GOF Guggenheim Strategic Opportunities Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21982

Guggenheim Strategic Opportunities Fund
(Exact name of registrant as specified in charter)

227 West Monroe Street, Chicago, 60606
(Address of principal executive offices) (Zip code)

Amy J. Lee

227 West Monroe Street, Chicago, 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 827-0100

Date of fiscal year end: May 31

Date of reporting period: June 1, 2023 - May 31, 2024

Explanatory Note:

The Registrant is filing this amendment to its Form N-CSR for the period ended May 31, 2024, filed with the Securities and Exchange Commission on August 2, 2024 (Accession Number 0001821268-24-000177) and subsequently amended on August 5, 2024 (Accession Number 0001821268-24-000185) to include iXBRL tagging. The sole purpose of this amendment is to remove “Unaudited” from the Statement of Cash Flows. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original Form N-CSR filing.

 

Item 1. Reports to Stockholders.

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

 

 

 

Guggenheim Funds Annual Report

Guggenheim Strategic Opportunities Fund

GuggenheimInvestments.com	CEF-GOF-AR-0524

 

 

 

GUGGENHEIMINVESTMENTS.COM/GOF

... YOUR WINDOW TO THE LATEST, MOST UP-TO-DATE
INFORMATION ABOUT GUGGENHEIM STRATEGIC
OPPORTUNITIES FUND

The shareholder report you are reading right now is just the beginning of the story.

Online at guggenheiminvestments.com/gof, you will find:

• Daily, weekly and monthly data on share prices, net asset values, distributions and more

• Portfolio overviews and performance analyses

• Announcements, press releases and special notices

• Fund and adviser contact information

Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC are continually updating and expanding shareholder information services on the Fund’s website in an ongoing effort to provide you with the most current information about how your Fund’s assets are managed and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment in the Fund.

 

 

DEAR SHAREHOLDER (Unaudited)	May 31, 2024

 

We thank you for your investment in the Guggenheim Strategic Opportunities Fund (the “Fund”). This report covers the Fund’s performance for the 12-month period ended May 31, 2024 (the “Reporting Period”).

To learn more about the Fund’s performance and investment strategy, we encourage you to read the Economic and Market Overview and the Management’s Discussion of Fund Performance, which begin on page 5. There you will find information on Guggenheim’s investment philosophy, views on the economy and market environment, and information about the factors that impacted the Fund’s performance during the Reporting Period.

The Fund’s investment objective is to maximize total return through a combination of current income and capital appreciation. The Fund pursues a relative value-based investment philosophy. The Fund’s sub-adviser seeks to combine a credit-managed fixed-income portfolio with access to a diversified pool of alternative investments and equity strategies.

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on market price of 9.77% and a total return based on NAV of 15.72%. At the end of the Reporting Period, the Fund’s market price of $14.68 per share represented a premium of 22.85% to its NAV of $11.95 per share.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from time to time, and it may be higher or lower than the Fund’s NAV.

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 14.89% based on the Fund’s closing market price of $14.68 per share at the end of the Reporting Period.

The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change. There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 15, and Note 2(f) on page 87 for more information on distributions for the period.

We encourage shareholders to consider the opportunity to reinvest their distributions from the Fund through the Dividend Reinvestment Plan (“DRIP”), which is described on page 130 of this report. When shares trade at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Fund purchased in the market at a price less than NAV.

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DEAR SHAREHOLDER (Unaudited) continued	May 31, 2024

 

Conversely, when the market price of the Fund’s common shares is at a premium above NAV, the DRIP reinvests participants’ dividends in newly issued common shares at the greater of NAV per share or 95% of the market price per share. The DRIP provides a cost-effective means to accumulate additional shares and enjoy the benefits of compounding returns over time. The DRIP effectively provides an income averaging technique for shareholders to accumulate a larger number of Fund shares when the market price is depressed than when the price is higher.

We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Fund’s website at guggenheiminvestments.com/gof.

Sincerely,

Guggenheim Funds Investment Advisors, LLC
Guggenheim Strategic Opportunities Fund

June 30, 2024

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ECONOMIC AND MARKET OVERVIEW	May 31, 2024

 

In recent quarters, the U.S. economy has demonstrated continued strength as fiscal spending helped defy predictions of a U.S. Federal Reserve (the “Fed”) induced recession. Inflation continues to gradually recede, albeit in fits and starts, leaving the Fed on hold to preserve its monetary policy optionality for now. Our economic outlook has continued to improve as the aggregate economy has not responded to rate hikes in the usual ways, even as higher rates weighed on some sectors and reinforced our outlook for increasing bifurcation across the economy and markets. While factors like fiscal stimulus and immigration have helped prop up the economy, we do not believe they will support the economic cycle indefinitely. Our base case is for a benign slowdown in real gross domestic product (“GDP”) growth although we view risks to this forecast as tilted to the downside, particularly relative to the improved expectations of the market.

Optimistic expectations built into market pricing are the driving force behind the recent easing in financial conditions. The Fed’s own financial conditions gauge suggests little headwind to growth from broad financial conditions. But most of the easing has been driven by narrow gains in equity valuations, leaving the economy vulnerable to a pullback in risk sentiment.

Optimism can also be seen in forecasts of accelerating corporate earnings growth, with the S&P 500 earnings per share expected to grow 12% this year after just 2% growth in 2023. While our baseline view is also relatively constructive on the economy, and anticipated Fed easing later this year is expected to help support the growth outlook, we still view risks as skewed to the downside. Signs of economic bifurcation and more cautious consumers may weigh on growth more than currently anticipated, particularly if softening in labor market indicators continues.

However, even as slower growth or shifts in sentiment create some potential for spread widening, all-in yields remain attractive on a historical basis and are still near decade plus highs. In addition, the Fed’s attention to downside risks suggests to us that any substantial shift in conditions could be met with expectations of greater monetary policy easing and could create a favorable environment for active fixed-income investors.

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

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited)	May 31, 2024

 

MANAGEMENT TEAM

Guggenheim Funds Investment Advisors, LLC serves as the investment adviser to Guggenheim Strategic Opportunities Fund (the “Fund”). The Fund is managed by a team of seasoned professionals at Guggenheim Partners Investment Management, LLC (“GPIM”).

This team includes Anne B. Walsh, CFA, JD, Managing Partner, Chief Investment Officer of GPIM and Portfolio Manager; Steven H. Brown, CFA, Chief Investment Officer - Fixed Income, Senior Managing Director, and Portfolio Manager; Adam J. Bloch, Managing Director and Portfolio Manager; and Evan L. Serdensky, Managing Director and Portfolio Manager.

Discuss the Fund’s return and return of comparative indices

All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. For the Reporting Period, the Fund provided a total return based on market price of 9.77% and a total return based on NAV of 15.72%. At the end of the Reporting Period, the Fund’s market price of $14.68 per share represented a premium of 22.85% to its NAV of $11.95 per share. At the beginning of the Reporting Period, the Fund’s market price of $15.69 per share represented a premium of 27.15% to its NAV of $12.34 per share.

Past performance is not a guarantee of future results. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses. The market price of the Fund’s shares fluctuates from time to time and may be higher or lower than the Fund’s NAV.

Please refer to the graphs and tables included within the Fund Summary beginning on page 12 for additional information about the Fund’s performance.

The returns for the Reporting Period of indices tracking performance of the asset classes to which the Fund allocates the largest of its investments were:

Index*	Total Return
Bloomberg U.S. Aggregate Bond Index	1.31%
Bloomberg U.S. Corporate Bond Index	4.40%
Bloomberg U.S. Corporate High Yield Index	11.24%
Credit Suisse Leveraged Loan Index	13.22%
ICE Bank of America (“BofA”) Asset Backed Security Master BBB-AA Index	7.07%
NASDAQ - 100 Index	31.12%
Russell 2000 Index	20.12%
Standard & Poor’s 500 (“S&P 500”) Index	28.19%

 

* See page 10 for Index definitions

 

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2024

 

Discuss the Fund’s distributions

During the Reporting Period, the Fund paid a monthly distribution of $0.1821 per share. The most recent distribution represents an annualized distribution rate of 14.89% based on the Fund’s closing market price of $14.68 per share at the end of the Reporting Period.

The distributions paid consisted of (i) investment company taxable income taxed as ordinary income, which includes, among other things, short-term capital gain and income from certain hedging and interest rate transactions, (ii) long-term capital gain and (iii) return of capital.

There is no guarantee of any future distribution or that the current returns and distribution rate will be maintained. The Fund’s distribution rate is not constant and the amount of distributions, when declared by the Fund’s Board of Trustees, is subject to change.

Please see the Distributions to Shareholders & Annualized Distribution Rate table on page 15, and Note 2(f) on page 87 for more information on distributions for the period.

Payable Date	Amount
June 30, 2023	$0.1821
July 31, 2023	$0.1821
August 31, 2023	$0.1821
September 29, 2023	$0.1821
October 31, 2023	$0.1821
November 30, 2023	$0.1821
December 29, 2023	$0.1821
January 31, 2024	$0.1821
February 29, 2024	$0.1821
March 29, 2024	$0.1821
April 30, 2024	$0.1821
May 31, 2024	$0.1821
Total	$2.1852

 

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

During the Reporting Period, the Fund saw positive performance from income, credit spread tightening, and equities. Earned income contributed the most to performance as the Fund continued to prioritize higher-quality credits with attractive income/yield profiles. Credit spreads also added to overall performance, particularly below-investment-grade corporate credit, as bank loans and high yield corporates saw spreads tighten. Additionally, the Fund’s equity exposure contributed to overall performance given the strong performance of the equity market over the Reporting Period. Duration was the sole thematic detractor to the Fund. Duration detracted from performance as the yield

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2024

 

curve bear steepened, meaning yields at the long end of the curve rose more than those at the front end, with yields on 2-year and 10-year Treasurys finishing 47 basis points and 86 basis points higher, respectively, at the end of the Reporting Period.

During the period, the Fund’s market price experienced elevated volatility and trading volume, along with a decline in the Fund’s market price premium to NAV, particularly during the first half of the period. The market price volatility was not related to any news or fundamental changes to the Fund’s investment objectives or strategies, which remained consistent. As of the end of the period, the Fund’s market price premium to NAV returned to a level more in line with its longer-term average.

The market price of a closed-end fund may trade at a premium or discount to NAV. Whereas the NAV performance is indicative of investment performance, the market price performance may be influenced by non-fundamental factors, such as seasonality, investor sentiment and overall supply and demand in the closed-end fund market, among other factors. Whether investors will realize gains or losses upon the sale of Fund shares will depend upon whether the market price of Fund shares at the time of sale is above or below the investor’s purchase price. The Fund’s investment performance during the period, as indicated by NAV total return, outperformed its market price along with several fixed-income indices.

Discuss the Fund’s Use of Leverage

At the end of the Reporting Period, the Fund’s leverage was approximately 18% of Managed Assets, compared with approximately 19% at the beginning of the Reporting Period.

The Fund currently employs financial leverage through reverse repurchase agreements and a credit facility with a major bank.

One purpose of leverage is to fund the purchase of additional securities that may provide increased income and potentially greater appreciation to common shareholders than could be achieved from an unlevered portfolio. Leverage may result in greater NAV volatility and entails more downside risk than an unleveraged portfolio.

The Fund’s use of leverage during the Reporting Period benefited performance.

Investments in Investment Funds (as defined in the Additional Information Regarding the Fund section which begins on Page 132) frequently expose the Fund to an additional layer of financial leverage and the associated risks, such as the magnified effect of any losses.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2024

 

How did the Fund use derivatives during the Reporting Period?

The Fund used a variety of derivatives during the Reporting Period, both to gain market exposure, as well as to hedge certain exposures. Derivatives used for hedging mostly detracted from performance. Derivatives used for hedging include call writing, which detracted from performance as equities rose over the period. Foreign currency forwards, used to hedge non-USD exposures, detracted from overall performance. The Fund continued to utilize credit default swaps to hedge broader credit markets, which also detracted from performance given the strong credit market performance during the Reporting Period. On the rates front, the Fund continued to hold curve caps and interest rate swaps to hedge against moves lower in the yield curve; those positions were slight detractors during the Reporting Period. During the Reporting Period, the Fund increased its utilization of S&P 500 Index Mini futures to gain long U.S. equity exposure. Derivatives used to obtain general index exposure, such as futures and total return swaps to gain long equity exposure, exhibited positive performance.

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

The Reporting Period exhibited a period of unprecedented volatility that has left a wide range of possible outcomes going forward. We believe the next major policy moves are likely to provide strong tailwinds for fixed income. We continue to expect elevated volatility in the economy and markets, as well as a policy response to these conditions. This argues for the importance of diversification in asset allocation and within portfolios. The heightened probability of an economic slowdown over the next 6-12 months, as indicated by our models, continues to guide our more defensive and conservative positioning within the Fund, prioritizing quality (which takes multiple forms, including focusing on industry market leaders, more conservatively positioned balance sheets, stronger credit stipulations, and more creditor-friendly structures) and industries that may be more resilient to economic downturns.

Though the recent tightening of credit spreads has likely pulled forward some of the expected future total return potential of parts of fixed income, we still view the go-forward valuation proposition of fixed income as attractive at current levels and sourceable income levels in high-quality credit as historically high relative to recent history. High-quality issuers in both the high yield and bank loan markets remain areas of focus within the Fund as well as certain subsectors of structured credit like commercial asset-backed securities that continue to present opportunities to source loss-remote assets at attractive valuations.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2024

 

Index Definitions

Indices are unmanaged and reflect no expenses. It is not possible to invest directly in an index.

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

The Bloomberg U.S. Corporate Bond Index is a broad-based benchmark that measures the investment grade, fixed-rate, taxable corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers that meet specified maturity, liquidity, and quality requirements.

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

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

The ICE Bank of America Asset Backed Security Master BBB-AA Index is a subset of the ICE Bank of America U.S. Fixed Rate Asset Backed Securities Index including all securities rated AA1 through BBB3, inclusive.

The NASDAQ-100 Index includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/ wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.

The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe.

The Standard & Poor’s 500 (“S&P 500”) Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.

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MANAGEMENT’S DISCUSSION OF
FUND PERFORMANCE (Unaudited) continued	May 31, 2024

 

The views expressed in this report reflect those of the portfolio managers only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also include forward looking statements that involve risk and uncertainty, and there is no guarantee that any predictions will come to pass.

There can be no assurance that the Fund will achieve its investment objectives. The value of the Fund will fluctuate with the value of the underlying securities. Risk is inherent in all investing, including the loss of your entire principal. Therefore, before investing you should consider the risks carefully. The Fund is subject to various risk factors. Certain of these risk factors are described in the Additional Information Regarding the Fund section, which begins on page 132. Please see the Fund’s Prospectus and Statement of Additional Information (SAI) and guggenheiminvestments.com/gof for a more detailed description of the risks of investing in the Fund. Shareholders may access the Fund’s Prospectus and SAI on the EDGAR Database on the Securities and Exchange Commission’s website at www.sec.gov.

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

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FUND SUMMARY (Unaudited)

May 31, 2024

 

Fund Statistics
Market Price	$14.68
Net Asset Value	$11.95
Premium to NAV	22.85%
Net Assets ($000)	$1,703,619

 

CUMULATIVE FUND PERFORMANCE*

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

AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIOD ENDED MAY 31, 2024
	One	Three	Five	Ten
	Year	Year	Year	Year
Guggenheim Strategic Opportunities Fund
NAV	15.72%	4.29%	7.00%	8.06%
Market	9.77%	2.22%	7.43%	8.70%
Bloomberg U.S. Aggregate
Bond Index	1.31%	(3.10%)	(0.17%)	1.26%

 

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the sale of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com/gof. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when sold, may be worth more or less than their original cost.

The referenced index is an unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

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FUND SUMMARY (Unaudited) continued	May 31, 2024
Portfolio Breakdown	% of Net Assets
Investments
Corporate Bonds	44.2%
Senior Floating Rate Interests	37.9%
Asset-Backed Securities	19.2%
Preferred Stocks	6.0%
Collateralized Mortgage Obligations	5.8%
U.S. Government Securities	3.3%
Money Market Funds	2.3%
Closed-End Mutual Funds	1.3%
Other	1.5%
Total Investments	121.5%
Other Assets & Liabilities, net	(21.5%)
Net Assets	100.0%

 

Ten Largest Holdings1	% of Net Assets
Madison Park Funding LIII Ltd., 11.33%	1.1%
Guggenheim Active Allocation Fund	0.9%
Lightning A, 5.50%	0.7%
Thunderbird A, 5.50%	0.7%
CIFC Funding Ltd., 12.58%	0.7%
Morgan Stanley Finance LLC, 0.50%	0.6%
Hotwire Funding LLC, 8.84%	0.6%
Delta Air Lines, Inc., 7.00%	0.6%
Boyce Park CLO Ltd., 11.58%	0.6%
AT&T Mobility II LLC, 6.80%	0.6%
Top Ten Total	7.1%

 

¹ “Ten Largest Holdings” excludes any temporary cash or derivative investments.

Portfolio breakdown and holdings are subject to change daily. For more information, please visit guggenheiminvestments.com/gof. The above summaries are provided for informational purposes only and should not be viewed as recommendations. Past performance does not guarantee future results.

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FUND SUMMARY (Unaudited) continued	May 31, 2024
Portfolio Composition by Quality Rating1
	% of Total
Rating	Investments
Fixed Income Investments
AAA	1.0%
AA	2.5%
A	5.6%
BBB	11.0%
BB	22.8%
B	32.1%
CCC	3.8%
CC	0.1%
C	0.1%
D	0.1%
NR2	10.2%
Other Investments	10.7%
Total Investments	100.0%

 

1

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

2

NR (not rated) securities do not necessarily indicate low credit quality.

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FUND SUMMARY (Unaudited) continued	May 31, 2024

 

During the period, the Fund’s market price experienced elevated volatility and trading volume, along with a decline in the Fund’s market price premium to NAV, particularly during the first half of the period. The market price volatility was not related to any news or fundamental changes to the Fund’s investment objectives or strategies, which remained consistent.

All or a portion of the above distributions is characterized as a return of capital. For the year ended May 31, 2024, 36.9% of the distributions were characterized as ordinary income, 7.0% of the distributions were characterized as long-term capital gains and 56.1% of the distributions were characterized as return of capital. The final determination of the tax character of the distributions paid by the Fund in 2024 will be reported to shareholders in January 2025.

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SCHEDULE OF INVESTMENTS		May 31, 2024
	Shares	Value
COMMON STOCKS† – 0.7%
Consumer, Non-cyclical – 0.2%
Endo, Inc.*,††	67,403	$ 1,881,690
Cengage Learning Holdings II, Inc.*,††	11,126	185,437
Endo, Inc.*,††,1	1,167	32,579
Moderna, Inc.*,2	146	20,812
Keurig Dr Pepper, Inc.2	515	17,639
Bunge Global S.A.2	163	17,537
Archer-Daniels-Midland Co.2	274	17,109
Quanta Services, Inc.2	62	17,108
Amgen, Inc.2	55	16,822
Boston Scientific Corp.*,2	222	16,776
Quest Diagnostics, Inc.2	118	16,753
Kellanova2	277	16,714
Altria Group, Inc.2	358	16,557
ResMed, Inc.2	80	16,506
Philip Morris International, Inc.2	162	16,424
Eli Lilly & Co.2	20	16,407
Vertex Pharmaceuticals, Inc.*,2	36	16,392
DaVita, Inc.*,2	111	16,330
Cintas Corp.2	24	16,271
Elevance Health, Inc.2	30	16,154
Universal Health Services, Inc. — Class B2	85	16,133
PayPal Holdings, Inc.*,2	254	16,000
McKesson Corp.2	28	15,949
Avery Dennison Corp.2	70	15,931
Conagra Brands, Inc.2	533	15,926
Verisk Analytics, Inc. — Class A2	63	15,925
PepsiCo, Inc.2	92	15,907
Kimberly-Clark Corp.2	119	15,863
Coca-Cola Co.2	252	15,858
Tyson Foods, Inc. — Class A2	277	15,858
McCormick & Company, Inc.2	219	15,816
General Mills, Inc.2	230	15,813
Colgate-Palmolive Co.2	170	15,803
Pfizer, Inc.2	551	15,792
Humana, Inc.2	44	15,757
Campbell Soup Co.2	355	15,755
HCA Healthcare, Inc.2	46	15,629
Moody’s Corp.2	39	15,483
Procter & Gamble Co.2	94	15,467
Church & Dwight Company, Inc.2	144	15,409

 

See notes to financial statements.

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SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Consumer, Non-cyclical – 0.2% (continued)
UnitedHealth Group, Inc.2	31	$ 15,357
Corteva, Inc.2	274	15,328
Intuitive Surgical, Inc.*,2	38	15,281
Kraft Heinz Co.2	431	15,244
S&P Global, Inc.2	36	15,244
Hershey Co.2	77	15,233
Merck & Company, Inc.2	121	15,190
Automatic Data Processing, Inc.2	62	15,185
Cigna Group2	44	15,163
Danaher Corp.2	59	15,151
Rollins, Inc.2	330	15,078
Biogen, Inc.*,2	67	15,071
Bio-Techne Corp.2	195	15,052
Revvity, Inc.2	137	14,969
Insulet Corp.*,2	84	14,884
United Rentals, Inc.2	22	14,727
Regeneron Pharmaceuticals, Inc.*,2	15	14,702
Becton Dickinson & Co.2	63	14,614
Constellation Brands, Inc. — Class A2	58	14,513
Kenvue, Inc.2	749	14,456
Incyte Corp.*,2	250	14,448
Hologic, Inc.*,2	195	14,387
Stryker Corp.2	42	14,326
Mondelez International, Inc. — Class A2	209	14,323
Medtronic plc2	176	14,321
Cencora, Inc. — Class A2	63	14,274
STERIS plc2	64	14,264
Catalent, Inc.*,2	265	14,254
Thermo Fisher Scientific, Inc.2	25	14,199
Edwards Lifesciences Corp.*,2	163	14,163
Kroger Co.2	268	14,035
Teleflex, Inc.2	67	14,008
Cooper Companies, Inc.*,2	148	13,958
J M Smucker Co.2	125	13,955
Henry Schein, Inc.*,2	201	13,937
MarketAxess Holdings, Inc.2	70	13,925
West Pharmaceutical Services, Inc.2	42	13,919
Zoetis, Inc.2	82	13,904
Johnson & Johnson2	94	13,787
Save-A-Lot*,†††	1,871,199	13,753
Centene Corp.*,2	192	13,745

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ¹⁷

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Consumer, Non-cyclical – 0.2% (continued)
Corpay, Inc.*,2	51	$ 13,651
Hormel Foods Corp.2	440	13,631
CoStar Group, Inc.*,2	174	13,602
Zimmer Biomet Holdings, Inc.2	118	13,588
Sysco Corp.2	186	13,545
AbbVie, Inc.2	84	13,544
Labcorp Holdings, Inc.2	69	13,449
Gartner, Inc.*,2	32	13,429
IDEXX Laboratories, Inc.*,2	27	13,418
Dexcom, Inc.*,2	111	13,184
Agilent Technologies, Inc.2	101	13,171
Monster Beverage Corp.*,2	253	13,136
Lamb Weston Holdings, Inc.2	148	13,067
Viatris, Inc.2	1,224	12,974
Waters Corp.*,2	42	12,974
Equifax, Inc.2	56	12,958
Cardinal Health, Inc.2	130	12,905
Gilead Sciences, Inc.2	200	12,854
Molson Coors Beverage Co. — Class B2	232	12,716
IQVIA Holdings, Inc.*,2	58	12,707
Abbott Laboratories2	124	12,672
Brown-Forman Corp. — Class B2	276	12,657
Clorox Co.2	96	12,630
Bio-Rad Laboratories, Inc. — Class A*,2	44	12,622
GE HealthCare Technologies, Inc.2	160	12,480
Align Technology, Inc.*,2	48	12,346
Estee Lauder Companies, Inc. — Class A2	100	12,336
Molina Healthcare, Inc.*,2	38	11,954
CVS Health Corp.2	200	11,920
Solventum Corp.*,2	199	11,823
Robert Half, Inc.2	184	11,818
Global Payments, Inc.2	116	11,815
Baxter International, Inc.2	343	11,693
Charles River Laboratories International, Inc.*,2	56	11,673
Illumina, Inc.*,2	111	11,575
Bristol-Myers Squibb Co.2	279	11,464
Total Consumer, Non-cyclical		3,758,399
Industrial – 0.1%
Carrier Global Corp.2	4,174	263,755
BP Holdco LLC*,†††,3	121,041	146,719
Schur Flexibles GesmbH*,††	660	136,855

 

See notes to financial statements.

¹⁸ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Industrial – 0.1% (continued)
YAK BLOCKER 2 LLC SRS C-1*,†††	34,136	$ 64,277
YAK BLOCKER 2 LLC SRS C-2*,†††	31,551	59,410
3M Co.2	189	18,926
Generac Holdings, Inc.*,2	128	18,843
Howmet Aerospace, Inc.2	221	18,708
General Electric Co.2	112	18,496
Amphenol Corp. — Class A2	136	18,002
GE Vernova, Inc.*,2	102	17,898
CH Robinson Worldwide, Inc.2	207	17,879
RTX Corp.2	165	17,789
Westinghouse Air Brake Technologies Corp.2	105	17,769
Westrock Co.2	329	17,648
Johnson Controls International plc2	243	17,474
TransDigm Group, Inc.2	13	17,462
Garmin Ltd.2	106	17,368
Trane Technologies plc2	53	17,355
Eaton Corporation plc2	50	16,642
Xylem, Inc.2	118	16,640
Veralto Corp.2	169	16,624
General Dynamics Corp.2	55	16,487
Lockheed Martin Corp.2	35	16,462
Amcor plc2	1,603	16,302
Dover Corp.2	88	16,176
TE Connectivity Ltd.2	107	16,018
Ball Corp.2	230	15,969
L3Harris Technologies, Inc.2	70	15,738
FedEx Corp.2	61	15,492
Ingersoll Rand, Inc.2	166	15,446
Mettler-Toledo International, Inc.*,2	11	15,445
Otis Worldwide Corp.2	154	15,277
Emerson Electric Co.2	136	15,254
Waste Management, Inc.2	72	15,173
Honeywell International, Inc.2	75	15,164
Pentair plc2	185	15,055
Republic Services, Inc. — Class A2	81	15,000
Mohawk Industries, Inc.*,2	123	14,998
Expeditors International of Washington, Inc.2	124	14,992
Deere & Co.2	40	14,991
Caterpillar, Inc.2	44	14,895
Parker-Hannifin Corp.2	28	14,883
Northrop Grumman Corp.2	33	14,875

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ¹⁹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Industrial – 0.1% (continued)
Packaging Corporation of America2	81	$ 14,863
Hubbell, Inc.2	38	14,778
A O Smith Corp.2	175	14,637
Vulcan Materials Co.2	56	14,323
Martin Marietta Materials, Inc.2	25	14,302
Stanley Black & Decker, Inc.2	164	14,296
Textron, Inc.2	163	14,280
Jacobs Solutions, Inc.2	102	14,213
AMETEK, Inc.2	83	14,075
Allegion plc2	115	14,009
Union Pacific Corp.2	60	13,969
Snap-on, Inc.2	51	13,916
Teledyne Technologies, Inc.*,2	35	13,893
Illinois Tool Works, Inc.2	57	13,837
Masco Corp.2	195	13,635
Axon Enterprise, Inc.*,2	48	13,520
Boeing Co.*,2	76	13,498
United Parcel Service, Inc. — Class B2	97	13,476
Keysight Technologies, Inc.*,2	97	13,433
Nordson Corp.2	57	13,379
CSX Corp.2	393	13,264
Trimble, Inc.*,2	238	13,252
IDEX Corp.2	63	13,144
Rockwell Automation, Inc.2	51	13,134
Fortive Corp.2	176	13,102
Norfolk Southern Corp.2	58	13,038
Huntington Ingalls Industries, Inc.2	51	12,908
Old Dominion Freight Line, Inc.2	70	12,267
Builders FirstSource, Inc.*,2	75	12,059
J.B. Hunt Transport Services, Inc.2	75	12,056
Jabil, Inc.2	99	11,771
Vector Phoenix Holdings Cayman, LP*,†††	121,040	2,561
Targus, Inc.*,†††	45,049	1,903
Targus, Inc.*,†††	45,049	1,594
Targus, Inc.*,†††	45,049	512
Targus, Inc.*,†††	45,049	5
Total Industrial		1,739,533
Financial – 0.1%
Checkers Holdings, Inc.*,†††	84,343	335,685
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,†††,1	3,345,000	25,656
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,†††,1	1,900,000	14,573

 

See notes to financial statements.

²⁰ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Financial – 0.1% (continued)
Endo Luxembourg Finance Co I SARL / Endo US, Inc.*,†††	181,000	$ 18
Goldman Sachs Group, Inc.2	39	17,804
Arch Capital Group Ltd.*,2	171	17,550
Ventas, Inc. REIT2	338	16,988
Welltower, Inc. REIT2	163	16,898
Bank of America Corp.2	421	16,836
Healthpeak Properties, Inc. REIT2	846	16,835
Morgan Stanley2	172	16,828
Aflac, Inc.2	183	16,446
Charles Schwab Corp.2	223	16,341
Citigroup, Inc.2	261	16,263
Chubb Ltd.2	60	16,249
Prudential Financial, Inc.2	135	16,247
JPMorgan Chase & Co.2	80	16,210
Bank of New York Mellon Corp.2	270	16,095
Allstate Corp.2	96	16,082
American Express Co.2	67	16,080
Progressive Corp.2	76	16,050
Hartford Financial Services Group, Inc.2	155	16,035
Everest Group Ltd.2	41	16,028
American International Group, Inc.2	202	15,922
M&T Bank Corp.2	105	15,918
Essex Property Trust, Inc. REIT2	61	15,847
Wells Fargo & Co.2	263	15,759
Brown & Brown, Inc.2	176	15,754
PNC Financial Services Group, Inc.2	100	15,739
Ameriprise Financial, Inc.2	36	15,718
State Street Corp.2	207	15,647
Synchrony Financial2	356	15,593
Huntington Bancshares, Inc.2	1,111	15,465
Principal Financial Group, Inc.2	188	15,424
Citizens Financial Group, Inc.2	437	15,422
Fifth Third Bancorp2	412	15,417
Northern Trust Corp.2	183	15,416
AvalonBay Communities, Inc. REIT2	80	15,414
Equity Residential REIT2	237	15,412
Loews Corp.2	200	15,360
Raymond James Financial, Inc.2	125	15,344
MetLife, Inc.2	212	15,342
Berkshire Hathaway, Inc. — Class B*,2	37	15,333
UDR, Inc. REIT2	394	15,216

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ²¹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Financial – 0.1% (continued)
Discover Financial Services2	124	$ 15,210
Arthur J Gallagher & Co.2	60	15,200
Camden Property Trust REIT2	148	15,192
Marsh & McLennan Companies, Inc.2	73	15,153
Truist Financial Corp.2	401	15,138
Realty Income Corp. REIT2	284	15,069
Cincinnati Financial Corp.2	128	15,050
Capital One Financial Corp.2	109	15,002
Simon Property Group, Inc. REIT2	99	14,980
T. Rowe Price Group, Inc.2	127	14,964
Kimco Realty Corp. REIT2	770	14,907
Travelers Companies, Inc.2	69	14,883
Regency Centers Corp. REIT2	242	14,859
Invitation Homes, Inc. REIT2	427	14,855
Iron Mountain, Inc. REIT2	184	14,847
Invesco Ltd.2	945	14,846
Mid-America Apartment Communities, Inc. REIT2	111	14,842
Federal Realty Investment Trust REIT2	147	14,840
VICI Properties, Inc. REIT2	515	14,786
Nasdaq, Inc.2	250	14,757
Regions Financial Corp.2	762	14,745
Visa, Inc. — Class A2	54	14,713
Comerica, Inc.2	285	14,603
Assurant, Inc.2	84	14,572
Digital Realty Trust, Inc. REIT2	100	14,534
Extra Space Storage, Inc. REIT2	100	14,477
Intercontinental Exchange, Inc.2	108	14,461
KeyCorp2	1,005	14,442
W R Berkley Corp.2	178	14,423
Blackstone, Inc. — Class A2	119	14,339
Mastercard, Inc. — Class A2	32	14,306
Boston Properties, Inc. REIT2	235	14,258
CME Group, Inc. — Class A2	70	14,209
American Tower Corp. — Class A REIT2	72	14,093
U.S. Bancorp2	347	14,071
Alexandria Real Estate Equities, Inc. REIT2	118	14,042
Willis Towers Watson plc2	55	14,041
CBRE Group, Inc. — Class A*,2	159	14,003
Public Storage REIT2	51	13,965
BlackRock, Inc. — Class A2	18	13,897
Cboe Global Markets, Inc.2	80	13,839

 

See notes to financial statements.

²² l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Financial – 0.1% (continued)
Crown Castle, Inc. REIT2	133	$ 13,633
Aon plc — Class A2	47	13,237
SBA Communications Corp. REIT2	67	13,178
Weyerhaeuser Co. REIT2	431	12,943
Host Hotels & Resorts, Inc. REIT2	718	12,881
Franklin Resources, Inc.2	535	12,626
Prologis, Inc. REIT2	111	12,264
Equinix, Inc. REIT2	16	12,208
Globe Life, Inc.2	121	10,014
Avison Young (Canada), Inc.*,††	579	579
Pershing Square Tontine Holdings, Ltd. — Class A*,†††,4	1,042,740	105
Sparta Systems*,†††	1,922	–
Total Financial		1,729,340
Consumer, Cyclical – 0.1%
ATD New Holdings, Inc.*,††	23,593	412,877
Exide Technologies*,†††	343	341,743
Chipotle Mexican Grill, Inc. — Class A*,2	6	18,777
United Airlines Holdings, Inc.*,2	346	18,335
Delta Air Lines, Inc.2	355	18,112
Deckers Outdoor Corp.*,2	16	17,503
Royal Caribbean Cruises Ltd.*,2	118	17,426
Bath & Body Works, Inc.2	335	17,400
Hasbro, Inc.2	290	17,336
Domino’s Pizza, Inc.2	34	17,292
Tractor Supply Co.2	60	17,117
General Motors Co.2	380	17,096
Costco Wholesale Corp.2	21	17,008
BorgWarner, Inc.2	468	16,689
Walmart, Inc.2	250	16,440
Best Buy Company, Inc.2	191	16,201
TJX Companies, Inc.2	156	16,084
Aptiv plc*,2	192	15,986
Ralph Lauren Corp. — Class A2	85	15,885
Cummins, Inc.2	56	15,777
PulteGroup, Inc.2	133	15,604
NVR, Inc.*,2	2	15,361
Tesla, Inc.*,2	86	15,315
Ford Motor Co.2	1,232	14,944
Yum! Brands, Inc.2	107	14,705
Hilton Worldwide Holdings, Inc.2	73	14,644
Lennar Corp. — Class A2	91	14,592

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ²³

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Consumer, Cyclical – 0.1% (continued)
Copart, Inc.*,2	273	$ 14,485
DR Horton, Inc.2	98	14,484
Ross Stores, Inc.2	103	14,395
NIKE, Inc. — Class B2	151	14,352
Genuine Parts Co.2	99	14,270
MGM Resorts International*,2	353	14,180
Wynn Resorts Ltd.2	149	14,137
PACCAR, Inc.2	131	14,083
Live Nation Entertainment, Inc.*,2	150	14,061
Tapestry, Inc.2	319	13,873
Marriott International, Inc. — Class A2	60	13,870
AutoZone, Inc.*,2	5	13,850
WW Grainger, Inc.2	15	13,822
Carnival Corp.*,2	916	13,814
Target Corp.2	88	13,742
Lowe’s Companies, Inc.2	62	13,720
O’Reilly Automotive, Inc.*,2	14	13,486
Home Depot, Inc.2	40	13,395
Starbucks Corp.2	165	13,236
McDonald’s Corp.2	51	13,203
Las Vegas Sands Corp.2	291	13,104
Pool Corp.2	36	13,088
Darden Restaurants, Inc.2	87	13,084
Fastenal Co.2	198	13,064
Dollar General Corp.2	95	13,006
CarMax, Inc.*,2	183	12,857
Caesars Entertainment, Inc.*,2	356	12,659
LKQ Corp.2	292	12,565
Norwegian Cruise Line Holdings Ltd.*,2	750	12,450
Dollar Tree, Inc.*,2	101	11,913
Southwest Airlines Co.2	438	11,756
American Airlines Group, Inc.*,2	1,022	11,753
Walgreens Boots Alliance, Inc.2	709	11,500
Ulta Beauty, Inc.*,2	28	11,062
Lululemon Athletica, Inc.*,2	33	10,296
Total Consumer, Cyclical		1,628,864
Technology – 0.1%
Qlik Technologies, Inc. – Class A*,†††	112	182,647
Teradyne, Inc.2	141	19,872
Micron Technology, Inc.2	154	19,250
NVIDIA Corp.2	17	18,638

 

See notes to financial statements.

²⁴ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Technology – 0.1% (continued)
Analog Devices, Inc.2	77	$ 18,056
QUALCOMM, Inc.2	88	17,956
Western Digital Corp.*,2	238	17,919
HP, Inc.2	488	17,812
NetApp, Inc.2	145	17,462
Tyler Technologies, Inc.*,2	36	17,293
Leidos Holdings, Inc.2	117	17,205
Texas Instruments, Inc.2	87	16,966
Apple, Inc.2	88	16,918
Take-Two Interactive Software, Inc.*,2	104	16,677
Zebra Technologies Corp. — Class A*,2	53	16,554
Microchip Technology, Inc.2	169	16,432
NXP Semiconductor N.V.2	60	16,326
Fidelity National Information Services, Inc.2	215	16,314
KLA Corp.2	21	15,950
Applied Materials, Inc.2	73	15,701
Oracle Corp.2	133	15,586
Fair Isaac Corp.*,2	12	15,479
Microsoft Corp.2	37	15,360
Seagate Technology Holdings plc2	162	15,105
Lam Research Corp.2	16	14,919
Paychex, Inc.2	124	14,900
Broadridge Financial Solutions, Inc.2	74	14,857
Fiserv, Inc.*,2	99	14,826
Electronic Arts, Inc.2	111	14,750
Hewlett Packard Enterprise Co.2	834	14,720
Monolithic Power Systems, Inc.2	20	14,713
Broadcom, Inc.2	11	14,614
Synopsys, Inc.*,2	26	14,581
Roper Technologies, Inc.2	27	14,385
ANSYS, Inc.*,2	45	14,285
PTC, Inc.*,2	81	14,275
Jack Henry & Associates, Inc.2	86	14,162
Cadence Design Systems, Inc.*,2	49	14,029
ON Semiconductor Corp.*,2	190	13,878
MSCI, Inc. — Class A2	27	13,370
Intuit, Inc.2	23	13,258
ServiceNow, Inc.*,2	20	13,139
Skyworks Solutions, Inc.2	141	13,065
Cognizant Technology Solutions Corp. — Class A2	195	12,899
International Business Machines Corp.2	77	12,847

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ²⁵

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Technology – 0.1% (continued)
Qorvo, Inc.*,2	129	$ 12,692
Fortinet, Inc.*,2	210	12,457
Akamai Technologies, Inc.*,2	135	12,452
Advanced Micro Devices, Inc.*,2	73	12,183
Autodesk, Inc.*,2	60	12,096
Paycom Software, Inc.2	83	12,062
Adobe, Inc.*,2	27	12,009
Salesforce, Inc.2	49	11,488
Accenture plc — Class A2	40	11,292
Dayforce, Inc.*,2	224	11,079
Intel Corp.2	341	10,520
Super Micro Computer, Inc.*,2	13	10,199
EPAM Systems, Inc.*,2	48	8,541
Qlik Technologies, Inc. – Class B*,†††	27,624	3
Total Technology		1,019,023
Communications – 0.1%
Figs, Inc. — Class A*,2	10,450	55,385
Vacasa, Inc. — Class A*	9,841	45,269
Corning, Inc.2	459	17,102
Gen Digital, Inc.2	680	16,884
Motorola Solutions, Inc.2	45	16,421
Arista Networks, Inc.*,2	55	16,371
Paramount Global — Class B2	1,372	16,341
eBay, Inc.2	298	16,158
Netflix, Inc.*,2	25	16,040
Palo Alto Networks, Inc.*,2	54	15,925
T-Mobile US, Inc.2	91	15,921
AT&T, Inc.2	872	15,888
Verizon Communications, Inc.2	380	15,637
Omnicom Group, Inc.2	164	15,245
Charter Communications, Inc. — Class A*,2	53	15,217
Amazon.com, Inc.*,2	86	15,174
Booking Holdings, Inc.2	4	15,105
Interpublic Group of Companies, Inc.2	465	14,587
Juniper Networks, Inc.2	402	14,339
Warner Bros Discovery, Inc.*,2	1,718	14,156
Walt Disney Co.2	136	14,132
Comcast Corp. — Class A2	352	14,091
Cisco Systems, Inc.2	303	14,090
Meta Platforms, Inc. — Class A2	30	14,005
VeriSign, Inc.*,2	79	13,771

 

See notes to financial statements.

²⁶ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Communications – 0.1% (continued)
CDW Corp.2	61	$ 13,641
Match Group, Inc.*,2	443	13,569
Airbnb, Inc. — Class A*,2	91	13,189
F5, Inc.*,2	78	13,180
Etsy, Inc.*,2	207	13,138
FactSet Research Systems, Inc.2	32	12,936
Expedia Group, Inc.*,2	110	12,415
Uber Technologies, Inc.*,2	191	12,331
Fox Corp. — Class A2	346	11,913
News Corp. — Class A2	434	11,800
Alphabet, Inc. — Class A2	60	10,350
Alphabet, Inc. — Class C2	50	8,698
Fox Corp. — Class B2	191	6,101
News Corp. — Class B2	131	3,652
Total Communications		610,167
Utilities – 0.0%
Mountain Creek Power LLC*,††	68,676	68,676
NextEra Energy, Inc.2	259	20,725
Vistra Corp.2	203	20,113
NRG Energy, Inc.2	247	20,007
AES Corp.2	923	19,928
Constellation Energy Corp.2	88	19,118
Public Service Enterprise Group, Inc.2	233	17,652
Southern Co.2	217	17,390
Dominion Energy, Inc.2	313	16,877
PG&E Corp.2	906	16,797
Edison International2	217	16,676
American Water Works Company, Inc.2	127	16,608
Pinnacle West Capital Corp.2	209	16,482
Duke Energy Corp.2	158	16,364
Entergy Corp.2	145	16,311
Xcel Energy, Inc.2	294	16,302
Sempra2	211	16,253
PPL Corp.2	552	16,190
CenterPoint Energy, Inc.2	530	16,170
American Electric Power Company, Inc.2	179	16,155
NiSource, Inc.2	555	16,128
Evergy, Inc.2	291	15,906
FirstEnergy Corp.2	394	15,862
Consolidated Edison, Inc.2	166	15,695
CMS Energy Corp.2	249	15,670

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ²⁷

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Utilities – 0.0% (continued)
Alliant Energy Corp.2	304	$ 15,653
DTE Energy Co.2	133	15,499
Exelon Corp.2	406	15,245
Atmos Energy Corp.2	130	15,070
Ameren Corp.2	205	15,041
WEC Energy Group, Inc.2	184	14,910
Eversource Energy2	250	14,808
Total Utilities		586,281
Energy – 0.0%
First Solar, Inc.*,2	93	25,274
Marathon Oil Corp.2	606	17,550
Williams Companies, Inc.2	416	17,269
Targa Resources Corp.2	144	17,025
Equities Corp.2	400	16,436
Baker Hughes Co.2	490	16,405
Kinder Morgan, Inc.2	841	16,391
Diamondback Energy, Inc.2	82	16,339
Chevron Corp.2	100	16,230
Coterra Energy, Inc. — Class A2	569	16,228
Exxon Mobil Corp.2	138	16,182
Hess Corp.2	104	16,026
Devon Energy Corp.2	325	15,951
ONEOK, Inc.2	194	15,714
Valero Energy Corp.2	100	15,714
EOG Resources, Inc.2	126	15,693
ConocoPhillips2	133	15,492
Occidental Petroleum Corp.2	247	15,438
Halliburton Co.2	414	15,194
APA Corp.2	487	14,868
Marathon Petroleum Corp.2	84	14,835
Enphase Energy, Inc.*,2	115	14,708
Phillips 662	100	14,211
Schlumberger N.V.2	298	13,675
Revenir Energy, Inc.†††	2,359	11,205
Permian Production Partners LLC*,†††	184,043	8,797
Total Energy		408,850
Basic Materials – 0.0%
Freeport-McMoRan, Inc.2	376	19,827
International Paper Co.2	414	18,667
Newmont Corp.2	442	18,537

 

See notes to financial statements.

²⁸ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
COMMON STOCKS† – 0.7% (continued)
Basic Materials – 0.0% (continued)
International Flavors & Fragrances, Inc.2	190	$ 18,274
DuPont de Nemours, Inc.2	210	17,254
Eastman Chemical Co.2	167	16,922
Air Products and Chemicals, Inc.2	62	16,535
Albemarle Corp.2	127	15,569
Ecolab, Inc.2	67	15,557
Dow, Inc.2	265	15,272
Steel Dynamics, Inc.2	114	15,261
LyondellBasell Industries N.V. — Class A2	152	15,112
Mosaic Co.2	475	14,692
Celanese Corp. — Class A2	96	14,596
FMC Corp.2	239	14,567
CF Industries Holdings, Inc.2	178	14,192
PPG Industries, Inc.2	107	14,061
Linde plc2	32	13,937
Nucor Corp.2	81	13,677
Sherwin-Williams Co.2	44	13,367
Total Basic Materials		315,876
Total Common Stocks
(Cost $14,636,294)		11,796,333
PREFERRED STOCKS†† – 6.0%
Financial – 5.2%
Citigroup, Inc.
7.38%5	4,300,000	4,401,226
3.88%5	4,000,000	3,763,191
4.15%2,5	2,000,000	1,851,555
4.00%5	1,750,000	1,672,352
Bank of America Corp.
4.38%2,5	2,925,000	7,799,248
6.50%5	2,000,000	1,998,277
6.30%5	1,000,000	1,004,373
4.13%2	26,000	475,540
Wells Fargo & Co.
4.75%2	183,750	3,752,175
3.90%5	3,300,000	3,118,840
4.70%2	148,000	3,010,320
4.38%2	50,000	961,000
Goldman Sachs Group, Inc.
7.50%5	7,700,000	7,911,096
Kuvare US Holdings, Inc.
7.00% due 02/17/515,6	6,400,000	6,384,000

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ²⁹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
PREFERRED STOCKS†† – 6.0% (continued)
Financial – 5.2% (continued)
Equitable Holdings, Inc.
4.95%5	3,650,000	$ 3,582,468
4.30%2	82,000	1,530,940
Markel Group, Inc.
6.00%2,5	4,770,000	4,733,104
Jackson Financial, Inc.
8.00%2	152,000	4,058,400
Lincoln National Corp.
9.25%5	3,600,000	3,878,323
Public Storage
4.63%2	144,400	2,991,968
4.13%2	16,400	307,336
W R Berkley Corp.
4.13% due 03/30/61	126,000	2,305,800
4.25% due 09/30/60	36,800	684,848
Charles Schwab Corp.
4.00%5	3,150,000	2,623,503
PartnerRe Ltd.
4.88%	128,000	2,497,280
JPMorgan Chase & Co.
4.55%2	49,000	1,001,560
4.20%2	40,000	762,000
4.63%2	24,000	496,560
American Financial Group, Inc.
4.50% due 09/15/60	100,000	1,849,000
MetLife, Inc.
3.85%5	1,820,000	1,749,936
CNO Financial Group, Inc.
5.13% due 11/25/60	80,000	1,572,000
Assurant, Inc.
5.25% due 01/15/61	58,000	1,219,740
American National Group, Inc.
5.95%	46,000	1,119,180
Arch Capital Group Ltd.
4.55%2	38,000	742,520
Selective Insurance Group, Inc.
4.60%2	36,000	658,080
Avison Young (Canada), Inc.
12.50%*	815,493	326,197
RenaissanceRe Holdings Ltd.
4.20%	13,000	228,410
Globe Life, Inc.
4.25% due 06/15/61	11,000	159,720
Reinsurance Group of America, Inc.
7.13% due 10/15/52	2,900	75,719

 

See notes to financial statements.

³⁰ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
PREFERRED STOCKS†† – 6.0% (continued)
Financial – 5.2% (continued)
First Republic Bank
4.50%*†††	200,000	$ 6,000
4.25%*†††	158,000	4,740
4.13%*†††	84,800	2,544
Total Financial		89,271,069
Communications – 0.6%
AT&T Mobility II LLC
6.80%*,†††	10,000	9,897,700
Government – 0.1%
Farmer Mac
5.75%2	105,224	2,402,264
Consumer, Cyclical – 0.1%
Exide Technologies*,†††	761	997,509
Total Preferred Stocks
(Cost $123,470,837)		102,568,542
WARRANTS† – 0.0%
Ginkgo Bioworks Holdings, Inc.
Expiring 09/16/26*	26,852	1,074
Pershing Square Holdings, Ltd.
Expiring 12/31/49*,†††,4	318,615	32
Pershing Square Tontine Holdings, Ltd.
Expiring 07/24/25*,†††,4	115,860	12
Total Warrants
(Cost $62,178)		1,118
EXCHANGE-TRADED FUNDS† – 0.3%
SPDR S&P 500 ETF Trust2	4,334	2,285,622
iShares Russell 2000 Index ETF2	5,815	1,196,552
Invesco QQQ Trust Series2	2,572	1,159,226
Total Exchange-Traded Funds
(Cost $3,328,876)		4,641,400
CLOSED-END MUTUAL FUNDS† – 1.3%
Guggenheim Active Allocation Fund3	950,000	14,269,000
Blackstone Strategic Credit Fund	186,741	2,214,748
BlackRock Credit Allocation Income Trust	184,289	1,951,621
Nuveen Taxable Municipal Income Fund	110,767	1,660,397
Eaton Vance Limited Duration Income Fund	141,764	1,390,705
Western Asset High Income Opportunity Fund, Inc.	160,170	602,239
Nuveen AMT-Free Municipal Credit Income Fund	234	2,756
Nuveen AMT-Free Quality Municipal Income Fund	156	1,696

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ³¹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Shares	Value
CLOSED-END MUTUAL FUNDS† – 1.3% (continued)
Nuveen Quality Municipal Income Fund	128	$ 1,439
Total Closed-End Mutual Funds
(Cost $22,390,697)		22,094,601
MONEY MARKET FUNDS† – 2.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 5.19%7	39,428,315	39,428,315
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 5.19%7	492,159	492,159
Total Money Market Funds
(Cost $39,920,474)		39,920,474

	Face
	Amount~
CORPORATE BONDS†† – 44.2%
Financial – 12.4%
Morgan Stanley Finance LLC
0.50% due 10/23/29à,†††,8	13,500,000	10,897,200
Dyal Capital Partners III
4.40% due 06/15/40†††	10,000,000	8,851,424
Jane Street Group / JSG Finance, Inc.
7.13% due 04/30/312,6	5,200,000	5,294,037
4.50% due 11/15/292,6	3,500,000	3,240,569
Encore Capital Group, Inc.
8.50% due 05/15/306	6,100,000	6,106,427
9.25% due 04/01/296	2,300,000	2,393,597
United Wholesale Mortgage LLC
5.50% due 11/15/252,6	4,060,000	4,023,311
5.50% due 04/15/292,6	1,925,000	1,807,575
5.75% due 06/15/272,6	1,400,000	1,354,281
Wilton RE Ltd.
6.00% 5,6,9	7,800,000	7,020,236
Jefferies Finance LLC / JFIN Company-Issuer Corp.
5.00% due 08/15/282,6	7,500,000	6,894,894
Accident Fund Insurance Company of America
8.50% due 08/01/322,6	7,000,000	6,824,746
Hunt Companies, Inc.
5.25% due 04/15/296	7,325,000	6,507,950
Jones Deslauriers Insurance Management, Inc.
10.50% due 12/15/306	3,650,000	3,928,163
8.50% due 03/15/306	2,050,000	2,157,577
Iron Mountain, Inc.
5.63% due 07/15/322,6	6,500,000	6,065,694
Corebridge Financial, Inc.
6.88% due 12/15/525	5,840,000	5,876,608
Maple Grove Funding Trust I
4.16% due 08/15/512,6	8,000,000	5,358,911

 

See notes to financial statements.

³² l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Financial – 12.4% (continued)
OneMain Finance Corp.
4.00% due 09/15/302	2,200,000	$ 1,869,683
7.13% due 03/15/26	1,100,000	1,116,147
7.88% due 03/15/302	750,000	764,078
3.88% due 09/15/28	800,000	711,618
6.63% due 01/15/28	450,000	447,052
9.00% due 01/15/292	400,000	419,883
Cushman & Wakefield US Borrower LLC
6.75% due 05/15/282,6	4,800,000	4,773,036
Kennedy-Wilson, Inc.
5.00% due 03/01/312	3,750,000	2,983,321
4.75% due 02/01/30	1,450,000	1,188,617
4.75% due 03/01/292	425,000	361,411
Liberty Mutual Group, Inc.
4.30% due 02/01/616	7,300,000	4,387,066
LPL Holdings, Inc.
4.00% due 03/15/292,6	4,172,000	3,867,573
4.38% due 05/15/312,6	476,000	433,654
National Life Insurance Co.
10.50% due 09/15/396	3,400,000	4,260,478
AmFam Holdings, Inc.
3.83% due 03/11/512,6	7,200,000	4,242,179
RXR Realty LLC
6.75% due 07/17/25†††	4,200,000	4,116,954
PHM Group Holding Oy
4.75% due 06/18/266	EUR 3,900,000	4,073,291
Global Atlantic Finance Co.
4.70% due 10/15/515,6	2,900,000	2,623,400
3.13% due 06/15/312,6	1,750,000	1,447,802
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.
4.00% due 10/15/332,6	4,031,000	3,346,746
3.88% due 03/01/312,6	825,000	713,103
Hampton Roads PPV LLC
6.62% due 06/15/53†††,6	4,590,000	3,728,149
GLP Capital Limited Partnership / GLP Financing II, Inc.
3.25% due 01/15/322	3,250,000	2,697,027
5.30% due 01/15/292	1,050,000	1,027,702
MidCap Funding XLVI Trust
8.82% (1 Month Term SOFR + 3.50%, Rate Floor: 0.00%) due 04/15/27à,†††	3,700,000	3,700,000
UBS AG NY
7.95% due 01/09/252	3,600,000	3,645,501
NatWest Group plc
7.47% due 11/10/262,5	3,500,000	3,584,511

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ³³

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Financial – 12.4% (continued)
PennyMac Financial Services, Inc.
7.13% due 11/15/306	2,650,000	$ 2,615,770
7.88% due 12/15/296	850,000	870,270
Host Hotels & Resorts, LP
3.50% due 09/15/302	3,610,000	3,184,752
Standard Chartered plc
7.78% due 11/16/252,5,6	3,100,000	3,126,575
Sherwood Financing plc
6.00% due 11/15/266	GBP 2,000,000	2,152,010
4.50% due 11/15/266	EUR 1,000,000	938,802
Toronto-Dominion Bank
8.13% due 10/31/822,5	2,850,000	2,953,848
Ares Finance Company IV LLC
3.65% due 02/01/522,6	4,100,000	2,820,328
Americo Life, Inc.
3.45% due 04/15/312,6	3,511,000	2,793,541
BBC Military Housing-Navy Northeast LLC
6.30% due 10/15/491	2,700,000	2,466,721
HUB International Ltd.
5.63% due 12/01/296	2,500,000	2,319,484
Bank of Nova Scotia
8.63% due 10/27/825	2,150,000	2,244,574
Kane Bidco Ltd.
5.00% due 02/15/27	EUR 2,050,000	2,173,036
Nationstar Mortgage Holdings, Inc.
5.00% due 02/01/266	2,180,000	2,138,914
Lincoln National Corp.
4.38% due 06/15/502	2,560,000	1,925,014
First American Financial Corp.
4.00% due 05/15/302	1,740,000	1,554,940
Alliant Holdings Intermediate LLC / Alliant Holdings Company-Issuer
4.25% due 10/15/272,6	725,000	677,973
7.00% due 01/15/316	425,000	426,111
6.75% due 04/15/286	350,000	350,650
Allianz SE
3.50% 5,6,9	1,400,000	1,309,361
Weyerhaeuser Co.
6.88% due 12/15/332	1,100,000	1,196,676
OneAmerica Financial Partners, Inc.
4.25% due 10/15/502,6	1,730,000	1,163,908
Ryan Specialty LLC
4.38% due 02/01/306	1,100,000	1,014,849
USI, Inc.
7.50% due 01/15/326	970,000	973,624

 

See notes to financial statements.

³⁴ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Financial – 12.4% (continued)
QBE Insurance Group Ltd.
5.88% 2,5,6,9	950,000	$ 937,227
Reinsurance Group of America, Inc.
3.15% due 06/15/302	1,000,000	882,692
Pershing Square Holdings Ltd.
3.25% due 10/01/316	1,100,000	879,162
PartnerRe Finance B LLC
4.50% due 10/01/505	950,000	862,164
Galaxy Bidco Ltd.
8.87% (3 Month EURIBOR + 5.00%, Rate Floor: 5.00%) due 07/31/26à	EUR 750,000	817,383
Prudential Financial, Inc.
5.13% due 03/01/525	700,000	650,126
Fort Moore Family Communities LLC
6.09% due 01/15/516	685,505	599,092
Pacific Beacon LLC
5.63% due 07/15/516	659,758	582,832
Macquarie Bank Ltd.
3.62% due 06/03/302,6	640,000	568,418
Assurant, Inc.
7.00% due 03/27/485	400,000	404,541
Fort Gordon Housing LLC
6.32% due 05/15/516	200,000	185,293
Atlas Mara Ltd.
due 12/31/21†††,10	180,783	–
Total Financial		211,893,843
Consumer, Non-cyclical – 6.4%
Medline Borrower, LP
5.25% due 10/01/292,6	5,200,000	4,901,917
3.88% due 04/01/296	2,000,000	1,820,353
Cheplapharm Arzneimittel GmbH
5.50% due 01/15/282,6	6,945,000	6,476,213
BCP V Modular Services Finance II plc
6.13% due 10/30/286	GBP 4,250,000	4,915,533
4.75% due 10/30/286	EUR 1,550,000	1,556,559
Bausch Health Companies, Inc.
4.88% due 06/01/286	8,025,000	5,878,313
Williams Scotsman, Inc.
4.63% due 08/15/286	3,675,000	3,431,422
6.13% due 06/15/256	1,683,000	1,678,006
US Foods, Inc.
4.63% due 06/01/302,6	2,500,000	2,295,700
4.75% due 02/15/296	2,250,000	2,111,943
Champions Financing, Inc.
8.75% due 02/15/292,6	4,020,000	4,132,815

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ³⁵

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Consumer, Non-cyclical – 6.4% (continued)
Reynolds American, Inc.
5.70% due 08/15/352	4,150,000	$ 4,069,903
Altria Group, Inc.
3.70% due 02/04/512	6,000,000	4,045,052
CPI CG, Inc.
8.63% due 03/15/266	3,758,000	3,775,492
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.
4.38% due 02/02/522	4,800,000	3,555,199
Upbound Group, Inc.
6.38% due 02/15/292,6	3,625,000	3,495,487
Post Holdings, Inc.
4.50% due 09/15/312,6	3,925,000	3,474,158
Legends Hospitality Holding Company LLC / Legends Hospitality Co-Issuer, Inc.
5.00% due 02/01/262,6	3,000,000	2,970,129
Sotheby’s
7.38% due 10/15/272,6	3,399,000	2,958,650
AZ Battery Property LLC
6.73% due 02/20/46†††	3,000,000	2,950,601
Acadia Healthcare Company, Inc.
5.00% due 04/15/292,6	2,400,000	2,262,454
5.50% due 07/01/286	550,000	534,809
DaVita, Inc.
4.63% due 06/01/306	1,900,000	1,702,177
3.75% due 02/15/316	1,200,000	1,007,043
Neogen Food Safety Corp.
8.63% due 07/20/306	2,450,000	2,617,607
Castor S.p.A.
9.19% (3 Month EURIBOR + 5.25%, Rate Floor: 5.25%) due 02/15/29à,6	EUR 2,300,000	2,446,994
Avantor Funding, Inc.
4.63% due 07/15/282,6	1,700,000	1,599,726
3.88% due 11/01/296	925,000	829,027
Verisure Holding AB
5.50% due 05/15/306	EUR 1,950,000	2,142,715
Sotheby’s/Bidfair Holdings, Inc.
5.88% due 06/01/296	2,700,000	2,112,273
Option Care Health, Inc.
4.38% due 10/31/296	2,275,000	2,071,221
ADT Security Corp.
4.13% due 08/01/292,6	1,050,000	953,687
4.88% due 07/15/326	1,000,000	902,448
Spectrum Brands, Inc.
5.50% due 07/15/306	1,700,000	1,698,829
Gartner, Inc.
4.50% due 07/01/282,6	1,700,000	1,618,811

 

See notes to financial statements.

³⁶ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Consumer, Non-cyclical – 6.4% (continued)
APi Group DE, Inc.
4.75% due 10/15/296	1,225,000	$ 1,123,488
4.13% due 07/15/296	400,000	358,304
Nathan’s Famous, Inc.
6.63% due 11/01/256	1,462,000	1,458,345
HealthEquity, Inc.
4.50% due 10/01/292,6	1,550,000	1,419,866
Royalty Pharma plc
3.55% due 09/02/50	2,100,000	1,407,733
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.
7.00% due 12/31/272,6	1,038,000	1,019,839
5.00% due 12/31/266	250,000	242,194
Grifols S.A.
4.75% due 10/15/286	1,350,000	1,174,538
TreeHouse Foods, Inc.
4.00% due 09/01/28	1,150,000	1,024,075
Central Garden & Pet Co.
4.13% due 10/15/302	625,000	553,467
4.13% due 04/30/316	400,000	349,841
Carriage Services, Inc.
4.25% due 05/15/296	775,000	687,261
AMN Healthcare, Inc.
4.63% due 10/01/272,6	725,000	685,996
Valvoline, Inc.
3.63% due 06/15/316	760,000	641,166
Catalent Pharma Solutions, Inc.
3.50% due 04/01/302,6	625,000	594,094
WW International, Inc.
4.50% due 04/15/292,6	950,000	399,000
Prestige Brands, Inc.
3.75% due 04/01/316	300,000	257,235
Darling Ingredients, Inc.
6.00% due 06/15/306	250,000	244,375
Nidda Healthcare Holding
7.50% due 08/21/26	EUR 175,000	196,147
Albertsons Companies Incorporated / Safeway Inc / New Albertsons
Limited Partnership / Albertsons LLC
5.88% due 02/15/286	100,000	98,269
Total Consumer, Non-cyclical		108,928,499

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ³⁷

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Consumer, Cyclical – 6.3%
Delta Air Lines, Inc.
7.00% due 05/01/252,6	10,535,000	$ 10,633,129
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/272	3,210,000	3,160,880
5.00% due 06/01/316	1,800,000	1,615,360
CD&R Smokey Buyer, Inc.
6.75% due 07/15/252,6	4,445,000	4,409,722
Crocs, Inc.
4.25% due 03/15/292,6	3,188,000	2,909,971
4.13% due 08/15/316	1,400,000	1,217,563
Penn Entertainment, Inc.
4.13% due 07/01/296	4,925,000	4,110,159
Wabash National Corp.
4.50% due 10/15/286	4,350,000	3,925,856
Delta Air Lines, Inc. / SkyMiles IP Ltd.
4.75% due 10/20/286	3,950,000	3,846,753
Allwyn Entertainment Financing UK plc
7.88% due 04/30/296	3,750,000	3,824,392
Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd.
5.75% due 01/20/262,6	4,075,000	3,757,576
Wolverine World Wide, Inc.
4.00% due 08/15/296	4,450,000	3,706,051
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.
4.63% due 01/15/292,6	4,100,000	3,688,167
Station Casinos LLC
4.63% due 12/01/312,6	4,200,000	3,678,098
Live Nation Entertainment, Inc.
6.50% due 05/15/272,6	3,350,000	3,367,464
Evergreen Acqco 1 Limited Partnership / TVI, Inc.
9.75% due 04/26/282,6	2,916,000	3,092,119
Air Canada Class A Pass Through Trust
5.25% due 04/01/292,6	3,092,063	3,016,971
Air Canada
4.63% due 08/15/296	CAD 2,900,000	2,037,140
3.88% due 08/15/262,6	825,000	783,175
Walgreens Boots Alliance, Inc.
4.10% due 04/15/502	3,800,000	2,764,373
Clarios Global Limited Partnership / Clarios US Finance Co.
8.50% due 05/15/272,6	2,650,000	2,666,982
PetSmart, Inc. / PetSmart Finance Corp.
4.75% due 02/15/286	2,725,000	2,530,719
Scotts Miracle-Gro Co.
4.00% due 04/01/31	2,150,000	1,837,644
4.38% due 02/01/32	700,000	596,825

 

See notes to financial statements.

³⁸ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Consumer, Cyclical – 6.3% (continued)
United Airlines, Inc.
4.63% due 04/15/292,6	2,575,000	$ 2,380,076
JB Poindexter & Company, Inc.
8.75% due 12/15/316	2,270,000	2,325,022
Ontario Gaming GTA, LP
8.00% due 08/01/306	2,150,000	2,204,127
Ritchie Bros Holdings, Inc.
7.75% due 03/15/316	1,750,000	1,826,646
Superior Plus Limited Partnership / Superior General Partner, Inc.
4.50% due 03/15/296	2,000,000	1,819,491
Yum! Brands, Inc.
4.63% due 01/31/322	1,987,000	1,809,906
Hanesbrands, Inc.
9.00% due 02/15/312,6	1,500,000	1,531,305
4.88% due 05/15/266	225,000	218,271
HP Communities LLC
6.82% due 09/15/536	913,043	883,369
6.16% due 09/15/536	1,000,000	786,275
Wyndham Hotels & Resorts, Inc.
4.38% due 08/15/282,6	1,625,000	1,507,455
ONE Hotels GmbH
7.75% due 04/02/316	EUR 1,300,000	1,443,937
1011778 BC ULC / New Red Finance, Inc.
3.88% due 01/15/286	850,000	789,647
4.00% due 10/15/306	725,000	630,854
Boyne USA, Inc.
4.75% due 05/15/296	1,250,000	1,154,436
Hilton Domestic Operating Company, Inc.
3.63% due 02/15/326	1,350,000	1,144,928
Deuce FinCo plc
5.50% due 06/15/27	GBP 900,000	1,085,705
Tempur Sealy International, Inc.
3.88% due 10/15/316	700,000	588,051
4.00% due 04/15/296	500,000	448,363
Clarios Global, LP
6.75% due 05/15/256	990,000	989,932
Six Flags Theme Parks, Inc.
7.00% due 07/01/256	969,000	970,285
Allison Transmission, Inc.
3.75% due 01/30/312,6	1,100,000	953,187
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
5.38% due 04/01/266	975,000	952,079
Scientific Games Holdings Limited Partnership/Scientific Games US FinCo, Inc.
6.63% due 03/01/306	850,000	805,167

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ³⁹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Consumer, Cyclical – 6.3% (continued)
United Airlines Class AA Pass Through Trust
3.45% due 12/01/27	405,994	$ 380,380
Velocity Vehicle Group LLC
8.00% due 06/01/296	370,000	376,013
Superior Plus, LP
4.25% due 05/18/286	CAD 350,000	240,882
Aramark Services, Inc.
5.00% due 02/01/286	110,000	105,171
Exide Technologies
due 10/31/24†††,10	2,353,687	2
Total Consumer, Cyclical		107,528,051
Communications – 4.9%
McGraw-Hill Education, Inc.
8.00% due 08/01/292,6	6,300,000	5,873,361
5.75% due 08/01/286	3,525,000	3,288,939
Altice France S.A.
5.50% due 10/15/292,6	8,175,000	5,484,402
5.13% due 07/15/292,6	3,025,000	2,028,737
8.13% due 02/01/276	1,300,000	1,002,063
Cogent Communications Group, Inc.
7.00% due 06/15/272,6	7,500,000	7,464,857
British Telecommunications plc
4.88% due 11/23/812,5,6	5,550,000	4,978,212
4.25% due 11/23/812,5,6	950,000	892,519
VZ Secured Financing BV
5.00% due 01/15/322,6	6,850,000	5,813,448
Outfront Media Capital LLC / Outfront Media Capital Corp.
4.25% due 01/15/292,6	5,725,000	5,168,787
Paramount Global
4.95% due 05/19/502	6,390,000	4,612,451
Sunrise FinCo I BV
4.88% due 07/15/312,6	4,550,000	4,061,330
LCPR Senior Secured Financing DAC
6.75% due 10/15/276	2,114,000	2,002,392
5.13% due 07/15/292,6	1,900,000	1,594,982
AMC Networks, Inc.
4.25% due 02/15/292	3,450,000	2,433,865
10.25% due 01/15/296	1,100,000	1,097,525
Corning, Inc.
4.38% due 11/15/572	4,100,000	3,195,177
CSC Holdings LLC
11.25% due 05/15/282,6	2,750,000	2,218,920
4.63% due 12/01/302,6	1,913,000	804,328

 

See notes to financial statements.

⁴⁰ l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Communications – 4.9% (continued)
Vodafone Group plc
5.13% due 06/04/812,5	4,100,000	$ 3,015,119
Ciena Corp.
4.00% due 01/31/302,6	2,150,000	1,925,666
Sirius XM Radio, Inc.
3.88% due 09/01/316	2,300,000	1,836,639
Rogers Communications, Inc.
4.55% due 03/15/52	2,200,000	1,791,899
CCO Holdings LLC / CCO Holdings Capital Corp.
4.50% due 06/01/332,6	1,225,000	945,314
4.25% due 01/15/346	750,000	558,817
4.50% due 05/01/32	325,000	257,819
TripAdvisor, Inc.
7.00% due 07/15/252,6	1,575,000	1,577,725
Vmed O2 UK Financing I plc
4.25% due 01/31/316	1,225,000	1,008,404
4.75% due 07/15/316	650,000	539,551
Level 3 Financing, Inc.
3.88% due 10/15/306	1,500,000	824,135
11.00% due 11/15/296	347,164	355,904
4.00% due 04/15/316	600,000	327,720
Charter Communications Operating LLC / Charter Communications Operating Capital
3.90% due 06/01/52	2,000,000	1,255,178
Virgin Media Secured Finance plc
4.50% due 08/15/306	1,200,000	1,005,948
Zayo Group Holdings, Inc.
4.00% due 03/01/276	1,050,000	818,778
Match Group Holdings II LLC
3.63% due 10/01/312,6	875,000	728,786
Ziggo BV
4.88% due 01/15/306	725,000	646,182
Ziggo Bond Company BV
5.13% due 02/28/306	500,000	427,049
Total Communications		83,862,928
Industrial – 4.6%
New Enterprise Stone & Lime Company, Inc.
9.75% due 07/15/286	7,717,000	7,900,446
5.25% due 07/15/282,6	2,025,000	1,903,463
Standard Industries, Inc.
4.38% due 07/15/302,6	7,050,000	6,291,288
3.38% due 01/15/316	1,100,000	917,773
IP Lending X Ltd.
7.75% due 07/02/29†††,6	4,765,000	4,822,180

 

See notes to financial statements.

^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT} l ⁴¹

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Industrial – 4.6% (continued)
Calderys Financing LLC
11.25% due 06/01/282,6	3,737,000	$ 3,984,644
Great Lakes Dredge & Dock Corp.
5.25% due 06/01/292,6	4,500,000	3,984,629
Builders FirstSource, Inc.
6.38% due 06/15/322,6	2,500,000	2,490,721
4.25% due 02/01/326	1,675,000	1,462,782
Victoria plc
3.63% due 08/05/26	EUR 4,004,000	3,595,258
Enviri Corp.
5.75% due 07/31/272,6	3,624,000	3,435,988
Waste Pro USA, Inc.
5.50% due 02/15/266	3,370,000	3,318,394
Mauser Packaging Solutions Holding Co.
7.88% due 04/15/276	1,875,000	1,910,363
9.25% due 04/15/276	1,000,000	995,881
Howmet Aerospace, Inc.
3.00% due 01/15/292	1,175,000	1,059,371
5.95% due 02/01/37	875,000	895,044
6.88% due 05/01/252	800,000	807,557
Artera Services LLC
8.50% due 02/15/316	2,400,000	2,452,272
Clearwater Paper Corp.
4.75% due 08/15/286	2,547,000	2,375,559
SCIL IV LLC / SCIL USA Holdings LLC
9.50% due 07/15/28	EUR 1,800,000	2,116,699
AmeriTex HoldCo Intermediate LLC
10.25% due 10/15/282,6	1,900,000	1,991,339
GrafTech Global Enterprises, Inc.
9.88% due 12/15/282,6	2,600,000	1,962,496
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc
4.00% due 09/01/292,6	2,300,000	1,898,829
GrafTech Finance, Inc.
4.63% due 12/15/282,6	2,860,000	1,852,060
Summit Materials LLC / Summit Materials Finance Corp.
5.25% due 01/15/292,6	1,775,000	1,709,490
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00% due 02/01/266	1,625,000	1,604,856
Deuce FinCo plc
5.50% due 06/15/276	GBP 1,200,000	1,447,607
8.69% (3 Month EURIBOR + 4.75%, Rate Floor: 4.75%) due 06/15/27à	EUR 100,000	108,902
TK Elevator US Newco, Inc.
5.25% due 07/15/276	1,550,000	1,495,339
Cellnex Finance Company S.A.
3.88% due 07/07/416	1,750,000	1,358,222

 

See notes to financial statements.

⁴² l ^GOF l ^{GUGGENHEIM STRATEGIC OPPORTUNITIES FUND ANNUAL REPORT}

 

 

SCHEDULE OF INVESTMENTS continued		May 31, 2024

 

	Face
	Amount~	Value
CORPORATE BONDS†† – 44.2% (continued)
Industrial – 4.6% (continued)
Worldpay US, Inc.
8.50% due 01/15/31	GBP 750,000	$ 1,025,127
Amsted Industries, Inc.
4.63% due 05/15/306	950,000	862,954
TVL Finance plc
9.36% (3 Month EURIBOR + 5.50%, Rate Floor: 5.50%) due 04/28/28à	EUR 780,000	850,586
Ball Corp.
3.13% due 09/15/312	875,000	734,500
GATX Corp.
4.00% due 06/30/30	560,000	516,906
TopBuild Corp.
4.13% due 02/15/326	400,000	348,995
Arcosa, Inc.
4.38% due 04/15/296	350,000	324,189
EnerSys
4.38% due 12/15/276	325,000	306,429
Hillenbrand, Inc.
3.75% due 03/01/312	250,000	215,389
MIWD Holdco II LLC / MIWD Finance Corp.
5.50% due 02/01/306	125,000	113,932
Enpro, Inc.
5.75% due 10/15/26	115,000	113,337
Vertical Midco GmbH
4.38% due 07/15/27	EUR 100,000	104,978
Total Industrial		72,844,594
Energy – 4.1%
Global Partners Limited Partnership / GLP Finance Corp.
7.00% due 08/01/272	4,800,000	4,816,747
6.88% due 01/15/292	2,980,000	2,934,110
ITT Holdings LLC
6.50% due 08/01/292,6	8,050,000	7,368,217
Venture Global LNG, Inc.
9.88% due 02/01/326	6,000,000	6,433,771
Occidental Petroleum Corp.
6.20% due 03/15/402	2,100,000	2,113,018
7.00% due 11/15/27	2,000,000	2,024,828
4.30% due 08/15/39	2,100,000	1,683,844
4.63% due 06/15/45	750,000	591,552
BP Capital Markets plc
4.88% 2,5,9	6,750,000	6,368,680
NuStar Logistics, LP
6.38% due 10/01/302	5,625,000	5,607,947
5.63% due 04/28/27	200,000	196,989