Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

   

  Shares   Value
COMMON STOCKS - 6.0%
Technology - 1.5%
Teradyne, Inc.1 6,613   $   713,344  
ANSYS, Inc.*,1 2,022   644,755  
Intuit, Inc.1 1,181   639,878  
Advanced Micro Devices, Inc.*,1 5,788   611,907  
Paycom Software, Inc.1 1,974   582,014  
Qorvo, Inc.*,1 5,008   537,809  
Skyworks Solutions, Inc.1 4,710   512,165  
IPG Photonics Corp.*,1 4,423   479,276  
QUALCOMM, Inc.1 3,717   425,708  
Zebra Technologies Corp. — Class A*,1 1,317   362,188  
Micron Technology, Inc. 4,612   322,563  
Ceridian HCM Holding, Inc.*,1 4,165   302,046  
Salesforce, Inc.*,1 1,292   286,126  
Tyler Technologies, Inc.*,1 642   255,792  
Seagate Technology Holdings plc 2,826   200,053  
Silicon Laboratories, Inc.* 444   59,878  
Power Integrations, Inc. 691   58,058  
Workiva, Inc.* 501   56,037  
Diodes, Inc.* 510   41,744  
Synaptics, Inc.* 463   40,531  
Varonis Systems, Inc.* 1,250   39,913  
MicroStrategy, Inc. — Class A* 108   38,613  
Blackline, Inc.* 633   38,018  
Envestnet, Inc.* 635   34,690  
Rapid7, Inc.* 659   33,207  
Sprout Social, Inc. — Class A* 530   28,376  
Ambarella, Inc.* 412   25,606  
SiTime Corp.* 188   24,946  
PagerDuty, Inc.* 967   24,910  
Appian Corp. — Class A* 461   22,451  
Semtech Corp.* 756   19,770  
MaxLinear, Inc. — Class A* 829   19,482  
Asana, Inc. — Class A* 853   18,331  
Ultra Clean Holdings, Inc.* 521   18,318  
JFrog Ltd.* 632   18,132  
Apollo Medical Holdings, Inc.* 442   16,734  
Phreesia, Inc.* 584   16,627  
DigitalOcean Holdings, Inc.* 593   16,041  
Zuora, Inc. — Class A* 1,333   12,144  
Cerence, Inc.* 454   11,849  
Digital Turbine, Inc.* 1,060   9,445  
3D Systems Corp.* 1,453   9,168  
Outset Medical, Inc.* 548   7,458  
Health Catalyst, Inc.* 609   7,119  
PAR Technology Corp.* 147   6,392  
Cardlytics, Inc.* 382   6,364  
Grid Dynamics Holdings, Inc.* 530   6,164  
BigCommerce Holdings, Inc.* 567   6,010  
Sapiens International Corporation N.V. 184   5,500  
8x8, Inc.* 1,327   4,313  
Desktop Metal, Inc. — Class A* 2,196   3,953  
Bandwidth, Inc. — Class A* 275   3,952  
Domo, Inc. — Class B* 330   3,518  
Pitney Bowes, Inc. 1,031   3,392  
LivePerson, Inc.* 775   3,255  
TTEC Holdings, Inc. 108   3,214  
CEVA, Inc.* 132   3,065  
Mitek Systems, Inc.* 255   2,848  
Corsair Gaming, Inc.* 163   2,562  
Digimarc Corp.* 76   2,488  
American Software, Inc. — Class A 187   2,156  
Daily Journal Corp.* 7   2,064  
Unisys Corp.* 384   1,548  
AvidXchange Holdings, Inc.* 147   1,511  
Vuzix Corp.* 349   1,396  
Tabula Rasa HealthCare, Inc.* 134   1,376  
ON24, Inc. 161   1,104  
Enfusion, Inc. — Class A* 126   1,076  
Brightcove, Inc.* 242   932  
CoreCard Corp.* 43   913  
Rackspace Technology, Inc.* 324   810  
CS Disco, Inc.* 84   798  
Atomera, Inc.* 120   763  
Porch Group, Inc.* 894   755  
Outbrain, Inc.* 127   725  
Ouster, Inc.* 112   630  
Telos Corp.* 238   621  
Upland Software, Inc.* 172   611  
Veritone, Inc.* 169   519  
Smith Micro Software, Inc.* 275   470  
Viant Technology, Inc. — Class A* 68   426  
SecureWorks Corp. — Class A* 58   400  
iCAD, Inc.* 130   296  
Weave Communications, Inc.* 27   276  
Meta Materials, Inc.* 1,187   273  
Forian, Inc.* 112   270  
DarioHealth Corp.* 80   250  
Arteris, Inc.* 29   196  
EMCORE Corp.* 218   131  
Ryvyl, Inc.* 109   130  
Society Pass, Inc.* 19   8  
NantHealth, Inc.* 10   4  
Total Technology     7,733,648  
Consumer, Cyclical - 1.3%
Tesla, Inc.*,1 2,487   641,845  
PVH Corp.1 6,676   558,114  
Aptiv plc*,1 4,627   469,409  
Carnival Corp.*,1 29,371   464,649  
Caesars Entertainment, Inc.*,1 8,165   451,198  
Bath & Body Works, Inc.1 10,922   402,694  
Copart, Inc.*,1 8,852   396,835  
Penn Entertainment, Inc.*,1 15,035   356,179  
Home Depot, Inc.1 807   266,552  
Domino's Pizza, Inc.1 662   256,459  
NIKE, Inc. — Class B1 2,085   212,065  
Pool Corp.1 578   211,317  
CarMax, Inc.*,1 2,577   210,489  
Best Buy Company, Inc.1 2,703   206,644  
General Motors Co.1 6,159   206,388  
Ford Motor Co.1 15,940   193,352  
Whirlpool Corp.1 1,379   193,005  
Target Corp.1 1,235   156,289  
VF Corp.1 4,779   94,433  
Advance Auto Parts, Inc.1 1,253   86,231  
Crocs, Inc.* 683   66,483  
Under Armour, Inc. — Class C*,1 9,303   64,098  
Under Armour, Inc. — Class A*,1 8,161   62,350  
Fox Factory Holding Corp.* 493   54,629  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

  Shares   Value
COMMON STOCKS - 6.0%
Consumer, Cyclical - 1.3% (continued)
Signet Jewelers Ltd. 620   $46,500  
Skyline Champion Corp.* 613   43,689  
Macy's, Inc. 3,538   43,270  
Goodyear Tire & Rubber Co.* 3,229   41,687  
LCI Industries 289   36,206  
Steven Madden Ltd. 944   32,568  
Boot Barn Holdings, Inc.* 342   31,378  
LGI Homes, Inc.* 252   31,021  
American Eagle Outfitters, Inc. 1,778   30,155  
Papa John's International, Inc. 387   29,296  
Kontoor Brands, Inc. 608   27,840  
Dana, Inc. 1,698   27,355  
Topgolf Callaway Brands Corp.* 1,357   23,666  
Gentherm, Inc.* 390   23,482  
Cracker Barrel Old Country Store, Inc. 278   22,915  
Sonos, Inc.* 1,488   20,505  
National Vision Holdings, Inc.* 969   17,742  
MillerKnoll, Inc. 872   16,655  
AMC Entertainment Holdings, Inc. — Class A* 1,286   16,144  
Sally Beauty Holdings, Inc.* 1,288   13,086  
iRobot Corp.* 315   12,250  
Camping World Holdings, Inc. — Class A 489   12,093  
Fisker, Inc.* 1,915   11,241  
Lions Gate Entertainment Corp. — Class B* 1,385   10,318  
Vista Outdoor, Inc.* 330   9,653  
Cheesecake Factory, Inc. 270   8,599  
Allegiant Travel Co. — Class A 90   7,996  
Wolverine World Wide, Inc. 954   7,708  
Sleep Number Corp.* 260   6,651  
Shyft Group, Inc. 406   6,366  
Malibu Boats, Inc. — Class A* 121   5,876  
Standard Motor Products, Inc. 124   4,592  
Children's Place, Inc.* 161   4,268  
MarineMax, Inc.* 123   4,092  
Douglas Dynamics, Inc. 134   4,056  
Hibbett, Inc. 80   3,705  
Denny's Corp.* 362   3,450  
Nikola Corp.* 2,697   3,182  
Bally's Corp.* 191   3,170  
Rush Street Interactive, Inc.* 616   2,834  
Sun Country Airlines Holdings, Inc.* 187   2,784  
Lions Gate Entertainment Corp. — Class A* 341   2,701  
Global Industrial Co. 76   2,572  
Portillo's, Inc. — Class A* 136   2,494  
Movado Group, Inc. 91   2,489  
Shoe Carnival, Inc. 105   2,429  
Big Lots, Inc. 354   2,195  
Zumiez, Inc.* 114   2,165  
GrowGeneration Corp.* 647   2,103  
Marcus Corp. 136   2,066  
Lovesac Co.* 76   1,742  
Johnson Outdoors, Inc. — Class A 31   1,733  
OneWater Marine, Inc. — Class A* 61   1,593  
Cooper-Standard Holdings, Inc.* 100   1,494  
Hooker Furnishings Corp. 69   1,486  
PetMed Express, Inc. 118   1,330  
Sportsman's Warehouse Holdings, Inc.* 259   1,246  
Tilly's, Inc. — Class A* 135   1,214  
Aeva Technologies, Inc.* 1,231   1,160  
Vera Bradley, Inc.* 155   1,111  
El Pollo Loco Holdings, Inc. 113   1,075  
Citi Trends, Inc.* 47   1,017  
Big 5 Sporting Goods Corp. 123   975  
Snap One Holdings Corp.* 100   915  
Cato Corp. — Class A 117   907  
Escalade, Inc. 60   899  
Flexsteel Industries, Inc. 39   881  
Sweetgreen, Inc. — Class A* 60   862  
Hyliion Holdings Corp.* 698   852  
ONE Group Hospitality, Inc.* 123   843  
American Outdoor Brands, Inc.* 84   825  
Traeger, Inc.* 177   791  
Canoo, Inc.* 1,268   751  
Purple Innovation, Inc. 343   744  
EVI Industries, Inc.* 27   713  
Tupperware Brands Corp.* 286   712  
Workhorse Group, Inc.* 875   690  
Noodles & Co.* 242   673  
Universal Electronics, Inc.* 74   659  
Fossil Group, Inc.* 284   602  
LL Flooring Holdings, Inc.* 170   586  
Superior Group of Companies, Inc. 69   545  
Lazydays Holdings, Inc.* 44   518  
Hamilton Beach Brands Holding Co. — Class A 44   516  
Lifetime Brands, Inc. 75   472  
Duluth Holdings, Inc. — Class B* 72   458  
Conn's, Inc.* 106   443  
Container Store Group, Inc.* 189   442  
PLBY Group, Inc.* 337   438  
GAN Ltd.* 239   337  
Barnes & Noble Education, Inc.* 263   334  
Mesa Air Group, Inc.* 204   279  
Regis Corp.* 248   268  
Rite Aid Corp.* 328   253  
Liberty TripAdvisor Holdings, Inc. — Class A* 434   245  
Lordstown Motors Corp. — Class A* 60   240  
Torrid Holdings, Inc.* 103   233  
Kirkland's, Inc.* 74   185  
Nautilus, Inc.* 179   179  
Shift Technologies, Inc.* 102   122  
Ideanomics, Inc.* 22   67  
Aterian, Inc.* 154   55  
Arcimoto, Inc.* 9   9  
F45 Training Holdings, Inc.* 176   8  
Party City Holdco, Inc.* 658   7  
EBET, Inc.* 68   3  
Total Consumer, Cyclical     7,050,702  
Financial - 1.3%
BlackRock, Inc. — Class A1 735   514,897  
Invesco Ltd.1 29,197   464,816  
T. Rowe Price Group, Inc.1 3,987   447,461  
Goldman Sachs Group, Inc.1 782   256,269  
Franklin Resources, Inc.1 9,379   250,794  
CBRE Group, Inc. — Class A*,1 2,920   248,346  
Nasdaq, Inc.1 4,653   244,189  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Shares   Value
COMMON STOCKS - 6.0%
Financial - 1.3% (continued)
Synchrony Financial1 7,297   $235,547  
Bank of New York Mellon Corp.1 5,113   229,420  
Simon Property Group, Inc. REIT1 1,966   223,121  
Lincoln National Corp.1 8,597   220,599  
State Street Corp.1 3,115   214,125  
Capital One Financial Corp.1 1,965   201,196  
Citigroup, Inc.1 4,721   194,930  
Charles Schwab Corp.1 3,186   188,452  
Bank of America Corp.1 6,340   181,768  
Essex Property Trust, Inc. REIT1 761   181,415  
Healthpeak Properties, Inc. REIT1 7,889   162,356  
Alexandria Real Estate Equities, Inc. REIT1 1,357   157,873  
Citizens Financial Group, Inc.1 5,454   153,421  
Truist Financial Corp.1 4,474   136,681  
Vornado Realty Trust REIT1 5,532   132,879  
KeyCorp1 11,155   126,386  
STAG Industrial, Inc. REIT 2,043   74,631  
Terreno Realty Corp. REIT 863   52,548  
First Financial Bankshares, Inc. 1,517   43,568  
Valley National Bancorp 4,679   42,953  
Focus Financial Partners, Inc. — Class A* 751   39,803  
Glacier Bancorp, Inc. 1,288   38,911  
Hamilton Lane, Inc. — Class A 407   37,766  
Essential Properties Realty Trust, Inc. REIT 1,411   33,892  
Moelis & Co. — Class A 714   33,851  
LXP Industrial Trust REIT 3,282   32,229  
National Storage Affiliates Trust REIT 949   31,886  
Piper Sandler Cos. 204   30,392  
Broadstone Net Lease, Inc. REIT 1,850   29,914  
WSFS Financial Corp. 760   29,868  
Macerich Co. REIT 2,498   29,202  
Walker & Dunlop, Inc. 341   29,101  
Axos Financial, Inc.* 669   28,827  
Artisan Partners Asset Management, Inc. — Class A 687   26,395  
Innovative Industrial Properties, Inc. REIT 292   25,486  
Pacific Premier Bancorp, Inc. 1,095   25,207  
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT 896   20,044  
Cannae Holdings, Inc.* 994   19,512  
Outfront Media, Inc. REIT 1,700   19,295  
Cohen & Steers, Inc. 291   18,967  
Triumph Financial, Inc.* 281   18,049  
Virtus Investment Partners, Inc. 85   17,604  
Pathward Financial, Inc. 345   16,998  
Chimera Investment Corp. REIT 2,752   16,650  
StepStone Group, Inc. — Class A 527   16,268  
BRP Group, Inc. — Class A* 559   14,864  
Goosehead Insurance, Inc. — Class A* 211   14,740  
Stewart Information Services Corp. 313   14,498  
eXp World Holdings, Inc. 736   14,146  
Newmark Group, Inc. — Class A 1,942   13,769  
Trupanion, Inc.* 446   13,260  
Customers Bancorp, Inc.* 357   12,545  
Live Oak Bancshares, Inc. 376   12,160  
Redfin Corp.* 1,216   11,576  
Argo Group International Holdings Ltd. 371   11,037  
Hilltop Holdings, Inc. 362   11,001  
Brandywine Realty Trust REIT 1,990   9,950  
Bank of NT Butterfield & Son Ltd. 294   8,561  
LendingClub Corp.* 1,171   8,150  
Empire State Realty Trust, Inc. — Class A REIT 838   7,316  
Safehold, Inc. REIT 335   7,126  
MFA Financial, Inc. REIT 649   7,113  
Uniti Group, Inc. REIT 1,153   6,192  
B Riley Financial, Inc. 118   6,042  
Redwood Trust, Inc. REIT 675   5,407  
Centerspace REIT 83   5,373  
Veritex Holdings, Inc. 278   5,229  
Piedmont Office Realty Trust, Inc. — Class A REIT 727   4,994  
Community Healthcare Trust, Inc. REIT 141   4,680  
Eagle Bancorp, Inc. 185   4,451  
Anywhere Real Estate, Inc.* 675   4,428  
Capitol Federal Financial, Inc. 762   4,321  
Plymouth Industrial REIT, Inc. 182   4,170  
ConnectOne Bancorp, Inc. 218   4,168  
Brightsphere Investment Group, Inc. 189   3,914  
Ready Capital Corp. REIT 355   3,877  
First Bancshares, Inc. 120   3,407  
Global Medical REIT, Inc. 351   3,398  
World Acceptance Corp.* 24   3,235  
Diamond Hill Investment Group, Inc. 17   2,869  
Northfield Bancorp, Inc. 258   2,719  
Central Pacific Financial Corp. 160   2,715  
TPG RE Finance Trust, Inc. REIT 358   2,692  
LendingTree, Inc.* 136   2,572  
ARMOUR Residential REIT, Inc. 518   2,543  
Business First Bancshares, Inc. 114   2,331  
Metropolitan Bank Holding Corp.* 57   2,269  
First Foundation, Inc. 284   2,232  
Metrocity Bankshares, Inc. 113   2,204  
Oppenheimer Holdings, Inc. — Class A 55   2,095  
Office Properties Income Trust REIT 281   2,079  
Invesco Mortgage Capital, Inc. REIT 183   2,058  
HomeTrust Bancshares, Inc. 87   1,988  
GCM Grosvenor, Inc. — Class A 258   1,971  
Southern Missouri Bancorp, Inc. 45   1,904  
One Liberty Properties, Inc. REIT 95   1,867  
West BanCorp, Inc. 95   1,759  
HCI Group, Inc. 33   1,758  
Alerus Financial Corp. 89   1,736  
Seritage Growth Properties REIT* 222   1,676  
Sierra Bancorp 83   1,650  
Hingham Institution For Savings 8   1,594  
Enterprise Bancorp, Inc. 55   1,592  
Waterstone Financial, Inc. 128   1,588  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Shares   Value
COMMON STOCKS - 6.0%
Financial - 1.3% (continued)
Blue Foundry Bancorp* 167   $1,545  
Orchid Island Capital, Inc. REIT 158   1,515  
Sculptor Capital Management, Inc. 130   1,511  
Civista Bancshares, Inc. 88   1,495  
Industrial Logistics Properties Trust REIT 380   1,493  
City Office REIT, Inc. 254   1,280  
Greenhill & Company, Inc. 85   1,254  
Southern First Bancshares, Inc.* 44   1,237  
Regional Management Corp. 44   1,209  
Franklin Street Properties Corp. REIT 595   1,142  
eHealth, Inc.* 145   1,134  
RBB Bancorp 83   1,131  
Douglas Elliman, Inc. 450   1,131  
HomeStreet, Inc. 114   1,077  
Legacy Housing Corp.* 47   1,066  
Investors Title Co. 7   1,007  
Atlanticus Holdings Corp.* 28   977  
Citizens, Inc.* 297   897  
Great Ajax Corp. REIT 129   871  
Oportun Financial Corp.* 124   868  
Star Holdings* 60   819  
Heritage Insurance Holdings, Inc.* 154   818  
Maiden Holdings Ltd.* 414   708  
GAMCO Investors, Inc. — Class A 30   627  
Pioneer Bancorp, Inc.* 69   622  
Lemonade, Inc.* 30   413  
Ashford Hospitality Trust, Inc. REIT* 101   300  
Fathom Holdings, Inc.* 36   222  
First Republic Bank1 1,594   207  
Finance of America Companies, Inc. — Class A* 106   151  
Curo Group Holdings Corp.* 125   135  
Rafael Holdings, Inc. — Class B* 60   131  
SouthState Corp. 2   116  
Signature Bank1 1,846   102  
SVB Financial Group*,1 1,156   92  
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,2 329,701   80  
Silvergate Capital Corp. — Class A* 327   33  
Total Financial     6,597,733  
Consumer, Non-cyclical - 1.0%
Align Technology, Inc.*,1 1,380   510,793  
Bio-Techne Corp.1 5,648   442,803  
PayPal Holdings, Inc.*,1 5,816   363,558  
Illumina, Inc.*,1 1,645   271,787  
Dexcom, Inc.*,1 2,620   264,568  
Zoetis, Inc.1 1,380   262,904  
IDEXX Laboratories, Inc.*,1 513   262,353  
Equifax, Inc.1 1,142   236,051  
Moderna, Inc.*,1 1,850   209,179  
Charles River Laboratories International, Inc.*,1 985   203,718  
Dentsply Sirona, Inc.1 5,242   194,426  
Bio-Rad Laboratories, Inc. — Class A*,1 482   192,896  
MarketAxess Holdings, Inc.1 746   179,734  
Robert Half, Inc.1 2,350   173,806  
Avis Budget Group, Inc.* 484   103,281  
TriNet Group, Inc.* 474   52,581  
ASGN, Inc.* 596   48,967  
Herc Holdings, Inc. 292   38,001  
CONMED Corp. 339   37,785  
Bridgebio Pharma, Inc.* 1,241   37,118  
LivaNova plc* 625   34,719  
Helen of Troy Ltd.* 281   34,541  
Blueprint Medicines Corp.* 683   34,054  
Arrowhead Pharmaceuticals, Inc.* 1,200   33,168  
Alarm.com Holdings, Inc.* 552   32,331  
Korn Ferry 630   32,117  
Intellia Therapeutics, Inc.* 814   30,509  
Insmed, Inc.* 1,377   30,142  
Omnicell, Inc.* 513   29,169  
Neogen Corp.* 1,258   29,085  
Primo Water Corp. 1,845   28,155  
Progyny, Inc.* 754   28,154  
Pacific Biosciences of California, Inc.* 2,271   25,617  
LiveRamp Holdings, Inc.* 775   25,063  
Denali Therapeutics, Inc.* 1,062   24,522  
AtriCure, Inc.* 525   23,704  
Upbound Group, Inc. 773   23,669  
PROG Holdings, Inc.* 663   22,741  
Veracyte, Inc.* 791   20,882  
NeoGenomics, Inc.* 1,325   19,915  
Vericel Corp.* 545   17,892  
Agios Pharmaceuticals, Inc.* 640   17,555  
Arvinas, Inc.* 548   15,459  
Coursera, Inc.* 851   14,799  
Marathon Digital Holdings, Inc.* 1,115   14,016  
Twist Bioscience Corp.* 633   13,920  
Riot Platforms, Inc.* 1,226   13,915  
Beam Therapeutics, Inc.* 596   13,815  
Cimpress plc* 205   13,245  
Owens & Minor, Inc.* 718   12,134  
Recursion Pharmaceuticals, Inc. — Class A* 1,343   11,684  
Ligand Pharmaceuticals, Inc. — Class B* 177   11,641  
Zentalis Pharmaceuticals, Inc.* 428   11,368  
Arcus Biosciences, Inc.* 526   10,783  
Protagonist Therapeutics, Inc.* 524   10,386  
Deluxe Corp. 503   10,171  
Quanterix Corp.* 361   9,675  
SpringWorks Therapeutics, Inc.* 342   9,638  
Cassava Sciences, Inc.* 448   9,395  
Avid Bioservices, Inc.* 708   8,354  
Nevro Corp.* 405   8,116  
Accolade, Inc.* 601   8,107  
Fulgent Genetics, Inc.* 246   8,059  
Kymera Therapeutics, Inc.* 403   7,689  
Rocket Pharmaceuticals, Inc.* 486   7,606  
Editas Medicine, Inc.* 801   7,137  
Inhibrx, Inc.* 332   7,105  
Monro, Inc. 194   6,352  
Beauty Health Co.* 1,022   6,295  
WW International, Inc.* 627   6,088  
CareDx, Inc.* 593   5,521  
Sana Biotechnology, Inc.* 1,029   5,505  
OmniAb, Inc.* 867   5,029  
Travere Therapeutics, Inc.* 348   4,969  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

 

  Shares   Value
COMMON STOCKS - 6.0%
Consumer, Non-cyclical - 1.0% (continued)
Community Health Systems, Inc.* 1,457   $4,925  
B&G Foods, Inc. 375   4,796  
Repay Holdings Corp.* 507   4,674  
ModivCare, Inc.* 145   4,654  
Green Dot Corp. — Class A* 313   4,645  
USANA Health Sciences, Inc.* 70   4,500  
First Advantage Corp. 320   4,464  
Varex Imaging Corp.* 224   4,406  
OPKO Health, Inc.* 2,343   4,288  
Coherus Biosciences, Inc.* 766   4,083  
Alector, Inc.* 695   3,788  
Atrion Corp. 8   3,721  
Custom Truck One Source, Inc.* 540   3,623  
Replimune Group, Inc.* 177   3,614  
Enanta Pharmaceuticals, Inc.* 230   3,416  
Viad Corp.* 120   3,407  
MacroGenics, Inc.* 716   3,337  
Nurix Therapeutics, Inc.* 373   3,170  
Allogene Therapeutics, Inc.* 811   3,155  
TrueBlue, Inc.* 205   3,102  
American Well Corp. — Class A* 2,183   3,100  
OrthoPediatrics Corp.* 80   3,058  
Heidrick & Struggles International, Inc. 115   3,046  
Nuvation Bio, Inc.* 1,852   3,037  
Surmodics, Inc.* 80   2,946  
Carriage Services, Inc. — Class A 90   2,774  
OraSure Technologies, Inc.* 426   2,752  
2U, Inc.* 857   2,717  
Senseonics Holdings, Inc.* 5,152   2,618  
European Wax Center, Inc. — Class A* 150   2,604  
Generation Bio Co.* 522   2,495  
Castle Biosciences, Inc.* 124   2,471  
Sutro Biopharma, Inc.* 517   2,456  
Fate Therapeutics, Inc.* 948   2,379  
Aaron's Company, Inc. 183   2,209  
Invitae Corp.* 2,340   2,162  
Turning Point Brands, Inc. 86   2,117  
Mission Produce, Inc.* 220   2,094  
Scholar Rock Holding Corp.* 330   2,062  
MaxCyte, Inc.* 563   2,061  
Cerus Corp.* 986   1,864  
Utah Medical Products, Inc. 20   1,832  
Pennant Group, Inc.* 152   1,821  
Heron Therapeutics, Inc.* 1,100   1,804  
AngioDynamics, Inc.* 220   1,767  
Phathom Pharmaceuticals, Inc.* 120   1,727  
Vital Farms, Inc.* 146   1,720  
Vanda Pharmaceuticals, Inc.* 326   1,692  
ORIC Pharmaceuticals, Inc.* 188   1,685  
Orthofix Medical, Inc.* 78   1,650  
Pulmonx Corp.* 155   1,621  
Cullinan Oncology, Inc.* 154   1,594  
Willdan Group, Inc.* 66   1,593  
Accuray, Inc.* 550   1,567  
Marinus Pharmaceuticals, Inc.* 220   1,564  
Anika Therapeutics, Inc.* 86   1,535  
Joint Corp.* 165   1,533  
Olema Pharmaceuticals, Inc.* 150   1,522  
Bluebird Bio, Inc.* 402   1,515  
Atara Biotherapeutics, Inc.* 1,012   1,477  
iTeos Therapeutics, Inc.* 120   1,448  
Akebia Therapeutics, Inc.* 1,039   1,444  
Seres Therapeutics, Inc.* 414   1,428  
Scilex Holding Co.* 491   1,409  
Edgewise Therapeutics, Inc.* 225   1,406  
Sangamo Therapeutics, Inc.* 1,415   1,372  
NanoString Technologies, Inc.* 532   1,362  
Emergent BioSolutions, Inc.* 287   1,346  
Vera Therapeutics, Inc.* 76   1,344  
C4 Therapeutics, Inc.* 460   1,334  
Seer, Inc.* 495   1,302  
Allakos, Inc.* 417   1,201  
Rigel Pharmaceuticals, Inc.* 1,018   1,160  
PMV Pharmaceuticals, Inc.* 156   1,126  
MeiraGTx Holdings plc* 177   1,113  
InfuSystem Holdings, Inc.* 108   1,110  
Inovio Pharmaceuticals, Inc.* 2,464   1,109  
Organogenesis Holdings, Inc.* 379   1,061  
Harvard Bioscience, Inc.* 234   1,032  
HF Foods Group, Inc.* 217   1,027  
Ginkgo Bioworks Holdings, Inc.* 428   1,002  
Precigen, Inc.* 565   989  
Lineage Cell Therapeutics, Inc.* 747   986  
Ocugen, Inc.* 2,201   949  
Kodiak Sciences, Inc.* 399   878  
Tarsus Pharmaceuticals, Inc.* 50   875  
Zevra Therapeutics, Inc.* 172   872  
Erasca, Inc.* 335   868  
Apyx Medical Corp.* 185   862  
Whole Earth Brands, Inc.* 222   846  
Udemy, Inc.* 81   839  
Verastem, Inc.* 85   830  
BioLife Solutions, Inc.* 61   806  
Ikena Oncology, Inc.* 161   747  
Honest Company, Inc.* 495   733  
Inogen, Inc.* 116   720  
Lexicon Pharmaceuticals, Inc.* 408   702  
2seventy bio, Inc.* 135   701  
Oramed Pharmaceuticals, Inc.* 212   695  
Cara Therapeutics, Inc.* 264   678  
Selecta Biosciences, Inc.* 542   667  
Seelos Therapeutics, Inc.* 585   638  
Stoke Therapeutics, Inc.* 113   635  
CytoSorbents Corp.* 245   632  
Paratek Pharmaceuticals, Inc.* 285   630  
Tenaya Therapeutics, Inc.* 153   592  
Bioventus, Inc. — Class A* 164   590  
Vaxart, Inc.* 715   588  
CytomX Therapeutics, Inc.* 386   579  
PhenomeX, Inc.* 607   577  
Assertio Holdings, Inc.* 173   567  
Atossa Therapeutics, Inc.* 697   551  
Allovir, Inc.* 175   548  
Celcuity, Inc.* 57   543  
Mind Medicine MindMed, Inc.* 125   519  
Absci Corp.* 287   514  
Annexon, Inc.* 185   509  
Stereotaxis, Inc.* 295   502  
Cue Biopharma, Inc.* 183   496  
Chimerix, Inc.* 435   496  
Sorrento Therapeutics, Inc.* 3,481   460  
Gritstone bio, Inc.* 249   453  
ALX Oncology Holdings, Inc.* 105   447  
ChromaDex Corp.* 279   444  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

 

  Shares   Value
COMMON STOCKS - 6.0%
Consumer, Non-cyclical - 1.0% (continued)
XBiotech, Inc.* 90   $443  
Athira Pharma, Inc.* 192   428  
Taysha Gene Therapies, Inc.* 133   426  
Werewolf Therapeutics, Inc.* 153   419  
Inozyme Pharma, Inc.* 85   416  
Cardiff Oncology, Inc.* 226   416  
Asensus Surgical, Inc.* 1,394   414  
Durect Corp.* 134   410  
Carisma Therapeutics, Inc. 59   408  
NeuroPace, Inc.* 42   394  
Pulse Biosciences, Inc.* 83   391  
Personalis, Inc.* 214   389  
Affimed N.V.* 691   376  
Inotiv, Inc.* 99   370  
Talaris Therapeutics, Inc.* 124   357  
Graphite Bio, Inc.* 160   355  
Verrica Pharmaceuticals, Inc.* 78   355  
NGM Biopharmaceuticals, Inc.* 187   353  
IGM Biosciences, Inc.* 48   343  
Avrobio, Inc.* 225   342  
Shattuck Labs, Inc.* 158   341  
Kinnate Biopharma, Inc.* 153   341  
Aveanna Healthcare Holdings, Inc.* 235   338  
DermTech, Inc.* 144   331  
Kezar Life Sciences, Inc.* 219   326  
Kronos Bio, Inc.* 231   321  
Homology Medicines, Inc.* 249   299  
CEL-SCI Corp.* 214   297  
AirSculpt Technologies, Inc.* 38   292  
Curis, Inc.* 516   289  
Praxis Precision Medicines, Inc.* 194   285  
Instil Bio, Inc.* 629   284  
Vor BioPharma, Inc.* 113   282  
Cyteir Therapeutics, Inc.* 99   272  
Prelude Therapeutics, Inc.* 64   239  
Century Therapeutics, Inc.* 96   238  
BioAtla, Inc.* 92   231  
Surface Oncology, Inc.* 208   223  
Greenwich Lifesciences, Inc.* 24   220  
Spero Therapeutics, Inc.* 144   216  
Adaptimmune Therapeutics plc ADR* 273   213  
Vistagen Therapeutics, Inc.* 38   203  
MEI Pharma, Inc.* 33   176  
TherapeuticsMD, Inc.* 46   174  
Passage Bio, Inc.* 220   172  
Neoleukin Therapeutics, Inc.* 209   157  
Zevia PBC — Class A* 61   157  
Quince Therapeutics, Inc.* 118   155  
Exagen, Inc.* 61   154  
Fortress Biotech, Inc.* 432   151  
Bolt Biotherapeutics, Inc.* 136   150  
Applied Therapeutics, Inc.* 105   140  
Aeglea BioTherapeutics, Inc.* 240   138  
Precision BioSciences, Inc.* 296   137  
Rent the Runway, Inc. — Class A* 99   137  
Pyxis Oncology, Inc.* 62   135  
PAVmed, Inc.* 429   134  
Magenta Therapeutics, Inc.* 178   133  
Accelerate Diagnostics, Inc.* 19   133  
Syros Pharmaceuticals, Inc.* 34   133  
Aspira Women's Health, Inc.* 28   128  
Sensei Biotherapeutics, Inc.* 124   124  
Xilio Therapeutics, Inc.* 43   123  
Retractable Technologies, Inc.* 103   122  
Beyondspring, Inc.* 133   120  
Molecular Templates, Inc.* 14   119  
Biodesix, Inc.* 75   118  
Harpoon Therapeutics, Inc.* 111   115  
Singular Genomics Systems, Inc.* 244   115  
Eliem Therapeutics, Inc.* 41   109  
Aligos Therapeutics, Inc.* 125   108  
Elicio Therapeutics, Inc.* 12   99  
Frequency Therapeutics, Inc.* 191   92  
22nd Century Group, Inc.* 64   90  
AquaBounty Technologies, Inc.* 326   89  
Mustang Bio, Inc.* 28   89  
Solid Biosciences, Inc.* 23   83  
Rapid Micro Biosystems, Inc. — Class A* 86   83  
KALA BIO, Inc.* 6   81  
Alpha Teknova, Inc.* 41   80  
Oncternal Therapeutics, Inc.* 263   79  
Hookipa Pharma, Inc.* 114   75  
Portage Biotech, Inc.* 29   74  
Vincerx Pharma, Inc.* 95   63  
Telesis Bio, Inc.* 47   62  
Oncocyte Corp.* 17   61  
Atreca, Inc. — Class A* 154   57  
Forte Biosciences, Inc.* 67   56  
Sera Prognostics, Inc. — Class A* 31   55  
Acutus Medical, Inc.* 113   54  
Vapotherm, Inc.* 16   51  
Infinity Pharmaceuticals, Inc.* 521   47  
Cue Health, Inc.* 85   46  
VBI Vaccines, Inc.* 37   45  
Lucid Diagnostics, Inc.* 29   45  
Laird Superfood, Inc.* 37   38  
Talis Biomedical Corp.* 6   36  
Trevena, Inc.* 38   33  
Applied Molecular Transport, Inc.* 148   32  
GT Biopharma, Inc.* 105   27  
Endo International plc* 2,732   27  
Athersys, Inc.* 49   24  
NexImmune, Inc.* 105   23  
AppHarvest, Inc.* 415   23  
Eargo, Inc.* 8   22  
Eterna Therapeutics, Inc.* 8   19  
MiNK Therapeutics, Inc.* 11   16  
iBio, Inc.* 51   15  
Ampio Pharmaceuticals, Inc.* 78   15  
Tonix Pharmaceuticals Holding Corp.* 13   13  
Tattooed Chef, Inc.* 281   11  
ViewRay, Inc.* 837   11  
Rubius Therapeutics, Inc.* 547   10  
Ontrak, Inc.* 9   9  
Landos Biopharma, Inc.* 2   7  
Finch Therapeutics Group, Inc.* 1   6  
SQZ Biotechnologies Co.* 135   6  
Humanigen, Inc.* 284   4  
Oncorus, Inc.* 121   4  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Shares   Value
COMMON STOCKS - 6.0%
Consumer, Non-cyclical - 1.0% (continued)
Avalo Therapeutics, Inc.* 30   $3  
9 Meters Biopharma, Inc.* 67   1  
Athenex, Inc.* 26       –  
Codiak Biosciences, Inc.*,††† 94       –  
Ligand Pharmaceuticals, Inc.*,†† 67       –  
Ligand Pharmaceuticals, Inc.*,†† 67       –  
Total Consumer, Non-cyclical     5,230,831  
Communications - 0.5%
Etsy, Inc.*,1 4,899   360,419  
Netflix, Inc.*,1 751   325,694  
Expedia Group, Inc.*,1 2,988   323,869  
Match Group, Inc.*,1 5,697   267,018  
Amazon.com, Inc.*,1 1,757   242,484  
eBay, Inc.1 5,107   228,691  
F5, Inc.*,1 1,315   215,213  
Charter Communications, Inc. — Class A*,1 457   200,221  
Walt Disney Co.*,1 1,941   162,423  
Warner Bros Discovery, Inc.*,1 10,664   140,125  
DISH Network Corp. — Class A*,1 8,508   51,048  
Ziff Davis, Inc.* 508   33,858  
DigitalBridge Group, Inc. 1,417   24,684  
Perficient, Inc.* 380   24,240  
Q2 Holdings, Inc.* 638   21,954  
Upwork, Inc.* 1,378   20,408  
Cargurus, Inc.* 1,120   20,283  
Overstock.com, Inc.* 504   13,159  
Magnite, Inc.* 1,523   12,565  
Shutterstock, Inc. 274   11,538  
Open Lending Corp. — Class A* 1,223   10,090  
TechTarget, Inc.* 305   8,769  
Liberty Latin America Ltd. — Class C* 906   8,118  
Clear Channel Outdoor Holdings, Inc.* 4,259   6,175  
Revolve Group, Inc.* 420   6,153  
Infinera Corp.* 1,081   5,059  
iHeartMedia, Inc. — Class A* 1,313   4,740  
Eventbrite, Inc. — Class A* 448   4,538  
Stitch Fix, Inc. — Class A* 949   4,166  
EchoStar Corp. — Class A* 219   3,806  
EW Scripps Co. — Class A* 335   2,559  
RealReal, Inc.* 940   2,472  
Liquidity Services, Inc.* 135   2,464  
Gannett Company, Inc.* 838   2,439  
1-800-Flowers.com, Inc. — Class A* 317   2,387  
Anterix, Inc.* 68   2,250  
NETGEAR, Inc.* 169   2,228  
Liberty Latin America Ltd. — Class A* 237   2,119  
Quotient Technology, Inc.* 531   2,119  
Boston Omaha Corp. — Class A* 118   2,086  
IDT Corp. — Class B* 85   1,987  
Thryv Holdings, Inc.* 90   1,835  
Ooma, Inc.* 130   1,832  
OptimizeRx Corp.* 205   1,747  
Groupon, Inc.* 140   1,732  
CarParts.com, Inc.* 291   1,405  
Tucows, Inc. — Class A* 58   1,372  
Entravision Communications Corp. — Class A 358   1,371  
Advantage Solutions, Inc.* 455   1,274  
Ribbon Communications, Inc.* 419   1,240  
Telesat Corp.* 41   817  
Lands' End, Inc.* 85   654  
Cambium Networks Corp.* 63   580  
1stdibs.com, Inc.* 106   475  
Solo Brands, Inc. — Class A* 71   397  
Inseego Corp.* 498   317  
comScore, Inc.* 417   292  
Fluent, Inc.* 258   166  
National CineMedia, Inc.* 35   159  
CuriosityStream, Inc.* 155   128  
CalAmp Corp.* 208   128  
VirnetX Holding Corp. 378   122  
aka Brands Holding Corp.* 55   28  
Audacy, Inc.* 23   16  
Digital Media Solutions, Inc. — Class A* 1   4  
HyreCar, Inc.* 104       –  
Total Communications     2,804,709  
Industrial - 0.4%
Dover Corp.1 1,697   251,665  
Johnson Controls International plc1 4,227   249,647  
Garmin Ltd.1 2,328   246,815  
Generac Holdings, Inc.*,1 2,048   243,323  
Keysight Technologies, Inc.*,1 1,753   233,675  
Fortune Brands Innovations, Inc.1 3,048   210,373  
Mohawk Industries, Inc.* 2,047   207,545  
Stanley Black & Decker, Inc.1 1,746   164,787  
Ball Corp.1 2,988   162,697  
Exponent, Inc. 606   54,455  
Zurn Elkay Water Solutions Corp. 1,417   41,972  
John Bean Technologies Corp. 366   40,227  
Kennametal, Inc. 980   25,941  
Kratos Defense & Security Solutions, Inc.* 1,438   23,137  
Helios Technologies, Inc. 378   21,879  
Vicor Corp.* 247   16,739  
Ichor Holdings Ltd.* 331   12,125  
Montrose Environmental Group, Inc.* 305   11,724  
GrafTech International Ltd. 2,345   8,301  
Astec Industries, Inc. 133   7,291  
CryoPort, Inc.* 476   6,711  
TriMas Corp. 253   6,629  
Columbus McKinnon Corp. 163   6,140  
nLight, Inc.* 509   5,808  
Gorman-Rupp Co. 135   4,339  
Mesa Laboratories, Inc. 29   4,158  
Triumph Group, Inc.* 373   3,510  
Manitowoc Company, Inc.* 204   3,452  
Enviri Corp.* 459   3,420  
FARO Technologies, Inc.* 212   3,362  
Smith & Wesson Brands, Inc. 285   3,346  
Ranpak Holdings Corp.* 447   2,829  
GoPro, Inc. — Class A* 755   2,744  
Tutor Perini Corp.* 245   2,178  
Pactiv Evergreen, Inc. 256   2,104  
Luxfer Holdings plc 164   1,973  
Blink Charging Co.* 428   1,686  
Aspen Aerogels, Inc.* 263   1,602  
Comtech Telecommunications Corp. 152   1,528  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

  Shares   Value
COMMON STOCKS - 6.0%
Industrial - 0.4% (continued)
Standard BioTools, Inc.* 454   $1,362  
Daseke, Inc.* 239   1,267  
Pure Cycle Corp.* 114   1,253  
AMMO, Inc.* 515   1,179  
Identiv, Inc.* 127   1,049  
Turtle Beach Corp.* 90   978  
Latham Group, Inc.* 240   888  
Kopin Corp.* 462   675  
Hydrofarm Holdings Group, Inc.* 465   581  
Yellow Corp.* 300   558  
Caesarstone Ltd.* 134   557  
INNOVATE Corp.* 282   451  
Akoustis Technologies, Inc.* 287   433  
Byrna Technologies, Inc.* 109   376  
View, Inc.* 9   122  
AgEagle Aerial Systems, Inc.* 406   68  
Total Industrial     2,313,634  
Basic Materials - 0.0%
Balchem Corp. 377   52,969  
Quaker Chemical Corp. 157   27,864  
Tronox Holdings plc — Class A 1,344   18,332  
Energy Fuels, Inc.* 900   6,417  
Compass Minerals International, Inc. 200   6,030  
Novagold Resources, Inc.* 1,390   5,727  
Schnitzer Steel Industries, Inc. — Class A 154   5,113  
Coeur Mining, Inc.* 1,501   3,618  
Centrus Energy Corp. — Class A* 57   2,705  
Mativ Holdings, Inc. 136   2,227  
Danimer Scientific, Inc.* 1,055   2,057  
Gatos Silver, Inc.* 276   1,261  
Codexis, Inc.* 706   1,229  
Unifi, Inc.* 81   562  
Glatfelter Corp.* 261   522  
Amyris, Inc.* 2,060   82  
Total Basic Materials     136,715  
Energy - 0.0%
Sunnova Energy International, Inc.* 1,009   14,035  
Stem, Inc.* 1,328   6,760  
SunPower Corp. — Class A* 937   6,709  
DMC Global, Inc.* 111   2,666  
Gevo, Inc.* 1,167   1,529  
Matrix Service Co.* 155   1,288  
Cleanspark, Inc.* 228   1,124  
National Energy Services Reunited Corp.* 226   1,028  
Eos Energy Enterprises, Inc.* 259   842  
Aemetis, Inc.* 161   807  
Spruce Power Holding Corp.* 625   494  
Beam Global* 52   452  
Total Energy     37,734  
Utilities - 0.0%
Ameresco, Inc. — Class A* 362   15,743  
Middlesex Water Co. 101   7,602  
Global Water Resources, Inc. 75   836  
Via Renewables, Inc. 15   132  
Stronghold Digital Mining, Inc. — Class A* 4   24  
Total Utilities     24,337  
Total Common Stocks    
(Cost $54,665,773)     31,930,043  
PREFERRED STOCKS†† - 6.6%
Financial - 6.1%
Markel Group, Inc.
6.00%3 5,000,000   4,848,652  
Goldman Sachs Group, Inc.
3.80%3 5,000,000   4,197,350  
Citigroup, Inc.
4.15%3 5,000,000   4,168,950  
Bank of New York Mellon Corp.
3.75%3 5,000,000   4,075,200  
Wells Fargo & Co.
4.38% 139,386   2,475,495  
4.75% 61,250   1,163,138  
3.90%3 400,000   354,600  
Bank of America Corp.
4.38%3 1,781,500   3,800,323  
Reinsurance Group of America, Inc.
7.13% due 10/15/52 110,000   2,860,000  
Selective Insurance Group, Inc.
4.60% 85,536   1,411,344  
Public Storage Operating Co.
4.10% 58,000   1,046,900  
Lincoln National Corp.
9.25%3 750,000   779,906  
Jackson Financial, Inc.
8.00% 26,000   648,700  
RenaissanceRe Holdings Ltd.
4.20% 38,000   629,660  
First Republic Bank
4.50% 200,000   60  
Total Financial     32,460,278  
Government - 0.5%
CoBank ACB
4.25%3 3,000,000   2,370,000  
Total Preferred Stocks    
(Cost $46,898,142)     34,830,278  
WARRANTS - 0.0%
Acropolis Infrastructure Acquisition Corp.      
Expiring 03/31/262 4,204   525  
Waverley Capital Acquisition Corp.      
Expiring 04/30/27*,2 5,084       –  
Total Warrants    
(Cost $896)     525  
RIGHTS††† - 0.0%
Consumer, Non-cyclical - 0.0%
Aeglea BioTherapeutics, Inc. * 240       –  
Assertio Holdings Inc 971       –  
Carisma Therapeutics, Inc. 1,182       –  
Epizyme, Inc. 793       –  
Disc Medicine, Inc. 130       –  
Jounce Therapeutics, Inc. 196       –  
Eli Lilly & Co 6       –  
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Shares   Value
RIGHTS††† - 0.0%

Radius Health, Inc. 558       $–  
Total Consumer, Non-cyclical         –  
Total Rights    
(Cost $60)         –  
EXCHANGE-TRADED FUND - 0.9%
VanEck Gold Miners ETF1 162,400   4,751,824  
Total Exchange-Traded Fund    
(Cost $5,249,824)     4,751,824  
MUTUAL FUND - 1.1%
Guggenheim Risk Managed Real Estate Fund — Institutional Class4 190,437   5,709,301  
Total Mutual Fund    
(Cost $7,311,649)     5,709,301  
CLOSED-END FUNDS - 2.3%
BlackRock Credit Allocation Income Trust1 283,098   2,876,276  
Eaton Vance Limited Duration Income Fund1 309,597   2,863,772  
Western Asset High Income Opportunity Fund, Inc. 744,627   2,859,368  
BlackRock Debt Strategies Fund, Inc.1 193,981   1,980,546  
Blackstone Strategic Credit Fund1 88,264   975,317  
Ares Dynamic Credit Allocation Fund, Inc.1 51,928   662,601  
Total Closed-End Funds    
(Cost $16,126,613)     12,217,880  
MONEY MARKET FUNDS - 2.5%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.22%5 12,506,390     12,506,390  
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.23%5 765,212     765,212  
Total Money Market Funds    
(Cost $13,271,602)     13,271,602  
  Face
Amount~
 
CORPORATE BONDS†† - 49.5%
Financial -  11.4%      
NFP Corp.      
6.88% due 08/15/286   3,250,000    2,861,864
7.50% due 10/01/306   1,400,000    1,358,848
United Wholesale Mortgage LLC      
5.50% due 04/15/291,6   4,300,000    3,730,250
Jefferies Finance LLC / JFIN Company-Issuer Corp.      
5.00% due 08/15/281,6   3,810,000    3,253,249
Liberty Mutual Group, Inc.      
4.30% due 02/01/611,6   5,250,000    3,213,047
FS KKR Capital Corp.      
3.25% due 07/15/271   3,300,000    2,864,082
Iron Mountain, Inc.      
5.25% due 07/15/306   2,940,000    2,652,839
Kennedy-Wilson, Inc.      
5.00% due 03/01/311   3,500,000    2,647,559
GLP Capital Limited Partnership / GLP Financing II, Inc.      
3.25% due 01/15/321   3,250,000    2,620,421
OneMain Finance Corp.      
4.00% due 09/15/30   3,300,000    2,569,512
Accident Fund Insurance Company of America      
8.50% due 08/01/326   2,550,000    2,559,430
AmWINS Group, Inc.      
4.88% due 06/30/291,6   2,320,000    2,081,615
Atlantic Marine Corporations Communities LLC      
5.38% due 02/15/481   2,073,044    1,559,035
Starwood Property Trust, Inc.      
4.38% due 01/15/276   1,700,000    1,518,202
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.      
4.00% due 10/15/336   1,800,000    1,423,179
3.88% due 03/01/316   100,000    81,396
Cushman & Wakefield US Borrower LLC      
6.75% due 05/15/286   1,500,000    1,427,977
Hunt Companies, Inc.      
5.25% due 04/15/296   1,850,000    1,413,103
Sherwood Financing plc      
4.50% due 11/15/26 EUR  1,500,000    1,401,861
Prudential Financial, Inc.      
5.13% due 03/01/521,3   1,550,000    1,384,755
Iron Mountain Information Management Services, Inc.      
5.00% due 07/15/326   1,600,000    1,381,542
Credit Suisse AG NY      
7.95% due 01/09/251   1,300,000    1,325,416
Swiss Re Finance Luxembourg S.A.      
5.00% due 04/02/491,3,6   1,400,000    1,323,000
USI, Inc.      
6.88% due 05/01/251,6   1,300,000    1,297,894
Global Atlantic Finance Co.      
3.13% due 06/15/316   1,750,000    1,297,061
NatWest Group plc      
7.47% due 11/10/261,3   1,250,000    1,286,975
Jones Deslauriers Insurance Management, Inc.      
8.50% due 03/15/301,6   750,000    765,450
10.50% due 12/15/306   500,000    508,109
Standard Chartered plc      
7.78% due 11/16/251,3,6   1,150,000    1,175,932
Toronto-Dominion Bank      
8.13% due 10/31/823   1,050,000    1,055,273
Ares Finance Company IV LLC      
3.65% due 02/01/526   1,650,000    1,046,758
KKR Group Finance Company X LLC      
3.25% due 12/15/516   1,600,000    1,008,678
PHM Group Holding Oy      
4.75% due 06/18/266 EUR  1,000,000    987,520
Corebridge Financial, Inc.      
6.88% due 12/15/523   900,000    875,041
Bank of Nova Scotia      
8.63% due 10/27/821,3   750,000    764,531
Home Point Capital, Inc.      
5.00% due 02/01/266   790,000    741,781
Kane Bidco Ltd.      
5.00% due 02/15/27 EUR  700,000    717,855
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 49.5%
Financial -  11.4% (continued)      
Ryan Specialty LLC      
4.38% due 02/01/301,6   450,000    $402,206
Total Financial      60,583,246
Consumer, Non-cyclical -  8.1%      
DaVita, Inc.      
4.63% due 06/01/301,6   5,200,000    4,460,317
US Foods, Inc.      
4.63% due 06/01/301,6   4,250,000    3,777,496
Sotheby's/Bidfair Holdings, Inc.      
5.88% due 06/01/291,6   4,400,000    3,410,000
Upbound Group, Inc.      
6.38% due 02/15/291,6   3,412,000    3,099,802
ADT Security Corp.      
4.88% due 07/15/321,6   3,300,000    2,846,580
Cheplapharm Arzneimittel GmbH      
5.50% due 01/15/286   3,125,000    2,829,047
BCP V Modular Services Finance II plc      
4.75% due 11/30/28 EUR  3,000,000    2,743,625
Carriage Services, Inc.      
4.25% due 05/15/291,6   3,150,000    2,733,570
CPI CG, Inc.      
8.63% due 03/15/261,6   2,290,000    2,221,300
Bausch Health Companies, Inc.      
4.88% due 06/01/281,6   3,300,000    1,958,197
TreeHouse Foods, Inc.      
4.00% due 09/01/28   2,000,000    1,711,860
Post Holdings, Inc.      
5.50% due 12/15/296   1,700,000    1,572,592
Medline Borrower, LP      
5.25% due 10/01/291,6   1,750,000    1,554,045
Reynolds American, Inc.      
5.70% due 08/15/35   1,550,000    1,433,628
Castor S.p.A.      
8.78% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29◊,6 EUR  1,400,000    1,428,592
WW International, Inc.      
4.50% due 04/15/296   1,750,000    1,211,875
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.      
4.38% due 02/02/52   1,750,000    1,209,523
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.      
5.00% due 02/01/261,6   1,075,000    1,010,178
Garden Spinco Corp.      
8.63% due 07/20/301,6   900,000    960,858
Catalent Pharma Solutions, Inc.      
3.13% due 02/15/296   300,000    252,474
APi Group DE, Inc.      
4.75% due 10/15/296   250,000    226,557
Fortrea Holdings, Inc.      
7.50% due 07/01/306   100,000    97,875
Grifols Escrow Issuer, S.A.U.      
3.88% due 10/15/28 EUR  100,000    94,215
Endo Dac / Endo Finance LLC / Endo Finco, Inc.      
 due 07/31/276,7   1,750,000    78,750
HealthEquity, Inc.      
4.50% due 10/01/296   75,000    66,508
Total Consumer, Non-cyclical      42,989,464
Communications -  7.8%      
Altice France S.A.      
5.13% due 01/15/291,6   5,260,000    3,749,421
5.13% due 07/15/291,6   2,000,000    1,413,854
CCO Holdings LLC / CCO Holdings Capital Corp.      
4.50% due 06/01/331,6   6,500,000    5,130,906
British Telecommunications plc      
4.88% due 11/23/813,6   5,000,000    4,101,596
Level 3 Financing, Inc.      
3.75% due 07/15/296   6,100,000    3,638,712
Ziggo Bond Company BV      
5.13% due 02/28/301,6   4,361,000    3,384,679
Vodafone Group plc      
5.13% due 06/04/811,3   4,750,000    3,311,489
McGraw-Hill Education, Inc.      
5.75% due 08/01/281,6   1,800,000    1,597,500
8.00% due 08/01/291,6   1,700,000    1,513,561
Vmed O2 UK Financing I plc      
4.25% due 01/31/311,6   3,250,000    2,658,252
Zayo Group Holdings, Inc.      
4.00% due 03/01/271,6   3,250,000    2,435,672
LCPR Senior Secured Financing DAC      
6.75% due 10/15/271,6   1,750,000    1,647,187
5.13% due 07/15/291,6   445,000    375,135
Rogers Communications, Inc.      
5.25% due 03/15/821,3,6   1,600,000    1,450,362
CSC Holdings LLC      
11.25% due 05/15/286   1,000,000    986,324
4.50% due 11/15/316   300,000    213,320
6.50% due 02/01/296   100,000    82,666
Radiate Holdco LLC / Radiate Finance, Inc.      
4.50% due 09/15/266   1,500,000    1,169,073
Ciena Corp.      
4.00% due 01/31/306   850,000    733,125
UPC Broadband Finco BV      
4.88% due 07/15/311,6   750,000    619,013
Cogent Communications Group, Inc.      
7.00% due 06/15/276   500,000    485,350
VZ Secured Financing BV      
5.00% due 01/15/321,6   500,000    407,628
Outfront Media Capital LLC / Outfront Media Capital Corp.      
4.25% due 01/15/296   325,000    266,557
Total Communications      41,371,382
Consumer, Cyclical -  6.1%      
1011778 BC ULC / New Red Finance, Inc.      
4.00% due 10/15/301,6   4,500,000    3,812,180
Penn Entertainment, Inc.      
4.13% due 07/01/291,6   3,350,000    2,739,731
Station Casinos LLC      
4.63% due 12/01/311,6   3,250,000    2,679,203
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.      
5.00% due 06/01/311,6   2,200,000    1,891,076
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 49.5%
Consumer, Cyclical -  6.1% (continued)      

Aramark Services, Inc.      
5.00% due 02/01/286   2,000,000    $1,865,832
Air Canada      
4.63% due 08/15/296 CAD  2,750,000    1,816,669
Wabash National Corp.      
4.50% due 10/15/286   1,750,000    1,484,784
Boyne USA, Inc.      
4.75% due 05/15/296   1,600,000    1,444,012
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.      
4.63% due 01/15/296   1,650,000    1,427,366
Allwyn Entertainment Financing UK plc      
7.88% due 04/30/296   1,400,000    1,422,750
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.      
6.63% due 03/01/306   1,600,000    1,410,416
Crocs, Inc.      
4.25% due 03/15/291,6   1,625,000    1,370,232
Deuce FinCo plc      
5.50% due 06/15/27 GBP  1,200,000    1,305,514
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.      
5.75% due 01/20/266   1,400,000    1,295,508
Steelcase, Inc.      
5.13% due 01/18/291   1,450,000    1,282,265
Evergreen Acqco 1 Limited Partnership / TVI, Inc.      
9.75% due 04/26/286   1,170,000    1,220,088
CD&R Smokey Buyer, Inc.      
6.75% due 07/15/256   1,050,000    1,016,158
Ritchie Bros Holdings, Inc.      
7.75% due 03/15/316   650,000    672,276
Hanesbrands, Inc.      
9.00% due 02/15/311,6   550,000    552,150
4.88% due 05/15/266   100,000    93,480
Michaels Companies, Inc.      
5.25% due 05/01/281,6   600,000    500,250
Tempur Sealy International, Inc.      
3.88% due 10/15/316   600,000    482,183
JB Poindexter & Company, Inc.      
7.13% due 04/15/266   325,000    317,883
Wolverine World Wide, Inc.      
4.00% due 08/15/296   300,000    224,703
Total Consumer, Cyclical      32,326,709
Industrial -  5.0%      
PGT Innovations, Inc.      
4.38% due 10/01/296   3,295,000    3,057,562
Standard Industries, Inc.      
4.38% due 07/15/306   2,400,000    2,057,315
3.38% due 01/15/311,6   1,000,000    797,385
New Enterprise Stone & Lime Company, Inc.      
9.75% due 07/15/286   2,300,000    2,273,671
5.25% due 07/15/286   450,000    415,205
GrafTech Finance, Inc.      
4.63% due 12/15/286   3,200,000    2,512,000
TK Elevator US Newco, Inc.      
5.25% due 07/15/271,6   2,630,000    2,465,363
Enviri Corp.      
5.75% due 07/31/271,6   2,625,000    2,276,400
MIWD Holdco II LLC / MIWD Finance Corp.      
5.50% due 02/01/301,6   2,600,000    2,203,812
Pactiv Evergreen Group Issuer Incorporated/Pactiv Evergreen Group Issuer LLC      
4.00% due 10/15/271,6   2,150,000    1,933,753
Artera Services LLC      
9.03% due 12/04/251,6   1,600,000    1,488,589
Builders FirstSource, Inc.      
6.38% due 06/15/326   1,500,000    1,462,404
Clearwater Paper Corp.      
4.75% due 08/15/281,6   1,609,000    1,404,319
Mauser Packaging Solutions Holding Co.      
7.88% due 08/15/266   700,000    689,322
9.25% due 04/15/276   350,000    317,132
Great Lakes Dredge & Dock Corp.      
5.25% due 06/01/296   1,025,000    877,841
SCIL IV LLC / SCIL USA Holdings LLC      
9.50% due 07/15/28 EUR  550,000    606,552
Waste Pro USA, Inc.      
5.50% due 02/15/266   100,000    94,249
Total Industrial      26,932,874
Energy -  4.6%      
NuStar Logistics, LP      
6.38% due 10/01/301   6,000,000    5,775,000
Occidental Petroleum Corp.      
7.95% due 06/15/391   3,190,000    3,578,259
ITT Holdings LLC      
6.50% due 08/01/291,6   3,750,000    3,384,375
CVR Energy, Inc.      
5.75% due 02/15/281,6   3,300,000    3,004,056
Global Partners Limited Partnership / GLP Finance Corp.      
7.00% due 08/01/27   2,400,000    2,364,000
6.88% due 01/15/291   675,000    637,875
Valero Energy Corp.      
4.00% due 06/01/52   3,350,000    2,455,491
TransMontaigne Partners Limited Partnership / TLP Finance Corp.      
6.13% due 02/15/261   1,750,000    1,502,813
EnLink Midstream LLC      
6.50% due 09/01/301,6   975,000    977,492
BP Capital Markets plc      
4.88% 1,3,8   500,000    452,807
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.      
5.75% due 04/01/25   150,000    148,729
5.63% due 05/01/276   125,000    121,250
Total Energy      24,402,147
Basic Materials -  3.5%      
Kaiser Aluminum Corp.      
4.50% due 06/01/311,6   4,350,000    3,514,884
SK Invictus Intermediate II SARL      
5.00% due 10/30/291,6   4,250,000    3,491,673
Ingevity Corp.      
3.88% due 11/01/281,6   2,900,000    2,464,101
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Face
Amount~
  Value
CORPORATE BONDS†† - 49.5%
Basic Materials - 3.5% (continued)      

SCIL IV LLC / SCIL USA Holdings LLC      
5.38% due 11/01/261,6   2,250,000    $2,106,174
Compass Minerals International, Inc.      
6.75% due 12/01/271,6   1,943,000    1,884,127
Carpenter Technology Corp.      
7.63% due 03/15/301   1,600,000    1,619,536
6.38% due 07/15/28   200,000    195,401
Illuminate Buyer LLC / Illuminate Holdings IV, Inc.      
9.00% due 07/01/286   1,850,000    1,712,536
Anglo American Capital plc      
5.63% due 04/01/306   1,050,000    1,036,165
Valvoline, Inc.      
4.25% due 02/15/301,6   400,000    393,173
Arsenal AIC Parent LLC      
8.00% due 10/01/301,6   350,000    357,434
WR Grace Holdings LLC      
4.88% due 06/15/276   250,000    233,160
Total Basic Materials      19,008,364
Technology -  2.7%      
Dun & Bradstreet Corp.      
5.00% due 12/15/291,6   3,300,000    2,961,684
NCR Corp.      
5.25% due 10/01/306   3,250,000    2,916,736
AthenaHealth Group, Inc.      
6.50% due 02/15/306   3,200,000    2,779,107
CDW LLC / CDW Finance Corp.      
3.57% due 12/01/311   1,900,000    1,606,586
Cloud Software Group, Inc.      
6.50% due 03/31/296   1,660,000    1,484,794
Central Parent Incorporated / CDK Global, Inc.      
7.25% due 06/15/291,6   1,350,000    1,331,462
Broadcom, Inc.      
3.19% due 11/15/366   1,750,000    1,315,189
Total Technology      14,395,558
Utilities -  0.3%      
Terraform Global Operating, LP      
6.13% due 03/01/261,6   1,150,000    1,105,437
NRG Energy, Inc.      
7.00% due 03/15/336   650,000    646,216
Total Utilities      1,751,653
Total Corporate Bonds    
(Cost $305,667,969)   263,761,397
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8%
Consumer, Non-cyclical -  9.7%      
LaserAway Intermediate Holdings II LLC      
11.32% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 10/14/27   5,663,750    5,557,555
Lyons Magnus      
7.87% (3 Month Term SOFR + 2.50%, Rate Floor: 2.50%) (in-kind rate was 4.25%) due 05/10/279   5,886,201    4,762,937
National Mentor Holdings, Inc.      
9.16% ((1 Month Term SOFR + 3.75%) and (3 Month Term SOFR + 3.75%), Rate Floor: 3.75%) due 03/02/28   5,240,312    4,575,474
9.09% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/02/28   168,375    147,013
Gibson Brands, Inc.      
10.57% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 08/11/28   5,663,750    4,710,371
Kronos Acquisition Holdings, Inc.      
11.57% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 12/22/26   3,250,500    3,213,932
Blue Ribbon LLC      
11.43% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 05/08/28   3,696,203    2,924,620
Triton Water Holdings, Inc.      
8.75% (3 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 03/31/28   2,947,374    2,893,761
Florida Food Products LLC      
10.45% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/18/28   3,209,375    2,735,992
Women's Care Holdings, Inc.      
10.05% (6 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 01/17/28   2,947,368    2,601,053
Southern Veterinary Partners LLC      
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 10/05/27   2,116,804    2,111,512
HAH Group Holding Co. LLC      
10.44% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 10/29/27   1,906,044    1,875,289
Zep, Inc.      
9.54% (3 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 08/12/24   1,986,043    1,827,159
PetIQ LLC      
9.84% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/13/28†††   1,917,517    1,802,466
Mission Veterinary Partners      
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/27/28   1,670,250    1,645,898
Inception Holdco SARL      
9.35% (3 Month EURIBOR + 5.75%, Rate Floor: 5.75%) due 09/26/29††† EUR  1,400,000    1,486,977
Pimente Investissement S.A.S.      
7.35% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 12/29/28 EUR  1,350,000    1,443,028
 
 

 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8%
Consumer, Non-cyclical -  9.7% (continued)      
Chefs' Warehouse, Inc.      
10.18% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 08/23/29   1,141,375    $1,142,802
Dhanani Group, Inc.      
11.41% (1 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/10/27†††   1,129,091    1,117,800
Nidda Healthcare Holding GmbH      
due 08/21/26 EUR  1,000,000    1,073,435
Weber-Stephen Products LLC      
8.70% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 10/29/27   1,037,020    933,318
Grifols Worldwide Operations USA, Inc.      
7.48% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 11/15/27   300,000    296,025
Elanco Animal Health, Inc.      
7.17% (1 Month Term SOFR + 1.75%, Rate Floor: 1.75%) due 08/02/27   281,125    278,227
Bombardier Recreational Products, Inc.      
7.43% (1 Month Term SOFR + 2.00%, Rate Floor: 2.00%) due 05/24/27   270,102    268,008
TGP Holdings LLC      
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 06/29/28   188,432    169,642
Total Consumer, Non-cyclical      51,594,294
Industrial -  6.2%      
American Bath Group LLC      
9.18% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 11/23/27   5,651,517    5,421,557
Pelican Products, Inc.      
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 12/29/28   5,663,750    5,309,766
Protective Industrial Products, Inc.      
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/29/27   3,762,855    3,635,858
Merlin Buyer, Inc.      
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/14/28   3,258,750    3,188,133
ASP Dream Acquisiton Co. LLC      
9.43% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 12/15/28   3,209,375    3,145,187
Icebox Holdco III, Inc.      
9.25% (3 Month Term SOFR + 3.75%, Rate Floor: 4.25%) due 12/22/28   3,162,743    3,131,115
Rinchem Company LLC      
9.59% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/02/29†††   3,168,000    3,017,520
Arcline FM Holdings LLC      
10.25% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 06/23/28   2,210,625    2,180,914
Saverglass      
7.62% (3 Month EURIBOR + 4.15%, Rate Floor: 4.15%) due 02/19/29 EUR  1,500,000    1,614,889
Dispatch Terra Acquisition LLC      
9.64% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 03/27/28   1,193,947    1,095,446
Atlantic Aviation      
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 09/22/28   796,000    795,833
PECF USS Intermediate Holding III Corp.      
9.88% ((1 Month Term SOFR + 4.25%) and (3 Month Term SOFR + 4.25%), Rate Floor: 4.25%) due 12/15/28   445,477    352,733
LTI Holdings, Inc.      
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 09/08/25   173,633    168,301
White Cap Supply Holdings LLC      
9.08% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 10/19/27   98,995    98,830
Total Industrial      33,156,082
Consumer, Cyclical -  6.0%      
Pacific Bells LLC      
10.00% (3 Month Term SOFR + 4.50%, Rate Floor: 5.00%) due 11/10/28   4,925,129    4,823,573
Secretariat Advisors LLC      
10.25% (3 Month Term SOFR + 5.01%, Rate Floor: 5.01%) due 12/29/28†††   4,340,000    4,209,800
First Brands Group LLC      
10.88% (3 Month Term SOFR + 5.00%, Rate Floor: 6.00%) due 03/30/27   3,243,197    3,194,549
BRE/Everbright M6 Borrower LLC      
10.42% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 09/09/26   2,452,000    2,435,155
Cordobes Holdco SL      
8.12% (1 Month EURIBOR + 4.50%, Rate Floor: 4.50%) due 02/02/29 EUR  2,400,000    2,384,373
Breitling Financing SARL      
7.61% (6 Month EURIBOR + 3.68%, Rate Floor: 3.68%) due 10/25/28 EUR  2,000,000    2,126,468
FR Refuel LLC      
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 11/08/28†††   1,968,833    1,895,002
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8%
Consumer, Non-cyclical - 6.0% (continued)      
NFM & J LLC      
11.22% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††   1,836,261    $1,799,484
Alexander Mann      
11.37% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 06/29/27   1,800,000    1,755,000
Fertitta Entertainment LLC      
9.33% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 01/29/29   1,678,750    1,660,804
The Facilities Group      
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 11/30/27†††   1,694,238    1,660,306
Freshworld Holding IV GmbH      
7.49% (6 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 10/02/26 EUR  1,250,000    1,343,435
Michaels Stores, Inc.      
9.75% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 04/15/28   1,012,091    936,528
Congruex Group LLC      
11.27% (3 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 05/03/29   445,500    437,704
American Tire Distributors, Inc.      
11.81% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 10/20/28   444,375    391,605
New Trojan Parent, Inc.      
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 01/06/28   668,182    359,983
Caesars Entertainment, Inc.      
8.68% (1 Month Term SOFR + 3.25%, Rate Floor: 3.25%) due 02/06/30   199,500    199,476
Outcomes Group Holdings, Inc.      
13.02% (1 Month Term SOFR + 7.50%, Rate Floor: 7.50%) due 10/26/26†††   150,000    145,500
Orion Group      
11.88% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 03/19/27   139,130    136,334
CCRR Parent, Inc.      
9.20% (1 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 03/06/28   24,446    23,427
Total Consumer, Cyclical      31,918,506
Technology -  3.5%      
Misys Ltd.      
9.23% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.50%) due 06/13/24   5,625,974    5,618,379
Project Ruby Ultimate Parent Corp.      
11.20% (1 Month Term SOFR + 5.75%, Rate Floor: 5.75%) due 03/10/28†††   2,729,375    2,756,669
Avalara, Inc.      
12.49% (3 Month Term SOFR + 7.25%, Rate Floor: 7.25%) due 10/19/28†††   2,636,364    2,603,746
Precise Midco BV      
7.28% (3 Month EURIBOR + 3.75%, Rate Floor: 3.75%) due 05/13/26 EUR  1,500,000    1,622,442
Apttus Corp.      
9.45% (1 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 05/08/28   1,390,438    1,356,024
Park Place Technologies, LLC      
10.43% (1 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 11/10/27   1,296,684    1,264,591
Finastra      
due 08/01/29†††   1,200,000    1,189,070
due 05/31/26†††   120,000    1,650
Concorde Lux      
7.89% (6 Month EURIBOR + 4.00%, Rate Floor: 4.00%) due 03/01/28 EUR  1,000,000    1,072,979
Atlas CC Acquisition Corp.      
9.93% (3 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 05/25/28   890,909    815,627
CoreLogic, Inc.      
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 06/02/28   494,962    460,493
Total Technology      18,761,670
Financial -  1.8%      
HighTower Holding LLC      
9.35% (3 Month Term SOFR + 4.00%, Rate Floor: 4.00%) due 04/21/28   2,782,221    2,742,797
Eisner Advisory Group      
due 07/28/28   1,897,824    1,893,080
Franchise Group, Inc.      
10.38% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 03/10/26†††   1,346,625    1,198,496
Teneo Holdings LLC      
10.68% (1 Month Term SOFR + 5.25%, Rate Floor: 5.25%) due 07/11/25   1,196,891    1,192,774
Jones Deslauriers Insurance Management, Inc.      
due 07/28/30   1,050,000    1,050,662
Apex Group Treasury LLC      
10.31% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 07/27/28†††   547,250    546,566
Asurion LLC      
9.68% (1 Month Term SOFR + 4.25%, Rate Floor: 4.25%) due 08/20/28   498,750    481,059
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Face
Amount~
  Value
SENIOR FLOATING RATE INTERESTS††,◊ - 28.8%
Financial - 1.8% (continued)      

Claros Mortgage Trust, Inc.      
9.91% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 08/10/26†††   344,724    $327,487
Total Financial      9,432,921
Communications -  0.8%      
Cengage Learning Acquisitions, Inc.      
10.32% (3 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/14/26   3,939,850    3,925,508
McGraw Hill LLC      
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/28/28   393,985    385,778
Flight Bidco, Inc.      
8.95% (1 Month Term SOFR + 3.50%, Rate Floor: 3.50%) due 07/23/25   148,442    142,813
Total Communications      4,454,099
Basic Materials -  0.6%      
NIC Acquisition Corp.      
9.25% (3 Month Term SOFR + 3.75%, Rate Floor: 3.75%) due 12/29/27   3,058,042    2,465,546
LTI Holdings, Inc.      
10.20% (1 Month Term SOFR + 4.75%, Rate Floor: 4.75%) due 07/24/26   494,274    479,139
Arsenal AIC Parent LLC      
9.88% (3 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 07/26/30   300,000    300,150
Total Basic Materials      3,244,835
Energy -  0.2%      
BANGL LLC      
9.82% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 02/01/29   900,000    887,625
Utilities -  0.0%      
Hamilton Projects Acquiror LLC      
9.95% (1 Month Term SOFR + 4.50%, Rate Floor: 4.50%) due 06/17/27   47,720    47,243
Total Senior Floating Rate Interests    
(Cost $160,801,571)   153,497,275
ASSET-BACKED SECURITIES†† - 17.9%
Collateralized Loan Obligations -  8.1%      
CIFC Funding Ltd.      
2021-4RA DR, 12.57% (3 Month Term SOFR + 7.26%, Rate Floor: 7.00%) due 01/17/35◊,6   9,000,000    8,674,475
2022-3A E, 12.60% (3 Month Term SOFR + 7.27%, Rate Floor: 7.27%) due 04/21/35◊,6   1,000,000    986,846
Madison Park Funding LIII Ltd.      
2022-53A E, 11.33% (3 Month Term SOFR + 6.00%, Rate Floor: 6.00%) due 04/21/35◊,6   7,500,000    7,253,843
Boyce Park CLO Ltd.      
2022-1A E, 11.58% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/21/35◊,6   4,000,000    3,794,932
ABPCI Direct Lending Fund IX LLC      
2021-9A BR, 8.12% (3 Month Term SOFR + 2.76%, Rate Floor: 2.50%) due 11/18/31◊,6   3,500,000    3,359,852
Palmer Square Loan Funding Ltd.      
2022-1A D, 10.31% (3 Month Term SOFR + 5.00%, Rate Floor: 5.00%) due 04/15/30◊,6   3,500,000    3,243,601
ACRES Commercial Realty Ltd.      
2021-FL2 D, 8.53% (1 Month Term SOFR + 3.21%, Rate Floor: 3.21%) due 01/15/37◊,6   3,250,000    2,952,397
Carlyle Global Market Strategies      
2022-1A E, 12.66% (3 Month Term SOFR + 7.35%, Rate Floor: 7.35%) due 04/15/35◊,6   2,250,000    2,182,970
Cerberus Loan Funding XLII LLC      
2023-3A C, due 09/13/35◊,6   2,000,000    2,000,000
Fontainbleau Vegas      
  10.96% (1 Month Term SOFR + 5.65%, Rate Floor: 5.65%) due 01/31/26◊,†††   1,842,679    1,842,679
Neuberger Berman Loan Advisers CLO 47 Ltd.      
2022-47A E, 11.56% (3 Month Term SOFR + 6.25%, Rate Floor: 6.25%) due 04/14/35◊,6   1,750,000    1,691,374
Voya CLO Ltd.      
2022-1A SUB, due 04/20/356,10   1,750,000    1,429,174
Cerberus Loan Funding XL LLC      
2023-1A D, 11.71% (3 Month Term SOFR + 6.40%, Rate Floor: 6.40%) due 03/22/35◊,6   1,000,000    1,000,833
FS Rialto Issuer LLC      
2022-FL6 C, 9.54% (1 Month Term SOFR + 4.23%, Rate Floor: 4.23%) due 08/17/37◊,6   1,000,000    994,850
Carlyle US CLO Ltd.      
2022-4A DR, 11.91% (3 Month Term SOFR + 6.60%, Rate Floor: 6.60%) due 04/15/35◊,6   1,000,000    920,836
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

  Face
Amount~
  Value
ASSET-BACKED SECURITIES†† - 17.9%
Collateralized Loan Obligations -  8.1% (continued)      
LCCM Trust      
2021-FL2 C, 7.58% (1 Month Term SOFR + 2.26%, Rate Floor: 2.26%) due 12/13/38◊,6   1,000,000    $910,753
Total Collateralized Loan Obligations      43,239,415
Transport-Aircraft -  3.2%      
GAIA Aviation Ltd.      
2019-1, 3.97% due 12/15/446,11   3,580,763    3,183,155
JOL Air Ltd.      
2019-1, 3.97% due 04/15/446   3,270,104    2,937,829
AASET Trust      
2021-1A, 2.95% due 11/16/416   944,803    832,390
2021-2A, 2.80% due 01/15/476   830,473    717,654
2019-1, 3.84% due 05/15/396   773,888    541,721
2021-2A, 3.54% due 01/15/476   583,463    466,782
2020-1A, 3.35% due 01/16/406   345,934    290,242
Start Ltd.      
2018-1, 4.09% due 05/15/436   1,471,449    1,284,796
2018-1, 5.32% due 05/15/436   1,280,252    981,697
KDAC Aviation Finance Ltd.      
2017-1A, 4.21% due 12/15/426   2,489,453    2,063,782
Project Silver      
2019-1, 3.97% due 07/15/446   1,707,353    1,447,391
Labrador Aviation Finance Ltd.      
2016-1A, 4.30% due 01/15/426   1,642,508    1,364,957
Start II Ltd.      
2019-1, 4.09% due 03/15/446   705,346    625,099
Castlelake Aircraft Securitization Trust      
2019-1A, 3.97% due 04/15/396   405,252    360,375
Total Transport-Aircraft      17,097,870
Infrastructure -  2.3%      
Hotwire Funding LLC      
2021-1, 4.46% due 11/20/516   7,700,000    6,428,768
VB-S1 Issuer LLC - VBTEL      
2022-1A, 5.27% due 02/15/526   5,000,000    4,181,832
Blue Stream Issuer LLC      
2023-1A, 6.90% due 05/20/536   1,000,000    942,161
Vault DI Issuer LLC      
2021-1A, 2.80% due 07/15/466   650,000    566,696
Total Infrastructure      12,119,457
Financial -  2.2%      
Lightning A      
 5.50% due 03/01/37†††   4,340,556    4,022,320
Thunderbird A      
 5.50% due 03/01/37†††   4,278,333    3,964,660
Ceamer Finance LLC      
 6.92% due 11/15/37†††   2,732,524    2,648,889
Lightning B      
 7.50% due 03/01/37†††   561,719    513,052
Thunderbird B      
 7.50% due 03/01/37†††   553,667    505,697
Total Financial      11,654,618
Net Lease -  1.2%      
Capital Automotive LLC      
2017-1A, 4.18% due 04/15/476   3,687,961    3,610,687
CARS-DB4, LP      
2020-1A, 4.52% due 02/15/506   1,000,000    883,284
2020-1A, 4.95% due 02/15/506   850,000    706,219
SVC ABS LLC      
2023-1A, 5.55% due 02/20/536   998,750    919,020
Total Net Lease      6,119,210
Single Family Residence -  0.5%      
FirstKey Homes Trust      
2020-SFR2, 4.50% due 10/19/376   1,100,000    1,021,276
2020-SFR2, 4.00% due 10/19/376   1,100,000    1,015,571
2020-SFR2, 3.37% due 10/19/376   700,000    640,760
Total Single Family Residence      2,677,607
Whole Business -  0.3%      
Five Guys Funding LLC      
2017-1A, 4.60% due 07/25/476   1,723,750    1,689,608
Insurance -  0.1%      
CHEST      
2023-1, 7.13% due 03/15/43†††   500,000    495,188
Total Asset-Backed Securities    
(Cost $100,738,071)   95,092,973
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 4.6%
Government Agency -  2.9%      
Fannie Mae      
4.00% due 06/01/521   3,421,454    3,182,300
4.00% due 07/01/521   1,939,445    1,814,821
4.00% due 05/01/521   1,641,434    1,520,592
Uniform MBS 30 Year      
 due 09/14/2315   5,550,000    5,381,008
Freddie Mac      
4.00% due 06/01/521   2,401,005    2,231,626
4.00% due 05/01/521   1,126,674    1,042,749
Total Government Agency      15,173,096
Residential Mortgage-Backed Securities -  1.5%      
LSTAR Securities Investment Ltd.      
2023-1, 8.81% (SOFR + 3.50%, Rate Floor: 0.00%) due 01/01/28◊,6   2,579,794    2,571,579
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

  Face
Amount~
  Value
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 4.6%
Residential Mortgage-Backed Securities - 1.5% (continued)      
Finance of America HECM Buyout      
2022-HB2, 6.00% (WAC) due 08/01/32◊,6   1,450,000    $1,325,593
Carrington Mortgage Loan Trust Series      
2006-NC5, 5.58% (1 Month Term SOFR + 0.26%, Rate Cap/Floor: 14.50%/0.15%) due 01/25/37   1,482,735    1,309,141
GCAT Trust      
2022-NQM5, 5.71% due 08/25/676,11   722,610    702,919
CFMT LLC      
2022-HB9, 3.25% (WAC) due 09/25/37◊,12   700,000    579,707
PRPM LLC      
2023-1, 6.88% (WAC) due 02/25/28◊,6   570,181    569,987
OBX Trust      
2022-NQM8, 6.10% due 09/25/626,11   447,838    438,860
Citigroup Mortgage Loan Trust      
2022-A, 6.17% due 09/25/626,11   415,762    413,258
CSMC Trust      
2020-RPL5, 3.02% (WAC) due 08/25/60◊,6   292,400    289,058
Total Residential Mortgage-Backed Securities      8,200,102
Commercial Mortgage-Backed Securities -  0.2%      
BX Trust      
2023-DELC, 8.65% (1 Month Term SOFR + 3.34%, Rate Floor: 3.34%) due 05/15/38◊,6   1,000,000    997,493
Total Collateralized Mortgage Obligations    
(Cost $25,162,230)   24,370,691
U.S. GOVERNMENT SECURITIES†† - 1.3%
 
U.S. Treasury Bonds
 due 08/15/511,13,14 12,650,000    3,997,608
 due 05/15/441,13,14 1,910,000    768,633
 due 11/15/4413,14 1,910,000    753,142
 due 02/15/461,13,14 1,920,000    717,016
U.S. Treasury Notes
4.13% due 11/15/321 903,000    902,577
Total U.S. Government Securities    
(Cost $8,875,834)     7,138,976
CONVERTIBLE BONDS†† - 0.2%
Consumer, Non-cyclical -  0.2%      
Block, Inc.      
 due 05/01/2613   1,090,000    915,055
Communications -  0.0%      
Cable One, Inc.      
 due 03/15/2613   450,000    369,900
Total Convertible Bonds    
(Cost $1,349,736)   1,284,955
FOREIGN GOVERNMENT DEBT†† - 0.2%
 
Panama Government International Bond
4.50% due 01/19/63   1,700,000   1,212,415
Total Foreign Government Debt    
(Cost $1,689,526)     1,212,415

 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

 

  Notional Value ~ Value
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:      
Goldman Sachs International
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10
15,700,000   $26,925
Morgan Stanley Capital Services LLC
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10
14,900,000   25,553
Barclays Bank plc
 10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10
14,750,000   25,296
Bank of America, N.A.
10Y-2Y SOFR CMS CAP Expiring June 2024 with strike price of $0.10
7,400,000   12,691
Goldman Sachs International
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20
15,700,000   6,657
Morgan Stanley Capital Services LLC
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.10
14,900,000   6,318
Barclays Bank plc
 10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20
14,850,000   6,297
Bank of America, N.A.
10Y-2Y SOFR CMS CAP Expiring December 2023 with strike price of $0.20
7,300,000   3,095
Total OTC Options Purchased    
(Cost $450,970)     112,832
OTC CREDIT DEFAULT SWAPTIONS PURCHASED†† - 0.0%
Put Swaptions on:      
Barclays Bank plc
 5-Year Credit Default Swap Expiring September 2023 with exercise rate of 0.90%
13,900,000   1,072
Total OTC Credit Default Swaptions Purchased    
(Cost $20,989)     1,072
Total Investments - 121.9%    
(Cost $748,281,455)   $   649,184,039
Other Assets & Liabilities, net - (21.9)%     (116,779,856)
Total Net Assets - 100.0%   $   532,404,183

 

  

 

 

 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

 

Centrally Cleared Credit Default Swap Agreements††

 

Counterparty Exchange Index Protection Protection Premium Rate Payment Frequency Maturity Date Notional Amount Value   Upfront Premiums Paid (Received) Unrealized Depreciation**
J.P. Morgan Securities LLC ICE CDX.NA.HY.37.V3 Sold 5.00% Quarterly 12/20/26  $14,700,000  $672,209  $821,422  $(149,213)
J.P. Morgan Securities LLC ICE CDX.NA.HY.40.V1 Purchased 5.00% Quarterly 06/20/28 10,000,000 (282,526) (62,171) (220,355)
J.P. Morgan Securities LLC ICE ITRAXX.EUR.38.V1 Purchased 1.00% Quarterly 12/20/27 22,700,000 (349,684) (125,749) (223,935)
                 $39,999   $633,502  $(593,503)

 

 

Centrally Cleared Interest Rate Swap Agreements††    
Counterparty Exchange Floating Rate Type Floating Rate Index Fixed Rate Payment Frequency Maturity Date   Notional Amount Value Upfront Premiums Paid (Received) Unrealized Depreciation**
J.P. Morgan Securities LLC CME Pay U.S. Secured Overnight Financing Rate 2.78% Annually 07/18/27   $53,800,000 $(2,723,529) $381 $(2,723,910)

 

 

 

Forward Foreign Currency Exchange Contracts††    
Counterparty Currency Type Quantity Contract Amount Settlement Date Unrealized Appreciation
JPMorgan Chase Bank, N.A. EUR Sell 19,420,000 21,293,739 USD 09/18/23 $206,124
JPMorgan Chase Bank, N.A. CAD Sell 2,546,000 1,894,725 USD 09/18/23  9,850
Barclays Bank plc EUR Sell 990,000 1,082,020 USD 09/18/23  7,007
JPMorgan Chase Bank, N.A. GBP Sell 1,046,000 1,327,749 USD 09/18/23  2,594
UBS AG CAD Buy 60,000 44,294 USD 09/18/23  126
            $225,701
             
             

 

 

 

OTC Credit Default Swaptions Purchased  
Counterparty/Description Buy/Sell Protection Index Payment Frequency Protection Premium Rate Expiration Date Exercise Rate Swaption Notional Amount Swaption Value
Put                
Barclays Bank plc
5-Year Credit Default Swap
Buy CDX.NA.IG.40.V1 Quarterly 1.00% 09/20/23 0.90% $13,900,000 $1,072

  

 

~ The face amount is denominated in U.S. dollars unless otherwise indicated.
* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
††† Value determined based on Level 3 inputs — See Note 3.
Variable rate security. Rate indicated is the rate effective at August 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.
1 All or a portion of these securities have been physically segregated in connections with borrowings, options, reverse repurchase agreements and unfunded loan commitments. As of August 31, 2023, the total value of segregated securities was $189,901,704.
2 Special Purpose Acquisition Company (SPAC).
3 Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
4 Affiliated issuer.
5 Rate indicated is the 7-day yield as of August 31, 2023.
6 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $297,063,148 (cost $334,912,266), or 55.8% of total net assets.
7 Security is in default of interest and/or principal obligations.
8 Perpetual maturity.
9 Payment-in-kind security.
10 Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
11 Security is a step up/down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. Rate indicated is the rate at August 31, 2023. See table below for additional step information for each security.
12 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $579,707 (cost $612,165), or 0.1% of total net assets — See Note 6.
13 Zero coupon rate security.
14 Security is a principal-only strip.
15 Security is unsettled at period end and does not have a stated effective rate.

 

 

 

 

  ADR — American Depositary Receipt
  CAD — Canadian Dollar
 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

  

  CDX.NA.HY.37.V3 — Credit Default Swap North American High Yield Series 37 Index Version 3
 

CDX.NA.HY.40.V1 — Credit Default Swap North American High Yield Series 40 Index Version 1

CDX.NA.IG.40.V1 — Credit Default Swap North American Investment Grade Series 40 Index Version 1

  CME — Chicago Mercantile Exchange
  CMS — Constant Maturity Swap
  EUR — Euro
  EURIBOR — European Interbank Offered Rate
  GBP — British Pound
  ICE — Intercontinental Exchange
  ITRAXX.EUR.38.V1 — iTraxx Europe Series 38 Index Version 1
  LIBOR — London Interbank Offered Rate
  plc — Public Limited Company
  REIT — Real Estate Investment Trust
  SARL —  Société à Responsabilité Limitée
  SOFR — Secured Overnight Financing Rate
  WAC — Weighted Average Coupon
 
        See Sector Classification in Other Information section.
 

  

 

The following table summarizes the inputs used to value the Fund's investments at August 31, 2023 (See Note 3 in the Notes to Schedule of Investments):
 
Investments in Securities (Assets) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Common Stocks $ 31,929,963     $ — * $ 80   $ 31,930,043  
Preferred Stocks     —   34,830,278       —     34,830,278  
Warrants 525       —       —     525  
Rights     —       —       — *       —  
Exchange-Traded Fund 4,751,824       —       —     4,751,824  
Mutual Fund 5,709,301       —       —     5,709,301  
Closed-End Funds 12,217,880       —       —     12,217,880  
Money Market Funds 13,271,602       —       —     13,271,602  
Corporate Bonds     —   263,761,397       —     263,761,397  
Senior Floating Rate Interests     —   127,738,736   25,758,539     153,497,275  
Asset-Backed Securities     —   81,100,488   13,992,485     95,092,973  
Collateralized Mortgage Obligations     —   24,370,691       —     24,370,691  
U.S. Government Securities     —   7,138,976       —     7,138,976  
Convertible Bonds     —   1,284,955       —     1,284,955  
Foreign Government Debt     —   1,212,415       —     1,212,415  
Options Purchased     —   112,832       —     112,832  
Credit Default Swaptions Purchased     —   1,072       —     1,072  
Forward Foreign Currency Exchange Contracts**     —   225,701       —     225,701  
Total Assets $ 67,881,095   $ 541,777,541   $ 39,751,104     $ 649,409,740  

 

Investments in Securities (Liabilities) Level 1 Quoted Prices Level 2 Significant Observable Inputs Level 3 Significant Unobservable Inputs   Total
Credit Default Swap Agreements**   $ —   $ 593,503     $ —     $ 593,503  
Interest Rate Swap Agreements**     —   2,723,910       —     2,723,910  
Unfunded Loan Commitments (Note 5)     —       —   11,162     11,162  
Total Liabilities   $ —   $ 3,317,413   $ 11,162     $ 3,328,575  

 

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

 

Please refer to the detailed Schedule of Investments for a breakdown of investments by industry category.

 
 

Guggenheim Active Allocation Fund  
SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023
   

  

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of the period end, reverse repurchase agreements of $89,718,441 are categorized as Level 2 within the disclosure hierarchy — See Note 2.

 

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

 

Category Ending Balance at August 31, 2023 Valuation Technique Unobservable Inputs Input Range Weighted Average*
Assets:          
Asset-Backed Securities $ 11,343,596   Yield Analysis Yield 6.2%-8.9% 7.1%
Asset-Backed Securities                       2,648,889   Option adjusted spread off prior month end broker quote Broker Quote — 
Common Stocks                                    80   Model Price Liquidation Value
Senior Floating Rate Interests                     14,629,814   Third Party Pricing Broker Quote
Senior Floating Rate Interests                       7,334,259   Yield Analysis Yield 10.8%-11.9% 11.5%
Senior Floating Rate Interests                       3,794,466   Model Price Purchase Price  
Total Assets $ 39,751,104          
Liabilities:          
Unfunded Loan Commitments $         11,162   Model Price Purchase Price  

 

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

 

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

 

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

 

Transfers between Level 2 and Level 3 may occur as markets fluctuate and/or the availability of data used in an investment’s valuation changes. For the period ended August 31, 2023, the Fund had securities with a total value of $1,525,983 transfer into Level 3 from Level 2 due to a lack of observable inputs and had securities with a total value of $4,115,857 transfer out of Level 3 into Level 2 due to the availability of current and reliable market-based data provided by a third-party pricing service which utilizes significant observable inputs.

 

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended August 31, 2023:

 

           
           
           
  Assets   Liabilities
  Asset-Backed Securities Senior Floating Rate Interests Common Stocks Total Assets Unfunded Loan Commitments
Beginning Balance  $           13,522,526  $       26,680,624  $                       80  $             40,203,230  $           (7,057)
Purchases/(Receipts)                  1,625,913              1,189,071                               -                   2,814,984               (4,591)
(Sales, maturities and paydowns)/Fundings                                   -               (682,546)                               -                     (682,546)                          -
Amortization of premiums/discounts                          1,069                   20,585                               -                         21,654                 1,863
Total realized gains (losses) included in earnings                                   -                  (29,732)                               -                       (29,732)                          -
Total change in unrealized appreciation (depreciation) included in earnings                   (214,862)                 228,250                               -                         13,388               (1,377)
Transfers into Level 3                                   -              1,525,983                               -                   1,525,983                          -
Transfers out of Level 3                   (942,161)            (3,173,696)                               -                  (4,115,857)                          -
 Ending Balance   $           13,992,485  $       25,758,539  $                       80  $             39,751,104  $         (11,162)
Net change in unrealized appreciation (depreciation) for investments in Level 3 securities still held at August 31, 2023  $               (193,373)  $             171,754  $                          -  $                   (21,619)  $           (1,377)

 

Step Coupon Bonds

 

The following table discloses additional information related to step coupon bonds held by the Fund. Certain securities are subject to multiple rate changes prior to maturity. For those securities, a range of rates and corresponding dates have been provided. Rates for all step coupon bonds held by the Fund are scheduled to increase, except GAIA Aviation Ltd. which is scheduled to decrease. 

 

 

Name Coupon Rate at Next Reset Date Next Rate Reset Date Future Reset Rate Future Reset Date
Citigroup Mortgage Loan Trust 2022-A, 6.17% due 09/25/62 9.17% 09/25/25 10.17% 09/25/26
GAIA Aviation Ltd. 2019-1, 3.97% due 12/15/44 2.00% 11/15/26
GCAT Trust 2022-NQM5, 5.71% due 08/25/67 6.71% 10/01/26
OBX Trust 2022-NQM8, 6.10% due 09/25/62 7.10% 10/01/26

   

Affiliated Transactions

 

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

 

Transactions during the period ended August 31, 2023, in which the company is an affiliated issuer, were as follows:

 

Security Name Value 05/31/23 Additions Reductions Realized Gain (Loss) Change in Unrealized Appreciation (Depreciation) Value 08/31/23 Shares 08/31/23 Investment Income
Mutual Fund                
  Guggenheim Risk Managed Real Estate Fund — Institutional Class    $5,539,837 $45,194 $– $– $124,270 $5,709,301 190,437 $45,194

 

 

 
 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

Note 1 – Organization and Significant Accounting Policies

Organization

Guggenheim Active Allocation Fund (the “Fund”) was organized as a Delaware statutory trust on May 20, 2021 and commenced investment operations on November 23, 2021. The Fund is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. There can be no assurance that the Fund will achieve its investment objective. The Fund's investment objective is considered non-fundamental and may be changed without shareholder approval.

 

For information on the Fund’s other significant accounting policies, please refer to the Fund’s most recent semi-annual or annual shareholder report.

 

Significant Accounting Policies

The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. 

 

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

 

(a) Valuation of Investments 

The Board of Trustees of the Fund (the “Board”) adopted policies and procedures for the valuation of the Fund's investments (the “Fund Valuation Procedures”). The U.S. Securities and Exchange Commission (the “SEC”) adopted Rule 2a-5 under the 1940 Act (“Rule 2a-5”) which establishes requirements for determining fair value in good faith. Rule 2a-5 defines “readily available market quotations” for purposes of the 1940 Act and establishes requirements for determining whether a fund must fair value a security in good faith.

 

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

 

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

 

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

 

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

 

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

 

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

 

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the New York Stock Exchange (“NYSE”). The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Adviser will determine the current value of such foreign securities by taking into consideration certain factors which may include the following factors, among others: the value of the securities traded on other foreign markets, American Depositary Receipts (“ADR”) trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, under the Valuation Procedures, the Adviser is authorized to use prices and other information supplied by a pricing service provider in valuing foreign securities.

 

Commercial paper and discount notes with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from pricing service providers, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Commercial paper and discount notes with a maturity of 60 days or less at acquisition are valued at amortized cost, unless the Adviser concludes that amortized cost does not represent the fair value of the applicable asset in which case it will be valued using a pricing service provider.

 

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

 

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

 

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

 

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

 

Interest rate swap agreements entered into by the Fund are valued on the basis of the last sale price on the primary exchange on which the swap is traded. Other swap agreements entered into by the Fund will generally be valued using an evaluated price provided by a pricing service provider.

 

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

 

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

 

The Fund may acquire an interest in a special purpose acquisition company (“SPAC”) in an initial public offering or a secondary market transaction. SPAC investments carry many of the same risks as investments in initial public offering securities, such as erratic price movements, greater risk of loss, lack of information about the issuer, limited operating and little public or no trading history, and higher transaction costs. An investment in a SPAC is typically subject to a higher risk of dilution by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC and interests in SPACs may be illiquid and/or be subject to restrictions on resale. A SPAC is a publicly traded company that raises investment capital for the purpose of acquiring the equity securities of one or more existing companies (or interests therein) via merger, combination, acquisition or other similar transactions. Unless and until an acquisition is completed, a SPAC generally invests its assets (less a portion retained to cover expenses) in U.S. government securities, money market securities and cash and does not typically pay dividends in respect of its common stock. SPAC investments are also subject to the risk that a significant portion of the funds raised by the SPAC may be expended during the search for a target acquisition or merger and that the SPAC may have limited time in which to conduct due diligence on potential business combination targets. Because SPACs are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. Among other conflicts of interest, the economic interests of the management, directors, officers and related parties of a SPAC can differ from the economic interests of public shareholders, which may lead to conflicts as they evaluate, negotiate and recommend business combination transactions to shareholders. This risk may become more acute as the deadline for the completion of a business combination nears. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions that are completed will be profitable.  

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

Note 2 – Derivatives

As part of its investment strategy, the Fund may utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Schedule of Investments.

 

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

 

The Fund utilized derivatives for the following purposes:

 

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

 

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

 

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

 

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

 

Options Purchased and Written 

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

 

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

 

Swap Agreements

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

 

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

 

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

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

Credit default swaps are instruments which allow for the full or partial transfer of third-party credit risk, with respect to a particular entity or entities, from one counterparty to the other. The fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure to the investment grade and/or high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The notional amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit default occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the Fund if it is selling the credit protection. If the Fund utilizes centrally cleared credit default swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. For OTC credit default swaps, the Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which a fund is selling credit protection, the default of a third-party issuer.

 

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

Forward Foreign Currency Exchange Contracts

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

 

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

 

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

 

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

 

Foreign Investments

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

 

The Fund may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

 

Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements as part of its financial leverage strategy. Under a reverse repurchase agreement, the Fund temporarily transfers possession of a portfolio instrument to another party, such as a bank or broker-dealer, in return for cash. At the same time, the Fund agrees to repurchase the instrument at an agreed upon time and price, which reflects an interest payment. Such agreements have the economic effect of borrowings. The Fund may enter into such agreements to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Fund enters into a reverse repurchase agreement, any fluctuations in the market value of either the instruments transferred to another party or the instruments in which the proceeds may be invested would affect the market value of the Fund's assets. As a result, such transactions may increase fluctuations in the market value of the Fund's assets.

 

Note 3 – 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 between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

 

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

 

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

 

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

 

Rule 2a-5 sets forth a definition of “readily available market quotations,” which is consistent with the definition of a Level 1 input under U.S. GAAP. Rule 2a-5 provides that “a market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.”

 

Securities for which market quotations are not readily available must be valued at fair value as determined in good faith. Accordingly, any security priced using inputs other than Level 1 inputs will be subject to fair value requirements. The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

 

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

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

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

Certain loans and other securities are valued using a single daily broker quote or a price from a third party vendor based on a single daily or monthly broker quote. 

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

The inputs or methodologies selected and applied for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability, appropriateness and accuracy of the techniques, methodologies and sources employed to determine fair valuation are periodically reviewed and subject to change.

 

Note 4 – Federal Income Tax Information

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

 

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

 

At August 31, 2023, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value, were as follows: 

Tax Cost

Tax

Unrealized

Appreciation

Tax

Unrealized

Depreciation

Net Tax

Unrealized

Appreciation

(Depreciation)

 $  748,528,281  $   1,347,874  $   (103,783,828)  $   (102,435,954)

 

Note 5 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, the Fund held unfunded loan commitments as of August 31, 2023. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

 

The unfunded loan commitments as of August 31, 2023, were as follows:

 

Borrower Maturity Date   Face Amount Value
Avalara, Inc. 10/19/28   $ 263,636 $  3,262
Fontainbleau Vegas 01/31/26    657,321  –
Lightning A 03/01/37    4,159,444  –
Lightning B 03/01/37    538,281  –
Orion Group 03/19/27    286,957  4,469
The Facilities Group 11/30/27    171,336  3,431
Thunderbird A 03/01/37    4,221,667  –
Thunderbird B 03/01/37    546,333  –
        $ 11,162

   

Note 6– Restricted Securities

The security below is considered illiquid and restricted under guidelines established by the Board:

 

Restricted Securities Acquisition Date Cost Value
CFMT LLC      
2022-HB9 3.25% (WAC)  due 09/25/371 09/23/22 $612,165 $579,707

  

1 Variable rate security.  Rate indicated is the rate effective at August 31, 2023. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average.

 

Note 7 – Market Risks

The value of, or income generated by, the investments held by the Fund are subject to the possibility of rapid and unpredictable fluctuation, and loss that may result from various factors. These factors include, among others, developments affecting individual companies, or from broader influences, including real or perceived changes in prevailing interest rates, changes in inflation rates or expectations about inflation rates, adverse investor confidence or sentiment, changing economic, political (including geopolitical), social or financial market conditions, increased instability or general uncertainty, environmental disasters, governmental actions, public health emergencies (such as the spread of infectious diseases, pandemics and epidemics), debt crises, actual or threatened wars or other armed conflicts (such as the current Russia-Ukraine conflict and its risk of expansion or collateral economic and other effects) or ratings downgrades, and other similar events, each of which may be temporary or last for extended periods.

 
 
NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) August 31, 2023

 

Moreover, changing economic, political, geopolitical, social, financial market or other conditions in one country or geographic region could adversely affect the value, yield and return of the investments held by the Fund in a different country or geographic region, economy, and market because of the increasingly interconnected global economies and financial markets. The duration and extent of the foregoing types of factors or conditions are highly uncertain and difficult to predict and have in the past, and may in the future, cause volatility and distress in economies and financial markets or other adverse circumstances, which may negatively affect the value of the Fund’s investments and performance of the Fund.

 

 

 

 
 
OTHER INFORMATION (Unaudited) August 31, 2023

 

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

 

 

 


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