related to investments in affiliated funds.

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

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NOTES TO FINANCIAL STATEMENTS (continued)

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended September 30, 2021, the Fund entered into reverse repurchase agreements as follows:

Number of Days Outstanding	Balance at September 30, 2021		Average Balance Outstanding		Average Interest Rate
365	$	596,666,812	$	689,037,601		0.01	%

The following table presents reverse repurchase agreements that are subject to netting arrangements and offset in the Statement of Assets of Liabilities in conformity with U.S. GAAP:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged		Net Amount
Reverse repurchase agreements	$	596,666,812	$	—	$	596,666,812	$	(596,666,812	)	$	—	$	—

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NOTES TO FINANCIAL STATEMENTS (continued)

As of September 30, 2021, the Fund had outstanding reverse repurchase agreements with various counterparties. Details of the reverse repurchase agreements by counterparty are as follows:

Counterparty	Interest Rate(s)				Maturity Date(s)		Face Value
RBC Capital Markets, LLC		(0.25	%)	Open maturity			$	10,915,032
BofA Securities, Inc.		(0.06	%)			10/01/21		292,874,512
J.P. Morgan Securities LLC		(0.09	%)			10/01/21		292,877,268
Total							$	596,666,812

The following is a summary of the remaining contractual maturities of the reverse repurchase agreements outstanding as of year end, aggregated by asset class of the related collateral pledged by the Fund:

Asset Type	Up to 30 days		Overnight and continuous		Total
Corporate Bonds	$	—	$	10,915,032	$	10,915,032
U.S. Government Securities		585,751,780		—		585,751,780
Gross amount of recognized liabilities for reverse repurchase agreements	$	585,751,780	$	10,915,033	$	596,666,812

Note 7 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	1,067,305,263	$	205,135,189	$	1,272,440,452

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NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	403,562,888	$	—	$	403,562,888

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Other Temporary Differences			Total
$	120,960,658	$	142,331,194	$	621,617,803	$	—	$	(57,264,774	)	$	827,644,881

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in certain swap agreements and CLO securities, foreign currency gains and losses, the “mark-to-market” of certain derivatives, losses deferred due to wash sales, distributions in connection with redemption of fund shares, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from bond premium/discount amortization, income accruals on certain investments, the deferral of losses related to tax straddle investments, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

The following adjustments were made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences:

Paid In Capital		Total Distributable Earnings/(Loss)
$	56,908,346	$	(56,908,346	)

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NOTES TO FINANCIAL STATEMENTS (continued)

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	27,336,920,871	$	847,544,547	$	(226,101,181	)	$	621,443,366

Note 8 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	19,649,486,687	$	18,590,971,108

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	6,914,373,833	$	3,900,167,936

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain
$	122,459,283	$	103,737,707	$	5,438,297

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2021, were as follows:

Borrower	Maturity Date	Face Amount*		Value
CapStone Acquisition Holdings, Inc.	11/12/27	$	1,216,000	$	10,578
CTL Logistics	08/10/42		692,113		18,895
Higginbotham	11/25/26		975,145		12,524
HighTower Holding LLC	04/21/28		3,840,000		4,800
Hillman Group, Inc.	07/14/28		2,330,014		5,354
Jones Deslauriers Insurance Management, Inc.	03/26/29	CAD	318,000		—
KKR Core Holding Company LLC	07/15/31		67,040,000		—
MB2 Dental Solutions LLC	12/22/21		16,641,679		166,417
	01/29/27		21,513,704		86,535
Medline Industries, Inc.	08/06/22		65,750,000		—
National Mentor Holdings, Inc.	03/02/28		731,999		3,341
SCP Eye Care Services LLC	03/16/28		1,270,455		1,588
Service Logic Acquisition, Inc.	10/29/27		2,154,104		—
Team.Blue Finco SARL	03/27/28	EUR	1,229,730		3,305
TricorBraun Holdings, Inc.	03/03/28		912,701		5,586
Venture Global Calcasieu Pass LLC	08/19/26		6,105,940		335,827
				$	654,750

^* The face amount is denominated in U.S. dollars unless otherwise indicated.

Note 10 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Airplanes Pass Through Trust
2001-1A, due 03/15/191,2		11/30/11	$	335,966	$	41
Anchorage Credit Funding Ltd.
2021-13A, 3.65% due 07/27/39		06/30/21		1,950,000		1,949,816
Atlas Mara Ltd.
due 12/31/212		10/01/15		6,549,962		3,181,860
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC ) due 06/25/691		06/25/19		9,947,406		10,089,159
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/681		11/02/18		12,228,104		12,712,974

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NOTES TO FINANCIAL STATEMENTS (continued)

Restricted Securities	Acquisition Date		Cost		Value
Central Storage Safety Project Trust
4.82% due 02/01/38		02/02/18	$	20,545,883	$	22,413,506
Copper River CLO Ltd.
2007-1A, due 01/20/213		05/09/14		42,059		51,345
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		97,442,663		97,396,890
Grand Avenue CRE Ltd.
2020-FL2, 4.35% (30 Day Average U.S. Secured Overnight Financing Rate + 4.37%, Rate Floor: 4.26%) due 03/15/351		05/29/20		1,090,401		1,110,982
Grand Avenue CRE Ltd.
2020-FL2, 3.34% (30 Day Average U.S. Secured Overnight Financing Rate + 3.36%, Rate Floor: 3.25%) due 03/15/351		05/29/20		62,812		62,825
HGI CRE CLO Ltd.
2021-FL2, 1.90% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 09/19/261		09/17/21		1,000,000		1,000,000
LSTAR Securities Investment Ltd.
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		33,458,671		33,472,422
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		63,569,774		63,763,344
Princess Juliana International Airport Operating Company N.V.
5.50% due 12/20/27		12/17/12		1,676,358		1,530,823
Ready Capital Mortgage Financing LLC
2019-FL3, 1.09% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 03/25/341		01/30/20		1,665,693		1,661,871
TRTX Issuer Ltd.
2019-FL3, 1.93% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 10/15/341		01/05/21		1,490,967		1,490,068
			$	253,056,719	$	251,887,926

1	Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
2	Security is in default of interest and/or principal obligations.
3	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

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NOTES TO FINANCIAL STATEMENTS (concluded)

Note 11 – 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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 12 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 13 – Subsequent Events

The Fund 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 Fund’s financial statements.

128 | THE GUGGENHEIM FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Total Return Bond Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Total Return Bond Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded)

principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2021

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OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2022, 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 2021.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	1.62	%		1.56	%		63.88	%		100.00	%

With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain:		From long-term capital gain, using proceeds from shareholder redemptions:
$	205,135,189	$	56,908,346

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

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OTHER INFORMATION (Unaudited)(continued)

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Sector Classification

Information in the Consolidated Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

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OTHER INFORMATION (Unaudited)(continued)

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund (“High Yield Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

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OTHER INFORMATION (Unaudited)(continued)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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OTHER INFORMATION (Unaudited)(continued)

Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as

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OTHER INFORMATION (Unaudited)(continued)

well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s

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OTHER INFORMATION (Unaudited)(continued)

increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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OTHER INFORMATION (Unaudited)(continued)

demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

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OTHER INFORMATION (Unaudited)(continued)

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund

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OTHER INFORMATION (Unaudited)(continued)

business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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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 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Margaux Misantone (1978)	AML Officer	Since 2017	Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present). Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018)
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

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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

154 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information and Data Retention

We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.

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If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.

In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.

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If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 155

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Ultra Short Duration Fund

GuggenheimInvestments.com USD-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
ULTRA SHORT DURATION FUND	9
NOTES TO FINANCIAL STATEMENTS	47
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	70
OTHER INFORMATION	72
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	86
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	93
LIQUIDITY RISK MANAGEMENT PROGRAM	98

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Ultra Short Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

The Investment Manager is responsible for the management of the Funds’ portfolio of investments. It is an affiliate of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim Partners, LLC and the Investment Manager.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Guggenheim Partners Investment Management, LLC

October 31, 2021

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Ultra Short Duration Fund may not be suitable for all investors. The investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the holdings and share price to decline. Investors in asset- backed securities, including collateralized loan obligations (CLOs) generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. CLOs bear similar risks to investing in loans directly. Investments in loans involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity and valuation risks. Loans are often below investment grade, may be unrated, and typically offer a fixed or floating interest rate. High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. The use of leverage, through borrowings or instruments such as derivatives, may cause the fund to be more volatile and riskier than if it had not been leveraged. The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs, all of which are enhanced when investing in emerging markets. In addition, investments in emerging markets are subject to risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements. It is important to note that the Fund is not guaranteed by the U.S. government. Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

Bloomberg 1-3 Month U.S. Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The 1-3 Month U.S. Treasury Bill Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.

ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

S&P 500^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.59%	0.32%	$ 1,000.00	$ 1,003.20	$ 2.96
Institutional Class	0.34%	0.55%	1,000.00	1,005.50	1.71
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.59%	5.00%	$ 1,000.00	$ 1,022.11	$ 2.99
Institutional Class	0.34%	5.00%	1,000.00	1,023.36	1.72

1	This ratio represents annualized net expenses, which may include short interest expense. Excluding these expenses, the operating expense ratios for the Fund would be 0.58% and 0.33% for the A-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Fund invests.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Ultra Short Duration Fund (the “Fund”) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Kris Dorr, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks a high level of income consistent with the preservation of capital and follows an actively managed approach that seeks to find a balance between yield and capital preservation. The Fund provides investors daily liquidity with no up-front sales charge, no redemption fees, and no minimum holding period and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one-year period that ended on September 30, 2021, Guggenheim Ultra Short Duration Fund returned 0.87%¹, compared to its benchmark, the Bloomberg 1-3 Month U.S. Treasury Bill Index, which returned 0.05%.

Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its curve caps positions helped mitigate the performance impact from the steepening in the yield curve.

Structured credit accounted for 41% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (“CLO”) sector, which is on track for a record-setting year, having already priced $125 billion new issue deals and $311 billion

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

MANAGERS’ COMMENTARY (Unaudited)(continued) September 30, 2021

total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.

The Fund remains overweight investment grade corporates, which comprised 30% of the Fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis, as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector fostered by higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.

Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 7% percent of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long term economic fundamentals and associated outlook for a low default rate, we have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.

Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the quarter about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 0.8 years versus the benchmark’s duration of 0.2 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Federal Reserve (“Fed”) seeks to remain accommodative to help the economic recovery continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.

Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.

During the reporting period, the Fund used interest rate futures, forwards and swaps to help manage duration positioning, foreign exchange risk and credit exposure. Over the period, interest rate swaps detracted from performance while interest rate futures contributed to performance. Overall, interest rate derivatives detracted from performance during the period. Credit exposure in the form of total return swaps on fixed income ETFs, added to performance. In addition, the Fund traded foreign-exchange derivatives, which were used for hedging purposes and operated effectively, but had a negative impact on performance over the period. Overall, derivative exposure detracted from performance during the period.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

ULTRA SHORT DURATION FUND

OBJECTIVE: Seeks a high level of income consistent with the preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any derivative investments.

Inception Dates:
A-Class	November 30, 2018
Institutional Class	March 11, 2014

Ten Largest Holdings (% of Total Net Assets)
Uniform MBS 30 Year	3.0%
iShares Core U.S. Aggregate Bond ETF	1.9%
Province of Nova Scotia	1.3%
State of Israel, 0.75%	1.3%
Cerberus Onshore CLO LLC, 1.63%	1.1%
Government of Japan, (0.11)% due 10/25/21	1.1%
State of Israel, 5.50%	1.1%
Athene Global Funding, 0.61%	1.0%
BRAVO Residential Funding Trust, 1.62%	1.0%
Fidelity National Financial, Inc., 5.50%	1.0%
Top Ten Total	13.8%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) September 30, 2021

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	22.7%
AA	12.6%
A	20.8%
BBB	19.3%
BB	2.4%
B	1.8%
NR2	7.1%
Other Instruments	13.3%
Total Investments	100.0%

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*
Values shown in 000s

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (03/11/14)
Institutional Class Shares	0.87%	1.97%	1.73%
Bloomberg 1-3 Month U.S. Treasury Bill Index	0.05%	1.09%	0.75%

	1 Year	Since Inception (11/30/18)
A-Class Shares	0.62%	1.42%
Bloomberg 1-3 Month U.S. Treasury Bill Index	0.05%	1.05%

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg 1-3 Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on Institutional Class shares only; performance for A-Class shares will vary due to differences in fee structure. Prior to November 30, 2018, performance for Institutional Class shares reflects the performance of the Guggenheim Strategy Fund I, which did not charge a management fee and was not publicly offered as a separate investment product.

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	September 30, 2021
ULTRA SHORT DURATION FUND

	Shares		Value
EXCHANGE-TRADED FUNDS† - 1.9%
iShares Core U.S. Aggregate Bond ETF		181,248	$	20,812,708
Total Exchange-Traded Funds
(Cost $21,003,018)				20,812,708
MONEY MARKET FUND† - 11.5%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%1		123,064,347		123,064,347
Total Money Market Fund
(Cost $123,064,347)				123,064,347
	Face Amount~
CORPORATE BONDS†† - 32.8%
Financial - 12.4%
Athene Global Funding
0.61% (U.S. Secured Overnight Financing Rate + 0.56%) due 08/19/242,3		11,000,000		11,016,234
Fidelity National Financial, Inc.
5.50% due 09/01/22		10,000,000		10,463,856
Standard Chartered plc
4.25% due 01/20/232,4		9,000,000		9,099,435
1.32% due 10/14/232,4		1,350,000		1,358,440
F&G Global Funding
0.90% due 09/20/242		9,700,000		9,680,643
Swedbank AB
0.85% due 03/18/242		9,550,000		9,582,199
JPMorgan Chase & Co.
0.70% due 03/16/244		9,100,000		9,125,740
Banco Santander S.A.
0.70% due 06/30/244		9,000,000		9,015,822
Sumitomo Mitsui Trust Bank Ltd.
0.85% due 03/25/242		8,900,000		8,920,436
Charles Schwab Corp.
0.55% (U.S. Secured Overnight Financing Rate + 0.50%) due 03/18/243		8,850,000		8,913,879
Ameriprise Financial, Inc.
3.00% due 04/02/25		6,450,000		6,849,643
Sompo International Holdings Ltd.
4.70% due 10/15/22		5,120,000		5,346,302
Credit Suisse AG NY
0.44% (U.S. Secured Overnight Financing Rate + 0.39%) due 02/02/243		5,250,000		5,259,870
Barclays Bank plc
1.70% due 05/12/22		4,600,000		4,636,308
CIT Group, Inc.
3.93% due 06/19/244		4,400,000		4,601,806
Citizens Bank North America/Providence RI
0.93% (3 Month USD LIBOR + 0.81%) due 05/26/223		4,215,000		4,234,655
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/262		2,650,000		2,630,125
GA Global Funding Trust
1.63% due 01/15/262		1,300,000		1,310,886
Aviation Capital Group LLC
2.88% due 01/20/222		1,200,000		1,206,271
OneMain Finance Corp.
3.50% due 01/15/27		1,150,000		1,147,263

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Intercontinental Exchange, Inc.
2.35% due 09/15/22		1,000,000	$	1,017,965
Mitsubishi UFJ Financial Group, Inc.
0.92% (3 Month USD LIBOR + 0.79%) due 07/25/223		950,000		955,606
Brighthouse Financial Global Funding
0.81% (U.S. Secured Overnight Financing Rate + 0.76%) due 04/12/242,3		900,000		906,332
Wells Fargo & Co.
4.13% due 08/15/23		800,000		851,910
Peachtree Corners Funding Trust
3.98% due 02/15/252		650,000		705,436
Nordea Bank Abp
1.06% (3 Month USD LIBOR + 0.94%) due 08/30/232,3		550,000		557,767
First American Financial Corp.
4.60% due 11/15/24		500,000		548,277
ING Groep N.V.
1.15% (3 Month USD LIBOR + 1.00%) due 10/02/233		500,000		507,450
Markel Corp.
3.63% due 03/30/23		450,000		469,363
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/252		400,000		454,331
People’s United Bank North America
4.00% due 07/15/24		400,000		427,069
Apollo Management Holdings, LP
4.00% due 05/30/242		350,000		378,445
Reliance Standard Life Global Funding II
3.85% due 09/19/232		200,000		212,428
Total Financial				132,392,192
Industrial - 6.2%
Boeing Co.
1.43% due 02/04/24		6,550,000		6,560,478
1.95% due 02/01/24		6,000,000		6,139,688
Carlisle Companies, Inc.
0.55% due 09/01/23		10,000,000		9,994,911
Siemens Financieringsmaatschappij N.V.
0.65% due 03/11/242		7,300,000		7,315,874
0.73% (3 Month USD LIBOR + 0.61%) due 03/16/222,3		1,870,000		1,875,146
Ryder System, Inc.
3.35% due 09/01/25		4,820,000		5,192,712
3.75% due 06/09/23		2,650,000		2,792,006
Graphic Packaging International LLC
0.82% due 04/15/242		6,700,000		6,662,464
Teledyne Technologies, Inc.
0.65% due 04/01/23		4,550,000		4,548,092
CNH Industrial Capital LLC
1.95% due 07/02/23		4,230,000		4,323,511
SYNNEX Corp.
1.25% due 08/09/242		2,400,000		2,400,616
Silgan Holdings, Inc.
1.40% due 04/01/262		2,350,000		2,312,356
Berry Global, Inc.
0.95% due 02/15/242		2,150,000		2,152,430
Vontier Corp.
1.80% due 04/01/262		2,150,000		2,134,499
Penske Truck Leasing Company LP / PTL Finance Corp.
2.70% due 11/01/242		900,000		944,667
Jabil, Inc.
1.70% due 04/15/26		650,000		653,080

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Weir Group plc
2.20% due 05/13/262		440,000	$	444,182
CNH Industrial N.V.
4.50% due 08/15/23		400,000		427,510
Total Industrial				66,874,222
Consumer, Non-cyclical - 4.5%
Illumina, Inc.
0.55% due 03/23/23		8,800,000		8,799,968
AmerisourceBergen Corp.
0.74% due 03/15/23		8,650,000		8,663,317
Triton Container International Ltd.
0.80% due 08/01/232		3,100,000		3,097,290
2.05% due 04/15/262		2,200,000		2,206,215
1.15% due 06/07/242		1,700,000		1,697,003
IHS Markit Ltd.
4.13% due 08/01/23		5,791,000		6,139,618
Element Fleet Management Corp.
1.60% due 04/06/242		4,900,000		4,969,853
Sysco Corp.
5.65% due 04/01/25		3,350,000		3,851,557
Molina Healthcare, Inc.
5.38% due 11/15/22		2,700,000		2,783,565
CVS Health Corp.
4.00% due 12/05/23		1,600,000		1,703,668
Stryker Corp.
3.38% due 05/15/24		1,600,000		1,700,599
Bunge Limited Finance Corp.
3.00% due 09/25/22		800,000		818,642
Spectrum Brands, Inc.
5.75% due 07/15/25		700,000		717,500
Square, Inc.
2.75% due 06/01/262		350,000		354,778
General Mills, Inc.
1.14% (3 Month USD LIBOR + 1.01%) due 10/17/233		200,000		203,454
Total Consumer, Non-cyclical				47,707,027
Utilities - 3.2%
CenterPoint Energy Resources Corp.
0.62% (3 Month USD LIBOR + 0.50%) due 03/02/233		9,400,000		9,401,496
NextEra Energy Capital Holdings, Inc.
0.40% (3 Month USD LIBOR + 0.27%) due 02/22/233		8,600,000		8,600,538
0.59% (U.S. Secured Overnight Financing Rate + 0.54%) due 03/01/233		100,000		100,435
Atmos Energy Corp.
0.63% due 03/09/23		4,650,000		4,650,149
0.50% (3 Month USD LIBOR + 0.38%) due 03/09/233,11		1,000,000		1,000,136
ONE Gas, Inc.
1.10% due 03/11/24		4,550,000		4,550,214
Alexander Funding Trust
1.84% due 11/15/232		4,300,000		4,382,165
OGE Energy Corp.
0.70% due 05/26/23		1,500,000		1,500,117
Entergy Louisiana LLC
3.30% due 12/01/22		175,000		179,438
Total Utilities				34,364,688
Technology - 2.5%
Microchip Technology, Inc.
2.67% due 09/01/23		8,070,000		8,366,279
0.97% due 02/15/242		750,000		750,379
Fidelity National Information Services, Inc.
0.60% due 03/01/24		8,200,000		8,186,651
HCL America, Inc.
1.38% due 03/10/262		7,300,000		7,214,014

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Infor, Inc.
1.45% due 07/15/232		2,600,000	$	2,627,171
Total Technology				27,144,494
Communications - 2.3%
NTT Finance Corp.
0.58% due 03/01/242		8,950,000		8,937,251
Verizon Communications, Inc.
0.75% due 03/22/24		4,400,000		4,416,319
Netflix, Inc.
5.50% due 02/15/22		2,700,000		2,743,740
ViacomCBS, Inc.
4.75% due 05/15/25		2,210,000		2,473,369
T-Mobile USA, Inc.
2.63% due 04/15/26		1,600,000		1,636,000
2.25% due 02/15/26		600,000		606,750
Cogent Communications Group, Inc.
3.50% due 05/01/262		2,000,000		2,027,500
Level 3 Financing, Inc.
5.38% due 05/01/25		1,700,000		1,736,656
Total Communications				24,577,585
Energy - 1.1%
Enbridge, Inc.
0.45% (U.S. Secured Overnight Financing Rate + 0.40%) due 02/17/233		4,900,000		4,911,885
Phillips 66
0.90% due 02/15/24		3,400,000		3,400,845
Valero Energy Corp.
1.20% due 03/15/24		3,000,000		3,033,061
Total Energy				11,345,791
Consumer, Cyclical - 0.3%
Hyatt Hotels Corp.
1.80% due 10/01/24		3,500,000		3,507,236
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/232		200,000		199,722
Total Consumer, Cyclical				3,706,958
Basic Materials - 0.3%
Carpenter Technology Corp.
4.45% due 03/01/23		1,350,000		1,397,659
Reliance Steel & Aluminum Co.
4.50% due 04/15/23		1,300,000		1,364,902
Total Basic Materials				2,762,561
Total Corporate Bonds
(Cost $349,601,201)				350,875,518
ASSET-BACKED SECURITIES†† - 26.9%
Collateralized Loan Obligations - 19.7%
Shackleton CLO Ltd.
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/272,3		8,438,102		8,436,077
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/282,3		3,970,264		3,968,382
Cerberus Onshore CLO LLC
2021-4A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/332,3		12,250,000		12,249,982

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
BXMT Ltd.
2020-FL2, 1.06% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/382,3		5,000,000	$	4,993,719
2020-FL2, 1.31% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/382,3		2,550,000		2,544,442
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/372,3		2,500,000		2,498,864
HERA Commercial Mortgage Ltd.
2021-FL1, 1.39% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/18/382,3		5,000,000		4,979,462
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/382,3		4,250,000		4,239,757
Palmer Square Loan Funding Ltd.
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/292,3		4,500,000		4,456,944
2021-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/292,3		3,516,418		3,518,232
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/262,3		498,670		498,741
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/272,3		412,006		412,041
ABPCI Direct Lending Fund CLO V Ltd.
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/312,3		8,250,000		8,236,840
Dryden 33 Senior Loan Fund
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/292,3		7,898,403		7,897,067
CHCP Ltd.
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/382,3		6,500,000		6,494,589

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
CIFC Funding 2015-III Ltd.
2018-3A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 04/19/292,3		6,475,000	$	6,475,000
Golub Capital Partners CLO 49M Ltd.
2021-49A, 1.63% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/332,3		6,250,000		6,245,724
LCM XXIV Ltd.
2021-24A, 1.11% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/302,3		5,750,000		5,752,876
Diamond CLO Ltd.
2021-1A, 1.33% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/292,3		5,399,225		5,400,575
Cerberus Loan Funding XXXV, LP
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/332,3		5,000,000		5,000,000
Carlyle Global Market Strategies CLO Ltd.
2018-4A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/312,3		4,927,378		4,926,096
Golub Capital Partners CLO 54M, LP
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/332,3		4,750,000		4,750,319
Owl Rock CLO IV Ltd.
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/332,3		4,500,000		4,504,483
Parliament CLO II Ltd.
2021-2A, 1.50% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/322,3		4,500,000		4,496,436
Golub Capital Partners CLO 16 Ltd.
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/332,3		4,250,000		4,256,418
BRSP Ltd.
2021-FL1, 1.99% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/382,3		4,250,000		4,253,808
GPMT Ltd.
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/362,3		4,139,073		4,136,857
Madison Park Funding XLVIII Ltd.
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/332,3		4,000,000		3,954,253

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Golub Capital Partners CLO 33M Ltd.
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/332,3		3,750,000	$	3,749,808
MidOcean Credit CLO VII
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/292,3		3,500,000		3,501,084
Cerberus Loan Funding XXX, LP
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/332,3		3,000,000		3,013,985
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 0.63% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 01/20/332,3		3,000,000		2,999,454
ABPCI Direct Lending Fund CLO II LLC
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/322,3		3,000,000		2,996,184
LoanCore Issuer Ltd.
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/362,3		1,300,000		1,296,345
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/282,3		1,000,000		999,653
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/282,3		607,908		607,694
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/272,3		2,829,821		2,829,502
Woodmont Trust
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/322,3		2,750,000		2,765,470
Cerberus Loan Funding XXXII, LP
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/332,3		2,500,000		2,505,423
Cerberus Loan Funding XXXI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/322,3		2,500,000		2,500,495

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Venture XIV CLO Ltd.
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/292,3		2,500,000	$	2,500,215
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/332,3		2,250,000		2,254,120
THL Credit Lake Shore MM CLO I Ltd.
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/332,3		2,250,000		2,253,555
Cerberus Loan Funding XXXIII, LP
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/332,3		2,250,000		2,252,778
Avery Point VI CLO Ltd.
2021-6A, 1.02% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 08/05/272,3		2,134,674		2,134,895
Parliament Funding II Ltd.
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/302,3		2,000,000		2,007,452
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/312,3		2,000,000		2,006,012
Wellfleet CLO Ltd.
2020-2A, 1.19% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/292,3		2,000,000		2,001,575
BDS
2021-FL8, 1.65% (1 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/18/362,3		2,000,000		2,000,746
Cerberus Loan Funding XXVI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/312,3		2,000,000		1,999,995
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.43% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/312,3		1,800,000		1,786,106
TICP CLO VII Ltd.
2020-7A, 0.68% (3 Month USD LIBOR + 0.55%, Rate Floor: 0.55%) due 04/15/332,3		1,687,500		1,685,677

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Marathon CLO V Ltd.
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/272,3		1,534,175	$	1,533,145
Allegro CLO IX Ltd.
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/312,3		1,500,000		1,500,022
California Street CLO IX, LP
2019-9A, 0.83% (3 Month USD LIBOR + 0.70%, Rate Floor: 0.00%) due 07/16/322,3		1,250,000		1,248,811
Greywolf CLO III Ltd.
2020-3RA, 0.64% (3 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 04/15/332,3		1,166,667		1,164,682
OZLM XII Ltd.
2018-12A, 1.18% (3 Month USD LIBOR + 1.05%, Rate Floor: 0.00%) due 04/30/272,3		1,095,471		1,095,404
610 Funding CLO 3 Ltd.
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/282,3		1,013,901		1,013,942
LCCM Trust
2021-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/382,3		1,000,000		1,000,387
BDS 2021-FL8
2021-FL8, 2.00% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/362,3		1,000,000		1,000,375
Greystone Commercial Real Estate Notes
2021-FL3, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/392,3		1,000,000		999,549
STWD 2021-FL2 Ltd.
2021-FL2, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/382,3		1,000,000		999,212
Newfleet CLO Ltd.
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/282,3		930,622		930,044
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.19% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/372,3		850,000		847,881
Voya CLO Ltd.
2019-2A, 0.78% (3 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 07/20/322,3		843,750		842,872
KVK CLO Ltd.
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/282,3		486,829		486,829

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
BSPRT Issuer Ltd.
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/352,3		445,259	$	444,602
Fortress Credit Opportunities IX CLO Ltd.
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/292,3		382,000		382,000
Wind River CLO Ltd.
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/272,3		378,192		378,159
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/302,3		350,000		350,048
Mountain View CLO Ltd.
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/262,3		90,032		90,021
Total Collateralized Loan Obligations				210,534,192
Financial - 2.9%
Station Place Securitization Trust
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,2,3		6,700,000		6,700,000
2021-9, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22†††,2,3		6,050,000		6,050,000
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,2,3		4,000,000		4,000,000
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,2,3		1,200,000		1,200,000
Station Place Securitization Trust
2021-15, 0.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/222,3		7,850,000		7,850,000
Madison Avenue Secured Funding Trust Series
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,2,3		5,250,000		5,250,000
Total Financial				31,050,000

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Whole Business - 1.4%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/492		4,653,000	$	4,734,102
Domino’s Pizza Master Issuer LLC
2018-1A, 4.33% due 07/25/482		4,366,525		4,715,463
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/512		3,250,000		3,246,389
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/502		1,343,250		1,381,107
SERVPRO Master Issuer LLC
2019-1A, 3.88% due 10/25/492		982,500		1,023,849
DB Master Finance LLC
2019-1A, 3.79% due 05/20/492		279,300		280,503
Total Whole Business				15,381,413
Transport-Container - 1.2%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/462		6,941,875		6,875,282
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/462		3,061,113		3,016,848
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/462		2,002,000		1,970,223
2020-1A, 2.73% due 08/21/452		798,835		809,478
Total Transport-Container				12,671,831
Net Lease - 0.8%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/502		6,651,905		6,704,944
CF Hippolyta LLC
2021-1A, 1.98% due 03/15/612		2,236,819		2,241,670
Total Net Lease				8,946,614
Infrastructure - 0.6%
VB-S1 Issuer LLC
2020-1A, 3.03% due 06/15/502		6,050,000		6,305,371
Collateralized Debt Obligations - 0.2%
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/392		1,750,000		1,750,055
Transport-Aircraft - 0.1%
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/402		894,297		759,348
Raspro Trust
2005-1A, 1.06% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/242,3		565,244		565,243
Total Transport-Aircraft				1,324,591
Total Asset-Backed Securities
(Cost $287,669,544)				287,964,067

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.1%
Residential Mortgage Backed Securities - 13.0%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/602,3		7,260,944	$	7,280,471
2021-RPL7, 1.93% due 06/27/612		3,000,000		3,001,260
2020-RPL5, 3.02% (WAC) due 08/25/602,3		2,738,839		2,776,339
2020-NQM1, 1.21% due 05/25/652,5		2,587,817		2,594,884
2021-RPL4, 1.80% (WAC) due 12/27/602,3		1,659,627		1,664,836
BRAVO Residential Funding Trust
2021-C, 1.62% due 03/01/612,5		10,500,000		10,495,300
2021-HE1, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/702,3		1,757,453		1,757,453
2021-HE2, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 11/25/692,3		781,941		781,941
2019-NQM1, 2.67% (WAC) due 07/25/592,3		485,252		487,241
Verus Securitization Trust
2020-5, 1.22% due 05/25/652,5		3,468,379		3,478,171
2021-5, 1.37% (WAC) due 09/25/662,3		3,000,000		2,998,529
2021-4, 1.35% (WAC) due 07/25/662,3		1,448,843		1,448,018
2020-1, 2.42% due 01/25/602,5		1,220,846		1,235,411
2019-4, 2.85% due 11/25/592,5		1,188,131		1,205,422
2021-3, 1.44% (WAC) due 06/25/662,3		1,061,108		1,059,851
2019-4, 2.64% due 11/25/592,5		695,374		705,482
Legacy Mortgage Asset Trust
2021-GS4, 1.65% due 11/25/602,5		4,173,088		4,167,349
2021-GS3, 1.75% due 07/25/612,5		3,868,003		3,871,144
2021-GS2, 1.75% due 04/25/612,5		1,894,601		1,896,439
NYMT Loan Trust
2021-SP1, 1.67% due 08/25/612,5		9,815,592		9,799,959
OSAT Trust
2021-RPL1, 2.12% due 05/25/652,5		8,622,231		8,621,525
SPS Servicer Advance Receivables Trust II
2020-T1, 1.28% due 11/15/522		7,000,000		7,035,279
PRPM LLC
2021-5, 1.79% due 06/25/262,5		4,343,930		4,347,674
2021-8, 1.74% (WAC) due 09/25/262,3		2,650,000		2,646,675

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
New Residential Advance Receivables Trust Advance Receivables Backed Notes
2020-APT1, 1.04% due 12/16/522		4,000,000	$	3,998,979
2020-T1, 1.43% due 08/15/532		2,000,000		1,998,384
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/532		4,150,000		4,154,732
2020-T3, 1.32% due 10/15/522		1,650,000		1,651,231
Ocwen Master Advance Receivables Trust
2020-T1, 1.28% due 08/15/522		5,150,000		5,147,361
FKRT
2.21% due 11/30/58		4,550,000		4,551,229
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/263,6		2,219,514		2,226,272
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/263,6		1,219,294		1,219,795
CFMT LLC
2021-HB5, 0.80% (WAC) due 02/25/312,3		3,053,022		3,053,996
ZH Trust
2021-1, 2.25% due 02/18/272		1,500,000		1,501,651
2021-2, due 10/17/272,3		1,500,000		1,499,130
New Residential Mortgage Loan Trust
2019-1A, 3.50% (WAC) due 10/25/592,3		1,661,195		1,735,247
2018-2A, 3.50% (WAC) due 02/25/582,3		1,069,128		1,111,224
FKRT
2020-C2A, 3.25% due 12/30/23†††,6		2,621,708		2,621,708
Soundview Home Loan Trust
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/363		2,011,402		1,982,319
Towd Point Mortgage Trust
2018-2, 3.25% (WAC) due 03/25/582,3		822,692		844,830
2017-6, 2.75% (WAC) due 10/25/572,3		680,869		694,033
2017-5, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/572,3		322,973		322,970
CSMC Series
2014-2R, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/462,3		1,686,882		1,668,209
2014-7R, 0.24% (WAC) due 10/27/362,3		65,003		64,819

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Morgan Stanley ABS Capital I Incorporated Trust
2006-NC1, 0.66% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/353		1,637,368	$	1,638,197
Ellington Financial Mortgage Trust
2020-2, 1.49% (WAC) due 10/25/652,3		981,448		985,222
2020-2, 1.64% (WAC) due 10/25/652,3		565,350		567,231
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/242,3		1,337,036		1,346,293
CIT Mortgage Loan Trust
2007-1, 1.44% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/372,3		1,263,776		1,274,432
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/353		1,234,641		1,235,090
Banc of America Funding Trust
2015-R2, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/372,3		873,058		859,336
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/602,3		802,790		804,456
Citigroup Mortgage Loan Trust
2007-WFH2, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/373		407,635		407,079
2019-IMC1, 2.72% (WAC) due 07/25/492,3		295,432		297,835
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/502,3		629,808		635,217
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-R10, 0.73% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/363		559,579		559,207
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/693,6		343,017		347,902
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/592,3		306,189		308,056

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
GE-WMC Asset-Backed Pass-Through Certificates Series
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/353		87,662	$	87,590
Total Residential Mortgage Backed Securities				138,757,915
Government Agency - 3.0%
Uniform MBS 30 Year
due 11/10/2112		30,900,000		31,781,145
Commercial Mortgage Backed Securities - 2.1%
BX Commercial Mortgage Trust
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/362,3		10,250,000		10,256,424
Life Mortgage Trust
2021-BMR, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 03/15/382,3		2,450,000		2,452,942
Morgan Stanley Capital I Trust
2018-H3, 0.99% (WAC) due 07/15/513,7		43,817,671		1,931,614
Citigroup Commercial Mortgage Trust
2019-GC41, 1.19% (WAC) due 08/10/563,7		24,898,895		1,624,381
BENCHMARK Mortgage Trust
2019-B14, 0.91% (WAC) due 12/15/623,7		34,760,266		1,595,521
BXHPP Trust
2021-FILM, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/362,3		1,500,000		1,501,350
Motel Trust
2021-MTL6, 1.30% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/382,3		1,000,000		1,001,914
JPMDB Commercial Mortgage Securities Trust
2018-C8, 0.79% (WAC) due 06/15/513,7		29,315,480		886,670
KKR Industrial Portfolio Trust
2021-KDIP, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/372,3		650,000		649,608
Wells Fargo Commercial Mortgage Trust
2015-NXS1, 2.63% due 05/15/48		391,506		391,412
Total Commercial Mortgage Backed Securities				22,291,836
Total Collateralized Mortgage Obligations
(Cost $192,540,870)				192,830,896

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
FOREIGN GOVERNMENT DEBT†† - 8.4%
State of Israel
0.75% due 07/31/22	ILS	44,240,000	$	13,817,297
5.50% due 01/31/22	ILS	35,760,000		11,290,444
Government of Japan
(0.11)% due 10/25/2110	JPY	1,266,400,000		11,379,911
(0.11)% due 11/01/2110	JPY	597,350,000		5,367,936
(0.12)% due 10/18/2110	JPY	349,700,000		3,142,342
(0.09)% due 10/04/2110	JPY	246,500,000		2,214,912
Province of Nova Scotia
0.17% due 10/07/2110	CAD	17,560,000		13,865,522
Province of Ontario
0.17% due 10/20/2110	CAD	8,436,000		6,660,470
0.17% due 10/06/2110	CAD	7,123,000		5,624,436
0.17% due 10/27/2110	CAD	1,994,000		1,574,322
Czech Republic
0.10% due 04/17/22	CZK	200,400,000		9,099,130
Province of Newfoundland
0.17% due 10/12/2110	CAD	1,800,000		1,421,252
0.19% due 11/04/2110	CAD	1,000,000		789,498
Abu Dhabi Government International Bond
0.75% due 09/02/232	2,200,000			2,205,852
Province of Quebec
0.17% due 10/22/2110	CAD	1,620,000		1,278,999
Total Foreign Government Debt
(Cost $89,858,230)				89,732,323
SENIOR FLOATING RATE INTERESTS††,3 - 4.1%
Industrial - 1.3%
SkyMiles IP Ltd.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27	4,650,000			4,942,671
Berry Global, Inc.
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26	3,931,857			3,907,283
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27	2,200,000			2,336,136
Standard Industries, Inc.
due 09/22/28	1,150,000			1,150,621
Filtration Group Corp.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25	841,607			836,877
LTI Holdings, Inc.
due 09/08/25	299,229			294,788
Total Industrial				13,468,376
Technology - 0.6%
Dun & Bradstreet
3.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26	2,338,221			2,335,298
VT TopCo, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 08/01/25	1,574,468			1,570,532
Boxer Parent Co., Inc.
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25	1,240,560			1,233,067
Sabre GLBL, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24	595,361			587,812

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Informatica LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/25/27		485,535	$	483,714
Emerald TopCo, Inc. (Press Ganey)
due 07/24/26		300,000		297,939
MACOM Technology Solutions Holdings, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		244,787		243,563
Total Technology				6,751,925
Consumer, Non-cyclical - 0.5%
Icon Luxembourg SARL
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28		2,244,375		2,251,534
Option Care Health, Inc.
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		2,232,955		2,231,838
Pearl Intermediate Parent LLC
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 0.75%) due 02/14/25		1,396,438		1,396,005
KDC US Holdings, Inc.
due 12/22/25		300,000		298,593
Nomad Foods Lux SARL
2.37% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/15/24		296,890		295,405
MDVIP LLC
5.25% (1 Month USD LIBOR + 4.25%, Rate Floor: 5.25%) due 11/14/24		99,741		99,555
Outcomes Group Holdings, Inc.
due 10/24/25		100,000		98,075
Total Consumer, Non-cyclical				6,671,005
Consumer, Cyclical - 0.5%
Stars Group (Amaya)
2.38% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		2,800,000		2,789,500
Power Solutions (Panther)
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/30/26		1,877,301		1,868,159
IBC Capital Ltd.
3.87% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 09/11/23		700,000		689,675
Go Daddy Operating Company LLC
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 02/15/24		494,836		491,684
BCPE Empire Holdings, Inc.
due 06/11/26		99,746		99,081
Total Consumer, Cyclical				5,938,099
Financial - 0.5%
Focus Financial Partners LLC
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		3,048,964		3,024,816

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
USI, Inc.
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		1,035,407	$	1,027,828
Delos Finance SARL (International Lease Finance)
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23		690,000		689,248
HUB International Ltd.
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25		544,527		539,028
Alliant Holdings Intermediate LLC
due 05/09/25		100,000		99,250
Total Financial				5,380,170
Communications - 0.4%
Internet Brands, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24		2,094,819		2,087,675
ProQuest LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26		1,836,122		1,833,993
Flight Bidco, Inc.
due 07/23/25		199,486		196,659
Total Communications				4,118,327
Basic Materials - 0.1%
Invictus MD Strategies Corp.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		843,978		841,345
HB Fuller Co.
2.09% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/21/24		124,993		125,040
Total Basic Materials				966,385
Energy - 0.1%
ITT Holdings LLC
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		601,000		599,750
Lotus Midstream, LLC
due 09/29/25		99,744		97,624
Total Energy				697,374
Total Senior Floating Rate Interests
(Cost $43,903,672)				43,991,661
MUNICIPAL BONDS†† - 0.8%
New York - 0.4%
City of New York New York General Obligation Unlimited
0.08% (VRDN) due 04/01/429		4,010,000		4,010,000
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds
0.08% (VRDN) due 08/01/429		350,000		350,000
New York City Transitional Finance Authority Building Aid Revenue Bonds
5.00% due 07/15/22		5,000		5,138
Total New York				4,365,138

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
California - 0.3%
Metropolitan Water District of Southern California Revenue Bonds
0.05% (VRDN) due 07/01/479		3,420,000	$	3,420,000
Texas - 0.1%
City of Dallas Texas Waterworks & Sewer System Revenue Bonds
5.00% due 10/01/21		150,000		150,000
Houston Higher Education Finance Corp. Revenue Bonds
5.00% due 09/01/22		25,000		26,070
City of Austin Texas Water & Wastewater System Revenue Bonds
5.00% due 11/15/21		15,000		14,931
Total Texas				191,001
Colorado - 0.0%
Dawson Ridge Metropolitan District No. 1 General Obligation Limited
due 10/01/228		150,000		149,688
North Carolina - 0.0%
County of New Hanover North Carolina Revenue Bonds
4.00% due 10/01/21		50,000		50,000
Inlivian Revenue Bonds
6.00% due 12/01/21		5,000		4,992
Total North Carolina				54,992
Washington - 0.0%
Seattle Housing Authority Revenue Bonds
2.88% due 12/01/21		50,000		50,216
Pennsylvania - 0.0%
Lancaster County Hospital Authority Revenue Bonds
4.00% due 01/01/22		25,000		25,226
4.13% due 01/01/22		20,000		19,989
City of Erie Pennsylvania General Obligation Unlimited
due 11/15/228		5,000		4,935
Total Pennsylvania				50,150
Kansas - 0.0%
City of Wichita Kansas Water & Sewer Utility Revenue Bonds
5.00% due 10/01/21		50,000		50,000
Maryland - 0.0%
Maryland Health & Higher Educational Facilities Authority Revenue Bonds
4.00% due 07/01/22		30,000		30,849
Ohio - 0.0%
Greater Cleveland Regional Transit Authority Revenue Bonds
5.00% due 12/01/21		20,000		19,950
Ohio Higher Educational Facility Commission Revenue Bonds
5.00% due 01/01/22		5,000		5,009
4.00% due 01/01/22		5,000		4,995
Total Ohio				29,954

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

	Face Amount~		Value
Michigan - 0.0%
Michigan Finance Authority Revenue Bonds
5.00% due 12/01/21		25,000	$	24,943
Illinois - 0.0%
Boone McHenry & DeKalb Counties Community Unit School District 100 General Obligation Unlimited
due 12/01/218		10,000		9,895
Illinois Finance Authority Revenue Bonds
4.00% due 05/15/22		5,000		5,061
Total Illinois				14,956
Florida - 0.0%
Capital Trust Agency, Inc. Revenue Bonds
4.38% due 12/01/22		10,000		10,857
Puerto Rico - 0.0%
Puerto Rico Highway & Transportation Authority Revenue Bonds
5.25% due 07/01/22		10,000		10,268
Arizona - 0.0%
City of Mesa Arizona Excise Tax Revenue Bonds
5.00% due 07/01/22		5,000		5,128
Missouri - 0.0%
Health & Educational Facilities Authority of the State of Missouri Revenue Bonds
5.00% due 11/15/21		5,000		4,978
Virginia - 0.0%
Virginia Resources Authority Revenue Bonds
5.00% due 11/01/21		5,000		4,968
Georgia - 0.0%
Colquitt County Development Authority Revenue Bonds
due 12/01/218		5,000		4,949
Total Municipal Bonds
(Cost $8,473,347)				8,473,035
Total Investments - 104.5%
(Cost $1,116,114,229)			$	1,117,744,555
Collateralized Mortgage Obligations Sold Short†† - (3.1)%
Government Agency - (3.1)%
Uniform MBS 30 Year
due 11/10/2112		30,900,000	$	(32,715,993	)
Total Collateralized Mortgage Obligations Sold Short
(Proceeds $32,749,829)				(32,715,993	)
Other Assets & Liabilities, net - (1.4)%				(14,565,103	)
Total Net Assets - 100.0%			$	1,070,463,459

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

Centrally Cleared Interest Rate Swap Agreements††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index		Fixed Rate	Payment Frequency
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.00%		Quarterly
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.58%		Quarterly
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.66%		Quarterly
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	2.02%		Quarterly

Counterparty	Maturity Date		Notional Amount		Value			Upfront Premiums Paid		Unrealized Appreciation (Depreciation)**
BofA Securities, Inc.		05/04/26	$	15,000,000	$	6,450		$	336	$	6,114
BofA Securities, Inc.		04/28/31		9,800,000		(41,356	)		1,245		(42,601	)
BofA Securities, Inc.		03/16/31		4,500,000		(54,225	)		318		(54,543	)
BofA Securities, Inc.		05/20/41		5,500,000		(181,445	)		362		(181,807	)
					$	(270,576	)	$	2,261	$	(272,837	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Fixed Income Index Swap Agreements Sold Short††

JPMorgan Chase Bank, N.A.

iShares Core U.S. Aggregate Bond ETF

Receive

0.36% (1 Month USD LIBOR + 0.28%)

At Maturity

10/14/21

181,248

$

20,812,708

$

188,498

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Barclays Bank plc

ILS

Buy

8,523,623

2,345,521 USD

08/01/22

$

315,027

Morgan Stanley Capital Services LLC

JPY

Sell

1,266,400,000

11,543,328 USD

10/25/21

162,528

Goldman Sachs International

ILS

Buy

3,914,050

1,086,029 USD

01/31/22

131,484

Goldman Sachs International

JPY

Sell

597,350,000

5,448,111 USD

11/01/21

79,615

Goldman Sachs International

JPY

Sell

349,700,000

3,184,536 USD

10/18/21

42,034

UBS AG

JPY

Sell

246,500,000

2,254,199 USD

10/04/21

39,305

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

Forward Foreign Currency Exchange Contracts†† (continued)

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

JPMorgan Chase Bank, N.A.

CAD

Sell

16,300,000

12,891,633 USD

10/07/21

$

20,548

BNP Paribas

CAD

Sell

4,740,000

3,748,458 USD

10/20/21

5,636

Citibank, N.A.

CAD

Sell

1,620,000

1,279,977 USD

10/22/21

788

Citibank, N.A.

CZK

Sell

30,060

1,382 USD

11/05/21

8

Barclays Bank plc

CAD

Sell

1,800,000

1,421,304 USD

10/12/21

(35

)

UBS AG

CAD

Sell

1,000,000

789,182 USD

11/04/21

(429

)

Goldman Sachs International

CAD

Sell

1,260,000

994,369 USD

10/07/21

(574

)

Goldman Sachs International

CAD

Sell

3,637,000

2,870,236 USD

10/06/21

(1,677

)

Citibank, N.A.

CAD

Sell

3,486,000

2,749,423 USD

10/06/21

(3,256

)

Citibank, N.A.

CAD

Sell

1,994,000

1,571,184 USD

10/27/21

(3,315

)

Goldman Sachs International

CAD

Sell

3,696,000

2,914,705 USD

10/20/21

(3,749

)

Bank of America, N.A.

ILS

Sell

643,550

190,795 USD

01/31/22

(9,390

)

UBS AG

ILS

Sell

17,379,729

5,389,748 USD

08/01/22

(35,128

)

Barclays Bank plc

CZK

Sell

200,600,400

9,076,214 USD

04/19/22

(45,315

)

Goldman Sachs International

ILS

Sell

3,270,500

968,615 USD

01/31/22

(48,714

)

Goldman Sachs International

ILS

Sell

27,192,978

8,430,101 USD

08/01/22

(57,864

)

Barclays Bank plc

ILS

Sell

8,523,623

2,581,743 USD

08/01/22

(78,805

)

Barclays Bank plc

ILS

Sell

37,726,800

11,634,384 USD

01/31/22

(101,003

)

Morgan Stanley Capital Services LLC

BRL

Sell

108,600,000

19,490,309 USD

10/01/21

(457,526

)

Goldman Sachs International

BRL

Buy

108,600,000

20,557,669 USD

10/01/21

(609,835

)

$

(659,642

)

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Rate indicated is the 7-day yield as of September 30, 2021.
2	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $550,638,667 (cost $549,880,949), or 51.4% of total net assets.
3	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
4	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
5	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
6	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 $6,415,677 (cost $6,404,711), or 0.6% of total net assets — See Note 9.
7	Security is an interest-only strip.
8	Zero coupon rate security.
9	The rate is adjusted periodically by the counterparty, allows the holder to tender the security upon a rate reset, and is not based upon a set reference rate and spread. Rate indicated is the rate effective at September 30, 2021.
10	Rate indicated is the effective yield at the time of purchase.
11	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021.
12	Security is unsettled at period end and does not have a stated effective rate.
	BofA — Bank of America
	BRL — Brazilian Real
	CAD — Canadian Dollar
	CME — Chicago Mercantile Exchange
	CZK — Czech Koruna
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	SARL — Société à Responsabilité Limitée
	VRDN — Variable Rate Demand Note
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	20,812,708	$	—	$	—	$	20,812,708
Money Market Fund		123,064,347		—		—		123,064,347
Corporate Bonds		—		350,875,518		—		350,875,518
Asset-Backed Securities		—		264,764,067		23,200,000		287,964,067
Collateralized Mortgage Obligations		—		190,209,188		2,621,708		192,830,896
Foreign Government Debt		—		89,732,323		—		89,732,323
Senior Floating Rate Interests		—		43,991,661		—		43,991,661
Municipal Bonds		—		8,473,035		—		8,473,035
Interest Rate Swap Agreements**		—		6,114		—		6,114
Fixed Income Index Swap Agreements**		—		188,498		—		188,498
Forward Foreign Currency Exchange Contracts**		—		796,973		—		796,973
Total Assets	$	143,877,055	$	949,037,377	$	25,821,708	$	1,118,736,140

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Collateralized Mortgage Obligations Sold Short	$	—	$	32,715,993	$	—	$	32,715,993
Interest Rate Swap Agreements**		—		278,951		—		278,951
Forward Foreign Currency Exchange Contracts**		—		1,456,615		—		1,456,615
Unfunded Loan Commitments (Note 8)		—		—		689		689
Total Liabilities	$	—	$	34,451,559	$	689	$	34,452,248

** This derivative is reported as unrealized appreciation/depreciation at period end.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
ULTRA SHORT DURATION FUND

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs	Input Range		Weighted Average
Assets:
Asset-Backed Securities	$	23,200,000	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—		—
Collateralized Mortgage Obligations		2,621,708	Model Price	Purchase Price		—		—
Total Assets	$	25,821,708
Liabilities:
Unfunded Loan Commitments	$	689	Model Price	Purchase Price		—		—

Significant changes in a quote would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets									Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	15,400,000		$	4,875,837		$	20,275,837		$	—
Purchases/(Receipts)		23,200,000			3,071,940			26,271,940			—
(Sales, maturities and paydowns)/Fundings		(15,400,000	)		(5,280,638	)		(20,680,638	)		—
Amortization of premiums/discounts		—			(714	)		(714	)		—
Total realized gains (losses) included in earnings		—			(3	)		(3	)		—
Total change in unrealized appreciation (depreciation) included in earnings		—			(44,714	)		(44,714	)		(689	)
Ending Balance	$	23,200,000		$	2,621,708		$	25,821,708		$	(689	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	—		$	(1,232	)	$	(1,232	)	$	(689	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
ULTRA SHORT DURATION FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
CSMC Trust 2020-NQM1, 1.21% due 05/25/65		2.21	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS4, 1.65% due 11/25/60		4.65	%		08/26/24		5.65	%		08/26/25
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-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
NYMT Loan Trust 2021-SP1, 1.67% due 08/25/61		4.67	%		08/26/24		5.67	%		08/26/25
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		4.20	%		07/26/24		5.99	%		07/26/25
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24		—			—
Verus Securitization Trust 2020-5, 1.22% due 05/25/65		2.22	%		10/26/24		—			—
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23		—			—
Verus Securitization Trust 2019-4, 2.85% due 11/25/59		3.85	%		10/26/23		—			—

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENT OF ASSETS AND LIABILITIES

ULTRA SHORT DURATION FUND

September 30, 2021

Assets:
Investments, at value (cost $1,116,114,229)	$	1,117,744,555
Segregated cash with broker		932,869
Unamortized upfront premiums paid on interest rate swap agreements		2,261
Unrealized appreciation on OTC swap agreements		188,498
Unrealized appreciation on forward foreign currency exchange contracts		796,973
Prepaid expenses		41,306
Receivables:
Securities sold		88,013,897
Interest		2,681,975
Fund shares sold		2,463,225
Foreign tax reclaims		5,295
Total assets		1,212,870,854
Liabilities:
Unfunded loan commitments, at value (Note 8) (commitment fees received $—)		689
Securities sold short, at value (proceeds $32,749,829)		32,715,993
Overdraft due to custodian bank		326,595
Segregated cash due to broker		290,000
Due to custodian		1,375
Unrealized depreciation on forward foreign currency exchange contracts		1,456,615
Payable for:
Securities purchased		99,023,835
Fund shares redeemed		7,948,460
Variation margin on interest rate swap agreements		201,373
Management fees		193,441
Distributions to shareholders		72,911
Distribution and service fees		35,412
Fund accounting/administration fees		31,515
Swap settlement		14,054
Transfer agent/maintenance fees		3,167
Trustees’ fees*		1,601
Due to Investment Adviser		93
Miscellaneous		90,266
Total liabilities		142,407,395
Net assets	$	1,070,463,459
Net assets consist of:
Paid in capital	$	1,069,613,447
Total distributable earnings (loss)		850,012
Net assets	$	1,070,463,459
A-Class:
Net assets	$	188,416,240
Capital shares outstanding		18,903,351
Net asset value per share	$	9.97
Institutional Class:
Net assets	$	882,047,219
Capital shares outstanding		88,506,840
Net asset value per share	$	9.97

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

STATEMENT OF OPERATIONS

ULTRA SHORT DURATION FUND

Year Ended September 30, 2021

Investment Income:
Dividends	$	671,881
Interest		9,598,419
Total investment income		10,270,300
Expenses:
Management fees		2,112,403
Distribution and service fees:
A-Class		264,388
Transfer agent/maintenance fees:
A-Class		52,635
Institutional Class		103,069
Fund accounting/administration fees		260,012
Professional fees		91,378
Custodian fees		80,558
Line of credit fees		50,423
Trustees’ fees*		29,222
Short interest expense		11,081
Miscellaneous		105,356
Recoupment of previously waived fees:
A-Class		1,468
Institutional Class		43,052
Total expenses		3,205,045
Less:
Expenses reimbursed by Adviser:
A-Class		(39,452	)
Institutional Class		(44,265	)
Expenses waived by Adviser		(6,770	)
Earnings credits applied		(1,602	)
Total waived/reimbursed expenses		(92,089	)
Net expenses		3,112,956
Net investment income		7,157,344
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,189,136
Investments sold short		(120,083	)
Swap agreements		(3,393,298	)
Futures contracts		30,413
Forward foreign currency exchange contracts		389,757
Foreign currency transactions		506,619
Net realized gain		2,602,544
Net change in unrealized appreciation (depreciation) on:
Investments		425,404
Investments sold short		33,836
Swap agreements		(429,635	)
Futures contracts		1,125
Forward foreign currency exchange contracts		(3,093,354	)
Foreign currency translations		2,797
Net change in unrealized appreciation (depreciation)		(3,059,827	)
Net realized and unrealized loss		(457,283	)
Net increase in net assets resulting from operations	$	6,700,061

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STATEMENTS OF CHANGES IN NET ASSETS

ULTRA SHORT DURATION FUND

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	7,157,344		$	7,149,226
Net realized gain (loss) on investments		2,602,544			(109,299	)
Net change in unrealized appreciation (depreciation) on investments		(3,059,827	)		3,824,596
Net increase in net assets resulting from operations		6,700,061			10,864,523
Distributions to shareholders:
A-Class		(731,059	)		(703,568	)
Institutional Class		(7,010,768	)		(7,411,376	)
Total distributions to shareholders		(7,741,827	)		(8,114,944	)
Capital share transactions:
Proceeds from sale of shares
A-Class		214,903,865			98,280,201
Institutional Class		1,202,493,738			611,120,446
Distributions reinvested
A-Class		721,960			698,604
Institutional Class		6,114,053			6,175,476
Cost of shares redeemed
A-Class		(90,021,904	)		(67,169,591	)
Institutional Class		(766,018,803	)		(603,110,371	)
Net increase from capital share transactions		568,192,909			45,994,765
Net increase in net assets		567,151,143			48,744,344
Net assets:
Beginning of year		503,312,316			454,567,972
End of year	$	1,070,463,459		$	503,312,316
Capital share activity:
Shares sold
A-Class		21,545,976			9,879,376
Institutional Class		120,556,717			61,791,120
Shares issued from reinvestment of distributions
A-Class		72,382			70,360
Institutional Class		613,063			622,640
Shares redeemed
A-Class		(9,023,382	)		(6,767,628	)
Institutional Class		(76,807,815	)		(60,780,621	)
Net increase in shares		56,956,941			4,815,247

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

FINANCIAL HIGHLIGHTS

ULTRA SHORT DURATION FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

A-Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020			Period Ended Sept. 30, 2019a
Per Share Data
Net asset value, beginning of period	$	9.98		$	9.97		$	10.00
Income (loss) from investment operations:
Net investment income (loss)b		.06			.12			.17
Net gain (loss) on investments (realized and unrealized)		—			.03			.02	i
Total from investment operations		.06			.15			.19
Less distributions from:
Net investment income		(.07	)		(.14	)		(.21	)
Net realized gains		—			—			(.01	)
Total distributions		(.07	)		(.14	)		(.22	)
Net asset value, end of period	$	9.97		$	9.98		$	9.97
Total Return		0.62	%		1.52	%		1.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	188,416		$	62,956		$	31,154
Ratios to average net assets:
Net investment income (loss)		0.63	%		1.20	%		2.05	%
Total expensese		0.63	%		0.65	%		0.61	%
Net expensesf,g,h		0.59	%		0.61	%		0.58	%
Portfolio turnover rate		122	%		129	%		55	%

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL HIGHLIGHTS (continued)

ULTRA SHORT DURATION FUND

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

Institutional Class	Year Ended Sept. 30, 2021			Year Ended Sept. 30, 2020d			Year Ended Sept. 30, 2019d			Year Ended Sept. 30, 2018d			Year Ended Sept. 30, 2017d
Per Share Data
Net asset value, beginning of period	$	9.98		$	9.96		$	10.01		$	10.04		$	9.99
Income (loss) from investment operations:
Net investment income (loss)b		.09			.15			.28			.24			.17
Net gain (loss) on investments (realized and unrealized)		—			.04			(.04	)		—			.06
Total from investment operations		.09			.19			.24			.24			.23
Less distributions from:
Net investment income		(.10	)		(.17	)		(.28	)		(.27	)		(.18	)
Net realized gains		—			—			(.01	)		—	c		—
Total distributions		(.10	)		(.17	)		(.29	)		(.27	)		(.18	)
Net asset value, end of period	$	9.97		$	9.98		$	9.96		$	10.01		$	10.04
Total Return		0.87	%		1.88	%		2.37	%		2.48	%		2.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	882,047		$	440,356		$	423,414		$	356,128		$	426,592
Ratios to average net assets:
Net investment income (loss)		0.88	%		1.47	%		2.54	%		2.44	%		1.73	%
Total expensese		0.34	%		0.38	%		0.30	%		0.07	%		0.08	%
Net expensesf,g,h		0.34	%		0.36	%		0.29	%		0.07	%		0.08	%
Portfolio turnover rate		122	%		129	%		55	%		74	%		65	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 45

FINANCIAL HIGHLIGHTS (concluded)

ULTRA SHORT DURATION FUND

a	Since commencement of operations: November 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Distributions from realized gains are less than $0.01 per share.
d	The per share data for the years ended September 30, 2016 through September 30, 2018 and the period October 1, 2018 to November 30, 2018 has been restated to reflect the reorganization of the Guggenheim Strategy Fund I with and into the Guggenheim Ultra Short Duration Fund effective November 30, 2018. In conjunction with the reorganization, Guggenheim Ultra Short Duration Fund issued 2.501601322 Institutional Class shares for every 1 share of Guggenheim Strategy Fund I.
e	Does not include expenses of the underlying funds in which the Fund invests.
f	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
g	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/21	09/30/20	09/30/19
A-Class	0.00%*	0.00%*	—
Institutional Class	0.01%	0.00%*	0.00%*

* Less than 0.01%

^h Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.58%	0.58%	0.58%	N/A	N/A
Institutional Class	0.33%	0.33%	0.29%	0.07%	0.08%

ⁱ 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.

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Ultra Short Duration Fund (the “Fund”), a diversified investment company. At September 30, 2021, only A-Class and Institutional Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments, provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 47

NOTES TO FINANCIAL STATEMENTS (continued)

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are

48 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are 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.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

The value of futures contracts is accounted for using the unrealized appreciation or depreciation on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the official settlement price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are

THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

NOTES TO FINANCIAL STATEMENTS (continued)

intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, 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 Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. 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 Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the 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) Futures Contracts

Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

(g) Swap Agreements

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

NOTES TO FINANCIAL STATEMENTS (continued)

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(h) Currency Translations

The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(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 Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

(j) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(k) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

(l) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (continued)

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(o) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(p) Indemnifications

Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund utilized derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

Futures Contracts

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of futures on a monthly basis:

	Average Notional Amount
Use	Long		Short
Hedge, Income	$	—	$	5,269,802

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing over-the-counter (“OTC”) swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Income	$	258,059	$	35,418,810

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

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NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	—	$	18,740,000

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	39,376,889	$	168,423,130

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest rate swap contracts	Unrealized appreciation on OTC swap agreements	Variation margin on interest rate swap agreements
	Unamortized upfront premiums paid on interest rate swap agreements
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2021
	$	194,612	$	796,973	$	991,585

Liability Derivative Investments Value
	Swaps Interest Rate Risk*		Forward Foreign Currency Exchange Risk		Total Value at September 30, 2021
	$	278,951	$	1,456,615	$	1,735,566

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest rate futures contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Interest rate/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk		Forward Foreign Currency Exchange Risk		Total
	$	30,413	$	(3,399,198	)	$	5,900	$	389,757	$	(2,973,128	)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Futures Interest Rate Risk		Swaps Interest Rate Risk			Swaps Credit Risk		Forward Foreign Currency Exchange Risk			Total
	$	1,125	$	(429,635	)	$	—	$	(3,093,354	)	$	(3,521,864	)

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

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NOTES TO FINANCIAL STATEMENTS (continued)

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

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NOTES TO FINANCIAL STATEMENTS (continued)

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Fixed income index swap agreements	$	188,498	$	—	$	188,498	$	—		$	(188,498	)	$	—
Forward foreign currency exchange contracts		796,973		—		796,973		(677,172	)		(20,548	)		99,253

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NOTES TO FINANCIAL STATEMENTS (continued)

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	1,456,615	$	—	$	1,456,615	$	(677,172	)	$	(694,998	)	$	84,445

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
BofA Securities, Inc.	Forward foreign currency exchange contracts	$	62,000	$	—
BofA Securities, Inc.	Interest rate swap agreements		150,869		—
Goldman Sachs International	Forward foreign currency exchange contracts		400,000		—
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts, Total return swap agreements		—		290,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts		320,000		—
		$	932,869	$	290,000

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

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NOTES TO FINANCIAL STATEMENTS (continued)

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s 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 Fund’s assets and liabilities are categorized as Level 2, as indicated in this report. Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security. Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.25% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted a Distribution Plan related to the offering of A-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plan provides for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class shares.

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NOTES TO FINANCIAL STATEMENTS (continued)

The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.58	%		11/30/18		02/01/22
Institutional Class		0.33	%		11/30/18		02/01/22

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2022		2023		2024		Total
A-Class	$	—	$	16,885	$	40,455	$	57,340
Institutional Class		—		35,542		50,032		85,574

For the year ended September 30, 2021, GI recouped $44,520 from the Fund.

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

At September 30, 2021, GI and its affiliates owned 36% of the outstanding shares of the Fund.

64 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Note 6 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	7,741,827	$	—	$	7,741,827

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	8,114,944	$	—	$	8,114,944

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses			Other Temporary Differences			Total
$	53,214	$	—	$	1,508,877	$	(30,029	)	$	(682,050	)	$	850,012

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

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NOTES TO FINANCIAL STATEMENTS (continued)

For the year ended September 30, 2021, the following capital loss carryforward amounts were utilized:

Utilized
$	465,885

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 certain bonds and swap agreements, foreign currency gains and losses, the deferral of qualified late-year losses, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of bond premium/discount amortization, dividends payable, paydown reclasses, and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	1,083,437,699	$	4,283,552	$	(2,777,028	)	$	1,506,524

Pursuant to U.S. federal income tax regulations applicable to regulated investment companies, the Fund has elected to treat net capital losses and certain ordinary losses realized between November 1 and September 30 of each year as occurring on the first day of the following tax year. The Fund has also elected to treat certain ordinary losses realized between January 1 and September 30 of each year as occurring on the first day of the following tax year. For the year ended September 30, 2021, the following losses reflected in the accompanying financial statements were deferred for U.S. federal income tax purposes until October 1, 2021:

Ordinary			Capital
$	(30,029	)	$	—

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 7 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	1,062,978,401	$	698,044,399

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	5,173,208	$	31,652,396

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	81,108,201	$	—	$	—

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2021, were as follows:

Borrower	Maturity Date		Face Amount		Value
Medline Industries, Inc.		08/06/22	$	2,450,000	$	—
VT TopCo, Inc.		08/01/25		275,532		689
			$	2,725,532	$	689

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NOTES TO FINANCIAL STATEMENTS (continued)

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date	Cost		Value
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/691	06/25/19	$	342,964	$	347,902
FKRT
2020-C2A, 3.25% due 12/30/23	12/03/20		2,622,940		2,621,708
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261	02/04/21		2,219,514		2,226,272
LSTAR Securities Investment Ltd.
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261	03/17/21		1,219,293		1,219,795
		$	6,404,711	$	6,415,677

¹ Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.

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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The allocated commitment fee amount for the Fund is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 11 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 12 – Subsequent Events

The Fund 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 Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Ultra Short Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Ultra Short Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodian, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers were not received.

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Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2021

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Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2022, 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 2021.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentage qualify as interest related dividends as permitted by IRC Section 871(k)(1). See qualified interest income column in the table below.

Qualified Interest Income
	81.98	%

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

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Sector Classification

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

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Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

● Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)   ● Guggenheim Diversified Income Fund (“Diversified Income Fund”)   ● Guggenheim High Yield Fund (“High Yield Fund”)   ● Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)   ● Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)   ● Guggenheim Municipal Income Fund (“Municipal Income Fund”)   ● Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)   ● Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)   ● Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)   ● Guggenheim World Equity Income Fund (“World Equity Income Fund”) ● Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)   ● Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)   ● Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)   ● Guggenheim Limited Duration Fund (“Limited Duration Fund”)   ● Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)   ● Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)   ● Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)   ● Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)   ● Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors

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and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.

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Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract

⁴ On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related

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services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s

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increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

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Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

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In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund

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OTHER INFORMATION (Unaudited)(continued)

business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

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OTHER INFORMATION (Unaudited)(concluded)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee and Chair of the Valuation Oversight Committee	Since 2014 (Trustee) Since 2020 (Chair of the Valuation Oversight Committee)	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - continued
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INDEPENDENT TRUSTEES - concluded
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - continued
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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).
Kimberly J. Scott (1974)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS - concluded
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)

Who We Are

This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).

Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.

Our Commitment to You

Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.

The Information We Collect About You

We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.

How We Handle Your Personal Information

The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.

In addition to the specific uses described above, we also use your information in the following manner:

● We use your information in connection with servicing your accounts.

● We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback.

● We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us.

● We use information for security purposes. We may use your information to protect our company and our customers.

● We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter.

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded)

We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.

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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), Guggenheim Funds Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) has also designated a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020, to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk, and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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9.30.2021

Guggenheim Funds Annual Report

Guggenheim Limited Duration Fund

GuggenheimInvestments.com LD-ANN-0921x0922

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	6
LIMITED DURATION FUND	8
NOTES TO FINANCIAL STATEMENTS	44
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	60
OTHER INFORMATION	61
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	70
GUGGENHEIM INVESTMENTS PRIVACY NOTICE	75
LIQUIDITY RISK MANAGEMENT PROGRAM	78

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

September 30, 2021

Dear Shareholder:

Guggenheim Partners Investment Management, LLC (the “Investment Manager”) is pleased to present the shareholder report for Guggenheim Limited Duration Fund (the “Fund”) for the annual fiscal period ended September 30, 2021.

The Investment Manager is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Fund. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Manager.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Managers’ Commentary for the Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Security Investors, LLC,

Guggenheim Partners Investment Management, LLC,

October 31, 2021

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.

COVID-19. The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

September 30, 2021

Limited Duration Fund may not be suitable for all investors. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● When market conditions are deemed appropriate, the Fund may use leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. ● Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). ● Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. ● The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s investments in restricted securities may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

ECONOMIC AND MARKET OVERVIEW (Unaudited) September 30, 2021

In the 12-month period ended September 30, 2021, the yield on the two-year Treasury rose 15 basis points to 0.28% from 0.13%, and the ten-year Treasury climbed 83 basis points to 1.52% from 0.69%. The spread between the two-year Treasury and ten-year Treasury widened to 124 basis points from 56 basis points. One basis point equals 0.01%. Treasury yields posted their biggest rise in months following the Federal Open Market Committee (“FOMC”) meeting in September, at which Chair Powell noted that inflation would be higher and last longer than previously expected. Treasury yields continued to rise toward the end of the month.

Reports circulating in September about the inability of Evergrande, China’s second largest real estate development company, to repay an installment on its approximately $300 billion in debt sparked panic in credit markets in Asia. There was chatter about an Evergrande bankruptcy, a la Lehman Brothers, that would ignite a conflagration that could ravage China’s debt-reliant economy and spread across the world, triggering another global financial crisis. Others saw echoes of the collapse of Long-Term Capital Management, the highly leveraged hedge fund that collapsed in 1998 and required a bailout and debt rewind managed by the Federal Reserve (the “Fed”) to quell fears of a global financial meltdown.

As the month of September progressed and the Chinese government stepped in with liquidity and behind-the-scenes pressure on state-owned and state-backed enterprises to purchase Evergrande assets, tensions eased, but the question remains as to what ultimately will become of Evergrande. The most likely outcome is a “controlled fire” approach in which the government attempts to limit the contagion of Evergrande’s woes by propping up the company until its debts are restructured and reshuffled, its projects completed by others, and its properties sold off.

As Evergrande troubles captured the world’s attention, the September FOMC meeting made it clear that the Fed was not overly worried, at least not enough to push back its forecasted rate hikes. In fact, the tone of the meeting was somewhat hawkish, with the month’s Summary of Economic Projections revealing that half the committee members penciled in a rate hike for 2022. That would give them a policy option should elevated inflation turn out to be less temporary than expected. It also implies that a tapering of asset purchases would be completed sooner rather than later—a timetable corroborated when Chair Powell gave the strongest indication yet that tapering may start in November and for the first time suggested that asset purchases could conclude by mid-2022.

Markets reacted favorably to the Fed’s relatively sanguine view of the Evergrande situation, perhaps breathing a sigh of relief that it considers the problem insufficiently dangerous either to warrant action or to delay the normalization of rates in the United States. Interestingly, in place of several instances of the word “transitory” in the four previous FOMC press conference transcripts, the September transcript included no mention of the word, which may help explain the hawkish tilt to the meeting. Regarding the path for rates, half of FOMC members now see at least one hike in 2022, up from 39 percent in June. The median FOMC participant now sees in excess of six cumulative hikes through 2024, signaling an acknowledgement of intensifying supply side pressures and a labor market that could be at full employment within the next year.

For the 12-month period ended September 30, 2021, the S&P 500^® Index* returned 30.00%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 26.29%. The return of the MSCI Emerging Markets Index* was 18.58%.

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -0.90% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned 11.28%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.07% for the 12-month period.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) September 30, 2021

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

Bloomberg U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index measures the performance of publicly issued investment grade corporate, U.S. Treasury and government agency securities with remaining maturities of one to three years.

ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

S&P 500^® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2021 and ending September 30, 2021.

The following tables illustrate the Fund’s costs in two ways:

Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Fund’s prospectus.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value March 31, 2021	Ending Account Value September 30, 2021	Expenses Paid During Period2
Table 1. Based on actual Fund return3
A-Class	0.74%	0.93%	$ 1,000.00	$ 1,009.30	$ 3.73
C-Class	1.49%	0.59%	1,000.00	1,005.90	7.49
P-Class	0.74%	0.93%	1,000.00	1,009.30	3.73
Institutional Class	0.49%	1.10%	1,000.00	1,011.00	2.47
R6-Class	0.49%	1.06%	1,000.00	1,010.60	2.47
Table 2. Based on hypothetical 5% return (before expenses)
A-Class	0.74%	5.00%	$ 1,000.00	$ 1,021.36	$ 3.75
C-Class	1.49%	5.00%	1,000.00	1,017.60	7.54
P-Class	0.74%	5.00%	1,000.00	1,021.36	3.75
Institutional Class	0.49%	5.00%	1,000.00	1,022.61	2.48
R6-Class	0.49%	5.00%	1,000.00	1,022.61	2.48

1	Annualized and excludes expenses of the underlying funds in which the Fund invests. This ratio represents net expenses, which may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratio for the Fund would be 0.73%, 1.48%, 0.73%, 0.48% and 0.48% for the A-Class, C-Class, P-Class, Institutional Class and R6-Class, respectively.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2021 to September 30, 2021.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

MANAGERS’ COMMENTARY (Unaudited) September 30, 2021

To Our Shareholders

Guggenheim Limited Duration Fund (the “Fund”) is managed by a team of seasoned professionals, including Anne B. Walsh, Senior Managing Director and Chief Investment Officer, Fixed Income; Steven H. Brown, CFA, Senior Managing Director and Portfolio Manager; and Adam J. Bloch, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and the Fund’s performance for the fiscal year ended September 30, 2021.

Investment Approach

The Fund seeks to provide a high level of income consistent with preservation of capital and invests in a broad universe of fixed-income securities in an attempt to maximize yield and diversification (though, diversification neither assures a profit nor eliminates the risk of experiencing investment losses) and manage risk. The Fund employs a more active approach, offering an opportunity to potentially capitalize on changing relative values in fixed-income securities/sectors and offers access to Guggenheim’s unique fixed income process and philosophy founded on the principles of behavioral finance.

Performance Review and Positioning

For the one year period ended September 30, 2021, Guggenheim Limited Duration Fund returned 1.38%¹, compared with the 0.29% return of its benchmark, the Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index.

Interest rates rose during the period, given rising concerns over inflation, while credit spreads continued to grind tighter on the backs of accommodative fiscal and monetary policy. Outperformance versus the benchmark was driven by a combination of spread tightening and greater carry (the excess return accruing to higher yielding securities over lower yielding securities, assuming prices remain constant), which was partially offset by the Fund’s overweight duration positioning. The Fund’s overweight allocation to credit has been the largest driver of outperformance on the year, as credit continues its grind tighter on optimism in economic growth recovery and improving credit fundamentals. Measured on an absolute return basis, sectors with floating rate coupons like bank loans and much of structured credit have been standouts in performance, as they have benefitted from spread compression while being somewhat insulated from rising rates. The Fund’s allocation to these sectors coupled with its 2Y-10Y CMS curve caps positions helped mitigate the performance impact from the steepening in the yield curve.

Structured credit accounted for nearly 36% of the Fund at period end. The sector broadly and across sub-sectors continued to contribute positively and provided for relative outperformance to the benchmark. Spreads have now largely recovered from the shock of COVID-19, though still offer compelling relative value within the fixed income universe. Primary markets have been very active over the year, particularly in the collateralized loan obligation (CLO) sector, which is on track for a record setting year, having already priced $125 billion new issue deals and $311 billion total deals (including refinancings, resets, and re-issues). Spreads have been relatively muted in response to the massive amount of issuance, which speaks to volume of demand from investors in search of higher carry assets. We continue to look to invest in structurally senior securitized credit, as the sector continues to showcase wider spreads compared to similarly rated corporates. As such, we expect spreads could compress further as the economy rebounds and investors seek out the higher yields and carry offered by the sector.

The Fund remains overweight investment grade corporates, which comprised 28% of the fund at period end. The sector contributed positively to performance on both an absolute basis as well as on a duration-adjusted basis as it benefited from a combination of carry and spread tightening. Investment grade corporate credit spreads have benefitted from the back-up in rates as yield-focused buyers find the higher yielding profiles more attractive. In particular, the pace of flows into the investment grade corporate sector from overseas buyers has been greater than usual given the attractiveness of the currency hedge-adjusted yields attainable in the sector given higher rates. We continue to remain constructive on the sector given the supportive macro backdrop and low probability of any sustained selloff. However, we have incrementally reduced our exposure at the margin, rotating out of tighter spread names with limited total return potential in favor for higher carry sectors like structured credit.

Below-investment-grade corporate credit, including both high yield corporates and bank loans, comprise roughly 12% of the Fund. The Fund’s below-investment-grade allocation has continued to benefit from a combination of spread tightening and carry, contributing significantly to the portfolio return on the year. While we remain positive on long term economic fundamentals and associated outlook for a low default rate, we

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGERS’ COMMENTARY (Unaudited)(concluded) September 30, 2021

have begun to pare exposure recently, as we have increasingly become cautious of valuations and the potential for seasonal weakness. Despite this, we still view the expected loss-adjusted return potential, primarily via carry, favorably within the context of the Fund and therefore continue to anticipate a continued meaningful portfolio allocation.

Overweight duration positioning negatively impacted performance on the period. U.S. Treasury yields rose as the 10- year ended the period about 80 basis points higher at 1.52%. Overall Fund duration ended the period at 2.0 years versus the benchmark’s duration of 1.9 years. We continue to remain optimistic on U.S. economic growth given potential for additional fiscal stimulus and believe that interest rates will remain relatively range bound as the Fed seeks to remain accommodative to ensure the economic recovery can continue amid the termination of certain fiscal stimulus measures and potential for increasing spread of the COVID-19 Delta variant headed into year end.

Given the current monetary and fiscal backdrop, we continue to view the credit default environment as benign and predict rates are likely to remain low and range bound for some time. As such, we continue to believe a portfolio allowance for both higher credit and duration risk is warranted. As credit spreads have neared historic tights, however, it has become increasingly important to ensure portfolios are prudently positioned as we seek out relative value across sectors. At this particular moment in the credit cycle against the backdrop of current valuations, we see value in rotating into higher carry instruments while maintaining similar credit quality where possible and shortening spread duration to lessen the Fund’s emphasis on credit spread compression.

During the reporting period, the Fund used interest rate options and swaps, equiity options, forwards and credit swaps to help manage duration positioning, foreign exchange risk, and credit exposure. Over the period, interest rate swaps detracted from performance while interest options contributed to performance. Options on equities contributed to performance. Total return swaps on fixed income ETFs and credit default swap index (CDX) positions added to performance. In addition, the Fund traded foreign-exchange derivatives, which were used for hedging purposes and operated effectively, but had a negative impact on performance over the period. Overall, derivative exposure detracted from performance during the period.

The Fund may invest in certain of the underlying series of Guggenheim Funds Trust and Guggenheim Strategy Funds Trust, including Guggenheim Ultra Short Duration Fund, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by Guggenheim Investments. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by Guggenheim Investments and/or its affiliates, and are not available to the public, with the exception of Guggenheim Ultra Short Duration Fund, which is available to the public. Guggenheim Strategy Fund II and Guggenheim Strategy Fund III do not charge an investment management fee. Guggenheim Ultra Short Duration Fund charges an investment management fee but that fee is waived by the respective investee fund. For the one-year period ended September 30, 2021, investment in the Short Term Investment Vehicles benefited Fund performance.

Performance displayed represents past performance which is no guarantee of future results.

¹ Performance figures are based on Class A shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2021

LIMITED DURATION FUND

OBJECTIVE: Seeks to provide a high level of income consistent with preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund.

Portfolio Composition by Quality Rating1
Rating	% of Total Investments
Fixed Income Instruments
AAA	21.1%
AA	12.5%
A	17.8%
BBB	22.9%
BB	6.4%
B	4.1%
CCC	0.4%
CC	0.2%
NR2	6.8%
Other Instruments	7.8%
Total Investments	100.0%

Inception Dates:
A-Class	December 16, 2013
C-Class	December 16, 2013
P-Class	May 1, 2015
Institutional Class	December 16, 2013
R6-Class	March 13, 2019

Ten Largest Holdings (% of Total Net Assets)
iShares Core U.S. Aggregate Bond ETF	3.2%
Uniform MBS 30 Year	3.0%
State of Israel, 5.50%	1.2%
State of Israel, 0.75%	1.2%
Cerberus Onshore CLO LLC, 1.50%	1.2%
Station Place Securitization Trust Series 2021-15, 0.68% due 12/22/21	1.0%
Boeing Co., 4.88%	0.9%
OSAT Trust, 2.12%	0.9%
Shackleton CLO Ltd., 1.05%	0.8%
Czech Republic, 0.10%	0.8%
Top Ten Total	14.2%
“Ten Largest Holdings” excludes any temporary cash or derivative investments.

1

Source: BlackRock Solutions. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “NR” have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted ratings to the equivalent S&P rating. Security ratings are determined at the time of purchase and may change thereafter.

2

NR (not rated) securities do not necessarily indicate low credit quality.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) September 30, 2021

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended September 30, 2021

	1 Year	5 Year	Since Inception (12/16/13)
A-Class Shares	1.38%	2.75%	2.67%
A-Class Shares with sales charge‡	(0.90%)	2.28%	2.37%
C-Class Shares	0.67%	1.99%	1.91%
C-Class Shares with CDSC§	(0.33%)	1.99%	1.91%
Institutional Class Shares	1.67%	3.01%	2.94%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	0.29%	1.84%	1.58%

	1 Year	5 Year	Since Inception (05/01/15)
P-Class Shares	1.38%	2.75%	2.68%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	0.29%	1.84%	1.71%

	1 Year	Since Inception (03/13/19)
R6-Class Shares	1.64%	3.61%
Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index	0.29%	2.49%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg U.S. Aggregate Bond 1-3 Year Total Return Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graph is based on A-Class shares only; performance for C-Class shares, P-Class shares, Institutional Class shares and R6-Class shares will vary due to differences in fee structures
‡	Fund returns are calculated using the maximum sales charge of 2.25%.
§	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	September 30, 2021
LIMITED DURATION FUND

	Shares		Value
COMMON STOCKS† - 0.3%
Financial - 0.3%
KKR Acquisition Holdings I Corp. — Class A*,1		820,948	$	8,004,243
RXR Acquisition Corp. — Class A*,1		176,671		1,717,242
TPG Pace Beneficial II Corp.*,1		138,012		1,351,138
AfterNext HealthTech Acquisition Corp.*,1		135,000		1,344,600
MSD Acquisition Corp. — Class A*,1		136,871		1,327,649
Conyers Park III Acquisition Corp.*,1		125,300		1,254,253
Waverley Capital Acquisition Corp. *,1		99,000		976,140
Acropolis Infrastructure Acquisition Corp. — Class A*,1		86,600		838,288
TPG Pace Solutions Corp.*,1		81,407		818,140
Blue Whale Acquisition Corp. *,1		72,300		717,216
Colicity, Inc. — Class A*,1		41,581		406,246
Colicity, Inc.*,1		4,471		44,352
RXR Acquisition Corp.*,1		1,013		9,978
Total Financial				18,809,485
Communications - 0.0%
Figs, Inc. — Class A*,13		43,750		1,624,875
Total Common Stocks
(Cost $19,852,276)				20,434,360
PREFERRED STOCKS†† - 0.1%
Financial - 0.1%
American Financial Group, Inc., 4.50% due 09/15/60		102,409		2,794,742
First Republic Bank, 4.13%		69,600		1,739,304
American Equity Investment Life Holding Co., 5.95%		8,000		218,720
Total Financial				4,752,766
Total Preferred Stocks
(Cost $4,514,775)				4,752,766
WARRANTS† - 0.0%
KKR Acquisition Holdings I Corp. - Class A
Expiring 12/31/27*,1		205,236		197,006
Ginkgo Bioworks Holdings, Inc.*
Expiring 12/31/27		19,663		66,658
MSD Acquisition Corp.
Expiring 05/13/23*,1		27,374		31,480
Acropolis Infrastructure Acquisition Corp.
Expiring 03/31/26*,1		28,866		26,557
RXR Acquisition Corp.
Expiring 03/08/26*,1		35,331		26,498
Colicity, Inc. - Class A
Expiring 12/31/27*,1		8,315		6,901
Total Warrants
(Cost $337,247)				355,100
EXCHANGE-TRADED FUNDS† - 3.2%
iShares Core U.S. Aggregate Bond ETF14		1,699,117		195,109,605
Total Exchange-Traded Funds
(Cost $200,016,378)				195,109,605
MUTUAL FUNDS† - 1.5%
Guggenheim Strategy Fund III2		1,196,003		30,067,520
Guggenheim Strategy Fund II2		1,195,423		29,873,632
Guggenheim Ultra Short Duration Fund — Institutional Class2		2,932,375		29,235,779
Total Mutual Funds
(Cost $87,618,654)				89,176,931
MONEY MARKET FUND† - 2.7%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.01%3		164,194,709		164,194,709
Total Money Market Fund
(Cost $164,194,709)				164,194,709
	Face Amount~
CORPORATE BONDS†† - 33.6%
Financial - 13.1%
F&G Global Funding
0.90% due 09/20/244		42,100,000		42,015,986
1.75% due 06/30/264		14,000,000		14,070,779
Societe Generale S.A.
1.79% due 06/09/274,5		28,000,000		27,835,793
1.49% due 12/14/264,5		10,500,000		10,378,745
3.88% due 03/28/244		350,000		373,836
Wells Fargo & Co.
2.88% due 10/30/305		25,000,000		26,037,239
3.90%5,6		11,150,000		11,498,437
Athene Global Funding
1.99% due 08/19/284		15,850,000		15,623,005
1.73% due 10/02/264		14,700,000		14,685,059
American International Group, Inc.
2.50% due 06/30/25		26,630,000		27,874,455
Equitable Financial Life Global Funding
1.40% due 07/07/254		15,000,000		15,075,988
1.80% due 03/08/284		12,000,000		11,912,567
Pershing Square Holdings Ltd 3.25%due 10/01/314		25,600,000		25,557,248
GA Global Funding Trust
1.95% due 09/15/284		16,600,000		16,343,587
1.63% due 01/15/264		7,300,000		7,361,127
Reliance Standard Life Global Funding II
2.75% due 05/07/254		20,850,000		21,850,238
BNP Paribas S.A.
1.32% due 01/13/274,5		21,350,000		21,034,563
2.22% due 06/09/264,5		400,000		410,357
Citizens Bank North America/Providence RI
2.25% due 04/28/25		20,000,000		20,792,989
Bank of America Corp.
2.59% due 04/29/315		19,650,000		20,034,036
Barclays Bank plc
1.70% due 05/12/22		18,450,000		18,595,628

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Credit Agricole S.A.
1.25% due 01/26/274,5		17,950,000	$	17,689,042
1.91% due 06/16/264,5		400,000		407,466
CIT Group, Inc.
3.93% due 06/19/245		15,200,000		15,897,148
4.75% due 02/16/24		1,000,000		1,069,000
Macquarie Group Ltd.
1.63% due 09/23/274,5		16,750,000		16,660,476
Ares Finance Company LLC
4.00% due 10/08/244		14,617,000		15,563,432
Cooperatieve Rabobank UA
1.34% due 06/24/264,5		15,000,000		14,977,685
JPMorgan Chase & Co.
1.47% due 09/22/275		15,000,000		14,897,016
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
2.88% due 10/15/264		10,800,000		10,719,000
3.88% due 03/01/314		4,100,000		4,135,875
Regions Financial Corp.
2.25% due 05/18/25		14,000,000		14,544,646
CNO Global Funding
1.75% due 10/07/264		14,400,000		14,397,984
ABN AMRO Bank N.V.
1.54% due 06/16/274,5		14,000,000		13,914,811
Citigroup, Inc.
2.57% due 06/03/315		12,850,000		13,083,995
Fidelity & Guaranty Life Holdings, Inc.
5.50% due 05/01/254		11,450,000		13,005,238
American Tower Corp.
1.60% due 04/15/26		12,500,000		12,545,763
BlackRock, Inc.
1.90% due 01/28/31		12,600,000		12,485,572
Deloitte LLP
4.35% due 11/17/23†††		7,300,000		7,685,148
3.46% due 05/07/27†††		4,500,000		4,687,695
Iron Mountain, Inc.
4.88% due 09/15/274		7,360,000		7,641,005
5.00% due 07/15/284		3,085,000		3,215,496
Standard Chartered plc
1.32% due 10/14/234,5		10,150,000		10,213,459
4.25% due 01/20/234,5		500,000		505,524
Essex Portfolio, LP
1.70% due 03/01/28		10,450,000		10,239,455
Apollo Management Holdings, LP
4.40% due 05/27/264		7,115,000		8,010,057
4.00% due 05/30/244		1,846,000		1,996,025
ING Groep N.V.
1.73% due 04/01/275		9,800,000		9,851,370
BPCE S.A.
1.65% due 10/06/264,5		9,500,000		9,507,669
OneMain Finance Corp.
3.50% due 01/15/27		7,050,000		7,033,221
6.13% due 03/15/24		1,500,000		1,602,750
7.13% due 03/15/26		50,000		57,937
First American Financial Corp.
4.00% due 05/15/30		7,860,000		8,677,333
Aviation Capital Group LLC
2.88% due 01/20/224		8,000,000		8,041,803
Markel Corp.
6.00%5,6		7,210,000		7,988,680
KKR Group Finance Company VI LLC
3.75% due 07/01/294		7,040,000		7,811,755
Morgan Stanley
2.19% due 04/28/265		7,000,000		7,228,592
3.77% due 01/24/295		361,000		399,139
Goldman Sachs Group, Inc.
3.50% due 04/01/25		6,900,000		7,415,853
FS KKR Capital Corp.
2.63% due 01/15/27		7,400,000		7,414,549
SBA Communications Corp.
3.13% due 02/01/294		6,500,000		6,280,625
3.88% due 02/15/27		700,000		725,375
Belrose Funding Trust
2.33% due 08/15/304		7,100,000		6,995,990
LPL Holdings, Inc.
4.00% due 03/15/294		4,450,000		4,570,595
4.63% due 11/15/274		2,000,000		2,075,000
Fidelity National Financial, Inc.
2.45% due 03/15/31		5,500,000		5,464,090
Fifth Third Bancorp
2.55% due 05/05/27		5,060,000		5,316,447
Manulife Financial Corp.
2.48% due 05/19/27		5,030,000		5,259,452
Brighthouse Financial Global Funding
0.81% (U.S. Secured Overnight Financing Rate + 0.76%) due 04/12/244,7		5,050,000		5,085,527
Westpac Banking Corp.
0.97% (3 Month USD LIBOR + 0.85%) due 01/11/227		5,000,000		5,012,082
MetLife, Inc.
3.85%5,6		4,620,000		4,845,225
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/284		4,300,000		4,364,500
United Wholesale Mortgage LLC
5.50% due 11/15/254		3,880,000		3,909,100
5.50% due 04/15/294		275,000		266,999
Peachtree Corners Funding Trust
3.98% due 02/15/254		3,450,000		3,744,237
Bank of New York Mellon Corp.
4.70%5,6		3,010,000		3,303,475
Hunt Companies, Inc.
5.25% due 04/15/294		3,250,000		3,185,000
CNA Financial Corp.
4.50% due 03/01/26		2,298,000		2,593,513
Crown Castle International Corp.
3.30% due 07/01/30		2,188,000		2,329,835
Ameriprise Financial, Inc.
3.00% due 04/02/25		2,060,000		2,187,638
Equitable Holdings, Inc.
4.35% due 04/20/28		1,700,000		1,936,012

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Brookfield Finance, Inc.
3.90% due 01/25/28		1,400,000	$	1,551,995
Weyerhaeuser Co.
4.00% due 04/15/30		912,000		1,029,174
Trinity Acquisition plc
4.40% due 03/15/26		881,000		983,968
Newmark Group, Inc.
6.13% due 11/15/23		775,000		837,000
CNO Financial Group, Inc.
5.25% due 05/30/25		700,000		787,589
Old Republic International Corp.
3.88% due 08/26/26		700,000		774,724
Sumitomo Mitsui Financial Group, Inc.
1.27% (3 Month USD LIBOR + 1.14%) due 10/19/217		702,000		702,337
Equinix, Inc.
1.55% due 03/15/28		700,000		683,734
RenaissanceRe Finance, Inc.
3.70% due 04/01/25		400,000		430,906
Assurant, Inc.
4.90% due 03/27/28		350,000		404,791
BBVA USA
3.88% due 04/10/25		150,000		163,661
HUB International Ltd.
7.00% due 05/01/264		150,000		155,062
Greystar Real Estate Partners LLC
5.75% due 12/01/254		150,000		152,250
Total Financial				800,688,234
Industrial - 4.6%
Boeing Co.
4.88% due 05/01/25		50,000,000		55,627,783
2.20% due 02/04/26		10,450,000		10,540,788
CNH Industrial Capital LLC
1.45% due 07/15/26		12,500,000		12,439,875
1.95% due 07/02/23		9,600,000		9,812,224
1.88% due 01/15/26		4,960,000		5,024,825
Siemens Financieringsmaatschappij N.V.
0.73% (3 Month USD LIBOR + 0.61%) due 03/16/224,7		20,410,000		20,466,167
Berry Global, Inc.
1.57% due 01/15/264		11,750,000		11,746,945
4.88% due 07/15/264		5,165,000		5,423,508
Sealed Air Corp.
1.57% due 10/15/264		16,450,000		16,349,372
SYNNEX Corp.
1.25% due 08/09/244		14,400,000		14,403,699
Ryder System, Inc.
3.35% due 09/01/25		10,600,000		11,419,656
3.75% due 06/09/23		1,350,000		1,422,343
Graphic Packaging International LLC
1.51% due 04/15/264		6,500,000		6,494,134
0.82% due 04/15/244		6,250,000		6,214,986
Silgan Holdings, Inc.
1.40% due 04/01/264		12,600,000		12,398,163
Teledyne Technologies, Inc.
2.25% due 04/01/28		12,000,000		12,211,449
Vontier Corp.
1.80% due 04/01/264		7,050,000		6,999,169
2.40% due 04/01/284		3,900,000		3,840,720
Standard Industries, Inc.
5.00% due 02/15/274		6,000,000		6,187,500
4.75% due 01/15/284		2,671,000		2,771,162
Penske Truck Leasing Company LP / PTL Finance Corp.
4.45% due 01/29/264		5,475,000		6,116,553
4.20% due 04/01/274		500,000		563,372
Owens Corning
3.88% due 06/01/30		5,910,000		6,509,195
GATX Corp.
3.85% due 03/30/27		2,900,000		3,196,169
4.00% due 06/30/30		2,550,000		2,842,207
3.50% due 03/15/28		200,000		215,939
New Enterprise Stone & Lime Company, Inc.
6.25% due 03/15/264		3,811,000		3,940,574
Jabil, Inc.
1.70% due 04/15/26		3,800,000		3,818,007
Textron, Inc.
2.45% due 03/15/31		3,250,000		3,252,845
Hardwood Funding LLC
2.37% due 06/07/28†††		3,000,000		3,012,060
Weir Group plc
2.20% due 05/13/264		2,610,000		2,634,806
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/294		2,500,000		2,528,125
Huntington Ingalls Industries, Inc.
2.04% due 08/16/284		2,250,000		2,217,576
Xylem, Inc.
1.95% due 01/30/28		2,050,000		2,060,781
National Basketball Association
2.51% due 12/16/24†††		1,900,000		1,957,380
Mueller Water Products, Inc.
4.00% due 06/15/294		1,300,000		1,345,760
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/264		800,000		834,000
JELD-WEN, Inc.
6.25% due 05/15/254		535,000		564,425
Amsted Industries, Inc.
4.63% due 05/15/304		350,000		359,625
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/294		275,000		288,750
EnerSys
5.00% due 04/30/234		175,000		181,125
Harsco Corp.
5.75% due 07/31/274		125,000		129,531
Howmet Aerospace, Inc.
6.88% due 05/01/25		35,000		40,951
Total Industrial				280,404,224

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Consumer, Non-cyclical - 4.5%
Triton Container International Ltd.
1.15% due 06/07/244		26,000,000	$	25,954,168
0.80% due 08/01/234		14,550,000		14,537,278
2.05% due 04/15/264		1,800,000		1,805,085
Anthem, Inc.
1.50% due 03/15/26		29,000,000		29,231,105
Sysco Corp.
5.65% due 04/01/25		20,550,000		23,626,714
CoStar Group, Inc.
2.80% due 07/15/304		15,280,000		15,524,560
GXO Logistics, Inc.
1.65% due 07/15/264		15,000,000		14,885,250
Laboratory Corporation of America Holdings
1.55% due 06/01/26		13,700,000		13,720,895
BAT International Finance plc
1.67% due 03/25/26		13,000,000		13,001,812
Lamb Weston Holdings, Inc.
4.63% due 11/01/244		8,818,000		8,970,992
4.88% due 11/01/264		3,750,000		3,841,950
Molina Healthcare, Inc.
5.38% due 11/15/22		9,500,000		9,794,025
4.38% due 06/15/284		1,115,000		1,156,812
Prime Security Services Borrower LLC / Prime Finance, Inc.
3.38% due 08/31/274		11,200,000		10,768,800
PRA Health Sciences, Inc.
2.88% due 07/15/264		10,280,000		10,382,800
Altria Group, Inc.
2.35% due 05/06/25		8,000,000		8,291,992
Automatic Data Processing, Inc.
1.70% due 05/15/2814		7,800,000		7,881,713
Spectrum Brands, Inc.
5.75% due 07/15/25		6,780,000		6,949,500
BAT Capital Corp.
4.70% due 04/02/27		4,220,000		4,764,978
3.56% due 08/15/27		2,000,000		2,153,784
Jaguar Holding Company II / PPD Development, LP
4.63% due 06/15/254		6,400,000		6,648,000
Zimmer Biomet Holdings, Inc.
3.55% due 03/20/30		5,350,000		5,845,732
3.05% due 01/15/26		400,000		427,661
Royalty Pharma plc
1.75% due 09/02/27		5,150,000		5,124,905
Element Fleet Management Corp.
1.60% due 04/06/244		5,050,000		5,121,992
US Foods, Inc.
6.25% due 04/15/254		3,750,000		3,933,562
4.75% due 02/15/294		1,011,000		1,037,539
Thermo Fisher Scientific, Inc.
4.13% due 03/25/25		4,200,000		4,619,376
DaVita, Inc.
4.63% due 06/01/304		3,086,000		3,174,293
3.75% due 02/15/314		800,000		779,000
FAGE International S.A. / FAGE USA Dairy Industry, Inc.
5.63% due 08/15/264		3,826,000		3,933,511
Square, Inc.
2.75% due 06/01/264		2,350,000		2,382,077
Bunge Limited Finance Corp.
1.63% due 08/17/25		1,900,000		1,919,084
Hologic, Inc.
3.25% due 02/15/294		1,550,000		1,555,843
Avantor Funding, Inc.
4.63% due 07/15/284		1,050,000		1,105,177
Service Corporation International
3.38% due 08/15/30		750,000		749,063
Sabre GLBL, Inc.
7.38% due 09/01/254		250,000		266,863
9.25% due 04/15/254		225,000		260,053
Edwards Lifesciences Corp.
4.30% due 06/15/28		420,000		480,896
Smithfield Foods, Inc.
4.25% due 02/01/274		350,000		382,470
Total Consumer, Non-cyclical				276,991,310
Communications - 3.1%
ViacomCBS, Inc.
4.95% due 01/15/31		13,560,000		16,181,560
4.75% due 05/15/25		8,080,000		9,042,905
4.20% due 05/19/32		4,100,000		4,684,325
Verizon Communications, Inc.
2.10% due 03/22/28		22,600,000		22,921,711
3.00% due 03/22/27		2,100,000		2,252,722
Level 3 Financing, Inc.
5.38% due 05/01/25		11,055,000		11,293,374
3.63% due 01/15/294		5,070,000		4,916,480
5.25% due 03/15/26		3,991,000		4,118,712
4.25% due 07/01/284		2,277,000		2,294,601
3.75% due 07/15/294		2,150,000		2,077,932
NTT Finance Corp.
1.59% due 04/03/284		24,000,000		23,739,237
T-Mobile USA, Inc.
2.25% due 02/15/264		8,150,000		8,241,688
3.50% due 04/15/25		5,000,000		5,384,804
2.63% due 04/15/26		3,200,000		3,272,000
3.88% due 04/15/30		540,000		597,191
Charter Communications Operating LLC / Charter Communications Operating Capital
2.25% due 01/15/29		11,700,000		11,679,958
2.80% due 04/01/31		3,250,000		3,253,581
Cogent Communications Group, Inc.
3.50% due 05/01/264		12,350,000		12,519,812
Ziggo BV
4.88% due 01/15/304		10,800,000		11,100,240
AT&T, Inc.
2.30% due 06/01/27		9,000,000		9,310,054
Netflix, Inc.
5.50% due 02/15/22		8,400,000		8,536,080

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Altice France S.A.
7.38% due 05/01/264		2,365,000	$	2,454,184
Virgin Media Vendor Financing Notes IV DAC
5.00% due 07/15/284		1,850,000		1,910,773
Thomson Reuters Corp.
3.35% due 05/15/26		1,550,000		1,672,893
Fox Corp.
3.05% due 04/07/25		1,360,000		1,447,005
AMC Networks, Inc.
4.75% due 08/01/25		500,000		512,500
4.25% due 02/15/29		225,000		223,734
CSC Holdings LLC
4.13% due 12/01/304		250,000		245,313
3.38% due 02/15/314		225,000		209,250
TripAdvisor, Inc.
7.00% due 07/15/254		400,000		424,000
Sirius XM Radio, Inc.
5.50% due 07/01/294		75,000		81,094
Match Group Holdings II LLC
4.63% due 06/01/284		75,000		78,188
Total Communications				186,677,901
Technology - 2.5%
HCL America, Inc.
1.38% due 03/10/264		38,700,000		38,244,157
Microchip Technology, Inc.
2.67% due 09/01/23		22,900,000		23,740,742
0.98% due 09/01/244		8,750,000		8,738,076
NetApp, Inc.
2.38% due 06/22/27		17,800,000		18,559,842
Infor, Inc.
1.75% due 07/15/254		13,800,000		13,972,643
1.45% due 07/15/234		1,100,000		1,111,495
Oracle Corp.
2.30% due 03/25/28		12,400,000		12,670,669
Fidelity National Information Services, Inc.
1.65% due 03/01/28		11,000,000		10,850,950
Citrix Systems, Inc.
1.25% due 03/01/26		7,250,000		7,128,604
Broadcom, Inc.
4.15% due 11/15/30		5,790,000		6,411,728
NCR Corp.
5.13% due 04/15/294		2,850,000		2,939,062
Qorvo, Inc.
4.38% due 10/15/29		1,380,000		1,504,200
3.38% due 04/01/314		1,200,000		1,265,280
Leidos, Inc.
3.63% due 05/15/25		1,950,000		2,102,451
Twilio, Inc.
3.63% due 03/15/29		994,000		1,016,862
CDW LLC / CDW Finance Corp.
3.25% due 02/15/29		810,000		830,250
MSCI, Inc.
3.88% due 02/15/314		379,000		397,476
Boxer Parent Company, Inc.
7.13% due 10/02/254		150,000		160,125
Total Technology				151,644,612
Consumer, Cyclical - 2.3%
Hyatt Hotels Corp.
1.80% due 10/01/24		12,300,000		12,325,430
5.38% due 04/23/25		5,180,000		5,783,902
5.75% due 04/23/30		4,320,000		5,180,998
Marriott International, Inc.
4.63% due 06/15/30		7,320,000		8,354,605
5.75% due 05/01/25		6,610,000		7,556,677
2.13% due 10/03/22		2,345,000		2,372,874
Delta Air Lines, Inc.
7.00% due 05/01/254		12,550,000		14,635,663
VF Corp.
2.80% due 04/23/27		11,650,000		12,365,753
Hanesbrands, Inc.
5.38% due 05/15/254		11,633,000		12,178,355
Alt-2 Structured Trust
2.95% due 05/14/31†††,7		12,230,188		12,134,548
Delta Air Lines Inc. / SkyMiles IP Ltd.
4.50% due 10/20/254		10,000,000		10,699,556
Choice Hotels International, Inc.
3.70% due 01/15/31		7,350,000		7,925,578
BorgWarner, Inc.
2.65% due 07/01/27		5,380,000		5,667,407
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/324		5,400,000		5,319,000
4.00% due 05/01/314		300,000		304,500
American Airlines Class AA Pass Through Trust
3.35% due 10/15/29		2,931,716		2,951,402
3.00% due 10/15/28		1,792,418		1,786,414
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.
6.50% due 06/20/274		3,350,000		3,641,944
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		2,300,000		2,397,750
Air Canada
3.88% due 08/15/264		2,350,000		2,369,858
Lowe’s Companies, Inc.
1.70% due 09/15/28		1,650,000		1,633,948
Wabash National Corp.
5.50% due 10/01/254		925,000		937,858
1011778 BC ULC / New Red Finance, Inc.
5.75% due 04/15/254		700,000		734,895
Tempur Sealy International, Inc.
4.00% due 04/15/294		375,000		386,719
Aramark Services, Inc.
5.00% due 02/01/284		275,000		282,562
Powdr Corp.
6.00% due 08/01/254		125,000		131,250
Total Consumer, Cyclical				140,059,446

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Basic Materials - 1.4%
Anglo American Capital plc
2.25% due 03/17/284		14,000,000	$	13,903,898
2.63% due 09/10/304		9,370,000		9,297,110
4.00% due 09/11/274		750,000		826,161
5.38% due 04/01/254		600,000		677,551
Newcrest Finance Pty Ltd.
3.25% due 05/13/304		14,960,000		15,882,358
Valvoline, Inc.
3.63% due 06/15/314		11,161,000		11,021,488
4.25% due 02/15/304		125,000		129,600
Kaiser Aluminum Corp.
4.63% due 03/01/284		9,643,000		9,956,398
Carpenter Technology Corp.
4.45% due 03/01/23		8,405,000		8,701,719
6.38% due 07/15/28		1,145,000		1,231,379
Arconic Corp.
6.00% due 05/15/254		7,811,000		8,206,861
Nucor Corp.
2.00% due 06/01/25		5,000,000		5,145,362
Alcoa Nederland Holding BV
5.50% due 12/15/274		1,700,000		1,824,831
Steel Dynamics, Inc.
2.40% due 06/15/25		1,050,000		1,092,431
Minerals Technologies, Inc.
5.00% due 07/01/284		140,000		145,250
Total Basic Materials				88,042,397
Utilities - 1.1%
Alexander Funding Trust
1.84% due 11/15/234		19,050,000		19,414,011
CenterPoint Energy, Inc.
0.70% (U.S. Secured Overnight Financing Rate + 0.65%) due 05/13/247		10,400,000		10,421,216
OGE Energy Corp.
0.70% due 05/26/23		10,200,000		10,200,792
Entergy Corp.
1.90% due 06/15/28		9,100,000		8,996,189
Terraform Global Operating LLC
6.13% due 03/01/264		6,170,000		6,347,388
Southern Co.
1.75% due 03/15/28		5,000,000		4,940,774
AES Corp.
3.30% due 07/15/254		4,250,000		4,514,435
Puget Energy, Inc.
2.38% due 06/15/284		3,600,000		3,597,620
Total Utilities				68,432,425
Energy - 1.0%
Galaxy Pipeline Assets Bidco Ltd.
2.16% due 03/31/344		20,000,000		19,626,973
Sabine Pass Liquefaction LLC
4.50% due 05/15/30		8,330,000		9,592,049
5.63% due 03/01/25		500,000		566,961
5.00% due 03/15/27		300,000		344,732
BP Capital Markets plc
4.88%5,6		7,500,000		8,244,451
Rattler Midstream, LP
5.63% due 07/15/254		7,250,000		7,549,424
Occidental Petroleum Corp.
5.50% due 12/01/25		5,000,000		5,537,500
Valero Energy Corp.
2.15% due 09/15/27		3,100,000		3,120,067
2.85% due 04/15/25		1,750,000		1,842,497
2.70% due 04/15/23		500,000		516,081
Magellan Midstream Partners, LP
3.25% due 06/01/30		2,120,000		2,263,853
NuStar Logistics, LP
4.75% due 02/01/22		1,186,000		1,188,218
Cheniere Corpus Christi Holdings LLC
7.00% due 06/30/24		550,000		621,991
Gulfstream Natural Gas System LLC
4.60% due 09/15/254		400,000		443,270
Parkland Corp.
5.88% due 07/15/274		80,000		84,800
Total Energy				61,542,867
Total Corporate Bonds
(Cost $2,015,702,957)				2,054,483,416
ASSET-BACKED SECURITIES†† - 31.1%
Collateralized Loan Obligations - 20.1%
Shackleton CLO Ltd.
2017-8A, 1.05% (3 Month USD LIBOR + 0.92%, Rate Floor: 0.00%) due 10/20/274,7		51,331,785		51,319,471
2018-6RA, 1.15% (3 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 07/17/284,7		28,548,087		28,534,558
Cerberus Onshore CLO LLC
2021-4A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 08/13/334,7		74,300,000		74,299,889
THL Credit Lake Shore MM CLO I Ltd.
2021-1A, 1.83% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/334,7		48,500,000		48,576,630
2021-1A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 04/15/334,7		6,250,000		6,274,486
BXMT Ltd.
2020-FL2, 0.99% (30 Day Average U.S. Secured Overnight Financing Rate + 1.01%, Rate Floor: 0.90%) due 02/15/384,7		25,122,000		25,090,439
2020-FL2, 1.24% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 02/15/384,7		14,310,000		14,278,811
2020-FL3, 1.92% (30 Day Average U.S. Secured Overnight Financing Rate + 1.86%, Rate Floor: 1.75%) due 03/15/374,7		4,500,000		4,497,956

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
2020-FL3, 2.32% (30 Day Average U.S. Secured Overnight Financing Rate + 2.26%, Rate Floor: 2.15%) due 03/15/374,7		2,000,000	$	2,005,136
2020-FL2, 1.49% (30 Day Average U.S. Secured Overnight Financing Rate + 1.51%, Rate Floor: 1.40%) due 02/15/384,7		2,000,000		1,995,403
Palmer Square Loan Funding Ltd.
2021-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 04/20/294,7		18,461,195		18,470,717
2018-4A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 11/15/264,7		8,277,916		8,279,103
2021-3A, 1.92% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/20/294,7		5,000,000		4,999,902
2021-2A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 05/20/294,7		4,000,000		3,961,728
2018-4A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 11/15/264,7		3,500,000		3,501,790
2019-3A, 0.98% (3 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 08/20/274,7		2,781,040		2,781,280
Golub Capital Partners Clo 49M Ltd.
2021-49A, 1.63% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/26/334,7		36,500,000		36,475,027
CHCP Ltd.
2021-FL1, 1.22% (30 Day Average U.S. Secured Overnight Financing Rate + 1.16%, Rate Floor: 1.05%) due 02/15/384,7		34,750,000		34,721,074
Diamond CLO Ltd.
2021-1A, 1.33% (3 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 04/25/294,7		28,632,252		28,639,413
2018-1A, 1.64% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 07/22/304,7		6,000,000		5,994,027
LCM XXIV Ltd.
2021-24A, 1.11% (3 Month USD LIBOR + 0.98%, Rate Floor: 0.98%) due 03/20/304,7		31,250,000		31,265,628
Golub Capital Partners CLO 54M L.P
2021-54A, 1.65% (3 Month USD LIBOR + 1.53%, Rate Floor: 1.53%) due 08/05/334,7		29,000,000		29,001,949
Parliament Clo II Ltd.
2021-2A, 1.84% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 08/20/324,7		22,250,000		22,221,153
2021-2A, 1.50% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/20/324,7		5,250,000		5,245,841
2021-2A, 2.70% (3 Month USD LIBOR + 2.55%, Rate Floor: 2.55%) due 08/20/324,7		500,000		498,674
Owl Rock CLO IV Ltd.
2021-4A, 1.74% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 08/20/334,7		24,250,000		24,274,158
2021-4A, 2.04% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/20/334,7		3,650,000		3,636,280
Golub Capital Partners CLO 16 Ltd.
2021-16A, 1.70% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/334,7		27,650,000		27,691,754
Golub Capital Partners CLO Ltd.
2018-36A, 1.42% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/314,7		27,500,000		27,348,084
ABPCI DIRECT LENDING FUND CLO V Ltd.
2021-5A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/314,7		15,500,000		15,460,929
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/314,7		11,500,000		11,481,656
HERA Commercial Mortgage Ltd.
2021-FL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 02/18/384,7		22,750,000		22,695,170
2021-FL1, 1.69% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/384,7		3,750,000		3,738,958
Cerberus Loan Funding XXVI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/314,7		23,000,000		22,999,945
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/314,7		3,250,000		3,252,178
LoanCore Issuer Ltd.
2019-CRE2, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/364,7		8,550,000		8,525,960
2021-CRE4, 1.42% (30 Day Average U.S. Secured Overnight Financing Rate + 1.36%, Rate Floor: 1.25%) due 07/15/354,7		7,500,000		7,435,122
2018-CRE1, 1.21% (1 Month USD LIBOR + 1.13%, Rate Floor: 1.13%) due 05/15/284,7		4,056,267		4,054,841
2018-CRE1, 1.58% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/284,7		3,500,000		3,498,787

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Cerberus Loan Funding XXXI, LP
2021-1A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/324,7		13,500,000	$	13,502,674
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/15/324,7		9,600,000		9,605,178
Golub Capital Partners CLO 33M Ltd.
2021-33A, 1.98% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/334,7		23,000,000		22,998,825
Madison Park Funding XLVIII Ltd.
2021-48A, 1.58% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/19/334,7		22,000,000		21,748,393
MidOcean Credit CLO VII
2020-7A, 1.17% (3 Month USD LIBOR + 1.04%, Rate Floor: 0.00%) due 07/15/294,7		20,500,000		20,506,351
Dryden 33 Senior Loan Fund
2020-33A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 04/15/294,7		10,613,479		10,611,684
2020-33A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/294,7		8,250,000		8,234,313
Cerberus Loan Funding XXXII, LP
2021-2A, 1.75% (3 Month USD LIBOR + 1.62%, Rate Floor: 1.62%) due 04/22/334,7		14,250,000		14,280,910
2021-2A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/22/334,7		4,000,000		4,003,613
Cerberus Loan Funding XXX, LP
2020-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/334,7		18,000,000		18,083,912
ABPCI Direct Lending Fund CLO II LLC
2021-1A, 1.73% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/324,7		15,250,000		15,230,600
2021-1A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 04/20/324,7		2,250,000		2,254,976
2021-1A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 04/20/324,7		300,000		300,960
BRSP 2021-FL1 Ltd.
2021-FL1, 2.24% (1 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 08/19/384,7		10,000,000		10,004,452
2021-FL1, 1.99% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 08/19/384,7		6,400,000		6,405,734
Woodmont Trust
2020-7A, 2.03% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/324,7		16,250,000		16,341,414
ABPCI Direct Lending Fund IX LLC
2020-9A, 2.08% (3 Month USD LIBOR + 1.95%, Rate Floor: 1.95%) due 11/18/314,7		15,000,000		15,045,088
Venture XIV CLO Ltd.
2020-14A, 1.15% (3 Month USD LIBOR + 1.03%, Rate Floor: 1.03%) due 08/28/294,7		15,000,000		15,001,289
Fortress Credit Opportunities IX CLO Ltd.
2021-9A due 10/15/334,7		11,500,000		11,500,000
2017-9A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 0.00%) due 11/15/294,7		2,982,000		2,982,000
AMMC CLO XI Ltd.
2020-11A, 1.83% due 04/30/314		14,300,000		14,279,674
Cerberus Loan Funding XXXIII, LP
2021-3A, 1.69% (3 Month USD LIBOR + 1.56%, Rate Floor: 1.56%) due 07/23/334,7		11,500,000		11,514,200
2021-3A, 1.98% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/334,7		2,000,000		1,999,994
Fortress Credit Opportunities XI CLO Ltd.
2018-11A, 1.30% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/314,7		13,450,000		13,346,178
GPMT Ltd.
2019-FL2, 1.38% (1 Month USD LIBOR + 1.30%, Rate Floor: 1.30%) due 02/22/364,7		12,693,158		12,686,361
Parliament Funding II Ltd.
2020-1A, 2.58% (3 Month USD LIBOR + 2.45%, Rate Floor: 2.45%) due 08/12/304,7		12,500,000		12,546,572
ABPCI Direct Lending Fund CLO I LLC
2021-1A, 1.88% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/334,7		12,250,000		12,272,431
ACRES Commercial Realty Ltd.
2021-FL1, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 06/15/364,7		11,200,000		11,087,876
Neuberger Berman CLO XVI-S Ltd.
2021-16SA, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/15/344,7		10,200,000		10,055,347
KREF
2021-FL2, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 02/15/394,7		10,000,000		10,004,347

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Allegro CLO IX Ltd.
2018-3A, 1.29% (3 Month USD LIBOR + 1.17%, Rate Floor: 1.17%) due 10/16/314,7		10,000,000	$	10,000,145
Recette CLO Ltd.
2021-1A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 0.00%) due 04/20/344,7		10,000,000		9,854,247
Marathon CLO V Ltd.
2017-5A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 11/21/274,7		9,221,688		9,215,496
610 Funding CLO 3 Ltd.
2018-3A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 0.00%) due 07/17/284,7		9,136,694		9,137,066
Cerberus Loan Funding XXXV, LP
2021-5A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/22/334,7		8,000,000		8,000,000
GoldenTree Loan Management US CLO 1 Ltd.
2021-9A, 1.63% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/20/334,7		7,000,000		6,979,148
2021-9A, 1.93% (3 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 01/20/334,7		1,000,000		993,620
LoanCore 2021-CRE5 Issuer Ltd.
2021-CRE5, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/15/364,7		7,900,000		7,907,054
BDS 2021-FL8
2021-FL8, 2.00% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/18/364,7		7,000,000		7,002,624
KREF Funding V LLC
1.84% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/25/26†††,7		7,048,133		6,976,947
0.15% due 06/25/26†††,8		27,272,727		33,546
NewStar Fairfield Fund CLO Ltd.
2018-2A, 1.40% (3 Month USD LIBOR + 1.27%, Rate Floor: 1.27%) due 04/20/304,7		6,529,571		6,477,478
BSPRT Issuer Ltd.
2021-FL6, 2.13% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 03/15/364,7		5,000,000		4,999,996
2018-FL4, 1.13% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 09/15/354,7		1,447,092		1,444,958
LCCM 2021-FL2 Trust
2021-FL2, 1.98% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 12/13/384,7		6,000,000		6,002,320
MF1 Multifamily Housing Mortgage Loan Trust
2021-FL6, 1.74% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/16/364,7		6,000,000		5,956,105
Neuberger Berman Loan Advisers CLO 40 Ltd.
2021-40A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/16/334,7		6,000,000		5,947,629
CIFC Funding Ltd.
2021-4A, 1.38% (3 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 04/20/344,7		5,000,000		5,007,362
Owl Rock CLO II Ltd.
2021-2A, 1.68% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 04/20/334,7		5,000,000		4,988,598
ACRES Commercial Realty Ltd.
2021-FL1, 2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 06/15/364,7		4,800,000		4,751,864
Carlyle Global Market Strategies CLO Ltd.
2018-4A, 1.13% (3 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 01/15/314,7		4,681,009		4,679,791
PFP Ltd.
2021-7, 1.50% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 04/14/384,7		4,599,770		4,588,136
VOYA CLO
2021-2A, 2.28% (3 Month USD LIBOR + 2.15%, Rate Floor: 2.15%) due 06/07/304,7		4,500,000		4,500,412
ACRE Commercial Mortgage Ltd.
2021-FL4, 1.19% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 12/18/374,7		4,500,000		4,488,779
Halcyon Loan Advisors Funding Ltd.
2017-3A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/274,7		4,220,586		4,220,111
PFP Ltd.
2021-7, 2.50% (1 Month USD LIBOR + 2.40%, Rate Floor: 2.40%) due 04/14/384,7		4,104,795		4,110,032
Avery Point VI CLO Ltd.
2021-6A, 1.47% (3 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 08/05/274,7		4,000,000		3,995,998
Neuberger Berman Loan Advisers CLO 32 Ltd.
2021-32A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/20/324,7		4,000,000		3,995,861

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Magnetite XXIX Ltd.
2021-29A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 01/15/344,7		4,000,000	$	3,988,411
Owl Rock CLO VI Ltd.
2021-6A, 1.87% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/21/324,7		3,500,000		3,489,712
FS RIALTO
2021-FL2, 2.14% (1 Month USD LIBOR + 2.05%, Rate Floor: 2.05%) due 04/16/284,7		3,250,000		3,251,437
AMMC CLO XIV Ltd.
2021-14A, 1.53% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 07/25/294,7		3,250,000		3,249,836
STWD Ltd.
2019-FL1, 2.03% (30 Day Average U.S. Secured Overnight Financing Rate + 2.06%, Rate Floor: 1.95%) due 07/15/384,7		3,200,000		3,202,216
Golub Capital Partners CLO 17 Ltd.
2017-17A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/304,7		2,500,000		2,500,342
TRTX Issuer Ltd.
2019-FL3, 1.23% (30 Day Average U.S. Secured Overnight Financing Rate + 1.26%, Rate Floor: 1.15%) due 10/15/344,7		2,243,000		2,241,942
Greystone Commercial Real Estate Notes
2021-FL3, 1.73% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 07/15/394,7		2,200,000		2,199,008
STWD Ltd.
2021-FL2, 1.88% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 04/18/384,7		2,187,000		2,185,277
HGI CRE CLO Ltd.
2021-FL2, 1.85% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 09/19/264,7		2,000,000		2,000,000
Wind River CLO Ltd.
2017-2A, 1.00% (3 Month USD LIBOR + 0.87%, Rate Floor: 0.00%) due 10/15/274,7		1,832,777		1,832,616
Marathon CLO VII Ltd.
2017-7A, 1.78% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/28/254,7		1,576,808		1,576,706
BDS Ltd.
2020-FL5, 1.97% (30 Day Average U.S. Secured Overnight Financing Rate + 1.91%, Rate Floor: 1.80%) due 02/16/374,7		1,400,000		1,399,330
Newfleet CLO Ltd.
2018-1A, 1.08% (3 Month USD LIBOR + 0.95%, Rate Floor: 0.00%) due 04/20/284,7		1,395,932		1,395,066
Dryden 37 Senior Loan Fund
2015-37A, due 01/15/314,9		1,500,000		1,270,386
Northwoods Capital XII-B Ltd.
2018-12BA, 0.87% (3 Month USD LIBOR + 0.75%, Rate Floor: 0.75%) due 06/15/314,7		1,093,750		1,091,812
Treman Park CLO Ltd.
2015-1A, due 10/20/284,9		1,000,000		816,507
Oaktree CLO Ltd.
2017-1A, 1.00% (3 Month USD LIBOR + 0.87%) due 10/20/274,7		791,504		791,445
KVK CLO Ltd.
2017-1A, 1.03% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 01/14/284,7		703,197		703,197
TCP Waterman CLO Ltd.
2016-1A, 2.17% (3 Month USD LIBOR + 2.05%, Rate Floor: 0.00%) due 12/15/284,7		663,174		663,174
Newstar Commercial Loan Funding LLC
2017-1A, 2.62% (3 Month USD LIBOR + 2.50%, Rate Floor: 0.00%) due 03/20/274,7		540,918		541,012
Mountain View CLO Ltd.
2018-1A, 0.93% (3 Month USD LIBOR + 0.80%, Rate Floor: 0.80%) due 10/15/264,7		390,138		390,089
LCM XXII Ltd.
2018-22A, 0.73% (3 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 10/20/284,7		90,278		90,268
Copper River CLO Ltd.
2007-1A, due 01/20/219,10		500,000		17,115
OHA Credit Partners IX Ltd.
2013-9A, due 10/20/254,9		301,370		338
Total Collateralized Loan Obligations				1,224,601,818
Financial - 3.4%
Station Place Securitization Trust
2020-16, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/22/21†††,4,7		30,000,000		30,000,000
2021-9, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 06/20/22†††,4,7		29,450,000		29,450,000
2021-3, 0.98% (1 Month USD LIBOR + 0.90%, Rate Floor: 0.90%) due 02/16/22†††,4,7		10,300,000		10,300,000
2021-SP1, 1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/17/22†††,4,7		3,000,000		3,000,000

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
2021-WL2, 1.34% (1 Month USD LIBOR + 1.25%, Rate Floor: 1.25%) due 03/25/54†††,4,7		2,000,000	$	2,000,000
2021-WL1, 0.94% (1 Month USD LIBOR + 0.85%, Rate Floor: 0.85%) due 01/26/54†††,4,7		1,650,000		1,650,000
2021-WL1, 1.14% (1 Month USD LIBOR + 1.05%, Rate Floor: 1.05%) due 01/26/54†††,4,7		1,250,000		1,250,000
2021-15, 0.68% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 09/26/224,7		61,500,000		61,500,000
Strategic Partners Fund VIII LP
2.59% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/10/25†††,7		23,500,000		23,500,470
3.09% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/10/25†††,7		4,000,000		4,000,360
HV Eight LLC
2.90% (3 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 12/28/25†††,7	EUR	21,000,000		24,294,265
Madison Avenue Secured Funding Trust Series
2020-1, 1.71% (1 Month USD LIBOR + 1.63%, Rate Floor: 0.00%) due 12/13/21†††,4,7		8,000,000		8,000,000
Ceamer Finance LLC
3.69% due 03/22/31†††		4,500,000		4,417,560
KKR Core Holding Company LLC
4.00% due 07/15/31†††		3,650,000		3,600,725
Aesf Vi Verdi, LP
2.15% (3 Month EURIBOR + 2.15%, Rate Floor: 2.15%) due 11/25/24†††,7	EUR	2,163,556		2,505,134
Total Financial				209,468,514
Transport-Container - 1.9%
Triton Container Finance VIII LLC
2021-1A, 1.86% due 03/20/464		38,778,750		38,406,749
CLI Funding VI LLC
2020-3A, 2.07% due 10/18/454		16,783,333		16,867,062
2020-1A, 2.08% due 09/18/454		1,780,000		1,789,502
CLI Funding VIII LLC
2021-1A, 1.64% due 02/18/464		17,660,268		17,404,892
TIF Funding II LLC
2021-1A, 1.65% due 02/20/464		17,354,500		16,968,085
Textainer Marine Containers VII Ltd.
2021-1A, 1.68% due 02/20/464		10,772,667		10,601,678
2020-1A, 2.73% due 08/21/454		5,148,050		5,216,635
Textainer Marine Containers VIII Ltd.
2020-2A, 2.10% due 09/20/454		4,525,663		4,563,875
CAL Funding IV Ltd.
2020-1A, 2.22% due 09/25/454		3,431,250		3,458,276
Total Transport-Container				115,276,754
Net Lease - 1.5%
Oak Street Investment Grade Net Lease Fund Series
2020-1A, 1.85% due 11/20/504		40,157,800		40,477,994
Capital Automotive LLC
2017-1A, 3.87% due 04/15/474		15,279,091		15,316,831
STORE Master Funding I LLC
2015-1A, 4.17% due 04/20/454		10,356,708		10,788,300
STORE Master Funding LLC
2021-1A, 2.86% due 06/20/514		6,941,313		6,977,184
CF Hippolyta LLC
2021-1A, 1.98% due 03/15/614		6,064,264		6,077,416
CMFT Net Lease Master Issuer LLC
2021-1, 2.91% due 07/20/514		3,000,000		2,995,542
2021-1, 2.51% due 07/20/514		2,500,000		2,487,827
CARS-DB4, LP
2020-1A, 3.19% due 02/15/504		3,990,833		4,079,822
2020-1A, 3.25% due 02/15/504		907,021		951,784
Capital Automotive REIT
2020-1A, 3.48% due 02/15/504		1,995,417		2,052,801
Total Net Lease				92,205,501
Whole Business - 1.4%
Applebee’s Funding LLC / IHOP Funding LLC
2019-1A, 4.19% due 06/07/494		25,389,540		25,832,080
Taco Bell Funding LLC
2021-1A, 1.95% due 08/25/514		18,750,000		18,729,169
SERVPRO Master Issuer LLC
2019-1A, 3.88% due 10/25/494		6,140,625		6,399,059
2021-1A, 2.39% due 04/25/514		5,985,000		6,009,586
ServiceMaster Funding LLC
2020-1, 2.84% due 01/30/514		9,203,750		9,363,536
Wingstop Funding LLC
2020-1A, 2.84% due 12/05/504		7,820,700		8,041,111
Arbys Funding LLC
2020-1A, 3.24% due 07/30/504		7,177,500		7,440,699
Domino’s Pizza Master Issuer LLC
2019-1A, 3.67% due 10/25/494		1,723,750		1,850,984
Total Whole Business				83,666,224
Transport-Aircraft - 1.3%
AASET US Ltd.
2018-2A, 4.45% due 11/18/384		15,581,927		15,134,760
Sapphire Aviation Finance I Ltd.
2018-1A, 4.25% due 03/15/404		10,097,914		9,970,482
KDAC Aviation Finance Ltd.
2017-1A, 4.21% due 12/15/424		9,356,679		9,321,580
Castlelake Aircraft Securitization Trust
2018-1, 4.13% due 06/15/434		8,016,896		7,994,902
MAPS Ltd.
2018-1A, 4.21% due 05/15/434		7,182,656		7,242,455
Castlelake Aircraft Structured Trust
2021-1A, 3.47% due 01/15/464		6,981,126		7,210,660
Sapphire Aviation Finance II Ltd.
2020-1A, 3.23% due 03/15/404		6,985,044		6,925,900
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/404		4,605,630		3,910,640
Falcon Aerospace Ltd.
2019-1, 3.60% due 09/15/394		2,676,843		2,653,610
2017-1, 4.58% due 02/15/424		1,099,706		1,095,673

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Raspro Trust
2005-1A, 0.93% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/244,7		3,278,415	$	3,278,412
AASET Trust
2017-1A, 3.97% due 05/16/424		3,469,248		3,181,107
Total Transport-Aircraft				77,920,181
Collateralized Debt Obligations - 0.8%
Anchorage Credit Funding 4 Ltd.
2021-4A, 2.72% due 04/27/394		24,650,000		24,653,476
Anchorage Credit Funding Ltd.
2021-13A, 2.88% due 07/27/394		8,500,000		8,501,591
2021-13A, 3.15% due 07/27/394		8,050,000		8,043,929
Anchorage Credit Funding 3 Ltd.
2021-3A, 2.87% due 01/28/394		9,750,000		9,750,306
Total Collateralized Debt Obligations				50,949,302
Infrastructure - 0.6%
VB-S1 Issuer LLC
2020-1A, 3.03% due 06/15/504		31,500,000		32,829,618
Secured Tenant Site Contract Revenue Notes Series
2018-1A, 3.97% due 06/15/484		7,051,311		7,181,500
Total Infrastructure				40,011,118
Single Family Residence - 0.1%
FirstKey Homes Trust
2021-SFR1, 2.19% due 08/17/384		4,000,000		3,981,629
Total Asset-Backed Securities
(Cost $1,897,721,560)				1,898,081,041
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 18.7%
Residential Mortgage Backed Securities - 13.4%
CSMC Trust
2021-RPL1, 1.67% (WAC) due 09/27/604,7		39,385,120		39,491,042
2020-RPL5, 3.02% (WAC) due 08/25/604,7		16,643,715		16,871,597
2021-RPL4, 1.80% (WAC) due 12/27/604,7		9,957,763		9,989,013
2018-RPL9, 3.85% (WAC) due 09/25/574,7		8,246,970		8,555,470
2020-NQM1, 1.41% due 05/25/654,11		4,852,640		4,868,665
OSAT Trust
2021-RPL1, 2.12% due 05/25/654,11		53,649,438		53,645,044
NYMT Loan Trust 2021-SP1
2021-SP1, 1.67% due 08/25/614,11		45,642,503		45,569,808
NRZ Advance Receivables Trust
2020-T2, 1.48% due 09/15/534		28,950,000		28,983,009
2020-T3, 1.32% due 10/15/524		12,450,000		12,459,285
Legacy Mortgage Asset Trust
2021-GS3, 1.75% due 07/25/614,11		26,311,974		26,333,337
2021-GS2, 1.75% due 04/25/614,11		10,183,482		10,193,361
Ocwen Master Advance Receivables Trust
2020-T1, 1.28% due 08/15/524		33,150,000		33,133,011
BRAVO Residential Funding Trust 2021-C
2021-C, 1.62% due 03/01/614,11		30,000,000		29,986,572
Towd Point Mortgage Trust
2017-6, 2.75% (WAC) due 10/25/574,7		13,486,663		13,747,418
2018-2, 3.25% (WAC) due 03/25/584,7		7,321,962		7,518,983
2017-5, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.00%) due 02/25/574,7		5,676,978		5,676,934
2018-1, 3.00% (WAC) due 01/25/584,7		1,033,584		1,054,675
PRPM LLC
2021-5, 1.79% due 06/25/264,11		27,028,896		27,052,195
New Residential Advance Receivables Trust Advance Receivables Backed Notes
2020-T1, 1.43% due 08/15/534		15,750,000		15,737,274
2020-APT1, 1.04% due 12/16/524		10,900,000		10,897,218
FKRT
2.21% due 11/30/58		25,700,000		25,706,939
Verus Securitization Trust
2020-5, 1.58% due 05/25/654,11		10,491,873		10,538,045
2021-3, 1.44% (WAC) due 06/25/664,7		6,458,920		6,451,265
2019-4, 2.64% due 11/25/594,11		4,798,080		4,867,825
2020-1, 2.42% due 01/25/604,11		2,964,912		3,000,284
Legacy Mortgage Asset Trust
2021-GS4, 1.65% due 11/25/604,11		23,565,671		23,533,264
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/267,10		11,467,486		11,502,405
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/267,10		7,147,585		7,150,523
Soundview Home Loan Trust
2006-OPT5, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367		13,778,102		13,578,883
2005-OPT3, 0.79% (1 Month USD LIBOR + 0.71%, Rate Floor: 0.71%) due 11/25/357		3,197,612		3,199,697
2006-1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 02/25/367		1,855,339		1,855,548
CSMC Trust
2021-RPL7, 1.93% due 06/27/614		16,800,000		16,807,056
BRAVO Residential Funding Trust
2021-HE2, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 11/25/694,7		4,730,744		4,730,743
2019-NQM1, 2.67% (WAC) due 07/25/594,7		3,975,939		3,992,235
2021-HE1, 1.00% (30 Day Average U.S. Secured Overnight Financing Rate + 0.95%, Rate Floor: 0.00%) due 01/25/704,7		3,912,481		3,909,700
2021-HE1, 0.90% (30 Day Average U.S. Secured Overnight Financing Rate + 0.85%, Rate Floor: 0.00%) due 01/25/704,7		2,937,680		2,937,680
2019-NQM2, 2.75% (WAC) due 11/25/594,7		1,105,969		1,112,838
New Residential Mortgage Loan Trust
2018-2A, 3.50% (WAC) due 02/25/584,7		9,252,070		9,616,360
2018-1A, 4.00% (WAC) due 12/25/574,7		2,675,351		2,854,831
2019-6A, 3.50% (WAC) due 09/25/594,7		1,988,669		2,091,712

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
2017-5A, 1.59% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 06/25/574,7		888,024	$	893,541
FKRT
2020-C2A, 3.25% due 12/30/23†††,10		15,055,608		15,055,608
PRPM 2021-8 LLC
2021-8, 1.74% (WAC) due 09/25/264,7		15,000,000		14,981,180
Home Equity Loan Trust
2007-FRE1, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/377		14,811,221		14,153,194
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/687,10		8,450,587		8,767,568
2019-RM3, 2.80% (WAC) due 06/25/697,10		2,744,136		2,783,216
Structured Asset Securities Corporation Mortgage Loan Trust
2008-BC4, 0.72% (1 Month USD LIBOR + 0.63%, Rate Floor: 0.63%) due 11/25/377		9,131,631		9,115,864
2006-BC4, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 12/25/367		979,699		969,289
2007-BC1, 0.22% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 02/25/377		127,583		126,031
ZH Trust
2021-2, 2.35% due 10/17/274		10,000,000		9,994,200
NovaStar Mortgage Funding Trust Series
2007-2, 0.29% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/377		9,662,667		9,518,868
Verus Securitization Trust 2021-4
2021-4, 1.35% (WAC) due 07/25/664,7		9,224,300		9,219,045
Verus Securitization Trust 2021-5
2021-5, 1.37% (WAC) due 09/25/664,7		8,700,000		8,695,734
Alternative Loan Trust
2007-OA7, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 05/25/477		6,011,013		5,759,561
2007-OH3, 0.38% (1 Month USD LIBOR + 0.29%, Rate Cap/Floor: 10.00%/0.29%) due 09/25/477		2,597,655		2,499,446
Banc of America Funding Trust
2015-R2, 0.35% (1 Month USD LIBOR + 0.26%, Rate Floor: 0.26%) due 04/29/374,7		7,477,745		7,360,213
CFMT LLC
2021-HB5, 1.37% (WAC) due 02/25/314,7		6,950,000		6,937,191
American Home Mortgage Investment Trust
2006-3, 0.45% (1 Month USD LIBOR + 0.36%, Rate Cap/Floor: 10.50%/0.36%) due 12/25/467		6,794,368		6,589,020
CIT Mortgage Loan Trust
2007-1, 1.44% (1 Month USD LIBOR + 1.35%, Rate Floor: 1.35%) due 10/25/374,7		5,951,113		6,001,295
2007-1, 1.54% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 10/25/374,7		213,450		214,595
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 10/25/357		5,774,936		5,777,036
Bear Stearns Asset Backed Securities I Trust
2006-HE9, 0.28% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.28%) due 11/25/367		5,582,402		5,502,798
GS Mortgage-Backed Securities Trust
2020-NQM1, 1.38% (WAC) due 09/27/604,7		5,186,021		5,196,786
Morgan Stanley ABS Capital I Incorporated Trust
2007-HE3, 0.34% (1 Month USD LIBOR + 0.25%, Rate Floor: 0.25%) due 12/25/367		2,639,511		1,770,805
2007-HE3, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 12/25/367		1,890,945		1,255,644
2007-HE5, 0.27% (1 Month USD LIBOR + 0.18%, Rate Floor: 0.18%) due 03/25/377		1,821,030		1,041,492
2006-NC1, 0.66% (1 Month USD LIBOR + 0.57%, Rate Floor: 0.57%) due 12/25/357		963,157		963,645
Ameriquest Mortgage Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-R10, 0.73% (1 Month USD LIBOR + 0.65%, Rate Floor: 0.65%) due 01/25/367		4,663,162		4,660,057
Securitized Asset Backed Receivables LLC Trust
2007-HE1, 0.20% (1 Month USD LIBOR + 0.11%, Rate Floor: 0.11%) due 12/25/367		13,686,397		4,485,792
HarborView Mortgage Loan Trust
2006-14, 0.24% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/477		2,535,863		2,409,282
2006-12, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 01/19/387		2,128,269		2,059,414
Park Place Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-WHQ3, 1.03% (1 Month USD LIBOR + 0.95%, Rate Floor: 0.95%) due 06/25/357		4,388,106		4,409,200
BRAVO Residential Funding Trust
2021-HE2, 1.10% (30 Day Average U.S. Secured Overnight Financing Rate + 1.05%, Rate Floor: 0.00%) due 11/25/694,7		4,344,117		4,344,117
Morgan Stanley Home Equity Loan Trust
2006-2, 0.65% (1 Month USD LIBOR + 0.56%, Rate Floor: 0.56%) due 02/25/367		4,078,383		4,061,924

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
ZH Trust
2021-1, 2.25% due 02/18/274		4,000,000	$	4,004,404
First NLC Trust
2005-4, 0.87% (1 Month USD LIBOR + 0.78%, Rate Cap/Floor: 14.00%/0.78%) due 02/25/367		3,918,478		3,902,567
Starwood Mortgage Residential Trust
2020-1, 2.28% (WAC) due 02/25/504,7		3,778,846		3,811,304
SPS Servicer Advance Receivables Trust
2020-T2, 1.83% due 11/15/554		3,750,000		3,779,169
IXIS Real Estate Capital Trust
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367		5,424,258		3,602,687
Countrywide Asset-Backed Certificates
2006-6, 0.43% (1 Month USD LIBOR + 0.34%, Rate Floor: 0.34%) due 09/25/367		2,855,992		2,847,252
2006-5, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 08/25/367		648,794		645,306
Asset-Backed Securities Corporation Home Equity Loan Trust Series AEG
2006-HE1, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 01/25/367		3,350,000		3,322,247
Ellington Financial Mortgage Trust
2021-2, 1.67% (WAC) due 06/25/664,7		3,190,206		3,192,730
Structured Asset Investment Loan Trust
2006-3, 0.39% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 06/25/367		2,785,401		2,749,991
2005-2, 0.82% (1 Month USD LIBOR + 0.74%, Rate Floor: 0.74%) due 03/25/357		227,143		226,841
2005-1, 0.81% (1 Month USD LIBOR + 0.72%, Rate Floor: 0.72%) due 02/25/354,7		52,710		52,742
Residential Mortgage Loan Trust
2020-1, 2.38% (WAC) due 02/25/244,7		2,917,170		2,937,367
Nationstar Home Equity Loan Trust
2007-B, 0.31% (1 Month USD LIBOR + 0.22%, Rate Floor: 0.22%) due 04/25/377		2,924,362		2,915,577
Finance of America HECM Buyout
2021-HB1, 1.59% (WAC) due 02/25/314,7		2,850,000		2,845,695
Ellington Financial Mortgage Trust
2020-2, 1.64% (WAC) due 10/25/654,7		2,544,076		2,552,539
Citigroup Mortgage Loan Trust
2019-IMC1, 2.72% (WAC) due 07/25/494,7		1,477,160		1,489,175
2007-WFH2, 0.69% (1 Month USD LIBOR + 0.40%, Rate Floor: 0.40%) due 03/25/377		1,019,088		1,017,699
FBR Securitization Trust
2005-2, 0.84% (1 Month USD LIBOR + 0.75%, Rate Cap/Floor: 14.00%/0.75%) due 09/25/357		2,335,146		2,335,988
Credit-Based Asset Servicing and Securitization LLC
2006-CB2, 0.47% (1 Month USD LIBOR + 0.38%, Rate Floor: 0.38%) due 12/25/367		2,361,162		2,322,554
MFRA Trust
2021-INV1, 1.26% (WAC) due 01/25/564,7		2,236,784		2,236,935
GSAA Home Equity Trust
2006-3, 0.69% (1 Month USD LIBOR + 0.60%, Rate Floor: 0.60%) due 03/25/367		2,754,652		1,833,864
ACE Securities Corporation Home Equity Loan Trust Series
2005-HE2, 1.11% (1 Month USD LIBOR + 1.02%, Rate Floor: 1.02%) due 04/25/357		1,666,365		1,670,351
CSMC Series
2015-12R, 0.59% (WAC) due 11/30/374,7		1,435,488		1,434,141
2014-2R, 0.29% (1 Month USD LIBOR + 0.20%, Rate Floor: 0.20%) due 02/27/464,7		116,835		115,542
COLT Mortgage Loan Trust
2021-2, 2.38% (WAC) due 08/25/664,7		1,500,000		1,491,669
Lehman XS Trust Series
2006-16N, 0.28% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 11/25/467		1,539,919		1,485,815
Homeward Opportunities Fund I Trust
2019-3, 2.68% (WAC) due 11/25/594,7		1,241,307		1,248,874
JP Morgan Mortgage Acquisition Trust
2006-HE2, 0.23% (1 Month USD LIBOR + 0.14%, Rate Floor: 0.14%) due 07/25/367		1,239,762		1,236,438
Morgan Stanley Capital I Incorporated Trust
2006-HE1, 0.67% (1 Month USD LIBOR + 0.58%, Rate Floor: 0.58%) due 01/25/367		1,075,568		1,065,852
Long Beach Mortgage Loan Trust
2006-8, 0.41% (1 Month USD LIBOR + 0.32%, Rate Floor: 0.32%) due 09/25/367		2,544,150		993,459
First Franklin Mortgage Loan Trust
2004-FF10, 1.36% (1 Month USD LIBOR + 1.28%, Rate Floor: 1.28%) due 07/25/347		707,743		709,789
Nomura Resecuritization Trust
2015-4R, 1.38% (1 Month USD LIBOR + 0.43%, Rate Floor: 0.43%) due 03/26/364,7		696,386		702,807
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		155,293		157,926
GE-WMC Asset-Backed Pass-Through Certificates Series
2005-2, 0.59% (1 Month USD LIBOR + 0.50%, Rate Floor: 0.50%) due 12/25/357		142,763		142,647
Morgan Stanley Re-REMIC Trust
2010-R5, 1.76% due 06/26/364		64,793		60,312
Total Residential Mortgage Backed Securities				815,914,650

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Government Agency - 3.9%
Uniform MBS 30 Year
due 11/10/2115		178,900,000	$	184,001,512
Freddie Mac Multifamily Structured Pass-Through Certificates
2018-K074, 3.60% due 02/25/28		14,000,000		15,718,566
2021-KJ33, 1.57% due 07/25/32		9,100,000		9,157,243
2018-K078, 3.92% due 06/25/28		3,350,000		3,847,147
2013-K035, 0.47% (WAC) due 08/25/237,8		99,818,553		585,486
Fannie Mae
3.59% due 02/01/29		10,200,000		11,171,605
1.71% due 08/01/31		3,751,000		3,694,320
3.21% due 08/01/27		2,088,450		2,288,090
Freddie Mac Seasoned Credit Risk Transfer Trust
2020-3, 2.00% due 05/25/60		4,127,420		4,143,110
2020-2, 2.00% due 11/25/59		2,422,194		2,441,519
Fannie Mae-Aces
2020-M23, 1.74% due 03/25/35		3,840,000		3,739,325
2020-M23, 1.58% (WAC) due 03/25/357,8		8,686,052		1,102,254
Total Government Agency				241,890,177
Commercial Mortgage Backed Securities - 1.4%
BX Commercial Mortgage Trust
2021-VOLT, 1.75% (1 Month USD LIBOR + 1.65%, Rate Floor: 1.65%) due 09/15/364,7		25,000,000		25,015,668
BXHPP Trust
2021-FILM, 1.18% (1 Month USD LIBOR + 1.10%, Rate Floor: 1.10%) due 08/15/364,7		8,250,000		8,257,423
Life Mortgage Trust
2021-BMR, 1.48% (1 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 03/15/384,7		7,000,000		7,013,315
Wells Fargo Commercial Mortgage Trust
2017-C38, 1.16% (WAC) due 07/15/507,8		24,552,903		1,121,938
2016-C37, 1.07% (WAC) due 12/15/497,8		31,814,213		976,652
2017-C42, 1.03% (WAC) due 12/15/507,8		14,716,544		704,275
2017-RB1, 1.40% (WAC) due 03/15/507,8		9,288,283		525,703
2015-LC22, 0.93% (WAC) due 09/15/587,8		20,204,831		521,729
2016-NXS5, 1.59% (WAC) due 01/15/597,8		5,294,807		266,315
Extended Stay America Trust
2021-ESH, 1.78% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/15/384,7		3,979,298		4,006,848
KKR Industrial Portfolio Trust
2021-KDIP, 1.08% (1 Month USD LIBOR + 1.00%, Rate Floor: 1.00%) due 12/15/374,7		3,550,000		3,547,860
Motel Trust
2021-MTL6, 1.30% (1 Month USD LIBOR + 1.20%, Rate Floor: 1.20%) due 09/15/384,7		3,250,000		3,256,220
JPMDB Commercial Mortgage Securities Trust
2016-C4, 0.88% (WAC) due 12/15/497,8		37,809,920		1,293,356
2018-C8, 0.79% (WAC) due 06/15/517,8		42,097,029		1,273,258
2016-C2, 1.71% (WAC) due 06/15/497,8		7,141,676		377,935
2017-C5, 1.09% (WAC) due 03/15/507,8		3,373,707		141,181
JP Morgan Chase Commercial Mortgage Securities Trust
2016-JP2, 1.94% (WAC) due 08/15/497,8		35,340,289		2,527,470
COMM Mortgage Trust
2015-CR24, 0.90% (WAC) due 08/10/487,8		61,231,517		1,559,536
2018-COR3, 0.58% (WAC) due 05/10/517,8		35,383,891		954,834
Banc of America Commercial Mortgage Trust
2017-BNK3, 1.24% (WAC) due 02/15/507,8		32,627,527		1,474,007
2016-UB10, 1.99% (WAC) due 07/15/497,8		14,589,471		981,423
BENCHMARK Mortgage Trust
2018-B2, 0.55% (WAC) due 02/15/517,8		122,084,672		2,360,263
DBJPM Mortgage Trust
2017-C6, 1.11% (WAC) due 06/10/507,8		58,043,068		2,325,112
UBS Commercial Mortgage Trust
2017-C2, 1.20% (WAC) due 08/15/507,8		28,498,692		1,343,089
2017-C5, 1.14% (WAC) due 11/15/507,8		13,661,635		588,310
Morgan Stanley Bank of America Merrill Lynch Trust
2017-C34, 0.92% (WAC) due 11/15/527,8		23,941,716		926,870
2015-C27, 1.03% (WAC) due 12/15/477,8		30,848,595		864,816
CSAIL Commercial Mortgage Trust
2019-C15, 1.21% (WAC) due 03/15/527,8		19,863,037		1,182,451
2016-C6, 2.03% (WAC) due 01/15/497,8		6,318,280		453,921
BBCMS Mortgage Trust
2018-C2, 0.93% (WAC) due 12/15/517,8		29,712,888		1,420,659
BAMLL Commercial Mortgage Securities Trust
2012-PARK, 2.96% due 12/10/304		1,300,000		1,332,420
CD Mortgage Trust
2017-CD6, 1.06% (WAC) due 11/13/507,8		14,033,069		542,138
2016-CD1, 1.53% (WAC) due 08/10/497,8		6,202,772		334,861
CD Commercial Mortgage Trust
2017-CD4, 1.44% (WAC) due 05/10/507,8		16,688,375		850,151
CGMS Commercial Mortgage Trust
2017-B1, 0.96% (WAC) due 08/15/507,8		21,841,189		808,725
Citigroup Commercial Mortgage Trust
2016-C2, 1.89% (WAC) due 08/10/497,8		6,525,525		449,052
2016-GC37, 1.85% (WAC) due 04/10/497,8		3,234,452		201,414
GS Mortgage Securities Trust
2017-GS6, 1.17% (WAC) due 05/10/507,8		11,406,586		589,174
BANK
2017-BNK6, 0.95% (WAC) due 07/15/607,8		14,843,706		540,767
JPMBB Commercial Mortgage Securities Trust
2013-C17, 0.89% (WAC) due 01/15/477,8		21,694,958		296,570
Total Commercial Mortgage Backed Securities				83,207,709
Total Collateralized Mortgage Obligations
(Cost $1,136,222,296)				1,141,012,536
SENIOR FLOATING RATE INTERESTS††,7 - 6.7%
Industrial - 1.4%
Berry Global, Inc.
1.86% (2 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26		21,625,214		21,490,057

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
SkyMiles IP Ltd.
4.75% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 10/20/27		16,867,590	$	17,929,236
Mileage Plus Holdings LLC
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27		9,455,500		10,040,606
Filtration Group Corp.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/31/25		5,118,733		5,089,966
3.50% (3 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 03/31/25	EUR	2,375,051		2,744,571
Wrench Group LLC
4.13% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 04/30/26		6,168,448		6,160,738
TransDigm, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 08/22/24		4,023,066		3,977,807
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25		1,220,953		1,205,691
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/30/25		636,631		628,609
Harsco Corporation
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 03/10/28		4,000,000		3,988,320
Charter Next Generation, Inc.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27		3,450,000		3,455,934
Standard Industries, Inc.
due 09/22/28		2,550,000		2,551,377
Ravago Holdings America, Inc.
2.64% (3 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 03/06/28		1,990,000		1,980,050
Tank Holdings Corp.
3.58% (1 Month USD LIBOR + 3.50% and Commercial Prime Lending Rate + 2.50%, Rate Floor: 3.50%) due 03/26/26		1,965,000		1,955,175
TAMKO Building Products, Inc.
3.11% (2 Month USD LIBOR + 3.00% and 3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/29/26		1,786,329		1,775,165
Park River Holdings, Inc.
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 12/28/27		997,500		993,141
Cushman & Wakefield US Borrower LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 08/21/25		894,216		885,497
Reece Ltd.
2.14% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 01/04/27		725,745		721,209
BWAY Holding Co.
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 04/03/24		49,229		48,175
Total Industrial				87,621,324
Communications - 1.1%
Internet Brands, Inc.
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 09/13/24		13,501,977		13,455,936
Playtika Holding Corp.
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/13/28		9,950,000		9,942,040
WMG Acquisition Corp.
2.21% (1 Month USD LIBOR + 2.13%, Rate Floor: 2.13%) due 01/20/28		10,000,000		9,939,600
Recorded Books, Inc.
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 08/29/25		9,005,342		9,008,133
McGraw Hill LLC
5.25% (1 Month USD LIBOR + 4.75%, Rate Floor: 5.25%) due 07/28/28		7,000,000		7,014,980
ProQuest LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/23/26		6,459,395		6,451,902
UPC Broadband Holding BV
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/31/29		5,000,000		4,982,300
Zayo Group Holdings, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/09/27		1,500,000		1,486,005
Authentic Brands
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 09/27/24		1,432,369		1,429,462
Altice US Finance I Corp.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/15/26		463,125		456,178
Ziggo Financing Partnership
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 04/28/28		400,000		396,668
Virgin Media Bristol LLC
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 01/31/28		200,000		198,576
Total Communications				64,761,780
Consumer, Non-cyclical - 0.9%
Option Care Health, Inc.
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/26		12,355,682		12,349,504
California Cryobank
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 08/06/25†††		9,974,359		9,924,487
Icon Luxembourg SARL
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 07/03/28		5,785,500		5,803,956
Spectrum Brands, Inc.
2.50% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 03/03/28		4,975,000		4,960,473
Women’s Care Holdings, Inc.
5.25% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 01/17/28		4,730,000		4,722,621

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Sigma Holding BV (Flora Food)
3.50% (1 Month EURIBOR + 3.50% and 6 Month EURIBOR + 3.50%, Rate Floor: 3.50%) due 07/02/25	EUR	3,700,000	$	4,162,157
Bombardier Recreational Products, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 05/24/27		3,183,337		3,154,496
Hearthside Group Holdings LLC
4.08% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 05/23/25		2,089,286		2,090,602
PAREXEL International Corp.
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 09/27/24		1,040,581		1,039,696
Catalent Pharma Solutions, Inc.
2.50% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 02/22/28		798,500		798,300
Agiliti
3.00% due 01/04/26		750,000		745,313
Aramark Services, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 03/11/25		700,000		683,956
EyeCare Partners LLC
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/18/27		496,250		492,965
Kronos Acquisition Holdings, Inc.
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 12/22/26		497,500		484,709
Froneri US, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 01/29/27		444,375		438,820
Examworks Group, Inc.
4.25% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.25%) due 07/27/23		398,953		398,869
Pearl Intermediate Parent LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 02/14/25		396,916		392,701
Outcomes Group Holdings, Inc.
3.38% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 10/24/25		388,715		381,232
US Foods, Inc.
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 06/27/23		338,856		336,738
Utz Quality Foods LLC
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 01/20/28		297,750		297,194
Valeant Pharmaceuticals International, Inc.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 06/02/25		256,688		256,303
Total Consumer, Non-cyclical				53,915,092
Consumer, Cyclical - 0.9%
Stars Group (Amaya)
2.25% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/21/26		11,450,000		11,407,063
BGIS (BIFM CA Buyer, Inc.)
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/01/26		10,932,039		10,877,379
Verisure Holding AB
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 03/27/28	EUR	7,970,000		9,173,625
3.25% (3 Month EURIBOR + 3.25%, Rate Floor: 3.25%) due 07/20/26	EUR	1,030,000		1,186,576
Amaya Holdings BV
2.50% (3 Month EURIBOR + 2.50%, Rate Floor: 2.50%) due 07/21/26	EUR	4,500,000		5,208,625
Truck Hero, Inc.
4.00% (1 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 01/31/28		4,975,000		4,961,518
Packers Holdings LLC
4.00% (3 Month USD LIBOR + 3.25%, Rate Floor: 4.00%) due 03/09/28		3,980,162		3,959,425
New Trojan Parent, Inc.
3.75% (1 Week USD LIBOR + 3.25% and 3 Month USD LIBOR + 3.25%, Rate Floor: 3.75%) due 01/06/28		2,743,125		2,735,115
Entain Holdings (Gibraltar) Limited
3.00% (3 Month USD LIBOR + 2.50%, Rate Floor: 3.00%) due 03/29/27		1,496,250		1,493,452
Alterra Mountain Co.
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 08/17/28		1,138,459		1,134,189
Murphy Oil USA, Inc.
2.25% (1 Month USD LIBOR + 1.75%, Rate Floor: 2.25%) due 01/31/28		698,250		698,250
Samsonite IP Holdings SARL
1.83% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 04/25/25		297,271		291,325
Cast & Crew Payroll LLC
3.83% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 02/09/26		128,105		127,518
Total Consumer, Cyclical				53,254,060
Technology - 0.9%
Project Boost Purchaser LLC
4.00% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 05/29/26		13,216,875		13,209,738
3.58% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26		823,393		818,889
Conair Holdings LLC
4.25% (3 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 05/17/28		10,000,000		10,004,200
Boxer Parent Co., Inc.
3.88% (3 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/25		7,272,215		7,228,291

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Peraton Corp.
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28		6,815,750	$	6,816,840
Polaris Newco LLC
4.50% (6 Month USD LIBOR + 4.00%, Rate Floor: 4.50%) due 06/02/28		6,000,000		6,011,280
Sabre GLBL, Inc.
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/22/24		3,026,418		2,988,043
Ascend Learning LLC
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 07/12/24		1,935,375		1,936,343
MACOM Technology Solutions Holdings, Inc.
2.33% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 05/17/24		1,549,149		1,541,403
EXC Holdings III Corp.
4.50% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 12/02/24†††		900,000		902,250
Dun & Bradstreet
3.34% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26		728,448		727,537
Emerald TopCo, Inc. (Press Ganey)
3.63% (3 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 07/24/26		508,291		504,799
TIBCO Software, Inc.
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 06/30/26		348,237		345,409
Total Technology				53,035,022
Financial - 0.8%
Citadel Securities, LP
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 02/02/28		11,442,500		11,332,194
AlixPartners, LLP
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 02/04/28		9,950,000		9,919,553
Delos Finance SARL (International Lease Finance)
1.88% (3 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 10/06/23		6,076,000		6,069,377
USI, Inc.
3.13% (3 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 05/16/24		5,973,701		5,929,973
Nexus Buyer LLC
3.84% (1 Month USD LIBOR + 3.75%, Rate Floor: 3.75%) due 11/09/26		5,386,329		5,384,390
HUB International Ltd.
2.88% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 04/25/25		3,523,525		3,487,938
Jane Street Group LLC
2.83% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28		3,358,125		3,322,865
Focus Financial Partners LLC
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/03/24		1,190,769		1,181,339
Total Financial				46,627,629
Basic Materials - 0.5%
Trinseo Materials Operating S.C.A.
2.58% (1 Month USD LIBOR + 2.50%, Rate Floor: 2.50%) due 05/03/28		11,072,250		11,030,729
2.08% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/06/24		497,429		495,032
INEOS Ltd.
2.75% (1 Month EURIBOR + 2.75%, Rate Floor: 2.75%) due 01/29/26	EUR	8,100,000		9,313,311
Invictus MD Strategies Corp.
3.08% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.00%) due 03/28/25		6,424,925		6,404,879
GrafTech Finance, Inc.
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25		1,106,581		1,106,581
Total Basic Materials				28,350,532
Bank Loans - 0.1%
Medline Borrower LP
due 09/28/28		9,050,000		9,004,750
Total Bank Loans				9,004,750
Energy - 0.1%
ITT Holdings LLC
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28		3,608,000		3,600,495
DT Midstream, Inc.
2.50% (6 Month USD LIBOR + 2.00%, Rate Floor: 2.50%) due 06/26/28		2,000,000		1,998,440
Venture Global Calcasieu Pass LLC
2.46% (1 Month USD LIBOR + 2.38%, Rate Floor: 2.38%) due 08/19/26†††		795,103		751,372
Moda Midstream LLC
3.33% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 09/29/25		740,482		738,861
Total Energy				7,089,168
Total Senior Floating Rate Interests
(Cost $404,362,288)				403,659,357
FOREIGN GOVERNMENT DEBT†† - 4.2%
State of Israel
5.50% due 01/31/22	ILS	237,650,000		75,032,831
0.75% due 07/31/22	ILS	239,770,000		74,886,375
Czech Republic
0.10% due 04/17/22	CZK	1,094,000,000		49,672,894
Japan Treasury Discount Bill
(0.11)% due 10/25/2112	JPY	2,018,700,000		18,140,103
Providence of Ontario T-Bill
0.17% due 10/20/2112	CAD	13,451,000		10,619,960
0.16% due 10/06/2112	CAD	5,554,000		4,385,528
0.17% due 10/27/2112	CAD	3,179,000		2,509,914
Government of Japan
(0.11)% due 11/01/2112	JPY	952,250,000		8,557,156
(0.12)% due 10/18/2112	JPY	557,400,000		5,008,696
(0.09)% due 10/04/2112	JPY	393,000,000		3,531,280

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

	Face Amount~		Value
Providence of Quebec T-Bill
0.17% due 10/15/2112	CAD	2,850,000	$	2,250,091
0.17% due 10/22/2112	CAD	2,600,000		2,052,715
Providence of Nova Scotia T-Bill
0.17% due 10/07/2112	CAD	2,000,000		1,579,217
Providence of Newfoundland T-Bill
0.19% due 11/04/2112	CAD	1,700,000		1,342,146
Total Foreign Government Debt
(Cost $258,813,285)				259,568,906
MUNICIPAL BONDS†† - 0.1%
California - 0.1%
California Public Finance Authority Revenue Bonds
1.55% due 10/15/26		3,145,000		3,166,435
Total Municipal Bonds
(Cost $3,145,000)				3,166,435
COMMERCIAL PAPER†† - 1.5%
Swedbank AB
0.05% due 10/07/2112		30,000,000		29,999,750
McCormick & Co., Inc.
0.14% due 10/04/214,12		20,000,000		19,999,767
Consolidated Edison Company of New York, Inc.
0.09% due 10/01/214,12		14,000,000		14,000,000
Prudential plc
0.06% due 10/01/214,12		10,000,000		10,000,000
Societe Generale S.A.
0.04% due 10/01/214,12		10,000,000		10,000,000
Fidelity National Information Services, Inc.
0.20% due 10/21/214,12		10,000,000		9,998,889
Total Commercial Paper
(Cost $93,998,406)				93,998,406
	Notional Value
OTC OPTIONS PURCHASED†† - 0.2%
Call Options on:
Interest Rate Options
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		509,700,000		2,889,999
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61		177,800,000		704,088
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40		30,000,000		170,100
Total Interest Rate Options				3,764,187
	Contracts
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $4,340.00 (Notional Value $188,670,252)		438		5,875,770
Total Equity Options				5,875,770
Total OTC Options Purchased
(Cost $6,869,039)				9,639,957
Total Investments - 103.9%
(Cost $6,293,368,870)			$	6,337,633,525
	Face Amount
Collateralized Mortgage Obligations Sold Short†† - (3.1)%
Government Agency - (3.1)%
Uniform MBS 30 Year
due 11/10/2115	$	178,900,000		(189,413,953	)
Total Collateralized Mortgage Obligations Sold Short
(Proceeds $189,611,573)				(189,413,953	)
	Contracts
LISTED OPTIONS WRITTEN† - 0.0%
Call Options on:
Equity Options
Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $118,848)		32		(16,480	)
Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $122,562)		33		(20,295	)
Total Equity Options				(36,775	)
Total Listed Options Written
(Premiums received $68,627)				(36,775	)
OTC OPTIONS WRITTEN†† - 0.0%
Put Options on:
Equity Options
Citibank, N.A. S&P 500 Index Expiring November 2021 with strike price of $3,980.00 (Notional Value $188,670,252)		438		(2,047,650	)
Total OTC Options Written
(Premiums received $2,525,241)				(2,047,650	)
Other Assets & Liabilities, net - (0.8)%				(40,181,632	)
Total Net Assets - 100.0%			$	6,105,953,515

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

Centrally Cleared Credit Default Swap Agreements Protection Purchased††
Counterparty	Exchange	Index	Protection Premium Rate	Payment Frequency		Maturity Date		Notional Amount		Value			Upfront Premiums Received			Unrealized Depreciation**
BofA Securities, Inc.	ICE	CDX.NA.HY.36.V1	5.00%		Quarterly		06/20/26	$	37,000,000	$	(3,410,536	)	$	(3,379,495	)	$	(31,041	)

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 Appreciation (Depreciation)**
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.37%		Annually	12/04/21		$	177,800,000	$	426,302		$	65	$	426,237
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	0.62%		Annually	03/04/22			110,305,000		257,153			—		257,153
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.31%		Annually	11/25/21			98,600,000		189,317			41		189,276
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.40%		Annually	12/13/21			54,950,000		149,129			43		149,086
BofA Securities, Inc.	CME	Pay	Federal Funds Rate	1.36%		Annually	12/09/21			46,500,000		116,212			39		116,173
BofA Securities, Inc.	CME	Receive	3-Month USD LIBOR	1.65%		Quarterly	03/17/31			140,000,000		(1,511,998	)		1,343		(1,513,341	)
											$	(373,885	)	$	1,531	$	(375,416	)

Total Return Swap Agreements

Counterparty

Index

Type

Financing Rate

Payment Frequency

Maturity Date

Units

Notional Amount

Value and Unrealized Appreciation

OTC Fixed Income Index Swap Agreements Sold Short††

JPMorgan Chase Bank, N.A.

iShares Core U.S. Aggregate Bond ETF

Receive

0.41% (3 Month USD LIBOR + 0.28%)

At Maturity

10/19/21

650,000

$

74,639,500

$

760,500

BNP Paribas

iShares Core U.S. Aggregate Bond ETF

Receive

0.41% (3 Month USD LIBOR + 0.28%)

At Maturity

10/22/21

438,250

50,324,247

736,260

BNP Paribas

iShares Core U.S. Aggregate Bond ETF

Receive

0.41% (3 Month USD LIBOR + 0.28%)

At Maturity

10/21/21

438,250

50,324,248

736,260

JPMorgan Chase Bank, N.A.

iShares Core U.S. Aggregate Bond ETF

Receive

0.36% (1 Month USD LIBOR + 0.28%)

At Maturity

10/14/21

172,617

19,821,610

179,522

$

195,109,605

$

2,412,542

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

Forward Foreign Currency Exchange Contracts††

Counterparty

Currency

Type

Quantity

Contract Amount

Settlement Date

Unrealized Appreciation (Depreciation)

Goldman Sachs International

ILS

Buy

55,355,850

15,359,559 USD

01/31/22

$

1,859,562

Morgan Stanley Capital Services LLC

EUR

Sell

44,360,000

52,395,858 USD

10/18/21

991,616

Morgan Stanley Capital Services LLC

JPY

Sell

2,018,700,000

18,400,597 USD

10/25/21

259,077

Goldman Sachs International

JPY

Sell

952,250,000

8,684,965 USD

11/01/21

126,916

Bank of America, N.A.

GBP

Sell

3,210,000

4,430,095 USD

10/18/21

104,326

JPMorgan Chase Bank, N.A.

EUR

Sell

4,478,000

5,273,051 USD

10/18/21

83,957

Goldman Sachs International

JPY

Sell

557,400,000

5,075,953 USD

10/18/21

67,000

UBS AG

JPY

Sell

393,000,000

3,593,915 USD

10/04/21

62,664

Citibank, N.A.

EUR

Sell

2,165,000

2,534,334 USD

12/31/21

21,037

BNP Paribas

CAD

Sell

7,560,000

5,978,553 USD

10/20/21

8,988

Citibank, N.A.

CAD

Sell

2,850,000

2,253,322 USD

10/15/21

2,877

Citibank, N.A.

CAD

Sell

2,600,000

2,054,280 USD

10/22/21

1,259

Citibank, N.A.

CZK

Sell

164,100

7,546 USD

11/05/21

43

UBS AG

CAD

Sell

1,700,000

1,341,609 USD

11/04/21

(729

)

Goldman Sachs International

CAD

Sell

2,000,000

1,578,364 USD

10/07/21

(910

)

Citibank, N.A.

CAD

Sell

5,554,000

4,380,456 USD

10/06/21

(5,194

)

Citibank, N.A.

CAD

Sell

3,179,000

2,504,912 USD

10/27/21

(5,285

)

Goldman Sachs International

CAD

Sell

5,891,000

4,645,705 USD

10/20/21

(5,976

)

UBS AG

ILS

Sell

94,203,167

29,213,998 USD

08/01/22

(190,404

)

Bank of America, N.A.

ILS

Sell

13,124,200

3,890,958 USD

01/31/22

(191,487

)

Barclays Bank plc

CZK

Sell

1,095,094,000

49,547,796 USD

04/19/22

(247,376

)

Goldman Sachs International

ILS

Sell

147,370,024

45,686,215 USD

08/01/22

(313,592

)

Goldman Sachs International

ILS

Sell

42,231,650

12,500,228 USD

01/31/22

(636,448

)

Barclays Bank plc

ILS

Sell

250,720,750

77,269,647 USD

01/31/22

(720,137

)

$

1,271,784

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

~	The face amount is denominated in U.S. dollars unless otherwise indicated.
*	Non-income producing security.
**	Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Special Purpose Acquisition Company (SPAC).
2	Affiliated issuer.
3	Rate indicated is the 7-day yield as of September 30, 2021.
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 $3,555,351,790 (cost $3,548,585,858), or 58.2% of total net assets.
5	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
6	Perpetual maturity.
7	Variable rate security. Rate indicated is the rate effective at September 30, 2021. 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.
8	Security is an interest-only strip.
9	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
10	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $45,276,435 (cost $44,868,664), or 0.7% of total net assets — See Note 9.
11	Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at September 30, 2021. See table below for additional step information for each security.
12	Rate indicated is the effective yield at the time of purchase.
13	All or a portion of this security is pledged as listed options collateral at September 30, 2021.
14	All or a portion of this security is pledged as interest rate swap collateral at September 30, 2021.
15	Security is unsettled at period end and does not have a stated effective rate.
	BofA — Bank of America
	CAD — Canadian Dollar
	CDX.NA.HY.36.V1 — Credit Default Swap North American High Yield Series 36 Index Version 1
	CME — Chicago Mercantile Exchange
	CMS — Constant Maturity Swap
	CZK — Czech Koruna
	EUR — Euro
	EURIBOR — European Interbank Offered Rate
	GBP — British Pound
	ICE — Intercontinental Exchange
	ILS — Israeli New Shekel
	JPY — Japanese Yen
	LIBOR — London Interbank Offered Rate
	plc — Public Limited Company
	REMIC — Real Estate Mortgage Investment Conduit
	REIT — Real Estate Investment Trust
	SARL — Société à Responsabilité Limitée
	WAC — Weighted Average Coupon
	See Sector Classification in Other Information section.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

The following table summarizes the inputs used to value the Fund’s investments at September 30, 2021 (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	$	20,434,360	$	—	$	—	$	20,434,360
Preferred Stocks		—		4,752,766		—		4,752,766
Warrants		355,100		—		—		355,100
Exchange-Traded Funds		195,109,605		—		—		195,109,605
Mutual Funds		89,176,931		—		—		89,176,931
Money Market Fund		164,194,709		—		—		164,194,709
Corporate Bonds		—		2,025,006,585		29,476,831		2,054,483,416
Asset-Backed Securities		—		1,743,102,034		154,979,007		1,898,081,041
Collateralized Mortgage Obligations		—		1,125,956,928		15,055,608		1,141,012,536
Senior Floating Rate Interests		—		392,081,248		11,578,109		403,659,357
Foreign Government Debt		—		259,568,906		—		259,568,906
Municipal Bonds		—		3,166,435		—		3,166,435
Commercial Paper		—		93,998,406		—		93,998,406
Options Purchased		—		9,639,957		—		9,639,957
Interest Rate Swap Agreements**		—		1,137,925		—		1,137,925
Forward Foreign Currency Exchange Contracts**		—		3,589,322		—		3,589,322
Fixed Income Index Swap Agreements**		—		2,412,542		—		2,412,542
Total Assets	$	469,270,705	$	5,664,413,054	$	211,089,555	$	6,344,773,314

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Collateralized Mortgage Obligations Sold Short	$	—	$	189,413,953	$	—	$	189,413,953
Options Written		36,775		2,047,650		—		2,084,425
Credit Default Swap Agreements**		—		31,041		—		31,041
Interest Rate Swap Agreements**		—		1,513,341		—		1,513,341
Forward Foreign Currency Exchange Contracts**		—		2,317,538		—		2,317,538
Unfunded Loan Commitments (Note 8)		—		—		28,373		28,373
Total Liabilities	$	36,775	$	195,323,523	$	28,373	$	195,388,671

** This derivative is reported as unrealized appreciation/depreciation at period end.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	September 30, 2021
LIMITED DURATION FUND

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Category	Ending Balance at September 30, 2021		Valuation Technique	Unobservable Inputs	Input Range			Weighted Average
Assets:
Asset-Backed Securities	$	151,378,282	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—			—
Asset-Backed Securities		3,600,725	Yield Analysis	Yield		4.2	%		—
Collateralized Mortgage Obligations		15,055,608	Model Price	Purchase Price		—			—
Corporate Bonds		17,342,283	Option Adjusted Spread off the prior month end broker quote	Broker Quote		—			—
Corporate Bonds		12,134,548	Yield Analysis	Yield		3.2	%		—
Senior Floating Rate Interests		11,578,109	Third Party Pricing	Broker Quote		—			—
Total Assets	$	211,089,555
Liabilities:
Unfunded Loan Commitments	$	28,373	Model Price	Purchase Price		—			—

Significant changes in a quote, yield, market comparable yields, liquidation value or valuation multiple would generally result in significant changes in the fair value of the security.

The Fund’s fair valuation leveling guidelines classify a single daily broker quote, or a vendor price based on a single daily or monthly broker quote, as Level 3, if such a quote or price cannot be supported with other available market information.

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the year ended September 30, 2021, the Fund had securities with a total value $10,977,307 transfer into Level 3 from Level 2 due to a lack of observable inputs.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2021:

	Assets															Liabilities
	Asset-Backed Securities			Collateralized Mortgage Obligations			Corporate Bonds			Senior Floating Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	98,361,270		$	28,023,753		$	4,682,550		$	—		$	131,067,573		$	(163,932	)
Purchases/(Receipts)		141,924,606			17,641,141			25,134,491			12,245,552			196,945,790			(9,404	)
(Sales, maturities and paydowns)/Fundings		(95,872,175	)		(30,348,206	)		(269,812	)		(802,802	)		(127,292,995	)		129,712
Amortization of premiums/discounts		6,804			(4,072	)		(134,036	)		17,578			(113,726	)		—
Total realized gains (losses) included in earnings		296,105			(19	)		—			57,015			353,101			—
Total change in unrealized appreciation (depreciation) included in earnings		(714,910	)		(256,989	)		63,638			60,766			(847,495	)		15,251
Transfers into Level 3		10,977,307			—			—			—			10,977,307			—
Ending Balance	$	154,979,007		$	15,055,608		$	29,476,831		$	11,578,109		$	211,089,555		$	(28,373	)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at September 30, 2021	$	(714,910	)	$	(7,076	)	$	63,638		$	60,766		$	(597,582	)	$	15,251

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2021
LIMITED DURATION FUND

Step Coupon Bonds

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, none are scheduled to decrease.

Name	Coupon Rate at Next Reset Date			Next Rate Reset Date		Future Reset Rate			Future Reset Date
BRAVO Residential Funding Trust 2021-C 2021-C, 1.62% due 03/01/61		4.62	%		09/26/24		5.62	%		09/26/25
CSMC Trust 2020-NQM1, 1.41% due 05/25/65		2.41	%		09/26/24		—			—
Legacy Mortgage Asset Trust 2021-GS2, 1.75% due 04/25/61		4.75	%		04/26/24		5.75	%		04/26/25
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-GS4 2021-GS4, 1.65% due 11/25/60		4.65	%		08/26/24		5.65	%		08/26/25
NYMT Loan Trust 2021-SP1 2021-SP1, 1.67% due 08/25/61		4.67	%		08/26/24		5.67	%		08/26/25
OSAT Trust 2021-RPL1, 2.12% due 05/25/65		4.20	%		07/26/24		5.99	%		07/26/25
PRPM LLC 2021-5, 1.79% due 06/25/26		4.79	%		06/26/24		5.79	%		06/26/25
Verus Securitization Trust 2020-5, 1.58% due 05/25/65		2.58	%		10/26/24		—			—
Verus Securitization Trust 2019-4, 2.64% due 11/25/59		3.64	%		10/26/23		—			—
Verus Securitization Trust 2020-1, 2.42% due 01/25/60		3.42	%		01/26/24		—			—

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2020, 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/1601445/000182126820000133/gug81042-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

Transactions during the year ended September 30, 2021, in which the company is an affiliated issuer, were as follows:

Security Name	Value 09/30/20		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Value 09/30/21		Shares 09/30/21		Investment Income
Mutual Funds
Guggenheim Strategy Fund II	$	29,379,083	$	470,829	$	—	$	—	$	23,720		$	29,873,632		1,195,423	$	470,831
Guggenheim Strategy Fund III		29,499,318		485,767		—		—		82,435			30,067,520		1,196,003		485,761
Guggenheim Ultra Short Duration Fund — Institutional Class		28,983,105		281,769		—		—		(29,095	)		29,235,779		2,932,375		281,766
	$	87,861,506	$	1,238,365	$	—	$	—	$	77,060		$	89,176,931			$	1,238,358

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LIMITED DURATION FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2021

Assets:
Investments in unaffiliated issuers, at value (cost $6,205,750,216)	$	6,248,456,594
Investments in affiliated issuers, at value (cost $87,618,654)		89,176,931
Foreign currency, at value (cost $4,427,849)		4,427,902
Cash		43,067,815
Segregated cash with broker		4,177,661
Unamortized upfront premiums paid on interest rate swap agreements		1,531
Unrealized appreciation on OTC swap agreements		2,412,542
Unrealized appreciation on forward foreign currency exchange contracts		3,589,322
Prepaid expenses		114,079
Receivables:
Securities sold		540,652,444
Fund shares sold		29,228,699
Interest		25,514,897
Variation margin on interest rate swap agreements		4,027,754
Dividends		85,891
Variation margin on credit default swap agreements		57,460
Foreign tax reclaims		13,234
Total assets		6,995,004,756
Liabilities:
Unfunded loan commitments, at value (Note 9) (commitment fees received $44,691)		28,373
Securities sold short, at value (proceeds $189,611,573)		189,413,953
Options written, at value (premiums received $2,593,868)		2,084,425
Segregated cash due to broker		15,910,657
Unamortized upfront premiums received on credit default swap agreements		3,379,495
Unrealized depreciation on forward foreign currency exchange contracts		2,317,538
Payable for:
Securities purchased		661,294,124
Fund shares redeemed		9,650,379
Distributions to shareholders		1,420,566
Management fees		1,080,284
Swap settlement		360,353
Fund accounting/administration fees		321,208
Distribution and service fees		284,122
Transfer agent/maintenance fees		203,382
Protection fees on credit default swap agreements		56,528
Trustees’ fees*		7,976
Due to Investment Adviser		227
Miscellaneous		1,237,651
Total liabilities		889,051,241
Net assets	$	6,105,953,515
Net assets consist of:
Paid in capital	$	6,040,579,777
Total distributable earnings (loss)		65,373,738
Net assets	$	6,105,953,515
A-Class:
Net assets	$	855,473,261
Capital shares outstanding		33,649,165
Net asset value per share	$	25.42
Maximum offering price per share (Net asset value divided by 97.75%)	$	26.01
C-Class:
Net assets	$	90,205,038
Capital shares outstanding		3,550,405
Net asset value per share	$	25.41
P-Class:
Net assets	$	155,464,551
Capital shares outstanding		6,114,804
Net asset value per share	$	25.42
Institutional Class:
Net assets	$	4,960,578,169
Capital shares outstanding		195,156,882
Net asset value per share	$	25.42
R6-Class:
Net assets	$	44,232,496
Capital shares outstanding		1,741,125
Net asset value per share	$	25.40

* 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 | 37

LIMITED DURATION FUND

STATEMENT OF OPERATIONS

Year Ended September 30, 2021

Investment Income:
Dividends from securities of unaffiliated issuers	$	4,482,042
Dividends from securities of affiliated issuers		1,238,358
Interest from securities of unaffiliated issuers		97,042,119
Total investment income		102,762,519
Expenses:
Management fees		19,389,700
Distribution and service fees:
A-Class		1,973,581
C-Class		910,790
P-Class		403,344
Transfer agent/maintenance fees:
A-Class		417,230
C-Class		88,829
P-Class		163,078
Institutional Class		2,970,471
R6-Class		674
Fund accounting/administration fees		3,304,666
Line of credit fees		323,638
Professional fees		302,780
Custodian fees		186,944
Trustees’ fees*		68,869
Interest expense		39,087
Miscellaneous		392,635
Recoupment of previously waived fees:
R6-Class		3,723
Total expenses		30,940,039
Less:
Expenses reimbursed by Adviser:
A Class		(328,197	)
C Class		(79,876	)
P Class		(145,793	)
Institutional Class		(2,536,140	)
R6 Class		(248	)
Expenses waived by Adviser		(103,180	)
Earnings credits applied		(7,231	)
Total waived/reimbursed expenses		(3,200,665	)
Net expenses		27,739,374
Net investment income		75,023,145
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	23,968,182
Investments sold short		(862,630	)
Swap agreements		4,268,042
Options purchased		2,749,258
Forward foreign currency exchange contracts		7,324,806
Foreign currency transactions		1,984,615
Net realized gain		39,432,273
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(17,947,150	)
Investments in affiliated issuers		77,060
Investments sold short		197,620
Swap agreements		(8,419,143	)
Options purchased		1,280,928
Options written		509,443
Forward foreign currency exchange contracts		(16,824,371	)
Foreign currency translations		19,097
Net change in unrealized appreciation (depreciation)		(41,106,516	)
Net realized and unrealized loss		(1,674,243	)
Net increase in net assets resulting from operations	$	73,348,902

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended September 30, 2021			Year Ended September 30, 2020
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	75,023,145		$	57,288,219
Net realized gain on investments		39,432,273			40,958,989
Net change in unrealized appreciation (depreciation) on investments		(41,106,516	)		69,800,768
Net increase in net assets resulting from operations		73,348,902			168,047,976
Distributions to shareholders:
A-Class		(15,056,137	)		(9,531,615	)
C-Class		(1,100,964	)		(897,123	)
P-Class		(3,167,298	)		(1,705,392	)
Institutional Class		(82,692,217	)		(48,269,529	)
R6-Class		(842,004	)		(3,918,302	)
Total distributions to shareholders		(102,858,620	)		(64,321,961	)
Capital share transactions:
Proceeds from sale of shares
A-Class		537,507,580			359,178,012
C-Class		27,038,454			27,892,729
P-Class		68,322,487			91,629,526
Institutional Class		3,456,236,145			1,908,540,024
R6-Class		23,737,430			60,206,782
Distributions reinvested
A-Class		12,214,080			7,676,372
C-Class		884,729			718,998
P-Class		3,160,020			1,700,377
Institutional Class		65,470,318			38,678,924
R6-Class		841,976			3,918,300
Cost of shares redeemed
A-Class		(314,667,489	)		(329,100,339	)
C-Class		(23,334,185	)		(30,485,763	)
P-Class		(65,716,372	)		(54,176,385	)
Institutional Class		(1,449,568,811	)		(1,538,644,390	)
R6-Class		(11,439,188	)		(346,906,193	)
Net increase from capital share transactions		2,330,687,174			200,826,974
Net increase in net assets		2,301,177,456			304,552,989
Net assets:
Beginning of year		3,804,776,059			3,500,223,070
End of year	$	6,105,953,515		$	3,804,776,059

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

LIMITED DURATION FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended September 30, 2021			Year Ended September 30, 2020
Capital share activity:
Shares sold
A-Class		21,056,345			14,310,934
C-Class		1,059,662			1,119,438
P-Class		2,677,514			3,610,524
Institutional Class		135,555,309			76,326,464
R6-Class		931,064			2,435,956
Shares issued from reinvestment of distributions
A-Class		478,808			307,849
C-Class		34,690			28,862
P-Class		123,858			68,147
Institutional Class		2,567,621			1,550,215
R6-Class		33,034			158,809
Shares redeemed
A-Class		(12,344,754	)		(13,271,088	)
C-Class		(915,145	)		(1,227,834	)
P-Class		(2,577,262	)		(2,192,351	)
Institutional Class		(56,850,821	)		(62,129,659	)
R6-Class		(448,608	)		(14,134,431	)
Net increase in shares		91,381,315			6,961,835

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

A-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.57		$	24.68		$	24.70		$	24.86		$	24.71
Income (loss) from investment operations:
Net investment income (loss)a		.34			.40			.54			.51			.53
Net gain (loss) on investments (realized and unrealized)		.01	i		.94			.01			(.09	)		.20
Total from investment operations		.35			1.34			.55			.42			.73
Less distributions from:
Net investment income		(.38	)		(.45	)		(.57	)		(.57	)		(.58	)
Net realized gains		(.12	)		—			—	b		(.01	)		—	b
Total distributions		(.50	)		(.45	)		(.57	)		(.58	)		(.58	)
Net asset value, end of period	$	25.42		$	25.57		$	24.68		$	24.70		$	24.86
Total Returnc		1.38	%		5.51	%		2.27	%		1.69	%		2.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	855,473		$	625,386		$	570,353		$	627,570		$	509,410
Ratios to average net assets:
Net investment income (loss)		1.32	%		1.60	%		2.18	%		2.07	%		2.14	%
Total expensesd		0.79	%		0.84	%		0.83	%		0.81	%		0.86	%
Net expensese,f,g		0.74	%		0.77	%		0.75	%		0.75	%		0.81	%
Portfolio turnover rate		80	%		123	%		72	%		45	%		55	%

C-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.55		$	24.66		$	24.68		$	24.84		$	24.70
Income (loss) from investment operations:
Net investment income (loss)a		.15			.21			.35			.33			.35
Net gain (loss) on investments (realized and unrealized)		.02	i		.95			.02			(.10	)		.18
Total from investment operations		.17			1.16			.37			.23			.53
Less distributions from:
Net investment income		(.19	)		(.27	)		(.39	)		(.38	)		(.39	)
Net realized gains		(.12	)		—			—	b		(.01	)		—	b
Total distributions		(.31	)		(.27	)		(.39	)		(.39	)		(.39	)
Net asset value, end of period	$	25.41		$	25.55		$	24.66		$	24.68		$	24.84
Total Returnc		0.67	%		4.72	%		1.51	%		0.94	%		2.18	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	90,205		$	86,143		$	85,100		$	70,981		$	50,743
Ratios to average net assets:
Net investment income (loss)		0.58	%		0.85	%		1.42	%		1.34	%		1.41	%
Total expensesd		1.58	%		1.61	%		1.60	%		1.59	%		1.65	%
Net expensese,f,g		1.49	%		1.52	%		1.50	%		1.51	%		1.56	%
Portfolio turnover rate		80	%		123	%		72	%		45	%		55	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

P-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.57		$	24.68		$	24.70		$	24.86		$	24.72
Income (loss) from investment operations:
Net investment income (loss)a		.34			.40			.54			.52			.47
Net gain (loss) on investments (realized and unrealized)		.01	i		.94			.01			(.10	)		.24
Total from investment operations		.35			1.34			.55			.42			.71
Less distributions from:
Net investment income		(.38	)		(.45	)		(.57	)		(.57	)		(.57	)
Net realized gains		(.12	)		—			—	b		(.01	)		—	b
Total distributions		(.50	)		(.45	)		(.57	)		(.58	)		(.57	)
Net asset value, end of period	$	25.42		$	25.57		$	24.68		$	24.70		$	24.86
Total Return		1.38	%		5.50	%		2.27	%		1.69	%		2.93	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	155,465		$	150,623		$	108,691		$	189,965		$	92,503
Ratios to average net assets:
Net investment income (loss)		1.33	%		1.60	%		2.18	%		2.12	%		1.89	%
Total expensesd		0.83	%		0.90	%		0.88	%		0.87	%		0.92	%
Net expensese,f,g		0.74	%		0.77	%		0.75	%		0.75	%		0.81	%
Portfolio turnover rate		80	%		123	%		72	%		45	%		55	%

Institutional Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Year Ended September 30, 2019			Year Ended September 30, 2018			Year Ended September 30, 2017
Per Share Data
Net asset value, beginning of period	$	25.56		$	24.67		$	24.69		$	24.85		$	24.71
Income (loss) from investment operations:
Net investment income (loss)a		.40			.46			.60			.58			.59
Net gain (loss) on investments (realized and unrealized)		.03	i		.95			.01			(.11	)		.19
Total from investment operations		.43			1.41			.61			.47			.78
Less distributions from:
Net investment income		(.45	)		(.52	)		(.63	)		(.62	)		(.64	)
Net realized gains		(.12	)		—			—	b		(.01	)		—	b
Total distributions		(.57	)		(.52	)		(.63	)		(.63	)		(.64	)
Net asset value, end of period	$	25.42		$	25.56		$	24.67		$	24.69		$	24.85
Total Return		1.67	%		5.77	%		2.52	%		1.95	%		3.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,960,578		$	2,911,309		$	2,421,315		$	2,629,316		$	1,637,509
Ratios to average net assets:
Net investment income (loss)		1.58	%		1.85	%		2.43	%		2.35	%		2.36	%
Total expensesd		0.56	%		0.59	%		0.57	%		0.56	%		0.61	%
Net expensese,f,g		0.49	%		0.52	%		0.50	%		0.50	%		0.56	%
Portfolio turnover rate		80	%		123	%		72	%		45	%		55	%

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LIMITED DURATION FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

R6-Class	Year Ended September 30, 2021			Year Ended September 30, 2020			Period Ended September 30, 2019h
Per Share Data
Net asset value, beginning of period	$	25.55		$	24.66		$	24.58
Income (loss) from investment operations:
Net investment income (loss)a		.40			.48			.31
Net gain (loss) on investments (realized and unrealized)		.02	i		.93			.14
Total from investment operations		.42			1.41			.45
Less distributions from:
Net investment income		(.45	)		(.52	)		(.37	)
Net realized gains		(.12	)		—			—
Total distributions		(.57	)		(.52	)		(.37	)
Net asset value, end of period	$	25.40		$	25.55		$	24.66
Total Return		1.64	%		5.78	%		1.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,232		$	31,315		$	314,764
Ratios to average net assets:
Net investment income (loss)		1.58	%		1.96	%		2.24	%
Total expensesd		0.49	%		0.53	%		0.51	%
Net expensese,f,g		0.49	%		0.52	%		0.50	%
Portfolio turnover rate		80	%		123	%		72	%

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 reflect the impact of any applicable sales charges.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
f	The portion of the ratios of net expenses to average net assets attributable to recoupments of prior fee reductions or expense reimbursements for the years presented was as follows:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	—	0.00%*	0.00%*	—	—
C-Class	—	0.00%*	—	—	0.00%*
P-Class	—	0.00%*	0.00%*	—	0.00%*
Institutional Class	—	0.00%*	0.00%*	—	—
R6-Class	0.01%	0.00%*	0.00%*,h	—	—

* Less than 0.01%.

^g Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the years presented would be:

	09/30/21	09/30/20	09/30/19	09/30/18	09/30/17
A-Class	0.73%	0.75%	0.75%	0.75%	0.79%
C-Class	1.48%	1.50%	1.50%	1.50%	1.54%
P-Class	0.73%	0.75%	0.75%	0.75%	0.79%
Institutional Class	0.48%	0.50%	0.50%	0.50%	0.54%
R6-Class	0.48%	0.50%	0.50%h	N/A	N/A

h	Since commencement of operations: March 13, 2019. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
i	The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

NOTES TO FINANCIAL STATEMENTS

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate fund. The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each fund separately.

The Trust offers a combination of five separate classes of shares: A-Class shares, C-Class shares, P-Class shares, R6-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. C-Class shares automatically convert to A-Class shares on or about the 10th day of the month following the 10-year anniversary of the purchase of the C-Class shares. This conversion will be executed without any sales charge, fee or other charge. After the conversion is completed, the shares will be subject to all features and expenses of A-Class shares. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. R6-Class shares are offered primarily through qualified retirement and benefit plans. R6-Class shares are also offered through certain other plans and platforms sponsored by financial intermediaries. Certain institutional investors and others deemed appropriate by Guggenheim Investments (“GI”) may also be eligible to purchase R6-Class shares subject to a $2 million minimum initial investment. At September 30, 2021, the Trust consisted of nineteen funds (the “Funds”).

This report covers the Limited Duration Fund (the “Fund”), a diversified investment company. At September 30, 2021, A-Class, C-Class, P-Class, Institutional Class and R6-Class shares have been issued by the Fund.

Guggenheim Partners Investment Management, LLC (“GPIM”), which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.

(a) Valuation of Investments

The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.

Valuations of the Fund’s securities and other assets are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

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NOTES TO FINANCIAL STATEMENTS (continued)

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 Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Open-end investment companies are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are 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.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically, loans are valued using information provided by an independent third party pricing service 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 Valuation Committee.

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 interest rate swap agreements entered into by the Fund is accounted for using the unrealized appreciation or depreciation on the agreements that is determined using the previous day’s close price from the applicable exchange, adjusted for the current day’s spreads.

The values of other swap agreements entered into by the Fund are accounted for using the unrealized appreciation or depreciation on the agreements that are determined by marking the agreements to the last quoted value of the index or other underlying position that the swaps pertain to at the close of the NYSE.

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 GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over U.S. Treasury securities, and other information analysis. In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

(b) U.S. Government and Agency Obligations

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

(c) Senior Floating Rate Interests and Loan Investments

Senior floating rate interests in which the Fund invests generally pay interest rates which are periodically adjusted by reference to a base short-term floating rate, plus a premium. These base lending rates are generally (i) 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

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NOTES TO FINANCIAL STATEMENTS (continued)

borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities disclosed in the Fund’s Schedule of Investments.

The Fund invests in loans and other similar debt obligations (“obligations”). A portion of the Fund’s investments in these obligations is sometimes referred to as “covenant lite” loans or obligations (“covenant lite obligations”), which are obligations that lack covenants or possess fewer or less restrictive covenants or constraints on borrowers than certain other types of obligations. The Fund may also obtain exposure to covenant lite obligations through investment in securitization vehicles and other structured products. 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 Fund may have fewer rights with respect to covenant lite obligations, including fewer protections against the possibility of default and fewer remedies in the event of default. As a result, investments in (or exposure to) covenant lite obligations are subject to more risk than investments in (or exposure to) certain other types of obligations. The Fund is subject to other risks associated with investments in (or exposure to) obligations, including that obligations may not be considered “securities” and, as a result, the Fund may not be entitled to rely on the anti-fraud protections under the federal securities laws and instead may have to resort to state law and direct claims.

(d) Interest on When-Issued Securities

The Fund may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Fund actually takes delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Fund will generally purchase these securities with the intention of acquiring such securities, it may sell such securities before the settlement date.

(e) Short Sales

When the Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

(f) Options

Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

(g) Swap Agreements

Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.

Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity and are recorded by the Fund as unrealized appreciation or depreciation. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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NOTES TO FINANCIAL STATEMENTS (continued)

Upfront payments received or made by a Fund on credit default swap agreements and interest rate swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

(h) Currency Translations

The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Fund does not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation on foreign currency translations arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

(i) Forward Foreign Currency Exchange Contracts

The change in value of a forward foreign currency exchange contract is recorded as unrealized appreciation or depreciation until the contract is closed. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

(j) Foreign Taxes

The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.

(k) Security Transactions

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as a reduction to cost if the securities are still held and as realized gains if no longer held in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries, if any. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Income from residual collateralized loan obligations is recognized using the effective interest method. At the time of purchase, management estimates the future expected cash flows and determines the effective yield and estimated maturity date based on the estimated cash flows. Subsequent to the purchase, the estimated cash flows are updated periodically and a revised yield is calculated prospectively.

The Fund may receive other income from investments in senior loan interests including amendment fees, consent fees and commitment fees. For funded loans, these fees are recorded as income when received by the Fund and included in interest income on the Statement of Operations. For unfunded loans, commitment fees are included in realized gain on investments on the Statement of Operations at the end of the commitment period.

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NOTES TO FINANCIAL STATEMENTS (continued)

(l) Distributions

The Fund declares dividends from investment income daily. The Fund pays its shareholders from its net investment income monthly and distributes any net capital gains that it has realized, at least annually. Distributions to shareholders are recorded on the ex-dividend date. Dividends are reinvested in additional shares, unless shareholders request payment in cash. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for U.S. federal income tax purposes.

(m) Class Allocations

Interest and dividend income, most expenses, all realized gains and losses, and all unrealized appreciation and depreciation are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust based on the respective net assets of each Fund included in the Trust.

(n) Earnings Credits

Under the fee arrangement with the custodian, the Fund may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. Earnings credits for the year ended September 30, 2021, are disclosed in the Statement of Operations.

(o) Cash

The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 0.06% at September 30, 2021.

(p) Indemnifications

Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

(q) Special Purpose Acquisition Companies

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.

Note 2 – Financial Instruments and Derivatives

As part of its investment strategy, the Fund utilizes short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized on the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.

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NOTES TO FINANCIAL STATEMENTS (continued)

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Fund utilized derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.

The following table represents the Fund’s use and volume of call/put options purchased on a monthly basis:

	Average Notional Amount
Use	Call		Put
Duration, Hedge	$	882,633,333	$	32,230,303

The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

The following table represents the Fund’s use and volume of call/put options written on a monthly basis:

	Average Notional Amount
Use	Call		Put
Hedge	$	20,118	$	32,230,303

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NOTES TO FINANCIAL STATEMENTS (continued)

Swap Agreements

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. When utilizing OTC swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like exchange-traded futures contracts. For a Fund utilizing centrally-cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. When utilizing total return swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying reference asset declines in value.

The following table represents the Fund’s use and volume of total return swaps on a monthly basis:

	Average Notional Amount
Use	Long		Short
Index exposure, Income	$	4,013,543	$	197,402,429

Interest rate swaps involve the exchange by the Fund with another party for its respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

The following table represents the Fund’s use and volume of interest rate swaps on a monthly basis:

	Average Notional Amount
Use	Pay Floating Rate		Receive Floating Rate
Duration, Hedge	$	591,888,333	$	81,666,667

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. The Fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, a fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third party issuer.

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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 Fund’s use and volume of credit default swaps on a monthly basis:

	Average Notional Amount
Use	Protection Purchased		Protection Sold
Income, Index exposure	$	2,650,000	$	9,250,000

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Fund may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

The following table represents the Fund’s use and volume of forward foreign currency exchange contracts on a monthly basis:

	Average Value
Use	Purchased		Sold
Hedge, Income	$	186,281,362	$	598,357,002

Derivative Investment Holdings Categorized by Risk Exposure

The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2021:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Interest Rate swap contracts	Investments in unaffiliated issuers, at value
	Unamortized upfront premiums paid on interest rate swap agreements
	Unrealized appreciation on OTC swap agreements
	Variation margin on interest rate swaps agreements
	Variation margin on credit default swap agreements
Credit default swap contracts	Variation margin on credit default swap agreements	Unamortized upfront premiums received on credit default swap agreements
Equity option contracts	Investments in unaffiliated issuers, at value	Options written, at value
Currency forward contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following tables set forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2021:

Asset Derivative Investments Value
	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		Total Value at September 30, 2021
	$	3,550,467	$	—	$	—	$	5,875,770	$	3,589,322	$	3,764,187	$	16,779,746

Liability Derivative Investments Value
	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		Total Value at September 30, 2021
	$	1,513,341	$	31,041	$	2,084,425	$	—	$	2,317,538	$	—	$	5,946,345

* Includes cumulative appreciation (depreciation) of exchange-traded, OTC and centrally-cleared derivatives contracts as reported on the Schedule of Investments. For exchange-traded and centrally-cleared derivatives, variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended September 30, 2021:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Interest/Credit swap contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements
Equity/Interest Rate option contracts	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net change in unrealized appreciation (depreciation) on options written
Currency forward contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the year ended September 30, 2021:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
	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		Total
	$	3,942,418	$	325,624	$	—	$	2,749,258	$	7,324,806	$	—	$	14,342,106

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
	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		Total
	$	(8,392,914	)	$	(26,229	)	$	509,443	$	490,560	$	(16,824,371	)	$	790,368	$	(23,453,143	)

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

In conjunction with short sales and the use of derivative instruments, the Fund is required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Fund uses margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Fund as collateral.

Foreign Investments

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risks may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

Note 3 – Offsetting

In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Fund in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Fund, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Fund, as applicable. Generally, the amount of collateral due from or to a

THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

NOTES TO FINANCIAL STATEMENTS (continued)

counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Assets Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Received			Net Amount
Fixed income index swap agreements	$	2,412,542	$	—	$	2,412,542	$	—		$	(2,220,000	)	$	192,542
Forward foreign currency exchange contracts		3,589,322		—		3,589,322		(1,149,132	)		(2,316,552	)		123,638
Options purchased		9,639,957		—		9,639,957		(2,120,074	)		(6,564,105	)		955,778

							Gross Amounts Not Offset in the Statement of Assets and Liabilities
Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset in the Statement of Assets and Liabilities		Net Amount of Liabilities Presented on the Statement of Assets and Liabilities		Financial Instruments			Cash Collateral Pledged			Net Amount
Forward foreign currency exchange contracts	$	2,317,538	$	—	$	2,317,538	$	(1,221,556	)	$	(770,000	)	$	325,982
Options written		2,047,650		—		2,047,650		(2,047,650	)		—			—

¹ Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts.

The Fund has the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of September 30, 2021.

Counterparty	Asset Type	Cash Pledged		Cash Received
Barclays Bank plc	Forward foreign currency exchange contracts	$	770,000	$	—
BNP Paribas	Total return swap agreements		—		1,340,000
BofA Securities, Inc.	Credit default swap agreements		3,407,661		—
BofA Securities, Inc.	Interest rate swap agreements		—		4,199,091
Citibank, N.A.	Forward foreign currency exchange contracts, Options		—		3,461,566
Goldman Sachs International	Forward foreign currency exchange contracts, Options		—		4,810,000
JPMorgan Chase Bank, N.A.	Forward foreign currency exchange contracts, Total return swap agreements		—		880,000
Morgan Stanley Capital Services LLC	Forward foreign currency exchange contracts, Options		—		1,220,000
			4,177,661		15,910,657

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Note 4 – Fair Value Measurement

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Fund’s 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 Fund’s assets and liabilities are categorized as Level 2, as indicated in this report.

Quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may also be used to value the Fund’s assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although quotes are typically received from established market participants, the Fund may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in a quote would generally result in significant changes in the fair value of the security.

Certain fixed income securities are valued by obtaining a monthly quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates.

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote.

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

Note 5 – Investment Advisory Agreement and Other Agreements

Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.39% of the average daily net assets of the Fund.

GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Board has adopted Distribution Plans related to the offering of A-Class, C-Class and P-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of the Fund’s A-Class and P-Class shares, and 1.00% of the average daily net assets of the Fund’s C-Class shares.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

NOTES TO FINANCIAL STATEMENTS (continued)

The investment advisory contract for the Fund provides that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends or interest on securities sold short, expenses of other investment companies in which the Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit			Effective Date		Contract End Date
A-Class		0.75	%		12/01/13		02/01/23
C-Class		1.50	%		12/01/13		02/01/23
P-Class		0.75	%		05/01/15		02/01/23
Institutional Class		0.50	%		12/01/13		02/01/23
R6-Class		0.50	%		03/13/19		02/01/23

GI is entitled to reimbursement by the Fund for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. For purposes of this arrangement, GI is entitled to recoupment of previously waived fees or reimbursed expenses for 36 months from the date of the waiver or reimbursement by GI. At September 30, 2021, the amount of fees waived or expenses reimbursed that are subject to recoupment and will expire during the years ended September 30, are presented in the following table:

	2022		2023		2024		Fund Total
A-Class	$	451,627	$	360,600	$	332,853	$	1,145,080
C-Class		78,366		70,291		80,424		229,081
P-Class		194,676		124,505		146,751		465,932
Institutional Class		1,856,165		1,680,554		2,560,156		6,096,875
R6-Class		5,739		21,838		493		28,070

For the year ended September 30, 2021, GI recouped $3,723 from the Fund.

If the Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by the Fund with respect to its investment in such affiliated fund. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the year ended September 30, 2021, the Fund waived $72,757 related to investments in affiliated funds.

For the year ended September 30, 2021, GFD retained sales charges of $337,585 relating to sales of A-Class shares of the Trust.

Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.

MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains the books and records of the Fund’s securities and cash. The Bank of New York Mellon Corp. (“BNY”) acts as the Fund’s custodian. As custodian, BNY is responsible for the custody of the Fund’s assets. For providing the aforementioned administrative and accounting services, MUIS is entitled to receive a monthly fee equal to a percentage of the Fund’s average daily net assets and out of pocket expenses. For providing the aforementioned transfer agent and custodian services, MUIS and BNY are entitled to receive a monthly fee based on the number of transactions during the month and the number of accounts under management, subject to certain minimum monthly fees, and out of pocket expenses.

Note 6 – Federal Income Tax Information

The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.

The tax character of distributions paid during the year ended September 30, 2021 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	92,120,762	$	10,737,858	$	102,858,620

The tax character of distributions paid during the year ended September 30, 2020 was as follows:

Ordinary Income		Long-Term Capital Gain		Total Distributions
$	64,321,961	$	—	$	64,321,961

Note: For U.S. federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

The tax components of distributable earnings/(loss) as of September 30, 2021 were as follows:

Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Accumulated Capital and Other Losses		Other Temporary Differences			Total
$	16,681,166	$	11,405,003	$	44,907,190	$	—	$	(7,619,621	)	$	65,373,738

For U.S. federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. The Fund is permitted to carry forward capital losses for an unlimited period and such capital loss carryforwards retain their character as either short-term or long-term capital losses. As of September 30, 2021, the Fund had no capital loss carryforwards.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swap agreements, foreign currency gains and losses, the “mark-to-market” of certain derivatives, reclassification of distributions, losses deferred due to wash sales, paydown reclasses, dividends payable, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of bond premium/discount amortization, income accruals on certain investments and the “mark-to-market” of certain investments denominated in foreign currencies. To the extent these differences are permanent and would require a reclassification between Paid in Capital and Total Distributable Earnings (Loss), such reclassifications are made in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.

There were no adjustments made on the Statement of Assets and Liabilities as of September 30, 2021 for permanent book/tax differences.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

NOTES TO FINANCIAL STATEMENTS (continued)

At September 30, 2021, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows:

Tax Cost		Tax Unrealized Appreciation		Tax Unrealized Depreciation			Net Tax Unrealized Appreciation/ (Depreciation)
$	6,103,269,678	$	70,557,714	$	(25,686,160	)	$	44,871,554

Note 7 – Securities Transactions

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Purchases		Sales
$	5,528,559,091	$	3,491,357,820

For the year ended September 30, 2021, the cost of purchases and proceeds from sales of government securities were as follows:

Purchases		Sales
$	786,848	$	787,136

The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended September 30, 2021, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:

Purchases		Sales		Realized Gain (Loss)
$	243,424,575	$	5,492,492	$	151,174

Note 8 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of September 30, 2021. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

Borrower	Maturity Date		Face Amount		Value
BGIS (BIFM CA Buyer, Inc.)		06/01/26	$	969,388	$	4,847
KKR Core Holding Company LLC		07/15/31		14,600,000		—
Medline Industries, Inc.		08/06/22		14,450,000		—
Venture Global Calcasieu Pass LLC		08/19/26		427,737		23,526
			$	30,447,125	$	28,373

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Note 9 – Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board:

Restricted Securities	Acquisition Date		Cost		Value
Cascade Funding Mortgage Trust
2018-RM2, 4.00% (WAC) due 10/25/681		11/02/18	$	8,433,175	$	8,767,568
Cascade Funding Mortgage Trust
2019-RM3, 2.80% (WAC) due 06/25/691		06/25/19		2,743,714		2,783,216
Copper River CLO Ltd.
2007-1A, due 01/20/212		05/09/14		14,020		17,115
FKRT
2020-C2A, 3.25% due 12/30/23		12/03/20		15,062,684		15,055,608
LSTAR Securities Investment Ltd.
2021-1, 1.89% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/261		02/04/21		11,467,486		11,502,405
LSTAR Securities Investment Ltd.
2021-2, 1.79% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/261		03/17/21		7,147,585		7,150,523
			$	44,868,664	$	45,276,435

1

Variable rate security. Rate indicated is the rate effective at September 30, 2021. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

2

Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.

Note 10 – 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 October 1, 2021, at which time the line of credit was renewed. A Fund may draw (borrow) from the line of credit as a temporary measure for emergency purposes, to facilitate redemption requests, or for other short-term liquidity purposes consistent with the Fund’s investment objective and program. For example, it may be advantageous for the Fund to borrow money rather than sell existing portfolio positions to meet redemption requests. Fees related to borrowings, if any, vary under this arrangement between the greater of Citibank’s “base rate”, LIBOR plus 1%, or the federal funds rate plus 1/2 of 1%.

The commitment fee that may be paid by the Fund is at an annualized rate of 0.15% of the average daily amount of its allocated unused commitment amount. The commitment fee amount is allocated to the individual Funds based on the respective net assets of each participating Fund and is referenced in the Statement of Operations under “Line of credit fees”. The Fund did not have any borrowings under this agreement as of and for the year ended September 30, 2021.

On October 1, 2021, the Trust, along with other affiliated trusts, renewed the $1,230,000,000 line of credit with Citibank, N.A.

Note 11 – COVID-19

The outbreak of COVID-19 and the current recovery underway has caused disruption to consumer demand, economic output, and supply chains. There are still travel restrictions, quarantines, and disparate global vaccine distributions. As with other serious economic disruptions, governmental authorities and regulators are responding to this crisis with significant fiscal and monetary policy changes. These include providing direct capital infusions into companies, introducing new monetary programs, and considerably lowering interest rates. In some cases, these responses resulted in negative interest rates and higher inflation. These actions, including their possible unexpected or sudden reversal or potential ineffectiveness, could further increase volatility in securities and other financial markets, reduce market liquidity, continue to cause higher inflation, heighten investor uncertainty, and adversely affect the value of the Fund’s investments and the performance of the Fund. The duration and extent of COVID-19 over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which COVID-19 impacts the Fund will depend on future developments, which are highly uncertain and difficult to predict. Management continues to monitor and evaluate this situation.

Note 12 – Subsequent Events

The Fund 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 Fund’s financial statements.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 59

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders and the Board of Trustees of Guggenheim Limited Duration Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Guggenheim Limited Duration Fund (the “Fund”), (one of the funds constituting Guggenheim Funds Trust (the “Trust”)), including the schedule of investments, as of September 30, 2021, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Guggenheim Funds Trust) at September 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2021, by correspondence with the custodians, transfer agent, brokers, and paying agents or by other appropriate auditing procedures where replies from brokers or paying agents were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more Guggenheim investment companies since 1979.

Tysons, Virginia
November 29, 2021

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Federal Income Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

In January 2022, 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 2021.

The Fund’s investment income (dividend income plus short-term capital gains, if any) qualifies as follows:

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2021, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.

Additionally, of the taxable ordinary income distributions paid during the fiscal year ended September 30, 2021, the Fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.

Qualified Dividend Income			Dividend Received Deduction			Qualified Interest Income			Qualified Short-Term Capital Gain
	0.19	%		0.24	%		75.44	%		100.00	%

With respect to the taxable year ended September 30, 2021, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:

From long-term capital gain		From long-term capital gain, using proceeds from shareholder redemptions
$	10,737,858	$	—

Delivery of Shareholder Reports

Paper copies of the Fund’s annual and semi-annual shareholder reports are not sent by mail, unless you specifically request paper copies of the reports from a fund or from your financial intermediary. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a fund directly, you can inform the Fund that you wish to receive paper copies of reports by calling 800.820.0888. If you hold shares of a fund through a financial intermediary, please contact the financial intermediary to make this election. Your election to receive reports in paper may apply to all Guggenheim Funds in which you are invested and may apply to all Guggenheim funds held with your financial intermediary.

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s portfolio is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.

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Sector Classification

Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Report of the Guggenheim Funds Trust Contracts Review Committee

Guggenheim Funds Trust (the “Trust”) was organized as a Delaware statutory trust on November 8, 2013, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series:

●	Guggenheim Alpha Opportunity Fund (“Alpha Opportunity Fund”)	●	Guggenheim Capital Stewardship Fund (“Capital Stewardship Fund”)
●	Guggenheim Diversified Income Fund (“Diversified Income Fund”)	●	Guggenheim Floating Rate Strategies Fund (“Floating Rate Strategies Fund”)
●	Guggenheim High Yield Fund (“High Yield Fund”)	●	Guggenheim Investment Grade Bond Fund (“Investment Grade Bond Fund”)
●	Guggenheim Large Cap Value Fund (“Large Cap Value Fund”)	●	Guggenheim Limited Duration Fund (“Limited Duration Fund”)
●	Guggenheim Macro Opportunities Fund (“Macro Opportunities Fund”)	●	Guggenheim Market Neutral Real Estate Fund (“Market Neutral Real Estate Fund”)
●	Guggenheim Municipal Income Fund (“Municipal Income Fund”)	●	Guggenheim Risk Managed Real Estate Fund (“Risk Managed Real Estate Fund”)
●	Guggenheim Small Cap Value Fund (“Small Cap Value Fund”)	●	Guggenheim SMid Cap Value Fund (“SMid Cap Value Fund”)
●	Guggenheim StylePlus—Large Core Fund (“StylePlus—Large Core Fund”)	●	Guggenheim StylePlus—Mid Growth Fund (“StylePlus—Mid Growth Fund”)
●	Guggenheim Total Return Bond Fund (“Total Return Bond Fund”)	●	Guggenheim Ultra Short Duration Fund (“Ultra Short Duration Fund”)
●	Guggenheim World Equity Income Fund (“World Equity Income Fund”)

Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of: (i) Alpha Opportunity Fund; (ii) High Yield Fund; (iii) Investment Grade Bond Fund; (iv) Large Cap Value Fund; (v) Municipal Income Fund; (vi) Small Cap Value Fund; (vii) SMid Cap Value Fund; (viii) StylePlus—Large Core Fund; (ix) StylePlus—Mid Growth Fund; and (x) World Equity Income Fund (collectively, the “SI-Advised Funds”). (Guggenheim Partners, Security Investors, Guggenheim Partners Investment Management, LLC (“GPIM”) and their affiliates may be referred to herein collectively as “Guggenheim.” Security Investors and GPIM are also known as “Guggenheim Investments,” the global asset management and investment advisory division of Guggenheim Partners that includes other affiliated investment management businesses.)

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Under the terms of investment management agreements between Security Investors and the Trust, with respect to the SI-Advised Funds, Security Investors also is responsible for overseeing the activities of GPIM, an indirect subsidiary of Guggenheim Partners, with respect to its service as investment sub-adviser to Municipal Income Fund, pursuant to an investment sub-advisory agreement between Security Investors and GPIM (the “GPIM Sub-Advisory Agreement”).

GPIM serves as investment adviser to each of: (i) Diversified Income Fund; (ii) Floating Rate Strategies Fund; (iii) Limited Duration Fund; (iv) Macro Opportunities Fund;¹ (v) Market Neutral Real Estate Fund; (vi) Risk Managed Real Estate Fund; (vii) Total Return Bond Fund; and (viii) Ultra Short Duration Fund (collectively, the “GPIM-Advised Funds” and together with the SI-Advised Funds, the “Funds” and individually, a “Fund”).² Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Advisers regularly provide (or, as applicable, oversee the provision of) investment research, advice and supervision, along with a continuous investment program for the Funds, and direct the purchase and sale of securities and other investments for each Fund’s portfolio. GPIM also serves as investment adviser for Capital Stewardship Fund, which is addressed in a separate report.³

Each of the Advisory Agreements continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.⁴ At meetings held by videoconference on April 20, 2021 (the “April Meeting”) and on May 26, 2021 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Agreements in connection with the Committee’s annual contract review schedule.

As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Agreements and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board received throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Agreements.

In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.

1	GPIM also serves as investment adviser to Guggenheim Macro Opportunities Fund CFC (the “Subsidiary”), a wholly-owned subsidiary of Macro Opportunities Fund that is organized as a limited company under the laws of the Cayman Islands and used by Macro Opportunities Fund to obtain commodities exposure. Pursuant to a separate investment advisory agreement for the Subsidiary (the “Subsidiary Advisory Agreement”), the Subsidiary pays GPIM an advisory fee at the same rate that Macro Opportunities Fund pays GPIM under its Advisory Agreement. The Subsidiary Advisory Agreement does not require annual renewal by the Independent Trustees and will continue until it is terminated as provided in the Agreement. In addition, GPIM and Macro Opportunities Fund have entered into a separate fee waiver agreement pursuant to which GPIM has contractually agreed to waive the advisory fee it receives from Macro Opportunities Fund in an amount equal to the advisory fee paid to GPIM by the Subsidiary. This undertaking will continue for so long as Macro Opportunities Fund invests in the Subsidiary, and may be terminated only with the approval of the Board.
2	The investment management agreements pertaining to the SI-Advised Funds and the investment management agreements pertaining to the GPIM-Advised Funds are referred to herein together as the “Advisory Agreements” and, together with the GPIM Sub-Advisory Agreement, as the “Agreements.” In addition, unless the context indicates otherwise, GPIM, with respect to its service as investment adviser to the GPIM-Advised Funds, and Security Investors as to the SI-Advised Funds, are each referred to herein as an “Adviser” and together, the “Advisers.”
3	Because shares of Capital Stewardship Fund are only offered for subscription and are held by a limited number of institutional/bank investors, and the Fund issues a shareholder report separate from the other series of the Trust, the factors considered by the Committee in evaluating the proposed renewal of an investment management agreement pertaining to Capital Stewardship Fund, and the Sub-Advisory Agreement with Concinnity Advisors, LP, are addressed in a separate report of the Committee. Accordingly, references to the “Funds” should be understood as referring to all series of the Trust, excluding Capital Stewardship Fund.
4	On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief, initially provided for a limited period of time, has been extended multiple times and was in effect as of May 26, 2021. The Board, including the Independent Trustees, relied on this relief in voting to renew the Agreements at a meeting of the Board held by videoconference on May 26, 2021.

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OTHER INFORMATION (Unaudited)(continued)

In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.

Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of each of the Advisory Agreements and the GPIM Sub-Advisory Agreement for an additional annual term.

Advisory Agreements

Nature, Extent and Quality of Services Provided by Each Adviser: With respect to the nature, extent and quality of services currently provided by each Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, funds in the Guggenheim fund complex, including the Funds.

The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal, regulatory and operational risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.

With respect to Municipal Income Fund, the Committee noted that, although Security Investors delegated certain portfolio management responsibilities to the Sub-Adviser, as affiliated companies, both the Adviser and Sub-Adviser are part of the Guggenheim organization. Further, the Committee took into account Guggenheim’s explanation that investment advisory-related services are provided by many Guggenheim employees under different related legal entities and thus, the services provided by the Adviser on the one hand and the Sub-Adviser on the other, as well as the risks assumed by each party, cannot be ascribed to distinct legal entities.⁵ As a result, the Committee did not evaluate the services provided to the Municipal Income Fund under the Advisory Agreement and the GPIM Sub-Advisory Agreement separately.

With respect to Guggenheim’s resources and the ability of each Adviser to carry out its responsibilities under the applicable Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH. (Thereafter, the Committee received the audited consolidated financial statements of GPIM.)

The Committee also considered the acceptability of the terms of each Advisory Agreement, including the scope of services required to be performed by each Adviser.

⁵ Consequently, except where the context indicates otherwise, references to “Adviser” or “Sub-Adviser” should be understood as referring to Guggenheim Investments generally and the services it provides under both Agreements.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how each Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that each Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under each Advisory Agreement with respect to the Funds.

Investment Performance: The Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2020, as applicable. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark, a universe of funds and a narrower peer group of similar funds based on asset levels as identified by FUSE, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. The Committee also received certain updated performance information as of March 31, 2021.

In seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. Except as to the individual Funds discussed below, the Committee observed that the returns of each Fund’s Institutional Class shares ranked in the third quartile or better of such Fund’s performance universe for each of the relevant periods considered.

In addition, the Committee made the following observations:

Alpha Opportunity Fund: The returns of the Fund’s Institutional Class shares ranked in the 81st and 91st percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the Fund’s beta profile and fundamental factor tilts. The Committee noted management’s statement that the Fund’s lower beta profile to broad market U.S. equities relative to its peers, long exposure to value and short exposure to growth, and negative sector exposures to well-performing sectors have detracted from investment performance. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings were in the 87th and 89th percentiles, respectively, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

Diversified Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd percentile of its performance universe for the three-year period ended December 31, 2020. The Committee noted management’s explanation that the Fund’s relative underperformance over this time period was primarily due to the Fund’s defensively-positioned portfolio, in particular within its fixed-income sleeve which includes allocations to several Guggenheim fixed-income funds that were defensively positioned beginning in 2018, reflecting Guggenheim’s market views. The Committee also noted management’s statement that the Fund maintained a lower beta profile to equities relative to its peers. The Committee noted that the Fund’s three-year performance ranking had not improved as of March 31, 2021, but that management continued to attribute the underperformance to the unfavorable market conditions for the Fund’s investment strategy.

High Yield Fund: The returns of the Fund’s Institutional Class shares ranked in the 46th and 79th percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably lower duration and average maturity and an underweight to credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, contributed to relative underperformance. The Committee noted management’s statement that, although the Fund experienced strong downside protection in the first quarter of 2020, the Fund’s continued lower exposure to the most speculative names, which outperformed for the remainder of 2020, hurt relative performance. The Committee also took into account management’s statement that the investment team believes a defensive approach is warranted given deteriorating credit fundamentals and disproportionately tight markets and that more attractive risk-adjusted returns will be realized when volatility and downside risk increases. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 34th and 70th percentiles, respectively.

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OTHER INFORMATION (Unaudited)(continued)

Municipal Income Fund: The returns of the Fund’s Institutional Class shares ranked in the 83rd and 73rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2020, respectively. The Committee noted management’s explanation that the Fund’s increased allocation to floating rate securities in 2016 and the Fund’s more defensive investment approach detracted from performance that year, impacting trailing returns for the five-year period. The Committee noted management’s explanation that the Fund’s defensive positioning in 2019, notably underweights in duration and credit risks, which reflected Guggenheim’s market views that were implemented beginning in 2018, also contributed to relative underperformance. The Committee also noted management’s statement that, although the Fund’s defensive positioning resulted in top quartile performance relative to its peers during the first quarter of 2020, the Fund underperformed relative to its peers for the remainder of 2020 due to lack of upside participation. The Committee noted that, as of March 31, 2021, the five-year and three-year performance rankings had improved to the 40th and 43rd percentiles, respectively.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.

Comparative Fees, Costs of Services Provided and the Benefits Realized by Each Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee⁶ and total net expense ratio to the applicable peer group. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that evaluations seek to incorporate a variety of factors with a general focus on ensuring fees and expenses: (i) are competitive; (ii) give consideration to resource support requirements; and (iii) ensure Funds are able to deliver on shareholder return expectations.

As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by Guggenheim to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable, noting that, in certain instances, Guggenheim charges a lower advisory fee to such other clients. In this connection, the Committee considered, among other things, Guggenheim’s representations about the significant differences between managing mutual funds as compared to other types of accounts. The Committee also considered Guggenheim’s explanation that lower fees are charged in certain instances due to various other factors, including the scope of contract, type of investors, fee structure, applicable legal, governance and capital structures, tax status and historical pricing reasons. In addition, the Committee took into account Guggenheim’s discussion of the entrepreneurial, legal, regulatory and operational risks it faces when offering the Funds as compared to other types of accounts. The Committee concluded that the information it received demonstrated that the aggregate services provided to, or the specific circumstances of, each Fund were sufficiently different from the services provided to, or the specific circumstances of, other clients with similar investment strategies and/or that the risks borne by Guggenheim were sufficiently greater than those associated with managing other clients with similar investment strategies to support the difference in fees.

In further considering the comparative fee and expense data presented in the Contract Review Materials and addressed by Guggenheim, the Committee took into account those Funds with currently effective expense limitation agreements with the Adviser. Except as to the individual Funds discussed below, the Committee observed that the contractual advisory fee, net effective management fee and total net expense ratio for each Fund’s Institutional Class shares each rank in the third quartile or better of such Fund’s peer group.

In addition, the Committee made the following observations:

High Yield Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (73rd percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (93rd percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (87th percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception period ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

⁶ The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements.

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Macro Opportunities Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (71st percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (79th percentile) of its peer group. The Committee noted that the Fund is categorized as a non-traditional bond fund which seeks to add value by investing in many non-traditional securities within and outside of fixed income, including equities, currencies, commodities and derivatives, and that peer funds have varying degrees of capability, flexibility and associated fees. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception and five-year periods ended December 31, 2020. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

Risk Managed Real Estate Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the third quartile (60th percentile) of its peer group. Although the net effective management fee for the Fund’s Institutional Class shares ranks in the fourth quartile (80th percentile) of its peer group, the Committee considered that the total net expense ratio for the Fund’s Institutional Class shares ranks in the third quartile (53rd percentile) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the strong investment performance of the Fund’s Institutional Class shares for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

StylePlus—Mid Growth Fund: The contractual advisory fee for the Fund’s Institutional Class shares ranks in the second quartile (29th percentile) of its peer group. The net effective management fee for the Fund’s Institutional Class shares ranks in the third quartile (57th percentile) of its peer group. The total net expense ratio for the Fund’s Institutional Class shares ranks in the fourth quartile (86th percentile) of its peer group, which the Committee noted was largely driven by the relatively small size of the Fund and the higher other operating expense ratio in comparison to its peers.

Total Return Bond Fund: The contractual advisory fee, net effective management fee and total net expense ratio for the Fund’s Institutional Class shares each rank in the fourth quartile (79th, 100th and 86th percentiles, respectively) of its peer group. The Committee considered the Adviser’s statement explaining the higher fees and expenses that performance is driven by a unique investment approach that requires significant resources. In this regard, the Committee took into consideration the Fund’s strong investment performance for the since-inception, five-year and three-year periods ended December 31, 2020. In addition, the Committee noted the Adviser’s statement that the net effective management fee includes an administration fee of 0.08% that is not paid to the Adviser. The Committee also took into account the Fund’s currently effective expense limitation agreement with the Adviser.

With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2020, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2019. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.

In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented.

The Committee also considered other benefits available to each Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Advisers derive any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Advisers may benefit from certain economies of scale and synergies, such as enhanced visibility of the Advisers, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.

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OTHER INFORMATION (Unaudited)(continued)

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the comparative fees and the benefits realized by each Adviser from its relationship with the Funds were appropriate and that each Adviser’s profitability from its relationship with the Funds was not unreasonable.

Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee considered that Guggenheim believes it is appropriately sharing potential economies of scale and that, although Guggenheim’s overall expenses declined in 2020, generally, costs are anticipated to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things.

The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for a Fund, with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.

As part of its assessment of economies of scale, the Committee considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such breakpoints and expense waivers and limitations. The Committee also noted information from Guggenheim regarding certain challenges and costs associated with managing Funds that have achieved significant scale. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.

Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, the Committee concluded that the advisory fee for each Fund was reasonable.

Sub-Advisory Agreement

Nature, Extent and Quality of Services Provided by the Sub-Adviser: As noted above, because both the Adviser and Sub-Adviser for Municipal Income Fund—Security Investors and GPIM, respectively—are part of and do business as Guggenheim Investments and the services provided by the Adviser on the one hand and the Sub-Adviser on the other cannot be ascribed to distinct legal entities, the Committee did not evaluate the services provided under the Advisory Agreement and Sub-Advisory Agreement separately. Therefore, the Committee considered the qualifications, experience and skills of the Fund’s portfolio management team in connection with the Committee’s evaluation of Guggenheim’s investment professionals under the applicable Advisory Agreement.

With respect to Guggenheim’s resources and the Sub-Adviser’s ability to carry out its responsibilities under the Sub-Advisory Agreement, as noted above, the Committee considered the financial condition of GPIMH and the various entities comprising Guggenheim Investments.

The Committee also considered the acceptability of the terms of the Sub-Advisory Agreement, including the scope of services required to be performed by the Sub-Adviser.

Investment Performance: The Committee considered the returns of the Fund under its evaluation of the Advisory Agreement.

Comparative Fees, Costs of Services Provided and the Benefits Realized by the Sub-Adviser from Its Relationship with the Fund: The Committee considered that the Sub-Advisory Agreement is with an affiliate of the Adviser, that the Adviser compensates the Sub-Adviser from its own fees so that the sub-advisory fee rate for the Fund does not impact the fees paid by the Fund and that the Sub-Adviser’s revenues were included in the calculation of Guggenheim Investments’ profitability. Given its conclusion of the reasonableness of the advisory fee, the Committee concluded that the sub-advisory fee rate for the Fund was reasonable.

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)(concluded)

Economies of Scale: The Committee recognized that, because the Sub-Adviser’s fees are paid by the Adviser and not the Fund, the analysis of economies of scale was more appropriate in the context of the Committee’s consideration of the applicable Advisory Agreement, which was separately considered. (See “Advisory Agreements – Economies of Scale” above.)

Overall Conclusions

The Committee concluded that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of each of the Agreements is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of each Advisory Agreement and the Sub-Advisory Agreement for an additional annual term.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

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).	158	Current: Purpose Investments Funds (2013-present). Former: Managed Duration Investment Grade Municipal Fund (2006-2016).
Angela Brock-Kyle (1959)	Trustee	Since 2019	Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). Former: Senior Leader, TIAA (1987-2012).	157	Current: Bowhead Insurance GP, LLC (2020-present); Hunt Companies, Inc. (2019-present). Former: 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); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present).	157	Current: US Global Investors (GROW) (1995-present). Former: Harvest Volatility Edge Trust (3) (2017-2019).
Ronald A. Nyberg (1953)	Trustee and Chair of the Nominating and Governance Committee	Since 2014	Current: Of Counsel, Momkus LLP (2016-present). Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	158	Current: PPM Funds (2) (2018-present); Edward-Elmhurst Healthcare System (2012-present). Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
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).	157	Current: SPDR Series Trust (81) (2018-present); SPDR Index Shares Funds (30) (2018-present); SSGA Active Trust (14) (2018-present). Former: SSGA Master Trust (1) (2018-2020).
Ronald E. Toupin, Jr. (1958)	Trustee, Chair of the Board and Chair of the Executive Committee	Since 2014	Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	157	Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-2020); Western Asset Inflation-Linked Income Fund (2003-2020); Managed Duration Investment Grade Municipal Fund (2003-2016).

THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustees***
INTERESTED TRUSTEE
Amy J. Lee**** (1961)	Trustee, Vice President and Chief Legal Officer	Since 2018 (Trustee) Since 2014 (Chief Legal Officer) Since 2007 (Vice President)	Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).	157	None.

*	The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each Trustee serves an indefinite term, until his or her successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Active Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund.
****	This Trustee is deemed to be an “interested person” of the Fund under the 1940 Act by reason of her position with the Fund’s Investment Manager and/or the parent of the Investment Manager.

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years
OFFICERS
Brian E. Binder (1972)	President and Chief Executive Officer	Since 2018	Current: President 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 of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012).
James M. Howley (1972)	Assistant Treasurer	Since 2014	Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Glenn McWhinnie (1969)	Assistant Treasurer	Since 2016	Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present).
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (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 | 73

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).
John L. Sullivan (1955)	Chief Financial Officer, Chief Accounting Officer and Treasurer	Since 2014	Current: Chief Financial Officer, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and Chief Compliance Officer, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); Chief Financial Officer and Treasurer, Van Kampen Funds (1996-2004).
Jon Szafran (1989)	Assistant Treasurer	Since 2017	Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014–2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013).

*	The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified.

74 | 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.

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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued)

● We use information as otherwise permitted by law, as we may notify you.

● Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors.

We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.

We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.

We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).

If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.

Opt-Out Provisions and Your Data Choices

The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.

European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.

Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.

76 | 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 | 77

LIQUIDITY RISK MANAGEMENT PROGRAM

In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Guggenheim Funds Trust (the
“Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).

The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk.
In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.

Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.

During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from March 31, 2020 to March 31, 2021. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable. The Report further concluded that the Program operated effectively during recent market conditions arising from COVID-19.

Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.

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Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code 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. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees: the aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements, or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $670,931 and $673,431 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively.

(b) Audit-Related Fees: the aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $0 and $0 for fiscal years ended September 30, 2021 and September 30, 2020, respectively.

(c) Tax Fees: the aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice and tax planning including preparation of tax returns and distribution assistance were $230,260 and $253,428 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively. These services consisted of (i) preparation of U.S. federal, state and excise tax returns; (ii) U.S. federal and state tax planning, advice and assistance regarding statutory, regulatory or administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired and (iv) review of U.S. federal excise distribution calculations.

(d) All Other Fees: the aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 and $0 for the fiscal years ended September 30, 2021 and September 30, 2020, respectively.

(e) Audit Committee Pre-Approval Policies and Procedures.

(1) Audit Committee pre-approval policies and procedures:

To fulfill its responsibilities and duties the Audit Committee (the “Committee”) shall:

1. Pre-Approval Policy (Trusts). Pre-approve any engagement of the independent auditors to provide any services, other than “prohibited non-audit services,” to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The categories of services to be reviewed and considered for pre-approval include those services set forth under Section II.A.1. of the Background and Definitions for Audit Committee Charter (collectively, “Identified Services”).

(b) The Committee has pre-approved Identified Services for which the estimated fees are less than $25,000.

(c) For Identified Services with estimated fees of $25,000 or more, but less than $50,000, the Chair or any member of the Committee designated by the Chair is hereby authorized to pre-approve such Identified Services on behalf of the Committee.

(d) For Identified Services with estimated fees of $50,000 or more, such Identified Services require pre-approval by the Committee.

(e) All requests for Identified Services to be provided by the independent auditor that were pre-approved by the Committee shall be submitted to the Principal/Chief Accounting Officer (“CAO”) of the Trust by the independent auditor using the pre-approval request form. The Trust’s CAO will determine whether such services are included within the list of services that have received the general pre-approval of the Committee.

(f) The independent auditors or the CAO of the Trust (or an officer of the Trust who reports to the CAO) shall report to the Committee at each of its regular scheduled meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category of Identified Services under which pre-approval was obtained).

2. Pre-Approval Policy (Adviser or Any Control Affiliate). Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations or financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X).

(a) The Chair or any member of the Committee designated by the Chair may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations or financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next 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

(2) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding years for services rendered to the registrant, the investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $230,260 and $253,428, 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.

The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Mangers of Closed-end Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

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 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.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(a)) are attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	Guggenheim Funds Trust
By (Signature and Title)*	/s/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	December 9, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Brian E. Binder
	Brian E. Binder, President and Chief Executive Officer
Date	December 9, 2021
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer
Date	December 9, 2021

^* 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

Fiduciary/Claymore Energy Infrastructure Fund (“FMO”)

Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust (“GBAB”)

Guggenheim Credit Allocation Fund (“GGM”)

Guggenheim Enhanced Equity Income Fund (“GPM”)

Guggenheim Floating Rate & Income Fund (“GFT”)

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 (“GSF”)

Transparent Value Trust

Rydex Series Funds

Rydex Dynamic Funds

Rydex Variable Trust

EX-99.CERT

EXHIBIT 13(a)(2)(i)

CERTIFICATION

I, Brian E. Binder, certify that:

1. I have reviewed this report on Form N-CSR of Guggenheim 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 officers 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 officers 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: December 9, 2021	/s/ Brian E. Binder
	Brian E. Binder President and Chief Executive Officer

EX.-13(a)(2)(ii)

CERTIFICATION

I, John L. Sullivan, certify that:

1. I have reviewed this report on Form N-CSR of Guggenheim 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 officers 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 officers 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: December 9, 2021	/s/ John L. Sullivan
	John L. Sullivan Chief Financial Officer, Chief Accounting Officer and Treasurer

EX-99.906 CERT

EXHIBIT 13(b)(i)

CERTIFICATION

I, Brian E. Binder, President and Chief Executive Officer, and I, John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer of Guggenheim 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:	December 9, 2021
		/s/ Brian E. Binder
		Brian E. Binder
		President and Chief Executive Officer
Date:	December 9, 2021
		/s/ John L. Sullivan
		John L. Sullivan
		Chief Financial Officer, Chief Accounting Officer and Treasurer