18 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(In Liquidation) (concluded)
|
September 30, 2012
|
ALL CAP VALUE FUND
|
|
|
Shares
|
|
|
Value
|
|
HEALTH CARE - 6.8%
|
|
|
|
|
|
|
|
|
Covidien plc
|
|
|
643
|
|
|
$
|
38,207
|
|
Aetna, Inc.
|
|
|
862
|
|
|
|
34,136
|
|
UnitedHealth Group, Inc.
|
|
|
364
|
|
|
|
20,169
|
|
MEDNAX, Inc.*
|
|
|
255
|
|
|
|
18,985
|
|
Teva Pharmaceutical Industries Ltd. ADR
|
|
|
440
|
|
|
|
18,220
|
|
Forest Laboratories, Inc.*
|
|
|
495
|
|
|
|
17,627
|
|
Community Health Systems, Inc.*
|
|
|
310
|
|
|
|
9,033
|
|
Universal Health Services, Inc. — Class B
|
|
|
168
|
|
|
|
7,683
|
|
Hologic, Inc.*
|
|
|
309
|
|
|
|
6,254
|
|
Kindred Healthcare, Inc.*
|
|
|
474
|
|
|
|
5,394
|
|
Total Health Care
|
|
|
|
|
|
|
175,708
|
|
CONSUMER STAPLES - 6.7%
|
|
|
|
|
|
|
|
|
CVS Caremark Corp.
|
|
|
957
|
|
|
|
46,338
|
|
Mondelez International, Inc. — Class A
|
|
|
1,001
|
|
|
|
41,391
|
|
Wal-Mart Stores, Inc.
|
|
|
550
|
|
|
|
40,590
|
|
Ralcorp Holdings, Inc.*
|
|
|
239
|
|
|
|
17,447
|
|
Hormel Foods Corp.
|
|
|
317
|
|
|
|
9,269
|
|
Darling International, Inc.*
|
|
|
506
|
|
|
|
9,255
|
|
JM Smucker Co.
|
|
|
72
|
|
|
|
6,216
|
|
Post Holdings, Inc.*
|
|
|
73
|
|
|
|
2,194
|
|
Total Consumer Staples
|
|
|
|
|
|
|
172,700
|
|
UTILITIES - 3.2%
|
|
|
|
|
|
|
|
|
Edison International
|
|
|
1,169
|
|
|
|
53,412
|
|
Black Hills Corp.
|
|
|
395
|
|
|
|
14,050
|
|
Great Plains Energy, Inc.
|
|
|
392
|
|
|
|
8,726
|
|
MDU Resources Group, Inc.
|
|
|
222
|
|
|
|
4,893
|
|
Total Utilities
|
|
|
|
|
|
|
81,081
|
|
MATERIALS - 2.9%
|
|
|
|
|
|
|
|
|
Dow Chemical Co.
|
|
|
1,308
|
|
|
|
37,880
|
|
Owens-Illinois, Inc.*
|
|
|
840
|
|
|
|
15,758
|
|
Sonoco Products Co.
|
|
|
413
|
|
|
|
12,799
|
|
Zoltek Companies, Inc.*
|
|
|
635
|
|
|
|
4,883
|
|
Globe Specialty Metals, Inc.
|
|
|
271
|
|
|
|
4,125
|
|
Total Materials
|
|
|
|
|
|
|
75,445
|
|
TELECOMMUNICATION SERVICES - 0.6%
|
|
|
|
|
|
|
|
|
Windstream Corp.
|
|
|
1,556
|
|
|
|
15,731
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $2,122,374)
|
|
|
|
|
|
|
2,433,414
|
|
EXCHANGE TRADED FUNDS
†
- 3.9%
|
|
|
|
|
|
|
|
|
iShares Russell 1000 Value Index Fund
|
|
|
980
|
|
|
|
70,736
|
|
iShares Russell Midcap Value Index Fund
|
|
|
625
|
|
|
|
30,450
|
|
Total Exchange Traded Funds
|
|
|
|
|
|
|
|
|
(Cost $99,876)
|
|
|
|
|
|
|
101,186
|
|
Total Investments - 98.2%
|
|
|
|
|
|
|
|
|
(Cost $2,222,250)
|
|
|
|
|
|
$
|
2,534,600
|
|
Other Assets & Liabilities, net - 1.8%
|
|
|
|
|
|
|
45,964
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
2,580,564
|
|
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs — See Note 4.
|
|
|
ADR — American Depositary Receipt
|
|
|
plc — Public Limited Company
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19
|
STATEMENT OF ASSETS
AND LIABILITIES
(In Liquidation)
September 30, 2012
Assets
:
|
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $2,222,250)
|
|
$
|
2,534,600
|
|
Cash
|
|
|
57,672
|
|
Prepaid expenses
|
|
|
23,271
|
|
Receivables:
|
|
|
|
|
Investment advisor
|
|
|
7,068
|
|
Dividends
|
|
|
3,933
|
|
Fund shares sold
|
|
|
6
|
|
Total assets
|
|
|
2,626,550
|
|
Liabilities
:
|
|
|
|
|
Payable for:
|
|
|
|
|
Fund shares redeemed
|
|
|
27,085
|
|
Professional fees
|
|
|
9,436
|
|
Management fees
|
|
|
1,518
|
|
Distribution and service fees
|
|
|
1,129
|
|
Transfer agent/maintenance fees
|
|
|
479
|
|
Securities purchased
|
|
|
338
|
|
Fund accounting/administration fees
|
|
|
206
|
|
Directors’ fees*
|
|
|
193
|
|
Miscellaneous
|
|
|
5,602
|
|
Total liabilities
|
|
|
45,986
|
|
Net assets
|
|
$
|
2,580,564
|
|
Net assets consist of
:
|
|
|
|
|
Paid in capital
|
|
$
|
2,146,601
|
|
Undistributed net investment income
|
|
|
5,259
|
|
Accumulated net realized gain on investments
|
|
|
116,354
|
|
Net unrealized appreciation on investments
|
|
|
312,350
|
|
Net assets
|
|
$
|
2,580,564
|
|
A-Class
:
|
|
|
|
|
Net assets
|
|
$
|
1,144,766
|
|
Capital shares outstanding
|
|
|
97,856
|
|
Net asset value per share
|
|
$
|
11.70
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
12.28
|
|
C-Class
:
|
|
|
|
|
Net assets
|
|
$
|
1,057,579
|
|
Capital shares outstanding
|
|
|
92,922
|
|
Net asset value per share
|
|
$
|
11.38
|
|
Institutional Class
:
|
|
|
|
|
Net assets
|
|
$
|
378,219
|
|
Capital shares outstanding
|
|
|
32,266
|
|
Net asset value per share
|
|
$
|
11.72
|
|
STATEMENT OF
OPERATIONS
(In Liquidation)
Year Ended September 30, 2012
Investment Income
:
|
|
|
|
|
Dividends
|
|
$
|
52,567
|
|
Interest
|
|
|
9
|
|
Total investment income
|
|
|
52,576
|
|
Expenses
:
|
|
|
|
|
Management fees
|
|
|
21,336
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
3,799
|
|
C-Class
|
|
|
3,010
|
|
Institutional Class
|
|
|
391
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
3,613
|
|
C-Class
|
|
|
12,485
|
|
Fund accounting/administration fees
|
|
|
2,895
|
|
Registration fees
|
|
|
38,902
|
|
Custodian fees
|
|
|
6,986
|
|
Printing expenses
|
|
|
6,387
|
|
Professional fees
|
|
|
5,647
|
|
Directors’ fees*
|
|
|
310
|
|
Miscellaneous
|
|
|
2,553
|
|
Total expenses
|
|
|
108,314
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(60,997
|
)
|
Net expenses
|
|
|
47,317
|
|
Net investment income
|
|
|
5,259
|
|
Net Realized and Unrealized Gain (Loss)
:
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
152,569
|
|
Options written
|
|
|
2,504
|
|
Net realized gain
|
|
|
155,073
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
501,666
|
|
Options written
|
|
|
(116
|
)
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
501,550
|
|
Net realized and unrealized gain
|
|
|
656,623
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
661,882
|
|
* Relates to Directors not deemed “interested persons”
within the meaning of Section 2(a)(19) of the 1940 Act.
20 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30, 2012
|
|
|
September 30,
|
|
|
|
(In Liquidation)
|
|
|
2011
|
|
Increase (Decrease) In Net Assets From
Operations
:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
5,259
|
|
|
$
|
2,892
|
|
Net realized gain on investments
|
|
|
155,073
|
|
|
|
186,457
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
501,550
|
|
|
|
(392,697
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
661,882
|
|
|
|
(203,348
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders from
:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(1,457
|
)
|
|
|
(2,929
|
)
|
Institutional Class
|
|
|
(1,267
|
)
|
|
|
(1,040
|
)
|
Net realized gains
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(97,073
|
)
|
|
|
(89,465
|
)
|
C-Class
|
|
|
(65,107
|
)
|
|
|
(51,878
|
)
|
Institutional Class
|
|
|
(19,564
|
)
|
|
|
(18,694
|
)
|
Total distributions to shareholders
|
|
|
(184,468
|
)
|
|
|
(164,006
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions
:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
792,840
|
|
|
|
509,310
|
|
C-Class
|
|
|
1,221,188
|
|
|
|
500,554
|
|
Institutional Class
|
|
|
373,000
|
|
|
|
23,672
|
|
Distributions reinvested
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
98,113
|
|
|
|
92,394
|
|
C-Class
|
|
|
64,307
|
|
|
|
51,833
|
|
Institutional Class
|
|
|
20,831
|
|
|
|
19,734
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(1,492,824
|
)
|
|
|
(547,992
|
)
|
C-Class
|
|
|
(1,419,806
|
)
|
|
|
(166,421
|
)
|
Institutional Class
|
|
|
(372,828
|
)
|
|
|
(25,872
|
)
|
Net increase (decrease) from capital share transactions
|
|
|
(715,179
|
)
|
|
|
457,212
|
|
Net increase (decrease) in net assets
|
|
|
(237,765
|
)
|
|
|
89,858
|
|
|
|
|
|
|
|
|
|
|
Net assets
:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
2,818,329
|
|
|
|
2,728,471
|
|
End of year
|
|
$
|
2,580,564
|
|
|
$
|
2,818,329
|
|
Undistributed net investment income at end of year
|
|
$
|
5,259
|
|
|
$
|
2,724
|
|
|
|
|
|
|
|
|
|
|
Capital share activity
:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
70,114
|
|
|
|
44,039
|
|
C-Class
|
|
|
111,516
|
|
|
|
42,478
|
|
Institutional Class
|
|
|
32,266
|
|
|
|
1,966
|
|
Shares issued from reinvestment of distributions
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
9,544
|
|
|
|
7,993
|
|
C-Class
|
|
|
6,392
|
|
|
|
4,547
|
|
Institutional Class
|
|
|
2,026
|
|
|
|
1,706
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(131,878
|
)
|
|
|
(46,034
|
)
|
C-Class
|
|
|
(131,066
|
)
|
|
|
(14,749
|
)
|
Institutional Class
|
|
|
(32,251
|
)
|
|
|
(2,076
|
)
|
Net increase (decrease) in shares
|
|
|
(63,337
|
)
|
|
|
39,870
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 21
|
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a
share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30, 2012
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
(In Liquidation)
|
|
|
2011
|
|
|
2010
|
|
|
2009
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.91
|
|
|
$
|
11.11
|
|
|
$
|
10.21
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
b
|
|
|
.05
|
|
|
|
.04
|
|
|
|
.03
|
|
|
|
.04
|
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and
unrealized)
|
|
|
2.40
|
|
|
|
(.61
|
)
|
|
|
.89
|
|
|
|
.17
|
|
Total from investment operations
|
|
|
2.45
|
|
|
|
(.57
|
)
|
|
|
.92
|
|
|
|
.21
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(.01
|
)
|
|
|
(.02
|
)
|
|
|
(.02
|
)
|
|
|
—
|
|
Net realized gains
|
|
|
(.65
|
)
|
|
|
(.61
|
)
|
|
|
—
|
|
|
|
—
|
|
Total distributions
|
|
|
(.66
|
)
|
|
|
(.63
|
)
|
|
|
(.02
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
11.70
|
|
|
$
|
9.91
|
|
|
$
|
11.11
|
|
|
$
|
10.21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
25.61
|
%
|
|
|
(5.93
|
%)
|
|
|
8.97
|
%
|
|
|
2.10
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,145
|
|
|
$
|
1,487
|
|
|
$
|
1,601
|
|
|
$
|
1,319
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.45
|
%
|
|
|
0.31
|
%
|
|
|
0.31
|
%
|
|
|
0.51
|
%
|
Total expenses
d
|
|
|
3.28
|
%
|
|
|
2.78
|
%
|
|
|
3.71
|
%
|
|
|
6.75
|
%
|
Net expenses
e
|
|
|
1.28
|
%
|
|
|
1.27
|
%
|
|
|
1.29
|
%
|
|
|
1.35
|
%
|
Portfolio turnover rate
|
|
|
30
|
%
|
|
|
30
|
%
|
|
|
55
|
%
|
|
|
17
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30, 2012
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
(In Liquidation)
|
|
|
2011
|
|
|
2010
|
|
|
2009
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.72
|
|
|
$
|
10.97
|
|
|
$
|
10.13
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
b
|
|
|
(.03
|
)
|
|
|
(.05
|
)
|
|
|
(.04
|
)
|
|
|
(.02
|
)
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and
unrealized)
|
|
|
2.34
|
|
|
|
(.59
|
)
|
|
|
.88
|
|
|
|
.15
|
|
Total from investment operations
|
|
|
2.31
|
|
|
|
(.64
|
)
|
|
|
.84
|
|
|
|
.13
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.65
|
)
|
|
|
(.61
|
)
|
|
|
—
|
|
|
|
—
|
|
Total distributions
|
|
|
(.65
|
)
|
|
|
(.61
|
)
|
|
|
—
|
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
11.38
|
|
|
$
|
9.72
|
|
|
$
|
10.97
|
|
|
$
|
10.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
24.61
|
%
|
|
|
(6.65
|
%)
|
|
|
8.29
|
%
|
|
|
1.30
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,058
|
|
|
$
|
1,031
|
|
|
$
|
809
|
|
|
$
|
436
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.30
|
%)
|
|
|
(0.42
|
%)
|
|
|
(0.41
|
%)
|
|
|
(0.18
|
%)
|
Total expenses
d
|
|
|
4.04
|
%
|
|
|
3.52
|
%
|
|
|
4.47
|
%
|
|
|
8.89
|
%
|
Net expenses
e
|
|
|
2.03
|
%
|
|
|
2.02
|
%
|
|
|
2.04
|
%
|
|
|
2.10
|
%
|
Portfolio turnover rate
|
|
|
30
|
%
|
|
|
30
|
%
|
|
|
55
|
%
|
|
|
17
|
%
|
22 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30, 2012
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
Institutional Class
|
|
(In Liquidation)
|
|
|
2011
|
|
|
2010
|
|
|
2009
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.93
|
|
|
$
|
11.12
|
|
|
$
|
10.24
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
b
|
|
|
.08
|
|
|
|
.07
|
|
|
|
.06
|
|
|
|
.07
|
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
2.40
|
|
|
|
(.62
|
)
|
|
|
.88
|
|
|
|
.17
|
|
Total from investment operations
|
|
|
2.48
|
|
|
|
(.55
|
)
|
|
|
.94
|
|
|
|
.24
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(.04
|
)
|
|
|
(.03
|
)
|
|
|
(.06
|
)
|
|
|
—
|
|
Net realized gains
|
|
|
(.65
|
)
|
|
|
(.61
|
)
|
|
|
—
|
|
|
|
—
|
|
Total distributions
|
|
|
(.69
|
)
|
|
|
(.64
|
)
|
|
|
(.06
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
11.72
|
|
|
$
|
9.93
|
|
|
$
|
11.12
|
|
|
$
|
10.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
25.94
|
%
|
|
|
(5.72
|
%)
|
|
|
9.22
|
%
|
|
|
2.40
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
378
|
|
|
$
|
300
|
|
|
$
|
318
|
|
|
$
|
291
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.73
|
%
|
|
|
0.56
|
%
|
|
|
0.55
|
%
|
|
|
0.81
|
%
|
Total expenses
d
|
|
|
2.98
|
%
|
|
|
2.53
|
%
|
|
|
3.48
|
%
|
|
|
8.19
|
%
|
Net expenses
e
|
|
|
1.02
|
%
|
|
|
1.02
|
%
|
|
|
1.05
|
%
|
|
|
1.10
|
%
|
Portfolio turnover rate
|
|
|
30
|
%
|
|
|
30
|
%
|
|
|
55
|
%
|
|
|
17
|
%
|
|
a
|
Since commencement of operations: October 3, 2008. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized.
|
|
b
|
Net investment income (loss) per share was computed using average shares outstanding throughout
the period.
|
|
c
|
Total return does not reflect the impact of any applicable sales charges and has not been annualized.
|
|
d
|
Does not include expenses of the underlying funds in which the Fund invests.
|
|
e
|
Net expense information reflects the expense ratios after expense waivers and reimbursements, as
applicable.
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 23
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the Mid Cap
Value Fund returned 24.13%
1
, compared with the Russell 2500
®
Value Index, which returned 32.15%.
Our strategy is to select securities of
companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment
approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation
focus, a long-term investment horizon and an opportunistic approach.
Our investment process is fundamentally
driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous
fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value
and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by
the bottom-up analysis and the upside/downside profile associated with each company.
The portfolio’s performance was helped by stock selection
in the Consumer Discretionary sector, which was the best-performing sector in both the portfolio and the index, and an underweight
in the Utilities sector. Utilities have a rich valuation, and the underweight has benefited the portfolio over the period. These
benefits were not enough, however, to offset poor stock selection in Information Technology and Industrials, and poor stock selection
and an underweight in the Financials sector, caused by an underweight to the Financials sector’s REITs. That stance hurt
the portfolio as investors moved into REITs for their income in a low-yield environment. We continue to believe that insurers have
the best fundamental outlook in the Financials sector. Energy was not a significant factor in performance for the year, but we
continue to overweight it relative to the benchmark given our view that no other sector offers comparable reinvestment opportunities.
The holdings contributing most to portfolio
performance over the period were Cabela’s, Inc., Ocwen Financial Corp. and Brown Shoe Company, Inc. The top three detractors
were Maxwell Technologies, Inc., MGIC Investment Corp. and DeVry, Inc.
We remain focused on searching for companies
we think have good long-term fundamental prospects and attractive valuations that are likely to generate strong performance relative
to the broader market, regardless of macroeconomic events.
We appreciate your business and the trust you place in us.
Sincerely,
James Schier, CFA, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares.
This 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 to mid- sized company securities may present additional risks such as
less predictable earnings, higher volatility and less liquidity than larger, more established companies.
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.
24 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
|
|
OBJECTIVE:
Seeks long-term growth of capital.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
1 Year
|
|
|
5 Year
|
|
|
10 Year
|
|
A-Class Shares
|
|
|
24.13
|
%
|
|
|
3.54
|
%
|
|
|
13.28
|
%
|
A-Class Shares with sales charge
†
|
|
|
18.24
|
%
|
|
|
2.32
|
%
|
|
|
12.62
|
%
|
B-Class Shares
|
|
|
23.02
|
%
|
|
|
2.74
|
%
|
|
|
12.61
|
%
|
B-Class Shares with CDSC
‡
|
|
|
18.02
|
%
|
|
|
2.47
|
%
|
|
|
12.61
|
%
|
C-Class Shares
|
|
|
23.28
|
%
|
|
|
2.77
|
%
|
|
|
12.45
|
%
|
C-Class Shares with CDSC
§
|
|
|
22.28
|
%
|
|
|
2.77
|
%
|
|
|
12.45
|
%
|
Russell 2500 Value Index
|
|
|
32.15
|
%
|
|
|
2.21
|
%
|
|
|
10.34
|
%
|
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
|
B-Class
|
May 1, 1997
|
C-Class
|
January 29, 1999
|
Ten Largest Holdings (% of Total Net Assets)
|
Hanover Insurance Group, Inc.
|
3.6%
|
Computer Sciences Corp.
|
3.4%
|
WR Berkley Corp.
|
2.5%
|
Covanta Holding Corp.
|
2.4%
|
Plains Exploration & Production Co.
|
2.3%
|
Gulfport Energy Corp.
|
2.1%
|
Ocwen Financial Corp.
|
2.1%
|
Quanta Services, Inc.
|
2.0%
|
Reinsurance Group of America, Inc. — Class A
|
2.0%
|
American Financial Group, Inc.
|
2.0%
|
Top Ten Total
|
24.4%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
|
*
|
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.
|
|
†
|
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 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 up to 5% if redeemed within
5 years of purchase.
|
|
§
|
Fund returns include a CDSC of 1% if redeemed within 12
months of purchase.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 25
SCHEDULE OF INVESTMENTS
|
September 30, 2012
|
MID CAP VALUE FUND
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 98.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS - 26.0%
|
|
|
|
|
|
|
|
|
Hanover Insurance Group, Inc.
|
|
|
1,078,640
|
|
|
$
|
40,190,126
|
|
WR Berkley Corp.
|
|
|
750,350
|
|
|
|
28,130,622
|
|
Ocwen Financial Corp.*
|
|
|
857,884
|
|
|
|
23,514,601
|
|
Reinsurance Group of America,
|
|
|
|
|
|
|
|
|
Inc. — Class A
|
|
|
391,384
|
|
|
|
22,649,392
|
|
American Financial Group, Inc.
|
|
|
585,600
|
|
|
|
22,194,240
|
|
Alleghany Corp.*
|
|
|
60,360
|
|
|
|
20,820,578
|
|
Northern Trust Corp.
|
|
|
352,130
|
|
|
|
16,344,114
|
|
RenaissanceRe Holdings Ltd.
|
|
|
167,200
|
|
|
|
12,881,088
|
|
Endurance Specialty Holdings Ltd.
|
|
|
325,890
|
|
|
|
12,546,765
|
|
Huntington Bancshares, Inc.
|
|
|
1,692,340
|
|
|
|
11,677,145
|
|
Lexington Realty Trust
|
|
|
1,130,480
|
|
|
|
10,920,437
|
|
Employers Holdings, Inc.
|
|
|
482,770
|
|
|
|
8,849,174
|
|
Synovus Financial Corp.
|
|
|
2,814,810
|
|
|
|
6,671,099
|
|
Zions Bancorporation
|
|
|
288,250
|
|
|
|
5,953,804
|
|
First Niagara Financial Group, Inc.
|
|
|
724,030
|
|
|
|
5,857,403
|
|
First Midwest Bancorp, Inc.
|
|
|
460,198
|
|
|
|
5,775,485
|
|
Wintrust Financial Corp.
|
|
|
152,840
|
|
|
|
5,742,199
|
|
City National Corp.
|
|
|
111,290
|
|
|
|
5,732,548
|
|
SVB Financial Group*
|
|
|
94,420
|
|
|
|
5,708,633
|
|
Investors Real Estate Trust
|
|
|
651,160
|
|
|
|
5,385,093
|
|
Citizens Republic Bancorp, Inc.*
|
|
|
272,170
|
|
|
|
5,266,490
|
|
Redwood Trust, Inc.
|
|
|
289,617
|
|
|
|
4,187,862
|
|
MGIC Investment Corp.*
|
|
|
1,826,999
|
|
|
|
2,795,308
|
|
First Marblehead Corp.*
|
|
|
763,317
|
|
|
|
801,483
|
|
Total Financials
|
|
|
|
|
|
|
290,595,689
|
|
INDUSTRIALS - 18.7%
|
|
|
|
|
|
|
|
|
Covanta Holding Corp.
|
|
|
1,563,280
|
|
|
|
26,825,885
|
|
Quanta Services, Inc.*
|
|
|
918,180
|
|
|
|
22,679,045
|
|
Navigant Consulting, Inc.*
|
|
|
1,652,970
|
|
|
|
18,265,319
|
|
Aegion Corp. — Class A*
|
|
|
934,656
|
|
|
|
17,908,009
|
|
Equifax, Inc.
|
|
|
342,100
|
|
|
|
15,935,018
|
|
General Cable Corp.*
|
|
|
494,721
|
|
|
|
14,534,903
|
|
Orbital Sciences Corp.*
|
|
|
984,140
|
|
|
|
14,329,078
|
|
GeoEye, Inc.*
|
|
|
541,304
|
|
|
|
14,306,665
|
|
URS Corp.
|
|
|
375,702
|
|
|
|
13,266,038
|
|
Saia, Inc.*
|
|
|
535,300
|
|
|
|
10,780,942
|
|
Babcock & Wilcox Co.*
|
|
|
358,370
|
|
|
|
9,127,684
|
|
ICF International, Inc.*
|
|
|
422,370
|
|
|
|
8,489,637
|
|
DryShips, Inc.*
|
|
|
2,764,010
|
|
|
|
6,467,783
|
|
Atlas Air Worldwide Holdings, Inc.*
|
|
|
114,504
|
|
|
|
5,911,842
|
|
Trex Company, Inc.*
|
|
|
172,450
|
|
|
|
5,883,994
|
|
United Stationers, Inc.
|
|
|
176,492
|
|
|
|
4,592,322
|
|
Thermoenergy Corp.*
|
|
|
2,701,839
|
|
|
|
270,184
|
|
Total Industrials
|
|
|
|
|
|
|
209,574,348
|
|
INFORMATION TECHNOLOGY - 11.3%
|
|
|
|
|
|
|
|
|
Computer Sciences Corp.
|
|
|
1,185,820
|
|
|
|
38,195,262
|
|
IXYS Corp.*
,1
|
|
|
2,136,329
|
|
|
|
21,192,383
|
|
Cree, Inc.*
|
|
|
734,290
|
|
|
|
18,746,424
|
|
Maxwell Technologies, Inc.*
,1
|
|
|
1,635,039
|
|
|
|
13,276,517
|
|
RF Micro Devices, Inc.*
|
|
|
2,819,130
|
|
|
|
11,135,564
|
|
Power-One, Inc.*
|
|
|
1,610,009
|
|
|
|
9,016,050
|
|
Symmetricom, Inc.*
|
|
|
1,268,637
|
|
|
|
8,842,400
|
|
Semtech Corp.*
|
|
|
222,670
|
|
|
|
5,600,151
|
|
Total Information Technology
|
|
|
|
|
|
|
126,004,751
|
|
ENERGY - 11.0%
|
|
|
|
|
|
|
|
|
Plains Exploration & Production Co.*
|
|
|
672,150
|
|
|
|
25,185,461
|
|
Gulfport Energy Corp.*
|
|
|
759,911
|
|
|
|
23,754,818
|
|
SandRidge Energy, Inc.*
|
|
|
2,806,090
|
|
|
|
19,558,447
|
|
Whiting Petroleum Corp.*
|
|
|
293,832
|
|
|
|
13,921,760
|
|
Goodrich Petroleum Corp.*
|
|
|
997,659
|
|
|
|
12,610,410
|
|
Resolute Energy Corp.*
|
|
|
1,159,390
|
|
|
|
10,283,789
|
|
McDermott International, Inc.*
|
|
|
805,054
|
|
|
|
9,837,760
|
|
Sanchez Energy Corp.*
|
|
|
322,175
|
|
|
|
6,582,035
|
|
USEC, Inc.*
|
|
|
1,080,847
|
|
|
|
843,061
|
|
Total Energy
|
|
|
|
|
|
|
122,577,541
|
|
CONSUMER DISCRETIONARY - 9.7%
|
|
|
|
|
|
|
|
|
Chico’s FAS, Inc.
|
|
|
1,112,080
|
|
|
|
20,139,769
|
|
Cabela’s, Inc.*
,2
|
|
|
349,640
|
|
|
|
19,118,315
|
|
Brown Shoe Company, Inc.
|
|
|
1,131,515
|
|
|
|
18,138,185
|
|
Maidenform Brands, Inc.*
|
|
|
631,550
|
|
|
|
12,934,144
|
|
Scholastic Corp.
|
|
|
361,060
|
|
|
|
11,474,487
|
|
Jones Group, Inc.
|
|
|
871,123
|
|
|
|
11,211,353
|
|
Jack in the Box, Inc.*
|
|
|
311,780
|
|
|
|
8,764,136
|
|
DeVry, Inc.
|
|
|
279,210
|
|
|
|
6,354,820
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
108,135,209
|
|
HEALTH CARE - 6.0%
|
|
|
|
|
|
|
|
|
Community Health Systems, Inc.*
|
|
|
465,150
|
|
|
|
13,554,470
|
|
MEDNAX, Inc.*
|
|
|
167,231
|
|
|
|
12,450,348
|
|
Hologic, Inc.*
|
|
|
592,511
|
|
|
|
11,992,423
|
|
Universal Health Services, Inc. — Class B
|
|
|
220,730
|
|
|
|
10,093,983
|
|
Forest Laboratories, Inc.*
|
|
|
280,790
|
|
|
|
9,998,932
|
|
Kindred Healthcare, Inc.*
|
|
|
782,716
|
|
|
|
8,907,308
|
|
Total Health Care
|
|
|
|
|
|
|
66,997,464
|
|
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
MID CAP VALUE FUND
|
|
|
Shares
|
|
|
Value
|
|
MATERIALS - 6.0%
|
|
|
|
|
|
|
|
|
Owens-Illinois, Inc.*
|
|
|
1,148,180
|
|
|
$
|
21,539,856
|
|
Sonoco Products Co.
|
|
|
454,957
|
|
|
|
14,099,117
|
|
Landec Corp.*
|
|
|
867,563
|
|
|
|
9,933,596
|
|
Zoltek Companies, Inc.*
|
|
|
955,626
|
|
|
|
7,348,764
|
|
Globe Specialty Metals, Inc.
|
|
|
425,030
|
|
|
|
6,468,957
|
|
TPC Group, Inc.*
|
|
|
107,171
|
|
|
|
4,373,649
|
|
Bemis Company, Inc.
|
|
|
101,080
|
|
|
|
3,180,988
|
|
Total Materials
|
|
|
|
|
|
|
66,944,927
|
|
CONSUMER STAPLES - 4.9%
|
|
|
|
|
|
|
|
|
Ralcorp Holdings, Inc.*
|
|
|
286,016
|
|
|
|
20,879,167
|
|
Hormel Foods Corp.
|
|
|
392,400
|
|
|
|
11,473,776
|
|
Darling International, Inc.*
|
|
|
575,424
|
|
|
|
10,524,505
|
|
JM Smucker Co.
|
|
|
99,550
|
|
|
|
8,594,152
|
|
Post Holdings, Inc.*
|
|
|
109,198
|
|
|
|
3,282,492
|
|
Total Consumer Staples
|
|
|
|
|
|
|
54,754,092
|
|
UTILITIES - 4.5%
|
|
|
|
|
|
|
|
|
Black Hills Corp.
|
|
|
483,170
|
|
|
|
17,186,357
|
|
Great Plains Energy, Inc.
|
|
|
737,897
|
|
|
|
16,425,587
|
|
UGI Corp.
|
|
|
345,592
|
|
|
|
10,972,546
|
|
MDU Resources Group, Inc.
|
|
|
283,058
|
|
|
|
6,238,598
|
|
Total Utilities
|
|
|
|
|
|
|
50,823,088
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $984,173,302)
|
|
|
|
|
|
|
1,096,407,109
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCKS
††
- 0.0%
|
|
|
|
|
|
|
|
|
Thermoenergy Corp.*
,3
|
|
|
858,334
|
|
|
|
250,634
|
|
Total Convertible Preferred Stocks
|
|
|
|
|
|
|
|
|
(Cost $819,654)
|
|
|
|
|
|
|
250,634
|
|
|
|
Face
|
|
|
|
|
|
|
Amount
|
|
|
|
|
CONVERTIBLE BONDS
††
- 1.0%
|
|
|
|
|
|
|
|
|
INDUSTRIALS - 0.5%
|
|
|
|
|
|
|
|
|
DryShips, Inc.
|
|
|
|
|
|
|
|
|
5.00% due 12/01/14
|
|
$
|
7,525,000
|
|
|
|
6,217,531
|
|
ENERGY - 0.5%
|
|
|
|
|
|
|
|
|
USEC, Inc.
|
|
|
|
|
|
|
|
|
3.00% due 10/01/14
|
|
|
13,600,000
|
|
|
|
5,329,500
|
|
Total Convertible Bonds
|
|
|
|
|
|
|
|
|
(Cost $18,929,364)
|
|
|
|
|
|
|
11,547,031
|
|
REPURCHASE AGREEMENT
††,4
- 1.4%
|
|
|
|
|
|
|
|
|
UMB Financial Corp.
|
|
|
|
|
|
|
|
|
issued 09/28/12 at 0.04%
|
|
|
|
|
|
|
|
|
due 10/01/12
|
|
|
16,151,000
|
|
|
|
16,151,000
|
|
Total Repurchase Agreement
|
|
|
|
|
|
|
|
|
(Cost $16,151,000)
|
|
|
|
|
|
|
16,151,000
|
|
Total Long Investments - 100.5%
|
|
|
|
|
|
|
|
|
(Cost $1,020,073,320)
|
|
|
|
|
|
$
|
1,124,355,774
|
|
|
|
Contracts
|
|
|
|
|
OPTIONS WRITTEN
†
- 0.0%
|
|
|
|
|
|
|
|
|
Call Option on:
|
|
|
|
|
|
|
|
|
Cabela’s, Inc.
|
|
|
|
|
|
|
|
|
Expiring December 2012
|
|
|
|
|
|
|
|
|
with strike price of $55.00
|
|
|
1,160
|
|
|
|
(394,400
|
)
|
Total Options Written
|
|
|
|
|
|
|
|
|
(Premiums received $330,674)
|
|
|
|
|
|
|
(394,400
|
)
|
Other Assets & Liabilities, net - (0.5)%
|
|
|
|
|
|
|
(5,744,087
|
)
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
1,118,217,287
|
|
|
*
|
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 issuers — See Note 10.
|
|
2
|
All or a portion of this security is pledged as collateral for open options written contracts at
September 30, 2012.
|
|
3
|
PIPE (Private Investment in Public Equity) - Stock issued by a company in the secondary market
as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
|
|
4
|
Repurchase Agreement — See Note 5.
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 27
|
STATEMENT OF ASSETS
AND LIABILITIES
September 30, 2012
|
|
|
|
|
|
|
|
Assets
:
|
|
|
|
|
Investments in unaffiliated issuers, at value
|
|
|
|
|
(cost $966,679,597)
|
|
$
|
1,073,735,874
|
|
Investments in affiliated issuers, at value
|
|
|
|
|
(cost $37,242,723)
|
|
|
34,468,900
|
|
Repurchase agreements, at value
|
|
|
|
|
(cost $16,151,000)
|
|
|
16,151,000
|
|
Total investments
|
|
|
|
|
(cost $1,020,073,320)
|
|
|
1,124,355,774
|
|
Prepaid expenses
|
|
|
63,141
|
|
Receivables:
|
|
|
|
|
Securities sold
|
|
|
1,560,636
|
|
Dividends
|
|
|
1,080,550
|
|
Fund shares sold
|
|
|
634,967
|
|
Interest
|
|
|
329,419
|
|
Total assets
|
|
|
1,128,024,487
|
|
Liabilities
:
|
|
|
|
|
Overdraft due to custodian bank
|
|
|
2,162
|
|
Options written, at value
|
|
|
|
|
(premiums received $330,674)
|
|
|
394,400
|
|
Payable for:
|
|
|
|
|
Securities purchased
|
|
|
5,109,934
|
|
Fund shares redeemed
|
|
|
2,361,684
|
|
Management fees
|
|
|
739,524
|
|
Distribution and service fees
|
|
|
367,273
|
|
Transfer agent/maintenance fees
|
|
|
93,095
|
|
Fund accounting/administration fees
|
|
|
88,481
|
|
Directors’ fees*
|
|
|
54,005
|
|
Miscellaneous
|
|
|
596,642
|
|
Total liabilities
|
|
|
9,807,200
|
|
Net assets
|
|
$
|
1,118,217,287
|
|
Net assets consist of
:
|
|
|
|
|
Paid in capital
|
|
$
|
923,410,434
|
|
Accumulated net investment loss
|
|
|
(3,209,568
|
)
|
Accumulated net realized gain on investments
|
|
|
93,797,693
|
|
Net unrealized appreciation on investments
|
|
|
104,218,728
|
|
Net assets
|
|
$
|
1,118,217,287
|
|
A-Class
:
|
|
|
|
|
Net assets
|
|
$
|
903,221,390
|
|
Capital shares outstanding
|
|
|
27,325,725
|
|
Net asset value per share
|
|
$
|
33.05
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
34.70
|
|
B-Class
:
|
|
|
|
|
Net assets
|
|
$
|
23,746,522
|
|
Capital shares outstanding
|
|
|
858,558
|
|
Net asset value per share
|
|
$
|
27.66
|
|
C-Class
:
|
|
|
|
|
Net assets
|
|
$
|
191,249,375
|
|
Capital shares outstanding
|
|
|
6,694,876
|
|
Net asset value per share
|
|
$
|
28.57
|
|
STATEMENT OF
OPERATIONS
Year Ended September 30, 2012
|
|
|
|
|
|
|
|
Investment Income
:
|
|
|
|
|
Dividends
|
|
$
|
13,479,910
|
|
Interest
|
|
|
1,798,758
|
|
Total investment income
|
|
|
15,278,668
|
|
|
|
|
|
|
Expenses
:
|
|
|
|
|
Management fees
|
|
|
9,712,906
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
2,362,079
|
|
B-Class
|
|
|
94,920
|
|
C-Class
|
|
|
376,363
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
2,502,659
|
|
B-Class
|
|
|
266,451
|
|
C-Class
|
|
|
2,006,329
|
|
Fund accounting/administration fees
|
|
|
1,166,911
|
|
Directors’ fees*
|
|
|
148,396
|
|
Custodian fees
|
|
|
46,451
|
|
Miscellaneous
|
|
|
904,759
|
|
Total expenses
|
|
|
19,588,224
|
|
Net investment loss
|
|
|
(4,309,556
|
)
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss)
:
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
107,163,228
|
|
Investments in affiliated issuers
|
|
|
257,496
|
|
Options written
|
|
|
3,779,447
|
|
Net realized gain
|
|
|
111,200,171
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
176,744,991
|
|
Investments in affiliated issuers
|
|
|
(19,044,322
|
)
|
Options written
|
|
|
801,835
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
158,502,504
|
|
Net realized and unrealized gain
|
|
|
269,702,675
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
265,393,119
|
|
* Relates to Directors not deemed “interested persons”
within the meaning of Section 2(a)(19) of the 1940 Act.
28 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MID CAP VALUE FUND
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase (Decrease) In
Net Assets From Operations:
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
$
|
(4,309,556
|
)
|
|
$
|
(3,440,508
|
)
|
Net realized gain on investments
|
|
|
111,200,171
|
|
|
|
96,271,687
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
158,502,504
|
|
|
|
(202,094,392
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
265,393,119
|
|
|
|
(109,263,213
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders
from:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
—
|
|
|
|
(2,703,664
|
)
|
Net realized gains
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(19,357,542
|
)
|
|
|
—
|
|
B-Class
|
|
|
(613,604
|
)
|
|
|
—
|
|
C-Class
|
|
|
(4,226,845
|
)
|
|
|
—
|
|
Total distributions to shareholders
|
|
|
(24,197,991
|
)
|
|
|
(2,703,664
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
171,642,951
|
|
|
|
324,475,268
|
|
B-Class
|
|
|
205,712
|
|
|
|
1,151,877
|
|
C-Class
|
|
|
16,672,547
|
|
|
|
50,436,018
|
|
Distributions reinvested
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
16,566,240
|
|
|
|
2,286,331
|
|
B-Class
|
|
|
589,906
|
|
|
|
—
|
|
C-Class
|
|
|
3,099,583
|
|
|
|
—
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(457,393,244
|
)
|
|
|
(319,562,384
|
)
|
B-Class
|
|
|
(10,129,746
|
)
|
|
|
(13,883,753
|
)
|
C-Class
|
|
|
(54,403,876
|
)
|
|
|
(35,726,724
|
)
|
Net increase (decrease) from capital share transactions
|
|
|
(313,149,927
|
)
|
|
|
9,176,633
|
|
Net decrease in net assets
|
|
|
(71,954,799
|
)
|
|
|
(102,790,244
|
)
|
|
|
|
|
|
|
|
|
|
Net assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
1,190,172,086
|
|
|
|
1,292,962,330
|
|
End of year
|
|
$
|
1,118,217,287
|
|
|
$
|
1,190,172,086
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
(3,209,568
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
Capital share activity:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
5,549,566
|
|
|
|
9,983,874
|
|
B-Class
|
|
|
7,545
|
|
|
|
41,607
|
|
C-Class
|
|
|
619,563
|
|
|
|
1,764,740
|
|
Shares issued from reinvestment of distributions
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
573,427
|
|
|
|
71,136
|
|
B-Class
|
|
|
24,226
|
|
|
|
—
|
|
C-Class
|
|
|
123,440
|
|
|
|
—
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(14,678,321
|
)
|
|
|
(9,926,468
|
)
|
B-Class
|
|
|
(389,584
|
)
|
|
|
(506,587
|
)
|
C-Class
|
|
|
(2,017,676
|
)
|
|
|
(1,274,995
|
)
|
Net increase (decrease) in shares
|
|
|
(10,187,814
|
)
|
|
|
153,307
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 29
|
MID 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
27.13
|
|
|
$
|
29.55
|
|
|
$
|
26.58
|
|
|
$
|
28.41
|
|
|
$
|
40.79
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
a
|
|
|
(.07
|
)
|
|
|
(.03
|
)
|
|
|
.11
|
|
|
|
.08
|
|
|
|
.25
|
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
6.54
|
|
|
|
(2.31
|
)
|
|
|
2.90
|
|
|
|
.82
|
|
|
|
(4.77
|
)
|
Total from investment operations
|
|
|
6.47
|
|
|
|
(2.34
|
)
|
|
|
3.01
|
|
|
|
.90
|
|
|
|
(4.52
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
—
|
|
|
|
(.08
|
)
|
|
|
(.04
|
)
|
|
|
(.14
|
)
|
|
|
(.14
|
)
|
Net realized gains
|
|
|
(.55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.59
|
)
|
|
|
(7.72
|
)
|
Total distributions
|
|
|
(.55
|
)
|
|
|
(.08
|
)
|
|
|
(.04
|
)
|
|
|
(2.73
|
)
|
|
|
(7.86
|
)
|
Net asset value, end of period
|
|
$
|
33.05
|
|
|
$
|
27.13
|
|
|
$
|
29.55
|
|
|
$
|
26.58
|
|
|
$
|
28.41
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
24.13
|
%
|
|
|
(7.98
|
%)
|
|
|
11.32
|
%
|
|
|
6.90
|
%
|
|
|
(12.48
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
903,221
|
|
|
$
|
973,467
|
|
|
$
|
1,056,655
|
|
|
$
|
781,883
|
|
|
$
|
656,044
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
(0.22
|
%)
|
|
|
(0.10
|
%)
|
|
|
0.38
|
%
|
|
|
0.40
|
%
|
|
|
0.79
|
%
|
Total expenses
|
|
|
1.46
|
%
|
|
|
1.32
|
%
|
|
|
1.37
|
%
|
|
|
1.48
|
%
|
|
|
1.37
|
%
|
Portfolio turnover rate
|
|
|
19
|
%
|
|
|
28
|
%
|
|
|
23
|
%
|
|
|
31
|
%
|
|
|
68
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30
|
|
B-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
22.99
|
|
|
$
|
25.17
|
|
|
$
|
22.78
|
|
|
$
|
24.83
|
|
|
$
|
36.78
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.29
|
)
|
|
|
(.24
|
)
|
|
|
(.09
|
)
|
|
|
(.06
|
)
|
|
|
(—)
|
c
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
5.51
|
|
|
|
(1.94
|
)
|
|
|
2.48
|
|
|
|
.60
|
|
|
|
(4.23
|
)
|
Total from investment operations
|
|
|
5.22
|
|
|
|
(2.18
|
)
|
|
|
2.39
|
|
|
|
.54
|
|
|
|
(4.23
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.59
|
)
|
|
|
(7.72
|
)
|
Total distributions
|
|
|
(.55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.59
|
)
|
|
|
(7.72
|
)
|
Net asset value, end of period
|
|
$
|
27.66
|
|
|
$
|
22.99
|
|
|
$
|
25.17
|
|
|
$
|
22.78
|
|
|
$
|
24.83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
23.02
|
%
|
|
|
(8.66
|
%)
|
|
|
10.49
|
%
|
|
|
6.17
|
%
|
|
|
(13.14
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
23,747
|
|
|
$
|
27,960
|
|
|
$
|
42,321
|
|
|
$
|
58,221
|
|
|
$
|
66,641
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(1.09
|
%)
|
|
|
(0.86
|
%)
|
|
|
(0.40
|
%)
|
|
|
(0.34
|
%)
|
|
|
(0.01
|
%)
|
Total expenses
|
|
|
2.33
|
%
|
|
|
2.07
|
%
|
|
|
2.12
|
%
|
|
|
2.23
|
%
|
|
|
2.12
|
%
|
Portfolio turnover rate
|
|
|
19
|
%
|
|
|
28
|
%
|
|
|
23
|
%
|
|
|
31
|
%
|
|
|
68
|
%
|
30 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MID 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
23.68
|
|
|
$
|
25.93
|
|
|
$
|
23.47
|
|
|
$
|
25.49
|
|
|
$
|
37.54
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.25
|
)
|
|
|
(.24
|
)
|
|
|
(.09
|
)
|
|
|
(.07
|
)
|
|
|
(—
|
)
c
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
5.69
|
|
|
|
(2.01
|
)
|
|
|
2.55
|
|
|
|
.64
|
|
|
|
(4.33
|
)
|
Total from investment operations
|
|
|
5.44
|
|
|
|
(2.25
|
)
|
|
|
2.46
|
|
|
|
.57
|
|
|
|
(4.33
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.59
|
)
|
|
|
(7.72
|
)
|
Total distributions
|
|
|
(.55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.59
|
)
|
|
|
(7.72
|
)
|
Net asset value, end of period
|
|
$
|
28.57
|
|
|
$
|
23.68
|
|
|
$
|
25.93
|
|
|
$
|
23.47
|
|
|
$
|
25.49
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
23.28
|
%
|
|
|
(8.68
|
%)
|
|
|
10.48
|
%
|
|
|
6.13
|
%
|
|
|
(13.15
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
191,249
|
|
|
$
|
188,745
|
|
|
$
|
193,986
|
|
|
$
|
139,121
|
|
|
$
|
113,192
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.92
|
%)
|
|
|
(0.85
|
%)
|
|
|
(0.37
|
%)
|
|
|
(0.35
|
%)
|
|
|
(0.01
|
%)
|
Total expenses
|
|
|
2.17
|
%
|
|
|
2.07
|
%
|
|
|
2.12
|
%
|
|
|
2.22
|
%
|
|
|
2.12
|
%
|
Portfolio turnover rate
|
|
|
19
|
%
|
|
|
28
|
%
|
|
|
23
|
%
|
|
|
31
|
%
|
|
|
68
|
%
|
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 and has not been annualized.
|
c
|
Net investment loss is less than $0.01 per share.
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 31
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the Mid Cap
Value Institutional Fund returned 24.96%
1
, compared with the Russell 2500
®
Value Index, which returned
32.15%.
Our strategy is to select securities of
companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment
approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation
focus, a long-term investment horizon and an opportunistic approach.
Our investment process is fundamentally
driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous
fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value
and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by
the bottom-up analysis and the upside/downside profile associated with each company.
The portfolio’s performance was helped by stock selection
in the Consumer Discretionary sector, which was the best-performing sector in both the portfolio and the index, and an underweight
in the Utilities sector. Utilities have a rich valuation, and the underweight has benefited the portfolio over the period. These
benefits were not enough, however, to offset poor stock selection in Information Technology and Industrials, and poor stock selection
and an underweight in the Financials sector, caused by an underweight to the Financials sector’s REITs. That stance hurt
the portfolio as investors moved into REITs for their income in a low-yield environment. We continue to believe that insurers have
the best fundamental outlook in the Financials sector. Energy was not a significant factor in performance for the year, but we
continue to overweight it relative to the benchmark given our view that no other sector offers comparable reinvestment opportunities.
The holdings contributing most to portfolio performance over
the period were Cabela’s, Inc., Ocwen Financial Corp. and Brown Shoe Company, Inc. The top three detractors were Maxwell
Technologies, Inc., MGIC Investment Corp. and DeVry, Inc.
We remain focused on searching for companies we think have good
long-term fundamental prospects and attractive valuations that are likely to generate strong performance relative to the broader
market, regardless of macroeconomic events.
We appreciate your business and the trust you place in us.
Sincerely,
James Schier, CFA, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares.
Fee waivers and/or reimbursements reduce Fund expenses and in the absence of such waivers, the performance quoted would be reduced.
This 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 mid- sized company securities may present additional risks such as less predictable earnings, higher
volatility and less liquidity than larger, more established companies.
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.
32 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
|
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
MID CAP VALUE INSTITUTIONAL FUND
OBJECTIVE:
Seeks long-term growth of capital.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
|
|
Since Inception
|
|
|
1 Year
|
|
(07/11/08)
|
Mid Cap Value Institutional Fund
|
|
|
24.96
|
%
|
|
|
9.10
|
%
|
Russell 2500 Value Index
|
|
|
32.15
|
%
|
|
|
7.51
|
%
|
Holdings Diversification (Market Exposure
as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net
Assets)” excludes any temporary cash investments.
Inception Date:
|
|
July 11, 2008
|
|
Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.
|
|
|
3.6
|
%
|
Computer Sciences Corp.
|
|
|
3.4
|
%
|
WR Berkley Corp.
|
|
|
2.5
|
%
|
Covanta Holding Corp.
|
|
|
2.4
|
%
|
Plains Exploration & Production Co.
|
|
|
2.2
|
%
|
Reinsurance Group of America, Inc. — Class A
|
|
|
2.1
|
%
|
Ocwen Financial Corp.
|
|
|
2.1
|
%
|
Quanta Services, Inc.
|
|
|
2.0
|
%
|
Gulfport Energy Corp.
|
|
|
2.0
|
%
|
American Financial Group, Inc.
|
|
|
2.0
|
%
|
Top Ten Total
|
|
|
24.3
|
%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
|
*
|
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 GUGGENHEIM FUNDS ANNUAL REPORT | 33
|
SCHEDULE OF INVESTMENTS
|
September 30, 2012
|
MID CAP VALUE INSTITUTIONAL FUND
|
|
|
|
S
hares
|
|
|
V
alue
|
|
COMMON STOCKS
†
- 97.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
- 26.4%
|
|
|
|
|
|
|
|
|
Hanover Insurance Group, Inc.
|
|
|
470,263
|
|
|
$
|
17,521,999
|
|
WR Berkley Corp.
|
|
|
329,900
|
|
|
|
12,367,951
|
|
Reinsurance Group of America,
|
|
|
|
|
|
|
|
|
Inc. — Class A
|
|
|
180,463
|
|
|
|
10,443,394
|
|
Ocwen Financial Corp.*
|
|
|
376,828
|
|
|
|
10,328,855
|
|
American Financial Group, Inc.
|
|
|
257,940
|
|
|
|
9,775,926
|
|
Alleghany Corp.*
|
|
|
26,538
|
|
|
|
9,154,018
|
|
Northern Trust Corp.
|
|
|
155,120
|
|
|
|
7,199,895
|
|
RenaissanceRe Holdings Ltd.
|
|
|
70,560
|
|
|
|
5,435,942
|
|
Endurance Specialty Holdings Ltd.
|
|
|
137,230
|
|
|
|
5,283,355
|
|
Huntington Bancshares, Inc.
|
|
|
745,510
|
|
|
|
5,144,020
|
|
Lexington Realty Trust
|
|
|
473,740
|
|
|
|
4,576,328
|
|
Employers Holdings, Inc.
|
|
|
203,674
|
|
|
|
3,733,344
|
|
Synovus Financial Corp.
|
|
|
1,239,990
|
|
|
|
2,938,776
|
|
Old National Bancorp
|
|
|
205,915
|
|
|
|
2,802,503
|
|
Zions Bancorporation
|
|
|
126,980
|
|
|
|
2,622,772
|
|
First Niagara Financial Group, Inc.
|
|
|
318,950
|
|
|
|
2,580,306
|
|
First Midwest Bancorp, Inc.
|
|
|
202,729
|
|
|
|
2,544,249
|
|
Wintrust Financial Corp.
|
|
|
67,330
|
|
|
|
2,529,588
|
|
City National Corp.
|
|
|
49,030
|
|
|
|
2,525,535
|
|
SVB Financial Group*
|
|
|
41,590
|
|
|
|
2,514,531
|
|
Citizens Republic Bancorp, Inc.*
|
|
|
119,880
|
|
|
|
2,319,678
|
|
Investors Real Estate Trust
|
|
|
224,810
|
|
|
|
1,859,179
|
|
Redwood Trust, Inc.
|
|
|
102,770
|
|
|
|
1,486,054
|
|
MGIC Investment Corp.*
|
|
|
801,843
|
|
|
|
1,226,820
|
|
First Marblehead Corp.*
|
|
|
380,732
|
|
|
|
399,769
|
|
Bimini Capital Management,
|
|
|
|
|
|
|
|
|
Inc. — Class A*
|
|
|
373,780
|
|
|
|
71,018
|
|
Total Financials
|
|
|
|
|
|
|
129,385,805
|
|
INDUSTRIALS - 18.4%
|
|
|
|
|
|
|
|
|
Covanta Holding Corp.
|
|
|
682,530
|
|
|
|
11,712,215
|
|
Quanta Services, Inc.*
|
|
|
403,680
|
|
|
|
9,970,897
|
|
Aegion Corp. — Class A*
|
|
|
410,115
|
|
|
|
7,857,803
|
|
Navigant Consulting, Inc.*
|
|
|
677,970
|
|
|
|
7,491,569
|
|
Equifax, Inc.
|
|
|
149,580
|
|
|
|
6,967,436
|
|
GeoEye, Inc.*
|
|
|
260,667
|
|
|
|
6,889,429
|
|
General Cable Corp.*
|
|
|
223,614
|
|
|
|
6,569,779
|
|
Orbital Sciences Corp.*
|
|
|
425,898
|
|
|
|
6,201,075
|
|
URS Corp.
|
|
|
172,820
|
|
|
|
6,102,274
|
|
Saia, Inc.*
|
|
|
213,860
|
|
|
|
4,307,140
|
|
Babcock & Wilcox Co.*
|
|
|
135,518
|
|
|
|
3,451,643
|
|
ICF International, Inc.*
|
|
|
169,633
|
|
|
|
3,409,623
|
|
Atlas Air Worldwide Holdings, Inc.*
|
|
|
54,351
|
|
|
|
2,806,142
|
|
Trex Company, Inc.*
|
|
|
76,210
|
|
|
|
2,600,285
|
|
DryShips, Inc.*
|
|
|
1,064,081
|
|
|
|
2,489,950
|
|
United Stationers, Inc.
|
|
|
68,416
|
|
|
|
1,780,184
|
|
Total Industrials
|
|
|
|
|
|
|
90,607,444
|
|
INFORMATION TECHNOLOGY - 11.2%
|
|
|
|
|
|
|
|
|
Computer Sciences Corp.
|
|
|
515,100
|
|
|
|
16,591,371
|
|
IXYS Corp.*
|
|
|
938,399
|
|
|
|
9,308,917
|
|
Cree, Inc.*
|
|
|
305,350
|
|
|
|
7,795,586
|
|
Maxwell Technologies, Inc.*
|
|
|
732,491
|
|
|
|
5,947,827
|
|
RF Micro Devices, Inc.*
|
|
|
1,139,480
|
|
|
|
4,500,946
|
|
Symmetricom, Inc.*
|
|
|
607,687
|
|
|
|
4,235,578
|
|
Power-One, Inc.*
|
|
|
711,585
|
|
|
|
3,984,876
|
|
Semtech Corp.*
|
|
|
97,250
|
|
|
|
2,445,838
|
|
Total Information Technology
|
|
|
|
|
|
|
54,810,939
|
|
ENERGY - 10.5%
|
|
|
|
|
|
|
|
|
Plains Exploration & Production Co.*
|
|
|
283,090
|
|
|
|
10,607,383
|
|
Gulfport Energy Corp.*
|
|
|
313,452
|
|
|
|
9,798,510
|
|
SandRidge Energy, Inc.*
|
|
|
1,145,051
|
|
|
|
7,981,006
|
|
Whiting Petroleum Corp.*
|
|
|
129,321
|
|
|
|
6,127,229
|
|
Goodrich Petroleum Corp.*
|
|
|
423,472
|
|
|
|
5,352,686
|
|
Resolute Energy Corp.*
|
|
|
505,020
|
|
|
|
4,479,527
|
|
McDermott International, Inc.*
|
|
|
322,784
|
|
|
|
3,944,420
|
|
Sanchez Energy Corp.*
|
|
|
131,221
|
|
|
|
2,680,845
|
|
USEC, Inc.*
|
|
|
491,185
|
|
|
|
383,124
|
|
Total Energy
|
|
|
|
|
|
|
51,354,730
|
|
CONSUMER DISCRETIONARY - 9.6%
|
|
|
|
|
|
|
|
|
Chico’s FAS, Inc.
|
|
|
490,590
|
|
|
|
8,884,584
|
|
Cabela’s, Inc.*
,1
|
|
|
154,360
|
|
|
|
8,440,405
|
|
Brown Shoe Company, Inc.
|
|
|
493,347
|
|
|
|
7,908,352
|
|
Maidenform Brands, Inc.*
|
|
|
269,927
|
|
|
|
5,528,105
|
|
Jones Group, Inc.
|
|
|
384,334
|
|
|
|
4,946,379
|
|
Scholastic Corp.
|
|
|
150,120
|
|
|
|
4,770,814
|
|
Jack in the Box, Inc.*
|
|
|
139,660
|
|
|
|
3,925,843
|
|
DeVry, Inc.
|
|
|
120,643
|
|
|
|
2,745,835
|
|
HydroGen Corp.*
,2
|
|
|
1,265,700
|
|
|
|
15,188
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
47,165,505
|
|
Materials
- 5.8%
|
|
|
|
|
|
|
|
|
Owens-Illinois, Inc.*
|
|
|
509,260
|
|
|
|
9,553,718
|
|
Sonoco Products Co.
|
|
|
197,286
|
|
|
|
6,113,893
|
|
Landec Corp.*
|
|
|
370,000
|
|
|
|
4,236,500
|
|
Zoltek Companies, Inc.*
|
|
|
392,264
|
|
|
|
3,016,510
|
|
Globe Specialty Metals, Inc.
|
|
|
177,120
|
|
|
|
2,695,766
|
|
TPC Group, Inc.*
|
|
|
41,754
|
|
|
|
1,703,981
|
|
Bemis Company, Inc.
|
|
|
44,399
|
|
|
|
1,397,237
|
|
Total Materials
|
|
|
|
|
|
|
28,717,605
|
|
Health Care
- 5.7%
|
|
|
|
|
|
|
|
|
Community Health Systems, Inc.*
|
|
|
185,770
|
|
|
|
5,413,339
|
|
MEDNAX, Inc.*
|
|
|
71,303
|
|
|
|
5,308,508
|
|
Hologic, Inc.*
|
|
|
244,402
|
|
|
|
4,946,696
|
|
Forest Laboratories, Inc.*
|
|
|
126,000
|
|
|
|
4,486,860
|
|
Universal Health Services, Inc. — Class B
|
|
|
96,770
|
|
|
|
4,425,292
|
|
Kindred Healthcare, Inc.*
|
|
|
304,621
|
|
|
|
3,466,587
|
|
Total Health Care
|
|
|
|
|
|
|
28,047,282
|
|
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
MID CAP VALUE INSTITUTIONAL FUND
|
|
|
|
S
hares
|
|
|
V
alue
|
|
Consumer Staples
- 5.2%
|
|
|
|
|
|
|
|
|
Ralcorp Holdings, Inc.*
|
|
|
125,752
|
|
|
$
|
9,179,896
|
|
Hormel Foods Corp.
|
|
|
208,720
|
|
|
|
6,102,973
|
|
Darling International, Inc.*
|
|
|
275,442
|
|
|
|
5,037,834
|
|
JM Smucker Co.
|
|
|
44,000
|
|
|
|
3,798,520
|
|
Post Holdings, Inc.*
|
|
|
40,801
|
|
|
|
1,226,478
|
|
Total Consumer Staples
|
|
|
|
|
|
|
25,345,701
|
|
Utilities
- 4.6%
|
|
|
|
|
|
|
|
|
Great Plains Energy, Inc.
|
|
|
346,605
|
|
|
|
7,715,427
|
|
Black Hills Corp.
|
|
|
210,809
|
|
|
|
7,498,477
|
|
UGI Corp.
|
|
|
147,660
|
|
|
|
4,688,205
|
|
MDU Resources Group, Inc.
|
|
|
124,307
|
|
|
|
2,739,726
|
|
Total Utilities
|
|
|
|
|
|
|
22,641,835
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $438,892,408)
|
|
|
|
|
|
|
478,076,846
|
|
CONVERTIBLE PREFERRED STOCKS
††
- 0.0%
|
|
|
|
|
|
|
|
|
Thermoenergy Corp.*
,3
|
|
|
793,750
|
|
|
|
231,775
|
|
Total Convertible Preferred Stocks
|
|
|
|
|
|
|
|
|
(Cost $757,980)
|
|
|
|
|
|
|
231,775
|
|
|
|
F
ace
|
|
|
|
|
|
|
A
mount
|
|
|
|
|
CONVERTIBLE BONDS†† - 1.2%
|
|
|
|
|
|
|
|
|
Industrials
- 0.7%
|
|
|
|
|
|
|
|
|
DryShips, Inc.
|
|
|
|
|
|
|
|
|
5.00% due 12/01/14
|
|
$
|
4,225,000
|
|
|
|
3,490,906
|
|
Energy
- 0.5%
|
|
|
|
|
|
|
|
|
USEC, Inc.
|
|
|
|
|
|
|
|
|
3.00% due 10/01/14
|
|
|
6,000,000
|
|
|
|
2,351,250
|
|
Total Convertible Bonds
|
|
|
|
|
|
|
|
|
(Cost $8,429,140)
|
|
|
|
|
|
|
5,842,156
|
|
Total Long Investments - 98.6%
|
|
|
|
|
|
|
|
|
(Cost $448,079,528)
|
|
|
|
|
|
$
|
484,150,777
|
|
|
|
|
C
ontracts
|
|
|
|
|
|
OPTIONS WRITTEN
†
- 0.0%
|
|
|
|
|
|
|
|
|
Call Option on:
|
|
|
|
|
|
|
|
|
Cabela’s, Inc.
|
|
|
|
|
|
|
|
|
Expiring December 2012
|
|
|
|
|
|
|
|
|
with strike price of $55.00
|
|
|
560
|
|
|
|
(190,400
|
)
|
Total Options Written
|
|
|
|
|
|
|
|
|
(Premiums received $159,636)
|
|
|
|
|
|
|
(190,400
|
)
|
Other Assets & Liabilities, net - 1.4%
|
|
|
|
|
|
|
6,780,337
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
490,740,714
|
|
*
|
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 collateral for open options written contracts at September 30, 2012.
|
2
|
Affiliated issuers — See Note 10.
|
3
|
PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 35
|
MID CAP VALUE INSTITUTIONAL FUND
|
STATEMENT OF ASSETS
AND LIABILITIES
|
September 30, 2012
|
Assets:
|
|
|
|
|
Investments in unaffiliated issuers, at value
|
|
|
|
|
(cost $448,076,997)
|
|
$
|
484,135,589
|
|
Investments in affiliated issuers, at value
|
|
|
|
|
(cost $2,531)
|
|
|
15,188
|
|
Total investments
|
|
|
|
|
(cost $448,079,528)
|
|
|
484,150,777
|
|
Prepaid expenses
|
|
|
37,283
|
|
Receivables:
|
|
|
|
|
Securities sold
|
|
|
20,554,840
|
|
Dividends
|
|
|
501,295
|
|
Fund shares sold
|
|
|
479,671
|
|
Interest
|
|
|
160,466
|
|
Total assets
|
|
|
505,884,332
|
|
Liabilities:
|
|
|
|
|
Overdraft due to custodian bank
|
|
|
9,728,794
|
|
Options written, at value
|
|
|
|
|
(premiums received $159,636)
|
|
|
190,400
|
|
Payable for:
|
|
|
|
|
Fund shares redeemed
|
|
|
3,054,143
|
|
Securities purchased
|
|
|
1,693,495
|
|
Management fees
|
|
|
332,296
|
|
Fund accounting/administration fees
|
|
|
42,091
|
|
Directors’ fees*
|
|
|
25,183
|
|
Transfer agent/maintenance fees
|
|
|
10,116
|
|
Miscellaneous
|
|
|
67,100
|
|
Total liabilities
|
|
|
15,143,618
|
|
Net
assets
|
|
$
|
490,740,714
|
|
Net assets consist of:
|
|
|
|
|
Paid in capital
|
|
$
|
414,546,537
|
|
Undistributed net investment income
|
|
|
1,542,680
|
|
Accumulated net realized gain on investments
|
|
|
38,611,012
|
|
Net unrealized appreciation on investments
|
|
|
36,040,485
|
|
Net assets
|
|
$
|
490,740,714
|
|
Capital shares outstanding
|
|
|
43,483,499
|
|
Net asset value per share
|
|
$
|
11.29
|
|
STATEMENT OF
OPERATIONS
|
Year Ended September 30, 2012
|
Investment income:
|
|
|
|
|
Dividends
|
|
$
|
5,721,099
|
|
Interest
|
|
|
853,318
|
|
Total investment income
|
|
|
6,574,417
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Management fees
|
|
|
3,864,785
|
|
Transfer agent/maintenance fees
|
|
|
454,877
|
|
Fund accounting/administration fees
|
|
|
489,534
|
|
Directors’ fees*
|
|
|
59,885
|
|
Custodian fees
|
|
|
22,443
|
|
Miscellaneous
|
|
|
334,548
|
|
Total expenses
|
|
|
5,226,072
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(194,357
|
)
|
Net expenses
|
|
|
5,031,715
|
|
Net investment income
|
|
|
1,542,702
|
|
|
|
|
|
|
Net Realized and
Unrealized Gain (Loss):
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
38,904,581
|
|
Options written
|
|
|
1,565,535
|
|
Net realized gain
|
|
|
40,470,116
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments in unaffiliated issuers
|
|
|
72,171,705
|
|
Investments in affiliated issuers
|
|
|
(3,797
|
)
|
Options written
|
|
|
313,139
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
72,481,047
|
|
Net realized and unrealized gain
|
|
|
112,951,163
|
|
Net increase in net assets resulting from operations
|
|
$
|
114,493,865
|
|
* Relates to Directors 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.
|
MID CAP VALUE INSTITUTIONAL FUND
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase
(Decrease) In Net Assets From Operations:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
1,542,702
|
|
|
$
|
2,014,286
|
|
Net realized gain on investments
|
|
|
40,470,116
|
|
|
|
46,068,916
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
72,481,047
|
|
|
|
(93,414,074
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
114,493,865
|
|
|
|
(45,330,872
|
)
|
|
|
|
|
|
|
|
|
|
Distributions
to shareholders from:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(1,977,527
|
)
|
|
|
(3,064,710
|
)
|
Net realized gains
|
|
|
(44,425,740
|
)
|
|
|
(22,149,496
|
)
|
Total distributions to shareholders
|
|
|
(46,403,267
|
)
|
|
|
(25,214,206
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
168,213,889
|
|
|
|
230,594,999
|
|
Distributions reinvested
|
|
|
20,469,550
|
|
|
|
10,706,814
|
|
Cost of shares redeemed
|
|
|
(238,299,328
|
)
|
|
|
(212,937,728
|
)
|
Net increase (decrease) from capital share transactions
|
|
|
(49,615,889
|
)
|
|
|
28,364,085
|
|
Net increase (decrease) in net assets
|
|
|
18,474,709
|
|
|
|
(42,180,993
|
)
|
|
|
|
|
|
|
|
|
|
Net assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
472,266,005
|
|
|
|
514,446,998
|
|
End of year
|
|
$
|
490,740,714
|
|
|
$
|
472,266,005
|
|
Undistributed net investment income at end of year
|
|
$
|
1,542,680
|
|
|
$
|
1,977,505
|
|
|
|
|
|
|
|
|
|
|
Capital share activity:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
16,021,148
|
|
|
|
19,002,513
|
|
Shares issued from reinvestment of distributions
|
|
|
2,088,722
|
|
|
|
905,056
|
|
Shares redeemed
|
|
|
(21,974,810
|
)
|
|
|
(17,934,768
|
)
|
Net increase (decrease) in shares
|
|
|
(3,864,940
|
)
|
|
|
1,972,801
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 37
|
MID CAP VALUE INSTITUTIONAL 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
Institutional Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.97
|
|
|
$
|
11.34
|
|
|
$
|
10.49
|
|
|
$
|
10.68
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
b
|
|
|
.03
|
|
|
|
.04
|
|
|
|
.08
|
|
|
|
.08
|
|
|
|
.04
|
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
2.30
|
|
|
|
(.87
|
)
|
|
|
1.13
|
|
|
|
.27
|
|
|
|
.64
|
|
Total from investment operations
|
|
|
2.33
|
|
|
|
(.83
|
)
|
|
|
1.21
|
|
|
|
.35
|
|
|
|
.68
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(.04
|
)
|
|
|
(.06
|
)
|
|
|
(.01
|
)
|
|
|
(.06
|
)
|
|
|
—
|
|
Net realized gains
|
|
|
(.97
|
)
|
|
|
(.48
|
)
|
|
|
(.35
|
)
|
|
|
(.48
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(1.01
|
)
|
|
|
(.54
|
)
|
|
|
(.36
|
)
|
|
|
(.54
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
11.29
|
|
|
$
|
9.97
|
|
|
$
|
11.34
|
|
|
$
|
10.49
|
|
|
$
|
10.68
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
24.96
|
%
|
|
|
(8.05
|
%)
|
|
|
11.76
|
%
|
|
|
5.30
|
%
|
|
|
6.80
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
490,741
|
|
|
$
|
472,266
|
|
|
$
|
514,447
|
|
|
$
|
317,455
|
|
|
$
|
17,436
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.30
|
%
|
|
|
0.34
|
%
|
|
|
0.78
|
%
|
|
|
0.82
|
%
|
|
|
1.81
|
%
|
Total expenses
|
|
|
1.01
|
%
|
|
|
0.98
|
%
|
|
|
0.95
|
%
|
|
|
0.98
|
%
|
|
|
1.19
|
%
|
Net expenses
d
|
|
|
0.98
|
%
|
|
|
0.90
|
%
|
|
|
0.90
|
%
|
|
|
0.91
|
%
|
|
|
1.10
|
%
|
Portfolio turnover rate
|
|
|
33
|
%
|
|
|
38
|
%
|
|
|
20
|
%
|
|
|
76
|
%
|
|
|
63
|
%
|
a
|
Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized.
|
b
|
Net investment income per share was computed using average shares outstanding throughout the period.
|
c
|
Not annualized.
|
d
|
Net expense information reflects the expense ratios after expense waivers and reimbursements, as
applicable.
|
38 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the Small
Cap Growth Fund returned 28.55%
1
, compared with the benchmark, the Russell 2000
®
Growth Index, which returned 31.18%.
The Fund seeks to deliver long-term growth
of capital by investing in securities of small-sized companies that have solid potential for long-term growth. The Fund selects
companies that appear to have sustainable revenue and earnings growth, a competitive advantage, superior financial characteristics
and strong management.
The Fund uses a combination of a qualitative macroeconomic approach
in reviewing growth trends that is based on several fixed income factors, such as bond spreads and interest rates, along with a
quantitative, fundamental bottom-up approach.
The portfolio’s performance was helped by stock selection
in Consumer Discretionary and Financials. The sectors that detracted the most from performance were Health Care and Industrials,
where stock selection was the main factor in underperformance.
The holdings contributing most to portfolio performance over
the period were Texas Capital Bancshares, Inc., Jarden Corp. and Solutia, Inc. Leading detractors from performance were Superior
Energy Services, Inc., NxStage Medical, Inc. and LogMeIn, Inc.
Our fixed income indicators, including the slope of the yield
curve and corporate bond spreads, alternated during the fiscal year, but in the third quarter of 2012 turned positive, which led
us to add beta back into the portfolio relative to the benchmark. We believe equity markets can build on strong performance in
the third quarter and move higher before the end of 2012. We will focus our attention on secular growth names in the year to come,
with an eye towards more cyclical names if the global economy can find firmer footing.
We appreciate your business and the trust you place in us.
Sincerely,
Joseph O’Connor, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares.
This 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. • Investments in small-sized company securities may present additional risks such as less predictable earnings,
higher volatility and less liquidity than larger, more established companies. • Growth stocks may be more volatile than other
stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company.
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 | 39
|
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
SMALL CAP GROWTH FUND
OBJECTIVE:
Seeks long-term growth of capital.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
1 Year
|
|
|
5 Year
|
|
|
10 Year
|
|
A-Class Shares
|
|
|
28.55
|
%
|
|
|
-2.06
|
%
|
|
|
7.80
|
%
|
A-Class Shares with sales charge
†
|
|
|
22.48
|
%
|
|
|
-3.21
|
%
|
|
|
7.16
|
%
|
B-Class Shares
|
|
|
26.43
|
%
|
|
|
-2.93
|
%
|
|
|
7.16
|
%
|
B-Class Shares with CDSC
‡
|
|
|
21.43
|
%
|
|
|
-3.29
|
%
|
|
|
7.16
|
%
|
C-Class Shares
|
|
|
27.62
|
%
|
|
|
-2.77
|
%
|
|
|
7.00
|
%
|
C-Class Shares with CDSC
§
|
|
|
26.62
|
%
|
|
|
-2.77
|
%
|
|
|
7.00
|
%
|
Russell 2000 Growth Index
|
|
|
31.18
|
%
|
|
|
2.96
|
%
|
|
|
10.55
|
%
|
|
|
Since Inception
|
|
|
|
(03/01/12)
|
|
Institutional Class Shares
|
|
|
-2.17
|
%
|
Russell 2000 Growth Index
|
|
|
2.05
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
October 15, 1997
|
B-Class
|
October 15, 1997
|
C-Class
|
January 29, 1999
|
Institutional Class
|
March 1, 2012
|
Ten Largest Holdings (% of Total Net Assets)
|
iShares Russell 2000 Growth Index Fund
|
|
|
4.9
|
%
|
Nuance Communications, Inc.
|
|
|
2.4
|
%
|
Ashland, Inc.
|
|
|
2.3
|
%
|
Oil States International, Inc.
|
|
|
2.2
|
%
|
Texas Capital Bancshares, Inc.
|
|
|
2.1
|
%
|
PowerShares S&P SmallCap
|
|
|
|
|
Health Care Portfolio
|
|
|
2.0
|
%
|
IAC/InterActiveCorp
|
|
|
1.9
|
%
|
Jarden Corp.
|
|
|
1.9
|
%
|
Alliance Data Systems Corp.
|
|
|
1.9
|
%
|
Oxford Industries, Inc.
|
|
|
1.9
|
%
|
Top Ten Total
|
|
|
23.5
|
%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
*
|
The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
|
†
|
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 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 up to 5% if redeemed within 5 years of purchase.
|
§
|
Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
|
40 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
|
SCHEDULE OF INVESTMENTS
|
September 30, 2012
|
SMALL CAP GROWTH FUND
|
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 89.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology
- 19.8%
|
|
|
|
|
|
|
|
|
Nuance Communications, Inc.*
|
|
|
12,655
|
|
|
$
|
314,982
|
|
IAC/InterActiveCorp
|
|
|
4,937
|
|
|
|
257,020
|
|
Alliance Data Systems Corp.*
|
|
|
1,756
|
|
|
|
249,264
|
|
Cadence Design Systems, Inc.*
|
|
|
15,920
|
|
|
|
204,811
|
|
Aruba Networks, Inc.*
|
|
|
8,500
|
|
|
|
191,122
|
|
Cavium, Inc.*
|
|
|
5,100
|
|
|
|
169,983
|
|
Aspen Technology, Inc.*
|
|
|
5,250
|
|
|
|
135,713
|
|
NETGEAR, Inc.*
|
|
|
3,050
|
|
|
|
116,327
|
|
Nanometrics, Inc.*
|
|
|
7,815
|
|
|
|
107,925
|
|
Opnet Technologies, Inc.
|
|
|
3,150
|
|
|
|
107,321
|
|
Ciena Corp.*
|
|
|
7,700
|
|
|
|
104,720
|
|
Harmonic, Inc.*
|
|
|
19,300
|
|
|
|
87,622
|
|
Lattice Semiconductor Corp.*
|
|
|
22,600
|
|
|
|
86,558
|
|
Sourcefire, Inc.*
|
|
|
1,580
|
|
|
|
77,467
|
|
QLIK Technologies, Inc.*
|
|
|
3,299
|
|
|
|
73,931
|
|
Rofin-Sinar Technologies, Inc.*
|
|
|
3,610
|
|
|
|
71,225
|
|
Riverbed Technology, Inc.*
|
|
|
2,810
|
|
|
|
65,389
|
|
SYNNEX Corp.*
|
|
|
1,880
|
|
|
|
61,250
|
|
FEI Co.
|
|
|
1,050
|
|
|
|
56,175
|
|
VanceInfo Technologies, Inc. ADR*
|
|
|
5,600
|
|
|
|
43,960
|
|
VeriFone Systems, Inc.*
|
|
|
850
|
|
|
|
23,673
|
|
Total Information Technology
|
|
|
|
|
|
|
2,606,438
|
|
Consumer Discretionary
- 18.6%
|
|
|
|
|
|
|
|
|
Jarden Corp.
|
|
|
4,815
|
|
|
|
254,425
|
|
Oxford Industries, Inc.
|
|
|
4,390
|
|
|
|
247,815
|
|
Lennar Corp. — Class A
|
|
|
5,750
|
|
|
|
199,928
|
|
Pier 1 Imports, Inc.
|
|
|
7,900
|
|
|
|
148,045
|
|
Hanesbrands, Inc.*
|
|
|
4,540
|
|
|
|
144,734
|
|
Monro Muffler Brake, Inc.
|
|
|
4,075
|
|
|
|
143,399
|
|
Penn National Gaming, Inc.*
|
|
|
3,275
|
|
|
|
141,152
|
|
MDC Partners, Inc. — Class A
|
|
|
10,900
|
|
|
|
134,506
|
|
Select Comfort Corp.*
|
|
|
4,110
|
|
|
|
129,671
|
|
Vail Resorts, Inc.
|
|
|
2,175
|
|
|
|
125,389
|
|
Sonic Corp.*
|
|
|
12,000
|
|
|
|
123,240
|
|
SodaStream International Ltd.*
|
|
|
3,125
|
|
|
|
122,406
|
|
Pinnacle Entertainment, Inc.*
|
|
|
9,814
|
|
|
|
120,222
|
|
BJ’s Restaurants, Inc.*
|
|
|
2,450
|
|
|
|
111,108
|
|
Life Time Fitness, Inc.*
|
|
|
2,120
|
|
|
|
96,969
|
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
|
|
825
|
|
|
|
79,452
|
|
HomeAway, Inc.*
|
|
|
2,900
|
|
|
|
68,005
|
|
Warnaco Group, Inc.*
|
|
|
1,175
|
|
|
|
60,983
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
2,451,449
|
|
Health Care
- 17.1%
|
|
|
|
|
|
|
|
|
Endo Health Solutions, Inc.*
|
|
|
7,090
|
|
|
|
224,895
|
|
Dynavax Technologies Corp.*
|
|
|
34,500
|
|
|
|
164,219
|
|
Hologic, Inc.*
|
|
|
7,870
|
|
|
|
159,288
|
|
Haemonetics Corp.*
|
|
|
1,685
|
|
|
|
135,137
|
|
Health Management Associates,
|
|
|
|
|
|
|
|
|
Inc. — Class A*
|
|
|
15,820
|
|
|
|
132,730
|
|
Endologix, Inc.*
|
|
|
9,400
|
|
|
|
129,908
|
|
Auxilium Pharmaceuticals, Inc.*
|
|
|
4,565
|
|
|
|
111,660
|
|
AngioDynamics, Inc.*
|
|
|
8,860
|
|
|
|
108,092
|
|
Acorda Therapeutics, Inc.*
|
|
|
3,750
|
|
|
|
96,037
|
|
NxStage Medical, Inc.*
|
|
|
6,950
|
|
|
|
91,810
|
|
Exact Sciences Corp.*
|
|
|
7,850
|
|
|
|
86,429
|
|
BioMarin Pharmaceutical, Inc.*
|
|
|
2,050
|
|
|
|
82,554
|
|
Halozyme Therapeutics, Inc.*
|
|
|
9,840
|
|
|
|
74,390
|
|
Amarin Corporation plc ADR*
|
|
|
5,750
|
|
|
|
72,450
|
|
HeartWare International, Inc.*
|
|
|
750
|
|
|
|
70,868
|
|
HMS Holdings Corp.*
|
|
|
2,075
|
|
|
|
69,367
|
|
Pharmacyclics, Inc.*
|
|
|
1,050
|
|
|
|
67,725
|
|
Ariad Pharmaceuticals, Inc.*
|
|
|
2,700
|
|
|
|
65,408
|
|
Optimer Pharmaceuticals, Inc.*
|
|
|
4,300
|
|
|
|
60,716
|
|
Incyte Corporation Ltd.*
|
|
|
3,100
|
|
|
|
55,955
|
|
Cepheid, Inc.*
|
|
|
1,615
|
|
|
|
55,734
|
|
Momenta Pharmaceuticals, Inc.*
|
|
|
3,300
|
|
|
|
48,081
|
|
Achillion Pharmaceuticals, Inc.*
|
|
|
3,200
|
|
|
|
33,312
|
|
CardioNet, Inc.*
|
|
|
12,550
|
|
|
|
31,626
|
|
Questcor Pharmaceuticals, Inc.*
|
|
|
1,150
|
|
|
|
21,275
|
|
Total Health Care
|
|
|
|
|
|
|
2,249,666
|
|
Industrials
- 11.0%
|
|
|
|
|
|
|
|
|
IDEX Corp.
|
|
|
4,270
|
|
|
|
178,357
|
|
Hexcel Corp.*
|
|
|
6,950
|
|
|
|
166,939
|
|
B/E Aerospace, Inc.*
|
|
|
3,940
|
|
|
|
165,874
|
|
AECOM Technology Corp.*
|
|
|
6,710
|
|
|
|
141,984
|
|
Crane Co.
|
|
|
3,500
|
|
|
|
139,755
|
|
Wabtec Corp.
|
|
|
1,665
|
|
|
|
133,683
|
|
Regal-Beloit Corp.
|
|
|
1,890
|
|
|
|
133,207
|
|
Kansas City Southern
|
|
|
1,665
|
|
|
|
126,174
|
|
Colfax Corp.*
|
|
|
3,350
|
|
|
|
122,845
|
|
WABCO Holdings, Inc.*
|
|
|
1,260
|
|
|
|
72,664
|
|
WESCO International, Inc.*
|
|
|
1,100
|
|
|
|
62,920
|
|
Total Industrials
|
|
|
|
|
|
|
1,444,402
|
|
Materials
- 8.3%
|
|
|
|
|
|
|
|
|
Ashland, Inc.
|
|
|
4,250
|
|
|
|
304,299
|
|
Cytec Industries, Inc.
|
|
|
3,673
|
|
|
|
240,655
|
|
HB Fuller Co.
|
|
|
7,250
|
|
|
|
222,430
|
|
Kaiser Aluminum Corp.
|
|
|
2,520
|
|
|
|
147,143
|
|
Silgan Holdings, Inc.
|
|
|
2,670
|
|
|
|
116,172
|
|
Cliffs Natural Resources, Inc.
|
|
|
1,760
|
|
|
|
68,869
|
|
Total Materials
|
|
|
|
|
|
|
1,099,568
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 41
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
SMALL CAP GROWTH FUND
|
|
|
|
Shares
|
|
|
Value
|
|
Energy
- 5.7%
|
|
|
|
|
|
|
|
|
Oil States International, Inc.*
|
|
|
3,660
|
|
|
$
|
290,823
|
|
McDermott International, Inc.*
|
|
|
10,750
|
|
|
|
131,365
|
|
Energy XXI Bermuda Ltd.
|
|
|
3,708
|
|
|
|
129,595
|
|
Superior Energy Services, Inc.*
|
|
|
6,080
|
|
|
|
124,762
|
|
Stone Energy Corp.*
|
|
|
3,000
|
|
|
|
75,360
|
|
Total Energy
|
|
|
|
|
|
|
751,905
|
|
Financials
- 4.9%
|
|
|
|
|
|
|
|
|
Texas Capital Bancshares, Inc.*
|
|
|
5,450
|
|
|
|
270,919
|
|
Amtrust Financial Services, Inc.
|
|
|
6,305
|
|
|
|
161,534
|
|
IBERIABANK Corp.
|
|
|
3,145
|
|
|
|
144,041
|
|
Stifel Financial Corp.*
|
|
|
2,203
|
|
|
|
74,021
|
|
Total Financials
|
|
|
|
|
|
|
650,515
|
|
Utilities
- 1.5%
|
|
|
|
|
|
|
|
|
NorthWestern Corp.
|
|
|
5,525
|
|
|
|
200,171
|
|
Telecommunication Services
- 1.3%
|
|
|
|
|
|
|
|
|
SBA Communications Corp. — Class A*
|
|
|
2,830
|
|
|
|
178,007
|
|
Consumer Staples
- 1.1%
|
|
|
|
|
|
|
|
|
Smart Balance, Inc.*
|
|
|
6,650
|
|
|
|
80,332
|
|
J&J Snack Foods Corp.
|
|
|
1,175
|
|
|
|
67,363
|
|
Total Consumer Staples
|
|
|
|
|
|
|
147,695
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $9,628,526)
|
|
|
|
|
|
|
11,779,816
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS
†
- 7.0%
|
|
|
|
|
|
|
|
|
iShares Russell 2000
|
|
|
|
|
|
|
|
|
Growth Index Fund
|
|
|
6,790
|
|
|
|
649,192
|
|
PowerShares S&P SmallCap
|
|
|
|
|
|
|
|
|
Health Care Portfolio
|
|
|
7,270
|
|
|
|
267,391
|
|
Total Exchange Traded Funds
|
|
|
|
|
|
|
|
|
(Cost $845,218)
|
|
|
|
|
|
|
916,583
|
|
Total Investments - 96.3%
|
|
|
|
|
|
|
|
|
(Cost $10,473,744)
|
|
|
|
|
|
$
|
12,696,399
|
|
Other Assets & Liabilities, net - 3.7%
|
|
|
|
|
|
|
485,370
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
13,181,769
|
|
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs — See Note 4.
|
|
|
ADR — American Depositary Receipt
|
|
|
plc — Public Limited Company
|
42 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SMALL CAP GROWTH FUND
STATEMENT OF ASSETS
AND LIABILITIES
|
September 30, 2012
|
Assets:
|
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $10,473,744)
|
|
$
|
12,696,399
|
|
Cash
|
|
|
500,802
|
|
Prepaid expenses
|
|
|
23,503
|
|
Receivables:
|
|
|
|
|
Dividends
|
|
|
2,686
|
|
Fund shares sold
|
|
|
1,698
|
|
Total assets
|
|
|
13,225,088
|
|
Liabilities:
|
|
|
|
|
Payable for:
|
|
|
|
|
Professional fees
|
|
|
11,330
|
|
Management fees
|
|
|
10,049
|
|
Transfer agent/maintenance fees
|
|
|
6,529
|
|
Distribution and service fees
|
|
|
4,714
|
|
Fund shares redeemed
|
|
|
3,436
|
|
Fund accounting/administration fees
|
|
|
2,243
|
|
Directors’ fees*
|
|
|
687
|
|
Miscellaneous
|
|
|
4,331
|
|
Total liabilities
|
|
|
43,319
|
|
Net
assets
|
|
$
|
13,181,769
|
|
Net assets consist of:
|
|
|
|
|
Paid in capital
|
|
$
|
13,455,282
|
|
Accumulated net investment loss
|
|
|
(220,388
|
)
|
Accumulated net realized loss on investments
|
|
|
(2,275,780
|
)
|
Net unrealized appreciation on investments
|
|
|
2,222,655
|
|
Net assets
|
|
$
|
13,181,769
|
|
A-Class:
|
|
|
|
|
Net assets
|
|
$
|
10,355,735
|
|
Capital shares outstanding
|
|
|
676,541
|
|
Net asset value per share
|
|
$
|
15.31
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
16.07
|
|
B-Class:
|
|
|
|
|
Net assets
|
|
$
|
1,012,150
|
|
Capital shares outstanding
|
|
|
76,406
|
|
Net asset value per share
|
|
$
|
13.25
|
|
C-Class:
|
|
|
|
|
Net assets
|
|
$
|
1,804,100
|
|
Capital shares outstanding
|
|
|
132,372
|
|
Net asset value per share
|
|
$
|
13.63
|
|
Institutional
Class:
|
|
|
|
|
Net assets
|
|
$
|
9,784
|
|
Capital shares outstanding
|
|
|
638
|
|
Net asset value per share
|
|
$
|
15.34
|
|
STATEMENT OF
OPERATIONS
|
Year Ended September 30, 2012
|
Investment Income:
|
|
|
|
|
Dividends (net of foreign withholding tax of $979)
|
|
$
|
77,344
|
|
Interest
|
|
|
54
|
|
Total investment income
|
|
|
77,398
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Management fees
|
|
|
129,653
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
51,971
|
|
B-Class
|
|
|
15,421
|
|
C-Class
|
|
|
6,983
|
|
Institutional Class
|
|
|
11
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
30,789
|
|
B-Class
|
|
|
11,993
|
|
C-Class
|
|
|
17,328
|
|
Fund accounting/administration fees
|
|
|
25,068
|
|
Registration fees
|
|
|
43,505
|
|
Printing expenses
|
|
|
19,490
|
|
Custodian fees
|
|
|
3,240
|
|
Directors’ fees*
|
|
|
1,682
|
|
Miscellaneous
|
|
|
8,902
|
|
Total expenses
|
|
|
366,036
|
|
Net investment loss
|
|
|
(288,638
|
)
|
|
|
|
|
|
Net Realized and
Unrealized Gain (Loss):
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
1,842,282
|
|
Net realized gain
|
|
|
1,842,282
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
2,071,742
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
2,071,742
|
|
Net realized and unrealized gain
|
|
|
3,914,024
|
|
Net increase in net assets resulting from operations
|
|
$
|
3,625,386
|
|
* Relates to Directors 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 | 43
|
SMALL CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase
(Decrease) In Net Assets From Operations:
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
$
|
(288,638
|
)
|
|
$
|
(308,691
|
)
|
Net realized gain on investments
|
|
|
1,842,282
|
|
|
|
2,614,617
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
2,071,742
|
|
|
|
(2,745,033
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
3,625,386
|
|
|
|
(439,107
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
3,720,971
|
|
|
|
7,162,239
|
|
B-Class
|
|
|
35,286
|
|
|
|
476,803
|
|
C-Class
|
|
|
609,027
|
|
|
|
438,345
|
|
Institutional Class
1
|
|
|
10,000
|
|
|
|
—
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(6,712,367
|
)
|
|
|
(8,281,727
|
)
|
B-Class
|
|
|
(588,637
|
)
|
|
|
(573,179
|
)
|
C-Class
|
|
|
(459,526
|
)
|
|
|
(606,748
|
)
|
Institutional Class
1
|
|
|
—
|
|
|
|
—
|
|
Net decrease from capital share transactions
|
|
|
(3,385,246
|
)
|
|
|
(138,267
|
)
|
Net increase (decrease) in net assets
|
|
|
240,140
|
|
|
|
(1,823,374
|
)
|
|
|
|
|
|
|
|
|
|
Net assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
12,941,629
|
|
|
|
14,765,003
|
|
End of year
|
|
$
|
13,181,769
|
|
|
$
|
12,941,629
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
(220,388
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
Capital share activity:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
255,712
|
|
|
|
488,818
|
|
B-Class
|
|
|
2,907
|
|
|
|
35,998
|
|
C-Class
|
|
|
47,790
|
|
|
|
32,398
|
|
Institutional Class
1
|
|
|
638
|
|
|
|
—
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(452,150
|
)
|
|
|
(583,053
|
)
|
B-Class
|
|
|
(47,023
|
)
|
|
|
(46,201
|
)
|
C-Class
|
|
|
(35,644
|
)
|
|
|
(47,660
|
)
|
Institutional Class
1
|
|
|
—
|
|
|
|
—
|
|
Net decrease in shares
|
|
|
(227,770
|
)
|
|
|
(119,700
|
)
|
1
Since commencement of operations: March
1, 2012.
44 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SMALL CAP 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
11.91
|
|
|
$
|
12.25
|
|
|
$
|
10.56
|
|
|
$
|
11.43
|
|
|
$
|
18.53
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.24
|
)
|
|
|
(.24
|
)
|
|
|
(.18
|
)
|
|
|
(.18
|
)
|
|
|
(.24
|
)
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
3.64
|
|
|
|
(.10
|
)
|
|
|
1.87
|
|
|
|
(.63
|
)
|
|
|
(5.55
|
)
|
Total from investment operations
|
|
|
3.40
|
|
|
|
(.34
|
)
|
|
|
1.69
|
|
|
|
(.81
|
)
|
|
|
(5.79
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Net asset value, end of period
|
|
$
|
15.31
|
|
|
$
|
11.91
|
|
|
$
|
12.25
|
|
|
$
|
10.56
|
|
|
$
|
11.43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
28.55
|
%
|
|
|
(2.78
|
%)
|
|
|
16.00
|
%
|
|
|
(6.89
|
%)
|
|
|
(33.25
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
10,356
|
|
|
$
|
10,396
|
|
|
$
|
11,847
|
|
|
$
|
9,966
|
|
|
$
|
12,414
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(1.68
|
%)
|
|
|
(1.68
|
%)
|
|
|
(1.55
|
%)
|
|
|
(2.04
|
%)
|
|
|
(1.59
|
%)
|
Total expenses
c
|
|
|
2.19
|
%
|
|
|
2.11
|
%
|
|
|
2.26
|
%
|
|
|
2.67
|
%
|
|
|
1.98
|
%
|
Net expenses
d
|
|
|
2.19
|
%
|
|
|
2.11
|
%
|
|
|
2.26
|
%
|
|
|
2.60
|
%
|
|
|
1.98
|
%
|
Portfolio turnover rate
|
|
|
82
|
%
|
|
|
101
|
%
|
|
|
112
|
%
|
|
|
200
|
%
|
|
|
169
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
B-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.47
|
|
|
$
|
10.85
|
|
|
$
|
9.43
|
|
|
$
|
10.28
|
|
|
$
|
16.92
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.42
|
)
|
|
|
(.30
|
)
|
|
|
(.23
|
)
|
|
|
(.21
|
)
|
|
|
(.32
|
)
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
3.20
|
|
|
|
(.08
|
)
|
|
|
1.65
|
|
|
|
(.58
|
)
|
|
|
(5.01
|
)
|
Total from investment operations
|
|
|
2.78
|
|
|
|
(.38
|
)
|
|
|
1.42
|
|
|
|
(.79
|
)
|
|
|
(5.33
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Net asset value, end of period
|
|
$
|
13.25
|
|
|
$
|
10.47
|
|
|
$
|
10.85
|
|
|
$
|
9.43
|
|
|
$
|
10.28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
26.43
|
%
|
|
|
(3.41
|
%)
|
|
|
15.06
|
%
|
|
|
(7.47
|
%)
|
|
|
(33.72
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,012
|
|
|
$
|
1,262
|
|
|
$
|
1,419
|
|
|
$
|
1,766
|
|
|
$
|
2,675
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(3.30
|
%)
|
|
|
(2.44
|
%)
|
|
|
(2.30
|
%)
|
|
|
(2.77
|
%)
|
|
|
(2.42
|
%)
|
Total expenses
c
|
|
|
3.80
|
%
|
|
|
2.87
|
%
|
|
|
3.02
|
%
|
|
|
3.41
|
%
|
|
|
2.82
|
%
|
Net expenses
d
|
|
|
3.80
|
%
|
|
|
2.87
|
%
|
|
|
3.02
|
%
|
|
|
3.33
|
%
|
|
|
2.82
|
%
|
Portfolio turnover rate
|
|
|
82
|
%
|
|
|
101
|
%
|
|
|
112
|
%
|
|
|
200
|
%
|
|
|
169
|
%
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 45
|
SMALL CAP 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
10.68
|
|
|
$
|
11.06
|
|
|
$
|
9.61
|
|
|
$
|
10.48
|
|
|
$
|
17.23
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.31
|
)
|
|
|
(.31
|
)
|
|
|
(.24
|
)
|
|
|
(.22
|
)
|
|
|
(.33
|
)
|
Net gain (loss) on investments (realized and
unrealized)
|
|
|
3.26
|
|
|
|
(.07
|
)
|
|
|
1.69
|
|
|
|
(.59
|
)
|
|
|
(5.11
|
)
|
Total from investment operations
|
|
|
2.95
|
|
|
|
(.38
|
)
|
|
|
1.45
|
|
|
|
(.81
|
)
|
|
|
(5.44
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(1.31
|
)
|
Net asset value, end of period
|
|
$
|
13.63
|
|
|
$
|
10.68
|
|
|
$
|
11.06
|
|
|
$
|
9.61
|
|
|
$
|
10.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
b
|
|
|
27.62
|
%
|
|
|
(3.44
|
%)
|
|
|
15.09
|
%
|
|
|
(7.51
|
%)
|
|
|
(33.76
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,804
|
|
|
$
|
1,284
|
|
|
$
|
1,499
|
|
|
$
|
1,518
|
|
|
$
|
2,318
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(2.41
|
%)
|
|
|
(2.43
|
%)
|
|
|
(2.31
|
%)
|
|
|
(2.77
|
%)
|
|
|
(2.43
|
%)
|
Total expenses
c
|
|
|
2.93
|
%
|
|
|
2.86
|
%
|
|
|
3.02
|
%
|
|
|
3.40
|
%
|
|
|
2.83
|
%
|
Net expenses
d
|
|
|
2.93
|
%
|
|
|
2.86
|
%
|
|
|
3.02
|
%
|
|
|
3.33
|
%
|
|
|
2.83
|
%
|
Portfolio turnover rate
|
|
|
82
|
%
|
|
|
101
|
%
|
|
|
112
|
%
|
|
|
200
|
%
|
|
|
169
|
%
|
|
|
Period Ended
|
|
|
|
September 30,
|
|
Institutional Class
|
|
2012
e
|
|
Per Share Data
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.68
|
|
Income (loss) from investment operations:
|
|
|
|
|
Net investment loss
a
|
|
|
(.11
|
)
|
Net loss on investments
(realized and
unrealized)
|
|
|
(.23
|
)
|
Total from investment operations
|
|
|
(.34
|
)
|
Net asset value, end of period
|
|
$
|
15.34
|
|
|
|
|
|
|
Total Return
b
|
|
|
(2.17
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
10
|
|
Ratios to average net assets:
|
|
|
|
|
Net investment loss
|
|
|
(1.26
|
%)
|
Total expenses
c
|
|
|
1.79
|
%
|
Portfolio turnover rate
|
|
|
82
|
%
|
|
a
|
Net investment 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 and has not been annualized.
|
|
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
|
Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized. The portfolio turn-over rate stated is for the entire fiscal year of
the Fund, not since commencement of operations of the Class.
|
46 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the fiscal year ended September 30, 2012, the Small Cap
Value Fund returned 32.19%
1
, compared with the Russell 2000
®
Value Index, which returned 32.63%.
Our strategy is to select securities of
companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment
approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation
focus, a long-term investment horizon and an opportunistic approach.
Our investment process is fundamentally
driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous
fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value
and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by
the bottom-up analysis and the upside/downside profile associated with each company.
The portfolio’s performance was helped by stock
selection in the Consumer Discretionary and the Materials sectors, which were among the best-performing sectors in both the
portfolio and the index, and an underweight in the Utilities sector. Utilities have a rich valuation, and the underweight has
benefited the portfolio over the period. These benefits offset poor stock selection in Information Technology and an
underweight in the Financial sector, caused by an underweight to the Financials sector’s REITs. That stance hurt the
portfolio as investors moved into REITs for their income in a low-yield environment. We continue to believe that insurers
have the best fundamental outlook in the Financials sector. Energy was not a significant factor in performance for the year,
but we continue to overweight it relative to the benchmark given our view that no other sector offers comparable reinvestment
opportunities.
The holdings contributing most to portfolio performance over
the period were Cabela’s, Inc., Global Cash Access Holdings, Inc. and Smith & Wesson Holding Corp. The top three detractors
were Maxwell Technologies, Inc., MGIC Investment Corp. and DeVry, Inc.
We remain focused on searching for companies we think have good
long-term fundamental prospects and attractive valuations that are likely to generate strong performance relative to the broader
market, regardless of macroeconomic events.
We appreciate your business and the trust you place in us.
Sincerely,
James Schier, CFA, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and in the absence of such waivers, the performance
quoted would be reduced.
This 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- sized company securities may present additional risks such as less predictable earnings, higher
volatility and less liquidity than larger, more established companies.
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 | 47
|
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
SMALL CAP VALUE FUND
OBJECTIVE:
Seeks long-term capital appreciation.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
|
|
|
Since Inception
|
|
|
|
1 Year
|
|
|
(07/11/08)
|
|
A-Class Shares
|
|
|
32.19
|
%
|
|
|
17.10
|
%
|
A-Class Shares with sales charge
†
|
|
|
25.92
|
%
|
|
|
15.47
|
%
|
C-Class Shares
|
|
|
31.35
|
%
|
|
|
16.29
|
%
|
C-Class Shares with CDSC
‡
|
|
|
30.35
|
%
|
|
|
16.29
|
%
|
Institutional Class Shares
|
|
|
32.51
|
%
|
|
|
17.38
|
%
|
Russell 2000 Value Index
|
|
|
32.63
|
%
|
|
|
6.53
|
%
|
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
|
Institutional Class
|
July 11, 2008
|
Ten Largest Holdings (% of Total Net Assets)
|
Hanover Insurance Group, Inc.
|
|
|
3.5
|
%
|
TPC Group, Inc.
|
|
|
2.3
|
%
|
Gulfport Energy Corp.
|
|
|
2.2
|
%
|
Covanta Holding Corp.
|
|
|
2.0
|
%
|
Global Cash Access Holdings, Inc.
|
|
|
2.0
|
%
|
Ocwen Financial Corp.
|
|
|
2.0
|
%
|
Cree, Inc.
|
|
|
1.9
|
%
|
Reinsurance Group of America,
|
|
|
|
|
Inc. — Class A
|
|
|
1.9
|
%
|
Horace Mann Educators Corp.
|
|
|
1.8
|
%
|
UGI Corp.
|
|
|
1.8
|
%
|
Top Ten Total
|
|
|
21.4
|
%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
|
*
|
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.
|
|
†
|
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 since inception 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.
|
48 |
the
GUGGENHEIM FUNDS annual report
|
|
SCHEDULE OF INVESTMENTS
|
September
30, 2012
|
SMALL CAP VALUE FUND
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 98.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials - 21.4%
|
|
|
|
|
|
|
|
|
Hanover Insurance Group, Inc.
|
|
|
31,478
|
|
|
$
|
1,172,870
|
|
Ocwen Financial Corp.*
|
|
|
24,091
|
|
|
|
660,334
|
|
Reinsurance Group of America,
|
|
|
|
|
|
|
|
|
Inc. — Class A
|
|
|
11,300
|
|
|
|
653,931
|
|
Horace Mann Educators Corp.
|
|
|
34,550
|
|
|
|
625,701
|
|
Home Loan Servicing Solutions Ltd.
|
|
|
34,600
|
|
|
|
562,942
|
|
Endurance Specialty Holdings Ltd.
|
|
|
13,214
|
|
|
|
508,739
|
|
1st Source Corp.
|
|
|
20,860
|
|
|
|
464,553
|
|
Redwood Trust, Inc.
|
|
|
27,903
|
|
|
|
403,477
|
|
Bancorp, Inc.*
|
|
|
35,490
|
|
|
|
364,482
|
|
PrivateBancorp, Inc. — Class A
|
|
|
20,586
|
|
|
|
329,170
|
|
Lexington Realty Trust
|
|
|
30,297
|
|
|
|
292,669
|
|
Employers Holdings, Inc.
|
|
|
14,236
|
|
|
|
260,946
|
|
Solar Senior Capital Ltd.
|
|
|
13,556
|
|
|
|
242,788
|
|
AMERISAFE, Inc.*
|
|
|
8,835
|
|
|
|
239,782
|
|
Safeguard Scientifics, Inc.*
|
|
|
11,980
|
|
|
|
187,966
|
|
BancFirst Corp.
|
|
|
4,224
|
|
|
|
181,463
|
|
MGIC Investment Corp.*
|
|
|
53,887
|
|
|
|
82,447
|
|
First Marblehead Corp.*
|
|
|
9,312
|
|
|
|
9,778
|
|
Total Financials
|
|
|
|
|
|
|
7,244,038
|
|
Industrials - 20.8%
|
|
|
|
|
|
|
|
|
Covanta Holding Corp.
|
|
|
40,390
|
|
|
|
693,093
|
|
Great Lakes Dredge & Dock Corp.
|
|
|
79,069
|
|
|
|
608,832
|
|
Saia, Inc.*
|
|
|
25,570
|
|
|
|
514,979
|
|
Aegion Corp. — Class A*
|
|
|
24,753
|
|
|
|
474,267
|
|
General Cable Corp.*
|
|
|
14,446
|
|
|
|
424,424
|
|
Navigant Consulting, Inc.*
|
|
|
37,500
|
|
|
|
414,375
|
|
GeoEye, Inc.*
|
|
|
15,618
|
|
|
|
412,784
|
|
EnergySolutions, Inc.*
|
|
|
146,955
|
|
|
|
401,187
|
|
Orbital Sciences Corp.*
|
|
|
26,774
|
|
|
|
389,829
|
|
ICF International, Inc.*
|
|
|
19,257
|
|
|
|
387,066
|
|
Sterling Construction Company, Inc.*
|
|
|
38,128
|
|
|
|
380,517
|
|
Powell Industries, Inc.*
|
|
|
8,530
|
|
|
|
329,855
|
|
Celadon Group, Inc.
|
|
|
17,782
|
|
|
|
285,757
|
|
Energy Recovery, Inc.*
|
|
|
96,450
|
|
|
|
285,492
|
|
Vitran Corporation, Inc. — Class A*
|
|
|
40,920
|
|
|
|
243,474
|
|
Atlas Air Worldwide Holdings, Inc.*
|
|
|
4,020
|
|
|
|
207,553
|
|
Furmanite Corp.*
|
|
|
32,210
|
|
|
|
182,953
|
|
DryShips, Inc.*
|
|
|
72,889
|
|
|
|
170,560
|
|
Marten Transport Ltd.
|
|
|
8,370
|
|
|
|
147,061
|
|
PMFG, Inc.*
|
|
|
9,500
|
|
|
|
76,855
|
|
Dynamic Materials Corp.
|
|
|
724
|
|
|
|
10,874
|
|
Total Industrials
|
|
|
|
|
|
|
7,041,787
|
|
Information Technology
- 14.9%
|
|
|
|
|
|
|
|
|
Global Cash Access Holdings, Inc.*
|
|
|
83,480
|
|
|
|
672,014
|
|
Cree, Inc.*
|
|
|
25,750
|
|
|
|
657,398
|
|
Insight Enterprises, Inc.*
|
|
|
30,134
|
|
|
|
526,742
|
|
IXYS Corp.*
|
|
|
52,820
|
|
|
|
523,974
|
|
Maxwell Technologies, Inc.*
|
|
|
55,704
|
|
|
|
452,316
|
|
Digi International, Inc.*
|
|
|
41,627
|
|
|
|
422,930
|
|
Multi-Fineline Electronix, Inc.*
|
|
|
14,240
|
|
|
|
321,112
|
|
RF Micro Devices, Inc.*
|
|
|
78,810
|
|
|
|
311,300
|
|
Power-One, Inc.*
|
|
|
46,143
|
|
|
|
258,401
|
|
Carbonite, Inc.*
|
|
|
29,045
|
|
|
|
203,605
|
|
Spansion, Inc. — Class A*
|
|
|
15,880
|
|
|
|
189,290
|
|
Intermec, Inc.*
|
|
|
30,410
|
|
|
|
188,846
|
|
Symmetricom, Inc.*
|
|
|
24,280
|
|
|
|
169,232
|
|
Semtech Corp.*
|
|
|
6,590
|
|
|
|
165,739
|
|
Total Information Technology
|
|
|
|
|
|
|
5,062,899
|
|
Consumer Discretionary
- 12.3%
|
|
|
|
|
|
|
|
|
Chico’s FAS, Inc.
|
|
|
30,870
|
|
|
|
559,056
|
|
Cabela’s, Inc.*
,1
|
|
|
10,050
|
|
|
|
549,534
|
|
Maidenform Brands, Inc.*
|
|
|
26,260
|
|
|
|
537,804
|
|
International Speedway Corp. — Class A
|
|
|
17,991
|
|
|
|
510,405
|
|
Brown Shoe Company, Inc.
|
|
|
31,674
|
|
|
|
507,734
|
|
DeVry, Inc.
|
|
|
14,500
|
|
|
|
330,020
|
|
Scholastic Corp.
|
|
|
10,382
|
|
|
|
329,940
|
|
Jones Group, Inc.
|
|
|
24,596
|
|
|
|
316,551
|
|
Coldwater Creek, Inc.*
|
|
|
347,889
|
|
|
|
288,748
|
|
iRobot Corp.*
|
|
|
10,898
|
|
|
|
248,038
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
4,177,830
|
|
Energy - 9.7%
|
|
|
|
|
|
|
|
|
Gulfport Energy Corp.*
|
|
|
23,311
|
|
|
|
728,702
|
|
Kodiak Oil & Gas Corp.*
|
|
|
62,130
|
|
|
|
581,537
|
|
Abraxas Petroleum Corp.*
|
|
|
239,310
|
|
|
|
550,413
|
|
Goodrich Petroleum Corp.*
|
|
|
32,902
|
|
|
|
415,881
|
|
Resolute Energy Corp.*
|
|
|
36,700
|
|
|
|
325,529
|
|
PDC Energy, Inc.*
|
|
|
8,400
|
|
|
|
265,692
|
|
Sanchez Energy Corp.*
|
|
|
11,367
|
|
|
|
232,228
|
|
Clayton Williams Energy, Inc.*
|
|
|
3,340
|
|
|
|
173,313
|
|
USEC, Inc.*
|
|
|
30,380
|
|
|
|
23,696
|
|
Total Energy
|
|
|
|
|
|
|
3,296,991
|
|
Utilities - 6.4%
|
|
|
|
|
|
|
|
|
UGI Corp.
|
|
|
19,690
|
|
|
|
625,157
|
|
Black Hills Corp.
|
|
|
14,671
|
|
|
|
521,847
|
|
Great Plains Energy, Inc.
|
|
|
21,650
|
|
|
|
481,929
|
|
South Jersey Industries, Inc.
|
|
|
6,790
|
|
|
|
359,395
|
|
MDU Resources Group, Inc.
|
|
|
8,613
|
|
|
|
189,831
|
|
Total Utilities
|
|
|
|
|
|
|
2,178,159
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 49
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
SMALL CAP VALUE FUND
|
|
|
Shares
|
|
|
Value
|
|
Materials - 6.4%
|
|
|
|
|
|
|
|
|
TPC Group, Inc.*
|
|
|
18,962
|
|
|
$
|
773,839
|
|
Landec Corp.*
|
|
|
48,556
|
|
|
|
555,966
|
|
Zoltek Companies, Inc.*
|
|
|
45,880
|
|
|
|
352,817
|
|
A. Schulman, Inc.
|
|
|
12,300
|
|
|
|
292,986
|
|
Globe Specialty Metals, Inc.
|
|
|
13,240
|
|
|
|
201,513
|
|
Total Materials
|
|
|
|
|
|
|
2,177,121
|
|
Consumer Staples - 3.9%
|
|
|
|
|
|
|
|
|
Central Garden and Pet Co. — Class A*
|
|
|
45,235
|
|
|
|
546,439
|
|
Spartan Stores, Inc.
|
|
|
24,040
|
|
|
|
368,052
|
|
Darling International, Inc.*
|
|
|
18,687
|
|
|
|
341,785
|
|
Central Garden and Pet Co.*
|
|
|
5,428
|
|
|
|
64,539
|
|
Total Consumer Staples
|
|
|
|
|
|
|
1,320,815
|
|
Health Care - 2.4%
|
|
|
|
|
|
|
|
|
Greatbatch, Inc.*
|
|
|
15,388
|
|
|
|
374,390
|
|
Kindred Healthcare, Inc.*
|
|
|
20,736
|
|
|
|
235,976
|
|
Horizon Pharma, Inc.*
|
|
|
57,000
|
|
|
|
197,790
|
|
Total Health Care
|
|
|
|
|
|
|
808,156
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $30,876,108)
|
|
|
|
|
|
|
33,307,796
|
|
CONVERTIBLE PREFERRED STOCKS
††
- 0.0%
|
|
|
|
|
|
|
|
|
Thermoenergy Corp.*
,2
|
|
|
6,250
|
|
|
|
1,825
|
|
Total Convertible Preferred Stocks
|
|
|
|
|
|
|
|
|
(Cost $5,968)
|
|
|
|
|
|
|
1,825
|
|
WARRANTS
††
- 0.0%
|
|
|
|
|
|
|
|
|
Horizon Pharma, Inc.
|
|
|
|
|
|
|
|
|
$4.58, 09/20/17*
|
|
|
28,500
|
|
|
|
8,550
|
|
Total Warrants
|
|
|
|
|
|
|
|
|
(Cost $—)
|
|
|
|
|
|
|
8,550
|
|
|
|
Face
|
|
|
|
|
|
|
Amount
|
|
|
|
|
CONVERTIBLE BONDS
††
- 0.5%
|
|
|
|
|
|
|
|
|
Industrials - 0.5%
|
|
|
|
|
|
|
|
|
DryShips, Inc.
|
|
|
|
|
|
|
|
|
5.00% due 12/01/14
|
|
$
|
200,000
|
|
|
|
165,250
|
|
Total Convertible Bonds
|
|
|
|
|
|
|
|
|
(Cost $158,422)
|
|
|
|
|
|
|
165,250
|
|
Total Long Investments - 98.7%
|
|
|
|
|
|
|
|
|
(Cost $31,040,498)
|
|
|
|
|
|
$
|
33,483,421
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
|
|
|
OPTIONS WRITTEN
†
- 0.0%
|
|
|
|
|
|
|
|
|
Call Option on:
|
|
|
|
|
|
|
|
|
Cabela’s, Inc.
|
|
|
|
|
|
|
|
|
Expiring December 2012 with
|
|
|
|
|
|
|
|
|
strike price of $55.00
|
|
|
33
|
|
|
|
(11,220
|
)
|
Total Options Written
|
|
|
|
|
|
|
|
|
(Premiums received $9,407)
|
|
|
|
|
|
|
(11,220
|
)
|
Other Assets & Liabilities, net - 1.3%
|
|
|
|
|
|
|
439,257
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
33,911,458
|
|
|
*
|
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 collateral for open options written contracts at
September 30, 2012.
|
|
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.
|
50 | the
GUGGENHEIM FUNDS annual report
|
See Notes
to Financial Statements.
|
STATEMENT OF ASSETS
|
AND LIABILITIES
|
September 30, 2012
Assets:
|
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $31,040,498)
|
|
$
|
33,483,421
|
|
Cash
|
|
|
557,510
|
|
Prepaid expenses
|
|
|
22,050
|
|
Receivables:
|
|
|
|
|
Securities sold
|
|
|
54,333
|
|
Dividends
|
|
|
22,531
|
|
Investment advisor
|
|
|
11,731
|
|
Fund shares sold
|
|
|
5,996
|
|
Interest
|
|
|
3,335
|
|
Total assets
|
|
|
34,160,907
|
|
Liabilities:
|
|
|
|
|
Options written, at value
|
|
|
|
|
(premiums received $9,407)
|
|
|
11,220
|
|
Payable for:
|
|
|
|
|
Securities purchased
|
|
|
171,876
|
|
Management fees
|
|
|
27,660
|
|
Transfer agent/maintenance fees
|
|
|
14,026
|
|
Distribution and service fees
|
|
|
4,963
|
|
Fund shares redeemed
|
|
|
3,012
|
|
Fund accounting/administration fees
|
|
|
2,628
|
|
Directors’ fees*
|
|
|
71
|
|
Miscellaneous
|
|
|
13,993
|
|
Total liabilities
|
|
|
249,449
|
|
Net assets
|
|
$
|
33,911,458
|
|
Net assets consist of:
|
|
|
|
|
Paid in capital
|
|
$
|
29,461,390
|
|
Accumulated net investment loss
|
|
|
(35,292
|
)
|
Accumulated net realized gain on investments
|
|
|
2,044,250
|
|
Net unrealized appreciation on investments
|
|
|
2,441,110
|
|
Net assets
|
|
$
|
33,911,458
|
|
A-Class:
|
|
|
|
|
Net assets
|
|
$
|
12,293,733
|
|
Capital shares outstanding
|
|
|
817,516
|
|
Net asset value per share
|
|
$
|
15.04
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
15.79
|
|
C-Class:
|
|
|
|
|
Net assets
|
|
$
|
3,026,413
|
|
Capital shares outstanding
|
|
|
208,199
|
|
Net asset value per share
|
|
$
|
14.54
|
|
Institutional Class:
|
|
|
|
|
Net assets
|
|
$
|
18,591,312
|
|
Capital shares outstanding
|
|
|
1,222,089
|
|
Net asset value per share
|
|
$
|
15.21
|
|
Year Ended September 30, 2012
Investment Income:
|
|
|
|
|
Dividends (net of foreign withholding tax of $1,557)
|
|
$
|
303,677
|
|
Interest
|
|
|
11,661
|
|
Total investment income
|
|
|
315,338
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Management fees
|
|
|
296,317
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
52,617
|
|
C-Class
|
|
|
8,978
|
|
Institutional Class
|
|
|
11,754
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
28,667
|
|
C-Class
|
|
|
33,161
|
|
Fund accounting/administration fees
|
|
|
29,876
|
|
Registration fees
|
|
|
43,710
|
|
Custodian fees
|
|
|
9,216
|
|
Directors’ fees*
|
|
|
2,258
|
|
Miscellaneous
|
|
|
31,318
|
|
Total expenses
|
|
|
547,872
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(175,113
|
)
|
Net expenses
|
|
|
372,759
|
|
Net investment loss
|
|
|
(57,421
|
)
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss):
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
2,469,521
|
|
Options written
|
|
|
45,398
|
|
Net realized gain
|
|
|
2,514,919
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
4,496,058
|
|
Options written
|
|
|
(780
|
)
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
4,495,278
|
|
Net realized and unrealized gain
|
|
|
7,010,197
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
6,952,776
|
|
* Relates to Directors 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 | 51
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase (Decrease) In Net Assets From
Operations:
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
$
|
(57,421
|
)
|
|
$
|
(74,743
|
)
|
Net realized gain on investments
|
|
|
2,514,919
|
|
|
|
892,619
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
4,495,278
|
|
|
|
(2,398,142
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
6,952,776
|
|
|
|
(1,580,266
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders from:
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(235,223
|
)
|
|
|
(891,555
|
)
|
C-Class
|
|
|
(65,832
|
)
|
|
|
(220,130
|
)
|
Institutional Class
|
|
|
(390,818
|
)
|
|
|
(91,413
|
)
|
Total distributions to shareholders
|
|
|
(691,873
|
)
|
|
|
(1,203,098
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
11,420,543
|
|
|
|
6,162,474
|
|
C-Class
|
|
|
2,813,053
|
|
|
|
1,798,076
|
|
Institutional Class
|
|
|
15,208,102
|
|
|
|
187,814
|
|
Distributions reinvested
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
230,460
|
|
|
|
869,495
|
|
C-Class
|
|
|
60,332
|
|
|
|
203,368
|
|
Institutional Class
|
|
|
386,253
|
|
|
|
73,422
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(9,398,528
|
)
|
|
|
(3,590,095
|
)
|
C-Class
|
|
|
(2,852,765
|
)
|
|
|
(469,516
|
)
|
Institutional Class
|
|
|
(751,336
|
)
|
|
|
(213,782
|
)
|
Net increase from capital share transactions
|
|
|
17,116,114
|
|
|
|
5,021,256
|
|
Net increase in net assets
|
|
|
23,377,017
|
|
|
|
2,237,892
|
|
|
|
|
|
|
|
|
|
|
Net assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
10,534,441
|
|
|
|
8,296,549
|
|
End of year
|
|
$
|
33,911,458
|
|
|
$
|
10,534,441
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
(35,292
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
Capital share activity:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
802,469
|
|
|
|
427,431
|
|
C-Class
|
|
|
205,879
|
|
|
|
126,060
|
|
Institutional Class
|
|
|
1,187,572
|
|
|
|
12,835
|
|
Shares issued from reinvestment of distributions
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
17,977
|
|
|
|
61,535
|
|
C-Class
|
|
|
4,838
|
|
|
|
14,673
|
|
Institutional Class
|
|
|
29,827
|
|
|
|
5,160
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(654,086
|
)
|
|
|
(270,342
|
)
|
C-Class
|
|
|
(205,339
|
)
|
|
|
(33,653
|
)
|
Institutional Class
|
|
|
(49,544
|
)
|
|
|
(14,642
|
)
|
Net increase in shares
|
|
|
1,339,593
|
|
|
|
329,057
|
|
52 | the
GUGGENHEIM FUNDS annual report
|
See Notes
to Financial Statements.
|
This table is presented to show selected
data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the
periods presented.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
11.66
|
|
|
$
|
14.35
|
|
|
$
|
13.24
|
|
|
$
|
11.48
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
b
|
|
|
(.03
|
)
|
|
|
(.07
|
)
|
|
|
(.05
|
)
|
|
|
(.05
|
)
|
|
|
(—
|
)
c
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
3.73
|
|
|
|
(.63
|
)
|
|
|
1.54
|
|
|
|
2.44
|
|
|
|
1.48
|
|
Total from investment operations
|
|
|
3.70
|
|
|
|
(.70
|
)
|
|
|
1.49
|
|
|
|
2.39
|
|
|
|
1.48
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
15.04
|
|
|
$
|
11.66
|
|
|
$
|
14.35
|
|
|
$
|
13.24
|
|
|
$
|
11.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
d
|
|
|
32.19
|
%
|
|
|
(7.31
|
%)
|
|
|
11.53
|
%
|
|
|
24.15
|
%
|
|
|
14.80
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
12,294
|
|
|
$
|
7,592
|
|
|
$
|
6,209
|
|
|
$
|
3,245
|
|
|
$
|
400
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.24
|
%)
|
|
|
(0.52
|
%)
|
|
|
(0.34
|
%)
|
|
|
(0.46
|
%)
|
|
|
(0.19
|
%)
|
Total expenses
|
|
|
2.14
|
%
|
|
|
2.33
|
%
|
|
|
2.45
|
%
|
|
|
4.92
|
%
|
|
|
6.10
|
%
|
Net expenses
e
|
|
|
1.30
|
%
|
|
|
1.30
|
%
|
|
|
1.30
|
%
|
|
|
1.55
|
%
|
|
|
1.55
|
%
|
Portfolio turnover rate
|
|
|
62
|
%
|
|
|
70
|
%
|
|
|
140
|
%
|
|
|
58
|
%
|
|
|
86
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Period Ended
|
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
C-Class
|
|
|
2012
|
|
|
|
2011
|
|
|
|
2010
|
|
|
|
2009
|
|
|
|
2008
|
a
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
11.36
|
|
|
$
|
14.13
|
|
|
$
|
13.11
|
|
|
$
|
11.46
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
b
|
|
|
(.14
|
)
|
|
|
(.18
|
)
|
|
|
(.15
|
)
|
|
|
(.11
|
)
|
|
|
(.02
|
)
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
3.64
|
|
|
|
(.60
|
)
|
|
|
1.55
|
|
|
|
2.39
|
|
|
|
1.48
|
|
Total from investment operations
|
|
|
3.50
|
|
|
|
(.78
|
)
|
|
|
1.40
|
|
|
|
2.28
|
|
|
|
1.46
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
14.54
|
|
|
$
|
11.36
|
|
|
$
|
14.13
|
|
|
$
|
13.11
|
|
|
$
|
11.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
d
|
|
|
31.35
|
%
|
|
|
(8.07
|
%)
|
|
|
10.94
|
%
|
|
|
23.16
|
%
|
|
|
14.60
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
3,026
|
|
|
$
|
2,305
|
|
|
$
|
1,353
|
|
|
$
|
709
|
|
|
$
|
391
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(1.00
|
%)
|
|
|
(1.26
|
%)
|
|
|
(1.09
|
%)
|
|
|
(1.15
|
%)
|
|
|
(0.94
|
%)
|
Total expenses
|
|
|
2.70
|
%
|
|
|
3.07
|
%
|
|
|
3.22
|
%
|
|
|
6.40
|
%
|
|
|
6.88
|
%
|
Net expenses
e
|
|
|
2.05
|
%
|
|
|
2.05
|
%
|
|
|
2.05
|
%
|
|
|
2.30
|
%
|
|
|
2.30
|
%
|
Portfolio turnover rate
|
|
|
62
|
%
|
|
|
70
|
%
|
|
|
140
|
%
|
|
|
58
|
%
|
|
|
86
|
%
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 53
|
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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
Institutional Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
a
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
11.76
|
|
|
$
|
14.43
|
|
|
$
|
13.28
|
|
|
$
|
11.49
|
|
|
$
|
10.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
b
|
|
|
—
|
c
|
|
|
(.04
|
)
|
|
|
(.01
|
)
|
|
|
(.01
|
)
|
|
|
—
|
c
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
3.77
|
|
|
|
(.64
|
)
|
|
|
1.54
|
|
|
|
2.43
|
|
|
|
1.49
|
|
Total from investment operations
|
|
|
3.77
|
|
|
|
(.68
|
)
|
|
|
1.53
|
|
|
|
2.42
|
|
|
|
1.49
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(.32
|
)
|
|
|
(1.99
|
)
|
|
|
(.38
|
)
|
|
|
(.63
|
)
|
|
|
—
|
|
Net asset value, end of period
|
|
$
|
15.21
|
|
|
$
|
11.76
|
|
|
$
|
14.43
|
|
|
$
|
13.28
|
|
|
$
|
11.49
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
d
|
|
|
32.51
|
%
|
|
|
(7.11
|
%)
|
|
|
11.80
|
%
|
|
|
24.40
|
%
|
|
|
14.90
|
%
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
18,591
|
|
|
$
|
638
|
|
|
$
|
734
|
|
|
$
|
630
|
|
|
$
|
383
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.02
|
%
|
|
|
(0.30
|
%)
|
|
|
(0.08
|
%)
|
|
|
(0.14
|
%)
|
|
|
0.06
|
%
|
Total expenses
|
|
|
1.44
|
%
|
|
|
2.09
|
%
|
|
|
2.21
|
%
|
|
|
5.44
|
%
|
|
|
5.90
|
%
|
Net expenses
e
|
|
|
1.05
|
%
|
|
|
1.05
|
%
|
|
|
1.05
|
%
|
|
|
1.30
|
%
|
|
|
1.30
|
%
|
Portfolio turnover rate
|
|
|
62
|
%
|
|
|
70
|
%
|
|
|
140
|
%
|
|
|
58
|
%
|
|
|
86
|
%
|
|
a
|
Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized.
|
|
b
|
Net investment income (loss) per share was computed using average shares outstanding throughout
the period.
|
|
c
|
Net investment income (loss) is less than $0.01 per share.
|
|
d
|
Total return does not reflect the impact of any applicable sales charges and has not been annualized.
|
|
e
|
Net expense information reflects the expense ratios after expense waivers and reimbursements, as
applicable.
|
54 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the Large
Cap Concentrated Growth Fund returned 26.08%
1
, compared with the benchmark, the Russell
1000
®
Growth Index, which gained 29.19%.
The Fund seeks to deliver long-term growth of capital by investing
in securities that have demonstrated consistent above-average returns. It primarily invests in stocks of large companies that appear
to have solid potential for growth. The Fund uses a combination of a qualitative top-down approach in reviewing growth trends that
are based on several fixed income factors, such as bond spreads and interest rates, along with a quantitative fundamental bottom-up
approach. The portfolio is constructed with 25-30 names; holdings are replaced when the fundamentals of a company or the original
thesis for selecting the security changes.
The portfolio’s performance was helped by its stock selection
in the Consumer Discretionary and Financials sectors. However, this was not enough to offset the effects of poor stock selection
in the Health Care and Information Technology sectors.
The holdings contributing most to portfolio performance over
the period were Apple, Inc., QUALCOMM, Inc. and Google, Inc. Leading detractors to performance were Caterpillar, Inc., Anadarko
Petroleum Corp. and Juniper Networks, Inc.
Our fixed income indicators, including the slope of the yield
curve and corporate bond spreads, alternated during the fiscal year, but in the third quarter of 2012 turned positive, which led
us to add beta back into the portfolio relative to the benchmark. We believe equity markets can build on strong performance in
the third quarter and move higher before the end of 2012. We will focus our attention on secular growth names in the year to come,
with an eye towards more cyclical names if the global economy can find firmer footing.
We appreciate your business and the trust you place in us.
Sincerely,
Mark Bronzo, CFA, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and in the absence of such waivers, the performance
quoted would be reduced.
This 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. • Growth
stocks may be more volatile than other stocks because they are more sensitive to investor
perceptions regarding the growth potential of the issuing company.
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 | 55
|
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
LARGE CAP CONCENTRATED GROWTH FUND
OBJECTIVE:
Seeks long-term growth of capital.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
1 Year
|
|
|
5 Year
|
|
|
10 Year
|
|
A-Class Shares
|
|
|
26.08
|
%
|
|
|
-0.71
|
%
|
|
|
4.66
|
%
|
A-Class Shares with sales charge
†
|
|
|
20.08
|
%
|
|
|
-1.88
|
%
|
|
|
4.04
|
%
|
B-Class Shares
|
|
|
25.30
|
%
|
|
|
-1.45
|
%
|
|
|
4.03
|
%
|
B-Class Shares with CDSC
‡
|
|
|
20.30
|
%
|
|
|
-1.81
|
%
|
|
|
4.03
|
%
|
C-Class Shares
|
|
|
25.33
|
%
|
|
|
-1.43
|
%
|
|
|
3.89
|
%
|
C-Class Shares with CDSC
§
|
|
|
24.33
|
%
|
|
|
-1.43
|
%
|
|
|
3.89
|
%
|
Russell 1000 Growth Index
|
|
|
29.19
|
%
|
|
|
3.24
|
%
|
|
|
8.41
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Since Inception
|
|
|
|
|
(03/01/12)
|
|
Institutional Class Shares
|
|
|
1.74
|
%
|
Russell 1000 Growth Index
|
|
|
4.52
|
%
|
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
|
January 29, 1999
|
B-Class
|
January 29, 1999
|
C-Class
|
January 29, 1999
|
Institutional Class
|
March 1, 2012
|
Ten Largest Holdings (% of Total Net Assets)
|
|
|
|
Apple, Inc.
|
|
|
8.4
|
%
|
Google, Inc. — Class A
|
|
|
4.6
|
%
|
iShares Russell 1000 Growth Index Fund
|
|
|
4.2
|
%
|
Microsoft Corp.
|
|
|
3.9
|
%
|
Covidien plc
|
|
|
3.7
|
%
|
Express Scripts Holding Co.
|
|
|
3.5
|
%
|
Home Depot, Inc.
|
|
|
3.2
|
%
|
Walt Disney Co.
|
|
|
3.2
|
%
|
International Business Machines Corp.
|
|
|
3.1
|
%
|
eBay, Inc.
|
|
|
3.1
|
%
|
Top Ten Total
|
|
|
40.9
|
%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
|
*
|
The performance data above represents past performance that is not predictive of future results. The investment return and
principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more
or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital
gains and do not reflect the effect of taxes. The Russell 1000 Growth Index is an unmanaged index and, unlike the Fund, has no
management fees or operating expenses to reduce its reported return.
|
|
†
|
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 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 up to 5% if redeemed within 5 years of purchase.
|
|
§
|
Fund returns include a CDSC of 1% if redeemed
within 12 months of purchase.
|
56 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SCHEDULE OF INVESTMENTS
|
September 30, 2012
|
LARGE CAP CONCENTRATED GROWTH FUND
|
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 90.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology - 30.2%
|
|
|
|
|
|
|
|
|
Apple, Inc.
|
|
|
3,155
|
|
|
$
|
2,105,204
|
|
Google, Inc. — Class A*
|
|
|
1,535
|
|
|
|
1,158,157
|
|
Microsoft Corp.
|
|
|
33,050
|
|
|
|
984,229
|
|
International Business Machines Corp.
|
|
|
3,800
|
|
|
|
788,310
|
|
eBay, Inc.*
|
|
|
16,270
|
|
|
|
787,631
|
|
EMC Corp.*
|
|
|
23,250
|
|
|
|
634,028
|
|
Broadcom Corp. — Class A
|
|
|
17,600
|
|
|
|
608,608
|
|
Oracle Corp.
|
|
|
15,550
|
|
|
|
489,670
|
|
Total Information Technology
|
|
|
|
|
|
|
7,555,837
|
|
Consumer Discretionary - 19.3%
|
|
|
|
|
|
|
|
|
Home Depot, Inc.
|
|
|
13,250
|
|
|
|
799,902
|
|
Walt Disney Co.
|
|
|
15,269
|
|
|
|
798,263
|
|
Comcast Corp. — Class A
|
|
|
21,290
|
|
|
|
761,543
|
|
Target Corp.
|
|
|
11,430
|
|
|
|
725,462
|
|
Nordstrom, Inc.
|
|
|
13,050
|
|
|
|
720,099
|
|
Starwood Hotels & Resorts
|
|
|
|
|
|
|
|
|
Worldwide, Inc.
|
|
|
9,000
|
|
|
|
521,640
|
|
BorgWarner, Inc.*
|
|
|
7,350
|
|
|
|
507,959
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
4,834,868
|
|
Industrials - 10.7%
|
|
|
|
|
|
|
|
|
Honeywell International, Inc.
|
|
|
12,810
|
|
|
|
765,398
|
|
Caterpillar, Inc.
|
|
|
8,500
|
|
|
|
731,340
|
|
CSX Corp.
|
|
|
32,600
|
|
|
|
676,450
|
|
AMETEK, Inc.
|
|
|
14,465
|
|
|
|
512,784
|
|
Total Industrials
|
|
|
|
|
|
|
2,685,972
|
|
Health Care - 10.4%
|
|
|
|
|
|
|
|
|
Covidien plc
|
|
|
15,640
|
|
|
|
929,329
|
|
Express Scripts Holding Co.*
|
|
|
14,150
|
|
|
|
886,781
|
|
Biogen Idec, Inc.*
|
|
|
5,210
|
|
|
|
777,488
|
|
Total Health Care
|
|
|
|
|
|
|
2,593,598
|
|
Consumer Staples - 9.1%
|
|
|
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
7,850
|
|
|
|
785,981
|
|
Mondelez International, Inc. — Class A
|
|
|
18,500
|
|
|
|
764,975
|
|
PepsiCo, Inc.
|
|
|
10,450
|
|
|
|
739,547
|
|
Total Consumer Staples
|
|
|
|
|
|
|
2,290,503
|
|
Energy - 4.7%
|
|
|
|
|
|
|
|
|
Schlumberger Ltd.
|
|
|
8,460
|
|
|
|
611,912
|
|
Ensco plc — Class A
|
|
|
10,450
|
|
|
|
570,152
|
|
Total Energy
|
|
|
|
|
|
|
1,182,064
|
|
Materials
- 3.0%
|
|
|
|
|
|
|
|
|
EI du Pont de Nemours & Co.
|
|
|
15,100
|
|
|
|
759,077
|
|
Financials
- 2.9%
|
|
|
|
|
|
|
|
|
Wells Fargo & Co.
|
|
|
21,340
|
|
|
|
736,870
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $20,295,462)
|
|
|
|
|
|
|
22,638,789
|
|
EXCHANGE TRADED FUNDS
†
- 6.8%
|
|
|
|
|
|
|
|
|
iShares Russell 1000
|
|
|
|
|
|
|
|
|
Growth Index Fund
|
|
|
15,700
|
|
|
|
1,047,190
|
|
Financial Select
|
|
|
|
|
|
|
|
|
Sector SPDR Fund
|
|
|
41,450
|
|
|
|
646,620
|
|
Total Exchange Traded Funds
|
|
|
|
|
|
|
|
|
(Cost $1,607,750)
|
|
|
|
|
|
|
1,693,810
|
|
Total Investments - 97.1%
|
|
|
|
|
|
|
|
|
(Cost $21,903,212)
|
|
|
|
|
|
$
|
24,332,599
|
|
Other Assets & Liabilities, net - 2.9%
|
|
|
|
|
|
|
718,494
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
25,051,093
|
|
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs — See Note 4.
|
|
|
plc — Public Limited Company
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 57
|
LARGE CAP CONCENTRATED GROWTH FUND
|
|
STATEMENT OF ASSETS
|
AND LIABILITIES
|
September 30, 2012
Assets:
|
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $21,903,212)
|
|
$
|
24,332,599
|
|
Cash
|
|
|
739,144
|
|
Prepaid expenses
|
|
|
22,625
|
|
Receivables:
|
|
|
|
|
Fund shares sold
|
|
|
22,523
|
|
Dividends
|
|
|
11,249
|
|
Investment advisor
|
|
|
9,345
|
|
Total assets
|
|
|
25,137,485
|
|
Liabilities:
|
|
|
|
|
Payable for:
|
|
|
|
|
Transfer agent/maintenance fees
|
|
|
20,798
|
|
Management fees
|
|
|
17,062
|
|
Fund shares redeemed
|
|
|
15,607
|
|
Professional fees
|
|
|
11,582
|
|
Distribution and service fees
|
|
|
9,330
|
|
Fund accounting/administration fees
|
|
|
2,161
|
|
Directors’ fees*
|
|
|
1,913
|
|
Miscellaneous
|
|
|
7,939
|
|
Total liabilities
|
|
|
86,392
|
|
Net
assets
|
|
$
|
25,051,093
|
|
Net assets consist of:
|
|
|
|
|
Paid in capital
|
|
$
|
27,932,694
|
|
Accumulated net investment loss
|
|
|
(29,915
|
)
|
Accumulated net realized loss on investments
|
|
|
(5,281,073
|
)
|
Net unrealized appreciation on investments
|
|
|
2,429,387
|
|
Net assets
|
|
$
|
25,051,093
|
|
A-Class:
|
|
|
|
|
Net assets
|
|
$
|
19,121,591
|
|
Capital shares outstanding
|
|
|
2,048,702
|
|
Net asset value per share
|
|
$
|
9.33
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
9.80
|
|
B-Class:
|
|
|
|
|
Net assets
|
|
$
|
2,855,691
|
|
Capital shares outstanding
|
|
|
339,062
|
|
Net asset value per share
|
|
$
|
8.42
|
|
C-Class:
|
|
|
|
|
Net assets
|
|
$
|
3,063,640
|
|
Capital shares outstanding
|
|
|
362,218
|
|
Net asset value per share
|
|
$
|
8.46
|
|
Institutional
Class:
|
|
|
|
|
Net assets
|
|
$
|
10,171
|
|
Capital shares outstanding
|
|
|
1,088
|
|
Net asset value per share
|
|
$
|
9.35
|
|
Year Ended September 30, 2012
Investment Income:
|
|
|
|
|
Dividends
|
|
$
|
446,594
|
|
Interest
|
|
|
149
|
|
Total investment income
|
|
|
446,743
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Management fees
|
|
|
239,302
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
116,620
|
|
B-Class
|
|
|
27,764
|
|
C-Class
|
|
|
12,315
|
|
Institutional Class
|
|
|
10
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
64,826
|
|
B-Class
|
|
|
28,670
|
|
C-Class
|
|
|
31,038
|
|
Fund accounting/administration fees
|
|
|
30,311
|
|
Registration fees
|
|
|
43,563
|
|
Custodian fees
|
|
|
4,773
|
|
Directors’ fees*
|
|
|
4,215
|
|
Miscellaneous
|
|
|
49,198
|
|
Total expenses
|
|
|
652,605
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(175,964
|
)
|
Net expenses
|
|
|
476,641
|
|
Net investment loss
|
|
|
(29,898
|
)
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss):
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
2,600,037
|
|
Net realized gain
|
|
|
2,600,037
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
4,825,574
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
4,825,574
|
|
Net realized and unrealized gain
|
|
|
7,425,611
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
7,395,713
|
|
* Relates to Directors not deemed “interested persons”
within the meaning of Section 2(a)(19) of the 1940 Act.
58 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
LARGE CAP CONCENTRATED GROWTH FUND
|
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase (decrease) in net assets from
operations:
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
$
|
(29,898
|
)
|
|
$
|
(149,480
|
)
|
Net realized gain on investments
|
|
|
2,600,037
|
|
|
|
5,536,174
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
4,825,574
|
|
|
|
(5,217,813
|
)
|
Net increase in net assets resulting from operations
|
|
|
7,395,713
|
|
|
|
168,881
|
|
|
|
|
|
|
|
|
|
|
Distributions to shareholders from:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(17
|
)
|
|
|
(136,272
|
)
|
Total distributions to shareholders
|
|
|
(17
|
)
|
|
|
(136,272
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
4,853,993
|
|
|
|
6,625,536
|
|
B-Class
|
|
|
337,928
|
|
|
|
432,234
|
|
C-Class
|
|
|
410,995
|
|
|
|
912,085
|
|
Institutional Class
1
|
|
|
10,000
|
|
|
|
—
|
|
Distributions reinvested
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
17
|
|
|
|
135,329
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(15,157,953
|
)
|
|
|
(12,415,678
|
)
|
B-Class
|
|
|
(1,010,368
|
)
|
|
|
(2,268,242
|
)
|
C-Class
|
|
|
(779,158
|
)
|
|
|
(1,408,613
|
)
|
Institutional Class
1
|
|
|
—
|
|
|
|
—
|
|
Net decrease from capital share transactions
|
|
|
(11,334,546
|
)
|
|
|
(7,987,349
|
)
|
Net decrease in net assets
|
|
|
(3,938,850
|
)
|
|
|
(7,954,740
|
)
|
|
|
|
|
|
|
|
|
|
Net assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
28,989,943
|
|
|
|
36,944,683
|
|
End of year
|
|
$
|
25,051,093
|
|
|
$
|
28,989,943
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
(29,915
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
Capital share activity:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
563,967
|
|
|
|
770,941
|
|
B-Class
|
|
|
40,888
|
|
|
|
55,464
|
|
C-Class
|
|
|
51,789
|
|
|
|
115,065
|
|
Institutional Class
1
|
|
|
1,088
|
|
|
|
—
|
|
Shares issued from reinvestment of distributions
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
2
|
|
|
|
16,034
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(1,673,705
|
)
|
|
|
(1,435,726
|
)
|
B-Class
|
|
|
(129,122
|
)
|
|
|
(287,335
|
)
|
C-Class
|
|
|
(98,075
|
)
|
|
|
(177,984
|
)
|
Institutional Class
1
|
|
|
—
|
|
|
|
—
|
|
Net decrease in shares
|
|
|
(1,243,168
|
)
|
|
|
(943,541
|
)
|
1
Since commencement of operations: March 1, 2012.
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 59
|
LARGE CAP CONCENTRATED 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
7.40
|
|
|
$
|
7.63
|
|
|
$
|
6.95
|
|
|
$
|
6.91
|
|
|
$
|
10.66
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
a
|
|
|
—
|
b
|
|
|
(.02
|
)
|
|
|
.04
|
|
|
|
.01
|
|
|
|
(.02
|
)
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
1.93
|
|
|
|
(.17
|
)
|
|
|
.64
|
|
|
|
.03
|
|
|
|
(2.87
|
)
|
Total from investment operations
|
|
|
1.93
|
|
|
|
(.19
|
)
|
|
|
.68
|
|
|
|
.04
|
|
|
|
(2.89
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(—
|
)
b
|
|
|
(.04
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Total distributions
|
|
|
(—
|
)
b
|
|
|
(.04
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Net asset value, end of period
|
|
$
|
9.33
|
|
|
$
|
7.40
|
|
|
$
|
7.63
|
|
|
$
|
6.95
|
|
|
$
|
6.91
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
26.08
|
%
|
|
|
(2.59
|
%)
|
|
|
9.78
|
%
|
|
|
0.58
|
%
|
|
|
(28.85
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
19,122
|
|
|
$
|
23,358
|
|
|
$
|
29,059
|
|
|
$
|
22,425
|
|
|
$
|
23,723
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.05
|
%
|
|
|
(0.22
|
%)
|
|
|
0.52
|
%
|
|
|
0.09
|
%
|
|
|
(0.20
|
%)
|
Total expenses
d
|
|
|
1.86
|
%
|
|
|
1.70
|
%
|
|
|
1.73
|
%
|
|
|
2.04
|
%
|
|
|
1.72
|
%
|
Net expenses
e
|
|
|
1.35
|
%
|
|
|
1.35
|
%
|
|
|
1.35
|
%
|
|
|
1.35
|
%
|
|
|
1.35
|
%
|
Portfolio turnover rate
|
|
|
184
|
%
|
|
|
158
|
%
|
|
|
190
|
%
|
|
|
134
|
%
|
|
|
198
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
Year Ended
|
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
|
|
September 30,
|
|
B-Class
|
|
|
2012
|
|
|
|
2011
|
|
|
|
2010
|
|
|
|
2009
|
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
6.72
|
|
|
$
|
6.96
|
|
|
$
|
6.39
|
|
|
$
|
6.40
|
|
|
$
|
10.01
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.06
|
)
|
|
|
(.08
|
)
|
|
|
(.02
|
)
|
|
|
(.03
|
)
|
|
|
(.08
|
)
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
1.76
|
|
|
|
(.16
|
)
|
|
|
.59
|
|
|
|
.02
|
|
|
|
(2.67
|
)
|
Total from investment operations
|
|
|
1.70
|
|
|
|
(.24
|
)
|
|
|
.57
|
|
|
|
(.01
|
)
|
|
|
(2.75
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Net asset value, end of period
|
|
$
|
8.42
|
|
|
$
|
6.72
|
|
|
$
|
6.96
|
|
|
$
|
6.39
|
|
|
$
|
6.40
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
25.30
|
%
|
|
|
(3.45
|
%)
|
|
|
8.92
|
%
|
|
|
(0.16
|
%)
|
|
|
(29.36
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
2,856
|
|
|
$
|
2,873
|
|
|
$
|
4,590
|
|
|
$
|
5,740
|
|
|
$
|
7,394
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.71
|
%)
|
|
|
(0.97
|
%)
|
|
|
(0.31
|
%)
|
|
|
(0.66
|
%)
|
|
|
(0.95
|
%)
|
Total expenses
d
|
|
|
3.14
|
%
|
|
|
2.46
|
%
|
|
|
2.48
|
%
|
|
|
2.79
|
%
|
|
|
2.47
|
%
|
Net expenses
e
|
|
|
2.11
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
Portfolio turnover rate
|
|
|
184
|
%
|
|
|
158
|
%
|
|
|
190
|
%
|
|
|
134
|
%
|
|
|
198
|
%
|
60 | the
GUGGENHEIM FUNDS annual report
|
See Notes
to Financial Statements.
|
LARGE CAP CONCENTRATED 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
6.75
|
|
|
$
|
6.99
|
|
|
$
|
6.41
|
|
|
$
|
6.42
|
|
|
$
|
10.04
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.06
|
)
|
|
|
(.08
|
)
|
|
|
(.02
|
)
|
|
|
(.03
|
)
|
|
|
(.08
|
)
|
Net gain (loss) on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
1.77
|
|
|
|
(.16
|
)
|
|
|
.60
|
|
|
|
.02
|
|
|
|
(2.68
|
)
|
Total from investment operations
|
|
|
1.71
|
|
|
|
(.24
|
)
|
|
|
.58
|
|
|
|
(.01
|
)
|
|
|
(2.76
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.86
|
)
|
Net asset value, end of period
|
|
$
|
8.46
|
|
|
$
|
6.75
|
|
|
$
|
6.99
|
|
|
$
|
6.41
|
|
|
$
|
6.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
25.33
|
%
|
|
|
(3.43
|
%)
|
|
|
9.05
|
%
|
|
|
(0.16
|
%)
|
|
|
(29.37
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
3,064
|
|
|
$
|
2,758
|
|
|
$
|
3,296
|
|
|
$
|
3,742
|
|
|
$
|
5,501
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.71
|
%)
|
|
|
(0.97
|
%)
|
|
|
(0.27
|
%)
|
|
|
(0.66
|
%)
|
|
|
(0.92
|
%)
|
Total expenses
d
|
|
|
2.57
|
%
|
|
|
2.46
|
%
|
|
|
2.48
|
%
|
|
|
2.78
|
%
|
|
|
2.46
|
%
|
Net expenses
e
|
|
|
2.11
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
|
|
2.10
|
%
|
Portfolio turnover rate
|
|
|
184
|
%
|
|
|
158
|
%
|
|
|
190
|
%
|
|
|
134
|
%
|
|
|
198
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class
|
|
|
2012
|
f
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
a
|
|
|
.01
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain on investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(realized and unrealized)
|
|
|
.15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
.16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
9.35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
1.74
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.26
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
d
|
|
|
1.40
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses
e
|
|
|
1.08
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
184
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
a
|
Net investment income (loss) per share was computed using average shares outstanding throughout
the period.
|
|
b
|
Less than $0.01 per share.
|
|
c
|
Total return does not reflect the impact of any applicable sales charges and has not been annualized.
|
|
d
|
Does not include expenses of the underlying funds in which the Fund invests.
|
|
e
|
Net expense information reflects the expense ratios after expense waivers and reimbursements, as
applicable.
|
|
f
|
Since commencement of operations: March 1, 2012. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized. The portfolio turn-over rate stated is for the entire fiscal year of
the Fund, not since commencement of operations of the Class.
|
See Notes to Financial Statements.
|
the GUGGENHEIM
FUNDS annual report | 61
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the MSCI EAFE
Equal Weight Fund returned 8.82%
1
, while the Fund’s benchmark, the MSCI EAFE Equal Weighted Index, returned 9.49%.
The strategy provides broad exposure to the companies in the
MSCI EAFE Equal Weighted Index, which represents the equity markets of developed countries in Europe, Australasia and the Far East.
The Fund seeks performance that corresponds, before fees and expenses, to the price and yield performance of the MSCI EAFE Equal
Weighted Index. The index weights the issuers in the MSCI EAFE Index (the cap-weighted version of the index) the same weight on
the rebalancing date. Between two rebalancings, the weight of securities in the equal weighted index will deviate from equal weight
based on the performance of each security.
The sectors contributing most to Fund performance over the past
12 months were the Financials and Industrials sectors. The Utilities and Information Technology sectors were leading detractors
from return.
The holdings contributing most to the portfolio performance
over the period were iShares MSCI EAFE Index Fund, the Goodman Group and Vanguard MSCI EAFE ETF.
The holdings detracting most from portfolio performance over
the period were Elpida Memory, Inc., BANKIA SA and Hellenic Telecommunications Organization SA.
Thank you for investing in the Fund.
Sincerely,
Michael Byrum, CFA, Portfolio Manager
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and in the absence of such waivers, the performance
quoted would be reduced.
This 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. An investment in the fund may lose money. • Unlike many investment companies, the fund is not actively
“managed.” This means that, based on market and economic conditions, the fund’s performance could be lower than
other types of mutual funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen
the impact of a market decline. • Non-correlation risk refers to the risk that the advisor may not be able to cause the fund’s
performance to match or correlate to that of the fund’s underlying index, either on a daily or aggregate basis. Non-correlation
risk may cause the fund’s performance to be less than you expect. • The fund’s investment in foreign instruments
may be volatile due to the impact of diplomatic, political or economic developments on the country in question. 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 may use futures contracts, which may be more volatile than direct investments in underlying
securities, involve additional expenses and may involve a small initial investment relative to the risk assumed • The fund’s
underlying index may be composed primarily of, or 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 predominant capitalization
range represented in the underlying index may underperform other segments of the equity market or the equity market as a whole.
See the prospectus for more details.
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.
62 | the
GUGGENHEIM FUNDS annual report
|
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT Fund
OBJECTIVE:
Seeks performance that corresponds, before
fees and expenses, to the price and yield performance of the MSCI EAFE Equal
Weighted Index (the “Underlying Index”).
Cumulative Fund Performance*
** The MSCI EAFE Equal Weighted Index-Blended uses performance
data for the MSCI World Index from 09/30/02 to 04/28/11, and the MSCI EAFE Equal Weight Index from 04/29/11 to 09/30/12.
Average Annual Returns*
Periods Ended 09/30/12
|
|
1 Year
|
|
|
5 Year
|
|
|
10 Year
|
|
A-Class Shares
|
|
|
8.82
|
%
|
|
|
-4.97
|
%
|
|
|
6.78
|
%
|
A-Class Shares with sales charge
†
|
|
|
3.69
|
%
|
|
|
-6.09
|
%
|
|
|
6.14
|
%
|
B-Class Shares
|
|
|
9.07
|
%
|
|
|
-4.73
|
%
|
|
|
6.75
|
%
|
B-Class Shares with CDSC
‡
|
|
|
4.07
|
%
|
|
|
-4.97
|
%
|
|
|
6.75
|
%
|
C-Class Shares
|
|
|
8.16
|
%
|
|
|
-5.67
|
%
|
|
|
5.99
|
%
|
C-Class Shares with CDSC
§
|
|
|
7.16
|
%
|
|
|
-5.67
|
%
|
|
|
5.99
|
%
|
MSCI EAFE Equal Weighted
|
|
|
|
|
|
|
|
|
|
|
|
|
Index
|
|
|
9.49
|
%
|
|
|
N/A
|
|
|
|
N/A
|
|
MSCI EAFE Equal Weighted Index -
|
|
|
|
|
|
|
|
|
|
|
|
|
Blended
|
|
|
9.46
|
%
|
|
|
-3.90
|
%
|
|
|
7.33
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Since Inception
|
|
|
|
|
1 Year
|
|
|
|
(05/02/11)
|
|
Institutional Class Shares
|
|
|
8.17
|
%
|
|
|
-10.99
|
%
|
MSCI EAFE Equal Weighted
|
|
|
|
|
|
|
|
|
Index
|
|
|
9.49
|
%
|
|
|
-9.54
|
%
|
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
|
October 1, 1993
|
B-Class
|
October 19, 1993
|
C-Class
|
January 29, 1999
|
Institutional Class
|
May 2, 2011
|
Ten Largest Holdings (% of Total Net Assets)
|
Vanguard MSCI EAFE ETF
|
4.9%
|
iShares MSCI Japan Index Fund
|
0.8%
|
Nippon Steel & Sumitomo Metal Corp.
|
0.2%
|
JGC Corp.
|
0.2%
|
Chiyoda Corp.
|
0.1%
|
Credit Agricole S.A.
|
0.1%
|
Bank Leumi Le-Israel BM
|
0.1%
|
Randgold Resources Ltd.
|
0.1%
|
Galaxy Entertainment Group Ltd.
|
0.1%
|
Daihatsu Motor Company Ltd.
|
0.1%
|
Top Ten Total
|
6.7%
|
“Ten Largest Holdings” exclude any temporary cash
or derivative investments.
|
*
|
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 EAFE Equal Weighted Index is an unmanaged index and,
unlike the Fund, has no management fees or operating expenses to reduce its reported return.
|
|
†
|
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 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 up to 5% if redeemed within 5 years of purchase.
|
|
§
|
Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
|
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 63
|
SCHEDULE OF INVESTMENTS
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 93.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials - 21.6%
|
|
|
|
|
|
|
|
|
Credit Agricole S.A.*
|
|
|
12,682
|
|
|
$
|
87,517
|
|
Bank Leumi Le-Israel BM*
|
|
|
30,054
|
|
|
|
83,996
|
|
New World Development Company Ltd.
|
|
|
53,000
|
|
|
|
82,157
|
|
Hulic Company Ltd.*
|
|
|
13,340
|
|
|
|
80,694
|
|
Mitsui Fudosan Company Ltd.
|
|
|
4,000
|
|
|
|
80,123
|
|
United Overseas Bank Ltd.
|
|
|
4,990
|
|
|
|
79,897
|
|
Pohjola Bank plc — Class A
|
|
|
6,065
|
|
|
|
79,813
|
|
Bank Hapoalim BM*
|
|
|
22,375
|
|
|
|
79,667
|
|
Sumitomo Realty & Development
|
|
|
|
|
|
|
|
|
Company Ltd.
|
|
|
3,000
|
|
|
|
79,662
|
|
Natixis
|
|
|
25,294
|
|
|
|
79,637
|
|
Royal Bank of Scotland Group plc*
|
|
|
19,183
|
|
|
|
79,555
|
|
Henderson Land Development
|
|
|
|
|
|
|
|
|
Company Ltd.
|
|
|
10,990
|
|
|
|
79,086
|
|
Lloyds Banking Group plc*
|
|
|
126,140
|
|
|
|
79,070
|
|
Barclays plc
|
|
|
22,731
|
|
|
|
78,822
|
|
Aberdeen Asset Management plc
|
|
|
15,641
|
|
|
|
78,551
|
|
Deutsche Bank AG
|
|
|
1,975
|
|
|
|
78,033
|
|
Wendel S.A.
|
|
|
922
|
|
|
|
77,846
|
|
Wheelock & Company Ltd.
|
|
|
17,980
|
|
|
|
77,563
|
|
Man Group plc
|
|
|
58,357
|
|
|
|
77,533
|
|
Mediobanca SpA
|
|
|
14,489
|
|
|
|
77,422
|
|
Sino Land Company Ltd.
|
|
|
41,400
|
|
|
|
77,418
|
|
Aeon Credit Service Company Ltd.
|
|
|
3,590
|
|
|
|
77,293
|
|
Bankia S.A.*
|
|
|
46,242
|
|
|
|
77,253
|
|
Mapfre S.A.
|
|
|
28,179
|
|
|
|
77,206
|
|
Delta Lloyd N.V.
|
|
|
5,060
|
|
|
|
77,154
|
|
Mizrahi Tefahot Bank Ltd.*
|
|
|
8,695
|
|
|
|
77,121
|
|
Mitsubishi Estate Company Ltd.
|
|
|
4,000
|
|
|
|
76,586
|
|
Commerzbank AG*
|
|
|
42,905
|
|
|
|
76,586
|
|
City Developments Ltd.
|
|
|
7,990
|
|
|
|
76,434
|
|
Wharf Holdings Ltd.
|
|
|
10,990
|
|
|
|
76,323
|
|
Shinsei Bank Ltd.
|
|
|
58,920
|
|
|
|
76,264
|
|
Bank of Kyoto Ltd.
|
|
|
9,000
|
|
|
|
76,239
|
|
Skandinaviska Enskilda Banken
|
|
|
|
|
|
|
|
|
AB — Class A
|
|
|
9,081
|
|
|
|
76,043
|
|
Oversea-Chinese Banking Corporation Ltd.
|
|
|
9,990
|
|
|
|
76,030
|
|
Erste Group Bank AG*
|
|
|
3,403
|
|
|
|
75,941
|
|
IMMOFINANZ AG
|
|
|
20,881
|
|
|
|
75,753
|
|
Link REIT
|
|
|
15,980
|
|
|
|
75,737
|
|
Seven Bank Ltd.
|
|
|
24,800
|
|
|
|
75,642
|
|
KBC Groep N.V.
|
|
|
3,152
|
|
|
|
75,625
|
|
Hong Kong Exchanges and Clearing Ltd.
|
|
|
5,000
|
|
|
|
75,572
|
|
Nippon Building Fund, Inc.
|
|
|
7
|
|
|
|
75,445
|
|
Japan Prime Realty Investment Corp.
|
|
|
25
|
|
|
|
75,356
|
|
Nomura Real Estate Office Fund,
|
|
|
|
|
|
|
|
|
Inc. — Class A
|
|
|
12
|
|
|
|
75,279
|
|
CapitaLand Ltd.
|
|
|
29,000
|
|
|
|
75,145
|
|
Credit Suisse Group AG
|
|
|
3,543
|
|
|
|
75,086
|
|
Tokyu Land Corp.
|
|
|
14,000
|
|
|
|
74,997
|
|
UOL Group Ltd.
|
|
|
15,980
|
|
|
|
74,611
|
|
Gjensidige Forsikring ASA
|
|
|
5,375
|
|
|
|
74,543
|
|
BNP Paribas S.A.
|
|
|
1,567
|
|
|
|
74,469
|
|
NKSJ Holdings, Inc.
|
|
|
3,800
|
|
|
|
74,413
|
|
Sumitomo Mitsui Trust Holdings, Inc.
|
|
|
24,980
|
|
|
|
74,271
|
|
Singapore Exchange Ltd.
|
|
|
13,000
|
|
|
|
74,151
|
|
UBS AG
|
|
|
6,089
|
|
|
|
74,137
|
|
Schroders plc
|
|
|
3,027
|
|
|
|
74,130
|
|
Sampo Oyj — Class A
|
|
|
2,382
|
|
|
|
74,109
|
|
Unione di Banche Italiane SCPA
|
|
|
20,023
|
|
|
|
74,004
|
|
ING Groep N.V.*
|
|
|
9,360
|
|
|
|
73,963
|
|
3i Group plc
|
|
|
20,570
|
|
|
|
73,919
|
|
GAM Holding AG
|
|
|
5,674
|
|
|
|
73,911
|
|
Partners Group Holding AG
|
|
|
355
|
|
|
|
73,876
|
|
Dai-ichi Life Insurance Company Ltd.
|
|
|
65
|
|
|
|
73,806
|
|
AIA Group Ltd.
|
|
|
19,780
|
|
|
|
73,722
|
|
Global Logistic Properties Ltd.
|
|
|
35,950
|
|
|
|
73,527
|
|
Hang Seng Bank Ltd.
|
|
|
4,790
|
|
|
|
73,449
|
|
Baloise Holding AG
|
|
|
934
|
|
|
|
73,446
|
|
Aeon Mall Company Ltd.
|
|
|
3,000
|
|
|
|
73,433
|
|
Allianz AG
|
|
|
617
|
|
|
|
73,416
|
|
Swire Pacific Ltd. — Class A
|
|
|
5,990
|
|
|
|
73,387
|
|
Deutsche Boerse AG
|
|
|
1,326
|
|
|
|
73,385
|
|
Ageas
|
|
|
3,058
|
|
|
|
73,331
|
|
Cheung Kong Holdings Ltd.
|
|
|
5,000
|
|
|
|
73,316
|
|
Sun Hung Kai Properties Ltd.
|
|
|
5,000
|
|
|
|
73,252
|
|
Kerry Properties Ltd.
|
|
|
14,480
|
|
|
|
73,202
|
|
Societe Generale S.A.*
|
|
|
2,577
|
|
|
|
73,189
|
|
Fukuoka Financial Group, Inc.
|
|
|
18,000
|
|
|
|
73,126
|
|
Banco Bilbao Vizcaya Argentaria S.A.
|
|
|
9,299
|
|
|
|
73,051
|
|
Swedbank AB — Class A
|
|
|
3,888
|
|
|
|
73,047
|
|
Exor SpA
|
|
|
2,904
|
|
|
|
73,035
|
|
Svenska Handelsbanken AB — Class A
|
|
|
1,949
|
|
|
|
73,027
|
|
Industrivarden AB — Class C
|
|
|
5,091
|
|
|
|
72,860
|
|
Hysan Development Company Ltd.
|
|
|
15,980
|
|
|
|
72,748
|
|
Groupe Bruxelles Lambert S.A.
|
|
|
980
|
|
|
|
72,730
|
|
MS&AD Insurance Group Holdings
|
|
|
4,200
|
|
|
|
72,718
|
|
DNB ASA
|
|
|
5,923
|
|
|
|
72,631
|
|
Fonciere Des Regions
|
|
|
966
|
|
|
|
72,621
|
|
Daiwa House Industry Company Ltd.
|
|
|
5,000
|
|
|
|
72,600
|
|
Swiss Life Holding AG
|
|
|
610
|
|
|
|
72,584
|
|
Ascendas Real Estate Investment Trust
|
|
|
36,950
|
|
|
|
72,562
|
|
Mirvac Group
|
|
|
48,883
|
|
|
|
72,509
|
|
CNP Assurances
|
|
|
5,543
|
|
|
|
72,408
|
|
Macquarie Group Ltd.
|
|
|
2,452
|
|
|
|
72,386
|
|
ORIX Corp.
|
|
|
720
|
|
|
|
72,341
|
|
CapitaMall Trust
|
|
|
43,950
|
|
|
|
72,341
|
|
Banco Santander S.A.*
|
|
|
9,713
|
|
|
|
72,334
|
|
Daiwa Securities Group, Inc.
|
|
|
19,000
|
|
|
|
72,318
|
|
Keppel Land Ltd.
|
|
|
25,000
|
|
|
|
72,317
|
|
Muenchener Rueckversicherungs AG
|
|
|
463
|
|
|
|
72,293
|
|
Stockland
|
|
|
20,861
|
|
|
|
72,274
|
|
Nordea Bank AB
|
|
|
7,307
|
|
|
|
72,257
|
|
Klepierre
|
|
|
2,057
|
|
|
|
72,140
|
|
Hachijuni Bank Ltd.
|
|
|
13,000
|
|
|
|
72,139
|
|
Sony Financial Holdings, Inc.
|
|
|
4,200
|
|
|
|
72,018
|
|
Danske Bank A/S*
|
|
|
3,990
|
|
|
|
72,011
|
|
SCOR SE
|
|
|
2,792
|
|
|
|
71,993
|
|
Gecina S.A.
|
|
|
703
|
|
|
|
71,967
|
|
Nishi-Nippon City Bank Ltd.
|
|
|
31,000
|
|
|
|
71,908
|
|
Hannover Rueckversicherung AG
|
|
|
1,125
|
|
|
|
71,889
|
|
Nomura Holdings, Inc.
|
|
|
20,100
|
|
|
|
71,869
|
|
Investor AB — Class B
|
|
|
3,262
|
|
|
|
71,815
|
|
64 | the
GUGGENHEIM FUNDS annual report
|
See Notes
to Financial Statements.
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Banco Popolare SC*
|
|
|
47,879
|
|
|
$
|
71,682
|
|
Shizuoka Bank Ltd.
|
|
|
7,000
|
|
|
|
71,678
|
|
Tokio Marine Holdings, Inc.
|
|
|
2,800
|
|
|
|
71,552
|
|
UniCredit SpA*
|
|
|
17,219
|
|
|
|
71,518
|
|
Julius Baer Group Ltd.
|
|
|
2,050
|
|
|
|
71,501
|
|
Banco Espirito Santo S.A.*
|
|
|
98,191
|
|
|
|
71,421
|
|
Insurance Australia Group Ltd.
|
|
|
15,746
|
|
|
|
71,376
|
|
Tryg A/S
|
|
|
1,098
|
|
|
|
71,336
|
|
Bank of Yokohama Ltd.
|
|
|
15,000
|
|
|
|
71,319
|
|
HSBC Holdings plc
|
|
|
7,692
|
|
|
|
71,177
|
|
Standard Life plc
|
|
|
16,153
|
|
|
|
71,084
|
|
ICADE
|
|
|
870
|
|
|
|
70,884
|
|
Prudential plc
|
|
|
5,475
|
|
|
|
70,840
|
|
NTT Urban Development Corp.
|
|
|
87
|
|
|
|
70,688
|
|
Old Mutual plc
|
|
|
25,781
|
|
|
|
70,669
|
|
Japan Real Estate Investment Corp.
|
|
|
7
|
|
|
|
70,511
|
|
Chugoku Bank Ltd.
|
|
|
5,000
|
|
|
|
70,486
|
|
Resona Holdings, Inc.
|
|
|
17,180
|
|
|
|
70,455
|
|
Aozora Bank Ltd.
|
|
|
23,000
|
|
|
|
70,447
|
|
Daito Trust Construction Company Ltd.
|
|
|
700
|
|
|
|
70,422
|
|
T&D Holdings, Inc.
|
|
|
6,500
|
|
|
|
70,390
|
|
Swiss Re AG
|
|
|
1,095
|
|
|
|
70,387
|
|
Pargesa Holding S.A.
|
|
|
1,062
|
|
|
|
70,355
|
|
DBS Group Holdings Ltd.
|
|
|
6,000
|
|
|
|
70,354
|
|
Wing Hang Bank Ltd.
|
|
|
7,490
|
|
|
|
70,321
|
|
Raiffeisen Bank International AG
|
|
|
1,939
|
|
|
|
70,232
|
|
Zurich Insurance Group AG
|
|
|
282
|
|
|
|
70,229
|
|
Assicurazioni Generali SpA
|
|
|
4,883
|
|
|
|
70,219
|
|
Nomura Real Estate Holdings, Inc.
|
|
|
3,990
|
|
|
|
70,156
|
|
Suncorp Group Ltd.
|
|
|
7,302
|
|
|
|
69,986
|
|
Legal & General Group plc
|
|
|
32,887
|
|
|
|
69,973
|
|
Aegon N.V.
|
|
|
13,448
|
|
|
|
69,906
|
|
Credit Saison Company Ltd.
|
|
|
2,890
|
|
|
|
69,889
|
|
CapitaMalls Asia Ltd.
|
|
|
51,940
|
|
|
|
69,833
|
|
Eurazeo
|
|
|
1,524
|
|
|
|
69,820
|
|
Chiba Bank Ltd.
|
|
|
12,000
|
|
|
|
69,819
|
|
Bank of East Asia Ltd.
|
|
|
18,580
|
|
|
|
69,728
|
|
Westfield Group
|
|
|
6,616
|
|
|
|
69,725
|
|
Japan Retail Fund Investment Corp.
|
|
|
39
|
|
|
|
69,723
|
|
First Pacific Company Ltd.
|
|
|
64,123
|
|
|
|
69,712
|
|
Hang Lung Group Ltd.
|
|
|
10,990
|
|
|
|
69,661
|
|
Commonwealth Bank of Australia
|
|
|
1,204
|
|
|
|
69,651
|
|
SBI Holdings, Inc.
|
|
|
10,800
|
|
|
|
69,619
|
|
Hammerson plc
|
|
|
9,528
|
|
|
|
69,355
|
|
Mitsubishi UFJ Financial Group, Inc.
|
|
|
14,780
|
|
|
|
69,326
|
|
AXA S.A.
|
|
|
4,652
|
|
|
|
69,288
|
|
Investment AB Kinnevik — Class B
|
|
|
3,335
|
|
|
|
69,258
|
|
Banco de Sabadell S.A.
|
|
|
25,763
|
|
|
|
69,196
|
|
Investec plc
|
|
|
11,153
|
|
|
|
68,832
|
|
Sumitomo Mitsui Financial Group, Inc.
|
|
|
2,200
|
|
|
|
68,794
|
|
Goodman Group
|
|
|
16,710
|
|
|
|
68,639
|
|
National Australia Bank Ltd.
|
|
|
2,594
|
|
|
|
68,587
|
|
Vienna Insurance Group AG Wiener
|
|
|
|
|
|
|
|
|
Versicherung Gruppe
|
|
|
1,617
|
|
|
|
68,574
|
|
ICAP plc
|
|
|
13,232
|
|
|
|
68,568
|
|
Joyo Bank Ltd.
|
|
|
14,000
|
|
|
|
68,538
|
|
Resolution Ltd.
|
|
|
19,541
|
|
|
|
68,486
|
|
Standard Chartered plc
|
|
|
3,030
|
|
|
|
68,480
|
|
Corio N.V.
|
|
|
1,610
|
|
|
|
68,453
|
|
Mizuho Financial Group, Inc.
|
|
|
42,050
|
|
|
|
68,440
|
|
Hang Lung Properties Ltd.
|
|
|
20,000
|
|
|
|
68,351
|
|
BOC Hong Kong Holdings Ltd.
|
|
|
21,470
|
|
|
|
68,252
|
|
Swiss Prime Site AG
|
|
|
825
|
|
|
|
68,164
|
|
Suruga Bank Ltd.
|
|
|
6,000
|
|
|
|
68,051
|
|
CaixaBank
|
|
|
18,095
|
|
|
|
68,041
|
|
Westfield Retail Trust
|
|
|
22,665
|
|
|
|
67,944
|
|
Westpac Banking Corp.
|
|
|
2,634
|
|
|
|
67,896
|
|
Capital Shopping Centres Group plc
|
|
|
12,836
|
|
|
|
67,780
|
|
Centro Retail Australia
|
|
|
31,192
|
|
|
|
67,622
|
|
QBE Insurance Group Ltd.
|
|
|
5,031
|
|
|
|
67,581
|
|
Aviva plc
|
|
|
13,131
|
|
|
|
67,536
|
|
RSA Insurance Group plc
|
|
|
37,842
|
|
|
|
67,443
|
|
Australia & New Zealand Banking
|
|
|
|
|
|
|
|
|
Group Ltd.
|
|
|
2,626
|
|
|
|
67,417
|
|
Banque Cantonale Vaudoise
|
|
|
130
|
|
|
|
67,391
|
|
CFS Retail Property Trust Group
|
|
|
33,591
|
|
|
|
67,248
|
|
British Land Company plc
|
|
|
7,983
|
|
|
|
67,207
|
|
Land Securities Group plc
|
|
|
5,468
|
|
|
|
67,175
|
|
London Stock Exchange Group plc
|
|
|
4,412
|
|
|
|
67,129
|
|
Dexus Property Group
|
|
|
67,878
|
|
|
|
66,889
|
|
Segro plc
|
|
|
18,277
|
|
|
|
66,888
|
|
Banco Popular Espanol S.A.
|
|
|
30,549
|
|
|
|
66,779
|
|
Ratos AB — Class B
|
|
|
7,540
|
|
|
|
66,525
|
|
Unibail-Rodamco SE
|
|
|
332
|
|
|
|
66,174
|
|
Gunma Bank Ltd.
|
|
|
13,000
|
|
|
|
66,141
|
|
ASX Ltd.
|
|
|
2,155
|
|
|
|
66,100
|
|
AMP Ltd.
|
|
|
14,687
|
|
|
|
65,966
|
|
Bendigo and Adelaide Bank Ltd.
|
|
|
8,271
|
|
|
|
65,890
|
|
Iyo Bank Ltd.
|
|
|
8,000
|
|
|
|
65,206
|
|
Government Properties Trust, Inc.
|
|
|
18,451
|
|
|
|
65,073
|
|
Lend Lease Group
|
|
|
7,988
|
|
|
|
65,044
|
|
Yamaguchi Financial Group, Inc.
|
|
|
8,000
|
|
|
|
64,796
|
|
Mitsubishi UFJ Lease & Finance
|
|
|
|
|
|
|
|
|
Company Ltd.
|
|
|
1,530
|
|
|
|
64,510
|
|
Banca Monte dei Paschi di Siena SpA*
|
|
|
222,372
|
|
|
|
64,470
|
|
Intesa Sanpaolo SpA
|
|
|
41,180
|
|
|
|
62,605
|
|
Admiral Group plc
|
|
|
3,649
|
|
|
|
61,970
|
|
Intesa Sanpaolo SpA
|
|
|
3,811
|
|
|
|
4,927
|
|
Hokuhoku Financial Group, Inc.
|
|
|
960
|
|
|
|
1,489
|
|
Total Financials
|
|
|
|
|
|
|
14,644,625
|
|
Industrials - 18.5%
|
|
|
|
|
|
|
|
|
JGC Corp.
|
|
|
3,000
|
|
|
|
100,155
|
|
Chiyoda Corp.
|
|
|
5,990
|
|
|
|
93,194
|
|
Delek Group Ltd.*
|
|
|
491
|
|
|
|
81,910
|
|
Kubota Corp.
|
|
|
8,000
|
|
|
|
80,993
|
|
FANUC Corp.
|
|
|
500
|
|
|
|
80,611
|
|
SMC Corp.
|
|
|
500
|
|
|
|
80,611
|
|
Fraser and Neave Ltd.
|
|
|
10,980
|
|
|
|
79,449
|
|
Bureau Veritas S.A.
|
|
|
767
|
|
|
|
78,774
|
|
Mabuchi Motor Company Ltd.
|
|
|
1,700
|
|
|
|
77,777
|
|
Hutchison Whampoa Ltd.
|
|
|
8,000
|
|
|
|
77,585
|
|
Societe BIC S.A.
|
|
|
636
|
|
|
|
76,845
|
|
Kone Oyj — Class B
|
|
|
1,109
|
|
|
|
76,746
|
|
GEA Group AG
|
|
|
2,531
|
|
|
|
76,582
|
|
Abertis Infraestructuras S.A.
|
|
|
5,148
|
|
|
|
75,749
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 65
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Koninklijke Vopak N.V.
|
|
|
1,076
|
|
|
$
|
75,554
|
|
Balfour Beatty plc
|
|
|
15,400
|
|
|
|
75,477
|
|
Keikyu Corp.
|
|
|
8,000
|
|
|
|
75,458
|
|
Ryanair Holdings plc ADR*
|
|
|
2,327
|
|
|
|
75,045
|
|
Singapore Technologies Engineering Ltd.
|
|
|
26,000
|
|
|
|
74,998
|
|
Atlantia SpA
|
|
|
4,831
|
|
|
|
74,996
|
|
Capita plc
|
|
|
5,999
|
|
|
|
74,957
|
|
Volvo AB — Class B
|
|
|
5,321
|
|
|
|
74,613
|
|
Deutsche Lufthansa AG
|
|
|
5,499
|
|
|
|
74,554
|
|
Ferrovial S.A.
|
|
|
5,729
|
|
|
|
74,544
|
|
Kamigumi Company Ltd.
|
|
|
9,000
|
|
|
|
74,510
|
|
Noble Group Ltd.
|
|
|
68,950
|
|
|
|
74,442
|
|
Keppel Corporation Ltd.
|
|
|
7,990
|
|
|
|
74,221
|
|
LIXIL Group Corp.
|
|
|
3,100
|
|
|
|
73,974
|
|
ComfortDelGro Corporation Ltd.
|
|
|
52,930
|
|
|
|
73,968
|
|
IMI plc
|
|
|
5,086
|
|
|
|
73,854
|
|
Andritz AG
|
|
|
1,304
|
|
|
|
73,851
|
|
SembCorp Industries Ltd.
|
|
|
15,980
|
|
|
|
73,830
|
|
Makita Corp.
|
|
|
1,900
|
|
|
|
73,779
|
|
Brenntag AG
|
|
|
576
|
|
|
|
73,726
|
|
Sulzer AG
|
|
|
506
|
|
|
|
73,715
|
|
Odakyu Electric Railway Company Ltd.
|
|
|
7,000
|
|
|
|
73,651
|
|
ABB Ltd.
|
|
|
3,926
|
|
|
|
73,643
|
|
Mitsubishi Heavy Industries Ltd.
|
|
|
16,980
|
|
|
|
73,552
|
|
Koninklijke Boskalis Westminster N.V.
|
|
|
2,034
|
|
|
|
73,529
|
|
Legrand S.A.
|
|
|
1,946
|
|
|
|
73,349
|
|
Asahi Glass Company Ltd.
|
|
|
11,000
|
|
|
|
73,305
|
|
Prysmian SpA
|
|
|
4,108
|
|
|
|
73,275
|
|
Secom Company Ltd.
|
|
|
1,400
|
|
|
|
73,023
|
|
Obayashi Corp.
|
|
|
16,000
|
|
|
|
72,998
|
|
East Japan Railway Co.
|
|
|
1,100
|
|
|
|
72,882
|
|
Weir Group plc
|
|
|
2,554
|
|
|
|
72,854
|
|
SembCorp Marine Ltd.
|
|
|
17,980
|
|
|
|
72,815
|
|
ACS Actividades de Construccion y
|
|
|
|
|
|
|
|
|
Servicios S.A.
|
|
|
3,533
|
|
|
|
72,780
|
|
Wolseley plc
|
|
|
1,704
|
|
|
|
72,677
|
|
Hopewell Holdings Ltd.
|
|
|
21,000
|
|
|
|
72,581
|
|
Wartsila Oyj Abp
|
|
|
2,094
|
|
|
|
72,522
|
|
Toyota Tsusho Corp.
|
|
|
3,390
|
|
|
|
72,509
|
|
Keisei Electric Railway Company Ltd.
|
|
|
8,000
|
|
|
|
72,280
|
|
Scania AB — Class B
|
|
|
3,929
|
|
|
|
72,083
|
|
Assa Abloy AB — Class B
|
|
|
2,220
|
|
|
|
72,061
|
|
Alfa Laval AB
|
|
|
3,974
|
|
|
|
72,061
|
|
MTR Corporation Ltd.
|
|
|
18,980
|
|
|
|
71,964
|
|
Siemens AG
|
|
|
721
|
|
|
|
71,910
|
|
NGK Insulators Ltd.
|
|
|
6,000
|
|
|
|
71,895
|
|
Experian plc
|
|
|
4,323
|
|
|
|
71,812
|
|
Adecco S.A.
|
|
|
1,508
|
|
|
|
71,775
|
|
Taisei Corp.
|
|
|
25,000
|
|
|
|
71,767
|
|
Serco Group plc
|
|
|
7,636
|
|
|
|
71,435
|
|
Mitsubishi Logistics Corp.
|
|
|
6,000
|
|
|
|
71,434
|
|
Babcock International Group plc
|
|
|
4,770
|
|
|
|
71,345
|
|
Finmeccanica SpA*
|
|
|
15,004
|
|
|
|
71,265
|
|
International Consolidated Airlines
|
|
|
|
|
|
|
|
|
Group S.A.*
|
|
|
29,629
|
|
|
|
71,203
|
|
Skanska AB — Class B
|
|
|
4,399
|
|
|
|
71,195
|
|
GS Yuasa Corp.
|
|
|
17,000
|
|
|
|
70,806
|
|
Shimizu Corp.
|
|
|
21,000
|
|
|
|
70,780
|
|
BAE Systems plc
|
|
|
13,490
|
|
|
|
70,777
|
|
NWS Holdings Ltd.
|
|
|
44,000
|
|
|
|
70,703
|
|
G4S plc
|
|
|
16,456
|
|
|
|
70,558
|
|
Geberit AG
|
|
|
324
|
|
|
|
70,457
|
|
Brambles Ltd.
|
|
|
9,675
|
|
|
|
70,451
|
|
Rolls-Royce Holdings plc
|
|
|
5,175
|
|
|
|
70,426
|
|
Zardoya Otis S.A.
|
|
|
5,985
|
|
|
|
70,376
|
|
Central Japan Railway Co.
|
|
|
800
|
|
|
|
70,332
|
|
SKF AB — Class B
|
|
|
3,258
|
|
|
|
70,288
|
|
Safran S.A.
|
|
|
1,954
|
|
|
|
70,273
|
|
DSV A/S
|
|
|
3,124
|
|
|
|
70,221
|
|
Marubeni Corp.
|
|
|
11,000
|
|
|
|
70,204
|
|
Orkla ASA
|
|
|
9,242
|
|
|
|
70,192
|
|
Rexel S.A.
|
|
|
3,487
|
|
|
|
70,175
|
|
Melrose plc
|
|
|
17,948
|
|
|
|
70,146
|
|
Edenred
|
|
|
2,494
|
|
|
|
70,078
|
|
Singapore Airlines Ltd.
|
|
|
8,000
|
|
|
|
70,011
|
|
Neptune Orient Lines Ltd.*
|
|
|
76,000
|
|
|
|
69,979
|
|
Tobu Railway Company Ltd.
|
|
|
13,000
|
|
|
|
69,973
|
|
Thales S.A.
|
|
|
2,037
|
|
|
|
69,959
|
|
Intertek Group plc
|
|
|
1,582
|
|
|
|
69,951
|
|
Auckland International Airport Ltd.
|
|
|
32,192
|
|
|
|
69,905
|
|
SGS S.A.
|
|
|
34
|
|
|
|
69,850
|
|
Fraport AG Frankfurt Airport Services Worldwide
|
|
|
1,207
|
|
|
|
69,808
|
|
Aggreko plc
|
|
|
1,868
|
|
|
|
69,720
|
|
Cobham plc
|
|
|
19,479
|
|
|
|
69,684
|
|
Qantas Airways Ltd.*
|
|
|
55,044
|
|
|
|
69,658
|
|
Hutchison Port Holdings Trust
|
|
|
96,000
|
|
|
|
69,600
|
|
Bunzl plc
|
|
|
3,890
|
|
|
|
69,580
|
|
Randstad Holding N.V.
|
|
|
2,092
|
|
|
|
69,536
|
|
Cie de St.-Gobain
|
|
|
1,975
|
|
|
|
69,378
|
|
Kinden Corp.
|
|
|
11,000
|
|
|
|
69,358
|
|
Meggitt plc
|
|
|
10,857
|
|
|
|
69,196
|
|
IHI Corp.
|
|
|
31,000
|
|
|
|
69,127
|
|
Orient Overseas International Ltd.
|
|
|
12,490
|
|
|
|
68,860
|
|
Deutsche Post AG
|
|
|
3,525
|
|
|
|
68,856
|
|
Smiths Group plc
|
|
|
4,114
|
|
|
|
68,805
|
|
Kurita Water Industries Ltd.
|
|
|
3,100
|
|
|
|
68,690
|
|
Sumitomo Corp.
|
|
|
5,090
|
|
|
|
68,689
|
|
Yangzijiang Shipbuilding Holdings Ltd.
|
|
|
85,940
|
|
|
|
68,627
|
|
Koninklijke Philips Electronics N.V.
|
|
|
2,936
|
|
|
|
68,500
|
|
West Japan Railway Co.
|
|
|
1,600
|
|
|
|
68,384
|
|
Nippon Express Company Ltd.
|
|
|
18,000
|
|
|
|
68,281
|
|
Kuehne + Nagel International AG
|
|
|
604
|
|
|
|
68,209
|
|
Zodiac Aerospace
|
|
|
697
|
|
|
|
68,056
|
|
Nabtesco Corp.
|
|
|
3,700
|
|
|
|
67,950
|
|
Keio Corp.
|
|
|
9,000
|
|
|
|
67,935
|
|
Transurban Group
|
|
|
10,881
|
|
|
|
67,721
|
|
Cosco Corporation Singapore Ltd.
|
|
|
86,000
|
|
|
|
67,624
|
|
Sandvik AB
|
|
|
4,981
|
|
|
|
67,608
|
|
Mitsui & Company Ltd.
|
|
|
4,800
|
|
|
|
67,543
|
|
Metso Oyj
|
|
|
1,886
|
|
|
|
67,403
|
|
Ushio, Inc.
|
|
|
5,600
|
|
|
|
67,318
|
|
MAN SE
|
|
|
735
|
|
|
|
67,299
|
|
Securitas AB — Class B
|
|
|
8,969
|
|
|
|
67,294
|
|
Alstom S.A.
|
|
|
1,917
|
|
|
|
67,218
|
|
Sydney Airport
|
|
|
20,470
|
|
|
|
67,097
|
|
Invensys plc
|
|
|
17,748
|
|
|
|
67,044
|
|
66 | the
GUGGENHEIM FUNDS annual report
|
See Notes
to Financial Statements.
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
|
Shares
|
|
|
Value
|
|
Tokyu Corp.
|
|
|
14,000
|
|
|
$
|
66,923
|
|
ITOCHU Corp.
|
|
|
6,600
|
|
|
|
66,905
|
|
Japan Steel Works Ltd.
|
|
|
12,000
|
|
|
|
66,897
|
|
Hochtief AG*
|
|
|
1,425
|
|
|
|
66,768
|
|
Cathay Pacific Airways Ltd.
|
|
|
40,970
|
|
|
|
66,680
|
|
Kintetsu Corp.
|
|
|
17,000
|
|
|
|
66,667
|
|
Vinci S.A.
|
|
|
1,561
|
|
|
|
66,490
|
|
Toll Holdings Ltd.
|
|
|
14,524
|
|
|
|
66,439
|
|
Aeroports de Paris
|
|
|
833
|
|
|
|
66,434
|
|
Leighton Holdings Ltd.
|
|
|
3,842
|
|
|
|
66,235
|
|
TOTO Ltd.
|
|
|
9,000
|
|
|
|
66,205
|
|
Furukawa Electric Company Ltd.*
|
|
|
35,000
|
|
|
|
65,936
|
|
Nidec Corp.
|
|
|
900
|
|
|
|
65,859
|
|
Amada Company Ltd.
|
|
|
15,000
|
|
|
|
65,744
|
|
Hino Motors Ltd.
|
|
|
10,000
|
|
|
|
65,488
|
|
Mitsubishi Corp.
|
|
|
3,600
|
|
|
|
65,467
|
|
Kajima Corp.
|
|
|
23,970
|
|
|
|
65,431
|
|
Fuji Electric Company Ltd.
|
|
|
32,000
|
|
|
|
65,206
|
|
Groupe Eurotunnel S.A.
|
|
|
9,255
|
|
|
|
65,201
|
|
Sumitomo Heavy Industries Ltd.
|
|
|
19,000
|
|
|
|
65,013
|
|
Komatsu Ltd.
|
|
|
3,300
|
|
|
|
65,002
|
|
Fiat Industrial SpA
|
|
|
6,647
|
|
|
|
64,962
|
|
Hankyu Hanshin Holdings, Inc.
|
|
|
12,000
|
|
|
|
64,898
|
|
Daikin Industries Ltd.
|
|
|
2,500
|
|
|
|
64,815
|
|
Yamato Holdings Company Ltd.
|
|
|
4,090
|
|
|
|
64,786
|
|
Schneider Electric S.A.
|
|
|
1,094
|
|
|
|
64,749
|
|
Asciano Ltd.
|
|
|
14,240
|
|
|
|
64,549
|
|
THK Company Ltd.
|
|
|
4,200
|
|
|
|
64,483
|
|
QR National Ltd.
|
|
|
18,195
|
|
|
|
64,359
|
|
Kawasaki Kisen Kaisha Ltd.*
|
|
|
50,980
|
|
|
|
64,027
|
|
Toppan Printing Company Ltd.
|
|
|
11,000
|
|
|
|
63,860
|
|
NSK Ltd.
|
|
|
11,000
|
|
|
|
63,860
|
|
TNT Express N.V.
|
|
|
6,059
|
|
|
|
63,272
|
|
Hitachi Construction Machinery Company Ltd.
|
|
|
3,900
|
|
|
|
63,126
|
|
All Nippon Airways Company Ltd.
|
|
|
30,000
|
|
|
|
63,053
|
|
Mitsui OSK Lines Ltd.
|
|
|
27,000
|
|
|
|
62,976
|
|
Dai Nippon Printing Company Ltd.
|
|
|
9,000
|
|
|
|
62,745
|
|
ALS Ltd.
|
|
|
7,006
|
|
|
|
62,426
|
|
JTEKT Corp.
|
|
|
7,890
|
|
|
|
62,388
|
|
NTN Corp.
|
|
|
31,000
|
|
|
|
62,373
|
|
Sumitomo Electric Industries Ltd.
|
|
|
5,890
|
|
|
|
62,274
|
|
Sojitz Corp.
|
|
|
47,600
|
|
|
|
61,612
|
|
Vallourec S.A.
|
|
|
1,452
|
|
|
|
61,484
|
|
Bouygues S.A.
|
|
|
2,469
|
|
|
|
60,285
|
|
Kawasaki Heavy Industries Ltd.
|
|
|
30,000
|
|
|
|
59,592
|
|
Mitsubishi Electric Corp.
|
|
|
8,000
|
|
|
|
59,054
|
|
European Aeronautic Defence and
|
|
|
|
|
|
|
|
|
Space Company N.V.
|
|
|
1,817
|
|
|
|
57,593
|
|
Nippon Yusen K.K.
|
|
|
32,000
|
|
|
|
56,594
|
|
AP Moeller - Maersk A/S — Class B
|
|
|
7
|
|
|
|
50,099
|
|
Schindler Holding AG - Participation Certificate
|
|
|
402
|
|
|
|
49,416
|
|
Atlas Copco AB — Class A
|
|
|
2,019
|
|
|
|
47,124
|
|
Atlas Copco AB — Class B
|
|
|
1,173
|
|
|
|
24,538
|
|
Schindler Holding AG
|
|
|
178
|
|
|
|
21,975
|
|
AP Moeller - Maersk A/S — Class A
|
|
|
3
|
|
|
|
20,334
|
|
Nippon Sheet Glass Company Ltd.
|
|
|
980
|
|
|
|
691
|
|
Total Industrials
|
|
|
|
|
|
|
12,534,366
|
|
Consumer Discretionary
- 12.6%
|
|
|
|
|
|
|
|
|
Galaxy Entertainment Group Ltd.*
|
|
|
24,960
|
|
|
|
83,693
|
|
Daihatsu Motor Company Ltd.
|
|
|
5,000
|
|
|
|
83,430
|
|
Sekisui House Ltd.
|
|
|
8,000
|
|
|
|
79,457
|
|
Oriental Land Company Ltd.
|
|
|
600
|
|
|
|
79,047
|
|
Yue Yuen Industrial Holdings Ltd.
|
|
|
23,480
|
|
|
|
79,032
|
|
J Front Retailing Company Ltd.
|
|
|
14,000
|
|
|
|
78,585
|
|
Jardine Cycle & Carriage Ltd.
|
|
|
2,000
|
|
|
|
78,388
|
|
TUI Travel plc
|
|
|
20,570
|
|
|
|
77,704
|
|
Inditex S.A.
|
|
|
621
|
|
|
|
77,115
|
|
Wynn Macau Ltd.
|
|
|
27,980
|
|
|
|
75,596
|
|
ABC-Mart, Inc.
|
|
|
1,700
|
|
|
|
75,163
|
|
Fuji Heavy Industries Ltd.
|
|
|
9,000
|
|
|
|
74,740
|
|
Autogrill SpA
|
|
|
7,864
|
|
|
|
74,734
|
|
Whitbread plc
|
|
|
2,041
|
|
|
|
74,694
|
|
Rinnai Corp.
|
|
|
1,000
|
|
|
|
74,587
|
|
Toho Company Ltd.
|
|
|
4,000
|
|
|
|
73,561
|
|
Cie Generale des Etablissements
|
|
|
|
|
|
|
|
|
Michelin — Class B
|
|
|
937
|
|
|
|
73,404
|
|
Singapore Press Holdings Ltd.
|
|
|
22,000
|
|
|
|
72,960
|
|
Carnival plc
|
|
|
1,979
|
|
|
|
72,905
|
|
Shimano, Inc.
|
|
|
1,000
|
|
|
|
72,792
|
|
Namco Bandai Holdings, Inc.
|
|
|
4,290
|
|
|
|
72,682
|
|
ITV plc
|
|
|
50,889
|
|
|
|
72,582
|
|
Sekisui Chemical Company Ltd.
|
|
|
9,000
|
|
|
|
72,549
|
|
Publicis Groupe S.A.
|
|
|
1,295
|
|
|
|
72,476
|
|
Electrolux AB
|
|
|
2,916
|
|
|
|
71,922
|
|
Husqvarna AB — Class B
|
|
|
14,074
|
|
|
|
71,805
|
|
Reed Elsevier N.V.
|
|
|
5,362
|
|
|
|
71,698
|
|
Kabel Deutschland Holding AG*
|
|
|
1,005
|
|
|
|
71,692
|
|
SJM Holdings Ltd.
|
|
|
32,970
|
|
|
|
71,688
|
|
Sands China Ltd.
|
|
|
19,170
|
|
|
|
71,571
|
|
Adidas AG
|
|
|
872
|
|
|
|
71,541
|
|
Asics Corp.
|
|
|
5,290
|
|
|
|
71,388
|
|
McDonald’s Holdings Company Japan Ltd.
|
|
|
2,500
|
|
|
|
71,223
|
|
Wolters Kluwer N.V.
|
|
|
3,785
|
|
|
|
71,162
|
|
Reed Elsevier plc
|
|
|
7,431
|
|
|
|
70,957
|
|
MGM China Holdings Ltd.
|
|
|
40,930
|
|
|
|
70,838
|
|
Eutelsat Communications S.A.
|
|
|
2,198
|
|
|
|
70,658
|
|
Rakuten, Inc.
|
|
|
6,922
|
|
|
|
70,524
|
|
InterContinental Hotels Group plc
|
|
|
2,689
|
|
|
|
70,280
|
|
SKYCITY Entertainment Group Ltd.
|
|
|
22,432
|
|
|
|
70,277
|
|
Genting Singapore plc
|
|
|
62,950
|
|
|
|
70,273
|
|
SES S.A.
|
|
|
2,579
|
|
|
|
70,147
|
|
Shimamura Company Ltd.
|
|
|
600
|
|
|
|
69,896
|
|
Suzuki Motor Corp.
|
|
|
3,600
|
|
|
|
69,896
|
|
Sankyo Company Ltd.
|
|
|
1,500
|
|
|
|
69,877
|
|
Fast Retailing Company Ltd.
|
|
|
300
|
|
|
|
69,781
|
|
Shangri-La Asia Ltd.
|
|
|
35,970
|
|
|
|
69,768
|
|
WPP plc
|
|
|
5,135
|
|
|
|
69,757
|
|
Nokian Renkaat Oyj
|
|
|
1,713
|
|
|
|
69,674
|
|
Sony Corp.
|
|
|
5,900
|
|
|
|
69,488
|
|
Hakuhodo DY Holdings, Inc.
|
|
|
1,030
|
|
|
|
69,432
|
|
Pearson plc
|
|
|
3,553
|
|
|
|
69,345
|
|
Nikon Corp.
|
|
|
2,500
|
|
|
|
68,820
|
|
Takashimaya Company Ltd.
|
|
|
10,000
|
|
|
|
68,692
|
|
Dentsu, Inc.
|
|
|
2,700
|
|
|
|
68,512
|
|
Accor S.A.
|
|
|
2,047
|
|
|
|
68,277
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 67
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Marks & Spencer Group plc
|
|
|
11,839
|
|
|
$
|
68,173
|
|
Sanrio Company Ltd.
|
|
|
1,900
|
|
|
|
68,106
|
|
Crown Ltd.
|
|
|
7,214
|
|
|
|
68,095
|
|
GKN plc
|
|
|
19,621
|
|
|
|
68,037
|
|
Jupiter Telecommunications Company Ltd.
|
|
|
67
|
|
|
|
68,005
|
|
JCDecaux S.A.
|
|
|
2,989
|
|
|
|
67,835
|
|
Benesse Holdings, Inc.
|
|
|
1,400
|
|
|
|
67,820
|
|
USS Company Ltd.
|
|
|
640
|
|
|
|
67,666
|
|
Isuzu Motors Ltd.
|
|
|
14,000
|
|
|
|
67,641
|
|
British Sky Broadcasting Group plc
|
|
|
5,622
|
|
|
|
67,479
|
|
Peugeot S.A.*
|
|
|
8,536
|
|
|
|
67,463
|
|
Bridgestone Corp.
|
|
|
2,900
|
|
|
|
67,269
|
|
Toyota Industries Corp.
|
|
|
2,400
|
|
|
|
67,205
|
|
Renault S.A.
|
|
|
1,431
|
|
|
|
67,159
|
|
Compass Group plc
|
|
|
6,062
|
|
|
|
66,888
|
|
Stanley Electric Company Ltd.
|
|
|
4,500
|
|
|
|
66,667
|
|
Isetan Mitsukoshi Holdings Ltd.
|
|
|
6,390
|
|
|
|
66,660
|
|
Next plc
|
|
|
1,196
|
|
|
|
66,591
|
|
Luxottica Group SpA
|
|
|
1,881
|
|
|
|
66,547
|
|
Sumitomo Rubber Industries Ltd.
|
|
|
5,590
|
|
|
|
66,409
|
|
Kingfisher plc
|
|
|
15,562
|
|
|
|
66,373
|
|
Mitsubishi Motors Corp.*
|
|
|
71,930
|
|
|
|
66,371
|
|
Toyota Motor Corp.
|
|
|
1,700
|
|
|
|
66,231
|
|
Cie Financiere Richemont S.A.
|
|
|
1,103
|
|
|
|
66,151
|
|
Fiat SpA*
|
|
|
12,392
|
|
|
|
66,120
|
|
Toyoda Gosei Company Ltd.
|
|
|
3,300
|
|
|
|
66,102
|
|
PPR
|
|
|
430
|
|
|
|
65,980
|
|
Lagardere SCA
|
|
|
2,413
|
|
|
|
65,911
|
|
Pirelli & C. SpA
|
|
|
6,117
|
|
|
|
65,875
|
|
Casio Computer Company Ltd.
|
|
|
9,290
|
|
|
|
65,838
|
|
Continental AG
|
|
|
672
|
|
|
|
65,805
|
|
Yamaha Motor Company Ltd.
|
|
|
7,500
|
|
|
|
65,552
|
|
Mazda Motor Corp.*
|
|
|
56,000
|
|
|
|
65,308
|
|
Hennes & Mauritz AB — Class B
|
|
|
1,875
|
|
|
|
65,145
|
|
Tatts Group Ltd.
|
|
|
23,146
|
|
|
|
65,065
|
|
Li & Fung Ltd.
|
|
|
41,960
|
|
|
|
65,044
|
|
Nitori Holdings Company Ltd.
|
|
|
700
|
|
|
|
65,039
|
|
Modern Times Group AB — Class B
|
|
|
1,465
|
|
|
|
64,706
|
|
Axel Springer AG
|
|
|
1,489
|
|
|
|
64,524
|
|
Honda Motor Company Ltd.
|
|
|
2,100
|
|
|
|
64,510
|
|
Sodexo
|
|
|
856
|
|
|
|
64,452
|
|
Hugo Boss AG
|
|
|
730
|
|
|
|
64,261
|
|
Tabcorp Holdings Ltd.
|
|
|
22,432
|
|
|
|
64,221
|
|
Echo Entertainment Group Ltd.
|
|
|
16,134
|
|
|
|
64,098
|
|
Panasonic Corp.
|
|
|
9,690
|
|
|
|
64,078
|
|
NOK Corp.
|
|
|
4,000
|
|
|
|
64,027
|
|
Lifestyle International Holdings Ltd.
|
|
|
30,970
|
|
|
|
63,984
|
|
Marui Group Company Ltd.
|
|
|
9,000
|
|
|
|
63,783
|
|
Daimler AG — Class D
|
|
|
1,306
|
|
|
|
63,215
|
|
NGK Spark Plug Company Ltd.
|
|
|
6,000
|
|
|
|
63,130
|
|
Mediaset SpA
|
|
|
33,500
|
|
|
|
62,897
|
|
Denso Corp.
|
|
|
2,000
|
|
|
|
62,822
|
|
Fairfax Media Ltd.
|
|
|
145,562
|
|
|
|
62,661
|
|
Sega Sammy Holdings, Inc.
|
|
|
3,300
|
|
|
|
62,634
|
|
Christian Dior S.A.
|
|
|
465
|
|
|
|
62,386
|
|
Yamaha Corp.
|
|
|
6,690
|
|
|
|
62,073
|
|
Sharp Corp.
|
|
|
25,000
|
|
|
|
61,835
|
|
LVMH Moet Hennessy Louis Vuitton S.A.
|
|
|
409
|
|
|
|
61,496
|
|
Harvey Norman Holdings Ltd.
|
|
|
30,466
|
|
|
|
61,308
|
|
Nissan Motor Company Ltd.
|
|
|
7,190
|
|
|
|
61,276
|
|
Aisin Seiki Company Ltd.
|
|
|
2,100
|
|
|
|
59,746
|
|
Toyota Boshoku Corp.
|
|
|
5,690
|
|
|
|
59,066
|
|
Bayerische Motoren Werke AG
|
|
|
807
|
|
|
|
59,020
|
|
Yamada Denki Company Ltd.
|
|
|
1,340
|
|
|
|
58,817
|
|
Koito Manufacturing Company Ltd.
|
|
|
5,000
|
|
|
|
57,798
|
|
NHK Spring Company Ltd.
|
|
|
6,700
|
|
|
|
57,529
|
|
OPAP S.A.
|
|
|
10,465
|
|
|
|
53,794
|
|
Swatch Group AG
|
|
|
132
|
|
|
|
52,665
|
|
Burberry Group plc
|
|
|
3,154
|
|
|
|
50,916
|
|
Swatch Group AG/REG
|
|
|
186
|
|
|
|
12,925
|
|
Volkswagen AG
|
|
|
65
|
|
|
|
10,876
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
8,525,889
|
|
Materials - 10.4%
|
|
|
|
|
|
|
|
|
Nippon Steel & Sumitomo Metal Corp.
|
|
|
64,311
|
|
|
|
131,868
|
|
Randgold Resources Ltd.
|
|
|
682
|
|
|
|
83,839
|
|
Lynas Corporation Ltd.*
|
|
|
99,247
|
|
|
|
81,329
|
|
Fresnillo plc
|
|
|
2,713
|
|
|
|
81,156
|
|
Imerys S.A.
|
|
|
1,379
|
|
|
|
80,916
|
|
Alumina Ltd.
|
|
|
89,730
|
|
|
|
79,115
|
|
Vedanta Resources plc
|
|
|
4,751
|
|
|
|
78,845
|
|
Israel Corporation Ltd.*
|
|
|
124
|
|
|
|
78,744
|
|
Kansai Paint Company Ltd.
|
|
|
7,000
|
|
|
|
77,597
|
|
Antofagasta plc
|
|
|
3,794
|
|
|
|
77,234
|
|
Lafarge S.A.
|
|
|
1,432
|
|
|
|
77,125
|
|
Sumitomo Metal Mining Company Ltd.
|
|
|
6,000
|
|
|
|
75,740
|
|
Kazakhmys plc
|
|
|
6,775
|
|
|
|
75,685
|
|
Mitsubishi Materials Corp.
|
|
|
24,000
|
|
|
|
75,663
|
|
Maruichi Steel Tube Ltd.
|
|
|
3,500
|
|
|
|
74,907
|
|
Boliden AB
|
|
|
4,469
|
|
|
|
74,505
|
|
Nisshin Steel Company Ltd.
|
|
|
69,000
|
|
|
|
74,279
|
|
Umicore S.A.
|
|
|
1,421
|
|
|
|
74,278
|
|
Newcrest Mining Ltd.
|
|
|
2,453
|
|
|
|
74,146
|
|
Lanxess AG
|
|
|
892
|
|
|
|
73,970
|
|
Linde AG
|
|
|
429
|
|
|
|
73,875
|
|
Air Water, Inc.
|
|
|
6,000
|
|
|
|
73,510
|
|
Arkema S.A.
|
|
|
785
|
|
|
|
73,501
|
|
Boral Ltd.
|
|
|
18,451
|
|
|
|
73,494
|
|
Fletcher Building Ltd.
|
|
|
12,721
|
|
|
|
73,487
|
|
Norsk Hydro ASA
|
|
|
15,678
|
|
|
|
73,452
|
|
Teijin Ltd.
|
|
|
30,000
|
|
|
|
73,433
|
|
Syngenta AG
|
|
|
196
|
|
|
|
73,260
|
|
Evraz plc
|
|
|
18,363
|
|
|
|
73,161
|
|
Shin-Etsu Chemical Company Ltd.
|
|
|
1,300
|
|
|
|
73,138
|
|
BASF SE
|
|
|
866
|
|
|
|
73,061
|
|
Israel Chemicals Ltd.*
|
|
|
6,008
|
|
|
|
72,840
|
|
Holmen AB — Class B
|
|
|
2,651
|
|
|
|
72,450
|
|
CRH plc
|
|
|
3,751
|
|
|
|
72,306
|
|
Nitto Denko Corp.
|
|
|
1,500
|
|
|
|
71,511
|
|
Sika AG
|
|
|
35
|
|
|
|
71,384
|
|
Koninklijke DSM N.V.
|
|
|
1,431
|
|
|
|
71,352
|
|
Amcor Ltd.
|
|
|
8,852
|
|
|
|
71,253
|
|
Rexam plc
|
|
|
10,101
|
|
|
|
70,900
|
|
Croda International plc
|
|
|
1,808
|
|
|
|
70,750
|
|
Xstrata plc
|
|
|
4,573
|
|
|
|
70,686
|
|
Sims Metal Management Ltd.
|
|
|
7,112
|
|
|
|
70,674
|
|
Air Liquide S.A.
|
|
|
570
|
|
|
|
70,650
|
|
68 | the GUGGENHEIM FUNDS annual report
|
See Notes to Financial Statements.
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Holcim Ltd.
|
|
|
1,107
|
|
|
$
|
70,511
|
|
Johnson Matthey plc
|
|
|
1,807
|
|
|
|
70,361
|
|
Solvay S.A.
|
|
|
607
|
|
|
|
70,252
|
|
Rio Tinto Ltd.
|
|
|
1,266
|
|
|
|
70,073
|
|
Rio Tinto plc
|
|
|
1,501
|
|
|
|
69,895
|
|
ThyssenKrupp AG
|
|
|
3,287
|
|
|
|
69,867
|
|
Voestalpine AG
|
|
|
2,334
|
|
|
|
69,857
|
|
Yara International ASA
|
|
|
1,385
|
|
|
|
69,385
|
|
Acerinox S.A.
|
|
|
6,183
|
|
|
|
69,335
|
|
Novozymes A/S — Class B
|
|
|
2,515
|
|
|
|
69,321
|
|
James Hardie Industries SE
|
|
|
7,670
|
|
|
|
69,217
|
|
BHP Billiton plc
|
|
|
2,223
|
|
|
|
69,064
|
|
UPM-Kymmene Oyj
|
|
|
6,086
|
|
|
|
68,787
|
|
Taiyo Nippon Sanso Corp.
|
|
|
13,000
|
|
|
|
68,474
|
|
HeidelbergCement AG
|
|
|
1,306
|
|
|
|
68,426
|
|
Stora Enso Oyj — Class R
|
|
|
11,010
|
|
|
|
68,396
|
|
OZ Minerals Ltd.
|
|
|
9,762
|
|
|
|
68,351
|
|
Givaudan S.A.
|
|
|
72
|
|
|
|
68,332
|
|
Salzgitter AG
|
|
|
1,762
|
|
|
|
68,078
|
|
Orica Ltd.
|
|
|
2,637
|
|
|
|
68,028
|
|
Yamato Kogyo Company Ltd.
|
|
|
2,300
|
|
|
|
67,883
|
|
BHP Billiton Ltd.
|
|
|
1,979
|
|
|
|
67,824
|
|
Kobe Steel Ltd.*
|
|
|
84,960
|
|
|
|
67,506
|
|
Anglo American plc
|
|
|
2,302
|
|
|
|
67,505
|
|
Iluka Resources Ltd.
|
|
|
6,544
|
|
|
|
67,405
|
|
JFE Holdings, Inc.
|
|
|
5,100
|
|
|
|
67,320
|
|
Akzo Nobel N.V.
|
|
|
1,190
|
|
|
|
67,273
|
|
Eurasian Natural Resources Corp. plc
|
|
|
13,481
|
|
|
|
67,182
|
|
Asahi Kasei Corp.
|
|
|
13,000
|
|
|
|
67,141
|
|
Kuraray Company Ltd.
|
|
|
5,890
|
|
|
|
66,954
|
|
K+S AG
|
|
|
1,359
|
|
|
|
66,828
|
|
Wacker Chemie AG
|
|
|
1,040
|
|
|
|
66,772
|
|
Taiheiyo Cement Corp.
|
|
|
31,000
|
|
|
|
66,744
|
|
Incitec Pivot Ltd.
|
|
|
21,547
|
|
|
|
66,604
|
|
Daicel Corp.
|
|
|
11,000
|
|
|
|
65,975
|
|
JSR Corp.
|
|
|
4,000
|
|
|
|
65,616
|
|
Toyo Seikan Kaisha Ltd.
|
|
|
6,090
|
|
|
|
65,169
|
|
Toray Industries, Inc.
|
|
|
11,000
|
|
|
|
65,129
|
|
Mitsubishi Chemical Holdings Corp.
|
|
|
16,990
|
|
|
|
65,103
|
|
ArcelorMittal
|
|
|
4,475
|
|
|
|
64,179
|
|
Oji Holdings Corp.
|
|
|
21,000
|
|
|
|
64,052
|
|
Sumitomo Chemical Company Ltd.
|
|
|
25,000
|
|
|
|
63,758
|
|
Mitsui Chemicals, Inc.
|
|
|
32,000
|
|
|
|
62,745
|
|
Kaneka Corp.
|
|
|
13,000
|
|
|
|
62,643
|
|
Ube Industries Ltd.
|
|
|
29,000
|
|
|
|
62,438
|
|
Hitachi Metals Ltd.
|
|
|
7,000
|
|
|
|
62,438
|
|
SSAB AB — Class A
|
|
|
8,781
|
|
|
|
62,394
|
|
Hitachi Chemical Company Ltd.
|
|
|
4,600
|
|
|
|
62,194
|
|
Denki Kagaku Kogyo K.K.
|
|
|
20,000
|
|
|
|
62,027
|
|
Showa Denko K.K.
|
|
|
39,000
|
|
|
|
61,976
|
|
Glencore International plc
|
|
|
11,185
|
|
|
|
61,951
|
|
Nippon Paper Group, Inc.
|
|
|
5,200
|
|
|
|
61,376
|
|
Lonmin plc
|
|
|
6,818
|
|
|
|
61,306
|
|
Fortescue Metals Group Ltd.
|
|
|
16,796
|
|
|
|
60,804
|
|
Daido Steel Company Ltd.
|
|
|
13,000
|
|
|
|
60,477
|
|
Mitsubishi Gas Chemical Company, Inc.
|
|
|
12,000
|
|
|
|
60,285
|
|
Tosoh Corp.
|
|
|
30,980
|
|
|
|
58,760
|
|
Total Materials
|
|
|
|
|
|
|
7,032,815
|
|
CONSUMER STAPLES - 7.0%
|
|
|
|
|
|
|
|
|
Kikkoman Corp.
|
|
|
6,000
|
|
|
|
82,046
|
|
Yamazaki Baking Company Ltd.
|
|
|
6,000
|
|
|
|
80,354
|
|
Kirin Holdings Company Ltd.
|
|
|
6,000
|
|
|
|
80,277
|
|
Ajinomoto Company, Inc.
|
|
|
4,990
|
|
|
|
78,275
|
|
Nippon Meat Packers, Inc.
|
|
|
6,000
|
|
|
|
77,047
|
|
Yakult Honsha Company Ltd.
|
|
|
1,600
|
|
|
|
75,868
|
|
Toyo Suisan Kaisha Ltd.
|
|
|
3,000
|
|
|
|
75,048
|
|
MEIJI Holdings Company Ltd.
|
|
|
1,500
|
|
|
|
74,491
|
|
Kerry Group plc — Class A
|
|
|
1,440
|
|
|
|
73,744
|
|
Nisshin Seifun Group, Inc.
|
|
|
5,990
|
|
|
|
73,695
|
|
J Sainsbury plc
|
|
|
12,968
|
|
|
|
72,727
|
|
Suedzucker AG
|
|
|
2,047
|
|
|
|
72,473
|
|
Svenska Cellulosa AB — Class B
|
|
|
3,888
|
|
|
|
72,219
|
|
Heineken N.V.
|
|
|
1,209
|
|
|
|
72,075
|
|
Distribuidora Internacional de
|
|
|
|
|
|
|
|
|
Alimentacion S.A.
|
|
|
13,037
|
|
|
|
71,957
|
|
Kesko Oyj — Class B
|
|
|
2,538
|
|
|
|
71,918
|
|
Olam International Ltd.
|
|
|
42,970
|
|
|
|
71,779
|
|
DE Master Blenders 1753 N.V.*
|
|
|
5,945
|
|
|
|
71,624
|
|
Asahi Group Holdings Ltd.
|
|
|
2,900
|
|
|
|
71,506
|
|
Wilmar International Ltd.
|
|
|
27,000
|
|
|
|
71,502
|
|
WM Morrison Supermarkets plc
|
|
|
15,494
|
|
|
|
71,311
|
|
Heineken Holding N.V.
|
|
|
1,457
|
|
|
|
70,767
|
|
Tate & Lyle plc
|
|
|
6,582
|
|
|
|
70,660
|
|
Nissin Foods Holdings Company Ltd.
|
|
|
1,800
|
|
|
|
70,588
|
|
Diageo plc
|
|
|
2,504
|
|
|
|
70,316
|
|
Carrefour S.A.
|
|
|
3,381
|
|
|
|
70,127
|
|
Coca Cola Hellenic Bottling Company S.A.
|
|
|
3,757
|
|
|
|
70,104
|
|
Carlsberg A/S — Class B
|
|
|
786
|
|
|
|
69,641
|
|
Lawson, Inc.
|
|
|
900
|
|
|
|
69,204
|
|
Jeronimo Martins SGPS S.A.
|
|
|
4,144
|
|
|
|
69,151
|
|
Anheuser-Busch InBev N.V.
|
|
|
813
|
|
|
|
69,133
|
|
Pernod-Ricard S.A.
|
|
|
615
|
|
|
|
69,004
|
|
Unicharm Corp.
|
|
|
1,200
|
|
|
|
68,897
|
|
FamilyMart Company Ltd.
|
|
|
1,400
|
|
|
|
68,897
|
|
Unilever N.V.
|
|
|
1,945
|
|
|
|
68,812
|
|
Beiersdorf AG
|
|
|
935
|
|
|
|
68,609
|
|
Nestle S.A.
|
|
|
1,088
|
|
|
|
68,607
|
|
Unilever plc
|
|
|
1,885
|
|
|
|
68,529
|
|
Japan Tobacco, Inc.
|
|
|
2,283
|
|
|
|
68,522
|
|
Koninklijke Ahold N.V.
|
|
|
5,452
|
|
|
|
68,291
|
|
Reckitt Benckiser Group plc
|
|
|
1,186
|
|
|
|
68,236
|
|
Coca-Cola West Company Ltd.
|
|
|
4,100
|
|
|
|
67,992
|
|
Remy Cointreau S.A.
|
|
|
591
|
|
|
|
67,975
|
|
Wesfarmers Ltd.
|
|
|
1,910
|
|
|
|
67,877
|
|
Kao Corp.
|
|
|
2,300
|
|
|
|
67,794
|
|
Metro AG
|
|
|
2,266
|
|
|
|
67,778
|
|
SABMiller plc
|
|
|
1,538
|
|
|
|
67,521
|
|
Woolworths Ltd.
|
|
|
2,263
|
|
|
|
67,511
|
|
TESCO plc
|
|
|
12,594
|
|
|
|
67,499
|
|
Casino Guichard Perrachon S.A.
|
|
|
762
|
|
|
|
67,460
|
|
Coca-Cola Amatil Ltd.
|
|
|
4,792
|
|
|
|
67,403
|
|
Associated British Foods plc
|
|
|
3,234
|
|
|
|
67,243
|
|
Swedish Match AB
|
|
|
1,661
|
|
|
|
67,167
|
|
Aryzta AG
|
|
|
1,390
|
|
|
|
66,661
|
|
British American Tobacco plc
|
|
|
1,298
|
|
|
|
66,613
|
|
L’Oreal S.A.
|
|
|
536
|
|
|
|
66,305
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 69
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Metcash Ltd.
|
|
|
18,045
|
|
|
$
|
66,261
|
|
Barry Callebaut AG
|
|
|
71
|
|
|
|
65,873
|
|
Danone S.A.
|
|
|
1,067
|
|
|
|
65,694
|
|
Imperial Tobacco Group plc
|
|
|
1,762
|
|
|
|
65,167
|
|
Seven & I Holdings Company Ltd.
|
|
|
2,100
|
|
|
|
64,510
|
|
Shiseido Company Ltd.
|
|
|
4,700
|
|
|
|
64,510
|
|
Golden Agri-Resources Ltd.
|
|
|
119,850
|
|
|
|
64,455
|
|
Aeon Company Ltd.
|
|
|
5,690
|
|
|
|
64,389
|
|
Delhaize Group S.A.
|
|
|
1,651
|
|
|
|
63,746
|
|
Colruyt S.A.
|
|
|
1,435
|
|
|
|
62,506
|
|
Lindt & Spruengli AG
|
|
|
1
|
|
|
|
36,101
|
|
Lindt & Spruengli AG - Participation
|
|
|
|
|
|
|
|
|
Certificate
|
|
|
9
|
|
|
|
28,481
|
|
Henkel AG & Company KGaA
|
|
|
406
|
|
|
|
26,489
|
|
Total Consumer Staples
|
|
|
|
|
|
|
4,697,012
|
|
INFORMATION TECHNOLOGY - 6.3%
|
|
|
|
|
|
|
|
|
AtoS
|
|
|
1,159
|
|
|
|
80,787
|
|
Gemalto N.V.
|
|
|
915
|
|
|
|
80,488
|
|
Capital Gemini S.A.
|
|
|
1,856
|
|
|
|
78,531
|
|
Hirose Electric Company Ltd.
|
|
|
700
|
|
|
|
78,495
|
|
Oracle Corporation Japan
|
|
|
1,500
|
|
|
|
77,374
|
|
Nippon Electric Glass Company Ltd.
|
|
|
14,000
|
|
|
|
77,329
|
|
Keyence Corp.
|
|
|
300
|
|
|
|
76,894
|
|
Dena Company Ltd.
|
|
|
2,300
|
|
|
|
76,402
|
|
Nintendo Company Ltd.
|
|
|
600
|
|
|
|
76,048
|
|
Ricoh Company Ltd.
|
|
|
9,000
|
|
|
|
76,009
|
|
Yahoo Japan Corp.
|
|
|
199
|
|
|
|
75,820
|
|
ASM Pacific Technology Ltd.
|
|
|
6,300
|
|
|
|
74,544
|
|
SAP AG
|
|
|
1,045
|
|
|
|
74,008
|
|
Dassault Systemes S.A.
|
|
|
702
|
|
|
|
73,759
|
|
Hexagon AB — Class B
|
|
|
3,440
|
|
|
|
73,743
|
|
NICE Systems Ltd.*
|
|
|
2,219
|
|
|
|
73,572
|
|
Sage Group plc
|
|
|
14,505
|
|
|
|
73,386
|
|
Gree, Inc.
|
|
|
4,000
|
|
|
|
73,254
|
|
Amadeus IT Holding S.A. — Class A
|
|
|
3,100
|
|
|
|
72,227
|
|
NTT Data Corp.
|
|
|
23
|
|
|
|
72,186
|
|
Otsuka Corp.
|
|
|
800
|
|
|
|
71,767
|
|
Shimadzu Corp.
|
|
|
10,000
|
|
|
|
70,101
|
|
United Internet AG
|
|
|
3,433
|
|
|
|
70,014
|
|
Kyocera Corp.
|
|
|
800
|
|
|
|
69,307
|
|
Murata Manufacturing Company Ltd.
|
|
|
1,300
|
|
|
|
69,223
|
|
ARM Holdings plc
|
|
|
7,457
|
|
|
|
69,159
|
|
Konica Minolta Holdings, Inc.
|
|
|
8,990
|
|
|
|
69,127
|
|
Nomura Research Institute Ltd.
|
|
|
3,300
|
|
|
|
68,047
|
|
Itochu Techno-Solutions Corp.
|
|
|
1,300
|
|
|
|
67,641
|
|
Hitachi High-Technologies Corp.
|
|
|
2,800
|
|
|
|
67,569
|
|
Rohm Company Ltd.
|
|
|
2,000
|
|
|
|
67,359
|
|
Trend Micro, Inc.
|
|
|
2,400
|
|
|
|
67,051
|
|
Yokogawa Electric Corp.
|
|
|
5,800
|
|
|
|
67,046
|
|
Yaskawa Electric Corp.
|
|
|
10,000
|
|
|
|
67,026
|
|
Hitachi Ltd.
|
|
|
12,000
|
|
|
|
66,744
|
|
Computershare Ltd.
|
|
|
7,679
|
|
|
|
66,112
|
|
Hoya Corp.
|
|
|
3,000
|
|
|
|
65,936
|
|
Konami Corp.
|
|
|
2,900
|
|
|
|
65,894
|
|
Foxconn International Holdings Ltd.*
|
|
|
198,850
|
|
|
|
65,394
|
|
FUJIFILM Holdings Corp.
|
|
|
3,900
|
|
|
|
65,375
|
|
Omron Corp.
|
|
|
3,400
|
|
|
|
65,359
|
|
Hamamatsu Photonics K.K.
|
|
|
1,900
|
|
|
|
65,281
|
|
Nexon Company Ltd.*
|
|
|
4,743
|
|
|
|
65,222
|
|
Telefonaktiebolaget LM Ericsson — Class B
|
|
|
7,138
|
|
|
|
65,043
|
|
ASML Holding N.V.
|
|
|
1,211
|
|
|
|
64,724
|
|
Alcatel-Lucent*
|
|
|
58,553
|
|
|
|
64,637
|
|
Toshiba Corp.
|
|
|
20,000
|
|
|
|
64,079
|
|
Canon, Inc.
|
|
|
2,000
|
|
|
|
63,950
|
|
Tokyo Electron Ltd.
|
|
|
1,500
|
|
|
|
63,918
|
|
Fujitsu Ltd.
|
|
|
17,000
|
|
|
|
63,834
|
|
TDK Corp.
|
|
|
1,700
|
|
|
|
63,312
|
|
STMicroelectronics N.V.
|
|
|
11,711
|
|
|
|
63,104
|
|
Ibiden Company Ltd.
|
|
|
4,300
|
|
|
|
62,877
|
|
Citizen Holdings Company Ltd.
|
|
|
12,190
|
|
|
|
62,020
|
|
Brother Industries Ltd.
|
|
|
6,590
|
|
|
|
61,145
|
|
Advantest Corp.
|
|
|
4,700
|
|
|
|
61,137
|
|
Infineon Technologies AG
|
|
|
9,593
|
|
|
|
60,875
|
|
Mellanox Technologies Ltd.*
|
|
|
579
|
|
|
|
60,000
|
|
Square Enix Holdings Company Ltd.
|
|
|
3,890
|
|
|
|
59,374
|
|
Sumco Corp.*
|
|
|
8,800
|
|
|
|
59,321
|
|
Seiko Epson Corp.
|
|
|
9,700
|
|
|
|
59,172
|
|
Nokia Oyj
|
|
|
21,869
|
|
|
|
56,489
|
|
NEC Corp.*
|
|
|
32,000
|
|
|
|
50,852
|
|
Elpida Memory, Inc.*
,†††,1
|
|
|
18,800
|
|
|
|
241
|
|
Total Information Technology
|
|
|
|
|
|
|
4,296,714
|
|
HEALTH CARE - 5.6%
|
|
|
|
|
|
|
|
|
Grifols S.A.*
|
|
|
2,414
|
|
|
|
79,727
|
|
Lonza Group AG
|
|
|
1,497
|
|
|
|
78,303
|
|
Straumann Holding AG
|
|
|
588
|
|
|
|
78,219
|
|
Sonova Holding AG
|
|
|
764
|
|
|
|
77,219
|
|
UCB S.A.
|
|
|
1,400
|
|
|
|
76,985
|
|
Bayer AG
|
|
|
878
|
|
|
|
75,405
|
|
Fresenius SE & Company KGaA
|
|
|
646
|
|
|
|
74,999
|
|
Merck KGaA
|
|
|
599
|
|
|
|
73,898
|
|
Santen Pharmaceutical Company Ltd.
|
|
|
1,600
|
|
|
|
73,613
|
|
Cie Generale d’Optique Essilor
|
|
|
|
|
|
|
|
|
International S.A.
|
|
|
786
|
|
|
|
73,605
|
|
Actelion Ltd.
|
|
|
1,469
|
|
|
|
73,543
|
|
Taisho Pharmaceutical Holdings
|
|
|
|
|
|
|
|
|
Company Ltd.
|
|
|
900
|
|
|
|
73,472
|
|
Coloplast A/S — Class B
|
|
|
350
|
|
|
|
72,881
|
|
CSL Ltd.
|
|
|
1,524
|
|
|
|
72,718
|
|
Kyowa Hakko Kirin Company Ltd.
|
|
|
6,000
|
|
|
|
72,511
|
|
Tsumura & Co.
|
|
|
2,300
|
|
|
|
72,275
|
|
Sysmex Corp.
|
|
|
1,500
|
|
|
|
72,184
|
|
William Demant Holding A/S*
|
|
|
805
|
|
|
|
72,157
|
|
Hisamitsu Pharmaceutical Company, Inc.
|
|
|
1,300
|
|
|
|
71,889
|
|
Miraca Holdings, Inc.
|
|
|
1,600
|
|
|
|
71,870
|
|
Shionogi & Company Ltd.
|
|
|
4,700
|
|
|
|
71,798
|
|
Orion Oyj — Class B
|
|
|
3,344
|
|
|
|
71,551
|
|
Elekta AB — Class B
|
|
|
5,408
|
|
|
|
71,428
|
|
Otsuka Holdings Company Ltd.
|
|
|
2,300
|
|
|
|
71,332
|
|
Chugai Pharmaceutical Company Ltd.
|
|
|
3,400
|
|
|
|
71,242
|
|
Astellas Pharma, Inc.
|
|
|
1,400
|
|
|
|
71,139
|
|
Smith & Nephew plc
|
|
|
6,430
|
|
|
|
70,949
|
|
QIAGEN N.V.*
|
|
|
3,854
|
|
|
|
70,924
|
|
Sanofi
|
|
|
828
|
|
|
|
70,601
|
|
Fresenius Medical Care AG & Co. KGaA
|
|
|
959
|
|
|
|
70,321
|
|
70 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
Getinge AB — Class B
|
|
|
2,326
|
|
|
$
|
70,190
|
|
Novartis AG
|
|
|
1,146
|
|
|
|
70,131
|
|
Mitsubishi Tanabe Pharma Corp.
|
|
|
4,600
|
|
|
|
69,976
|
|
Roche Holding AG
|
|
|
372
|
|
|
|
69,502
|
|
Alfresa Holdings Corp.
|
|
|
1,400
|
|
|
|
69,166
|
|
Takeda Pharmaceutical Company Ltd.
|
|
|
1,500
|
|
|
|
69,108
|
|
AstraZeneca plc
|
|
|
1,448
|
|
|
|
69,075
|
|
Celesio AG
|
|
|
3,864
|
|
|
|
68,898
|
|
Teva Pharmaceutical Industries Ltd.*
|
|
|
1,696
|
|
|
|
68,829
|
|
Sonic Healthcare Ltd.
|
|
|
4,892
|
|
|
|
68,758
|
|
Novo Nordisk A/S — Class B
|
|
|
435
|
|
|
|
68,723
|
|
GlaxoSmithKline plc
|
|
|
2,962
|
|
|
|
68,258
|
|
Ono Pharmaceutical Company Ltd.
|
|
|
1,100
|
|
|
|
67,737
|
|
Eisai Company Ltd.
|
|
|
1,500
|
|
|
|
67,666
|
|
Cochlear Ltd.
|
|
|
965
|
|
|
|
67,216
|
|
Dainippon Sumitomo Pharma
|
|
|
|
|
|
|
|
|
Company Ltd.
|
|
|
6,090
|
|
|
|
66,964
|
|
Suzuken Company Ltd.
|
|
|
2,000
|
|
|
|
66,513
|
|
Olympus Corp.*
|
|
|
3,400
|
|
|
|
66,231
|
|
Daiichi Sankyo Company Ltd.
|
|
|
4,000
|
|
|
|
66,128
|
|
Medipal Holdings Corp.
|
|
|
4,790
|
|
|
|
65,929
|
|
Shire plc
|
|
|
2,237
|
|
|
|
65,472
|
|
Ramsay Health Care Ltd.
|
|
|
2,617
|
|
|
|
65,204
|
|
Terumo Corp.
|
|
|
1,500
|
|
|
|
64,591
|
|
Elan Corporation plc*
|
|
|
5,828
|
|
|
|
62,837
|
|
Total Health Care
|
|
|
|
|
|
|
3,821,860
|
|
UTILITIES - 4.6%
|
|
|
|
|
|
|
|
|
Acciona S.A.
|
|
|
1,405
|
|
|
|
79,969
|
|
Contact Energy Ltd.*
|
|
|
18,030
|
|
|
|
78,899
|
|
Tohoku Electric Power Company, Inc.*
|
|
|
9,790
|
|
|
|
78,792
|
|
Iberdrola S.A.
|
|
|
17,073
|
|
|
|
77,406
|
|
Gas Natural SDG S.A.
|
|
|
5,422
|
|
|
|
76,751
|
|
Power Assets Holdings Ltd.
|
|
|
8,990
|
|
|
|
76,346
|
|
Electric Power Development Company Ltd.
|
|
|
2,900
|
|
|
|
76,337
|
|
Chubu Electric Power Company, Inc.
|
|
|
5,790
|
|
|
|
75,464
|
|
EDP - Energias de Portugal S.A.
|
|
|
27,366
|
|
|
|
75,330
|
|
Enel SpA
|
|
|
21,052
|
|
|
|
74,452
|
|
Red Electrica Corporation S.A.
|
|
|
1,563
|
|
|
|
74,108
|
|
Hokuriku Electric Power Co.
|
|
|
6,100
|
|
|
|
74,032
|
|
Hong Kong & China Gas Company Ltd.
|
|
|
29,156
|
|
|
|
73,923
|
|
Toho Gas Company Ltd.
|
|
|
11,000
|
|
|
|
73,164
|
|
Terna Rete Elettrica Nazionale SpA
|
|
|
19,588
|
|
|
|
73,000
|
|
Cheung Kong Infrastructure Holdings Ltd.
|
|
|
12,000
|
|
|
|
72,658
|
|
Snam SpA
|
|
|
16,345
|
|
|
|
72,467
|
|
Enagas S.A.
|
|
|
3,663
|
|
|
|
72,257
|
|
CLP Holdings Ltd.
|
|
|
8,490
|
|
|
|
72,154
|
|
Tokyo Gas Company Ltd.
|
|
|
13,000
|
|
|
|
71,639
|
|
SSE plc
|
|
|
3,165
|
|
|
|
71,122
|
|
Fortum Oyj
|
|
|
3,851
|
|
|
|
70,918
|
|
E.ON AG
|
|
|
2,984
|
|
|
|
70,808
|
|
Verbund AG
|
|
|
3,412
|
|
|
|
70,595
|
|
Osaka Gas Company Ltd.
|
|
|
16,000
|
|
|
|
70,537
|
|
Kansai Electric Power Company, Inc.
|
|
|
9,000
|
|
|
|
70,358
|
|
Kyushu Electric Power Company, Inc.
|
|
|
8,490
|
|
|
|
70,070
|
|
SP AusNet
|
|
|
64,535
|
|
|
|
69,954
|
|
Enel Green Power SpA
|
|
|
41,174
|
|
|
|
69,633
|
|
United Utilities Group plc
|
|
|
6,020
|
|
|
|
69,534
|
|
Centrica plc
|
|
|
13,111
|
|
|
|
69,360
|
|
Chugoku Electric Power Company, Inc.
|
|
|
5,190
|
|
|
|
68,974
|
|
Electricite de France S.A.
|
|
|
3,281
|
|
|
|
68,749
|
|
National Grid plc
|
|
|
6,234
|
|
|
|
68,685
|
|
RWE AG
|
|
|
1,528
|
|
|
|
68,364
|
|
Veolia Environnement S.A.
|
|
|
6,282
|
|
|
|
67,781
|
|
Suez Environnement Co.
|
|
|
5,974
|
|
|
|
67,705
|
|
APA Group
|
|
|
13,675
|
|
|
|
67,237
|
|
Severn Trent plc
|
|
|
2,473
|
|
|
|
66,990
|
|
Tokyo Electric Power Company, Inc.*
|
|
|
40,780
|
|
|
|
66,895
|
|
Hokkaido Electric Power Company, Inc.
|
|
|
8,100
|
|
|
|
65,813
|
|
AGL Energy Ltd.
|
|
|
4,204
|
|
|
|
65,281
|
|
GDF Suez
|
|
|
2,737
|
|
|
|
61,201
|
|
Shikoku Electric Power Company, Inc.
|
|
|
5,300
|
|
|
|
59,840
|
|
Total Utilities
|
|
|
|
|
|
|
3,135,552
|
|
ENERGY - 3.8%
|
|
|
|
|
|
|
|
|
Neste Oil Oyj
|
|
|
6,358
|
|
|
|
83,340
|
|
Petrofac Ltd.
|
|
|
2,942
|
|
|
|
75,704
|
|
Fugro N.V.
|
|
|
1,093
|
|
|
|
74,332
|
|
Cie Generale de Geophysique - Veritas*
|
|
|
2,353
|
|
|
|
74,084
|
|
Idemitsu Kosan Company Ltd.
|
|
|
900
|
|
|
|
73,818
|
|
Galp Energia SGPS S.A. — Class B
|
|
|
4,524
|
|
|
|
73,371
|
|
WorleyParsons Ltd.
|
|
|
2,500
|
|
|
|
73,362
|
|
Caltex Australia Ltd.
|
|
|
4,259
|
|
|
|
73,027
|
|
Lundin Petroleum AB*
|
|
|
2,986
|
|
|
|
72,785
|
|
JX Holdings, Inc.
|
|
|
13,290
|
|
|
|
72,726
|
|
OMV AG
|
|
|
2,069
|
|
|
|
72,415
|
|
AMEC plc
|
|
|
3,912
|
|
|
|
72,310
|
|
Repsol S.A.
|
|
|
3,726
|
|
|
|
72,255
|
|
Aker Solutions ASA
|
|
|
3,814
|
|
|
|
72,234
|
|
Japan Petroleum Exploration Co.
|
|
|
1,800
|
|
|
|
72,203
|
|
Inpex Corp.
|
|
|
12
|
|
|
|
71,588
|
|
Technip S.A.
|
|
|
635
|
|
|
|
70,595
|
|
TonenGeneral Sekiyu K.K.
|
|
|
8,000
|
|
|
|
69,409
|
|
Saipem SpA
|
|
|
1,440
|
|
|
|
69,155
|
|
SBM Offshore N.V.*
|
|
|
4,852
|
|
|
|
69,150
|
|
Statoil ASA
|
|
|
2,673
|
|
|
|
69,008
|
|
Tullow Oil plc
|
|
|
3,119
|
|
|
|
68,931
|
|
Total S.A.
|
|
|
1,379
|
|
|
|
68,405
|
|
Subsea 7 S.A.
|
|
|
2,955
|
|
|
|
68,190
|
|
BP plc
|
|
|
9,668
|
|
|
|
68,118
|
|
Eni SpA
|
|
|
3,097
|
|
|
|
67,739
|
|
Showa Shell Sekiyu K.K.
|
|
|
12,690
|
|
|
|
67,329
|
|
Tenaris S.A.
|
|
|
3,289
|
|
|
|
67,120
|
|
Santos Ltd.
|
|
|
5,681
|
|
|
|
66,943
|
|
BG Group plc
|
|
|
3,317
|
|
|
|
66,934
|
|
Origin Energy Ltd.
|
|
|
5,537
|
|
|
|
65,016
|
|
Woodside Petroleum Ltd.
|
|
|
1,890
|
|
|
|
64,970
|
|
Seadrill Ltd.
|
|
|
1,658
|
|
|
|
64,742
|
|
Cosmo Oil Company Ltd.
|
|
|
35,000
|
|
|
|
64,591
|
|
Transocean Ltd.
|
|
|
1,393
|
|
|
|
62,139
|
|
Whitehaven Coal Ltd.
|
|
|
19,495
|
|
|
|
58,037
|
|
Royal Dutch Shell plc — Class A
|
|
|
1,106
|
|
|
|
38,244
|
|
Royal Dutch Shell plc — Class B
|
|
|
791
|
|
|
|
28,067
|
|
Total Energy
|
|
|
|
|
|
|
2,582,386
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 71
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
MSCI EAFE EQUAL WEIGHT FUND
|
|
|
Shares
|
|
|
Value
|
|
TELECOMMUNICATION SERVICES - 3.3%
|
|
|
|
|
|
|
|
|
Telenet Group Holding N.V.
|
|
|
1,745
|
|
|
$
|
78,152
|
|
TDC A/S
|
|
|
10,228
|
|
|
|
74,506
|
|
Telenor ASA
|
|
|
3,777
|
|
|
|
73,643
|
|
Iliad S.A.
|
|
|
449
|
|
|
|
73,107
|
|
BT Group plc
|
|
|
19,567
|
|
|
|
72,872
|
|
Millicom International Cellular S.A.
|
|
|
785
|
|
|
|
72,846
|
|
PCCW Ltd.
|
|
|
177,790
|
|
|
|
72,682
|
|
Elisa Oyj
|
|
|
3,213
|
|
|
|
72,630
|
|
StarHub Ltd.
|
|
|
23,960
|
|
|
|
72,628
|
|
Tele2 AB — Class B
|
|
|
3,974
|
|
|
|
72,122
|
|
Inmarsat plc
|
|
|
7,542
|
|
|
|
71,773
|
|
Nippon Telegraph & Telephone Corp.
|
|
|
1,500
|
|
|
|
71,511
|
|
Telstra Corporation Ltd.
|
|
|
17,421
|
|
|
|
70,837
|
|
Telefonica S.A.
|
|
|
5,302
|
|
|
|
70,691
|
|
Bezeq The Israeli Telecommunication
|
|
|
|
|
|
|
|
|
Corporation Ltd.
|
|
|
60,710
|
|
|
|
70,505
|
|
TeliaSonera AB
|
|
|
9,745
|
|
|
|
70,149
|
|
Portugal Telecom SGPS S.A.
|
|
|
14,163
|
|
|
|
70,019
|
|
Belgacom S.A.
|
|
|
2,291
|
|
|
|
69,924
|
|
Deutsche Telekom AG
|
|
|
5,681
|
|
|
|
69,904
|
|
KDDI Corp.
|
|
|
900
|
|
|
|
69,896
|
|
Softbank Corp.
|
|
|
1,700
|
|
|
|
68,845
|
|
Telecom Corporation of New Zealand Ltd.
|
|
|
34,638
|
|
|
|
68,326
|
|
Vivendi S.A.
|
|
|
3,491
|
|
|
|
68,079
|
|
Singapore Telecommunications Ltd.
|
|
|
25,970
|
|
|
|
67,717
|
|
Mobistar S.A.
|
|
|
2,123
|
|
|
|
66,979
|
|
Swisscom AG
|
|
|
166
|
|
|
|
66,724
|
|
Vodafone Group plc
|
|
|
23,216
|
|
|
|
65,868
|
|
NTT DOCOMO, Inc.
|
|
|
39
|
|
|
|
63,276
|
|
Telekom Austria AG
|
|
|
8,899
|
|
|
|
62,899
|
|
Koninklijke KPN N.V.
|
|
|
7,894
|
|
|
|
60,320
|
|
France Telecom S.A.
|
|
|
4,784
|
|
|
|
57,717
|
|
Telecom Italia SpA
|
|
|
47,739
|
|
|
|
47,853
|
|
Telecom Italia SpA - Savings Shares
|
|
|
30,631
|
|
|
|
26,826
|
|
HKT Trust / HKT Ltd.
|
|
|
403
|
|
|
|
342
|
|
Total Telecommunication Services
|
|
|
|
|
|
|
2,232,168
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $69,621,638)
|
|
|
|
|
|
|
63,503,387
|
|
PREFERRED STOCKS
†
- 0.4%
|
|
|
|
|
|
|
|
|
Porsche Automobil Holding SE
|
|
|
1,283
|
|
|
|
76,743
|
|
ProSiebenSat.1 Media AG
|
|
|
2,975
|
|
|
|
74,953
|
|
Volkswagen AG
|
|
|
316
|
|
|
|
57,645
|
|
Henkel AG & Company KGaA
|
|
|
556
|
|
|
|
44,221
|
|
Bayerische Motoren Werke AG
|
|
|
127
|
|
|
|
6,519
|
|
RWE AG
|
|
|
122
|
|
|
|
4,863
|
|
Total Preferred Stocks
|
|
|
|
|
|
|
|
|
(Cost $245,361)
|
|
|
|
|
|
|
264,944
|
|
RIGHTS
†
- 0.0%
|
|
|
|
|
|
|
|
|
Cie Generale de Geophysique - Veritas
|
|
|
|
|
|
|
|
|
Expires 10/12/12*
|
|
|
2,353
|
|
|
|
3,798
|
|
Total Rights
|
|
|
|
|
|
|
|
|
(Cost $2,952)
|
|
|
|
|
|
|
3,798
|
|
EXCHANGE TRADED FUNDS
†
- 5.9%
|
|
|
|
|
|
|
|
|
Vanguard MSCI EAFE ETF
|
|
|
101,101
|
|
|
|
3,323,191
|
|
iShares MSCI Japan Index Fund
|
|
|
56,758
|
|
|
|
519,903
|
|
iShares MSCI Singapore Index Fund
|
|
|
5,140
|
|
|
|
68,927
|
|
iShares MSCI Hong Kong Index Fund
|
|
|
3,661
|
|
|
|
66,630
|
|
Total Exchange Traded Funds
|
|
|
|
|
|
|
|
|
(Cost $3,961,539)
|
|
|
|
|
|
|
3,978,651
|
|
SHORT TERM INVESTMENTS
††
- 1.6%
|
|
|
|
|
|
|
|
|
State Street General Account U.S.
|
|
|
|
|
|
|
|
|
Government Fund
|
|
|
1,082,702
|
|
|
|
1,082,702
|
|
Total Short Term Investments
|
|
|
|
|
|
|
|
|
(Cost $1,082,702)
|
|
|
|
|
|
|
1,082,702
|
|
Total Investments - 101.6%
|
|
|
|
|
|
|
|
|
(Cost $74,914,192)
|
|
|
|
|
|
$
|
68,833,482
|
|
Other Assets & Liabilities, net - (1.6)%
|
|
|
|
|
|
|
(1,070,584
|
)
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
67,762,898
|
|
INVESTMENT CONCENTRATION
At September 30, 2012, the investment diversification of the
Fund by country was as follows:
Country
|
|
% of Net Assets
|
|
|
Value
|
|
Japan
|
|
|
32.3
|
%
|
|
$
|
21,866,088
|
|
Britain
|
|
|
10.0
|
%
|
|
|
6,800,000
|
|
United States
|
|
|
7.9
|
%
|
|
|
5,362,359
|
|
France
|
|
|
7.0
|
%
|
|
|
4,764,302
|
|
Australia
|
|
|
6.7
|
%
|
|
|
4,552,338
|
|
Germany
|
|
|
4.9
|
%
|
|
|
3,324,703
|
|
Hong Kong
|
|
|
4.3
|
%
|
|
|
2,922,472
|
|
Switzerland
|
|
|
4.3
|
%
|
|
|
2,885,260
|
|
Sweden
|
|
|
3.4
|
%
|
|
|
2,331,468
|
|
Singapore
|
|
|
3.2
|
%
|
|
|
2,183,400
|
|
Netherlands
|
|
|
2.7
|
%
|
|
|
1,816,764
|
|
Spain
|
|
|
2.5
|
%
|
|
|
1,694,904
|
|
Italy
|
|
|
2.5
|
%
|
|
|
1,691,677
|
|
Finland
|
|
|
1.5
|
%
|
|
|
1,004,295
|
|
Belgium
|
|
|
1.3
|
%
|
|
|
853,641
|
|
Israel
|
|
|
1.1
|
%
|
|
|
747,186
|
|
Other
|
|
|
6.0
|
%
|
|
|
4,032,626
|
|
Total Investments
|
|
|
101.6
|
%
|
|
$
|
68,833,482
|
|
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs, unless otherwise
noted. — See Note 4.
|
|
††
|
Value determined based on Level 2 inputs —
See Note 4.
|
|
†††
|
Value determined based on Level
3 inputs — See Note 4.
|
|
|
ADR — American Depositary Receipt
|
|
|
plc — Public Limited Company
|
|
|
REIT — Real Estate Investment Trust
|
72 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MSCI EAFE EQUAL WEIGHT FUND
|
STATEMENT OF ASSETS
AND LIABILITIES
September 30, 2012
Assets
:
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $74,914,192)
|
|
$
|
68,833,482
|
|
Foreign currency, at value
|
|
|
|
|
(cost $52,006)
|
|
|
51,889
|
|
Cash
|
|
|
36,264
|
|
Prepaid expenses
|
|
|
27,183
|
|
Receivables:
|
|
|
|
|
Dividends
|
|
|
276,927
|
|
Foreign taxes reclaim
|
|
|
50,999
|
|
Investment advisor
|
|
|
15,991
|
|
Fund shares sold
|
|
|
5,521
|
|
Total assets
|
|
|
69,298,256
|
|
Liabilities
:
|
|
|
|
|
Payable for:
|
|
|
|
|
Securities purchased
|
|
|
1,196,593
|
|
Fund shares redeemed
|
|
|
103,547
|
|
Management fees
|
|
|
38,701
|
|
Transfer agent/maintenance fees
|
|
|
20,633
|
|
Distribution and service fees
|
|
|
15,110
|
|
Fund accounting/administration fees
|
|
|
8,293
|
|
Directors’ fees*
|
|
|
5,483
|
|
Miscellaneous
|
|
|
146,998
|
|
Total liabilities
|
|
|
1,535,358
|
|
Net assets
|
|
$
|
67,762,898
|
|
Net assets consist of
:
|
|
|
|
|
Paid in capital
|
|
$
|
102,684,130
|
|
Undistributed net investment income
|
|
|
749,719
|
|
Accumulated net realized loss on investments
|
|
|
(29,586,687
|
)
|
Net unrealized depreciation on investments and
|
|
|
|
|
foreign currency
|
|
|
(6,084,264
|
)
|
Net assets
|
|
$
|
67,762,898
|
|
A-Class
:
|
|
|
|
|
Net assets
|
|
$
|
61,837,614
|
|
Capital shares outstanding
|
|
|
5,860,557
|
|
Net asset value per share
|
|
$
|
10.55
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
11.08
|
|
B-Class
:
|
|
|
|
|
Net assets
|
|
$
|
2,819,543
|
|
Capital shares outstanding
|
|
|
305,681
|
|
Net asset value per share
|
|
$
|
9.22
|
|
C-Class
:
|
|
|
|
|
Net assets
|
|
$
|
3,015,467
|
|
Capital shares outstanding
|
|
|
334,838
|
|
Net asset value per share
|
|
$
|
9.01
|
|
Institutional Class
:
|
|
|
|
|
Net assets
|
|
$
|
90,274
|
|
Capital shares outstanding
|
|
|
8,597
|
|
Net asset value per share
|
|
$
|
10.50
|
|
STATEMENT OF
OPERATIONS
Year Ended September 30, 2012
Investment Income
:
|
|
|
|
|
Dividends (net of foreign withholding tax of $291,494)
|
|
$
|
2,139,513
|
|
Interest
|
|
|
82
|
|
Total investment income
|
|
|
2,139,595
|
|
|
|
|
|
|
Expenses
:
|
|
|
|
|
Management fees
|
|
|
487,029
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
152,319
|
|
B-Class
|
|
|
25,675
|
|
C-Class
|
|
|
10,518
|
|
Institutional Class
|
|
|
390
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
156,920
|
|
C-Class
|
|
|
33,448
|
|
Fund accounting/administration fees
|
|
|
104,364
|
|
Custodian fees
|
|
|
191,097
|
|
Pricing service expense
|
|
|
87,046
|
|
Directors’ fees*
|
|
|
10,895
|
|
Miscellaneous
|
|
|
205,028
|
|
Total expenses
|
|
|
1,464,729
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(314,425
|
)
|
Net expenses
|
|
|
1,150,304
|
|
Net investment income
|
|
|
989,291
|
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss)
:
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
(5,887,020
|
)
|
Foreign currency
|
|
|
(31,338
|
)
|
Net realized loss
|
|
|
(5,918,358
|
)
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
10,873,328
|
|
Foreign currency
|
|
|
3,238
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
10,876,566
|
|
Net realized and unrealized gain
|
|
|
4,958,208
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
5,947,499
|
|
* Relates to Directors 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 | 73
|
MSCI EAFE EQUAL WEIGHT FUND
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase (Decrease)
In Net Assets From Operations
:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
989,291
|
|
|
$
|
337,328
|
|
Net realized gain (loss) on investments and foreign currency
|
|
|
(5,918,358
|
)
|
|
|
19,565,682
|
|
Net change in unrealized appreciation (depreciation) on investments and foreign currency
|
|
|
10,876,566
|
|
|
|
(24,794,408
|
)
|
Net increase (decrease) in net assets resulting from operations
|
|
|
5,947,499
|
|
|
|
(4,891,398
|
)
|
|
|
|
|
|
|
|
|
|
Distributions to
shareholders from
:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(30,502
|
)
|
|
|
(428,482
|
)
|
B-Class
|
|
|
(2,983
|
)
|
|
|
(59,809
|
)
|
Institutional Class
|
|
|
(73
|
)
|
|
|
—
|
|
Total distributions to shareholders
|
|
|
(33,558
|
)
|
|
|
(488,291
|
)
|
|
|
|
|
|
|
|
|
|
Capital share transactions
:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
11,310,005
|
|
|
|
11,944,041
|
|
B-Class
|
|
|
64,990
|
|
|
|
358,374
|
|
C-Class
|
|
|
309,208
|
|
|
|
541,059
|
|
Institutional Class
|
|
|
4,955,291
|
|
|
|
1,599,376
|
1
|
Distributions reinvested
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
30,250
|
|
|
|
424,001
|
|
B-Class
|
|
|
2,968
|
|
|
|
59,500
|
|
Institutional Class
|
|
|
73
|
|
|
|
—
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(20,478,100
|
)
|
|
|
(20,083,005
|
)
|
B-Class
|
|
|
(1,700,356
|
)
|
|
|
(2,876,923
|
)
|
C-Class
|
|
|
(970,947
|
)
|
|
|
(1,159,828
|
)
|
Institutional Class
|
|
|
(5,107,255
|
)
|
|
|
(1,258,878
|
)
1
|
Net decrease from capital share transactions
|
|
|
(11,583,873
|
)
|
|
|
(10,452,283
|
)
|
Net decrease in net assets
|
|
|
(5,669,932
|
)
|
|
|
(15,831,972
|
)
|
|
|
|
|
|
|
|
|
|
Net assets
:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
73,432,830
|
|
|
|
89,264,802
|
|
End of year
|
|
$
|
67,762,898
|
|
|
$
|
73,432,830
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
749,719
|
|
|
$
|
(281,821
|
)
|
|
|
|
|
|
|
|
|
|
Capital share activity
:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
1,101,870
|
|
|
|
1,048,009
|
|
B-Class
|
|
|
7,266
|
|
|
|
35,602
|
|
C-Class
|
|
|
35,518
|
|
|
|
53,801
|
|
Institutional Class
|
|
|
484,691
|
|
|
|
150,654
|
1
|
Shares issued from reinvestment of distributions
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
3,109
|
|
|
|
36,520
|
|
B-Class
|
|
|
350
|
|
|
|
5,885
|
|
Institutional Class
|
|
|
8
|
|
|
|
—
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(2,007,132
|
)
|
|
|
(1,754,360
|
)
|
B-Class
|
|
|
(192,408
|
)
|
|
|
(287,631
|
)
|
C-Class
|
|
|
(111,863
|
)
|
|
|
(116,514
|
)
|
Institutional Class
|
|
|
(505,528
|
)
|
|
|
(121,228
|
)
1
|
Net decrease in shares
|
|
|
(1,184,119
|
)
|
|
|
(949,262
|
)
|
1
Since commencement of operations: May 2,
2011.
74 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MSCI EAFE EQUAL WEIGHT 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.70
|
|
|
$
|
10.52
|
|
|
$
|
9.97
|
|
|
$
|
10.35
|
|
|
$
|
20.69
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
a
|
|
|
.15
|
|
|
|
.05
|
|
|
|
.02
|
|
|
|
.05
|
|
|
|
.05
|
|
Net gain (loss) on investments(realized and unrealized)
|
|
|
.70
|
|
|
|
(.81
|
)
|
|
|
.53
|
|
|
|
(.35
|
)
|
|
|
(3.63
|
)
|
Total from investment operations
|
|
|
.85
|
|
|
|
(.76
|
)
|
|
|
.55
|
|
|
|
(.30
|
)
|
|
|
(3.58
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(—
|
)
b
|
|
|
(.06
|
)
|
|
|
—
|
|
|
|
(.02
|
)
|
|
|
(.04
|
)
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(6.72
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(—
|
)
b
|
|
|
(.06
|
)
|
|
|
—
|
|
|
|
(.08
|
)
|
|
|
(6.76
|
)
|
Net asset value, end of period
|
|
$
|
10.55
|
|
|
$
|
9.70
|
|
|
$
|
10.52
|
|
|
$
|
9.97
|
|
|
$
|
10.35
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
8.82
|
%
|
|
|
(7.32
|
%)
|
|
|
5.52
|
%
|
|
|
(2.71
|
%)
|
|
|
(25.16
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
61,838
|
|
|
$
|
65,573
|
|
|
$
|
78,201
|
|
|
$
|
97,205
|
|
|
$
|
88,782
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
1.45
|
%
|
|
|
0.40
|
%
|
|
|
0.24
|
%
|
|
|
0.63
|
%
|
|
|
0.33
|
%
|
Total expenses
d
|
|
|
2.05
|
%
|
|
|
1.85
|
%
|
|
|
1.86
|
%
|
|
|
1.89
|
%
|
|
|
1.73
|
%
|
Net expenses
e
|
|
|
1.63
|
%
|
|
|
1.82
|
%
|
|
|
1.86
|
%
|
|
|
1.89
|
%
|
|
|
1.73
|
%
|
Portfolio turnover rate
|
|
|
41
|
%
|
|
|
206
|
%
|
|
|
288
|
%
|
|
|
368
|
%
|
|
|
280
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
B-Class
|
|
2012
g
|
|
|
2011
g
|
|
|
2010
g
|
|
|
2009
g
|
|
|
2008
g
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
8.46
|
|
|
$
|
9.19
|
|
|
$
|
8.69
|
|
|
$
|
9.05
|
|
|
$
|
18.96
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
a
|
|
|
.14
|
|
|
|
.05
|
|
|
|
.04
|
|
|
|
.07
|
|
|
|
.07
|
|
Net gain (loss) on investments(realized and unrealized)
|
|
|
.63
|
|
|
|
(.69
|
)
|
|
|
.46
|
|
|
|
(.32
|
)
|
|
|
(3.17
|
)
|
Total from investment operations
|
|
|
.77
|
|
|
|
(.64
|
)
|
|
|
.50
|
|
|
|
(.25
|
)
|
|
|
(3.10
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(.01
|
)
|
|
|
(.09
|
)
|
|
|
—
|
|
|
|
(.04
|
)
|
|
|
(.09
|
)
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(6.72
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.07
|
)
|
|
|
—
|
|
Total distributions
|
|
|
(.01
|
)
|
|
|
(.09
|
)
|
|
|
—
|
|
|
|
(.11
|
)
|
|
|
(6.81
|
)
|
Net asset value, end of period
|
|
$
|
9.22
|
|
|
$
|
8.46
|
|
|
$
|
9.19
|
|
|
$
|
8.69
|
|
|
$
|
9.05
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
9.07
|
%
|
|
|
(7.13
|
%)
|
|
|
5.75
|
%
|
|
|
(2.45
|
%)
|
|
|
(24.91
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
2,820
|
|
|
$
|
4,148
|
|
|
$
|
6,769
|
|
|
$
|
11,155
|
|
|
$
|
15,303
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
1.60
|
%
|
|
|
0.53
|
%
|
|
|
0.45
|
%
|
|
|
0.90
|
%
|
|
|
0.55
|
%
|
Total expenses
d
|
|
|
2.34
|
%
|
|
|
1.61
|
%
|
|
|
1.61
|
%
|
|
|
1.65
|
%
|
|
|
1.48
|
%
|
Net expenses
e
|
|
|
1.38
|
%
|
|
|
1.59
|
%
|
|
|
1.61
|
%
|
|
|
1.65
|
%
|
|
|
1.48
|
%
|
Portfolio turnover rate
|
|
|
41
|
%
|
|
|
206
|
%
|
|
|
288
|
%
|
|
|
368
|
%
|
|
|
280
|
%
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 75
|
MSCI EAFE EQUAL WEIGHT 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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
8.33
|
|
|
$
|
9.06
|
|
|
$
|
8.66
|
|
|
$
|
9.04
|
|
|
$
|
19.00
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
a
|
|
|
.06
|
|
|
|
(.04
|
)
|
|
|
(.04
|
)
|
|
|
(.01
|
)
|
|
|
(.05
|
)
|
Net gain (loss) on investments (realized and unrealized)
|
|
|
.62
|
|
|
|
(.69
|
)
|
|
|
.44
|
|
|
|
(.31
|
)
|
|
|
(3.18
|
)
|
Total from investment operations
|
|
|
.68
|
|
|
|
(.73
|
)
|
|
|
.40
|
|
|
|
(.32
|
)
|
|
|
(3.23
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(6.73
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
—
|
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.06
|
)
|
|
|
(6.73
|
)
|
Net asset value, end of period
|
|
$
|
9.01
|
|
|
$
|
8.33
|
|
|
$
|
9.06
|
|
|
$
|
8.66
|
|
|
$
|
9.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
8.16
|
%
|
|
|
(8.06
|
%)
|
|
|
4.62
|
%
|
|
|
(3.39
|
%)
|
|
|
(25.69
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
3,015
|
|
|
$
|
3,426
|
|
|
$
|
4,295
|
|
|
$
|
4,838
|
|
|
$
|
7,866
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.68
|
%
|
|
|
(0.37
|
%)
|
|
|
(0.50
|
%)
|
|
|
(0.11
|
%)
|
|
|
(0.44
|
%)
|
Total expenses
d
|
|
|
2.88
|
%
|
|
|
2.60
|
%
|
|
|
2.62
|
%
|
|
|
2.65
|
%
|
|
|
2.49
|
%
|
Net expenses
e
|
|
|
2.38
|
%
|
|
|
2.58
|
%
|
|
|
2.62
|
%
|
|
|
2.65
|
%
|
|
|
2.49
|
%
|
Portfolio turnover rate
|
|
|
41
|
%
|
|
|
206
|
%
|
|
|
288
|
%
|
|
|
368
|
%
|
|
|
280
|
%
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
|
|
|
|
|
|
|
Institutional Class
|
|
2012
|
|
|
2011
f
|
|
|
|
|
|
|
|
|
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.70
|
|
|
$
|
12.37
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
a
|
|
|
.28
|
|
|
|
.13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gain on investments (realized and unrealized)
|
|
|
.52
|
|
|
|
(2.80
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations
|
|
|
.80
|
|
|
|
(2.67
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(—
|
)
b
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
10.50
|
|
|
$
|
9.70
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
8.17
|
%
|
|
|
(21.58
|
%)
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
90
|
|
|
$
|
285
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
2.70
|
%
|
|
|
2.99
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
d
|
|
|
1.90
|
%
|
|
|
2.27
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses
e
|
|
|
1.32
|
%
|
|
|
1.36
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
41
|
%
|
|
|
206
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
a
|
Net investment income (loss) per share was computed using average shares outstanding throughout
the period.
|
|
b
|
Distributions from net investment income are less than $0.01 per share.
|
|
c
|
Total return does not reflect the impact of any applicable sales charges and has not been annualized.
|
|
d
|
Does not include expenses of the underlying funds in which the Fund invests.
|
|
e
|
Net expense information reflects the expense ratios after expense waivers and reimbursments, as
applicable.
|
|
f
|
Since commencement of operations: May 2, 2011. Percentage amounts for the period, except total
return and portfolio turnover rate, have been annualized. The portfolio turn-over rate stated is for the entire fiscal year of
the Fund, not since commencement of operations of the Class.
|
|
g
|
Effective August 25, 2005, B-Class shares ceased charging 12b-1 fees in accordance with FINRA sales
cap regulations. Per share informations reflects this change. This fee will be reinstated when sales exceed the sales cap limit.
|
76 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
MANAGER’S COMMENTARY
(Unaudited)
|
September 30, 2012
|
To Our Shareholders:
For the 12-month period ended September 30, 2012, the Alpha
Opportunity Fund gained 35.74%
1
, compared with its benchmark, the S&P 500
®
Index, which gained 30.20%.
Long U.S. Strategy Performance
As of September 30, 2012, approximately 62% of the Fund’s
assets, consisting of long positions in U.S companies, are held as short sale collateral in a special custody account and are deemed
illiquid due to the Fund’s exposure to Lehman Brothers International Europe (LBIE). These securities contributed positive
performance to the Fund over the past year.
Domestic Long/Short Strategy Performance
As of September 30, 2012, approximately 32% of the Fund’s
assets were invested according to the Fund’s domestic long/short strategy which seeks to use fundamental and technical methods
of analysis to identify quality securities trading at attractive valuations. This strategy uses a top-down perspective to formulate
long-term themes and a bottom-up approach to identify individual securities. In the domestic long/short strategy, favorable stock
selection in the Consumer Discretionary sector was offset by the cash allocation which averaged 12–13% during a period of
strong equity market performance, and stock selection in the Technology sector.
Leaders in the Consumer Discretionary sector included homebuilder
D.R. Horton and Amazon. The strategy also benefited by owning additional stocks within the homebuilding group, such as MDC Holdings
and Toll Brothers.
In the Technology sector, Skyworks Solutions and Mitek Solutions
detracted from results.
The strategy retains a U.S.-centric tilt, with a focus on housing,
trucking, airlines, retail, regional banks and energy.
Broad Market Tracking
The investment manager for this portion of the portfolio, which
represents approximately 5% of the Fund’s assets as of September 30, 2012, seeks investment returns that are similar to those
of the S&P 500 Index by primarily investing in equity derivatives, such as futures contracts, options on futures contracts,
and equity options. The results of derivatives use during the period were within our expectations and contributed to the Fund’s
performance.
The Fund primarily used S&P 500 e-mini
futures for the portion of Fund assets that is intended to track the S&P 500 Index. Equity markets rallied strongly throughout
the past year and the S&P 500 Index reached all-time highs during the past year, finally overcoming the negative performance
from the 2008/2009 financial crisis.
As referenced in Note 11 of the Notes to Financials in this
shareholder report, Guggenheim Investments is seeking to resolve certain outstanding short-sale transactions with Lehman Brothers
International Europe (LBIE) and its administrator. The Fund’s exposure to LBIE due to these transactions consists of short
sale proceeds held by LBIE and long positions held as collateral at the Fund’s custodian. Release of the collateral requires
the consent of LBIE and Lehman Brothers, Inc., an entity that is subject to a liquidation proceeding. Due to the valuations assigned
to the short positions, which are based on certain assumptions, resolution of these matters could ultimately result in the Fund’s
realizing values that are materially different from those indicated in this report, which would materially affect the Fund’s
net asset value. Guggenheim Investments is uncertain when it will resume its full investment program.
We appreciate your business and the trust you place in us.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 77
MANAGER’S COMMENTARY
(Unaudited) (concluded)
Sincerely,
Bill Jenkins, CFA, Portfolio Manager
Mainstream Investment Advisers
Charles Craig, CFA, Portfolio Manager
Mainstream Investment Advisers
Michael Byrum, CFA, Portfolio Manager
Guggenheim Investments
Michael Dellapa, CFA, CAIA, Portfolio Manager
Guggenheim Investments
Ryan Harder, CFA, Portfolio Manager
Guggenheim Investments
Performance displayed represents
past performance which is no guarantee of future results.
1
Performance figures
are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions
or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and in the absence of such waivers, the performance
quoted would be reduced.
This fund
may not be suitable for all investors.
• Value stocks are subject to the risk that the intrinsic value of the stock may
never be realized by the market or that the stocks price
will decline in value. • Growth stocks may be more volatile
than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company.
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.
Mainstream Investment Advisors,
LLC is not affiliated with Security Investors, LLC or Guggenheim Investments.
78 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE
(Unaudited)
|
September 30, 2012
|
OBJECTIVE:
Seeks long-term growth of capital.
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 09/30/12
|
|
|
|
|
|
|
|
Since Inception
|
|
|
|
1 Year
|
|
|
5 Year
|
|
|
(07/07/03)
|
|
A-Class Shares
|
|
|
35.74
|
%
|
|
|
3.65
|
%
|
|
|
9.23
|
%
|
A-Class Shares with sales charge
†
|
|
|
29.29
|
%
|
|
|
2.43
|
%
|
|
|
8.53
|
%
|
B-Class Shares
|
|
|
34.62
|
%
|
|
|
2.83
|
%
|
|
|
8.49
|
%
|
B-Class Shares with CDSC
‡
|
|
|
29.62
|
%
|
|
|
2.50
|
%
|
|
|
8.49
|
%
|
C-Class Shares
|
|
|
34.62
|
%
|
|
|
2.82
|
%
|
|
|
8.38
|
%
|
C-Class Shares with CDSC
§
|
|
|
33.62
|
%
|
|
|
2.82
|
%
|
|
|
8.38
|
%
|
S&P 500 Index
|
|
|
30.20
|
%
|
|
|
1.05
|
%
|
|
|
6.12
|
%
|
|
|
|
|
|
Since Inception
|
|
|
|
1 Year
|
|
|
(11/07/08)
|
|
Institutional Class Shares
|
|
|
36.88
|
%
|
|
|
17.14
|
%
|
S&P 500 Index
|
|
|
30.20
|
%
|
|
|
14.36
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Holdings Diversification (Market Exposure
as % of Net Assets)
** Substantially all of the short holdings
were fair valued by the Valuation Committee at September 30, 2012 due to exposure to LBIE — See Note 11. The total market
value of fair valued securities amounts to (67%) of total net assets.
“Holdings Diversification (Market Exposure as % of Net
Assets)” excludes any temporary cash investments.
Inception Dates:
|
A-Class
|
July 7, 2003
|
B-Class
|
July 7, 2003
|
C-Class
|
July 7, 2003
|
Institutional Class
|
November 7, 2008
|
Ten Largest Long Holdings (%
of Total Net Assets)
|
Philip Morris International, Inc.
|
8.0%
|
Altria Group, Inc.
|
5.1%
|
AT&T, Inc.
|
3.6%
|
CA, Inc.
|
3.3%
|
Lockheed Martin Corp.
|
3.2%
|
Johnson & Johnson
|
3.1%
|
TJX Companies, Inc.
|
2.9%
|
Trinity Industries, Inc.
|
2.8%
|
ViroPharma, Inc.
|
2.7%
|
Ross Stores, Inc.
|
2.5%
|
Top Ten Total
|
37.2%
|
“Ten Largest Long Holdings” exclude any temporary
cash or derivative investments.
|
*
|
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.
|
|
†
|
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 5 Year and since inception 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 up to 5% if redeemed within
5 years of purchase.
|
|
§
|
Fund returns include a CDSC of 1% if redeemed within 12
months of purchase.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 79
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
ALPHA OPPORTUNITY FUND
|
|
|
|
Shares
|
|
|
Value
|
|
COMMON STOCKS
†
- 102.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS - 20.1%
|
|
|
|
|
|
|
|
|
Lockheed Martin Corp.
1,2
|
|
|
3,753
|
|
|
$
|
350,454
|
|
Trinity Industries, Inc.
1,2
|
|
|
10,200
|
|
|
|
305,693
|
|
Joy Global, Inc.
1,2
|
|
|
4,500
|
|
|
|
252,270
|
|
AO Smith Corp.
1,2
|
|
|
4,200
|
|
|
|
241,668
|
|
Towers Watson & Co. — Class A
1,2
|
|
|
2,200
|
|
|
|
116,711
|
|
Watts Water Technologies, Inc. —
|
|
|
|
|
|
|
|
|
Class A
1,2
|
|
|
2,800
|
|
|
|
105,924
|
|
General Electric Co.
1,2
|
|
|
4,200
|
|
|
|
95,382
|
|
Valmont Industries, Inc.
|
|
|
676
|
|
|
|
88,894
|
|
Northrop Grumman Corp.
1,2
|
|
|
1,100
|
|
|
|
73,073
|
|
Southwest Airlines Co.
|
|
|
8,308
|
|
|
|
72,861
|
|
Ingersoll-Rand plc
|
|
|
1,352
|
|
|
|
60,597
|
|
US Airways Group, Inc.*
|
|
|
4,944
|
|
|
|
51,714
|
|
Con-way, Inc.
1,2
|
|
|
1,700
|
|
|
|
46,529
|
|
Manpower, Inc.
|
|
|
1,208
|
|
|
|
44,454
|
|
Nortek, Inc.*
|
|
|
761
|
|
|
|
41,650
|
|
Pentair Ltd.
|
|
|
902
|
|
|
|
40,148
|
|
United Rentals, Inc.*
|
|
|
1,079
|
|
|
|
35,294
|
|
Quanta Services, Inc.*
|
|
|
1,031
|
|
|
|
25,467
|
|
Thermon Group Holdings, Inc.*
|
|
|
837
|
|
|
|
20,917
|
|
Xylem, Inc.
|
|
|
805
|
|
|
|
20,246
|
|
Carlisle Companies, Inc.
|
|
|
366
|
|
|
|
19,003
|
|
Allegiant Travel Co. — Class A*
|
|
|
288
|
|
|
|
18,248
|
|
Rollins, Inc.
|
|
|
778
|
|
|
|
18,197
|
|
TrueBlue, Inc.*
|
|
|
996
|
|
|
|
15,657
|
|
Watsco, Inc.
|
|
|
145
|
|
|
|
10,990
|
|
Encore Wire Corp.
|
|
|
315
|
|
|
|
9,217
|
|
Swift Transportation Co. — Class A*
|
|
|
1,014
|
|
|
|
8,741
|
|
Huntington Ingalls Industries, Inc.*
,1,2
|
|
|
183
|
|
|
|
7,695
|
|
Celadon Group, Inc.
|
|
|
387
|
|
|
|
6,219
|
|
Republic Airways Holdings, Inc.*
|
|
|
81
|
|
|
|
375
|
|
Total Industrials
|
|
|
|
|
|
|
2,204,288
|
|
CONSUMER DISCRETIONARY - 19.8%
|
|
|
|
|
|
|
|
|
TJX Companies, Inc.
1,2
|
|
|
7,200
|
|
|
|
322,486
|
|
Ross Stores, Inc.
1,2
|
|
|
4,200
|
|
|
|
271,320
|
|
Limited Brands, Inc.
1,2
|
|
|
5,100
|
|
|
|
251,226
|
|
Family Dollar Stores, Inc.
1,2
|
|
|
3,700
|
|
|
|
245,310
|
|
The Gap, Inc.
1,2
|
|
|
6,000
|
|
|
|
214,680
|
|
Walt Disney Co.
1,2
|
|
|
4,024
|
|
|
|
210,375
|
|
Jack in the Box, Inc.*
,1,2
|
|
|
4,000
|
|
|
|
112,440
|
|
PVH Corp.
1,2
|
|
|
800
|
|
|
|
74,976
|
|
Mattel, Inc.
|
|
|
1,938
|
|
|
|
68,760
|
|
Target Corp.
|
|
|
1,063
|
|
|
|
67,469
|
|
M/I Homes, Inc.*
|
|
|
2,802
|
|
|
|
54,191
|
|
Choice Hotels International, Inc.
|
|
|
1,523
|
|
|
|
48,721
|
|
Pier 1 Imports, Inc.
|
|
|
1,761
|
|
|
|
33,001
|
|
NVR, Inc.*
|
|
|
32
|
|
|
|
27,024
|
|
Fuel Systems Solutions, Inc.*
|
|
|
1,540
|
|
|
|
26,473
|
|
Tenneco, Inc.*
|
|
|
805
|
|
|
|
22,540
|
|
Papa John’s International, Inc.*
|
|
|
402
|
|
|
|
21,471
|
|
Sally Beauty Holdings, Inc.*
|
|
|
805
|
|
|
|
20,197
|
|
Bed Bath & Beyond, Inc.*
|
|
|
216
|
|
|
|
13,608
|
|
Sears Holdings Corp.*
|
|
|
242
|
|
|
|
13,429
|
|
Meritage Homes Corp.*
|
|
|
338
|
|
|
|
12,854
|
|
Mattress Firm Holding Corp.*
|
|
|
442
|
|
|
|
12,442
|
|
RadioShack Corp.
1,2
|
|
|
5,100
|
|
|
|
12,138
|
|
Tilly’s, Inc. — Class A*
|
|
|
548
|
|
|
|
10,045
|
|
AutoNation, Inc.*
|
|
|
225
|
|
|
|
9,826
|
|
Perfumania Holdings, Inc.*
|
|
|
465
|
|
|
|
3,348
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
2,180,350
|
|
CONSUMER STAPLES - 19.2%
|
|
|
|
|
|
|
|
|
Philip Morris International, Inc.
1,2
|
|
|
9,800
|
|
|
|
881,412
|
|
Altria Group, Inc.
1,2
|
|
|
16,700
|
|
|
|
557,613
|
|
Herbalife Ltd.
1,2
|
|
|
5,000
|
|
|
|
237,000
|
|
Wal-Mart Stores, Inc.
1,2
|
|
|
2,200
|
|
|
|
162,360
|
|
Bunge Ltd.
|
|
|
1,314
|
|
|
|
88,104
|
|
Safeway, Inc.
1,2
|
|
|
3,900
|
|
|
|
62,751
|
|
Ingredion, Inc.
|
|
|
725
|
|
|
|
39,991
|
|
Brown-Forman Corp. — Class B
|
|
|
480
|
|
|
|
31,320
|
|
Fresh Market, Inc.*
|
|
|
403
|
|
|
|
24,172
|
|
HJ Heinz Co.
|
|
|
403
|
|
|
|
22,548
|
|
Cresud S.A. ADR
|
|
|
848
|
|
|
|
6,928
|
|
Total Consumer Staples
|
|
|
|
|
|
|
2,114,199
|
|
HEALTH CARE - 14.1%
|
|
|
|
|
|
|
|
|
Johnson & Johnson
1,2
|
|
|
5,000
|
|
|
|
344,550
|
|
ViroPharma, Inc.*
,1,2
|
|
|
9,900
|
|
|
|
299,178
|
|
Amgen, Inc.
1,2
|
|
|
1,800
|
|
|
|
151,776
|
|
Life Technologies Corp.*
,1,2
|
|
|
2,800
|
|
|
|
136,864
|
|
WellCare Health Plans, Inc.*
,1,2
|
|
|
2,300
|
|
|
|
130,065
|
|
Forest Laboratories, Inc.*
,1,2
|
|
|
3,400
|
|
|
|
121,074
|
|
Baxter International, Inc.
1,2
|
|
|
1,800
|
|
|
|
108,468
|
|
Owens & Minor, Inc.
1,2
|
|
|
2,700
|
|
|
|
80,676
|
|
Charles River Laboratories
|
|
|
|
|
|
|
|
|
International, Inc.*
,1,2
|
|
|
2,000
|
|
|
|
79,200
|
|
Kindred Healthcare, Inc.*
,1,2
|
|
|
3,900
|
|
|
|
44,382
|
|
Edwards Lifesciences Corp.*
|
|
|
242
|
|
|
|
25,984
|
|
Biogen Idec, Inc.*
|
|
|
145
|
|
|
|
21,638
|
|
TearLab Corp.*
|
|
|
1,359
|
|
|
|
5,232
|
|
Total Health Care
|
|
|
|
|
|
|
1,549,087
|
|
INFORMATION TECHNOLOGY - 8.0%
|
|
|
|
|
|
|
|
|
CA, Inc.
1,2
|
|
|
14,000
|
|
|
|
360,710
|
|
Skyworks Solutions, Inc.*
|
|
|
4,644
|
|
|
|
109,436
|
|
Symantec Corp.*
,1,2
|
|
|
5,900
|
|
|
|
106,200
|
|
Avnet, Inc.*
,1,2
|
|
|
3,100
|
|
|
|
90,179
|
|
Arrow Electronics, Inc.*
,1,2
|
|
|
2,600
|
|
|
|
87,646
|
|
Harmonic, Inc.*
,1,2
|
|
|
11,000
|
|
|
|
49,940
|
|
Amkor Technology, Inc.*
,1,2
|
|
|
9,200
|
|
|
|
40,480
|
|
NXP Semiconductor N.V.*
|
|
|
902
|
|
|
|
22,559
|
|
IAC/InterActiveCorp
|
|
|
226
|
|
|
|
11,766
|
|
Move, Inc.*
|
|
|
206
|
|
|
|
1,776
|
|
Total Information Technology
|
|
|
|
|
|
|
880,692
|
|
FINANCIALS - 7.3%
|
|
|
|
|
|
|
|
|
Amtrust Financial Services, Inc.
1,2
|
|
|
6,600
|
|
|
|
169,092
|
|
Wells Fargo & Co.
|
|
|
3,634
|
|
|
|
125,482
|
|
Endurance Specialty Holdings Ltd.
1,2
|
|
|
3,000
|
|
|
|
115,500
|
|
U.S. Bancorp
|
|
|
2,528
|
|
|
|
86,710
|
|
American International Group, Inc.*
|
|
|
2,141
|
|
|
|
70,203
|
|
Willis Group Holdings plc
|
|
|
1,047
|
|
|
|
38,655
|
|
80 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
ALPHA OPPORTUNITY FUND
|
|
|
Shares
|
|
|
Value
|
|
Capital One Financial Corp.
|
|
|
548
|
|
|
$
|
31,241
|
|
Brown & Brown, Inc.
|
|
|
902
|
|
|
|
23,515
|
|
Aon plc
|
|
|
435
|
|
|
|
22,746
|
|
Arthur J Gallagher & Co.
|
|
|
589
|
|
|
|
21,098
|
|
Genworth Financial, Inc. — Class A*
,1,2
|
|
|
4,000
|
|
|
|
20,920
|
|
Rayonier, Inc.
|
|
|
403
|
|
|
|
19,751
|
|
St. Joe Co.*
|
|
|
950
|
|
|
|
18,525
|
|
Marsh & McLennan Companies, Inc.
|
|
|
515
|
|
|
|
17,474
|
|
Fannie Mae*
|
|
|
40,210
|
|
|
|
11,178
|
|
Protective Life Corp.
|
|
|
403
|
|
|
|
10,563
|
|
Total Financials
|
|
|
|
|
|
|
802,653
|
|
ENERGY - 4.8%
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
1,2
|
|
|
2,755
|
|
|
|
192,629
|
|
ConocoPhillips
1,2
|
|
|
1,500
|
|
|
|
85,770
|
|
Transocean Ltd.
|
|
|
1,079
|
|
|
|
48,436
|
|
Phillips 66
|
|
|
750
|
|
|
|
34,778
|
|
Ensco plc — Class A
|
|
|
564
|
|
|
|
30,772
|
|
Kodiak Oil & Gas Corp.*
|
|
|
3,268
|
|
|
|
30,588
|
|
Noble Corp.
|
|
|
835
|
|
|
|
29,876
|
|
Rex Energy Corp.*
|
|
|
1,642
|
|
|
|
21,921
|
|
Halcon Resources Corp.*
|
|
|
2,338
|
|
|
|
17,138
|
|
Stone Energy Corp.*
|
|
|
467
|
|
|
|
11,731
|
|
Sanchez Energy Corp.*
|
|
|
563
|
|
|
|
11,502
|
|
Willbros Group, Inc.*
|
|
|
1,027
|
|
|
|
5,515
|
|
Magnum Hunter Resources Corp.*
|
|
|
1,143
|
|
|
|
5,075
|
|
Total Energy
|
|
|
|
|
|
|
525,731
|
|
MATERIALS - 4.1%
|
|
|
|
|
|
|
|
|
Texas Industries, Inc.
|
|
|
3,107
|
|
|
|
126,299
|
|
EI du Pont de Nemours & Co.
|
|
|
1,618
|
|
|
|
81,337
|
|
Monsanto Co.
|
|
|
877
|
|
|
|
79,824
|
|
Georgia Gulf Corp.
|
|
|
1,208
|
|
|
|
43,754
|
|
Louisiana-Pacific Corp.*
|
|
|
2,013
|
|
|
|
25,163
|
|
United States Steel Corp.
|
|
|
1,297
|
|
|
|
24,734
|
|
Stillwater Mining Co.*
|
|
|
1,761
|
|
|
|
20,762
|
|
Mosaic Co.
|
|
|
274
|
|
|
|
15,785
|
|
Graphic Packaging Holding Co.*
|
|
|
1,901
|
|
|
|
11,045
|
|
Harry Winston Diamond Corp.*
|
|
|
805
|
|
|
|
9,531
|
|
Potash Corporation of Saskatchewan, Inc.
|
|
|
171
|
|
|
|
7,425
|
|
Cemex SAB de CV ADR*
|
|
|
805
|
|
|
|
6,706
|
|
Total Materials
|
|
|
|
|
|
|
452,365
|
|
TELECOMMUNICATION SERVICES - 3.6%
|
|
|
|
|
|
|
|
|
AT&T, Inc.
1,2
|
|
|
10,600
|
|
|
|
399,620
|
|
UTILITIES - 1.5%
|
|
|
|
|
|
|
|
|
Exelon Corp.
1,2
|
|
|
4,743
|
|
|
|
168,756
|
|
Total Common Stocks
|
|
|
|
|
|
|
|
|
(Cost $9,844,765)
|
|
|
|
|
|
|
11,277,741
|
|
EXCHANGE TRADED FUNDS
†
- 1.2%
|
|
|
|
|
|
|
|
|
Teucrium Corn Fund*
|
|
|
1,238
|
|
|
|
59,944
|
|
PowerShares DB US Dollar Index
|
|
|
|
|
|
|
|
|
Bullish Fund*
|
|
|
1,577
|
|
|
|
34,568
|
|
Utilities Select Sector SPDR Fund
|
|
|
902
|
|
|
|
32,833
|
|
Total Exchange Traded Funds
|
|
|
|
|
|
|
|
|
(Cost $130,535)
|
|
|
|
|
|
|
127,345
|
|
SHORT TERM INVESTMENTS
††
- 0.2%
|
|
|
|
|
|
|
|
|
State Street General Account
|
|
|
|
|
|
|
|
|
U.S. Government Fund
|
|
|
25,783
|
|
|
|
25,783
|
|
Total Short Term Investments
|
|
|
|
|
|
|
|
|
(Cost $25,783)
|
|
|
|
|
|
|
25,783
|
|
|
|
Face
|
|
|
|
|
|
|
Amount
|
|
|
|
|
REPURCHASE AGREEMENT
††,8
- 8.0%
|
|
|
|
|
|
|
|
|
State Street
|
|
|
|
|
|
|
|
|
issued 09/28/12 at 0.01%
|
|
|
|
|
|
|
|
|
due 10/01/12
|
|
$
|
876,905
|
|
|
|
876,905
|
|
Total Repurchase Agreement
|
|
|
|
|
|
|
|
|
(Cost $876,905)
|
|
|
|
|
|
|
876,905
|
|
FEDERAL AGENCY DISCOUNT NOTES
††
- 4.5%
|
|
|
|
|
|
|
|
|
Fannie Mae
3
|
|
|
|
|
|
|
|
|
0.14% due 12/12/12
|
|
|
500,000
|
|
|
|
499,960
|
|
Total Federal Agency Discount Notes
|
|
|
|
|
|
|
|
|
(Cost $499,860)
|
|
|
|
|
|
|
499,960
|
|
Total Long Investments - 116.4%
|
|
|
|
|
|
|
|
|
(Cost $11,377,848)
|
|
|
|
|
|
$
|
12,807,734
|
|
|
|
Shares
|
|
|
|
|
COMMON STOCKS SOLD SHORT - (67.0)%
|
|
|
|
|
|
|
|
|
CONSUMER STAPLES - (1.0)%
|
|
|
|
|
|
|
|
|
Bridgford Foods Corp.*
,
†
|
|
|
169
|
|
|
|
(1,105
|
)
|
Archer-Daniels-Midland Co.
†
|
|
|
118
|
|
|
|
(3,207
|
)
|
Sanderson Farms, Inc.
†
|
|
|
237
|
|
|
|
(10,516
|
)
|
Monster Beverage Corp.*
,†††,4,5
|
|
|
3,250
|
|
|
|
(96,233
|
)
|
Total Consumer Staples
|
|
|
|
|
|
|
(111,061
|
)
|
TELECOMMUNICATION SERVICES - (1.7)%
|
|
|
|
|
|
|
|
|
Clearwire Corp. — Class A*
,†††,4,5
|
|
|
2,530
|
|
|
|
(28,665
|
)
|
Global Crossing Ltd.*
,†††,4,5
|
|
|
1,800
|
|
|
|
(28,746
|
)
|
Leap Wireless International, Inc.*
,†††,4,5
|
|
|
1,500
|
|
|
|
(65,100
|
)
|
SBA Communications Corp. —
|
|
|
|
|
|
|
|
|
Class A*
,†††,4,5
|
|
|
2,400
|
|
|
|
(69,096
|
)
|
Total Telecommunication Services
|
|
|
|
|
|
|
(191,607
|
)
|
UTILITIES - (2.3)%
|
|
|
|
|
|
|
|
|
Korea Electric Power Corp. ADR*
,†††,4,5
|
|
|
18,310
|
|
|
|
(247,734
|
)
|
ENERGY - (3.4)%
|
|
|
|
|
|
|
|
|
Arrow Energy Holdings Pty Ltd.*
,†††,4,5
|
|
|
8,900
|
|
|
|
(22,965
|
)
|
Aquila Resources Ltd.*
,†††,4,5
|
|
|
2,750
|
|
|
|
(21,907
|
)
|
Modec, Inc.
†††,4,5
|
|
|
900
|
|
|
|
(23,195
|
)
|
Sevan Marine ASA*
,†††,4,5
|
|
|
5,900
|
|
|
|
(30,951
|
)
|
Trican Well Service Ltd.
†††,4,5
|
|
|
2,000
|
|
|
|
(34,043
|
)
|
Queensland Gas Company Ltd.*
,†††,4,5
|
|
|
12,800
|
|
|
|
(49,787
|
)
|
Imperial Energy Corporation plc*
,†††,4,5
|
|
|
3,900
|
|
|
|
(77,681
|
)
|
BPZ Resources, Inc.*
,†††,4,5
|
|
|
5,700
|
|
|
|
(107,160
|
)
|
Total Energy
|
|
|
|
|
|
|
(367,689
|
)
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 81
|
SCHEDULE OF INVESTMENTS
(continued)
|
September 30, 2012
|
ALPHA OPPORTUNITY FUND
|
|
|
|
Shares
|
|
|
Value
|
|
MATERIALS - (4.2)%
|
|
|
|
|
|
|
|
|
China National Building Material
|
|
|
|
|
|
|
|
|
Company Ltd. — Class H
†††,4,5
|
|
|
14,700
|
|
|
$
|
(19,910
|
)
|
Anhui Conch Cement Company Ltd. —
|
|
|
|
|
|
|
|
|
Class H
†††,4,5
|
|
|
4,500
|
|
|
|
(20,259
|
)
|
Shougang Fushan Resources
|
|
|
|
|
|
|
|
|
Group Ltd.
†††,4,5
|
|
|
66,000
|
|
|
|
(23,727
|
)
|
Sino Gold Mining Ltd.*
,†††,4,5
|
|
|
8,600
|
|
|
|
(35,368
|
)
|
Turquoise Hill Resources Ltd.*
,†††,4,5
|
|
|
4,440
|
|
|
|
(37,030
|
)
|
Western Areas NL
†††,4,5
|
|
|
6,200
|
|
|
|
(44,457
|
)
|
Zoltek Companies, Inc.*
,†††,4,5
|
|
|
2,700
|
|
|
|
(49,221
|
)
|
Riversdale Mining Ltd.*
,†††,4,5
|
|
|
6,700
|
|
|
|
(50,985
|
)
|
Silver Wheaton Corp.
†††,4,5
|
|
|
6,100
|
|
|
|
(64,045
|
)
|
Agnico-Eagle Mines Ltd.
†††,4,5,6
|
|
|
1,800
|
|
|
|
(119,002
|
)
|
Total Materials
|
|
|
|
|
|
|
(464,004
|
)
|
INFORMATION TECHNOLOGY - (6.6)%
|
|
|
|
|
|
|
|
|
ValueClick, Inc.*
,
†
|
|
|
118
|
|
|
|
(2,029
|
)
|
VeriSign, Inc.*
,†††,4,5
|
|
|
1,200
|
|
|
|
(30,756
|
)
|
Access Company Ltd.*
,†††,4,5
|
|
|
17
|
|
|
|
(32,755
|
)
|
Varian Semiconductor Equipment
|
|
|
|
|
|
|
|
|
Associates, Inc.*
,†††,4,5
|
|
|
1,260
|
|
|
|
(33,037
|
)
|
Electronic Arts, Inc.*
,†††,4,5
|
|
|
900
|
|
|
|
(36,720
|
)
|
Riverbed Technology, Inc.*
,†††,4,5
|
|
|
3,280
|
|
|
|
(43,624
|
)
|
Red Hat, Inc.*
,†††,4,5
|
|
|
2,610
|
|
|
|
(46,589
|
)
|
Baidu, Inc. ADR*
,†††,4,5
|
|
|
200
|
|
|
|
(53,726
|
)
|
Intermec, Inc.*
,†††,4,5
|
|
|
2,740
|
|
|
|
(54,307
|
)
|
Rambus, Inc.*
,†††,4,5
|
|
|
3,600
|
|
|
|
(55,224
|
)
|
VMware, Inc. — Class A*
,†††,4,5
|
|
|
2,400
|
|
|
|
(68,592
|
)
|
Equinix, Inc.*
,†††,4,5
|
|
|
1,000
|
|
|
|
(79,940
|
)
|
SAVVIS, Inc.*
,†††,4,5
|
|
|
5,700
|
|
|
|
(84,019
|
)
|
Cree, Inc.*
,†††,4,5
|
|
|
4,000
|
|
|
|
(109,840
|
)
|
Total Information Technology
|
|
|
|
|
|
|
(731,158
|
)
|
INDUSTRIALS - (9.1)%
|
|
|
|
|
|
|
|
|
CH Robinson Worldwide, Inc.
†
|
|
|
118
|
|
|
|
(6,909
|
)
|
China Merchants Holdings International
|
|
|
|
|
|
|
|
|
Company Ltd.
†††,4,5
|
|
|
3,100
|
|
|
|
(11,047
|
)
|
China Communications Construction
|
|
|
|
|
|
|
|
|
Company Ltd. — Class H
†††,4,5
|
|
|
15,000
|
|
|
|
(15,536
|
)
|
China National Materials Company
|
|
|
|
|
|
|
|
|
Ltd. — Class H
†††,4,5
|
|
|
34,400
|
|
|
|
(17,537
|
)
|
Japan Steel Works Ltd.
†††,4,5
|
|
|
1,500
|
|
|
|
(20,809
|
)
|
Ausenco Ltd.
†††,4,5
|
|
|
2,100
|
|
|
|
(22,659
|
)
|
Toyo Tanso Company Ltd.
†††,4,5
|
|
|
500
|
|
|
|
(27,007
|
)
|
Ryanair Holdings plc*
,†††,4,5
|
|
|
9,600
|
|
|
|
(35,971
|
)
|
Meyer Burger Technology AG*
,†††,4,5
|
|
|
200
|
|
|
|
(49,879
|
)
|
USG Corp.*
,†††,4,5
|
|
|
4,940
|
|
|
|
(141,877
|
)
|
Beijing Capital International Airport
|
|
|
|
|
|
|
|
|
Company Ltd. — Class H
†††,4,5
|
|
|
218,000
|
|
|
|
(188,550
|
)
|
Brisa Auto-Estradas de
|
|
|
|
|
|
|
|
|
Portugal S.A.*
,†††,4,5
|
|
|
44,400
|
|
|
|
(461,804
|
)
|
Total Industrials
|
|
|
|
|
|
|
(999,585
|
)
|
FINANCIALS - (10.7)%
|
|
|
|
|
|
|
|
|
Progressive Corp.
†
|
|
|
237
|
|
|
|
(4,915
|
)
|
C C Land Holdings Ltd.
†††,4,5
|
|
|
50,000
|
|
|
|
(13,945
|
)
|
Franshion Properties China Ltd.
†††,4,5
|
|
|
79,400
|
|
|
|
(22,104
|
)
|
Mizuho Trust & Banking
|
|
|
|
|
|
|
|
|
Company Ltd.*
,†††,4,5
|
|
|
17,700
|
|
|
|
(24,682
|
)
|
Aozora Bank Ltd.
†††,4,5
|
|
|
16,300
|
|
|
|
(26,250
|
)
|
Monex Group, Inc.
†††,4,5
|
|
|
78
|
|
|
|
(27,384
|
)
|
Mizuho Financial Group, Inc.
†††,4,5
|
|
|
11,000
|
|
|
|
(45,461
|
)
|
Aeon Mall Company Ltd.
†††,4,5
|
|
|
1,700
|
|
|
|
(52,093
|
)
|
PrivateBancorp, Inc. — Class A
†††,4,5
|
|
|
2,390
|
|
|
|
(102,770
|
)
|
Erste Group Bank AG*
,†††,4,5
|
|
|
5,200
|
|
|
|
(319,536
|
)
|
Wells Fargo & Co.
†††,4,5
|
|
|
12,384
|
|
|
|
(539,688
|
)
|
Total Financials
|
|
|
|
|
|
|
(1,178,828
|
)
|
HEALTH CARE - (12.2)%
|
|
|
|
|
|
|
|
|
Sepracor, Inc.*
,†††,4,5
|
|
|
1,400
|
|
|
|
(24,500
|
)
|
Exelixis, Inc.*
,†††,4,5
|
|
|
4,500
|
|
|
|
(28,845
|
)
|
Savient Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
2,420
|
|
|
|
(48,013
|
)
|
Zeltia S.A.*
,†††,4,5
|
|
|
8,000
|
|
|
|
(54,559
|
)
|
Intuitive Surgical, Inc.*
,†††,4,5
|
|
|
200
|
|
|
|
(56,100
|
)
|
Auxilium Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
1,540
|
|
|
|
(56,703
|
)
|
XenoPort, Inc.*
,†††,4,5
|
|
|
1,376
|
|
|
|
(63,062
|
)
|
Luminex Corp.*
,†††,4,5
|
|
|
2,500
|
|
|
|
(63,725
|
)
|
Regeneron Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
3,180
|
|
|
|
(69,038
|
)
|
Vertex Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
2,600
|
|
|
|
(71,942
|
)
|
Align Technology, Inc.*
,†††,4,5
|
|
|
6,100
|
|
|
|
(74,420
|
)
|
Intercell AG*
,†††,4,5
|
|
|
1,900
|
|
|
|
(74,840
|
)
|
Acorda Therapeutics, Inc.*
,†††,4,5
|
|
|
2,800
|
|
|
|
(74,900
|
)
|
Rigel Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
3,050
|
|
|
|
(78,324
|
)
|
Sequenom, Inc.*
,†††,4,5
|
|
|
3,810
|
|
|
|
(78,524
|
)
|
Cepheid, Inc.*
,†††,4,5
|
|
|
5,300
|
|
|
|
(81,620
|
)
|
AMAG Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
1,900
|
|
|
|
(82,954
|
)
|
Basilea Pharmaceutica*
,†††,4,5
|
|
|
500
|
|
|
|
(83,364
|
)
|
Alnylam Pharmaceuticals, Inc.*
,†††,4,5
|
|
|
2,900
|
|
|
|
(85,289
|
)
|
athenahealth, Inc.*
,†††,4,5
|
|
|
2,500
|
|
|
|
(89,625
|
)
|
Total Health Care
|
|
|
|
|
|
|
(1,340,347
|
)
|
CONSUMER DISCRETIONARY - (15.8)%
|
|
|
|
|
|
|
|
|
Tokyo Broadcasting System
|
|
|
|
|
|
|
|
|
Holdings, Inc.
†††,4,5
|
|
|
1,300
|
|
|
|
(21,836
|
)
|
Genting Singapore plc
†††,4,5
|
|
|
124,900
|
|
|
|
(41,123
|
)
|
bwin Interactive Entertainment AG*
,†††,4,5
|
|
|
1,600
|
|
|
|
(45,582
|
)
|
Bwin.Party Digital
|
|
|
|
|
|
|
|
|
Entertainment plc*
,†††,4,5
|
|
|
15,200
|
|
|
|
(57,210
|
)
|
Focus Media Holding Ltd. ADR
†††,4,5
|
|
|
2,130
|
|
|
|
(63,900
|
)
|
Sky Deutschland AG*
,†††,4,5
|
|
|
4,000
|
|
|
|
(65,668
|
)
|
Marui Group Company Ltd.
†††,4,5
|
|
|
29,100
|
|
|
|
(219,528
|
)
|
Pool Corp.
†††,4,5
|
|
|
11,639
|
|
|
|
(288,065
|
)
|
Electrolux AB
†††,4,5
|
|
|
30,100
|
|
|
|
(395,760
|
)
|
Volkswagen AG
†††,4,5
|
|
|
1,300
|
|
|
|
(539,373
|
)
|
Total Consumer Discretionary
|
|
|
|
|
|
|
(1,738,045
|
)
|
Total Common Stock Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds $7,193,471)
|
|
|
|
|
|
|
(7,370,058
|
)
|
EXCHANGE TRADED FUNDS SOLD SHORT
†
- (0.1)%
|
|
|
|
|
|
|
|
|
Market Vectors Gold Miners ETF
|
|
|
236
|
|
|
|
(12,676
|
)
|
Total Exchange Traded Funds Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds $11,202)
|
|
|
|
|
|
|
(12,676
|
)
|
EXCHANGE TRADED Trusts SOLD SHORT
†
- (0.5)%
|
|
|
|
|
|
|
|
|
CurrencyShares Euro Trust
7
|
|
|
425
|
|
|
|
(54,268
|
)
|
82 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
SCHEDULE OF INVESTMENTS
(concluded)
|
September 30, 2012
|
ALPHA OPPORTUNITY FUND
|
|
|
Shares
|
|
|
Value
|
|
Total Exchange Traded Trusts Sold Short
|
|
|
|
|
|
|
|
|
(Proceeds $53,273)
|
|
|
|
|
|
$
|
(54,268
|
)
|
Total Securities Sold Short- (67.6)%
|
|
|
|
|
|
|
|
|
(Proceeds $7,257,946)
|
|
|
|
|
|
$
|
(7,437,002
|
)
|
Other Assets & Liabilities, net - 51.2%
|
|
|
|
|
|
|
5,626,838
|
|
Total Net Assets - 100.0%
|
|
|
|
|
|
$
|
10,997,570
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Contracts
|
|
|
Loss
|
|
EQUITY FUTURES CONTRACTS PURCHASED
†
|
|
|
|
|
|
|
|
|
December 2012 S&P 500 Index
|
|
|
|
|
|
|
|
|
Mini Futures Contracts
|
|
|
|
|
|
|
|
|
(Aggregate Value of
|
|
|
|
|
|
|
|
|
Contracts $573,500)
|
|
|
8
|
|
|
$
|
(7,260
|
)
|
|
*
|
Non-income producing security.
|
|
†
|
Value determined based on Level 1 inputs — See Note
4.
|
|
††
|
Value determined based on Level 2 inputs
— See Note 4.
|
|
†††
|
Value
determined based on Level 3 inputs — See Note 4.
|
|
1
|
All or a portion of this security is pledged as short security
collateral at September 30, 2012.
|
|
2
|
All or a portion of the security is deemed illiquid due
to the Fund’s exposure to Lehman Brothers International Europe (“LBIE”) prime brokerage services. The total
market value of illiquid securities is $8,579,793 (cost $7,099,228), or 78.0% of total net assets. The security was deemed liquid
at the time of purchase.
|
|
3
|
On September 7, 2008, the issuer was placed in conservatorship
by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of
the firm.
|
|
4
|
All or a portion of this security was fair valued by the
Valuation Committee at September 30, 2012. The total market value of fair valued securities amounts to $(7,341,377) (proceeds
$7,164,435), or (66.75%) of total net assets.
|
|
6
|
Security was acquired through a private placement.
|
|
7
|
Investment in a product that pays a management fee to a
party related to the advisor.
|
|
8
|
Repurchase Agreement — See Note 5.
|
|
|
ADR — American Depositary Receipt
|
|
|
plc — Public Limited Company
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 83
|
STATEMENT OF ASSETS
AND LIABILITIES
September 30, 2012
Assets
:
|
|
|
|
Investments, at value
|
|
|
|
|
(cost $10,500,943)
|
|
$
|
11,930,829
|
|
Repurchase agreements, at value
|
|
|
|
|
(cost $876,905)
|
|
|
876,905
|
|
Total investment
|
|
|
|
|
(cost $11,377,848)
|
|
|
12,807,734
|
|
Restricted cash denominated in a foreign currency, at value
|
|
|
|
|
(cost $3,380,998)
†
|
|
|
3,601,197
|
|
Restricted cash
†
|
|
|
2,040,646
|
|
Cash
|
|
|
108,109
|
|
Segregated cash with broker
|
|
|
28,000
|
|
Prepaid expenses
|
|
|
9,500
|
|
Receivables:
|
|
|
|
|
Securities sold
|
|
|
95,468
|
|
Dividends
|
|
|
21,429
|
|
Investment advisor
|
|
|
11,951
|
|
Total assets
|
|
|
18,724,034
|
|
Liabilities
:
|
|
|
|
|
Securities sold short, at value
|
|
|
|
|
(proceeds $7,257,946)
|
|
|
7,437,002
|
|
Payable for:
|
|
|
|
|
Securities purchased
|
|
|
239,910
|
|
Management fees
|
|
|
11,428
|
|
Transfer agent/maintenance fees
|
|
|
3,602
|
|
Distribution and service fees
|
|
|
3,350
|
|
Variation margin
|
|
|
2,940
|
|
Fund accounting/administration fees
|
|
|
2,195
|
|
Fund shares redeemed
|
|
|
1,063
|
|
Directors’ fees*
|
|
|
704
|
|
Miscellaneous
|
|
|
24,270
|
|
Total liabilities
|
|
|
7,726,464
|
|
Net assets
|
|
$
|
10,997,570
|
|
Net assets consist of
:
|
|
|
|
|
Paid in capital
|
|
$
|
20,087,808
|
|
Accumulated net investment loss
|
|
|
(8,549
|
)
|
Accumulated net realized loss on investments
|
|
|
(10,545,458
|
)
|
Net unrealized appreciation on investments and
|
|
|
|
|
foreign currency
|
|
|
1,463,769
|
|
Net assets
|
|
$
|
10,997,570
|
|
A-Class
:
|
|
|
|
|
Net assets
|
|
$
|
7,249,943
|
|
Capital shares outstanding
|
|
|
543,729
|
|
Net asset value per share
|
|
$
|
13.33
|
|
Maximum offering price per share
|
|
|
|
|
(Net asset value divided by 95.25%)
|
|
$
|
13.99
|
|
B-Class
:
|
|
|
|
|
Net assets
|
|
$
|
732,770
|
|
Capital shares outstanding
|
|
|
60,023
|
|
Net asset value per share
|
|
$
|
12.21
|
|
C-Class
:
|
|
|
|
|
Net assets
|
|
$
|
1,496,613
|
|
Capital shares outstanding
|
|
|
122,540
|
|
Net asset value per share
|
|
$
|
12.21
|
|
Institutional Class
:
|
|
|
|
|
Net assets
|
|
$
|
1,518,244
|
|
Capital shares outstanding
|
|
|
81,997
|
|
Net asset value per share
|
|
$
|
18.52
|
|
STATEMENT OF
OPERATIONS
Year Ended September 30, 2012
Investment Income
:
|
|
|
|
|
Dividends (net of foreign withholding tax of $294)
|
|
$
|
246,491
|
|
Interest
|
|
|
574
|
|
Total investment income
|
|
|
247,065
|
|
|
|
|
|
|
Expenses
:
|
|
|
|
|
Management fees
|
|
|
140,522
|
|
Transfer agent/maintenance fees
|
|
|
|
|
A-Class
|
|
|
17,767
|
|
B-Class
|
|
|
2,866
|
|
C-Class
|
|
|
4,365
|
|
Institutional Class
|
|
|
2,760
|
|
Distribution and service fees:
|
|
|
|
|
A-Class
|
|
|
18,634
|
|
B-Class
|
|
|
7,681
|
|
C-Class
|
|
|
14,819
|
|
Fund accounting/administration fees
|
|
|
25,068
|
|
Registration fees
|
|
|
40,945
|
|
Custodian fees
|
|
|
26,490
|
|
Prime Broker interest expense
|
|
|
5,628
|
|
Short sales dividend expense
|
|
|
5,604
|
|
Directors’ fees*
|
|
|
800
|
|
Miscellaneous
|
|
|
35,930
|
|
Total expenses
|
|
|
349,879
|
|
Less:
|
|
|
|
|
Expenses waived/reimbursed by Advisor
|
|
|
(88,316
|
)
|
Net expenses
|
|
|
261,563
|
|
Net investment loss
|
|
|
(14,498
|
)
|
|
|
|
|
|
Net Realized and Unrealized Gain (Loss)
:
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
|
Investments
|
|
|
719,242
|
|
Futures contracts
|
|
|
428,716
|
|
Foreign currency
|
|
|
243
|
|
Securities sold short
|
|
|
(43,904
|
)
|
Net increase from payments by affiliates
|
|
|
32,436
|
|
Net realized gain
|
|
|
1,136,733
|
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation) on:
|
|
|
|
|
Investments
|
|
|
2,198,527
|
|
Securities sold short
|
|
|
447
|
|
Futures contracts
|
|
|
82,794
|
|
Foreign currency
|
|
|
(8,613
|
)
|
Net change in unrealized appreciation
|
|
|
|
|
(depreciation)
|
|
|
2,273,155
|
|
Net realized and unrealized gain
|
|
|
3,409,888
|
|
Net increase in net assets resulting
|
|
|
|
|
from operations
|
|
$
|
3,395,390
|
|
†
All or portion of this amount represents
values related to Lehman Brothers International Europe prime brokerage services — See Note 11.
* Relates to Directors not deemed “interested persons”
within the meaning of Section 2(a)(19) of the 1940 Act.
84 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
STATEMENTS OF CHANGES IN NET ASSETS
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
2012
|
|
|
2011
|
|
Increase (Decrease)
In Net Assets From Operations
:
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
$
|
(14,498
|
)
|
|
$
|
(57,997
|
)
|
Net realized gain on investments and foreign currency
|
|
|
1,104,297
|
|
|
|
969,692
|
|
Net change in unrealized appreciation (depreciation) on investments and foreign currency
|
|
|
2,273,155
|
|
|
|
(439,824
|
)
|
Net increase from payments by affiliates
|
|
|
32,436
|
|
|
|
—
|
|
Net increase in net assets resulting from operations
|
|
|
3,395,390
|
|
|
|
471,871
|
|
|
|
|
|
|
|
|
|
|
Capital share transactions
:
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
|
|
|
|
|
|
|
A-Class*
|
|
|
117,674
|
|
|
|
180,654
|
|
Cost of shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(1,836,212
|
)
|
|
|
(1,908,640
|
)
|
B-Class
|
|
|
(184,593
|
)
|
|
|
(547,550
|
)
|
C-Class
|
|
|
(233,428
|
)
|
|
|
(242,522
|
)
|
Institutional Class
|
|
|
(280,860
|
)
|
|
|
(166,305
|
)
|
Net decrease from capital share transactions
|
|
|
(2,417,419
|
)
|
|
|
(2,684,363
|
)
|
Net increase (decrease) in net assets
|
|
|
977,971
|
|
|
|
(2,212,492
|
)
|
|
|
|
|
|
|
|
|
|
Net assets
:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
10,019,599
|
|
|
|
12,232,091
|
|
End of year
|
|
$
|
10,997,570
|
|
|
$
|
10,019,599
|
|
Undistributed/(Accumulated) net investment income/(loss) at end of year
|
|
$
|
(8,549
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
Capital share activity
:
|
|
|
|
|
|
|
|
|
Shares sold
|
|
|
|
|
|
|
|
|
A-Class*
|
|
|
9,664
|
|
|
|
15,900
|
|
Shares redeemed
|
|
|
|
|
|
|
|
|
A-Class
|
|
|
(148,801
|
)
|
|
|
(171,786
|
)
|
B-Class
|
|
|
(16,395
|
)
|
|
|
(52,155
|
)
|
C-Class
|
|
|
(19,960
|
)
|
|
|
(22,496
|
)
|
Institutional Class
|
|
|
(16,012
|
)
|
|
|
(10,264
|
)
|
Net decrease in shares
|
|
|
(191,504
|
)
|
|
|
(240,801
|
)
|
* Represents conversion of B-Class to A-Class shares.
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 85
|
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a
share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
A-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
f
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.82
|
|
|
$
|
9.70
|
|
|
$
|
8.56
|
|
|
$
|
9.37
|
|
|
$
|
13.94
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(—
|
)
b
|
|
|
(.04
|
)
|
|
|
(.06
|
)
|
|
|
(.04
|
)
|
|
|
(.16
|
)
|
Net gain (loss) on investments (realized and unrealized)
|
|
|
3.48
|
|
|
|
.16
|
|
|
|
1.20
|
|
|
|
(.77
|
)
|
|
|
(1.68
|
)
|
Net increase from payments by affiliates
|
|
|
0.03
|
h
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Total from investment operations
|
|
|
3.51
|
|
|
|
.12
|
|
|
|
1.14
|
|
|
|
(.81
|
)
|
|
|
(1.84
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.57
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.16
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.73
|
)
|
Net asset value, end of period
|
|
$
|
13.33
|
|
|
$
|
9.82
|
|
|
$
|
9.70
|
|
|
$
|
8.56
|
|
|
$
|
9.37
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
35.74
|
%
|
|
|
1.13
|
%
|
|
|
13.43
|
%
|
|
|
(8.64
|
%)
|
|
|
(15.99
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
7,250
|
|
|
$
|
6,708
|
|
|
$
|
8,138
|
|
|
$
|
9,752
|
|
|
$
|
30,615
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.01
|
%)
|
|
|
(0.33
|
%)
|
|
|
(0.71
|
%)
|
|
|
(0.50
|
%)
|
|
|
(1.44
|
%)
|
Total expenses
d
|
|
|
2.99
|
%
|
|
|
3.39
|
%
|
|
|
3.51
|
%
|
|
|
3.82
|
%
|
|
|
3.41
|
%
|
Net expenses
e
|
|
|
2.21
|
%
|
|
|
2.15
|
%
|
|
|
2.21
|
%
|
|
|
2.00
|
%
|
|
|
3.32
|
%
|
Portfolio turnover rate
|
|
|
707
|
%
|
|
|
868
|
%
|
|
|
954
|
%
|
|
|
422
|
%
|
|
|
1,248
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
B-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
f
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.07
|
|
|
$
|
9.03
|
|
|
$
|
8.04
|
|
|
$
|
8.87
|
|
|
$
|
13.42
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.09
|
)
|
|
|
(.12
|
)
|
|
|
(.12
|
)
|
|
|
(.09
|
)
|
|
|
(.23
|
)
|
Net gain (loss) on investments (realized and unrealized)
|
|
|
3.21
|
|
|
|
.16
|
|
|
|
1.11
|
|
|
|
(.74
|
)
|
|
|
(1.59
|
)
|
Net increase from payments by affiliates
|
|
|
0.02
|
h
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Total from investment operations
|
|
|
3.14
|
|
|
|
.04
|
|
|
|
.99
|
|
|
|
(.83
|
)
|
|
|
(1.82
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.57
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.16
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.73
|
)
|
Net asset value, end of period
|
|
$
|
12.21
|
|
|
$
|
9.07
|
|
|
$
|
9.03
|
|
|
$
|
8.04
|
|
|
$
|
8.87
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
34.62
|
%
|
|
|
0.44
|
%
|
|
|
12.31
|
%
|
|
|
(9.36
|
%)
|
|
|
(16.66
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
733
|
|
|
$
|
693
|
|
|
$
|
1,161
|
|
|
$
|
1,635
|
|
|
$
|
5,391
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.77
|
%)
|
|
|
(1.09
|
%)
|
|
|
(1.47
|
%)
|
|
|
(1.24
|
%)
|
|
|
(2.18
|
%)
|
Total expenses
d
|
|
|
3.87
|
%
|
|
|
4.19
|
%
|
|
|
4.27
|
%
|
|
|
4.57
|
%
|
|
|
4.16
|
%
|
Net expenses
e
|
|
|
2.96
|
%
|
|
|
2.90
|
%
|
|
|
2.96
|
%
|
|
|
2.75
|
%
|
|
|
4.04
|
%
|
Portfolio turnover rate
|
|
|
707
|
%
|
|
|
868
|
%
|
|
|
954
|
%
|
|
|
422
|
%
|
|
|
1,248
|
%
|
86 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
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.
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
C-Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
f
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.07
|
|
|
$
|
9.03
|
|
|
$
|
8.02
|
|
|
$
|
8.87
|
|
|
$
|
13.43
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
a
|
|
|
(.09
|
)
|
|
|
(.11
|
)
|
|
|
(.12
|
)
|
|
|
(.09
|
)
|
|
|
(.23
|
)
|
Net gain (loss) on investments (realized and unrealized)
|
|
|
3.21
|
|
|
|
.15
|
|
|
|
1.13
|
|
|
|
(.76
|
)
|
|
|
(1.60
|
)
|
Net increase from payments by affiliates
|
|
|
0.02
|
h
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Total from investment operations
|
|
|
3.14
|
|
|
|
.04
|
|
|
|
1.01
|
|
|
|
(.85
|
)
|
|
|
(1.83
|
)
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.57
|
)
|
Return of capital
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(.16
|
)
|
Total distributions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2.73
|
)
|
Net asset value, end of period
|
|
$
|
12.21
|
|
|
$
|
9.07
|
|
|
$
|
9.03
|
|
|
$
|
8.02
|
|
|
$
|
8.87
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
34.62
|
%
|
|
|
0.44
|
%
|
|
|
12.59
|
%
|
|
|
(9.58
|
%)
|
|
|
(16.63
|
%)
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,497
|
|
|
$
|
1,292
|
|
|
$
|
1,490
|
|
|
$
|
1,996
|
|
|
$
|
4,935
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
(0.76
|
%)
|
|
|
(1.08
|
%)
|
|
|
(1.46
|
%)
|
|
|
(1.24
|
%)
|
|
|
(2.21
|
%)
|
Total expenses
d
|
|
|
3.80
|
%
|
|
|
4.14
|
%
|
|
|
4.28
|
%
|
|
|
4.67
|
%
|
|
|
4.16
|
%
|
Net expenses
e
|
|
|
2.96
|
%
|
|
|
2.90
|
%
|
|
|
2.95
|
%
|
|
|
2.75
|
%
|
|
|
4.09
|
%
|
Portfolio turnover rate
|
|
|
707
|
%
|
|
|
868
|
%
|
|
|
954
|
%
|
|
|
422
|
%
|
|
|
1,248
|
%
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Year Ended
|
|
|
Period Ended
|
|
|
|
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
September 30,
|
|
|
|
|
Institutional Class
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
g
|
|
|
|
|
Per Share Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
13.53
|
|
|
$
|
13.33
|
|
|
$
|
11.73
|
|
|
$
|
10.00
|
|
|
|
|
|
Income (loss) from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
a
|
|
|
.04
|
|
|
|
(.01
|
)
|
|
|
(.06
|
)
|
|
|
(.01
|
)
|
|
|
|
|
Net gain on investments (realized and unrealized)
|
|
|
4.82
|
|
|
|
.21
|
|
|
|
1.66
|
|
|
|
1.74
|
|
|
|
|
|
Net increase from payments by affiliates
|
|
|
0.13
|
h
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
Total from investment operations
|
|
|
4.99
|
|
|
|
.20
|
|
|
|
1.60
|
|
|
|
1.73
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
18.52
|
|
|
$
|
13.53
|
|
|
$
|
13.33
|
|
|
$
|
11.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return
c
|
|
|
36.88
|
%
|
|
|
1.50
|
%
|
|
|
13.64
|
%
|
|
|
17.30
|
%
|
|
|
|
|
Ratios/Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in thousands)
|
|
$
|
1,518
|
|
|
$
|
1,326
|
|
|
$
|
1,444
|
|
|
$
|
2,155
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
|
0.24
|
%
|
|
|
(0.08
|
%)
|
|
|
(0.48
|
%)
|
|
|
(0.07
|
%)
|
|
|
|
|
Total expenses
d
|
|
|
2.68
|
%
|
|
|
3.12
|
%
|
|
|
3.28
|
%
|
|
|
3.94
|
%
|
|
|
|
|
Net expenses
e
|
|
|
1.96
|
%
|
|
|
1.90
|
%
|
|
|
1.96
|
%
|
|
|
1.76
|
%
|
|
|
|
|
Portfolio turnover rate
|
|
|
707
|
%
|
|
|
868
|
%
|
|
|
954
|
%
|
|
|
422
|
%
|
|
|
|
|
|
a
|
Net investment income (loss) per share was computed using
average shares outstanding throughout the period.
|
|
b
|
Net investment loss is less than $0.01 per share.
|
|
c
|
Total return does not reflect the impact of any applicable
sales charges and has not been annualized.
|
|
d
|
Does not include expenses of the underlying funds in which
the Fund invests.
|
|
e
|
Reflects expense ratios after expense waivers, and may
include interest or dividend expense. Excluding interest or dividend expense, the operating expense ratio for the current period
would be 0.10%, 0.10%, 0.10% and 0.10% lower for the A-Class, B-Class, C-Class and Institutional Class, respectively.
|
|
f
|
Security Global Investors, LLC (SGI) became the sub-advisor
of 37.5% of the assets of the Alpha Opportunity Fund effective August 18, 2008. Also effective August 18, 2008, Mainstream Investment
Advisers, LLC (Mainstream) sub-advises 37.5% of the assets and Security Investors, LLC (SI) manages 25% of the assets. Prior to
August 18, 2008, Mainstream sub-advised 60% of the assets and SI managed the remaining 40% of the assets. Effective January 14,
2011, SGI was merged with and into Guggenheim Investments.
|
|
g
|
Since commencement of operations: November 7, 2008. Percentage
amounts for the period, except total return and portfolio turnover rate, have been annualized.
|
|
h
|
For the year ended September 30, 2012, 0.30%, 0.22%, 0.22%
and 0.96% of the Fund’s A-Class, B-Class, C-Class and Institutional Class, respectively, total return consisted of a voluntary
reimbursement by the advisor for losses incurred during fund trading. Excluding this item, total return would have been 35.44%,
34.40%, 34.40% and 35.92% for the Fund’s A-Class, B-Class, C-Class and Institutional Class, respectively.
|
SEE NOTES TO FINANCIAL STATEMENTS.
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 87
|
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies
Organization
Security Equity Fund (the “Trust”), a Kansas business
trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as a non-diversified, open-ended
investment company of the series type. Each series, in effect, is representing a separate Fund (collectively the “Funds”).
The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of four separate classes of shares:
A-Class shares, B-Class shares, C-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 (the “NAV”), with the exception of A-Class shares. A-Class
shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased,
but will not exceed 4.75%. Prior to February 22, 2011, the maximum sales charge was 5.75%. A-Class share purchases of $1 million
or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”), if shares
are redeemed within 12 months of purchase. B-Class shares are offered without a front-end sales charge, but are subject to a CDSC,
for five years and convert to A-Class shares after eight years. Effective January 4, 2010, subscriptions for B-Class shares were
no longer accepted. C-Class shares have a 1%, CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares
are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and
corporations. Institutional Class shares have a minimum initial investment of $2 million and a minimum account balance of $1 million.
Institutional Class shares are offered without a front-end sales charge or CDSC.
At September 30, 2012, the Trust consisted of nine separate
Funds.
Guggenheim Investments (“GI”) provides advisory,
administrative and accounting services to the Funds. Rydex Fund Services, LLC (“RFS”) acts as the transfer agent to
the Funds. Rydex Distributors, LLC (“RDL”) acts as principal underwriter to the Funds. GI, RFS and RDL are affiliated
entities.
Mainstream Investment Advisers, LLC serves as investment sub-advisor
on behalf of Alpha Opportunity Fund. The sub-advisor furnishes investment advisory services, supervises and arranges for the purchase
and sale of securities and provides for the compilation and maintenance of records pertaining to such investment advisory services,
subject to the control and supervision of the Board of Directors of the Trust and GI. Prior to January 14, 2011, Security Global
Investors, LLC (“SGI”) acted as a sub-advisor to a portion of the total assets of Alpha Opportunity Fund. Effective
January 14, 2011, SGI was merged with and into GI.
Significant Accounting Policies
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 and disclosure of 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.
A.
Valuations of the Funds’ securities are supplied
by pricing
services approved by the Board of Directors. The Trust’s officers, through the Valuation Committee under
the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing
services.
Equity securities listed on an exchange (New York Stock
Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of
business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are
valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price.
If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such
day.
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 and repurchase agreements are valued at amortized cost, which approximates market value.
Listed options are valued at the Official Settlement Price listed
by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask
price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options are valued using
the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.
The value of futures contracts is accounted for using the unrealized
gain or loss on the contracts that is determined
88 | THE GUGGENHEIM FUNDS ANNUAL REPORT
NOTES TO FINANCIAL STATEMENTS
(continued)
|
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.
Generally, trading in foreign securities markets is substantially
completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close
of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars
on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may
involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities
by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others:
the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity,
and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In
addition, the Board of Directors has authorized the Valuation Committee and GI to use prices and other information supplied by
a third party pricing vendor in valuing foreign securities.
Investments for which market quotations are not readily available
are fair valued as determined in good faith by GI under the direction of the Board of Directors using methods established or ratified
by the Board of Directors. These methods include, but are not limited to: (i) obtaining general information as to how these securities
and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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; and (iii) obtaining
other information and considerations, including current values in related markets.
B.
Securities 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. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries.
Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of
discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the
ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.
C.
The accounting records of the Funds are maintained
in U.S.
dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at
prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these
foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign
investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations
resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices
of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise
from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions.
Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments
in securities at the fiscal period end, resulting from changes in exchange rates.
D.
Distributions of net investment income and net
realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined
in accordance with income tax regulations which may differ from U.S. GAAP.
E.
When a Fund engages in a short sale of a security,
an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities
as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security
exceeds the market value of the securities in the segregated account.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 89
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
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 treasury 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 Funds may also receive rebate income from the broker resulting from the investment of the proceeds from
securities sold short.
F.
Upon entering into a futures contract, a Fund deposits
and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the
contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When
the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
G.
Interest and dividend income, most expenses, all
realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding
shares in each class. Certain costs, such as distribution and service fees relating to A-Class shares, B-Class shares and C-Class
shares and transfer agent fees related to each class, are charged directly to specific classes. In addition, other expenses common
to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.
H.
Under the fee arrangement with the custodian, the
Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses.
The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits,
if any. For the year ended September 30, 2012, there were no earnings credits received.
I.
Under the Funds’ organizational documents,
its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust.
In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations
and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However,
based on experience, the Funds expect the risk of loss to be remote.
2. Financial Instruments
As part of their investment strategy, certain Funds may utilize
short sales and a variety of derivative instruments including futures and options. These investments involve, to varying degrees,
elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.
Alpha Opportunity Fund may make short sales “against the
box,” in which the Fund enters into a short sale of a security it owns. At no time will more than 15% of the value of the
Funds’ net assets be in deposits on short sales against the box. When a Fund makes a short sale, the Fund does not immediately
deliver the securities sold from its own account, or receive the proceeds from the sale. To complete the sale, the Fund must borrow
the security (generally from the broker through which the short sale is made) in order to make delivery to the buyer. The Fund
must replace the security borrowed by purchasing it at the market price at the time of replacement or delivering the security from
its own portfolio. The Fund is said to have a “short position” in securities sold until it delivers them to the broker,
at which time it receives the proceeds of the sale. Certain Funds may make short sales that are not “against the box,”
which create opportunities to increase the Funds’ return but, at the same time, involve specific risk considerations and
may be considered a speculative technique. Such short sales theoretically involve unlimited loss potential, as the market price
of securities sold short may continually increase, although a Fund may mitigate such losses by replacing the securities sold short
before the market price has increased significantly. For financial statement purposes, an amount equal to the settlement amount
is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is
subsequently marked-to-market to reflect the current value of the short position. Subsequent fluctuations in the market prices
of securities sold, but not yet purchased, may require purchasing the securities at prices which differ from the market value reflected
on the Statements of Assets and Liabilities. The Funds are liable for any dividends or interest payable on securities while those
securities are in a short position. As collateral for its short positions, the Fund is required under the 1940 Act to maintain
segregated assets consisting of cash, cash equivalents or liquid securities. These segregated assets are valued consistent with
Note 1A and are required to be adjusted daily to reflect changes in the market value of the securities sold short.
The Alpha Opportunity Fund utilized futures contracts to
obtain broad index exposure. 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 or an underly-
90 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
ing fund’s use of futures contracts and related options,
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 the 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 restricted cash on the Statement
of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
Certain Funds wrote call options on a covered basis and put
options on securities that are traded on recognized securities exchanges and over-the-counter markets. Call and put options on
securities give the writer the obligation to sell or purchase a security at a specified price, until a certain date. The risk in
writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security
increases and the option is exercised. The risk in writing a covered 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 is the risk that a Fund may not be able to
enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s
inability to perform. An amount equal to the premium received is entered in the 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 a 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).
In conjunction with the use of short sales, futures and options,
the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument
utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount
notes, or the repurchase agreements allocated to each Fund.
The Trust has established counterparty credit guidelines and
enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit
risk.
3. Fees and other transactions with affiliates
Management fees are paid monthly to GI, based on the following
annual rates. GI pays the sub-advisors out of the advisory fees it receives.
|
|
Management Fees
|
|
|
|
(as a % of net assets)
|
|
Large Cap Core Fund
|
|
|
0.75%
|
|
All Cap Value Fund
|
|
|
0.70%
|
|
Mid Cap Value Fund
|
|
|
0.79%
1
|
|
Mid Cap Value Institutional Fund
|
|
|
0.75%
|
|
Small Cap Growth Fund
|
|
|
0.85%
|
|
Small Cap Value Fund
|
|
|
1.00%
|
|
Large Cap Concentrated Growth Fund
|
|
|
0.75%
|
|
MSCI EAFE Equal Weight Fund
|
|
|
0.705
|
|
Alpha Opportunity Fund
|
|
|
1.25%
|
|
1
Management fees are payable at an annual rate of
1.00% of the average daily net assets of $200 million or less, plus 0.75% of the average daily net assets of the Mid Cap Value
Fund in excess of $200 million.
GI also acts as the administrative agent for the Funds, and
as such performs administrative functions and the bookkeeping, accounting and pricing functions for each Fund. For these services,
GI receives the following:
|
|
Fund Accounting/
|
|
|
|
Administrative Fees
|
|
|
|
(as a % of net assets)
|
|
Large Cap Core Fund
|
|
|
0.095%
|
|
All Cap Value Fund
|
|
|
0.095%
|
|
Mid Cap Value Fund
|
|
|
0.0955
|
|
Mid Cap Value Institutional Fund
|
|
|
0.095%
|
|
Small Cap Growth Fund
|
|
|
0.095%
|
|
Small Cap Value Fund
|
|
|
0.095%
|
|
Large Cap Concentrated Growth Fund
|
|
|
0.095%
|
|
MSCI EAFE Equal Weight Fund
|
|
|
greater of 0.15% or $60,000
|
|
Alpha Opportunity Fund
|
|
|
0.15%
|
|
|
|
|
|
|
Minimum charge per Fund
|
|
|
$25,000
1
|
|
Certain out-of-pocket charges
|
|
|
Varies
|
|
1
GI has agreed not to charge the $25,000 minimum
fee on the All Cap Value Fund
RFS is paid the following for providing transfer agent services
to the Funds. Effective February 1, 2012, transfer agent fees are assessed to the applicable Class of each Fund in which they were
incurred. Prior to February 1, 2012, transfer agent fees were aggregated by the Fund and allocated based on daily net assets of
each Class of the Fund.
Annual charge per account
|
|
|
$5.00 – $8.00
|
|
Transaction fee
|
|
|
$0.60 – $1.10
|
|
Minimum annual charge per Fund
|
|
|
$25,000
1
|
|
Certain out-of-pocket charges
|
|
|
Varies
|
|
1
GI has agreed not to charge the $25,000 minimum
fee on the All Cap Value Fund.
The investment advisory contracts 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 on securities sold short, expenses of other investment
THE GUGGENHEIM FUNDS ANNUAL REPORT | 91
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
companies in which a Fund invests, interest, taxes, litigation,
indemnification and extraordinary expenses (as determined under generally accepted accounting principles). The limits are listed
below:
|
|
|
|
|
Effective
|
|
|
Contract
|
|
|
Limit
|
|
|
Date
|
|
|
End Date
|
All Cap Value Fund – A-Class
|
|
|
1.27
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
All Cap Value Fund – C-Class
|
|
|
2.02
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
All Cap Value Institutional Fund
|
|
|
1.02
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Mid Cap Value Institutional*
|
|
|
0.90
|
%
|
|
|
04/13/09
|
|
|
03/31/12
|
Small Cap Value Fund – A-Class
|
|
|
1.30
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Small Cap Value Fund – C-Class
|
|
|
2.05
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Small Cap Value Fund – Institutional Class
|
|
|
1.05
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Large Cap Concentrated Growth Fund – A-Class
|
|
|
1.35
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Large Cap Concentrated Growth Fund – B-Class
|
|
|
2.10
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Large Cap Concentrated Growth Fund – C-Class
|
|
|
2.10
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Large Cap Concentrated Growth Fund – Institutional Class
|
|
|
1.10
|
%
|
|
|
03/01/12
|
|
|
02/01/13
|
MSCI EAFE Equal Weight Fund – A-Class
|
|
|
1.61
|
%
|
|
|
04/29/11
|
|
|
02/01/13
|
MSCI EAFE Equal Weight Fund – B-Class
|
|
|
2.36
|
%
|
|
|
04/29/11
|
|
|
02/01/13
|
MSCI EAFE Equal Weight Fund – C-Class
|
|
|
2.36
|
%
|
|
|
04/29/11
|
|
|
02/01/13
|
MSCI EAFE Equal Weight Fund – Institutional Class
|
|
|
1.36
|
%
|
|
|
04/29/11
|
|
|
02/01/13
|
Alpha Opportunity Fund – A-Class
|
|
|
2.11
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Alpha Opportunity Fund – B-Class
|
|
|
2.86
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Alpha Opportunity Fund – C-Class
|
|
|
2.86
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
Alpha Opportunity Fund – Institutional Class
|
|
|
1.86
|
%
|
|
|
02/01/11
|
|
|
02/01/13
|
* Expense Limitation Agreement has not been renewed
for this Fund after 03/31/12.
GI is entitled to reimbursement by the Funds for fees waived
or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any
day the estimated operating expenses are less than the indicated percentages. At September 30, 2012, the amount of fees waived
or expenses reimbursed that are subject to recoupment are presented in the following table:
|
|
Expires
|
|
|
Expires
|
|
|
Expires
|
|
|
Fund
|
|
Fund
|
|
2013
|
|
|
2014
|
|
|
2015
|
|
|
Total
|
|
All Cap Value Fund**
|
|
$
|
59,326
|
|
|
$
|
49,063
|
|
|
$
|
60,997
|
|
|
$
|
169,386
|
|
Mid Cap Value Institutional Fund*
|
|
|
209,976
|
|
|
|
443,419
|
|
|
|
194,357
|
|
|
|
847,752
|
|
Small Cap Value Fund
|
|
|
90,347
|
|
|
|
118,145
|
|
|
|
175,113
|
|
|
|
383,605
|
|
Large Cap Concentrated Growth Fund
|
|
|
150,104
|
|
|
|
140,783
|
|
|
|
175,964
|
|
|
|
466,851
|
|
MSCI EAFE Equal Weight Fund
|
|
|
—
|
|
|
|
26,732
|
|
|
|
314,425
|
|
|
|
341,157
|
|
Alpha Opportunity Fund
|
|
|
176,815
|
|
|
|
157,924
|
|
|
|
88,316
|
|
|
|
423,055
|
|
|
*
|
Expense Limitation Agreement has not been renewed for this Fund after 03/31/12.
|
|
**
|
All Cap Value Fund ceased its operations on October 16, 2012.
|
For the year ended September 30, 2012, no amounts were recouped
by GI.
The Funds have adopted Distribution Plans
related to the offering of A-Class, B-Class and C-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 each Fund’s A-Class shares and 1.00% of the average
daily net assets of each Fund’s B-Class and C-Class shares. Effective August 25, 2005, the MSCI EAFE Equal Weight Fund ceased
charging 12b-1 fees on B-Class shares in accordance with the FINRA sales cap regulations. These fees may be reinstated at any time.
During the year ended September 30, 2012, RDL retained sales
charges of $178,212 relating to sales of A-Class shares of the Trust.
On May 11, 2012, GI voluntarily made a capital contribution
to the Alpha Opportunity Fund for losses incurred during fund trading.
Certain officers and directors of the Trust are also officers
and/or directors of Security Benefit Life Insurance Company, a subsidiary of Security Benefit Corporation, and its affiliates,
which include GI and RDL.
At September 30, 2012, Security Benefit Corporation and its
subsidiaries owned over five percent of the outstanding shares of the Trust, as follows:
|
|
Percent of outstanding
|
|
|
|
shares owned
|
|
Large Cap Core Fund
|
|
|
13
|
%
|
All Cap Value Fund
|
|
|
43
|
%
|
Small Cap Growth Fund
|
|
|
14
|
%
|
Large Cap Concentrated Growth Fund
|
|
|
18
|
%
|
MSCI EAFE Equal Weight Fund
|
|
|
15
|
%
|
Alpha Opportunity Fund
|
|
|
15
|
%
|
92 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
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
advantageousmarket for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that
reflect the assumptions market participants would use in pricing an asset or liability developed based on market data
obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting
entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed
based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair
value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments.
The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for
identical securities.
Level 2 — other significant observable inputs
(including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including
the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities
are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value
the Funds’ net assets at September 30, 2012:
|
|
Level 1
|
|
|
Level 1
|
|
|
Level 2
|
|
Level 3
|
|
|
|
|
|
Investments
|
|
|
Other Financial
|
|
|
Investments
|
|
Investments
|
|
|
|
|
|
In Securities
|
|
|
Instruments*
|
|
|
In Securities
|
|
In Securities
|
|
|
Total
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Large Cap Core Fund
|
|
$
|
174,810,832
|
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
174,810,832
|
All Cap Value Fund
|
|
|
2,534,600
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,534,600
|
Mid Cap Value Fund
|
|
|
1,096,407,109
|
|
|
|
—
|
|
|
27,948,665
|
|
|
—
|
|
|
1,124,355,774
|
Mid Cap Value Institutional Fund
|
|
|
478,076,846
|
|
|
|
—
|
|
|
6,073,931
|
|
|
—
|
|
|
484,150,777
|
Small Cap Growth Fund
|
|
|
12,696,399
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,696,399
|
Small Cap Value Fund
|
|
|
33,307,796
|
|
|
|
—
|
|
|
175,625
|
|
|
—
|
|
|
33,483,421
|
Large Cap Concentrated Growth Fund
|
|
|
24,332,599
|
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
24,332,599
|
MSCI EAFE Equal Weight Fund
|
|
|
67,750,539
|
|
|
|
—
|
|
|
1,082,702
|
|
|
241
|
|
|
68,833,482
|
Alpha Opportunity Fund
|
|
|
11,405,086
|
|
|
|
—
|
|
|
1,402,648
|
|
|
—
|
|
|
12,807,734
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mid Cap Value Fund
|
|
$
|
—
|
|
|
$
|
394,400
|
|
$
|
—
|
|
$
|
—
|
|
$
|
394,400
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
190,400
|
|
|
—
|
|
|
—
|
|
|
190,400
|
Small Cap Value Fund
|
|
|
—
|
|
|
|
11,220
|
|
|
—
|
|
|
—
|
|
|
11,220
|
Alpha Opportunity Fund
|
|
|
95,625
|
|
|
|
7,260
|
|
|
—
|
|
|
7,341,377
|
|
|
7,444,262
|
* Other financial instruments include futures contracts,
which are reported as unrealized gain/loss at period end and options written.
Transfers between investment levels
may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds recognize
transfers between the levels as of the beginning of the period. As of September 30, 2012, MSCI EAFE Equal Weight Fund had a security
with a total value of $241 transfer from Level 1 to Level 3 as a result of bankruptcy.
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, 2012:
LEVEL 3 – Fair value measurement using significant
unobservable inputs
|
|
Total
|
|
Alpha Opportunity Fund
|
|
|
|
|
Liabilities:
|
|
|
|
|
Beginning Balance
|
|
$
|
7,341,377
|
|
Ending Balance
|
|
$
|
7,341,377
|
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 93
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
5. Repurchase Agreements
In connection with transactions in repurchase agreements, it
is the Funds’ policy that their custodian takes possession of the underlying collateral. The collateral is in the possession
of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face
amount of the repurchase agreements.
At September 30, 2012, the collateral for the repurchase agreements
was as follows:
|
|
Counterparty and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Terms of Agreement
|
|
Face Value
|
|
|
Repurchase Price
|
|
Collateral
|
|
Par Value
|
|
|
Fair Value
|
|
Mid Cap Value Fund
|
|
UMB Financial Corp.
|
|
|
|
|
|
|
|
|
Ginnie Mae Bond
|
|
|
|
|
|
|
|
|
|
|
0.04%
|
|
|
|
|
|
|
|
|
2.14%
|
|
|
|
|
|
|
|
|
|
|
Due 10/01/12
|
|
$
|
16,151,000
|
|
|
$
|
16,151,054
|
|
12/16/43
|
|
$
|
15,940,870
|
|
|
$
|
16,474,020
|
|
Alpha Opportunity Fund
|
|
State Street
|
|
|
|
|
|
|
|
|
U.S. Treasury Note
|
|
|
|
|
|
|
|
|
|
|
0.01%
|
|
|
|
|
|
|
|
|
2.38%
|
|
|
|
|
|
|
|
|
|
|
Due 10/01/12
|
|
|
876,905
|
|
|
|
876,906
|
|
09/30/14
|
|
|
855,000
|
|
|
|
900,956
|
|
In the event of counterparty default, the Funds have the right
to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or
prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the
value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor,
acting under the supervision of the Board of Directors, reviews the value of the collateral and the creditworthiness of those banks
and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
6. Derivative Investment Holdings Categorized by Risk Exposure
U.S. GAAP requires disclosures to enable investors to better
understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects
on the Funds’ financial position and results of operations.
Certain Funds utilized options to minimally hedge the Fund's
portfolio to increase returns, to maintain exposure to the equity markets, and create liquidity.
Alpha Opportunity Fund utilized futures contracts to obtain
broad index exposure. The following table represents the notional amount of futures contracts outstanding, as an approximate percentage
of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.
|
|
Approximate percentage
|
|
|
of Fund’s net assets on
|
|
|
a daily basis
|
Fund
|
|
Long
|
Alpha Opportunity Fund
|
|
5%
|
The following is a summary of the location of derivative investments
on the Funds’ Statements of Assets and Liabilities as of September 30, 2012:
Derivative Investment Type
|
|
Asset Derivatives
|
|
Liability Derivatives
|
Equity contracts
|
|
Variation margin
|
|
Variation margin
|
|
|
|
|
Options written, at value
|
94 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
The following table sets forth the fair value of the Funds’
derivative investments categorized by primary risk exposure at September 30, 2012:
Liability Derivative Investments Value
|
|
|
Futures
|
|
|
Options
|
|
|
|
|
|
|
Equity
|
|
|
Written Equity
|
|
|
Total Value at
|
|
|
|
Contracts*
|
|
|
Contracts
|
|
|
September 30, 2012
|
|
Mid Cap Value Fund
|
|
$
|
—
|
|
|
$
|
394,400
|
|
|
$
|
394,400
|
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
190,400
|
|
|
|
190,400
|
|
Small Cap Value Fund
|
|
|
—
|
|
|
|
11,220
|
|
|
|
11,220
|
|
Alpha Opportunity Fund
|
|
|
7,260
|
|
|
|
—
|
|
|
|
7,260
|
|
* Includes cumulative appreciation (depreciation) of futures
contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements
of Assets and Liabilities.
The following is a summary of the location of derivative investments
on the Funds’ Statements of Operations for the year ended September 30, 2012:
Derivative Investment Type
|
|
Location of Gain (Loss) on Derivatives
|
Equity contracts
|
|
Net realized gain (loss) on futures contracts
|
|
|
Net realized gain (loss) on options written
|
|
|
Net change in unrealized appreciation (depreciation) on futures contracts
|
|
|
Net change in unrealized appreciation (depreciation) on options written
|
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, 2012:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
|
|
|
Futures
|
|
|
Options
|
|
|
|
|
|
|
Equity
|
|
|
Written Equity
|
|
|
|
|
|
|
Contracts
|
|
|
Contracts
|
|
|
Total
|
|
Large Cap Core Fund
|
|
$
|
—
|
|
|
$
|
21,833
|
|
|
$
|
21,833
|
|
All Cap Value Fund
|
|
|
—
|
|
|
|
2,504
|
|
|
|
2,504
|
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
3,779,447
|
|
|
|
3,779,447
|
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
1,565,535
|
|
|
|
1,565,535
|
|
Small Cap Value Fund
|
|
|
—
|
|
|
|
45,398
|
|
|
|
45,398
|
|
Alpha Opportunity Fund
|
|
|
428,716
|
|
|
|
—
|
|
|
|
428,716
|
|
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
|
|
Futures
|
|
|
Options
|
|
|
|
|
|
|
Equity
|
|
|
Written Equity
|
|
|
|
|
|
|
Contracts
|
|
|
Contracts
|
|
|
Total
|
|
Large Cap Core Fund
|
|
$
|
—
|
|
|
$
|
(4,934
|
)
|
|
$
|
(4,934
|
)
|
All Cap Value Fund
|
|
|
—
|
|
|
|
(116
|
)
|
|
|
(116
|
)
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
801,835
|
|
|
|
801,835
|
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
313,139
|
|
|
|
313,139
|
|
Small Cap Value Fund
|
|
|
—
|
|
|
|
(780
|
)
|
|
|
(780
|
)
|
Alpha Opportunity Fund
|
|
|
82,794
|
|
|
|
—
|
|
|
|
82,794
|
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 95
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
7. Options Written
Transactions in options written during the year ended
September 30, 2012 were as follows:
Written Call Options
|
|
|
|
|
|
|
|
Mid Cap Value
|
|
|
|
|
|
|
All Cap Value Fund
|
|
|
Mid Cap Value Fund
|
|
|
Institutional Fund
|
|
|
Small Cap Value Fund
|
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2011
|
|
|
—
|
|
|
$
|
—
|
|
|
|
2,211
|
|
|
$
|
569,087
|
|
|
|
931
|
|
|
$
|
239,517
|
|
|
|
31
|
|
|
$
|
5,287
|
|
Options written
|
|
|
7
|
|
|
|
1,398
|
|
|
|
6,174
|
|
|
|
1,312,045
|
|
|
|
2,534
|
|
|
|
545,702
|
|
|
|
189
|
|
|
|
18,100
|
|
Options terminated in closing purchase transactions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Options expired
|
|
|
(1
|
)
|
|
|
(104
|
)
|
|
|
(4,119
|
)
|
|
|
(873,593
|
)
|
|
|
(1,688
|
)
|
|
|
(360,542
|
)
|
|
|
(48
|
)
|
|
|
(7,977
|
)
|
Options exercised
|
|
|
(6
|
)
|
|
|
(1,294
|
)
|
|
|
(3,106
|
)
|
|
|
(676,865
|
)
|
|
|
(1,217
|
)
|
|
|
(265,041
|
)
|
|
|
(139
|
)
|
|
|
(6,003
|
)
|
Balance at September 30, 2012
|
|
|
—
|
|
|
|
—
|
|
|
|
1,160
|
|
|
|
330,674
|
|
|
|
560
|
|
|
|
159,636
|
|
|
|
33
|
|
|
|
9,407
|
|
Written Put Options
|
|
|
|
|
|
|
|
|
|
|
Mid Cap Value
|
|
|
|
|
|
|
Large Cap Core Fund
|
|
|
All Cap Value Fund
|
|
|
Mid Cap Value Fund
|
|
|
Institutional Fund
|
|
|
Small Cap Value Fund
|
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
Number of
|
|
|
Premium
|
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
Contracts
|
|
|
Amount
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2011
|
|
|
119
|
|
|
$
|
21,833
|
|
|
|
4
|
|
|
$
|
1,472
|
|
|
|
13,177
|
|
|
$
|
2,577,115
|
|
|
|
5,411
|
|
|
$
|
1,068,730
|
|
|
|
74
|
|
|
$
|
12,616
|
|
Options written
|
|
|
—
|
|
|
|
—
|
|
|
|
9
|
|
|
|
928
|
|
|
|
17,122
|
|
|
|
1,746,742
|
|
|
|
6,904
|
|
|
|
718,603
|
|
|
|
378
|
|
|
|
32,481
|
|
Options terminated in closing purchase transactions
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(3,419
|
)
|
|
|
(406,921
|
)
|
|
|
(1,471
|
)
|
|
|
(175,747
|
)
|
|
|
(32
|
)
|
|
|
(3,805
|
)
|
Options expired
|
|
|
(119
|
)
|
|
|
(21,833
|
)
|
|
|
(13
|
)
|
|
|
(2,400
|
)
|
|
|
(20,863
|
)
|
|
|
(2,823,259
|
)
|
|
|
(8,479
|
)
|
|
|
(1,172,194
|
)
|
|
|
(397
|
)
|
|
|
(36,623
|
)
|
Options exercised
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(6,017
|
)
|
|
|
(1,093,677
|
)
|
|
|
(2,365
|
)
|
|
|
(439,392
|
)
|
|
|
(23
|
)
|
|
|
(4,669
|
)
|
Balance at September 30, 2012
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 96
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
8. 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 distribute substantially all taxable
net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise
and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken
in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not”
of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than not threshold would be
recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be
taken, on federal income tax returns for all open tax years (fiscal years 2009 – 2012), and has concluded that no provision
for income tax is required in the Funds’ financial statements.
The RIC Modernization Act of 2010 was signed
into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and
the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes were generally
effective for taxable years beginning after the date of enactment.
One of the more prominent changes addressed capital
loss carryforwards. Funds are permitted to carry forward capital losses incurred in taxable years beginning after December
22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be
utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be
carried forward for eight years, and carriedforward as short-term capital, irrespective of the character of the original
loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused.
Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or
long-term capital losses rather than being considered all short-term as under previous law.
The tax character of distributions paid during the year ended
September 30, 2012 was as follows:
|
|
Ordinary
|
|
|
Long-Term
|
|
|
Total
|
|
Fund
|
|
Income
|
|
|
Capital Gain
|
|
|
Distributions
|
|
Large Cap Core Fund
|
|
$
|
200,274
|
|
|
$
|
—
|
|
|
$
|
200,274
|
|
All Cap Value Fund
|
|
|
45,954
|
|
|
|
138,514
|
|
|
|
184,468
|
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
24,197,991
|
|
|
|
24,197,991
|
|
Mid Cap Value Institutional Fund
|
|
|
10,427,545
|
|
|
|
35,975,722
|
|
|
|
46,403,267
|
|
Small Cap Growth Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Small Cap Value Fund
|
|
|
490,519
|
|
|
|
201,354
|
|
|
|
691,873
|
|
Large Cap Concentrated Growth Fund
|
|
|
17
|
|
|
|
—
|
|
|
|
17
|
|
MSCI EAFE Equal Weight Fund
|
|
|
33,558
|
|
|
|
—
|
|
|
|
33,558
|
|
Alpha Opportunity Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
The tax character of distributions paid during the year ended
September 30, 2011 was as follows:
|
|
Ordinary
|
|
|
Long-Term
|
|
|
Total
|
|
Fund
|
|
Income
|
|
|
Capital Gain
|
|
|
Distributions
|
|
Large Cap Core Fund
|
|
$
|
546,823
|
|
|
$
|
—
|
|
|
$
|
546,823
|
|
All Cap Value Fund
|
|
|
48,497
|
|
|
|
115,509
|
|
|
|
164,006
|
|
Mid Cap Value Fund
|
|
|
2,564,377
|
|
|
|
139,287
|
|
|
|
2,703,664
|
|
Mid Cap Value Institutional Fund
|
|
|
14,998,506
|
|
|
|
10,215,700
|
|
|
|
25,214,206
|
|
Small Cap Growth Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Small Cap Value Fund
|
|
|
526,847
|
|
|
|
676,251
|
|
|
|
1,203,098
|
|
Large Cap Concentrated Growth Fund
|
|
|
136,272
|
|
|
|
—
|
|
|
|
136,272
|
|
MSCI EAFE Equal Weight Fund
|
|
|
488,291
|
|
|
|
—
|
|
|
|
488,291
|
|
Alpha Opportunity Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Note: For federal income tax purposes, short term capital gain
distributions are treated as ordinary income distributions.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 97
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
The tax character of distributable earnings/(accumulated losses)
at September 30, 2012 was as follows:
|
|
Undistributed
|
|
|
Undistributed
|
|
|
Accumulated
|
|
|
Net Unrealized
|
|
|
Total
|
|
|
|
Ordinary
|
|
|
Long-Term
|
|
|
Capital and
|
|
|
Appreciation/
|
|
|
Accumulated
|
|
Fund
|
|
Income
|
|
|
Capital Gain
|
|
|
Other Losses*
|
|
|
(Depreciation)**
|
|
|
Earnings/(Deficit)
|
|
Large Cap Core Fund
|
|
$
|
317,574
|
|
|
$
|
—
|
|
|
$
|
(12,483,320
|
)
|
|
$
|
23,376,086
|
|
|
$
|
11,210,340
|
|
All Cap Value Fund
|
|
|
14,795
|
|
|
|
149,276
|
|
|
|
—
|
|
|
|
269,892
|
|
|
|
433,963
|
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
107,239,542
|
|
|
|
(5,871,492
|
)
|
|
|
93,438,803
|
|
|
|
194,806,853
|
|
Mid Cap Value Institutional Fund
|
|
|
1,924,325
|
|
|
|
38,914,101
|
|
|
|
(529,966
|
)
|
|
|
35,885,717
|
|
|
|
76,194,177
|
|
Small Cap Growth Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
(2,427,672
|
)
|
|
|
2,154,159
|
|
|
|
(273,513
|
)
|
Small Cap Value Fund
|
|
|
1,576,630
|
|
|
|
783,642
|
|
|
|
—
|
|
|
|
2,089,796
|
|
|
|
4,450,068
|
|
Large Cap Concentrated Growth Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
(5,280,425
|
)
|
|
|
2,398,824
|
|
|
|
(2,881,601
|
)
|
MSCI EAFE Equal Weight Fund
|
|
|
948,141
|
|
|
|
—
|
|
|
|
(29,545,605
|
)
|
|
|
(6,323,768
|
)
|
|
|
(34,921,232
|
)
|
Alpha Opportunity Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
(10,519,182
|
)
|
|
|
1,428,944
|
|
|
|
(9,090,238
|
)
|
|
*
|
The Fund had net capital loss carryovers and deferred post-October losses as shown below.
|
**
Any differences between book-basis
and tax-basis unrealized appreciation (depreciation) are attributable primarily to the tax deferral of wash sale losses and the
differences between book, and tax basis passive foreign investment companies.
For the year ended September 30, 2012 the capital loss carryovers
utilized or expired and the accumulated net realized loss on sales of investments for federal income tax purposes which are available
to offset future taxable gains are shown in the table below:
|
|
Capital Loss
|
|
|
Capital Loss
|
|
|
|
|
|
|
|
|
Remaining
|
|
|
|
Carryovers
|
|
|
Carryovers
|
|
|
Expires in
|
|
|
Expires in
|
|
|
Unlimited
|
|
|
Capital Loss
|
|
Fund
|
|
Utilized
|
|
|
Expired
|
|
|
2017
|
|
|
2018
|
|
|
Short Term
|
|
|
Long Term
|
|
|
Carryforward
|
|
Large Cap Core Fund
|
|
$
|
(5,978,391
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(12,483,320
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(12,483,320
|
)
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Small Cap Growth Fund
|
|
|
(1,892,202
|
)
|
|
|
—
|
|
|
|
(81,860
|
)
|
|
|
(2,126,508
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(2,208,368
|
)
|
Large Cap Concentrated Growth Fund
|
|
|
(2,566,961
|
)
|
|
|
—
|
|
|
|
(2,794,818
|
)
|
|
|
(2,455,692
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(5,250,510
|
)
|
MSCI EAFE Equal Weight Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
(18,217,126
|
)
|
|
|
(5,357,504
|
)
|
|
|
(749,163
|
)
|
|
|
—
|
|
|
|
(24,323,793
|
)
|
Alpha Opportunity Fund
|
|
|
(1,189,321
|
)
|
|
|
—
|
|
|
|
(6,175,966
|
)
|
|
|
(4,341,927
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(10,517,893
|
)
|
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 deferred ordinary and capital losses, losses deferred due to wash sales, foreign currency gains
and losses, and the “mark-to-market” of certain passive foreign investment companies (PFICs) for tax purposes. To the
extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences
arise.
On the Statements of Assets and Liabilities, the following adjustments
were made for permanent book/tax differences:
|
|
|
|
|
Undistributed
|
|
|
Accumulated Net
|
|
|
|
|
|
|
Net Investment
|
|
|
Realized
|
|
|
|
Paid-In Capital
|
|
|
Income
|
|
|
Gain/(Loss)
|
|
Large Cap Core Fund
|
|
$
|
(2,162
|
)
|
|
$
|
2,162
|
|
|
$
|
—
|
|
All Cap Value Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Mid Cap Value Fund
|
|
|
—
|
|
|
|
1,099,988
|
|
|
|
(1,099,988
|
)
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Small Cap Growth Fund
|
|
|
(66,959
|
)
|
|
|
68,250
|
|
|
|
(1,291
|
)
|
Small Cap Value Fund
|
|
|
—
|
|
|
|
22,129
|
|
|
|
(22,129
|
)
|
Large Cap Concentrated Growth Fund
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
MSCI EAFE Equal Weight Fund
|
|
|
(1,027
|
)
|
|
|
75,807
|
|
|
|
(74,780
|
)
|
Alpha Opportunity Fund
|
|
|
(102
|
)
|
|
|
5,949
|
|
|
|
(5,847
|
)
|
98 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
NOTES TO FINANCIAL STATEMENTS
(continued)
|
At September 30, 2012, the cost of securities for Federal income
tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the
aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
|
|
|
|
|
Tax
|
|
|
Tax
|
|
|
Net
|
|
|
|
Tax
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
Unrealized
|
|
Fund
|
|
Cost
|
|
|
Gain
|
|
|
Loss
|
|
|
Gain/(Loss)
|
|
Large Cap Core Fund
|
|
$
|
151,434,746
|
|
|
$
|
29,075,750
|
|
|
$
|
(5,699,664)
|
|
|
$
|
23,376,086
|
|
All Cap Value Fund
|
|
|
2,264,708
|
|
|
|
409,134
|
|
|
|
(139,242
|
)
|
|
|
269,892
|
|
Mid Cap Value Fund
|
|
|
1,030,853,245
|
|
|
|
198,979,981
|
|
|
|
(105,477,452
|
)
|
|
|
93,502,529
|
|
Mid Cap Value Institutional Fund
|
|
|
448,234,296
|
|
|
|
77,473,100
|
|
|
|
(41,556,619
|
)
|
|
|
35,916,481
|
|
Small Cap Growth Fund
|
|
|
10,542,240
|
|
|
|
2,999,125
|
|
|
|
(844,966
|
)
|
|
|
2,154,159
|
|
Small Cap Value Fund
|
|
|
31,391,812
|
|
|
|
4,393,770
|
|
|
|
(2,302,161
|
)
|
|
|
2,091,609
|
|
Large Cap Concentrated Growth Fund
|
|
|
21,933,775
|
|
|
|
2,591,791
|
|
|
|
(192,967
|
)
|
|
|
2,398,824
|
|
MSCI EAFE Equal Weight Fund
|
|
|
75,153,696
|
|
|
|
4,403,888
|
|
|
|
(10,724,102
|
)
|
|
|
(6,320,214
|
)
|
Alpha Opportunity Fund
|
|
|
11,412,671
|
|
|
|
2,335,655
|
|
|
|
(940,592
|
)
|
|
|
1,395,063
|
|
Pursuant to Federal income tax regulations applicable to 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, 2012, the following losses reflected in the accompanying financial statements were deferred for Federal
income tax purposes until October 1, 2012:
Fund
|
|
Ordinary
|
|
|
Capital
|
|
Mid Cap Value Fund
|
|
$
|
(3,209,568
|
)
|
|
$
|
(2,661,924
|
)
|
Mid Cap Value Institutional Fund
|
|
|
—
|
|
|
|
(529,966
|
)
|
Small Cap Growth Fund
|
|
|
(219,304
|
)
|
|
|
—
|
|
Large Cap Concentrated Growth Fund
|
|
|
(29,915
|
)
|
|
|
—
|
|
MSCI EAFE Equal Weight Fund
|
|
|
—
|
|
|
|
(5,221,812
|
)
|
Alpha Opportunity Fund
|
|
|
(8,549
|
)
|
|
|
—
|
|
9. Securities Transactions
For the year ended September 30, 2012, the cost of purchases
and proceeds from sales of investment securities, excluding government securities and short-term investments, were:
|
|
Purchases
|
|
|
Sales
|
|
Large Cap Core Fund
|
|
$
|
177,765,134
|
|
|
$
|
201,237,703
|
|
All Cap Value Fund
|
|
|
893,950
|
|
|
|
1,774,464
|
|
Mid Cap Value Fund
|
|
|
226,076,985
|
|
|
|
571,931,134
|
|
Mid Cap Value Institutional Fund
|
|
|
163,341,465
|
|
|
|
256,075,137
|
|
Small Cap Growth Fund
|
|
|
11,956,768
|
|
|
|
15,586,901
|
|
Small Cap Value Fund
|
|
|
33,839,214
|
|
|
|
17,663,486
|
|
Large Cap Concentrated Growth Fund
|
|
|
55,783,440
|
|
|
|
66,149,727
|
|
MSCI EAFE Equal Weight Fund
|
|
|
28,471,747
|
|
|
|
37,617,331
|
|
Alpha Opportunity Fund
|
|
|
30,335,976
|
|
|
|
32,599,245
|
|
10. Affiliated Transactions
Investments representing 5% or more of
the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that
portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. Transactions during the year
ended September 30, 2012 in which the portfolio company is an “affiliated person” are as follows:
|
|
|
|
Value
|
|
|
|
|
|
|
|
|
Value
|
|
|
Shares
|
|
|
Investment
|
|
Fund
|
|
Security
|
|
09/30/11
|
|
|
Additions
|
|
|
Reductions
|
|
|
09/30/12
|
|
|
09/30/12
|
|
|
Income
|
|
Mid Cap Value Fund
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IXYS Corp.
|
|
$
|
25,422,534
|
|
|
$
|
351,770
|
|
|
$
|
(2,277,026
|
)
|
|
$
|
21,192,383
|
|
|
|
2,136,329
|
|
|
$
|
—
|
|
|
|
Maxwell Technologies, Inc.
|
|
|
29,779,169
|
|
|
|
295,400
|
|
|
|
(58,625
|
)
|
|
|
13,276,517
|
|
|
|
1,635,039
|
|
|
|
—
|
|
|
|
Total
|
|
$
|
55,201,703
|
|
|
$
|
647,170
|
|
|
$
|
(2,335,651
|
)
|
|
$
|
34,468,900
|
|
|
|
3,771,368
|
|
|
$
|
—
|
|
Mid Cap Value Institutional Fund
|
|
Common Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HydroGen Corp.
|
|
$
|
18,985
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,188
|
|
|
|
1,265,700
|
|
|
$
|
—
|
|
|
|
Total
|
|
$
|
18,985
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,188
|
|
|
|
1,265,700
|
|
|
$
|
—
|
|
|
THE GUGGENHEIM FUNDS ANNUAL REPORT | 99
|
NOTES TO FINANCIAL STATEMENTS
(concluded)
|
11. Alpha Opportunity Fund
The Fund contracted with Lehman Brothers International Europe
(“LBIE”) to provide prime brokerage services related to the Fund’s short selling. On September 15, 2008, LBIE
was placed into administration and a third party administrator was named (the “Administrator”). The Fund’s exposure
to LBIE consists of short sale proceeds held by LBIE, and restricted long positions held at the Fund’s custodian, as collateral
for said short sales. Release of the collateral requires the consent of LBIE and Lehman Brothers Inc. (“LBI”), an entity
that is subject to a liquidation proceeding. The Fund delivered a Notice of Termination of Loans to LBIE and the Administrator.
The Fund has worked to resolve these issues with LBIE and the Administrator. As of September 30, 2012, included in the Statement
of Assets and Liabilities are the value of restricted long positions of $8,579,793, cash collateral of $1,332,130, restricted cash
representing the value of short sale proceeds of $4,309,713 and liabilities for short sales of $7,341,377, representing the value
of securities sold short at the date the short sales were deemed by the Fund to have been terminated. If these short sales had
not been terminated, the value of the liability related to these securities sold short would have been $8,010,527 as of September
30, 2012 resulting in a decrease in net assets of $669,150 or (6.1)%. Until such time as the liability for short sales is settled
and all restrictions are removed by LBIE and LBI, the Fund cannot sell such restricted long positions and/or utilize the restricted
cash balances to achieve the Fund’s investment objectives and/or meet Fund redemption or other Fund obligations. Based on
the ultimate terms of such settlement, the value assigned to these positions may ultimately differ from the fair valuations assigned
to them by the Fund and there is no guaranty that the Fund will ultimately recover the full value of the assets that are subject
to restrictions. Accordingly, a settlement could ultimately result in the Fund realizing values that are materially different from
those indicated herein, which would materially impact the Fund’s net asset value. As of the close of business on October
3, 2008, and until further notice, the Fund is not accepting subscriptions for shares from either new or existing shareholders.
Effective as of August 1, 2011, Security
Investors, LLC has agreed to purchase shares of the Fund from time to time to provide the Fund with liquidity if needed to meet
redemptions. The intent of the agreement is to provide liquidity to the Fund in the event that shareholders seek to redeem shares
of the Fund at a time that there are not sufficient unrestricted assets.
12. Other Liabilities
Mid Cap Value Fund, Mid Cap Value Institutional
Fund and Large Cap Core Fund each wrote put option contracts through LBI that were exercised prior to the option contracts’
expiration and prior to the bankruptcy filing by LBI, during September, 2008. However, these transactions have not settled and
the securities have not been delivered to the Funds as of September 30, 2012.
Although the ultimate resolution of these
transactions is uncertain, the Funds have recorded a liability on their respective books equaI to the difference between the strike
price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded
by the Funds as of September 30, 2012 was $473,594 for Mid Cap Value Fund, $15,940 for Mid Cap Value Institutional Fund, and $18,615
for Large Cap Core Fund.
13. Subsequent Events
All Cap Value Fund Liquidation
On August 23, 2012, the Board of Directors (the “Board”)
of All Cap Value Fund (“Liquidating Fund”) adopted a Plan of Liquidation to cease operations of the Liquidating Fund.
On October 16, 2012, all of the assets of the Liquidating Fund were liquidated completely, each investor’s shares were then
redeemed at net asset value on that date, and the Liquidating Fund was terminated. In connection with liquidation, the Liquidating
Fund adopted the liquidation basis of accounting, which among other things, requires the Liquidating Fund to record assets and
liabilities at their net realizable value, liabilities and their net settlement amounts, and to record estimated costs of liquidating
the Liquidating Fund to the extent that they are reasonably determinable. GI bore all expenses incurred in connection with the
carrying out of the Plan of Liquidation.
100 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
The Board of Directors and Shareholders
Security Equity Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Security Equity Fund (comprised of Large Cap Core Fund, All Cap Value Fund (in liquidation),
Mid Cap Value Fund, Mid Cap Value Institutional Fund, Small Cap Growth Fund, Small Cap Value Fund, Large Cap Concentrated Growth
Fund, MSCI EAFE Equal Weight Fund, and Alpha Opportunity Fund)(the “Funds”) as of September 30, 2012, 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, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial
highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of
the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances,
but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities
owned as of September 30, 2012, by correspondence with the custodian and brokers or by other appropriate auditing procedures where
replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
As more fully discussed in Note 11 to the
financial statements, the Alpha Opportunity Fund has ongoing exposure to Lehman Brothers International Europe (“LBIE”),
which was placed into administration in September 2008. Significant uncertainty exists regarding the ultimate timing and manner
of settlement of this exposure and the difference between amounts currently recorded and that which may ultimately be settled may
be material.
As discussed in Note 13 to the financial
statements, on August 23, 2012, the Board of Directors has approved the liquidation of the All Cap Value Fund effective October
16, 2012. As a result, the basis of accounting for the All Cap Value Fund’s financial statements has changed from the going
concern basis to a liquidation basis of accounting.
In our opinion, the financial statements and financial
highlights referred to above present fairly, in all material respects, the financial position of each of the respective
portfolios constituting the Security Equity Fund at September 30, 2012, 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 years or periods indicated therein, in conformity with U.S. generally accepted accounting principles and, with
respect to the All Cap Value Fund (in liquidation) as of and for the year ended September 30, 2012, applied on the basis
described in the preceding paragraph.
Chicago, Illinois
November 29, 2012
THE GUGGENHEIM FUNDS ANNUAL REPORT | 101
|
OTHER INFORMATION
(Unaudited)
|
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.
Of the taxable ordinary income distributions paid during the
fiscal year ending September 30, 2012, the following funds had the corresponding percentages qualify for the dividends received
deduction for corporations:
Fund
|
|
% Qualifying
|
|
Large Cap Core Fund
|
|
|
100.00
|
%
|
All Cap Value Fund
|
|
|
100.00
|
%
|
Mid Cap Value Institutional Fund
|
|
|
65.13
|
%
|
Small Cap Value Fund
|
|
|
14.16
|
%
|
Additionally, the following amounts of taxable ordinary income
dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth
Tax Relief Reconciliation Act of 2003:
Fund
|
|
% Qualifying
|
|
Large Cap Core Fund
|
|
|
100.00
|
%
|
All Cap Value Fund
|
|
|
100.00
|
%
|
Mid Cap Value Institutional Fund
|
|
|
65.75
|
%
|
Small Cap Value Fund
|
|
|
13.69
|
%
|
MSCI EAFE Equal Weight Fund
|
|
|
100.00
|
%
|
With respect to the taxable year ended September 30, 2012, the
Funds hereby designates as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the
net capital gain of such year:
|
|
Capital Gain
|
|
Fund
|
|
Dividends
|
|
All Cap Value Fund
|
|
$
|
138,514
|
|
Mid Cap Value Fund
|
|
|
24,197,991
|
|
Mid Cap Value Institutional Fund
|
|
|
35,975,722
|
|
Small Cap Value Fund
|
|
|
201,354
|
|
For the fiscal year ended September 30,
2012, the MSCI EAFE Equal Weight Fund earned gross income derived from foreign sources totaling $2,352,779. The MSCI EAFE Equal
Weight Fund paid foreign taxes totaling $291,494 for the fiscal year and may pass these taxes through to shareholders, who may
be able to claim them as a foreign tax credit. A final determination will be made at the end of the calnedar year. The funds will
notify shareholders of amounts for use in preparing their 2012 income tax forms in January 2013.
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 1.800.820.0888. This information is also available from the EDGAR database on the SEC’s
website at http://www.sec.gov.
Information regarding how the Funds voted
proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon
request, by calling 1.800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule
of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the
SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference
Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1.800.820.0888.
102 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
OTHER INFORMATION
(Unaudited) (concluded)
|
Office Locations
The offices of Guggenheim Investments can be found in the following
locations:
40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)
Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850
9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210
THE GUGGENHEIM FUNDS ANNUAL REPORT | 103
|
INFORMATION
on board of Directors and officers
(Unaudited)
DIRECTORS
The business address of each director is One Security Benefit
Place, Topeka, KS 66636-0001
Name
|
|
|
(Date of Birth)
|
|
Principal Occupations
|
Year Elected***
|
|
During Past Five Years
|
|
|
|
Donald A. Chubb, Jr.**
(12-14-46)
1994
|
|
Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. Realtors
|
|
|
|
Harry W. Craig, Jr.**
(05-11-39)
2004
|
|
Current: Chairman, CEO, & Director, The Craig Group, Inc.;
Managing Member of Craig Family Investments, LLC
Previous: Prior to November 2009, Chairman, CEO, Secretary and
Director, The Martin Tractor Company, Inc.
|
|
|
|
Jerry B. Farley**
(09-20-46)
2005
|
|
Current: President, Washburn University
|
|
|
|
Penny A. Lumpkin**
(08-20-39)
1993
|
|
Current: Partner, Vivian’s Gift Shop (Corporate Retail); Vice President, Palmer companies, Inc. (Small Business and Shopping Center Development); PLB (Real estate Equipment Leasing)
|
|
|
|
Maynard F. Oliverius**
(12-18-43)
1998
|
|
Current: President and Chief Executive Officer, Stormont-Vail HealthCare
|
|
|
|
Donald C. Cacciapaglia*
(07-01-51)
2012 (President)
|
|
Current: Guggenheim Investments: President and Chief Administrative
Officer from February 2010 to present
Previous: Channel Capital Group, Inc.; Chairman and CEO from
April 2002 to February 2010
|
|
*
|
This Director is deemed to be an “interested person” of the Funds under the 1940 Act,
as amended, by reason of his position with the Funds’ Investment Manager and/or the parent of the Investment Manager. This
Director is also an officer of the funds.
|
|
**
|
These Directors serve on the Fund’s joint audit committee, the purpose of which is to meet
with the independent registered public accounting firm, to review the work of the independent registered public accounting firm,
and to oversee the handling by Security Investors of the accounting and financial reporting functions for the Funds.
|
|
***
|
Each Director oversees 32 Security Funds portfolios and serves until the next annual meeting, or
until a successor has been duly elected and qualified.
|
|
|
|
104 | THE GUGGENHEIM FUNDS ANNUAL REPORT
|
|
INFORMATION on board of
Directors and officers
(Unaudited) (concluded)
|
OFFICERS*
The business address of each officer is One Security Benefit
Place, Topeka, KS 66636-0001
Name
|
|
|
(Date of Birth)
|
|
Principal Occupations
|
Title – Year Elected
|
|
During Past Five Years
|
|
|
|
Mark P. Bronzo
(11-01-60)
Vice President - 2008
|
|
Current: Portfolio Manager, Security Investors, LLC
Previous: Managing Director and Chief Compliance Officer, Nationwide
Separate Accounts LLC (2003–2008)
|
|
|
|
Elisabeth Miller
(06-06-68)
Chief Compliance Officer - 2012
|
|
Current: Chief Compliance Officer, Rydex Series Funds, Rydex
ETF Trust, Rydex Dynamic Funds, and Rydex Variable Trust; Chief Compliance Officer, Security Equity Fund, Security Income Fund,
Security Large Cap Value Fund, Security Mid Cap Growth Fund, and SBL Fund; Chief Compliance Officer, Security Investors, LLC; and
Chief Compliance Officer, Rydex Distributors, LLC
Previous: Senior Manager, Security Investors, LLC and Rydex
Distributors, LLC (2004–2009)
|
|
|
|
Nikolaos Bonos
(05-30-63)
Treasurer - 2010
|
|
Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized
Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Vice
President & Treasurer, Rydex Series Funds; Rydex ETF Trust; Rydex Dynamic Funds; and Rydex Variable Trust; and Vice
President, Security Benefit Asset Management Holdings, LLC
Previous: Senior Vice President, Security Global Investors, LLC
(2010-2011); and Senior Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC
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Joseph M. Arruda
(09-05-66)
Assistant Treasurer - 2010
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Current: Vice President, Security Investors, LLC; Chief Financial
Officer & Manager, Rydex Specialized Products, LLC; and Assistant Treasurer, Rydex Series Funds; Rydex Dynamic Funds; Rydex
ETF Trust; and Rydex Variable Trust
Previous: Vice President, Security Global Investors, LLC (2010–2011);
and Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC (2010)
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Amy J. Lee
(06-05-61)
Vice President - 2007
Secretary - 1987
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Current: Senior Vice President & Secretary, Security Investors,
LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & Assistant
Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security
Benefit Life Insurance and Annuity of New York; Vice President & Assistant Secretary, Rydex Series Funds, Rydex ETF Trust,
Rydex Dynamic Funds, and Rydex Variable Trust; Vice President & Secretary, Rydex Holdings, LLC Secretary, Advisor Research
Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security
Benefit Clinic and Hospital
Previous: Senior Vice President & Secretary, Security Global
Investors, LLC (2007–2011); Senior Vice President & Secretary, Rydex Advisors, LLC and Rydex Advisors II, LLC (2010);
and Director, Brecek & Young Advisors, Inc. (2004–2008)
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Mark A. Mitchell
(08-24-64)
Vice President - 2003
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Current: Portfolio Manager, Security Investors, LLC
Previous: Vice President and Portfolio Manager, Security Benefit
Life Insurance Company (2003–2010)
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Joseph C. O’Connor
(07-15-60)
Vice President - 2008
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Current: Portfolio Manager, Security Investors, LLC
Previous: Managing Director, Nationwide Separate Accounts LLC
(2003–2008)
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Daniel W. Portanova
(10-02-60)
Vice President - 2008
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Current: Portfolio Manager, Security Investors, LLC
Previous: Managing Director, Nationwide Separate Accounts LLC
(2003–2008)
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James P. Schier
(12-28-57)
Vice President - 1998
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Current: Senior Portfolio Manager, Security Investors, LLC
Previous: Vice President and Senior Portfolio Manager, Security
Benefit Life Insurance Company (1998–2010)
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David G. Toussaint
(10-10-66)
Vice President - 2005
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Current: Portfolio Manager, Security Investors, LLC
Previous: Assistant Vice President and Portfolio Manager, Security
Benefit Life Insurance Company (2005–2009)
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* Officers serve until the next annual meeting or until a successor
has been duly elected and qualified.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 105
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GUGGENHEIM INVESTMENTS PRIVACY POLICIES
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Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors,
Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust
us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship
with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this
private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly,
that we do not sell client information to anyone—whether it is your personal information or if you are a current or former
Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and
investors, we collect nonpublic personal information about you. You typically provide personal information when you complete
a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments
funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally
identifiable private information about you. For example, it includes information regarding your name and address, Social
Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity
(e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about
current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to
complete transactions at your request or to make you aware of related investment products and services that we offer.
Additional details about how we handle your personal information are provided below. To complete certain transactions or
account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups
that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial
institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the
transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information
within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information
within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered
through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies
to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all
such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and
only for that purpose. And we require these third parties to treat your private information with the same high degree of
confidentiality that we do. In certain instances, we may share information with other financial institutions
regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if
you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law
allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal
information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends
to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication
available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies
provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim
Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information
that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management
and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your
email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give
others access to it. See the legal information area on our web site for more details about web site security and privacy features.
106 | THE GUGGENHEIM FUNDS ANNUAL REPORT
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GUGGENHEIM INVESTMENTS PRIVACY POLICIES
(concluded)
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How We Safeguard Your Personal Information
We restrict access to nonpublic personal information about shareholders
to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We
maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal
information.
We’ll Keep You Informed
As required by federal law, we will notify shareholders of our
privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will
tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you
have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 107
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805
King Farm Boulevard, Suite 600
Rockville,
MD 20850
guggenheiminvestments.com
800 820 0888
SBE-ANN